Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | 4-May-15 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | RWT | |
Entity Registrant Name | REDWOOD TRUST INC | |
Entity Central Index Key | 930236 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 84,257,726 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ||||
Residential loans | $3,399,755 | $3,398,573 | ||
Commercial loans | 460,342 | 566,927 | ||
Real estate securities, at fair value | 1,285,243 | [1] | 1,379,230 | [1] |
Mortgage servicing rights, at fair value | 120,324 | [1] | 139,293 | [1] |
Cash and cash equivalents | 303,820 | [1] | 269,730 | [1] |
Total earning assets | 5,569,484 | [1] | 5,753,753 | [1] |
Restricted cash | 725 | [1] | 628 | [1] |
Accrued interest receivable | 17,970 | [1] | 18,222 | [1] |
Derivative assets | 30,546 | [1] | 16,417 | [1] |
Deferred securities issuance costs | 14,302 | [1] | 16,050 | [1] |
Other assets | 182,992 | [1] | 113,896 | [1] |
Total Assets | 5,816,019 | [1] | 5,918,966 | [1] |
Liabilities | ||||
Short-term debt | 1,502,164 | [1] | 1,793,825 | [1] |
Accrued interest payable | 14,319 | [1] | 8,503 | [1] |
Derivative liabilities | 68,064 | [1] | 58,331 | [1] |
Accrued expenses and other liabilities | 60,135 | [1] | 52,244 | [1] |
Deferred tax liability | 10,237 | [1] | 10,236 | [1] |
Asset-backed securities issued | 1,353,021 | [1],[2] | 1,545,119 | [1],[2] |
Long-term debt | 1,550,869 | [1] | 1,194,567 | [1] |
Total liabilities | 4,558,809 | [1] | 4,662,825 | [1] |
Equity | ||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 83,748,621and 83,443,141 issued and outstanding | 837 | [1] | 834 | [1] |
Additional paid-in capital | 1,779,777 | [1] | 1,774,030 | [1] |
Accumulated other comprehensive income | 135,640 | [1] | 140,688 | [1] |
Cumulative earnings | 931,396 | [1] | 906,867 | [1] |
Cumulative distributions to stockholders | -1,590,440 | [1] | -1,566,278 | [1] |
Total equity | 1,257,210 | [1] | 1,256,141 | [1] |
Total Liabilities and Equity | 5,816,019 | [1] | 5,918,966 | [1] |
Residential Loans Held For Sale | ||||
ASSETS | ||||
Residential loans | 1,094,885 | [1] | 1,342,519 | [1] |
Residential Loans Held For Investment at Fair Value, including loans at historical cost | ||||
ASSETS | ||||
Residential loans | 2,304,870 | [1],[2] | 2,056,054 | [1],[2] |
Commercial Loans Held For Sale | ||||
ASSETS | ||||
Commercial loans | 54,407 | [1] | 166,234 | [1] |
Commercial Loans Held For Investment | ||||
ASSETS | ||||
Commercial loans | $405,935 | [1] | $400,693 | [1] |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. | |||
[2] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Asset-backed securities at fair value | $1,239,065 | $0 |
Long-term debt at fair value | 68,707 | 66,707 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 180,000,000 | 180,000,000 |
Common stock, issued | 83,748,621 | 83,443,141 |
Common stock, outstanding | 83,748,621 | 83,443,141 |
Variable interest held by entity, assets | 1,716,563 | 1,900,208 |
Variable interest held by entity, liabilities | 1,354,298 | 1,546,490 |
Carrying value | 3,399,755 | 3,398,573 |
Residential Loans Held For Investment At Amortized Cost | ||
Carrying value | 1,474,386 | |
Commercial Loans Held For Investment | ||
Loans at fair value | 72,619 | 71,262 |
Sequoia | Residential Loans Held For Investment At Amortized Cost | ||
Carrying value | $1,474,386 |
Consolidated_Statements_Of_Inc
Consolidated Statements Of Income (USD $) | 3 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Interest Income | ||||
Residential loans | $25,009 | $12,658 | ||
Commercial loans | 10,914 | 10,384 | ||
Real estate securities | 27,775 | 32,431 | ||
Cash and cash equivalents | 48 | 3 | ||
Total interest income | 63,746 | 55,476 | ||
Interest Expense | ||||
Short-term debt | -7,224 | -3,827 | ||
Asset-backed securities issued | -6,202 | -8,441 | ||
Long-term debt | -10,535 | -6,792 | ||
Total interest expense | -23,961 | -19,060 | ||
Net Interest Income | 39,785 | 36,416 | ||
Provision for loan losses | -206 | -1,284 | ||
Net Interest Income After Provision | 39,579 | 35,132 | ||
Noninterest Income | ||||
Mortgage banking activities, net | 1,923 | -231 | ||
Mortgage servicing rights income, net | -10,924 | 606 | ||
Other market valuation adjustments, net | -1,145 | [1] | -6,138 | [1] |
Realized gains, net | 4,306 | 1,092 | ||
Other Income | 809 | 0 | ||
Total noninterest income, net | -5,031 | -4,671 | ||
Operating expenses | -25,063 | -19,971 | ||
Net income before provision for income taxes | 9,485 | 10,490 | ||
Benefit from income taxes | 5,316 | 1,843 | ||
Net Income | $14,801 | $12,333 | ||
Basic earnings per common share (usd per share) | $0.17 | $0.14 | ||
Diluted earnings per common share (usd per share) | $0.16 | $0.14 | ||
Regular dividends declared per common share (usd per share) | $0.28 | $0.28 | ||
Basic weighted average shares outstanding (shares) | 83,360,312 | 82,410,562 | ||
Diluted weighted average shares outstanding (shares) | 85,622,216 | 84,940,540 | ||
[1] | For the three months ended March 31, 2015, there were no other-than-temporary impairments. For the three months ended March 31, 2014, other-than-temporary impairments were $1,671, of which $113 were recognized through the Income Statement and $1,558 were recognized in Accumulated Other Comprehensive Income. |
Consolidated_Statements_Of_Inc1
Consolidated Statements Of Income (Parenthetical) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Income Statement [Abstract] | ||
Total other-than-temporary impairments | $0 | $1,671,000 |
Income Statement, other-than-temporary impairments | 113,000 | |
Accumulated other comprehensive income, other-than-temporary impairments | $1,558,000 |
Consolidated_Statements_Of_Com
Consolidated Statements Of Comprehensive Income (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Statement of Comprehensive Income [Abstract] | ||
Net income | $14,801 | $12,333 |
Other comprehensive income: | ||
Net unrealized gain on available-for-sale securities | 5,053 | 19,323 |
Reclassification of unrealized (gain) loss on available-for-sale securities to net income | -1,690 | 1,298 |
Net unrealized (loss) gain on interest rate agreements | -8,442 | -8,795 |
Reclassification of unrealized loss on interest rate agreements to net income | 31 | 60 |
Total other comprehensive (loss) income | -5,048 | 11,886 |
Total Comprehensive Income | $9,753 | $24,219 |
Consolidated_Statements_Of_Cha
Consolidated Statements Of Changes In Equity (USD $) | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | ||
In Thousands, except Share data, unless otherwise specified | ||||||||
Beginning balance at Dec. 31, 2013 | $1,245,783 | $825 | $1,760,899 | $148,766 | $806,298 | ($1,471,005) | ||
Beginning balance (in shares) at Dec. 31, 2013 | 82,504,801 | |||||||
Net income | 12,333 | 12,333 | ||||||
Other comprehensive (loss) income | 11,886 | 11,886 | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans (in shares) | 77,660 | |||||||
Dividend reinvestment & stock purchase plans | 1,545 | 1 | 1,544 | |||||
Employee stock purchase and incentive plans (in shares) | 37,193 | |||||||
Employee stock purchase and incentive plans | -783 | 0 | -783 | |||||
Non-cash equity award compensation | 3,872 | 3,872 | ||||||
Common dividends declared | -23,749 | -23,749 | ||||||
Ending balance at Mar. 31, 2014 | 1,250,887 | 826 | 1,765,532 | 160,652 | 818,631 | -1,494,754 | ||
Ending balance (in shares) at Mar. 31, 2014 | 82,619,654 | |||||||
Beginning balance at Dec. 30, 2014 | [1] | 1,256,141 | ||||||
Cumulative adjustment - adoption of ASU 2014-13 | [2] | 9,728 | ||||||
Cumulative adjustment - adoption of ASU 2014-13 (Accounting Standards Update 2014-13) | [2] | 9,728 | ||||||
Adjusted balance | 1,265,869 | 834 | 1,774,030 | 140,688 | 916,595 | -1,566,278 | ||
Ending balance at Dec. 31, 2014 (Previously Reported) | 1,256,141 | 834 | 1,774,030 | 140,688 | 906,867 | -1,566,278 | ||
Ending balance (in shares) at Dec. 31, 2014 (Previously Reported) | 83,443,141 | |||||||
Beginning balance at Dec. 31, 2014 | [1] | 1,256,141 | ||||||
Beginning balance (in shares) at Dec. 31, 2014 | 83,443,141 | |||||||
Net income | 14,801 | 14,801 | ||||||
Other comprehensive (loss) income | -5,048 | -5,048 | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans (in shares) | 185,045 | |||||||
Dividend reinvestment & stock purchase plans | 3,241 | 2 | 3,239 | |||||
Employee stock purchase and incentive plans (in shares) | 120,435 | |||||||
Employee stock purchase and incentive plans | -183 | 1 | -184 | |||||
Non-cash equity award compensation | 2,692 | 2,692 | ||||||
Common dividends declared | -24,162 | -24,162 | ||||||
Ending balance at Mar. 31, 2015 | $1,257,210 | [1] | $837 | $1,779,777 | $135,640 | $931,396 | ($1,590,440) | |
Ending balance (in shares) at Mar. 31, 2015 | 83,748,621 | |||||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. | |||||||
[2] | On January 1, 2015, we adopted ASU 2014-13. See Note 3 for further discussion. |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Cash Flows From Operating Activities: | |||
Net income | $14,801 | $12,333 | |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | -9,176 | -9,158 | |
Depreciation and amortization of non-financial assets | 143 | 106 | |
Purchases of held-for-sale loans | -2,558,425 | -1,181,488 | |
Proceeds from sales of held-for-sale loans | 2,455,452 | 785,380 | |
Principal payments on held-for-sale loans | 14,394 | 7,014 | |
Net settlements of derivatives | -19,373 | -8,394 | |
Provision for loan losses | 206 | 1,284 | |
Non-cash equity award compensation expense | 2,692 | 3,872 | |
Market valuation adjustments, net | 19,435 | 9,446 | |
Realized gains, net | -4,306 | -1,092 | |
Net change in: | |||
Accrued interest receivable and other assets | -38,394 | -7,279 | |
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 3,476 | -13,682 | |
Net cash used in operating activities | -119,075 | -401,658 | |
Cash Flows From Investing Activities: | |||
Purchases of loans held-for-investment | -7,600 | -32,998 | |
Principal payments on held-for-investment loans | 101,754 | 70,800 | |
Purchases of real estate securities | -15,613 | -49,709 | |
Proceeds from sales of real estate securities | 77,293 | 0 | |
Principal payments on real estate securities | 26,313 | 42,304 | |
Purchase of mortgage servicing rights | -5,173 | -928 | |
Proceeds from sales of mortgage servicing rights | 17,235 | 0 | |
Net change in restricted cash | -97 | -34 | |
Net cash provided by investing activities | 194,112 | 29,435 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 1,641,380 | 920,955 | |
Repayments on short-term debt | -1,933,041 | -494,956 | |
Proceeds from issuance of asset-backed securities | 420 | 0 | |
Repayments on asset-backed securities issued | -80,918 | -88,523 | |
Deferred securities issuance costs | -32 | 0 | |
Proceeds from issuance of long-term debt | 354,932 | 36,782 | |
Repayments on long-term debt | 0 | -17 | |
Net settlements of derivatives | 658 | -721 | |
Net proceeds from issuance of common stock | 134 | 122 | |
Taxes paid on equity award distributions | -318 | -905 | |
Dividends paid | -24,162 | -23,749 | |
Net cash provided by financing activities | -40,947 | 348,988 | |
Net (decrease) increase in cash and cash equivalents | 34,090 | -23,235 | |
Cash and cash equivalents at beginning of period | 269,730 | [1] | 173,201 |
Cash and cash equivalents at end of period | 303,820 | [1] | 149,966 |
Cash paid during the period for: | |||
Interest | 15,032 | 15,386 | |
Taxes | 38 | 1,399 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 6,282 | 0 | |
Retention of mortgage servicing rights from loan securitizations and sales | 15,675 | 2,294 | |
Transfers from loans held-for-sale to loans held-for-investment | 447,840 | 37,631 | |
Transfers from residential loans to real estate owned | $3,166 | $135 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Organization
Organization | 3 Months Ended |
Mar. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization |
Redwood Trust, Inc., together with its subsidiaries, focuses on investing in mortgage- and other real estate-related assets and engaging in residential and commercial mortgage banking activities. We seek to invest in real estate-related assets that have the potential to generate attractive cash flow returns over time and to generate income through our residential and commercial mortgage banking activities. We operate our business in three segments: residential mortgage banking, residential investments, and commercial mortgage banking and investments. Redwood was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. | |
Redwood Trust, Inc. has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable year ended December 31, 1994. To qualify as a REIT, we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our operating subsidiaries” or “our taxable REIT subsidiaries” or “TRS.” We generally intend to distribute as dividends at least 90% of the taxable income we generate at our REIT. | |
We sponsor our Sequoia securitization program, which we use for the securitization of residential mortgage loans. References to Sequoia with respect to any time or period generally refer collectively to all the then consolidated Sequoia securitization entities for the periods presented. We have also engaged in securitization transactions in order to obtain financing for certain of our securities and commercial loans. |
Basis_of_Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation |
The consolidated financial statements presented herein are at March 31, 2015 and December 31, 2014, and for the three months ended March 31, 2015 and 2014. These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2014. In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at March 31, 2015 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2015 should not be construed as indicative of the results to be expected for the full year. | |
Principles of Consolidation | |
In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities where we maintain an ongoing involvement, as well as an entity formed in connection with a resecuritization transaction we engaged in during 2011 (“Residential Resecuritization”), and an entity formed in connection with a commercial securitization we engaged in during 2012 (“Commercial Securitization”). Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. | |
For financial reporting purposes, the underlying loans and securities owned at the consolidated Sequoia entities, the Residential Resecuritization entity, and the Commercial Securitization entity are shown under residential and commercial loans and real estate securities on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we record interest income on the loans and securities owned at these entities and interest expense on the ABS issued by these entities. | |
See Note 4 for further discussion on principles of consolidation. | |
Use of Estimates | |
The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies | ||||||||||||||||||||||||
Significant Accounting Policies | |||||||||||||||||||||||||
Included in Note 3 to the Consolidated Financial Statements of our 2014 Annual Report on Form 10-K is a summary of our significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the company’s consolidated financial condition and results of operations for the three months ended March 31, 2015. | |||||||||||||||||||||||||
Recent Accounting Pronouncements | |||||||||||||||||||||||||
Adoption of ASU 2014-13 | |||||||||||||||||||||||||
In November 2014, the FASB issued ASU 2014-13, “Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity” (ASU 2014-13). This update provides a measurement alternative to companies that consolidate collateralized financing entities ("CFEs"). Under the new guidance, companies can measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. This guidance is effective in the first quarter 2016 with early adoption permitted at the beginning of an annual period. The guidance can be applied either retrospectively to all relevant prior periods or by a modified retrospective approach with a cumulative-effect adjustment to equity as of the beginning of the annual period of adoption. | |||||||||||||||||||||||||
On January 1, 2015, we elected to early adopt ASU 2014-13, as we determined this measurement alternative more accurately reflects our economic interests in, and financial results from, certain consolidated financing entities. We adopted the measurement alternative under this standard only for our consolidated Sequoia entities, which qualify under the standard as CFEs. We did not elect the measurement alternative for our Residential Resecuritization or our Commercial Resecuritization, and will continue to account for the assets and liabilities in these CFEs in accordance with existing accounting guidance. | |||||||||||||||||||||||||
Under the provisions of ASU 2014-13, we use the fair value of the liabilities issued by the Sequoia CFEs (which we determined to be more observable) to determine the fair value of the assets, whereby the net assets we consolidate in our financial statements related to these entities represents the estimated fair value of our retained interests in the Sequoia CFEs. Similarly, the periodic net market valuation adjustments we record on our income statement from the consolidated assets and liabilities of the CFEs represents the change in fair value of our retained interests in the Sequoia CFEs. | |||||||||||||||||||||||||
Using the modified retrospective approach, we recorded a cumulative-effect adjustment to equity of $10 million through retained earnings as of January 1, 2015. This cumulative-effect adjustment represents the net effect of adjusting the assets and liabilities of the Sequoia CFEs from amortized historical cost to fair value. | |||||||||||||||||||||||||
Subsequent to the adoption of ASU 2014-13, the consolidated assets and liabilities of the Sequoia CFEs are both carried at fair value, with the periodic net changes in fair value recorded on our income statement, in Other market valuation adjustments. | |||||||||||||||||||||||||
The following table presents the assets and liabilities of the consolidated Sequoia entities at December 31, 2014 prior to the adoption of ASU 2014-13, the adjustments required to adopt the new standard, and the adjusted balances at January 1, 2015. | |||||||||||||||||||||||||
Impact of Adoption of ASU 2014-13 on Balance Sheet (1) | |||||||||||||||||||||||||
(In Millions) | 31-Dec-14 | ASU 2014-13 Adjustment | 1-Jan-15 | ||||||||||||||||||||||
Loan Principal | $ | 1,486 | $ | (113 | ) | $ | 1,373 | ||||||||||||||||||
Loan unamortized premium | 13 | (13 | ) | — | |||||||||||||||||||||
Allowance for loan losses | (21 | ) | 21 | — | |||||||||||||||||||||
Residential loans held-for-investment | 1,478 | (105 | ) | 1,373 | |||||||||||||||||||||
Deferred bond issuance costs | 1 | (1 | ) | — | |||||||||||||||||||||
Other assets | 5 | — | 5 | ||||||||||||||||||||||
Total assets | 1,482 | (105 | ) | 1,377 | |||||||||||||||||||||
ABS issued principal | 1,428 | (125 | ) | 1,303 | |||||||||||||||||||||
ABS issued unamortized discount | (10 | ) | 10 | — | |||||||||||||||||||||
Total liabilities | 1,418 | (115 | ) | 1,303 | |||||||||||||||||||||
Redwood's investment in consolidated Sequoia entities | $ | 64 | $ | 10 | $ | 74 | |||||||||||||||||||
-1 | Certain totals may not foot due to rounding. | ||||||||||||||||||||||||
Other Recent Accounting Pronouncements | |||||||||||||||||||||||||
In April 2015, the FASB issued ASU 2015-03, “Simplifying the Presentation of Debt Issuance Costs.” This new guidance requires debt issuance costs to be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. This new guidance is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption is permitted for financial statements that have not been previously issued. The new guidance is required to be applied on a retrospective basis. We plan to adopt this new guidance by the required date and will reclassify debt issuance costs that we currently present in other assets on our consolidated balance sheets and present them as debt discounts. | |||||||||||||||||||||||||
In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810) - Amendments to the Consolidation Analysis.” This new guidance provides a new scope exception for certain money market funds, makes targeted amendments to the current consolidation guidance, and ends the deferral granted to investment companies from applying the VIE guidance. This new guidance is effective for annual periods beginning after December 15, 2016. Early adoption is allowed, including in any interim period. We are currently evaluating the impact of adopting this new standard. | |||||||||||||||||||||||||
In June 2014, the FASB issued ASU 2014-11, “Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” This new guidance amends the accounting guidance for “repo-to-maturity” transactions and repurchase agreements executed as repurchase financings. In addition, the new standard requires a transferor to disclose more information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This new guidance is effective in the first interim reporting period beginning after December 15, 2014. However, for repurchase and securities lending transactions reported as secured borrowing, the new standard’s enhanced disclosures are effective for annual periods beginning after December 15, 2014 and interim period beginning after March 15, 2015. We adopted the new guidance, as required, in the first quarter of 2015 and will adopt the disclosure requirements in the second quarter of 2015, as required. The adoption in the first quarter of 2015 did not have a material impact on our financial statements, as we did not have repo-to-maturity transactions outstanding. | |||||||||||||||||||||||||
In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers.” The objective of the guidance is to clarify the principles for recognizing revenue and to develop a common revenue standard for GAAP and IFRS. The Amendment supersedes most current revenue recognition guidance, including industry-specific guidance. The Amendment also enhances disclosure requirements around revenue recognition and the related cash flows. The guidance is to be applied retrospectively to all prior periods presented or through a cumulative adjustment in the year of adoption, for interim and annual periods beginning after December 15, 2016. Early adoption is not permitted. We are currently evaluating the impact of adopting this new standard. | |||||||||||||||||||||||||
In January 2014, the FASB issued ASU 2014-04, “Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure.” This update to the receivable guidance clarifies when a creditor is considered to have received physical possession of residential real estate resulting from an in substance repossession or foreclosure. In addition, the amendments require disclosure of both: (i) the amount of foreclosed residential real estate property held by the creditor; and (ii) the recorded investment in consumer mortgage loans collateralized by residential real estate property that are in the process of foreclosure. The update requires the guidance to be applied using either a modified retrospective transition method or a prospective transition method for interim and annual periods beginning after December 15, 2014, with early adoption permitted. We adopted this standard in the first quarter of 2015, as required, and it did not have a material impact on our financial statements. | |||||||||||||||||||||||||
Balance Sheet Netting | |||||||||||||||||||||||||
Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. | |||||||||||||||||||||||||
The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in Consolidated Balance Sheet | Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | Gross Amounts Not Offset in Consolidated | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Mar-15 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 17,554 | $ | — | $ | 17,554 | $ | (2,719 | ) | $ | (10,830 | ) | $ | 4,005 | |||||||||||
TBAs | 4,721 | — | 4,721 | (4,667 | ) | (54 | ) | — | |||||||||||||||||
Total Assets | $ | 22,275 | $ | — | $ | 22,275 | $ | (7,386 | ) | $ | (10,884 | ) | $ | 4,005 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (57,581 | ) | $ | — | $ | (57,581 | ) | $ | 2,719 | $ | 54,862 | $ | — | |||||||||||
TBAs | (8,842 | ) | — | (8,842 | ) | 4,666 | 3,201 | (975 | ) | ||||||||||||||||
Futures | (332 | ) | — | (332 | ) | — | 332 | — | |||||||||||||||||
Loan warehouse debt | (895,895 | ) | — | (895,895 | ) | 895,895 | — | — | |||||||||||||||||
Security repurchase agreements | (606,269 | ) | — | (606,269 | ) | 606,269 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,568,919 | ) | $ | — | $ | (1,568,919 | ) | $ | 1,509,549 | $ | 58,395 | $ | (975 | ) | ||||||||||
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 | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Dec-14 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 7,006 | $ | — | $ | 7,006 | $ | (1,160 | ) | $ | (4,360 | ) | $ | 1,486 | |||||||||||
Credit default index swaps | 1,598 | — | 1,598 | — | (375 | ) | 1,223 | ||||||||||||||||||
TBAs | 6,653 | — | 6,653 | (5,815 | ) | — | 838 | ||||||||||||||||||
Total Assets | $ | 15,257 | $ | — | $ | 15,257 | $ | (6,975 | ) | $ | (4,735 | ) | $ | 3,547 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (48,173 | ) | $ | — | $ | (48,173 | ) | $ | 1,160 | 47,013 | $ | — | ||||||||||||
TBAs | (9,506 | ) | — | (9,506 | ) | 5,815 | 2,715 | (976 | ) | ||||||||||||||||
Futures | (372 | ) | — | (372 | ) | — | 372 | — | |||||||||||||||||
Loan warehouse debt | (1,185,316 | ) | — | (1,185,316 | ) | 1,185,316 | — | — | |||||||||||||||||
Security repurchase agreements | (608,509 | ) | — | (608,509 | ) | 608,509 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,851,876 | ) | $ | — | $ | (1,851,876 | ) | $ | 1,800,800 | $ | 50,100 | $ | (976 | ) | ||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. | ||||||||||||||||||||||||
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty and references herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis and for settlement to include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party that should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Principles_of_Consolidation
Principles of Consolidation | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||
Principles of Consolidation | Principles of Consolidation | ||||||||||||||||
GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. | |||||||||||||||||
Analysis of Consolidated VIEs | |||||||||||||||||
As of March 31, 2015, the VIEs we are required to consolidate include certain Sequoia securitization entities, the Residential Resecuritization entity, and the Commercial Securitization entity. Each of these entities is independent of Redwood and of each other and the assets and liabilities of these entities are not owned by and are not legal obligations of ours. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||
Assets and Liabilities of Consolidated VIEs | |||||||||||||||||
March 31, 2015 | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
(Dollars in Thousands) | Entities | ||||||||||||||||
Residential loans, held-for-investment | $ | 1,304,426 | $ | — | $ | — | $ | 1,304,426 | |||||||||
Commercial loans, held-for-investment | — | — | 191,575 | 191,575 | |||||||||||||
Real estate securities | — | 211,316 | — | 211,316 | |||||||||||||
Restricted cash | 147 | — | 135 | 282 | |||||||||||||
Accrued interest receivable | 1,720 | 449 | 1,491 | 3,660 | |||||||||||||
Other assets | 5,304 | — | — | 5,304 | |||||||||||||
Total Assets | $ | 1,311,597 | $ | 211,765 | $ | 193,201 | $ | 1,716,563 | |||||||||
Accrued interest payable | $ | 893 | $ | 10 | $ | 374 | $ | 1,277 | |||||||||
Asset-backed securities issued | 1,239,065 | 34,280 | 79,676 | 1,353,021 | |||||||||||||
Total Liabilities | $ | 1,239,958 | $ | 34,290 | $ | 80,050 | $ | 1,354,298 | |||||||||
Number of VIEs | 24 | 1 | 1 | 26 | |||||||||||||
Analysis of Unconsolidated VIEs with Continuing Involvement | |||||||||||||||||
Since 2012, we have transferred residential loans to 23 Sequoia securitization entities sponsored by us and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For the transferred loans where we held the servicing rights prior to the transfer and continue to hold the servicing rights, we recorded MSRs on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining residential MSRs (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. | |||||||||||||||||
The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2015 and 2014. | |||||||||||||||||
Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Principal balance of loans transferred | $ | 338,796 | $ | — | |||||||||||||
Trading securities retained, at fair value | 3,423 | — | |||||||||||||||
AFS securities retained, at fair value | 2,859 | — | |||||||||||||||
MSRs recognized | 1,872 | — | |||||||||||||||
The following table summarizes the cash flows during the three months ended March 31, 2015 and 2014 between us and the unconsolidated VIEs sponsored by us. | |||||||||||||||||
Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Proceeds from new transfers | $ | 341,716 | $ | — | |||||||||||||
MSR fees received | 3,770 | 3,423 | |||||||||||||||
Funding of compensating interest | (90 | ) | (33 | ) | |||||||||||||
Cash flows received on retained securities | 12,645 | 12,303 | |||||||||||||||
The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization. | |||||||||||||||||
Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Issued During The Three Months | |||||||||||||||||
Ended March 31, 2015 | |||||||||||||||||
At Date of Securitization | MSRs | Subordinate Securities | |||||||||||||||
Prepayment rate | 5 - 19 % | 8 | % | ||||||||||||||
Discount rates | 11 | % | 6 | % | |||||||||||||
Credit loss assumptions | N/A | 0.25 | % | ||||||||||||||
The following table presents additional information at March 31, 2015 and December 31, 2014, related to unconsolidated securitizations accounted for as sales since 2012. | |||||||||||||||||
Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||
On-balance sheet assets, at fair value: | |||||||||||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | 69,258 | $ | 93,802 | |||||||||||||
Senior and subordinate securities, classified as AFS | 391,296 | 460,990 | |||||||||||||||
Maximum loss exposure (1) | 460,554 | 554,792 | |||||||||||||||
Assets transferred: | |||||||||||||||||
Principal balance of loans outstanding | 7,287,906 | 7,276,825 | |||||||||||||||
Principal balance of delinquent loans 30+ days delinquent | 20,952 | 17,022 | |||||||||||||||
-1 | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. | ||||||||||||||||
The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2015 and December 31, 2014. | |||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
March 31, 2015 | MSRs | Senior | Subordinate Securities | ||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||
Fair value at March 31, 2015 | $ | 50,156 | $ | 65,809 | $ | 394,745 | |||||||||||
Expected life (in years) (1) | 6 | 6 | 11 | ||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 17 | % | 11 | % | 10 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
10% adverse change | $ | 2,329 | $ | 3,697 | $ | 905 | |||||||||||
25% adverse change | 5,530 | 7,035 | 2,356 | ||||||||||||||
Discount rate assumption (1) | 11 | % | 10 | % | 5 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
100 basis point increase | $ | 1,645 | $ | 2,540 | $ | 30,841 | |||||||||||
200 basis point increase | 3,216 | 4,899 | 57,886 | ||||||||||||||
Credit loss assumption (1) | N/A | 0.25 | % | 0.25 | % | ||||||||||||
Decrease in fair value from: | |||||||||||||||||
10% higher losses | N/A | $ | 345 | $ | 2,397 | ||||||||||||
25% higher losses | N/A | 456 | 5,704 | ||||||||||||||
December 31, 2014 | MSRs | Senior | Subordinate Securities | ||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||
Fair value at December 31, 2014 | $ | 56,801 | $ | 93,802 | $ | 460,990 | |||||||||||
Expected life (in years) (1) | 7 | 6 | 10 | ||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 14 | % | 9 | % | 10 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
10% adverse change | $ | 2,419 | $ | 3,999 | $ | 684 | |||||||||||
25% adverse change | 5,639 | 9,475 | 2,355 | ||||||||||||||
Discount rate assumption (1) | 11 | % | 8 | % | 5 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
100 basis point increase | $ | 2,104 | $ | 4,214 | $ | 34,149 | |||||||||||
200 basis point increase | 4,102 | 8,091 | 64,474 | ||||||||||||||
Credit loss assumption (1) | N/A | 0.25 | % | 0.25 | % | ||||||||||||
Decrease in fair value from: | |||||||||||||||||
10% higher losses | N/A | $ | 126 | $ | 3,169 | ||||||||||||
25% higher losses | N/A | 299 | 7,841 | ||||||||||||||
-1 | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. | ||||||||||||||||
Analysis of Third-Party VIEs | |||||||||||||||||
Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at March 31, 2015, grouped by security type. | |||||||||||||||||
Third-Party Sponsored VIE Summary | |||||||||||||||||
(Dollars in Thousands) | March 31, 2015 | ||||||||||||||||
Residential Mortgage Backed Securities | |||||||||||||||||
Senior | $ | 480,200 | |||||||||||||||
Re-REMIC | 169,240 | ||||||||||||||||
Subordinate | 175,250 | ||||||||||||||||
Total Investments in Third-Party Sponsored VIEs | $ | 824,690 | |||||||||||||||
We determined that we are not the primary beneficiary of any third-party VIEs, as we do not have the required power to direct the activities that most significantly impact the economic performance of these entities. Specifically, we do not service or manage these entities or otherwise solely hold decision making powers that are significant. As a result of this assessment, we do not consolidate any of the underlying assets and liabilities of these third-party VIEs – we only account for our specific interests in them. | |||||||||||||||||
Our assessments of whether we are required to consolidate a VIE may change in subsequent reporting periods based upon changing facts and circumstances pertaining to each VIE. Any related accounting changes could result in a material impact to our financial statements. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 3 Months Ended | |||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments | |||||||||||||||||||||||||||||||||||
For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. | ||||||||||||||||||||||||||||||||||||
In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. | ||||||||||||||||||||||||||||||||||||
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||||||
Carrying | Fair | Carrying | Fair | |||||||||||||||||||||||||||||||||
(In Thousands) | Value | Value | Value | Value | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, held-for-sale | ||||||||||||||||||||||||||||||||||||
At fair value | $ | 1,093,413 | $ | 1,093,413 | $ | 1,341,032 | $ | 1,341,032 | ||||||||||||||||||||||||||||
At lower of cost or fair value | 1,472 | 1,663 | 1,488 | 1,669 | ||||||||||||||||||||||||||||||||
Residential loans, held-for-investment (1) | ||||||||||||||||||||||||||||||||||||
At fair value | 2,304,870 | 2,304,870 | 581,668 | 581,668 | ||||||||||||||||||||||||||||||||
At amortized cost | — | — | 1,474,386 | 1,381,918 | ||||||||||||||||||||||||||||||||
Commercial loans, held-for-sale | 54,407 | 54,407 | 166,234 | 166,234 | ||||||||||||||||||||||||||||||||
Commercial loans, held-for-investment | ||||||||||||||||||||||||||||||||||||
At fair value | 72,619 | 72,619 | 71,262 | 71,262 | ||||||||||||||||||||||||||||||||
At amortized cost | 333,316 | 338,932 | 329,431 | 334,876 | ||||||||||||||||||||||||||||||||
Trading securities | 106,837 | 106,837 | 111,606 | 111,606 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 1,178,406 | 1,178,406 | 1,267,624 | 1,267,624 | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | 120,324 | 139,293 | 139,293 | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | 303,820 | 303,820 | 269,730 | 269,730 | ||||||||||||||||||||||||||||||||
Restricted cash | 725 | 725 | 628 | 628 | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 17,970 | 17,970 | 18,222 | 18,222 | ||||||||||||||||||||||||||||||||
Derivative assets | 30,546 | 30,546 | 16,417 | 16,417 | ||||||||||||||||||||||||||||||||
REO (2) | 5,305 | 5,446 | 4,391 | 4,703 | ||||||||||||||||||||||||||||||||
Margin receivable (2) | 79,760 | 79,760 | 65,374 | 65,374 | ||||||||||||||||||||||||||||||||
FHLBC stock (2) | 28,434 | 28,434 | 10,688 | 10,688 | ||||||||||||||||||||||||||||||||
Guarantee asset (2) | 6,118 | 6,118 | 7,201 | 7,201 | ||||||||||||||||||||||||||||||||
Pledged collateral (2) | 10,265 | 10,265 | 9,927 | 9,927 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Short-term debt | $ | 1,502,164 | $ | 1,502,164 | $ | 1,793,825 | $ | 1,793,825 | ||||||||||||||||||||||||||||
Accrued interest payable | 14,319 | 14,319 | 8,502 | 8,502 | ||||||||||||||||||||||||||||||||
Guarantee obligation | 6,917 | 6,917 | 7,201 | 7,201 | ||||||||||||||||||||||||||||||||
Derivative liabilities | 68,064 | 68,064 | 58,331 | 58,331 | ||||||||||||||||||||||||||||||||
ABS issued (1) | ||||||||||||||||||||||||||||||||||||
Fair value | 1,239,065 | 1,239,065 | — | — | ||||||||||||||||||||||||||||||||
Amortized cost | 113,956 | 114,613 | 1,545,119 | 1,446,605 | ||||||||||||||||||||||||||||||||
FHLBC borrowings | 850,792 | 850,792 | 495,860 | 495,860 | ||||||||||||||||||||||||||||||||
Commercial secured borrowings | 68,077 | 68,077 | 66,707 | 66,707 | ||||||||||||||||||||||||||||||||
Convertible notes | 492,500 | 488,243 | 492,500 | 492,188 | ||||||||||||||||||||||||||||||||
Other long-term debt | 139,500 | 97,650 | 139,500 | 101,835 | ||||||||||||||||||||||||||||||||
-1 | Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment and ABS issued by consolidated Sequoia entities began to be recorded at fair value. See Note 3 for further discussion. | |||||||||||||||||||||||||||||||||||
-2 | These assets are included in Other Assets on our consolidated balance sheets. | |||||||||||||||||||||||||||||||||||
During the three months ended March 31, 2015, we elected the fair value option for $23 million of residential subordinate securities, $2.40 billion of residential loans (principal balance), $93 million of commercial loans (principal balance), and $19 million of MSRs, respectively. We anticipate electing the fair value option for all future purchases of residential loans and commercial senior loans that we intend to sell to third parties or transfer to securitizations as well as for MSRs purchased or retained from sales of residential loans. | ||||||||||||||||||||||||||||||||||||
The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2015, as well as the fair value hierarchy of the valuation inputs used to measure fair value. | ||||||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Recurring Basis at March 31, 2015 | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Carrying | Fair Value Measurements Using | ||||||||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans | $ | 3,398,283 | $ | — | $ | 200,869 | $ | 3,197,414 | ||||||||||||||||||||||||||||
Commercial loans | 127,026 | — | — | 127,026 | ||||||||||||||||||||||||||||||||
Trading securities | 106,837 | — | — | 106,837 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 1,178,406 | — | — | 1,178,406 | ||||||||||||||||||||||||||||||||
Derivative assets | 30,546 | 4,721 | 17,554 | 8,271 | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | — | — | 120,324 | ||||||||||||||||||||||||||||||||
Pledged collateral | 10,265 | 10,265 | — | — | ||||||||||||||||||||||||||||||||
FHLBC stock | 28,434 | 28,434 | — | — | ||||||||||||||||||||||||||||||||
Guarantee asset | 6,118 | — | — | 6,118 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Derivative liabilities | 68,064 | 9,173 | 58,045 | 846 | ||||||||||||||||||||||||||||||||
Commercial secured borrowings | 68,077 | — | — | 68,077 | ||||||||||||||||||||||||||||||||
ABS issued | 1,239,065 | — | — | 1,239,065 | ||||||||||||||||||||||||||||||||
The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2015. | ||||||||||||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Residential Loans | Commercial | Trading Securities | AFS | MSRs | Guarantee Asset | Derivatives(1) | Commercial Secured Borrowings | ABS | ||||||||||||||||||||||||||||
(In Thousands) | Loans | Securities | Issued | |||||||||||||||||||||||||||||||||
Beginning balance - | $ | 1,677,984 | $ | 237,496 | $ | 111,606 | $ | 1,267,624 | $ | 139,293 | $ | 7,201 | $ | 1,119 | $ | 66,707 | $ | — | ||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||||||||||||
Transfer to FVO (2) | 1,370,699 | — | — | — | — | — | — | — | 1,302,216 | |||||||||||||||||||||||||||
Principal paydowns | (111,716 | ) | (240 | ) | (203 | ) | (26,110 | ) | — | — | — | (152 | ) | (66,517 | ) | |||||||||||||||||||||
Amortization income | — | — | — | 9,838 | — | — | — | — | — | |||||||||||||||||||||||||||
Gains (losses) in net income, net | 7,570 | 7,366 | (14,114 | ) | 4,306 | (19,517 | ) | (1,083 | ) | 20,087 | 1,509 | 2,946 | ||||||||||||||||||||||||
Unrealized gains in OCI, net | — | — | — | 3,795 | — | — | — | — | — | |||||||||||||||||||||||||||
Acquisitions | 1,112,042 | 92,713 | 23,084 | 9,831 | 18,754 | — | — | — | — | |||||||||||||||||||||||||||
Sales | (857,249 | ) | (210,309 | ) | (13,536 | ) | (90,878 | ) | (18,206 | ) | — | — | — | — | ||||||||||||||||||||||
Other settlements, net | (1,916 | ) | — | — | — | — | — | (13,781 | ) | 13 | 421 | |||||||||||||||||||||||||
Ending balance - | $ | 3,197,414 | $ | 127,026 | $ | 106,837 | $ | 1,178,406 | $ | 120,324 | $ | 6,118 | $ | 7,425 | $ | 68,077 | $ | 1,239,066 | ||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||||||||||||||||||
(1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis. | ||||||||||||||||||||||||||||||||||||
(2) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See Note 3 for further discussion. | ||||||||||||||||||||||||||||||||||||
The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2015 and 2014. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2015 and 2014 are not included in this presentation. | ||||||||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2015 and 2014 Included in Net Income | ||||||||||||||||||||||||||||||||||||
Included in Net Income | ||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans at Redwood | $ | 5,464 | $ | 3,483 | ||||||||||||||||||||||||||||||||
Residential loans at consolidated Sequoia entities | 1,179 | — | ||||||||||||||||||||||||||||||||||
Commercial loans | 2,959 | 2,530 | ||||||||||||||||||||||||||||||||||
Trading securities | (13,790 | ) | (4,431 | ) | ||||||||||||||||||||||||||||||||
Available-for-sale securities | — | (113 | ) | |||||||||||||||||||||||||||||||||
MSRs | (11,769 | ) | (2,291 | ) | ||||||||||||||||||||||||||||||||
Loan purchase commitments | 7,422 | — | ||||||||||||||||||||||||||||||||||
Other assets - Guarantee asset | (1,083 | ) | — | |||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Loan purchase commitments | — | (235 | ) | |||||||||||||||||||||||||||||||||
Commercial secured borrowing | (1,509 | ) | — | |||||||||||||||||||||||||||||||||
ABS issued | (2,946 | ) | — | |||||||||||||||||||||||||||||||||
The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2015. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our balance sheet at March 31, 2015. | ||||||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2015 | ||||||||||||||||||||||||||||||||||||
Gain (Loss) for | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Carrying | Fair Value Measurements Using | Three Months Ended | |||||||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | March 31, 2015 | |||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 1,103 | $ | — | $ | — | $ | 1,103 | $ | — | ||||||||||||||||||||||||||
REO | 3,410 | — | — | 3,410 | (74 | ) | ||||||||||||||||||||||||||||||
The following table presents the components of market valuation adjustments, net, recorded in our consolidated statements of income for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||||||||||||
Market Valuation Adjustments, Net | ||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Mortgage banking activities | ||||||||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 2,056 | $ | 7,128 | ||||||||||||||||||||||||||||||||
Commercial loans, at fair value | 5,857 | 3,626 | ||||||||||||||||||||||||||||||||||
Sequoia IO securities | (14,359 | ) | (4,277 | ) | ||||||||||||||||||||||||||||||||
Risk management derivatives, net | (10,583 | ) | (7,082 | ) | ||||||||||||||||||||||||||||||||
Loan purchase and forward sale commitments | 18,256 | 8 | ||||||||||||||||||||||||||||||||||
Total mortgage banking activities(1) | 1,227 | (597 | ) | |||||||||||||||||||||||||||||||||
MSRs | (19,517 | ) | (2,711 | ) | ||||||||||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 2 | $ | (2 | ) | |||||||||||||||||||||||||||||||
Consolidated Sequoia entities (2) | (1,093 | ) | — | |||||||||||||||||||||||||||||||||
Residential loans held-for-investment, at Redwood | 1,978 | — | ||||||||||||||||||||||||||||||||||
Trading securities | 270 | (154 | ) | |||||||||||||||||||||||||||||||||
Impairments on AFS securities | — | (113 | ) | |||||||||||||||||||||||||||||||||
Other risk management derivative instruments, net | (1,374 | ) | (5,727 | ) | ||||||||||||||||||||||||||||||||
Guarantee asset | (1,083 | ) | — | |||||||||||||||||||||||||||||||||
Other | 155 | (142 | ) | |||||||||||||||||||||||||||||||||
Total other | (1,145 | ) | (6,138 | ) | ||||||||||||||||||||||||||||||||
Total Market Valuation Adjustments, Net | $ | (19,435 | ) | $ | (9,446 | ) | ||||||||||||||||||||||||||||||
-1 | Income from mortgage banking activities presented above does not include fee income or provisions for repurchases that is a component of mortgage banking income presented on our consolidated statements of income as these amounts do not represent a market valuation adjustment. | |||||||||||||||||||||||||||||||||||
-2 | On January 1, 2015, we adopted ASU 2014-13 and began to record the assets and liabilities of consolidated Sequoia entities at fair value. This amount represents the net change in fair value of the consolidated assets and liabilities of these entities, which include residential loans held-for-investment, REO, and ABS issued. This amount also represents the estimated change in value of our retained interests in these entities. See Note 3 for further discussion. | |||||||||||||||||||||||||||||||||||
At March 31, 2015, our valuation policy and process had not changed from those described in our Annual Report on Form 10-K. The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. | ||||||||||||||||||||||||||||||||||||
Fair Value Methodology for Level 3 Financial Instruments | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Fair | Weighted | ||||||||||||||||||||||||||||||||||
(Dollars in Thousands, except input values) | Value | Unobservable Input | Range | Average | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, at fair value: | ||||||||||||||||||||||||||||||||||||
Jumbo fixed rate loans priced to securitization | $ | 1,334,594 | IO Multiple | 4.0 - 4.6 | x | 4.2 | x | |||||||||||||||||||||||||||||
or to whole loan market and uncommitted to sell | ||||||||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 15-Dec | % | 14 | % | ||||||||||||||||||||||||||||||||
Senior spread to TBA price | $3.13 - 3.13 | $ | 3.13 | |||||||||||||||||||||||||||||||||
Subordinate spread to swap rate | 315 - 315 | bps | 315 | bps | ||||||||||||||||||||||||||||||||
Credit support | 8-Aug | % | 8 | % | ||||||||||||||||||||||||||||||||
Whole loan spread to TBA price | $3.10 - 4.50 | $ | 4.35 | |||||||||||||||||||||||||||||||||
Jumbo hybrid loans priced to whole loan market | 137,168 | Prepayment rate (Annual CPR) | 15 - 15 | % | 15 | % | ||||||||||||||||||||||||||||||
and uncommitted to sell | ||||||||||||||||||||||||||||||||||||
Spread to swap rate | 125 - 165 | bps | 134 | bps | ||||||||||||||||||||||||||||||||
Jumbo loans priced to whole loan market and | 421,226 | Committed Sales Price | $102 - 103 | $ | 103 | |||||||||||||||||||||||||||||||
committed to sell | ||||||||||||||||||||||||||||||||||||
Loans held by consolidated Sequoia entities (1) | 1,304,426 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 1,103 | Loss severity | 13 - 30 | % | 20 | % | ||||||||||||||||||||||||||||||
Commercial loans, at fair value | 127,026 | Spread to swap rate | 147 - 156 | bps | 154 | bps | ||||||||||||||||||||||||||||||
Credit support | 22 - 23 | % | 23 | % | ||||||||||||||||||||||||||||||||
Trading and AFS securities | 1,285,243 | Discount rate | 12-Apr | % | 6 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | Jan-35 | % | 12 | % | ||||||||||||||||||||||||||||||||
Default rate | 0 - 35 | % | 8 | % | ||||||||||||||||||||||||||||||||
Loss severity | 20 - 64 | % | 34 | % | ||||||||||||||||||||||||||||||||
Credit support | 0 - 48 | % | 10 | % | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | Discount rate | 11-Sep | % | 10 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | Apr-60 | % | 14 | % | ||||||||||||||||||||||||||||||||
Per loan annual cost to service | $ 72 - 82 | $ | 77 | |||||||||||||||||||||||||||||||||
Guarantee asset | 6,118 | Discount rate | 11-Nov | % | 11 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 27-May | % | 12 | % | ||||||||||||||||||||||||||||||||
REO | 3,410 | Loss severity | 31 - 66 | % | 46 | % | ||||||||||||||||||||||||||||||
Loan purchase commitments, net (2) | 7,425 | MSR Multiple | 0.0 - 5.7 | x | 3.5 | x | ||||||||||||||||||||||||||||||
Fallout rate | Feb-98 | % | 33 | % | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
ABS issued by consolidated Sequoia entities (1) | 1,239,065 | Discount rate | 8-Apr | % | 5 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 0 - 31 | % | 13 | % | ||||||||||||||||||||||||||||||||
Default rate | 0 - 12 | % | 6 | % | ||||||||||||||||||||||||||||||||
Loss severity | 20 - 32 | % | 26 | % | ||||||||||||||||||||||||||||||||
Credit support | 0 - 65 | % | 11 | % | ||||||||||||||||||||||||||||||||
Commercial secured financing | 68,077 | Spread to swap rate | 156 - 156 | bps | 156 | bps | ||||||||||||||||||||||||||||||
Credit support | 23 - 23 | % | 23 | % | ||||||||||||||||||||||||||||||||
(1) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated Sequoia entities began to be recorded at fair value. In accordance with this new guidance, the fair value of the loans in these entities were based on the fair value of the liabilities issued by these entities, which we determined were more readily observable. See Note 3 for further discussion. | ||||||||||||||||||||||||||||||||||||
(2) For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net. | ||||||||||||||||||||||||||||||||||||
Determination of Fair Value | ||||||||||||||||||||||||||||||||||||
A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed herein. We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs – such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions – in isolation would likely result in a significantly lower or higher fair value measurement. | ||||||||||||||||||||||||||||||||||||
Residential loans | ||||||||||||||||||||||||||||||||||||
Estimated fair values for residential loans are determined based on either an exit price to securitization or the whole loan market. For loans valued based on an exit to securitization, significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the limited availability of market quotes on newly issued RMBS and related inputs. Relevant market indicators that are factored into the analyses include third-party RMBS sales and pricing points for secondary sales of RMBS we have issued in past periods (which both provide indicative spreads to indexed TBA prices for senior securities and indexed swap rates for subordinate securities), as well as Agency RMBS, indexed swap yields, credit rating agency guidance on expected credit support levels for newly issued RMBS transactions, interest rates, and prepayment rates (Level 3). These assets would generally decrease in value based upon an increase in the credit spread, prepayment speed or credit support assumptions. | ||||||||||||||||||||||||||||||||||||
For loans valued based on an exit to the whole loan market, significant inputs in the valuation analysis are predominantly Level 3 in nature. Relevant market indicators that are factored into the analyses include prices on recent sales of our own whole loans and third-party whole loan sales (which provide indicative spreads to indexed swap rates), indexed swap yields, interest rates, and prepayment rates (Level 3). These assets would generally decrease in value based upon an increase in the credit spread assumption. | ||||||||||||||||||||||||||||||||||||
Estimated fair values for conforming loans are determined based upon quoted market prices (Level 2). Conforming loans are mortgage loans that conform to Agency guidelines. As necessary, these values are adjusted for servicing value, market conditions and liquidity. | ||||||||||||||||||||||||||||||||||||
Commercial loans | ||||||||||||||||||||||||||||||||||||
Estimated fair values for senior commercial loans held-for-sale are determined by an exit price to securitization. Certain significant inputs in the valuation analysis are Level 3 in nature. Relevant market indicators that are factored into the analyses include pricing points for current third-party Commercial Mortgage-Backed Securities (“CMBS”) sales, pricing points for secondary sales of CMBS, yields for synthetic instruments that use CMBS bonds as an underlying index, indexed swap yields, credit rating agency guidance on expected credit enhancement levels for newly issued CMBS transactions, and interest rates (Level 3). In certain cases, commercial senior mortgage loans are valued based on third-party offers for the securities for purchase into securitization (Level 2). The estimated fair value of our senior commercial loans would generally decrease based upon an increase in credit spreads or required credit support. | ||||||||||||||||||||||||||||||||||||
Estimated fair values for mezzanine commercial loans are determined by both market comparable pricing and discounted cash flow analysis valuation techniques (Level 3). Our discounted cash flow models utilize certain significant unobservable inputs including the underwritten net operating income and debt coverage ratio assumptions and actual performance relative to those underwritten metrics as well as estimated market discount rates. An increase in market discount rates would reduce the estimated fair value of the commercial loans. | ||||||||||||||||||||||||||||||||||||
Real estate securities | ||||||||||||||||||||||||||||||||||||
Real estate securities include residential, commercial, and other asset-backed securities that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analyses include bid/ask spreads, the amount and timing of credit losses, interest rates, and prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as a discount rate, prepayment rate, default rate, loss severity and credit support. The estimated fair value of our securities would generally decrease based upon an increase in serious delinquencies or loss severities, or a decrease in prepayment rates or credit support. | ||||||||||||||||||||||||||||||||||||
As part of our securities valuation process, we request and consider indications of value from third-party securities dealers. For purposes of pricing our securities at March 31, 2015, we received dealer price indications on 81% of our securities, representing 93% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were 2% lower than the aggregate average dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. In circumstances where relevant market inputs cannot be obtained, increased reliance on discounted cash flow analysis and management judgment are required to estimate fair value. | ||||||||||||||||||||||||||||||||||||
Derivative assets and liabilities | ||||||||||||||||||||||||||||||||||||
Our derivative instruments include swaps, swaptions, TBAs, financial futures, CMBX credit default index swaps, LPCs, and FSCs. Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. TBA and financial futures fair values are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC fair values are estimated based on quoted Agency MBS prices, estimates of the fair value of the MSRs we expect to retain in the sale of the loans, and the probability that the mortgage loan will be purchased (Level 3). FSC fair values are obtained using quoted Agency prices. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). | ||||||||||||||||||||||||||||||||||||
For other derivatives, valuations are based on various factors such as liquidity, bid/ask spreads, and credit considerations for which we rely on available market inputs. In the absence of such inputs, management’s best estimate is used (Level 3). | ||||||||||||||||||||||||||||||||||||
MSRs | ||||||||||||||||||||||||||||||||||||
MSRs include the rights to service jumbo and conforming residential mortgage loans. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. These inputs include market discount rates, prepayment rates of serviced loans, and the market cost of servicing. Changes in the fair value of MSRs occur primarily due to the collection/realization of expected cash flows, as well as changes in valuation inputs and assumptions. Estimated fair values are based on applying the inputs to generate the net present value of estimated future MSR income, which is what we believe market participants would use to estimate fair value (Level 3). These discounted cash flow models utilize certain significant unobservable inputs including prepayment rate and discount rate assumptions. An increase in these unobservable inputs will reduce the estimated fair value of the MSRs. | ||||||||||||||||||||||||||||||||||||
As part of our MSR valuation process, we received a valuation estimate from a third-party valuations firm. In the aggregate, our internal valuation of the MSRs was less than 2% lower than the third-party valuation. | ||||||||||||||||||||||||||||||||||||
FHLBC Stock | ||||||||||||||||||||||||||||||||||||
Our Federal Home Loan Bank (FHLB) member subsidiary is required to purchase Federal Home Loan Bank of Chicago (FHLBC) stock under a borrowing agreement between our FHLBC member subsidiary and the FHLBC. Under this agreement, the stock is redeemable at face value, which represents the carrying value and fair value of the stock (Level 1). | ||||||||||||||||||||||||||||||||||||
Guarantee Asset | ||||||||||||||||||||||||||||||||||||
The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to our risk sharing arrangement with Fannie Mae. Significant inputs in the valuation analysis are Level 3, due to the nature of this instrument and the lack of market quotes. The fair value of the guarantee asset is determined using a discounted cash flow model, for which significant inputs include prepayment rates and market discount rate (Level 3). An increase in prepayment speed or market discount rate will reduce the estimated fair value of the guarantee asset. | ||||||||||||||||||||||||||||||||||||
Pledged Collateral | ||||||||||||||||||||||||||||||||||||
Pledged collateral consists of cash and U.S. Treasury securities held by a custodian in association with certain agreements we have entered into. Treasury securities are carried at their fair value, which is determined using quoted process in active markets | ||||||||||||||||||||||||||||||||||||
(Level 1). | ||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | ||||||||||||||||||||||||||||||||||||
Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values (Level 1). | ||||||||||||||||||||||||||||||||||||
Restricted cash | ||||||||||||||||||||||||||||||||||||
Restricted cash primarily includes interest-earning cash balances at consolidated Sequoia entities and at the Residential Resecuritization and Commercial Securitization entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). | ||||||||||||||||||||||||||||||||||||
Accrued interest receivable and payable | ||||||||||||||||||||||||||||||||||||
Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). | ||||||||||||||||||||||||||||||||||||
REO | ||||||||||||||||||||||||||||||||||||
REO includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). | ||||||||||||||||||||||||||||||||||||
Margin receivable | ||||||||||||||||||||||||||||||||||||
Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 1). | ||||||||||||||||||||||||||||||||||||
Short-term debt | ||||||||||||||||||||||||||||||||||||
Short-term debt includes our credit facilities that mature within one year. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 1). | ||||||||||||||||||||||||||||||||||||
ABS issued | ||||||||||||||||||||||||||||||||||||
ABS issued includes asset-backed securities issued through the Sequoia, Residential Resecuritization, and Commercial Securitization entities. These instruments are generally illiquid in nature and trade infrequently. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Relevant market indicators factored into the analyses include bid/ask spreads, the amount and timing of collateral credit losses, interest rates, and collateral prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These liabilities would generally decrease in value (become a larger liability) if credit losses decreased or if the prepayment rate or discount rate were to increase. | ||||||||||||||||||||||||||||||||||||
As part of our ABS issued valuation process, we also request and consider indications of value from third-party securities dealers. For purposes of pricing our ABS issued at March 31, 2015, we received dealer price indications on 36% of our ABS issued. In the aggregate, our internal valuations of the ABS issued for which we received dealer price indications were 1% higher than the aggregate dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. | ||||||||||||||||||||||||||||||||||||
FHLBC Borrowings | ||||||||||||||||||||||||||||||||||||
FHLBC borrowings include amounts borrowed from the FHLBC that are secured by residential mortgage loans. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 1). | ||||||||||||||||||||||||||||||||||||
Commercial secured borrowings | ||||||||||||||||||||||||||||||||||||
Commercial secured borrowings represent liabilities recognized as a result of transfers of portions of senior commercial mortgage loans to third parties that do not meet the criteria for sale treatment under GAAP and are accounted for as secured borrowings. Fair values for commercial secured borrowings are based on the fair values of the senior commercial loans associated with the borrowings (Level 3). | ||||||||||||||||||||||||||||||||||||
Convertible notes | ||||||||||||||||||||||||||||||||||||
Convertible notes include unsecured convertible and exchangeable senior notes. Fair values are determined using quoted prices in active markets (Level 2). | ||||||||||||||||||||||||||||||||||||
Trust preferred securities and subordinated notes | ||||||||||||||||||||||||||||||||||||
Estimated fair values of trust preferred securities and subordinated notes are determined using discounted cash flow analysis valuation techniques. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). |
Residential_Loans
Residential Loans (Residential Loans) | 3 Months Ended | ||||||||||||
Mar. 31, 2015 | |||||||||||||
Residential Loans | |||||||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||||||
Loans | Residential Loans | ||||||||||||
We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at March 31, 2015 and December 31, 2014. | |||||||||||||
31-Mar-15 | |||||||||||||
(In Thousands) | Redwood | Sequoia (1) | Total | ||||||||||
Held-for-sale | |||||||||||||
Fair value - conforming | $ | 200,869 | $ | — | $ | 200,869 | |||||||
Fair value - jumbo | 892,544 | — | 892,544 | ||||||||||
Lower of cost or fair value | 1,472 | — | 1,472 | ||||||||||
Held-for-investment | |||||||||||||
Fair value - Jumbo | 1,000,444 | 1,304,426 | 2,304,870 | ||||||||||
Total Residential Loans | $ | 2,095,329 | $ | 1,304,426 | $ | 3,399,755 | |||||||
31-Dec-14 | |||||||||||||
(In Thousands) | Redwood | Sequoia (1) | Total | ||||||||||
Held-for-sale | |||||||||||||
Fair value - conforming | $ | 244,714 | $ | — | $ | 244,714 | |||||||
Fair value - jumbo | 1,096,317 | — | 1,096,317 | ||||||||||
Lower of cost or fair value | 1,488 | — | 1,488 | ||||||||||
Held-for-investment | |||||||||||||
Fair value - jumbo | 581,668 | — | 581,668 | ||||||||||
At amortized cost | — | 1,474,386 | 1,474,386 | ||||||||||
Total Residential Loans | $ | 1,924,187 | $ | 1,474,386 | $ | 3,398,573 | |||||||
-1 | Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment at consolidated Sequoia entities began to be recorded at fair value. See Note 3 for further discussion. | ||||||||||||
At March 31, 2015, we owned mortgage servicing rights associated with $1.91 billion of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our balance sheet. We contract with a licensed sub-servicer that performs servicing functions for these loans. | |||||||||||||
Residential Loans Held-for-Sale | |||||||||||||
Residential Loans at Fair Value | |||||||||||||
At March 31, 2015, we owned 1,903 held-for-sale loans with an unpaid principal balance of $1.07 billion, compared to 2,273 loans with an unpaid principal balance of $1.30 billion at December 31, 2014. At March 31, 2015 and December 31, 2014, none of these loans were greater than 90 days delinquent and none of the loans were in foreclosure. | |||||||||||||
During the three months ended March 31, 2015 and 2014, we purchased $2.40 billion and 1.07 billion (principal balance) of loans, respectively, for which we elected the fair value option and recorded $2 million and $7 million of positive valuation adjustments, respectively, on residential loans held-for-sale at fair value through mortgage banking activities, a component of our consolidated income statement. During the three months ended March 31, 2015 and 2014, we sold $2.20 billion and $707 million (principal balance) of loans held-for-sale, respectively. | |||||||||||||
Residential Loans at Lower of Cost or Fair Value | |||||||||||||
At March 31, 2015 and December 31, 2014, we held nine residential loans at the lower of cost or fair value with $2 million in outstanding principal balance and a carrying value of $1 million. | |||||||||||||
Residential Loans Held-for-Investment at Fair Value | |||||||||||||
Residential Loans at Redwood | |||||||||||||
During the three months ended March 31, 2015, we transferred loans with a principal balance of $436 million and a fair value of $448 million from held-for-sale to held-for-investment bringing the total amount of loans held-for-investment at fair value to $1.00 billion at March 31, 2015. At March 31, 2015, $994 million of these loans were pledged as collateral under a borrowing agreement with the FHLBC. | |||||||||||||
At March 31, 2015, we owned 1,314 held-for-investment loans at Redwood with an unpaid principal balance of $972 million, compared to 803 loans with an unpaid principal balance of $566 million at December 31, 2014. At March 31, 2015 and December 31, 2014, none of these loans were greater than 90 days delinquent and none of the loans were in foreclosure. | |||||||||||||
The outstanding loans held-for-investment at Redwood at March 31, 2015 were originated in 2014 and 2015 and the weighted average FICO score of borrowers backing these loans was 773 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 68% (at origination). At March 31, 2015, these loans were comprised of fixed-rate loans with a weighted average coupon of 3.92%, and hybrid loans with a weighted average coupon of 3.06%. | |||||||||||||
Residential Loans at Consolidated Sequoia Entities | |||||||||||||
On January 1, 2015, we eliminated $13 million of unamortized premium, net and $21 million of allowance for loan losses, related to loans at our consolidated Sequoia entities as part of our initial adoption of ASU 2014-13 and recorded a valuation adjustment on these loans to reduce the loan carrying values to their estimated fair values. See Note 3 for further discussion. | |||||||||||||
The following table details the carrying value for residential loans held-for-investment at consolidated Sequoia entities at March 31, 2015 and December 31, 2014. | |||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||
Principal balance | $ | 1,415,017 | $ | 1,483,213 | |||||||||
Unamortized premium, net | — | 12,511 | |||||||||||
Allowance for loan losses | — | (21,338 | ) | ||||||||||
Valuation adjustment | (110,591 | ) | — | ||||||||||
Carrying value | $ | 1,304,426 | $ | 1,474,386 | |||||||||
At March 31, 2015, we owned 5,177 held-for-investment loans at consolidated Sequoia entities, as compared to 5,315 loans at December 31, 2014. The weighted average FICO score of borrowers backing these loans was 733 (at origination) and the weighted average LTV ratio of these loans was 66% (at origination). At March 31, 2015 and December 31, 2014, the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $68 million and $73 million, respectively, and the unpaid principal balance of loans in foreclosure was $34 million and $39 million, respectively. During the three months ended March 31, 2015, we recorded positive $3 million of valuation adjustments on these loans through other market valuation adjustments on our consolidated statements of income. |
Commercial_Loans
Commercial Loans (Commercial Loans) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Commercial Loans | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Loans | Commercial Loans | ||||||||
We invest in commercial loans that we originate as well as loans that we acquire from third-party originators. The following table summarizes the classifications and carrying value of commercial loans at March 31, 2015 and December 31, 2014. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Held-for-sale, at fair value | $ | 54,407 | $ | 166,234 | |||||
Held-for-investment | |||||||||
At fair value | 72,619 | 71,262 | |||||||
At amortized cost | 333,316 | 329,431 | |||||||
Total Commercial Loans | $ | 460,342 | $ | 566,927 | |||||
Of the held-for-investment commercial loans at amortized cost shown above at March 31, 2015 and December 31, 2014, $192 million and $195 million, respectively, were financed through the Commercial Securitization entity. | |||||||||
Commercial Loans Held-for-Sale | |||||||||
Commercial loans held-for-sale include loans we originate and intend to sell to third parties. At March 31, 2015, we held five senior commercial mortgage loans at fair value, with an aggregate outstanding principal balance of $53 million and an aggregate fair value of $54 million. As of December 31, 2014, there were 13 senior commercial mortgage loans at fair value, with an aggregate outstanding principal balance of $163 million and an aggregate fair value of $166 million. During the three months ended March 31, 2015, we acquired $93 million (principal balance) of senior commercial loans for which we elected the fair value option and sold $203 million (principal balance) of loans to third parties. During the three months ended March 31, 2015 and 2014, we recorded positive $6 million and positive $2 million, respectively, of valuation adjustments on senior commercial mortgage loans for which we elected the fair value option through mortgage banking activities on our consolidated statements of income. | |||||||||
Commercial Loans Held-for-Investment | |||||||||
Commercial Loans Held-for-Investment, at Fair Value | |||||||||
Commercial loans held-for-investment at fair value include senior mortgage loans for which we have elected the fair value option and have been split into senior A-notes and junior B-notes. Although the A-notes for each of the loans were sold, the transfers did not qualify for sale accounting treatment and we treated the sales as secured borrowings. At March 31, 2015, we held three of these A/B notes with an aggregate outstanding principal balance of $67 million and an aggregate fair value of $73 million. At December 31, 2014, we held three A/B notes, with an aggregate outstanding principal balance of $68 million and an aggregate fair value of $71 million. During the three months ended March 31, 2015 and 2014, we recorded positive $2 million and positive $1 million, respectively, of valuation adjustments on commercial loans held-for-investment at fair value through mortgage banking activities, a component of our consolidated income statement. | |||||||||
Commercial Loans Held-for-Investment, at Amortized Cost | |||||||||
Commercial loans held-for-investment at amortized cost include loans we originate and preferred equity investments we make or, in either case, acquire from third parties. As of March 31, 2015, these loans primarily include mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property, rather than a lien on the commercial property. The preferred equity investments are typically preferred equity interests in a single purpose entity that owns commercial property and are included within, and referred to herein, as commercial loans held-for-investment due to the fact that their risks and payment characteristics are nearly equivalent to commercial mezzanine loans. | |||||||||
The following table provides additional information for our commercial loans held-for-investment at amortized cost at March 31, 2015 and December 31, 2014. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Principal balance | $ | 345,646 | $ | 341,750 | |||||
Unamortized discount, net | (4,668 | ) | (4,862 | ) | |||||
Recorded investment | 340,978 | 336,888 | |||||||
Allowance for loan losses | (7,662 | ) | (7,457 | ) | |||||
Carrying Value | $ | 333,316 | $ | 329,431 | |||||
At March 31, 2015 and December 31, 2014 ,we held 62 and 60 commercial loans held-for-investment at amortized cost, respectively. During the three months ended March 31, 2015, we originated or acquired $8 million of commercial loans held-for-investment at amortized cost. Of the $341 million of recorded investment in commercial loans held-for-investment at March 31, 2015, 2% was originated in 2015, 17% was originated in 2014, 17% was originated in 2013, 36% was originated in 2012, 24% was originated in 2011 and 4% was originated in 2010. | |||||||||
Allowance for Loan Losses on Commercial Loans | |||||||||
For commercial loans classified as held-for-investment, we establish and maintain an allowance for loan losses. The allowance includes a component for loans collectively evaluated for impairment and a component for loans individually evaluated for impairment. | |||||||||
Our methodology for assessing the adequacy of the allowance for loan losses includes a formal review of each commercial loan in the portfolio and the assignment of an internal impairment status. Based on the assigned impairment status, a loan is categorized as “Pass,” “Watch List,” or “Workout.” The following table presents the principal balance of commercial loans held-for-investment by risk category. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Pass | $ | 320,075 | $ | 316,122 | |||||
Watch list | 25,571 | 25,628 | |||||||
Total Commercial Loans Held-for-Investment | $ | 345,646 | $ | 341,750 | |||||
Activity in the Allowance for Loan Losses on Commercial Loans | |||||||||
The following table summarizes the activity in the allowance for commercial loan losses for the three months ended March 31, 2015 and 2014. | |||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Balance at beginning of period | $ | 7,456 | $ | 7,373 | |||||
Charge-offs, net | — | — | |||||||
Provision for loan losses | 206 | 655 | |||||||
Balance at End of Period | $ | 7,662 | $ | 8,028 | |||||
Commercial Loans Collectively Evaluated for Impairment | |||||||||
At March 31, 2015 and December 31, 2014, all of our commercial loans collectively evaluated for impairment were current. The following table summarizes the balances for loans collectively evaluated for impairment at March 31, 2015 and December 31, 2014. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Principal balance | $ | 345,646 | $ | 341,750 | |||||
Recorded investment | 340,978 | 336,888 | |||||||
Related allowance | 7,662 | 7,457 | |||||||
Commercial Loans Individually Evaluated for Impairment | |||||||||
We did not have any commercial loans individually evaluated for impairment at either March 31, 2015 or December 31, 2014. |
Real_Estate_Securities
Real Estate Securities | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Real Estate Securities | Real Estate Securities | ||||||||||||||||||||||||
We invest in residential mortgage-backed securities. The following table presents the fair values of our real estate securities by type at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Trading | $ | 106,837 | $ | 111,606 | |||||||||||||||||||||
Available-for-sale | 1,178,406 | 1,267,624 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,285,243 | $ | 1,379,230 | |||||||||||||||||||||
Our real estate securities herein are presented in accordance with their general position within a securitization structure based on their rights to cash flows. Senior securities are those interests in a securitization that generally have the first right to cash flows and are last in line to absorb losses. Re-REMIC securities, as presented herein, were created through the resecuritization of certain senior security interests to provide additional credit support to those interests. These re-REMIC securities are therefore subordinate to the remaining senior security interests, but senior to any subordinate tranches of the securitization from which they were created. Subordinate securities are all interests below senior and re-REMIC interests. | |||||||||||||||||||||||||
Trading Securities | |||||||||||||||||||||||||
We elected the fair value option for certain securities and classify them as trading securities. At March 31, 2015, our trading securities included $70 million of interest-only securities, for which there is no principal balance, $4 million of senior securities and $33 million of subordinate securities. The unpaid principal balance of senior and subordinate securities classified as trading securities was $4 million and $45 million, respectively, at March 31, 2015. During the three months ended March 31, 2015, we acquired $23 million (principal balance) of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $3 million of securities. During the three months ended March 31, 2015 and 2014, we recorded negative $14 million and negative $4 million, respectively, of valuation adjustments on trading securities, with portions of these adjustments included in mortgage banking activities and other market valuation adjustments on our consolidated income statements. | |||||||||||||||||||||||||
The following table presents trading securities by collateral type at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 65,809 | $ | 93,802 | |||||||||||||||||||||
Non-prime | 7,454 | 7,951 | |||||||||||||||||||||||
Total Senior Securities | 73,263 | 101,753 | |||||||||||||||||||||||
Prime Subordinate Securities | 33,574 | 9,853 | |||||||||||||||||||||||
Total Trading Securities | $ | 106,837 | $ | 111,606 | |||||||||||||||||||||
AFS Securities | |||||||||||||||||||||||||
The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 297,872 | $ | 307,813 | |||||||||||||||||||||
Non-prime | 174,874 | 179,744 | |||||||||||||||||||||||
Total Senior Securities | 472,746 | 487,557 | |||||||||||||||||||||||
Re-REMIC Securities | 169,239 | 168,347 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime Mezzanine (1) | 370,391 | 448,838 | |||||||||||||||||||||||
Subordinate (2) | 166,030 | 162,882 | |||||||||||||||||||||||
Total Subordinate Securities | 536,421 | 611,720 | |||||||||||||||||||||||
Total AFS Securities | $ | 1,178,406 | $ | 1,267,624 | |||||||||||||||||||||
(1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later. | |||||||||||||||||||||||||
(2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2015, and December 31, 2014. | |||||||||||||||||||||||||
The senior securities shown above at March 31, 2015 and December 31, 2014, included $98 million and $105 million, respectively, of prime securities, and $113 million and $117 million, respectively, of non-prime securities that were financed through the Residential Resecuritization entity, as discussed in Note 4. | |||||||||||||||||||||||||
During the three months ended March 31, 2015, we purchased $10 million of AFS securities and sold $91 million of AFS securities, which resulted in realized gains of $4 million. During the three months ended March 31, 2014, we purchased $74 million of AFS securities and sold none. | |||||||||||||||||||||||||
We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. | |||||||||||||||||||||||||
At March 31, 2015, there were $7 million of AFS securities with contractual maturities less than five years, $2 million of AFS securities with contractual maturities greater than five years but less than 10 years, and the remainder of our AFS securities had contractual maturities greater than 10 years. | |||||||||||||||||||||||||
The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
Carrying Value of AFS Securities | |||||||||||||||||||||||||
March 31, 2015 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 302,046 | $ | 190,790 | $ | 194,296 | $ | 648,490 | $ | 1,335,622 | |||||||||||||||
Credit reserve | (2,830 | ) | (9,027 | ) | (12,667 | ) | (39,060 | ) | (63,584 | ) | |||||||||||||||
Unamortized discount, net | (32,645 | ) | (29,791 | ) | (79,401 | ) | (144,545 | ) | (286,382 | ) | |||||||||||||||
Amortized cost | 266,571 | 151,972 | 102,228 | 464,885 | 985,656 | ||||||||||||||||||||
Gross unrealized gains | 33,313 | 22,984 | 67,011 | 72,328 | 195,636 | ||||||||||||||||||||
Gross unrealized losses | (2,012 | ) | (82 | ) | — | (792 | ) | (2,886 | ) | ||||||||||||||||
Carrying Value | $ | 297,872 | $ | 174,874 | $ | 169,239 | $ | 536,421 | $ | 1,178,406 | |||||||||||||||
December 31, 2014 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 311,573 | $ | 196,258 | $ | 195,098 | $ | 742,150 | $ | 1,445,079 | |||||||||||||||
Credit reserve | (3,660 | ) | (9,644 | ) | (15,202 | ) | (41,561 | ) | (70,067 | ) | |||||||||||||||
Unamortized discount, net | (34,782 | ) | (31,491 | ) | (79,611 | ) | (150,458 | ) | (296,342 | ) | |||||||||||||||
Amortized cost | 273,131 | 155,123 | 100,285 | 550,131 | 1,078,670 | ||||||||||||||||||||
Gross unrealized gains | 35,980 | 24,682 | 68,062 | 63,026 | 191,750 | ||||||||||||||||||||
Gross unrealized losses | (1,298 | ) | (61 | ) | — | (1,437 | ) | (2,796 | ) | ||||||||||||||||
Carrying Value | $ | 307,813 | $ | 179,744 | $ | 168,347 | $ | 611,720 | $ | 1,267,624 | |||||||||||||||
The following table presents the changes for the three ended March 31, 2015, in unamortized discount and designated credit reserves on residential AFS securities. | |||||||||||||||||||||||||
Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||||||
Credit | Unamortized | ||||||||||||||||||||||||
(In Thousands) | Reserve | Discount, Net | |||||||||||||||||||||||
Beginning balance | $ | 70,067 | $ | 296,342 | |||||||||||||||||||||
Amortization of net discount | — | (9,838 | ) | ||||||||||||||||||||||
Realized credit losses | (2,945 | ) | — | ||||||||||||||||||||||
Acquisitions | — | 2,672 | |||||||||||||||||||||||
Sales, calls, other | — | (6,332 | ) | ||||||||||||||||||||||
Impairments | — | — | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | (3,538 | ) | 3,538 | ||||||||||||||||||||||
Ending Balance | $ | 63,584 | $ | 286,382 | |||||||||||||||||||||
AFS Securities with Unrealized Losses | |||||||||||||||||||||||||
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | ||||||||||||||||||||||||
Amortized | Unrealized | Fair | Amortized | Unrealized | Fair | ||||||||||||||||||||
(In Thousands) | Cost | Losses | Value | Cost | Losses | ||||||||||||||||||||
March 31, 2015 | $ | 143,665 | $ | (1,798 | ) | $ | 141,867 | $ | 36,468 | $ | (1,088 | ) | $ | 35,380 | |||||||||||
December 31, 2014 | 126,681 | (1,374 | ) | 125,307 | 70,676 | (1,422 | ) | 69,254 | |||||||||||||||||
At March 31, 2015, after giving effect to purchases, sales, and extinguishments due to credit losses, our consolidated balance sheet included 274 AFS securities, of which 29 were in an unrealized loss position and eight were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2014, our consolidated balance sheet included 290 AFS securities, of which 31 were in an unrealized loss position and 10 were in a continuous unrealized loss position for 12 consecutive months or longer. | |||||||||||||||||||||||||
Evaluating AFS Securities for Other-than-Temporary Impairments | |||||||||||||||||||||||||
Gross unrealized losses on our AFS securities were $3 million at March 31, 2015. We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At March 31, 2015, we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. | |||||||||||||||||||||||||
During the three months ended March 31, 2015, we recognized no OTTI losses related to our AFS securities. AFS securities for which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the OTTI assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of the credit loss component of OTTI. | |||||||||||||||||||||||||
The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at March 31, 2015. | |||||||||||||||||||||||||
Significant Valuation Assumptions | |||||||||||||||||||||||||
Range for Securities | |||||||||||||||||||||||||
March 31, 2015 | Prime | Non-prime | |||||||||||||||||||||||
Prepayment rates | 8 - 16% | 10 - 10% | |||||||||||||||||||||||
Projected losses | 1 - 18% | 14 - 18% | |||||||||||||||||||||||
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at March 31, 2015 and 2014, for which a portion of an OTTI was recognized in other comprehensive income. | |||||||||||||||||||||||||
Activity of the Credit Component of Other-than-Temporary Impairments | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||||||||||
Balance at beginning of period | $ | 33,849 | $ | 37,149 | |||||||||||||||||||||
Additions | |||||||||||||||||||||||||
Initial credit impairments | — | 71 | |||||||||||||||||||||||
Subsequent credit impairments | — | 42 | |||||||||||||||||||||||
Reductions | |||||||||||||||||||||||||
Securities sold, or expected to sell | (95 | ) | — | ||||||||||||||||||||||
Securities with no outstanding principal at period end | (805 | ) | (1,476 | ) | |||||||||||||||||||||
Balance at End of Period | $ | 32,949 | $ | 35,786 | |||||||||||||||||||||
Gross Realized Gains and Losses on AFS Securities | |||||||||||||||||||||||||
Gains and losses from the sale of AFS securities are recorded as realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||||||||||
Gross realized gains - sales | $ | 4,306 | $ | — | |||||||||||||||||||||
Gross realized gains - calls | — | 987 | |||||||||||||||||||||||
Gross realized losses - sales | — | — | |||||||||||||||||||||||
Gross realized losses - calls | — | — | |||||||||||||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 4,306 | $ | 987 | |||||||||||||||||||||
Mortgage_Servicing_Rights
Mortgage Servicing Rights | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Transfers and Servicing [Abstract] | |||||||||||||||||
Mortgage Servicing Rights | Mortgage Servicing Rights | ||||||||||||||||
We invest in mortgage servicing rights associated with residential mortgage loans and contract with a licensed sub-servicer to perform all servicing functions for these loans. The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of March 31, 2015 and December 31, 2014. | |||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
(In Thousands) | MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | |||||||||||||
Mortgage Servicing Rights | |||||||||||||||||
Conforming Loans | $ | 69,203 | $ | 6,800,645 | $ | 81,301 | $ | 7,705,146 | |||||||||
Jumbo Loans | 51,121 | 5,851,993 | 57,992 | 5,962,784 | |||||||||||||
Total Mortgage Servicing Rights | $ | 120,324 | $ | 12,652,638 | $ | 139,293 | $ | 13,667,930 | |||||||||
The following table presents activity for MSRs for the three months ended March 31, 2015 and 2014. | |||||||||||||||||
MSR Activity | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Balance at beginning of period | $ | 139,293 | $ | 64,824 | |||||||||||||
Additions | 18,754 | 2,858 | |||||||||||||||
Sales | (18,206 | ) | — | ||||||||||||||
Changes in fair value due to: | |||||||||||||||||
Changes in assumptions (1) | (14,036 | ) | (1,125 | ) | |||||||||||||
Other changes (2) | (5,481 | ) | (1,586 | ) | |||||||||||||
Balance at End of Period | $ | 120,324 | $ | 64,971 | |||||||||||||
-1 | Primarily reflects changes in prepayment assumptions due to changes in market interest rates. | ||||||||||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||||||||||
We make investments in MSRs through the retention of servicing rights associated with the residential mortgage loans that we acquire and subsequently transfer to third parties or through the direct acquisition of MSRs sold by third parties. We hold our MSR investments at a taxable REIT subsidiary of ours. The following table details the retention and purchase of MSRs during the three months ended March 31, 2015. | |||||||||||||||||
MSR Additions | |||||||||||||||||
(In Thousands) | Three Months Ended March 31, 2015 | ||||||||||||||||
MSR Fair Value | Associated Principal | ||||||||||||||||
Jumbo MSR additions: | |||||||||||||||||
From securitization | $ | 1,872 | $ | 227,852 | |||||||||||||
From loan sales | 92 | 10,145 | |||||||||||||||
Total jumbo MSR additions | 1,964 | 237,997 | |||||||||||||||
Conforming MSR additions: | |||||||||||||||||
From loan sales | $ | 13,711 | $ | 1,352,658 | |||||||||||||
From purchases | 3,079 | 318,338 | |||||||||||||||
Total conforming MSR additions | 16,790 | 1,670,996 | |||||||||||||||
Total MSR additions | $ | 18,754 | $ | 1,908,993 | |||||||||||||
MSR Income | |||||||||||||||||
The following table presents the components of our MSR income. | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Servicing income | |||||||||||||||||
Income | $ | 9,716 | $ | 3,633 | |||||||||||||
Cost of sub-servicer | (1,229 | ) | (316 | ) | |||||||||||||
Net servicing income | 8,487 | 3,317 | |||||||||||||||
Market valuation adjustments | (19,517 | ) | (2,711 | ) | |||||||||||||
MSR provision for repurchases | 106 | — | |||||||||||||||
MSR income (loss) | $ | (10,924 | ) | $ | 606 | ||||||||||||
Derivative_Financial_Instrumen
Derivative Financial Instruments | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments | ||||||||||||||||
The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2015 and December 31, 2014. | |||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
Fair | Notional | Fair | Notional | ||||||||||||||
(In Thousands) | Value | Amount | Value | Amount | |||||||||||||
Assets - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | $ | 1,768 | $ | 158,000 | $ | — | $ | — | |||||||||
TBAs | 4,721 | 691,000 | 6,654 | 1,074,000 | |||||||||||||
Futures | — | — | — | — | |||||||||||||
Swaptions | 15,786 | 825,000 | 7,006 | 575,000 | |||||||||||||
Credit default index swaps | — | — | 1,597 | 50,000 | |||||||||||||
Assets - Other Derivatives | |||||||||||||||||
Loan purchase commitments | 8,271 | 1,405,347 | 1,160 | 288,467 | |||||||||||||
Loan forward sale commitments | — | — | — | — | |||||||||||||
Total Assets | $ | 30,546 | $ | 3,079,347 | $ | 16,417 | $ | 1,987,467 | |||||||||
Liabilities - Cash Flow Hedges | |||||||||||||||||
Interest rate swaps | $ | (55,284 | ) | $ | 139,500 | $ | (46,845 | ) | $ | 139,500 | |||||||
Liabilities - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | (2,297 | ) | 190,500 | (1,328 | ) | 206,000 | |||||||||||
TBAs | (8,842 | ) | 1,230,000 | (9,506 | ) | 1,110,000 | |||||||||||
Futures | (332 | ) | 72,000 | (372 | ) | 90,000 | |||||||||||
Liabilities - Other Derivatives | |||||||||||||||||
Loan purchase commitments | (846 | ) | 387,051 | (41 | ) | 27,324 | |||||||||||
Loan forward sale commitments | (463 | ) | 99,475 | (239 | ) | 102,793 | |||||||||||
Total Liabilities | $ | (68,064 | ) | $ | 2,118,526 | $ | (58,331 | ) | $ | 1,675,617 | |||||||
Total Derivative Financial Instruments, Net | $ | (37,518 | ) | $ | 5,197,873 | $ | (41,914 | ) | $ | 3,663,084 | |||||||
Risk Management Derivatives | |||||||||||||||||
To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheet, we may enter into derivative contracts. At March 31, 2015, we were party to swaps and swaptions with an aggregate notional amount of $1.3 billion, TBA contracts sold with an aggregate notional amount of $1.9 billion, and financial futures contracts with an aggregate notional amount of $72 million. Net market valuation adjustments on risk management derivatives were negative $12 million and negative $13 million for the three months ended March 31, 2015 and 2014, respectively. | |||||||||||||||||
Loan Purchase and Forward Sale Commitments | |||||||||||||||||
LPCs and FSCs that qualify as derivatives are recorded at their estimated fair values. Net valuation adjustments on LPCs and FSCs were positive $18 million, and less than negative $1 million for the three months ended March 31, 2015 and 2014, and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||
Derivatives Designated as Cash Flow Hedges | |||||||||||||||||
To manage the variability in interest expense related to our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million. | |||||||||||||||||
For the three months ended March 31, 2015 and 2014, changes in the values of designated cash flow hedges were negative $8 million and negative $9 million, respectively, and were recorded in accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in accumulated other comprehensive income was $54 million and $46 million at March 31, 2015 and December 31, 2014, respectively. For both of the three months ended March 31, 2015 and 2014, we reclassified less than $100 thousand of unrealized losses on derivatives to interest expense. Accumulated other comprehensive loss of less than $1 million will be amortized into interest expense, a component of our consolidated income statements, over the remaining life of the hedge liabilities. | |||||||||||||||||
The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2015 and 2014. | |||||||||||||||||
Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Net interest expense on cash interest rate agreements | $ | (1,484 | ) | $ | (1,488 | ) | |||||||||||
Realized expense due to ineffective portion of cash flow hedges | — | — | |||||||||||||||
Realized net losses reclassified from other comprehensive income | (31 | ) | (60 | ) | |||||||||||||
Total Interest Expense | $ | (1,515 | ) | $ | (1,548 | ) | |||||||||||
Derivative Counterparty Credit Risk | |||||||||||||||||
As discussed in our Annual report on Form 10-K, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments. At March 31, 2015, we assessed this risk as remote and did not record a specific valuation adjustment. | |||||||||||||||||
At March 31, 2015, we had outstanding derivative agreements with six counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions. |
Other_Assets_and_Liabilities
Other Assets and Liabilities | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||
Other Assets and Liabilities | Other Assets and Liabilities | ||||||||
Other Assets | |||||||||
Other assets at March 31, 2015 and December 31, 2014, are summarized in the following table. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Margin receivable | $ | 79,760 | $ | 65,374 | |||||
Investment receivable | 31,578 | 1,103 | |||||||
FHLBC stock | 28,434 | 10,688 | |||||||
Pledged collateral | 10,265 | 9,927 | |||||||
Guarantee asset | 6,118 | 7,201 | |||||||
Income tax receivables | 5,786 | 175 | |||||||
REO | 5,305 | 4,391 | |||||||
Deposits | 5,000 | 5,000 | |||||||
Prepaid expenses | 2,816 | 3,372 | |||||||
Fixed assets and leasehold improvements (1) | 3,868 | 3,008 | |||||||
Other | 4,062 | 3,657 | |||||||
Total Other Assets | $ | 182,992 | $ | 113,896 | |||||
-1 | Fixed assets have a basis of $6 million and accumulated depreciation of $4 million at March 31, 2015. | ||||||||
Accrued Expenses and Other Liabilities | |||||||||
Accrued expenses and other liabilities at March 31, 2015 and December 31, 2014 are summarized in the following table. | |||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Margin payable | $ | 15,007 | $ | 6,455 | |||||
Unsettled trades | 11,050 | — | |||||||
Accrued compensation | 8,518 | 19,273 | |||||||
Guarantee obligation | 6,917 | 7,201 | |||||||
Residential repurchase reserve | 4,292 | 3,724 | |||||||
Accrued operating expenses | 3,096 | 3,334 | |||||||
Legal reserve | 2,000 | 2,000 | |||||||
Income tax payable | 721 | — | |||||||
Other | 8,534 | 10,257 | |||||||
Total Other Liabilities | $ | 60,135 | $ | 52,244 | |||||
Margin Receivable and Payable | |||||||||
Margin receivable and payable resulted from margin calls between us and our swap, master repurchase agreements, and warehouse facilities counterparties whereby we or the counterparty were required to post collateral. | |||||||||
Investment Receivable and Unsettled Trades | |||||||||
In accordance with our policy to record purchases and sales of securities on the trade date, if the trade and settlement of a purchase or sale crosses over a quarterly reporting period, we will record an investment receivable for sales and an unsettled trades liability for purchases. The amounts in the table above for each of these items were settled for cash subsequent to March 31, 2015. | |||||||||
Guarantee Asset, Pledged Collateral, and Guarantee Obligation | |||||||||
The pledged collateral, guarantee asset, and guarantee obligation presented in the tables above are related to the risk sharing arrangement we entered into with Fannie Mae in the fourth quarter of 2014. | |||||||||
All of the loans in the reference pool subject to the guarantee were originated in 2014 and at March 31, 2015, the loans had an unpaid principal balance of $957 million and an original weighted average FICO score of 762 and LTV of 75%. At March 31, 2015, 0.44% of the outstanding principal balance was 30 days or more delinquent and none of the loans were 90 days or more delinquent or in foreclosure. At March 31, 2015, the maximum potential amount of future payments we could be required to make under this obligation was $10 million and this amount was fully collateralized by assets we have transferred to a custodian and are presented as pledged collateral in the table above. We have no recourse to any third parties that would allow us to recover any amounts related to this guarantee obligation. To date we have not incurred any losses under this agreement and as of March 31, 2015, we determined no allowance for contingent losses was required. | |||||||||
REO | |||||||||
The carrying value of REO at March 31, 2015, was $5 million, which includes the net effect of $3 million related to transfers into REO during three months ended March 31, 2015, offset by $1 million of REO liquidations, and $2 million of negative market valuation adjustments. At March 31, 2015 and December 31, 2014, there were 20 and 22 REO properties, respectively, recorded on our consolidated balance sheets, all of which were owned at consolidated Sequoia entities. | |||||||||
See Note 15 for additional information on the legal and residential repurchase reserves. |
ShortTerm_Debt
Short-Term Debt | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||
Short-Term Debt | Short-Term Debt | ||||||||||||||||||
We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At March 31, 2015, we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. Further information about these financial covenants is set forth in Part I, Item 2 – Management’s Discussion and Analysis of Financial Condition and Results of Operations of this Quarterly Report on Form 10-Q and in Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2014. | |||||||||||||||||||
The table below summarizes the facilities that are available to us and the balances of short-term debt at March 31, 2015 and December 31, 2014 by the type of collateral securing the debt. | |||||||||||||||||||
Short-Term Debt | |||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding | Limit | Maturity | |||||||||||||||
Collateral Type | |||||||||||||||||||
Residential loans | 5 | $ | 815,037 | $ | 1,550,000 | 4/2015-2/2016 | |||||||||||||
Commercial loans | 3 | 80,858 | 400,000 | 4/2015-10/2016 | |||||||||||||||
Real estate securities | 10 | 606,269 | — | 4/2015-6/2015 | |||||||||||||||
Total | 18 | $ | 1,502,164 | ||||||||||||||||
December 31, 2014 | |||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding | Limit | Maturity | |||||||||||||||
Collateral Type | |||||||||||||||||||
Residential loans | 5 | $ | 1,076,188 | $ | 1,550,000 | 2/2015-12/2015 | |||||||||||||
Commercial loans | 3 | 109,128 | 400,000 | 4/2015-10/2016 | |||||||||||||||
Real estate securities | 9 | 608,509 | — | 1/2015-3/2015 | |||||||||||||||
Total | 17 | $ | 1,793,825 | ||||||||||||||||
Borrowings under these facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At March 31, 2015, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. | |||||||||||||||||||
The fair value of residential loans, commercial loans, and real estate securities pledged as collateral was $915 million, $125 million, and $734 million, respectively, at March 31, 2015 and $1.22 billion, $161 million, and $762 million, respectively, at December 31, 2014. For the three months ended March 31, 2015 and 2014, the average balance of short-term debt was $1.59 billion and $1.01 billion, respectively. At March 31, 2015 and December 31, 2014, accrued interest payable on short-term debt was $2 million and $2 million, respectively. | |||||||||||||||||||
We also maintain a $10 million committed line of credit with a financial institution that is secured by our pledge of certain mortgage-backed securities we own. At both March 31, 2015 and December 31, 2014, we had no outstanding borrowings on this facility. | |||||||||||||||||||
Characteristics of Short-Term Debt | |||||||||||||||||||
The table below summarizes short-term debt by weighted average interest rates and by collateral type at March 31, 2015 and December 31, 2014. | |||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||
(Dollars in Thousands) | Amount Borrowed | Weighted Average Interest Rate | Weighted Average Days Until Maturity | Amount Borrowed | Weighted Average Interest Rate | Weighted Average Days Until Maturity | |||||||||||||
Collateral Type | |||||||||||||||||||
Residential loan collateral | $ | 815,037 | 1.74 | % | 191 | $ | 1,076,188 | 1.74 | % | 156 | |||||||||
Commercial loan collateral | 80,858 | 4.4 | % | 288 | 109,128 | 3.66 | % | 185 | |||||||||||
Real estate securities collateral | 606,269 | 1.38 | % | 26 | 608,509 | 1.38 | % | 20 | |||||||||||
Total Short-Term Debt | $ | 1,502,164 | 1.74 | % | 130 | $ | 1,793,825 | 1.73 | % | 112 | |||||||||
Remaining Maturities of Short-Term Debt | |||||||||||||||||||
The following table presents the remaining maturities of short-term debt at March 31, 2015 and December 31, 2014. | |||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||
Within 30 days | $ | 427,720 | $ | 515,552 | |||||||||||||||
31 to 90 days | 269,050 | 447,021 | |||||||||||||||||
Over 90 days | 805,394 | 831,252 | |||||||||||||||||
Total Short-Term Debt | $ | 1,502,164 | $ | 1,793,825 | |||||||||||||||
AssetBacked_Securities_Issued
Asset-Backed Securities Issued | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||
Asset-Backed Securities Issued | Asset-Backed Securities Issued | ||||||||||||||||
Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia entities. ABS were also issued by securitization entities in the Residential Resecuritization and the Commercial Securitization. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. | |||||||||||||||||
As a general matter, ABS have been issued by these securitization entities to fund the acquisition of assets from us or from third parties. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly or quarterly basis. Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. Some ABS issued pay fixed rates of interest or pay hybrid rates, which are fixed rates that subsequently adjust to variable rates. ABS issued also includes some interest-only classes with coupons set at a fixed rate or a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity. | |||||||||||||||||
The carrying values of ABS issued by consolidated securitization entities we sponsored at March 31, 2015 and December 31, 2014, along with other selected information, are summarized in the following table. | |||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Certificates with principal balance | $ | 1,359,646 | $ | 34,280 | $ | 79,676 | $ | 1,473,602 | |||||||||
Interest-only certificates | 5,622 | — | — | 5,622 | |||||||||||||
Market valuation adjustments (1) | (126,203 | ) | — | — | (126,203 | ) | |||||||||||
Total ABS Issued | $ | 1,239,065 | $ | 34,280 | $ | 79,676 | $ | 1,353,021 | |||||||||
Range of weighted average interest rates, by series | 0.38% to 4.30% | 2.17 | % | 5.62 | % | ||||||||||||
Stated maturities | 2017-2041 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
(1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for further discussion. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Certificates with principal balance | $ | 1,427,056 | $ | 45,044 | $ | 83,313 | $ | 1,555,413 | |||||||||
Interest-only certificates | 2,079 | — | — | 2,079 | |||||||||||||
Unamortized discount | (12,373 | ) | — | — | (12,373 | ) | |||||||||||
Total ABS Issued | $ | 1,416,762 | $ | 45,044 | $ | 83,313 | $ | 1,545,119 | |||||||||
Range of weighted average interest rates, by series | 0.36% to 4.27% | 2.16 | % | 5.62 | % | ||||||||||||
Stated maturities | 2014 - 2041 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its stated maturity. At March 31, 2015, $1.35 billion of ABS issued ($1.46 billion principal balance) had contractual maturities beyond five years and $7 million of ABS issued ($16 million principal balance) had contractual maturities of less than one year. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs was less than $1 million for both the three months ended March 31, 2015 and 2014. The following table summarizes the accrued interest payable on ABS issued at March 31, 2015 and December 31, 2014. Interest due on consolidated ABS issued is payable monthly. | |||||||||||||||||
Accrued Interest Payable on Asset-Backed Securities Issued | |||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||
Sequoia | $ | 893 | $ | 976 | |||||||||||||
Residential Resecuritization | 10 | 5 | |||||||||||||||
Commercial Securitization | 374 | 390 | |||||||||||||||
Total Accrued Interest Payable on ABS Issued | $ | 1,277 | $ | 1,371 | |||||||||||||
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at March 31, 2015 and December 31, 2014. | |||||||||||||||||
Collateral for Asset-Backed Securities Issued | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
(In Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Residential loans | $ | 1,304,426 | $ | — | $ | — | $ | 1,304,426 | |||||||||
Commercial loans | — | — | 191,575 | $ | 191,575 | ||||||||||||
Real estate securities | — | 211,316 | — | $ | 211,316 | ||||||||||||
Restricted cash | 147 | — | 135 | $ | 282 | ||||||||||||
Accrued interest receivable | 1,720 | 449 | 1,491 | $ | 3,660 | ||||||||||||
REO | 5,304 | — | — | $ | 5,304 | ||||||||||||
Total Collateral for ABS Issued | $ | 1,311,597 | $ | 211,765 | $ | 193,201 | $ | 1,716,563 | |||||||||
December 31, 2014 | |||||||||||||||||
(In Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Residential loans | $ | 1,474,386 | $ | — | $ | — | $ | 1,474,386 | |||||||||
Commercial loans | — | — | 194,991 | $ | 194,991 | ||||||||||||
Real estate securities | — | 221,676 | — | $ | 221,676 | ||||||||||||
Restricted cash | 147 | 43 | 137 | $ | 327 | ||||||||||||
Accrued interest receivable | 2,359 | 477 | 1,511 | $ | 4,347 | ||||||||||||
REO | 4,391 | — | — | $ | 4,391 | ||||||||||||
Total Collateral for ABS Issued | $ | 1,481,283 | $ | 222,196 | $ | 196,639 | $ | 1,900,118 | |||||||||
LongTerm_Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2015 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt |
FHLBC Borrowings | |
In July 2014, our FHLB member subsidiary entered into a borrowing agreement with the Federal Home Loan Bank of Chicago. Under this agreement, our subsidiary may incur borrowings up to $1 billion, also referred to as “advances,” from the FHLBC secured by eligible collateral, including, but not limited to residential mortgage loans and residential mortgage-backed securities. During the three months ended March 31, 2015, our FHLB-member subsidiary borrowed an additional $355 million under this agreement. At March 31, 2015, $851 million of advances were outstanding under this agreement with a weighted average interest rate of 0.27% and a weighted average maturity of 9.2 years. Advances under this agreement incur interest charges based on a specified margin over the FHLBC’s 13-week discount note rate, which resets every 13 weeks. These advances were secured by residential mortgage loans with a fair value of $994 million at March 31, 2015. This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At March 31, 2015, our subsidiary held $28 million of FHLBC stock that is included in other assets in our consolidated balance sheets. | |
Commercial Secured Borrowing | |
At March 31, 2015, we had commercial secured borrowings of $68 million resulting from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under GAAP and were accounted for as financings. We bifurcated certain of our senior commercial mortgage loans into a senior portion that was sold to a third party and a junior portion that we retained as an investment. Although GAAP requires us to record a secured borrowing liability when we receive cash from selling the senior portion of the loan, the liability has no economic substance to us in that it does not require periodic interest payments and has no maturity. For each commercial secured borrowing, at such time that the associated senior portion of the loan is repaid or we sell our retained junior portion, the secured borrowing liability and associated senior portion of the loan would be derecognized from our balance sheet. | |
Convertible Notes | |
In November 2014, RWT Holdings, Inc., a wholly-owned subsidiary of Redwood Trust, Inc., issued $205 million principal amount of 5.625% exchangeable senior notes due 2019. These exchangeable notes require semi-annual interest payments at a fixed coupon rate of 5.625% until maturity or exchange, which will be no later than November 15, 2019. After deducting the underwriting discount and offering costs, we received $198 million of net proceeds. Including amortization of deferred securities issuance costs, the interest expense yield on these exchangeable notes was 6.52% for the three months ended March 31, 2015. At March 31, 2015, the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $7 million. At March 31, 2015, these notes were exchangeable at the option of the holder at an exchange rate of 46.1798 common shares per $1,000 principal amount of exchangeable senior notes (equivalent to an exchange price of $21.65 per common share). Upon exchange of these notes by a holder, the holder will receive shares of our common stock. | |
In March 2013, we issued $288 million principal amount of 4.625% convertible senior notes due 2018. These convertible notes require semi-annual interest payments at a fixed coupon rate of 4.625% until maturity or conversion, which will be no later than April 15, 2018. After deducting the underwriting discount and offering costs, we received $279 million of net proceeds. Including amortization of deferred securities issuance costs, the interest expense yield on these convertible notes was 5.36% for the three months ended March 31, 2015. At March 31, 2015, the accrued interest payable balance on this debt was $7 million and the unamortized deferred issuance costs were $5 million. At March 31, 2015, these notes were convertible at the option of the holder at a conversion rate of 41.1320 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $24.31 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. | |
Trust Preferred Securities and Subordinated Notes | |
At March 31, 2015, we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million, respectively. The interest expense yield on both our trust preferred securities and subordinated notes was 2.52% and 2.42% for the three months ended March 31, 2015 and 2014, respectively. Including hedging costs and amortization of deferred securities issuance costs, the interest expense yield on both our trust preferred securities and subordinated notes was 6.81% and 6.78% for the three months ended March 31, 2015 and 2014, respectively. | |
At both March 31, 2015 and December 31, 2014, the accrued interest payable balance on our trust preferred securities and subordinated notes was less than $1 million. Under the terms of this debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this debt. |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Commitments and Contingencies Disclosure [Abstract] | |||||
Commitments and Contingencies | Commitments and Contingencies | ||||
Lease Commitments | |||||
At March 31, 2015, we were obligated under nine non-cancelable operating leases with expiration dates through 2021 for $12 million. Operating lease expense was less than $1 million for both the three months ended March 31, 2015 and 2014. | |||||
The following table presents our future lease commitments at March 31, 2015. | |||||
Future Lease Commitments by Year | |||||
(In Thousands) | March 31, 2015 | ||||
2015 (9 months) | $ | 2,123 | |||
2016 | 2,833 | ||||
2017 | 2,879 | ||||
2018 | 1,827 | ||||
2019 | 1,189 | ||||
2020 and thereafter | 1,495 | ||||
Total Lease Commitments | $ | 12,346 | |||
Loss Contingencies — Fannie Mae Risk Sharing | |||||
In the fourth quarter of 2014, we entered into a risk-sharing arrangement with Fannie Mae. Under this arrangement we committed to absorb the first one percent of losses realized on a reference pool of residential mortgage loans originated in 2014 that we acquired and then sold to Fannie Mae during the fourth quarter of 2014. During the 10 year term of the arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans. Additionally, under this arrangement we are required to maintain collateral with a third party custodian sufficient to cover our maximum loss exposure throughout the term of the arrangement. To the extent approved losses are incurred, the custodian will transfer collateral to Fannie Mae. As a result of this transaction we recorded “pledged collateral” and a “guarantee asset” in the other assets line item, and a “guarantee obligation” in the other liabilities line item, on our consolidated balance sheets. | |||||
The guarantee obligation represents our commitment to absorb losses under the arrangement, which at inception was recorded at fair value based on the fair value of the guarantee asset. We are amortizing the guarantee obligation over the 10 year term of the arrangement based on changes in the outstanding unpaid principal balance of loans in the reference pool. In addition, each period we assess the need for a separate loss allowance related to this arrangement, based on our estimate of credit losses inherent in the reference pool of loans. To determine the loss allowance, we assess inherent losses in the reference pool of loans by determining loss factors (defaults, the timing of defaults, and loss severities upon defaults). As of March 31, 2015, we determined a loss allowance was not required. | |||||
See Note 11 for further discussion of the risk share arrangement. | |||||
Loss Contingencies — Residential Repurchase Reserve | |||||
We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. | |||||
At both March 31, 2015 and December 31, 2014, our repurchase reserve associated with our residential loans and MSRs was $4 million and was recorded in accrued expenses and other liabilities on our consolidated balance sheets. We received 25 repurchase requests during the three months ended March 31, 2015 and we repurchased one loan during that period, which we expect to be purchased by the loan originator with no resulting loss. During the three months ended March 31, 2015 and 2014 we recorded repurchase provisions of less than $1 million, that were recorded in mortgage banking activities and MSR income on our consolidated statements of income and did not charge-off any amounts to the reserve in either period. | |||||
Loss Contingencies — Litigation | |||||
On or about December 23, 2009, the Federal Home Loan Bank of Seattle (the “FHLB-Seattle”) filed a complaint in the Superior Court for the State of Washington (case number 09-2-46348-4 SEA) against Redwood Trust, Inc., our subsidiary, Sequoia Residential Funding, Inc. (“SRF”), Morgan Stanley & Co., and Morgan Stanley Capital I, Inc. (collectively, the “FHLB-Seattle Defendants”) alleging that the FHLB-Seattle Defendants made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Seattle Certificate”) issued in the Sequoia Mortgage Trust 2005-4 securitization transaction (the “2005-4 RMBS”) and purchased by the FHLB-Seattle. Specifically, the complaint alleges that the alleged misstatements concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Seattle Certificate. The FHLB-Seattle alleges claims under the Securities Act of Washington (Section 21.20.005, et seq.) and seeks to rescind the purchase of the Seattle Certificate and to collect interest on the original purchase price at the statutory interest rate of 8% per annum from the date of original purchase (net of interest received) as well as attorneys’ fees and costs. The Seattle Certificate was issued with an original principal amount of approximately $133 million, and, as of March 31, 2015, the FHLB-Seattle has received approximately $116 million of principal and $11 million of interest payments in respect of the Seattle Certificate. The claims were subsequently dismissed for lack of personal jurisdiction as to Redwood Trust and SRF. Redwood agreed to indemnify the underwriters of the 2005-4 RMBS for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. The FHLB-Seattle’s claims against the underwriters of this RMBS were not dismissed and remain pending. Regardless of the outcome of this litigation, we could incur a loss as a result of these indemnities. | |||||
On or about July 15, 2010, The Charles Schwab Corporation (“Schwab”) filed a complaint in the Superior Court for the State of California in San Francisco (case number CGC-10-501610) against SRF and 26 other defendants (collectively, the “Schwab Defendants”) alleging that the Schwab Defendants made false or misleading statements in offering materials for various residential mortgage-backed securities sold or issued by the Schwab Defendants. Schwab alleged only a claim for negligent misrepresentation under California state law against SRF and sought unspecified damages and attorneys’ fees and costs from SRF. Schwab claims that SRF made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Schwab Certificate”) issued in the 2005-4 RMBS and purchased by Schwab. Specifically, the complaint alleges that the misstatements for the 2005-4 RMBS concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Schwab Certificate. On November 14, 2014, Schwab voluntarily dismissed with prejudice its negligent misrepresentation claim, which resulted in the dismissal with prejudice of SRF from the action. The Schwab Certificate was issued with an original principal amount of approximately $15 million, and, as of March 31, 2015, approximately $13 million of principal and $1 million of interest payments have been made in respect of the Schwab Certificate. we agreed to indemnify the underwriters of the 2005-4 RMBS, which underwriters were also named and remain as defendants in the action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, Redwood could incur a loss as a result of these indemnities. | |||||
In accordance with GAAP, we review the need for any loss contingency reserves and establish reserves when, in the opinion of management, it is probable that a matter would result in a liability and the amount of loss, if any, can be reasonably estimated. Additionally, we record receivables for insurance recoveries relating to litigation-related losses and expenses if and when such amounts are covered by insurance and recovery of such losses or expenses are due. At March 31, 2015, the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described above was $2 million. We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. | |||||
In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. | |||||
Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity
Equity | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Equity [Abstract] | |||||||||||||||||
Equity | Equity | ||||||||||||||||
The following table provides a summary of changes to accumulated other comprehensive income by component for the three months ended March 31, 2015 and 2014. | |||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | |||||||||||||||||
Three Months Ended March 31, 2015 | Three Months Ended March 31, 2014 | ||||||||||||||||
(In Thousands) | Net unrealized gains on available-for-sale securities | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | Net unrealized gains on available-for-sale securities | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||||||||||
Balance at beginning of period | $ | 186,737 | $ | (46,049 | ) | $ | 164,654 | $ | (15,888 | ) | |||||||
Other comprehensive income (loss) | 5,053 | (8,442 | ) | 19,323 | (8,795 | ) | |||||||||||
before reclassifications | |||||||||||||||||
Amounts reclassified from other | (1,690 | ) | 31 | 1,298 | 60 | ||||||||||||
accumulated comprehensive income | |||||||||||||||||
Net current-period other comprehensive income (loss) | 3,363 | (8,411 | ) | 20,621 | (8,735 | ) | |||||||||||
Balance at End of Period | $ | 190,100 | $ | (54,460 | ) | $ | 185,275 | $ | (24,623 | ) | |||||||
The following table provides a summary of reclassifications out of accumulated other comprehensive income for three months ended March 31, 2015 and 2014. | |||||||||||||||||
Reclassifications Out of Accumulated Other Comprehensive Income | |||||||||||||||||
Amount Reclassified From Accumulated Other Comprehensive Income | |||||||||||||||||
Affected Line Item in the | Three Months Ended March 31, | ||||||||||||||||
(In Thousands) | Income Statement | 2015 | 2014 | ||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | — | $ | 1,298 | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | $ | (1,690 | ) | $ | — | |||||||||||
$ | (1,690 | ) | $ | 1,298 | |||||||||||||
Net realized gains on interest rate | |||||||||||||||||
agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 31 | $ | 60 | ||||||||||||
$ | 31 | $ | 60 | ||||||||||||||
Earnings Per Common Share | |||||||||||||||||
The following table provides the basic and diluted earnings per common share computations for the three months ended March 31, 2015 and 2014. | |||||||||||||||||
Basic and Diluted Earnings Per Common Share | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands, Except Share Data) | 2015 | 2014 | |||||||||||||||
Basic Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 14,801 | $ | 12,333 | |||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (822 | ) | (702 | ) | |||||||||||||
Net income allocated to common shareholders | $ | 13,979 | $ | 11,631 | |||||||||||||
Basic weighted average common shares outstanding | 83,360,312 | 82,410,562 | |||||||||||||||
Basic Earnings Per Common Share | $ | 0.17 | $ | 0.14 | |||||||||||||
Diluted Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 14,801 | $ | 12,333 | |||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (822 | ) | (702 | ) | |||||||||||||
Net income allocated to common shareholders | $ | 13,979 | $ | 11,631 | |||||||||||||
Weighted average common shares outstanding | 83,360,312 | 82,410,562 | |||||||||||||||
Net effect of dilutive equity awards | 2,261,904 | 2,529,978 | |||||||||||||||
Diluted weighted average common shares outstanding | 85,622,216 | 84,940,540 | |||||||||||||||
Diluted Earnings Per Common Share | $ | 0.16 | $ | 0.14 | |||||||||||||
For the three months ended March 31, 2015 and 2014, we determined certain equity awards outstanding during each of these periods qualified as participating securities. We included participating securities in the calculation of basic earnings per common share as well as diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method. For the three months ended March 31, 2015 and 2014, there were 2,261,904 and 2,529,978 of dilutive equity awards, respectively, determined under the two-class method. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. | |||||||||||||||||
For the three months ended March 31, 2015 and 2014, 21,292,309 and 11,825,450, respectively, of common shares related to the assumed conversion of the convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three months ended March 31, 2014, the number of outstanding equity awards that were antidilutive totaled 79,535. | |||||||||||||||||
Stock Repurchases | |||||||||||||||||
We announced a stock repurchase authorization in November 2007 for the repurchase of up to 5,000,000 common shares. This plan replaced all previous share repurchase plans and has no expiration date. During the three months ended March 31, 2015, there were no shares acquired under the plan. At March 31, 2015, there remained 4,005,985 shares available for repurchase under this plan. |
Equity_Compensation_Plans
Equity Compensation Plans | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||
Equity Compensation Plans | Equity Compensation Plans | ||||||||||||||||||||
At March 31, 2015 and December 31, 2014, 1,914,207 and 2,225,245 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $25 million at March 31, 2015, as shown in the following table. | |||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||
(In Thousands) | Restricted Stock | Deferred Stock Units | Performance Stock Units | Employee Stock Purchase Plan | Total | ||||||||||||||||
Unrecognized compensation cost at beginning of period | $ | 1,091 | $ | 12,304 | $ | 6,874 | $ | — | $ | 20,269 | |||||||||||
Equity grants | 2,636 | 5,162 | — | 236 | 8,034 | ||||||||||||||||
Equity grant forfeitures | (162 | ) | — | — | — | (162 | ) | ||||||||||||||
Equity compensation expense | (250 | ) | (1,575 | ) | (854 | ) | (59 | ) | (2,738 | ) | |||||||||||
Unrecognized Compensation Cost at End of Period | $ | 3,315 | $ | 15,891 | $ | 6,020 | $ | 177 | $ | 25,403 | |||||||||||
At March 31, 2015, the weighted average amortization period remaining for all of our equity awards was less than two years. | |||||||||||||||||||||
Restricted Stock | |||||||||||||||||||||
At March 31, 2015 and December 31, 2014, there were 196,644 and 109,464 shares, respectively, of restricted stock awards outstanding. Restrictions on these shares lapse through 2019. During the three months ended March 31, 2015, there were 136,561 restricted stock awards granted, 40,643 restricted stock awards that vested and were distributed, and 8,738 restricted stock awards forfeited. | |||||||||||||||||||||
Deferred Stock Units (“DSUs”) | |||||||||||||||||||||
At March 31, 2015 and December 31, 2014, there were 2,438,081 and 2,168,824 DSUs, respectively, outstanding of which 1,435,093 and 1,287,862, respectively, had vested. There were 269,258 DSUs granted, and no DSUs distributed or forfeited during the three months ended March 31, 2015. Unvested DSUs at March 31, 2015 vest through 2019. | |||||||||||||||||||||
Performance Stock Units (“PSUs”) | |||||||||||||||||||||
At both March 31, 2015 and December 31, 2014, the target number of PSUs that were unvested was 761,051. PSUs do not vest until the third anniversary of their grant date, with the level of vesting at that time contingent on total stockholder return (defined as the change in our common stock price plus dividends paid on our common stock relative to the per share price of our common stock on the date of the PSU grant) over the three-year vesting period (“Three-Year TSR”). The number of underlying shares of our common stock that will vest during 2015 and in future years will vary between 0% (if Three-Year TSR is negative) and 200% (if Three-Year TSR is greater than or equal to 125%) of the target number of PSUs originally granted, adjusted upward (if vesting is greater than 0%) to reflect the value of dividends paid during the three-year vesting period. | |||||||||||||||||||||
With respect to the PSUs granted in 2011, the three-year performance period ended during the fourth quarter of 2014, resulting in the vesting of 701,440 shares of our underlying common stock. The distribution of these underlying shares of common stock will occur in May 2015, in accordance with the terms of the PSUs and our Executive Deferred Compensation Plan. | |||||||||||||||||||||
Employee Stock Purchase Plan | |||||||||||||||||||||
The ESPP allows a maximum of 450,000 shares of common stock to be purchased in aggregate for all employees. As of March 31, 2015 and December 31, 2014, 283,092 and 274,318 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at March 31, 2015. |
Mortgage_Banking_Activities
Mortgage Banking Activities | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||
Mortgage Banking Activities | Mortgage Banking Activities | ||||||||
The following table presents the components of mortgage banking activities, net, recorded in our consolidated income statements for the three months ended March 31, 2015 and 2014. | |||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Residential mortgage banking activities: | |||||||||
Changes in fair value of: | |||||||||
Residential loans, at fair value (1) | $ | 20,312 | $ | 7,045 | |||||
Sequoia IO securities | (14,359 | ) | (4,277 | ) | |||||
Risk management derivatives (2) | (4,371 | ) | (4,278 | ) | |||||
Other (3) | 633 | 446 | |||||||
Total residential mortgage banking activities: | 2,215 | (1,064 | ) | ||||||
Commercial mortgage banking activities: | |||||||||
Changes in fair value of: | |||||||||
Commercial loans, at fair value | 5,857 | 3,626 | |||||||
Risk management derivatives (2) | (6,212 | ) | (2,803 | ) | |||||
Other (3) | 63 | 10 | |||||||
Total commercial mortgage banking activities: | (292 | ) | 833 | ||||||
Mortgage banking activities | $ | 1,923 | $ | (231 | ) | ||||
-1 | Includes changes in fair value for loan purchase and forward sale commitments. | ||||||||
-2 | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. | ||||||||
-3 | Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Operating_Expenses
Operating Expenses | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Other Income and Expenses [Abstract] | |||||||||
Operating Expenses | Operating Expenses | ||||||||
Components of our operating expenses for the three months ended March 31, 2015 and 2014 are presented in the following table. | |||||||||
Operating Expenses | |||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Fixed compensation expense | $ | 9,155 | $ | 6,742 | |||||
Variable compensation expense | 3,991 | 2,781 | |||||||
Equity compensation expense | 2,738 | 2,330 | |||||||
Total compensation expense | 15,884 | 11,853 | |||||||
Systems and consulting | 2,122 | 3,466 | |||||||
Accounting and legal | 1,577 | 1,633 | |||||||
Office costs | 1,232 | 985 | |||||||
Corporate costs | 526 | 552 | |||||||
Other operating expenses | 3,722 | 1,482 | |||||||
Total Operating Expenses | $ | 25,063 | $ | 19,971 | |||||
Taxes
Taxes | 3 Months Ended | ||||||
Mar. 31, 2015 | |||||||
Income Tax Disclosure [Abstract] | |||||||
Taxes | Taxes | ||||||
For the three months ended March 31, 2015 and 2014, we recognized a benefit for income taxes of $5 million and $2 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our projected annual effective rate at March 31, 2015 and 2014. | |||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | |||||||
31-Mar-15 | March 31, 2014 | ||||||
Federal statutory rate | 34 | % | 34 | % | |||
State statutory rate, net of Federal tax effect | 7.2 | % | 7.2 | % | |||
Differences in taxable (loss) income from GAAP income | (44.7 | )% | (1.7 | )% | |||
Change in valuation allowance | 11.9 | % | 3.7 | % | |||
Dividends paid deduction | (64.4 | )% | (60.8 | )% | |||
Effective Tax Rate | (56.0 | )% | (17.6 | )% | |||
The negative effective tax rate for the three months ended March 31, 2015, resulted from a benefit for income taxes being recorded against GAAP losses generated at our taxable REIT subsidiaries, while the consolidated income statement reported GAAP income. On a consolidated basis, GAAP income generated at the REIT, for which no material tax provision was recorded due to the dividends paid deduction, exceeded the losses at the taxable REIT subsidiaries. | |||||||
We assessed our tax positions for all open tax years (Federal - years 2011 to 2015, State - years 2010- 2015) and, at March 31, 2015 and December 31, 2014, concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment_Information
Segment Information | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||
Segment Information | Segment Information | ||||||||||||||||||||||||
Redwood operates in three segments: residential mortgage banking, residential investments, and commercial mortgage banking and investments. Our segments are based on our organizational and management structure, which aligns with how our results are monitored and performance is assessed. For a full description of our segments, see Item 1—Business in our Annual Report on Form 10-K. | |||||||||||||||||||||||||
Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain expenses not directly assigned or allocated to one of the three primary segments, as well as activity from certain consolidated Sequoia entities consolidated for GAAP financial reporting purposes, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated expenses primarily include interest expense associated with certain long-term debt, indirect operating expenses, and other expense. | |||||||||||||||||||||||||
The following tables present financial information by segment for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||
Business Segment Financial Information | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
Interest income | $ | 15,795 | $ | 30,012 | $ | 10,914 | $ | 7,025 | $ | 63,746 | |||||||||||||||
Interest expense | (3,778 | ) | (2,810 | ) | (3,489 | ) | (13,884 | ) | (23,961 | ) | |||||||||||||||
Net interest income (loss) | 12,017 | 27,202 | 7,425 | (6,859 | ) | 39,785 | |||||||||||||||||||
Provision for loan losses | — | — | (206 | ) | — | (206 | ) | ||||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Mortgage banking activities | 2,215 | — | (292 | ) | — | 1,923 | |||||||||||||||||||
MSR income (loss) | — | (10,924 | ) | — | — | (10,924 | ) | ||||||||||||||||||
Other market valuation adjustments | 2 | (19 | ) | — | (1,128 | ) | (1,145 | ) | |||||||||||||||||
Realized gains, net | — | 4,306 | — | — | 4,306 | ||||||||||||||||||||
Other income | — | 809 | — | — | 809 | ||||||||||||||||||||
Total non-interest income, net | 2,217 | (5,828 | ) | (292 | ) | (1,128 | ) | (5,031 | ) | ||||||||||||||||
Direct operating expenses | (10,903 | ) | (1,118 | ) | (3,482 | ) | (9,560 | ) | (25,063 | ) | |||||||||||||||
Benefit from income taxes | 8 | 3,510 | 853 | 945 | 5,316 | ||||||||||||||||||||
Segment Contribution | $ | 3,339 | $ | 23,766 | $ | 4,298 | $ | (16,602 | ) | ||||||||||||||||
Net Income | $ | 14,801 | |||||||||||||||||||||||
Non-cash amortization expense | (46 | ) | 9,838 | (49 | ) | (981 | ) | 8,762 | |||||||||||||||||
Three Months Ended March 31, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
Interest income | $ | 10,668 | $ | 27,594 | $ | 10,384 | $ | 6,830 | $ | 55,476 | |||||||||||||||
Interest expense | (1,321 | ) | (2,850 | ) | (3,303 | ) | (11,586 | ) | (19,060 | ) | |||||||||||||||
Net interest income (loss) | 9,347 | 24,744 | 7,081 | (4,756 | ) | 36,416 | |||||||||||||||||||
Provision for loan losses | — | — | (655 | ) | (629 | ) | (1,284 | ) | |||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Mortgage banking activities | (1,064 | ) | — | 833 | — | (231 | ) | ||||||||||||||||||
MSR income (loss) | — | 606 | — | — | 606 | ||||||||||||||||||||
Other market valuation adjustments | (2 | ) | (5,957 | ) | — | (179 | ) | (6,138 | ) | ||||||||||||||||
Realized gains, net | — | 987 | — | 105 | 1,092 | ||||||||||||||||||||
Total non-interest income, net | (1,066 | ) | (4,364 | ) | 833 | (74 | ) | (4,671 | ) | ||||||||||||||||
Direct operating expenses | (7,094 | ) | (1,095 | ) | (2,626 | ) | (9,156 | ) | (19,971 | ) | |||||||||||||||
(Provision for) benefit from income taxes | (165 | ) | 1,527 | 355 | 126 | 1,843 | |||||||||||||||||||
Segment Contribution | $ | 1,022 | $ | 20,812 | $ | 4,988 | $ | (14,489 | ) | ||||||||||||||||
Net Income | $ | 12,333 | |||||||||||||||||||||||
Non-cash amortization expense | (52 | ) | 11,247 | (173 | ) | (1,946 | ) | 9,076 | |||||||||||||||||
The following tables present the components of Corporate/Other for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs | Other | Total | Legacy Consolidated VIEs | Other | Total | |||||||||||||||||||
Interest income | $ | 7,018 | $ | 7 | $ | 7,025 | $ | 6,828 | $ | 2 | $ | 6,830 | |||||||||||||
Interest expense | (4,482 | ) | (9,402 | ) | $ | (13,884 | ) | (5,460 | ) | (6,126 | ) | (11,586 | ) | ||||||||||||
Net interest income (loss) | 2,536 | (9,395 | ) | (6,859 | ) | 1,368 | (6,124 | ) | (4,756 | ) | |||||||||||||||
Provision for loan losses | — | — | — | (629 | ) | — | (629 | ) | |||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Other market valuation adjustments | (1,093 | ) | (35 | ) | (1,128 | ) | (142 | ) | (37 | ) | (179 | ) | |||||||||||||
Realized gains, net | — | — | — | 105 | — | 105 | |||||||||||||||||||
Total non-interest income, net | (1,093 | ) | (35 | ) | (1,128 | ) | (37 | ) | (37 | ) | (74 | ) | |||||||||||||
Direct operating expenses | — | (9,560 | ) | (9,560 | ) | (52 | ) | (9,104 | ) | (9,156 | ) | ||||||||||||||
Benefit from income taxes | — | 945 | 945 | — | 126 | 126 | |||||||||||||||||||
Total | $ | 1,443 | $ | (18,045 | ) | $ | (16,602 | ) | $ | 650 | $ | (15,139 | ) | $ | (14,489 | ) | |||||||||
The following table presents supplemental information by segment at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
Supplemental Disclosures | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Residential loans | $ | 1,094,885 | $ | 1,000,444 | $ | — | $ | 1,304,426 | $ | 3,399,755 | |||||||||||||||
Commercial loans | — | — | 460,342 | — | 460,342 | ||||||||||||||||||||
Real estate securities | 65,809 | 1,219,434 | — | — | 1,285,243 | ||||||||||||||||||||
Mortgage servicing rights | — | 120,324 | — | — | 120,324 | ||||||||||||||||||||
Total assets | 1,204,055 | 2,446,100 | 467,200 | 1,698,664 | 5,816,019 | ||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Residential loans | $ | 1,342,519 | $ | 581,668 | $ | — | $ | 1,474,386 | $ | 3,398,573 | |||||||||||||||
Commercial loans | — | — | 566,927 | — | 566,927 | ||||||||||||||||||||
Real estate securities | 93,802 | 1,285,428 | — | — | 1,379,230 | ||||||||||||||||||||
Mortgage servicing rights | — | 139,293 | — | — | 139,293 | ||||||||||||||||||||
Total assets | 1,468,856 | 2,057,256 | 575,943 | 1,816,911 | 5,918,966 | ||||||||||||||||||||
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||
Principles of Consolidation | Principles of Consolidation | ||||||||||||||||||||||||
In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities where we maintain an ongoing involvement, as well as an entity formed in connection with a resecuritization transaction we engaged in during 2011 (“Residential Resecuritization”), and an entity formed in connection with a commercial securitization we engaged in during 2012 (“Commercial Securitization”). Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. | |||||||||||||||||||||||||
For financial reporting purposes, the underlying loans and securities owned at the consolidated Sequoia entities, the Residential Resecuritization entity, and the Commercial Securitization entity are shown under residential and commercial loans and real estate securities on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we record interest income on the loans and securities owned at these entities and interest expense on the ABS issued by these entities. | |||||||||||||||||||||||||
Use of Estimates | Use of Estimates | ||||||||||||||||||||||||
The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. | |||||||||||||||||||||||||
Recent Accounting Pronouncements | Recent Accounting Pronouncements | ||||||||||||||||||||||||
Adoption of ASU 2014-13 | |||||||||||||||||||||||||
In November 2014, the FASB issued ASU 2014-13, “Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity” (ASU 2014-13). This update provides a measurement alternative to companies that consolidate collateralized financing entities ("CFEs"). Under the new guidance, companies can measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. This guidance is effective in the first quarter 2016 with early adoption permitted at the beginning of an annual period. The guidance can be applied either retrospectively to all relevant prior periods or by a modified retrospective approach with a cumulative-effect adjustment to equity as of the beginning of the annual period of adoption. | |||||||||||||||||||||||||
On January 1, 2015, we elected to early adopt ASU 2014-13, as we determined this measurement alternative more accurately reflects our economic interests in, and financial results from, certain consolidated financing entities. We adopted the measurement alternative under this standard only for our consolidated Sequoia entities, which qualify under the standard as CFEs. We did not elect the measurement alternative for our Residential Resecuritization or our Commercial Resecuritization, and will continue to account for the assets and liabilities in these CFEs in accordance with existing accounting guidance. | |||||||||||||||||||||||||
Under the provisions of ASU 2014-13, we use the fair value of the liabilities issued by the Sequoia CFEs (which we determined to be more observable) to determine the fair value of the assets, whereby the net assets we consolidate in our financial statements related to these entities represents the estimated fair value of our retained interests in the Sequoia CFEs. Similarly, the periodic net market valuation adjustments we record on our income statement from the consolidated assets and liabilities of the CFEs represents the change in fair value of our retained interests in the Sequoia CFEs. | |||||||||||||||||||||||||
Using the modified retrospective approach, we recorded a cumulative-effect adjustment to equity of $10 million through retained earnings as of January 1, 2015. This cumulative-effect adjustment represents the net effect of adjusting the assets and liabilities of the Sequoia CFEs from amortized historical cost to fair value. | |||||||||||||||||||||||||
Subsequent to the adoption of ASU 2014-13, the consolidated assets and liabilities of the Sequoia CFEs are both carried at fair value, with the periodic net changes in fair value recorded on our income statement, in Other market valuation adjustments. | |||||||||||||||||||||||||
The following table presents the assets and liabilities of the consolidated Sequoia entities at December 31, 2014 prior to the adoption of ASU 2014-13, the adjustments required to adopt the new standard, and the adjusted balances at January 1, 2015. | |||||||||||||||||||||||||
Impact of Adoption of ASU 2014-13 on Balance Sheet (1) | |||||||||||||||||||||||||
(In Millions) | 31-Dec-14 | ASU 2014-13 Adjustment | 1-Jan-15 | ||||||||||||||||||||||
Loan Principal | $ | 1,486 | $ | (113 | ) | $ | 1,373 | ||||||||||||||||||
Loan unamortized premium | 13 | (13 | ) | — | |||||||||||||||||||||
Allowance for loan losses | (21 | ) | 21 | — | |||||||||||||||||||||
Residential loans held-for-investment | 1,478 | (105 | ) | 1,373 | |||||||||||||||||||||
Deferred bond issuance costs | 1 | (1 | ) | — | |||||||||||||||||||||
Other assets | 5 | — | 5 | ||||||||||||||||||||||
Total assets | 1,482 | (105 | ) | 1,377 | |||||||||||||||||||||
ABS issued principal | 1,428 | (125 | ) | 1,303 | |||||||||||||||||||||
ABS issued unamortized discount | (10 | ) | 10 | — | |||||||||||||||||||||
Total liabilities | 1,418 | (115 | ) | 1,303 | |||||||||||||||||||||
Redwood's investment in consolidated Sequoia entities | $ | 64 | $ | 10 | $ | 74 | |||||||||||||||||||
-1 | Certain totals may not foot due to rounding. | ||||||||||||||||||||||||
Other Recent Accounting Pronouncements | |||||||||||||||||||||||||
In April 2015, the FASB issued ASU 2015-03, “Simplifying the Presentation of Debt Issuance Costs.” This new guidance requires debt issuance costs to be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. This new guidance is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption is permitted for financial statements that have not been previously issued. The new guidance is required to be applied on a retrospective basis. We plan to adopt this new guidance by the required date and will reclassify debt issuance costs that we currently present in other assets on our consolidated balance sheets and present them as debt discounts. | |||||||||||||||||||||||||
In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810) - Amendments to the Consolidation Analysis.” This new guidance provides a new scope exception for certain money market funds, makes targeted amendments to the current consolidation guidance, and ends the deferral granted to investment companies from applying the VIE guidance. This new guidance is effective for annual periods beginning after December 15, 2016. Early adoption is allowed, including in any interim period. We are currently evaluating the impact of adopting this new standard. | |||||||||||||||||||||||||
In June 2014, the FASB issued ASU 2014-11, “Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” This new guidance amends the accounting guidance for “repo-to-maturity” transactions and repurchase agreements executed as repurchase financings. In addition, the new standard requires a transferor to disclose more information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This new guidance is effective in the first interim reporting period beginning after December 15, 2014. However, for repurchase and securities lending transactions reported as secured borrowing, the new standard’s enhanced disclosures are effective for annual periods beginning after December 15, 2014 and interim period beginning after March 15, 2015. We adopted the new guidance, as required, in the first quarter of 2015 and will adopt the disclosure requirements in the second quarter of 2015, as required. The adoption in the first quarter of 2015 did not have a material impact on our financial statements, as we did not have repo-to-maturity transactions outstanding. | |||||||||||||||||||||||||
In May 2014, the FASB issued ASU 2014-09, “Revenue from Contracts with Customers.” The objective of the guidance is to clarify the principles for recognizing revenue and to develop a common revenue standard for GAAP and IFRS. The Amendment supersedes most current revenue recognition guidance, including industry-specific guidance. The Amendment also enhances disclosure requirements around revenue recognition and the related cash flows. The guidance is to be applied retrospectively to all prior periods presented or through a cumulative adjustment in the year of adoption, for interim and annual periods beginning after December 15, 2016. Early adoption is not permitted. We are currently evaluating the impact of adopting this new standard. | |||||||||||||||||||||||||
In January 2014, the FASB issued ASU 2014-04, “Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure.” This update to the receivable guidance clarifies when a creditor is considered to have received physical possession of residential real estate resulting from an in substance repossession or foreclosure. In addition, the amendments require disclosure of both: (i) the amount of foreclosed residential real estate property held by the creditor; and (ii) the recorded investment in consumer mortgage loans collateralized by residential real estate property that are in the process of foreclosure. The update requires the guidance to be applied using either a modified retrospective transition method or a prospective transition method for interim and annual periods beginning after December 15, 2014, with early adoption permitted. We adopted this standard in the first quarter of 2015, as required, and it did not have a material impact on our financial statements. | |||||||||||||||||||||||||
Balance Sheet Netting | Balance Sheet Netting | ||||||||||||||||||||||||
Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. | |||||||||||||||||||||||||
The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in Consolidated Balance Sheet | Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | Gross Amounts Not Offset in Consolidated | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Mar-15 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 17,554 | $ | — | $ | 17,554 | $ | (2,719 | ) | $ | (10,830 | ) | $ | 4,005 | |||||||||||
TBAs | 4,721 | — | 4,721 | (4,667 | ) | (54 | ) | — | |||||||||||||||||
Total Assets | $ | 22,275 | $ | — | $ | 22,275 | $ | (7,386 | ) | $ | (10,884 | ) | $ | 4,005 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (57,581 | ) | $ | — | $ | (57,581 | ) | $ | 2,719 | $ | 54,862 | $ | — | |||||||||||
TBAs | (8,842 | ) | — | (8,842 | ) | 4,666 | 3,201 | (975 | ) | ||||||||||||||||
Futures | (332 | ) | — | (332 | ) | — | 332 | — | |||||||||||||||||
Loan warehouse debt | (895,895 | ) | — | (895,895 | ) | 895,895 | — | — | |||||||||||||||||
Security repurchase agreements | (606,269 | ) | — | (606,269 | ) | 606,269 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,568,919 | ) | $ | — | $ | (1,568,919 | ) | $ | 1,509,549 | $ | 58,395 | $ | (975 | ) | ||||||||||
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 | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Dec-14 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 7,006 | $ | — | $ | 7,006 | $ | (1,160 | ) | $ | (4,360 | ) | $ | 1,486 | |||||||||||
Credit default index swaps | 1,598 | — | 1,598 | — | (375 | ) | 1,223 | ||||||||||||||||||
TBAs | 6,653 | — | 6,653 | (5,815 | ) | — | 838 | ||||||||||||||||||
Total Assets | $ | 15,257 | $ | — | $ | 15,257 | $ | (6,975 | ) | $ | (4,735 | ) | $ | 3,547 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (48,173 | ) | $ | — | $ | (48,173 | ) | $ | 1,160 | 47,013 | $ | — | ||||||||||||
TBAs | (9,506 | ) | — | (9,506 | ) | 5,815 | 2,715 | (976 | ) | ||||||||||||||||
Futures | (372 | ) | — | (372 | ) | — | 372 | — | |||||||||||||||||
Loan warehouse debt | (1,185,316 | ) | — | (1,185,316 | ) | 1,185,316 | — | — | |||||||||||||||||
Security repurchase agreements | (608,509 | ) | — | (608,509 | ) | 608,509 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,851,876 | ) | $ | — | $ | (1,851,876 | ) | $ | 1,800,800 | $ | 50,100 | $ | (976 | ) | ||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. | ||||||||||||||||||||||||
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty and references herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis and for settlement to include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party that should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||
Schedule of Impact of Adoption of ASU 2014-13 on Balance Sheet | The following table presents the assets and liabilities of the consolidated Sequoia entities at December 31, 2014 prior to the adoption of ASU 2014-13, the adjustments required to adopt the new standard, and the adjusted balances at January 1, 2015. | ||||||||||||||||||||||||
Impact of Adoption of ASU 2014-13 on Balance Sheet (1) | |||||||||||||||||||||||||
(In Millions) | 31-Dec-14 | ASU 2014-13 Adjustment | 1-Jan-15 | ||||||||||||||||||||||
Loan Principal | $ | 1,486 | $ | (113 | ) | $ | 1,373 | ||||||||||||||||||
Loan unamortized premium | 13 | (13 | ) | — | |||||||||||||||||||||
Allowance for loan losses | (21 | ) | 21 | — | |||||||||||||||||||||
Residential loans held-for-investment | 1,478 | (105 | ) | 1,373 | |||||||||||||||||||||
Deferred bond issuance costs | 1 | (1 | ) | — | |||||||||||||||||||||
Other assets | 5 | — | 5 | ||||||||||||||||||||||
Total assets | 1,482 | (105 | ) | 1,377 | |||||||||||||||||||||
ABS issued principal | 1,428 | (125 | ) | 1,303 | |||||||||||||||||||||
ABS issued unamortized discount | (10 | ) | 10 | — | |||||||||||||||||||||
Total liabilities | 1,418 | (115 | ) | 1,303 | |||||||||||||||||||||
Redwood's investment in consolidated Sequoia entities | $ | 64 | $ | 10 | $ | 74 | |||||||||||||||||||
-1 | Certain totals may not foot due to rounding. | ||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in Consolidated Balance Sheet | Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | Gross Amounts Not Offset in Consolidated | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Mar-15 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 17,554 | $ | — | $ | 17,554 | $ | (2,719 | ) | $ | (10,830 | ) | $ | 4,005 | |||||||||||
TBAs | 4,721 | — | 4,721 | (4,667 | ) | (54 | ) | — | |||||||||||||||||
Total Assets | $ | 22,275 | $ | — | $ | 22,275 | $ | (7,386 | ) | $ | (10,884 | ) | $ | 4,005 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (57,581 | ) | $ | — | $ | (57,581 | ) | $ | 2,719 | $ | 54,862 | $ | — | |||||||||||
TBAs | (8,842 | ) | — | (8,842 | ) | 4,666 | 3,201 | (975 | ) | ||||||||||||||||
Futures | (332 | ) | — | (332 | ) | — | 332 | — | |||||||||||||||||
Loan warehouse debt | (895,895 | ) | — | (895,895 | ) | 895,895 | — | — | |||||||||||||||||
Security repurchase agreements | (606,269 | ) | — | (606,269 | ) | 606,269 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,568,919 | ) | $ | — | $ | (1,568,919 | ) | $ | 1,509,549 | $ | 58,395 | $ | (975 | ) | ||||||||||
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 | Net Amount | |||||||||||||||||||||
Balance Sheet (1) | |||||||||||||||||||||||||
31-Dec-14 | Financial Instruments | Cash Collateral (Received) Pledged | |||||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 7,006 | $ | — | $ | 7,006 | $ | (1,160 | ) | $ | (4,360 | ) | $ | 1,486 | |||||||||||
Credit default index swaps | 1,598 | — | 1,598 | — | (375 | ) | 1,223 | ||||||||||||||||||
TBAs | 6,653 | — | 6,653 | (5,815 | ) | — | 838 | ||||||||||||||||||
Total Assets | $ | 15,257 | $ | — | $ | 15,257 | $ | (6,975 | ) | $ | (4,735 | ) | $ | 3,547 | |||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (48,173 | ) | $ | — | $ | (48,173 | ) | $ | 1,160 | 47,013 | $ | — | ||||||||||||
TBAs | (9,506 | ) | — | (9,506 | ) | 5,815 | 2,715 | (976 | ) | ||||||||||||||||
Futures | (372 | ) | — | (372 | ) | — | 372 | — | |||||||||||||||||
Loan warehouse debt | (1,185,316 | ) | — | (1,185,316 | ) | 1,185,316 | — | — | |||||||||||||||||
Security repurchase agreements | (608,509 | ) | — | (608,509 | ) | 608,509 | — | — | |||||||||||||||||
Total Liabilities | $ | (1,851,876 | ) | $ | — | $ | (1,851,876 | ) | $ | 1,800,800 | $ | 50,100 | $ | (976 | ) | ||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. |
Principles_of_Consolidation_Ta
Principles of Consolidation (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||||
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2015 and 2014. | ||||||||||||||||
Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Principal balance of loans transferred | $ | 338,796 | $ | — | |||||||||||||
Trading securities retained, at fair value | 3,423 | — | |||||||||||||||
AFS securities retained, at fair value | 2,859 | — | |||||||||||||||
MSRs recognized | 1,872 | — | |||||||||||||||
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three months ended March 31, 2015 and 2014 between us and the unconsolidated VIEs sponsored by us. | ||||||||||||||||
Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Proceeds from new transfers | $ | 341,716 | $ | — | |||||||||||||
MSR fees received | 3,770 | 3,423 | |||||||||||||||
Funding of compensating interest | (90 | ) | (33 | ) | |||||||||||||
Cash flows received on retained securities | 12,645 | 12,303 | |||||||||||||||
MSR Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization. | ||||||||||||||||
Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
Issued During The Three Months | |||||||||||||||||
Ended March 31, 2015 | |||||||||||||||||
At Date of Securitization | MSRs | Subordinate Securities | |||||||||||||||
Prepayment rate | 5 - 19 % | 8 | % | ||||||||||||||
Discount rates | 11 | % | 6 | % | |||||||||||||
Credit loss assumptions | N/A | 0.25 | % | ||||||||||||||
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at March 31, 2015 and December 31, 2014, related to unconsolidated securitizations accounted for as sales since 2012. | ||||||||||||||||
Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||
On-balance sheet assets, at fair value: | |||||||||||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | 69,258 | $ | 93,802 | |||||||||||||
Senior and subordinate securities, classified as AFS | 391,296 | 460,990 | |||||||||||||||
Maximum loss exposure (1) | 460,554 | 554,792 | |||||||||||||||
Assets transferred: | |||||||||||||||||
Principal balance of loans outstanding | 7,287,906 | 7,276,825 | |||||||||||||||
Principal balance of delinquent loans 30+ days delinquent | 20,952 | 17,022 | |||||||||||||||
-1 | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities 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. | ||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2015 and December 31, 2014. | ||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||
March 31, 2015 | MSRs | Senior | Subordinate Securities | ||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||
Fair value at March 31, 2015 | $ | 50,156 | $ | 65,809 | $ | 394,745 | |||||||||||
Expected life (in years) (1) | 6 | 6 | 11 | ||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 17 | % | 11 | % | 10 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
10% adverse change | $ | 2,329 | $ | 3,697 | $ | 905 | |||||||||||
25% adverse change | 5,530 | 7,035 | 2,356 | ||||||||||||||
Discount rate assumption (1) | 11 | % | 10 | % | 5 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
100 basis point increase | $ | 1,645 | $ | 2,540 | $ | 30,841 | |||||||||||
200 basis point increase | 3,216 | 4,899 | 57,886 | ||||||||||||||
Credit loss assumption (1) | N/A | 0.25 | % | 0.25 | % | ||||||||||||
Decrease in fair value from: | |||||||||||||||||
10% higher losses | N/A | $ | 345 | $ | 2,397 | ||||||||||||
25% higher losses | N/A | 456 | 5,704 | ||||||||||||||
December 31, 2014 | MSRs | Senior | Subordinate Securities | ||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||
Fair value at December 31, 2014 | $ | 56,801 | $ | 93,802 | $ | 460,990 | |||||||||||
Expected life (in years) (1) | 7 | 6 | 10 | ||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 14 | % | 9 | % | 10 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
10% adverse change | $ | 2,419 | $ | 3,999 | $ | 684 | |||||||||||
25% adverse change | 5,639 | 9,475 | 2,355 | ||||||||||||||
Discount rate assumption (1) | 11 | % | 8 | % | 5 | % | |||||||||||
Decrease in fair value from: | |||||||||||||||||
100 basis point increase | $ | 2,104 | $ | 4,214 | $ | 34,149 | |||||||||||
200 basis point increase | 4,102 | 8,091 | 64,474 | ||||||||||||||
Credit loss assumption (1) | N/A | 0.25 | % | 0.25 | % | ||||||||||||
Decrease in fair value from: | |||||||||||||||||
10% higher losses | N/A | $ | 126 | $ | 3,169 | ||||||||||||
25% higher losses | N/A | 299 | 7,841 | ||||||||||||||
-1 | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. | ||||||||||||||||
Variable Interest Entity, Primary Beneficiary | |||||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||||
Schedule of Variable Interest Entities | Assets and Liabilities of Consolidated VIEs | ||||||||||||||||
March 31, 2015 | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
(Dollars in Thousands) | Entities | ||||||||||||||||
Residential loans, held-for-investment | $ | 1,304,426 | $ | — | $ | — | $ | 1,304,426 | |||||||||
Commercial loans, held-for-investment | — | — | 191,575 | 191,575 | |||||||||||||
Real estate securities | — | 211,316 | — | 211,316 | |||||||||||||
Restricted cash | 147 | — | 135 | 282 | |||||||||||||
Accrued interest receivable | 1,720 | 449 | 1,491 | 3,660 | |||||||||||||
Other assets | 5,304 | — | — | 5,304 | |||||||||||||
Total Assets | $ | 1,311,597 | $ | 211,765 | $ | 193,201 | $ | 1,716,563 | |||||||||
Accrued interest payable | $ | 893 | $ | 10 | $ | 374 | $ | 1,277 | |||||||||
Asset-backed securities issued | 1,239,065 | 34,280 | 79,676 | 1,353,021 | |||||||||||||
Total Liabilities | $ | 1,239,958 | $ | 34,290 | $ | 80,050 | $ | 1,354,298 | |||||||||
Number of VIEs | 24 | 1 | 1 | 26 | |||||||||||||
Variable Interest Entity, Not Primary Beneficiary | |||||||||||||||||
Variable Interest Entity [Line Items] | |||||||||||||||||
Schedule of Variable Interest Entities | Third-Party Sponsored VIE Summary | ||||||||||||||||
(Dollars in Thousands) | March 31, 2015 | ||||||||||||||||
Residential Mortgage Backed Securities | |||||||||||||||||
Senior | $ | 480,200 | |||||||||||||||
Re-REMIC | 169,240 | ||||||||||||||||
Subordinate | 175,250 | ||||||||||||||||
Total Investments in Third-Party Sponsored VIEs | $ | 824,690 | |||||||||||||||
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 3 Months Ended | |||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||
Carrying Values and Estimated Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||||||||||||||
Carrying | Fair | Carrying | Fair | |||||||||||||||||||||||||||||||||
(In Thousands) | Value | Value | Value | Value | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, held-for-sale | ||||||||||||||||||||||||||||||||||||
At fair value | $ | 1,093,413 | $ | 1,093,413 | $ | 1,341,032 | $ | 1,341,032 | ||||||||||||||||||||||||||||
At lower of cost or fair value | 1,472 | 1,663 | 1,488 | 1,669 | ||||||||||||||||||||||||||||||||
Residential loans, held-for-investment (1) | ||||||||||||||||||||||||||||||||||||
At fair value | 2,304,870 | 2,304,870 | 581,668 | 581,668 | ||||||||||||||||||||||||||||||||
At amortized cost | — | — | 1,474,386 | 1,381,918 | ||||||||||||||||||||||||||||||||
Commercial loans, held-for-sale | 54,407 | 54,407 | 166,234 | 166,234 | ||||||||||||||||||||||||||||||||
Commercial loans, held-for-investment | ||||||||||||||||||||||||||||||||||||
At fair value | 72,619 | 72,619 | 71,262 | 71,262 | ||||||||||||||||||||||||||||||||
At amortized cost | 333,316 | 338,932 | 329,431 | 334,876 | ||||||||||||||||||||||||||||||||
Trading securities | 106,837 | 106,837 | 111,606 | 111,606 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 1,178,406 | 1,178,406 | 1,267,624 | 1,267,624 | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | 120,324 | 139,293 | 139,293 | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | 303,820 | 303,820 | 269,730 | 269,730 | ||||||||||||||||||||||||||||||||
Restricted cash | 725 | 725 | 628 | 628 | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 17,970 | 17,970 | 18,222 | 18,222 | ||||||||||||||||||||||||||||||||
Derivative assets | 30,546 | 30,546 | 16,417 | 16,417 | ||||||||||||||||||||||||||||||||
REO (2) | 5,305 | 5,446 | 4,391 | 4,703 | ||||||||||||||||||||||||||||||||
Margin receivable (2) | 79,760 | 79,760 | 65,374 | 65,374 | ||||||||||||||||||||||||||||||||
FHLBC stock (2) | 28,434 | 28,434 | 10,688 | 10,688 | ||||||||||||||||||||||||||||||||
Guarantee asset (2) | 6,118 | 6,118 | 7,201 | 7,201 | ||||||||||||||||||||||||||||||||
Pledged collateral (2) | 10,265 | 10,265 | 9,927 | 9,927 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Short-term debt | $ | 1,502,164 | $ | 1,502,164 | $ | 1,793,825 | $ | 1,793,825 | ||||||||||||||||||||||||||||
Accrued interest payable | 14,319 | 14,319 | 8,502 | 8,502 | ||||||||||||||||||||||||||||||||
Guarantee obligation | 6,917 | 6,917 | 7,201 | 7,201 | ||||||||||||||||||||||||||||||||
Derivative liabilities | 68,064 | 68,064 | 58,331 | 58,331 | ||||||||||||||||||||||||||||||||
ABS issued (1) | ||||||||||||||||||||||||||||||||||||
Fair value | 1,239,065 | 1,239,065 | — | — | ||||||||||||||||||||||||||||||||
Amortized cost | 113,956 | 114,613 | 1,545,119 | 1,446,605 | ||||||||||||||||||||||||||||||||
FHLBC borrowings | 850,792 | 850,792 | 495,860 | 495,860 | ||||||||||||||||||||||||||||||||
Commercial secured borrowings | 68,077 | 68,077 | 66,707 | 66,707 | ||||||||||||||||||||||||||||||||
Convertible notes | 492,500 | 488,243 | 492,500 | 492,188 | ||||||||||||||||||||||||||||||||
Other long-term debt | 139,500 | 97,650 | 139,500 | 101,835 | ||||||||||||||||||||||||||||||||
-1 | Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment and ABS issued by consolidated Sequoia entities began to be recorded at fair value. See Note 3 for further discussion. | |||||||||||||||||||||||||||||||||||
-2 | These assets are included in Other Assets on our consolidated balance sheets. | |||||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2015, as well as the fair value hierarchy of the valuation inputs used to measure fair value. | |||||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Recurring Basis at March 31, 2015 | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Carrying | Fair Value Measurements Using | ||||||||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans | $ | 3,398,283 | $ | — | $ | 200,869 | $ | 3,197,414 | ||||||||||||||||||||||||||||
Commercial loans | 127,026 | — | — | 127,026 | ||||||||||||||||||||||||||||||||
Trading securities | 106,837 | — | — | 106,837 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 1,178,406 | — | — | 1,178,406 | ||||||||||||||||||||||||||||||||
Derivative assets | 30,546 | 4,721 | 17,554 | 8,271 | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | — | — | 120,324 | ||||||||||||||||||||||||||||||||
Pledged collateral | 10,265 | 10,265 | — | — | ||||||||||||||||||||||||||||||||
FHLBC stock | 28,434 | 28,434 | — | — | ||||||||||||||||||||||||||||||||
Guarantee asset | 6,118 | — | — | 6,118 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Derivative liabilities | 68,064 | 9,173 | 58,045 | 846 | ||||||||||||||||||||||||||||||||
Commercial secured borrowings | 68,077 | — | — | 68,077 | ||||||||||||||||||||||||||||||||
ABS issued | 1,239,065 | — | — | 1,239,065 | ||||||||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2015. | |||||||||||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | ||||||||||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Residential Loans | Commercial | Trading Securities | AFS | MSRs | Guarantee Asset | Derivatives(1) | Commercial Secured Borrowings | ABS | ||||||||||||||||||||||||||||
(In Thousands) | Loans | Securities | Issued | |||||||||||||||||||||||||||||||||
Beginning balance - | $ | 1,677,984 | $ | 237,496 | $ | 111,606 | $ | 1,267,624 | $ | 139,293 | $ | 7,201 | $ | 1,119 | $ | 66,707 | $ | — | ||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||||||||||||
Transfer to FVO (2) | 1,370,699 | — | — | — | — | — | — | — | 1,302,216 | |||||||||||||||||||||||||||
Principal paydowns | (111,716 | ) | (240 | ) | (203 | ) | (26,110 | ) | — | — | — | (152 | ) | (66,517 | ) | |||||||||||||||||||||
Amortization income | — | — | — | 9,838 | — | — | — | — | — | |||||||||||||||||||||||||||
Gains (losses) in net income, net | 7,570 | 7,366 | (14,114 | ) | 4,306 | (19,517 | ) | (1,083 | ) | 20,087 | 1,509 | 2,946 | ||||||||||||||||||||||||
Unrealized gains in OCI, net | — | — | — | 3,795 | — | — | — | — | — | |||||||||||||||||||||||||||
Acquisitions | 1,112,042 | 92,713 | 23,084 | 9,831 | 18,754 | — | — | — | — | |||||||||||||||||||||||||||
Sales | (857,249 | ) | (210,309 | ) | (13,536 | ) | (90,878 | ) | (18,206 | ) | — | — | — | — | ||||||||||||||||||||||
Other settlements, net | (1,916 | ) | — | — | — | — | — | (13,781 | ) | 13 | 421 | |||||||||||||||||||||||||
Ending balance - | $ | 3,197,414 | $ | 127,026 | $ | 106,837 | $ | 1,178,406 | $ | 120,324 | $ | 6,118 | $ | 7,425 | $ | 68,077 | $ | 1,239,066 | ||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||||||||||||||||||
(1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis. | ||||||||||||||||||||||||||||||||||||
(2) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See Note 3 for further discussion. | ||||||||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2015 and 2014. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2015 and 2014 are not included in this presentation. | |||||||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2015 and 2014 Included in Net Income | ||||||||||||||||||||||||||||||||||||
Included in Net Income | ||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans at Redwood | $ | 5,464 | $ | 3,483 | ||||||||||||||||||||||||||||||||
Residential loans at consolidated Sequoia entities | 1,179 | — | ||||||||||||||||||||||||||||||||||
Commercial loans | 2,959 | 2,530 | ||||||||||||||||||||||||||||||||||
Trading securities | (13,790 | ) | (4,431 | ) | ||||||||||||||||||||||||||||||||
Available-for-sale securities | — | (113 | ) | |||||||||||||||||||||||||||||||||
MSRs | (11,769 | ) | (2,291 | ) | ||||||||||||||||||||||||||||||||
Loan purchase commitments | 7,422 | — | ||||||||||||||||||||||||||||||||||
Other assets - Guarantee asset | (1,083 | ) | — | |||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
Loan purchase commitments | — | (235 | ) | |||||||||||||||||||||||||||||||||
Commercial secured borrowing | (1,509 | ) | — | |||||||||||||||||||||||||||||||||
ABS issued | (2,946 | ) | — | |||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2015. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our balance sheet at March 31, 2015. | |||||||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2015 | ||||||||||||||||||||||||||||||||||||
Gain (Loss) for | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Carrying | Fair Value Measurements Using | Three Months Ended | |||||||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | March 31, 2015 | |||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 1,103 | $ | — | $ | — | $ | 1,103 | $ | — | ||||||||||||||||||||||||||
REO | 3,410 | — | — | 3,410 | (74 | ) | ||||||||||||||||||||||||||||||
Market Valuation Adjustments, Net | The following table presents the components of market valuation adjustments, net, recorded in our consolidated statements of income for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||||||||||
Market Valuation Adjustments, Net | ||||||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Mortgage banking activities | ||||||||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 2,056 | $ | 7,128 | ||||||||||||||||||||||||||||||||
Commercial loans, at fair value | 5,857 | 3,626 | ||||||||||||||||||||||||||||||||||
Sequoia IO securities | (14,359 | ) | (4,277 | ) | ||||||||||||||||||||||||||||||||
Risk management derivatives, net | (10,583 | ) | (7,082 | ) | ||||||||||||||||||||||||||||||||
Loan purchase and forward sale commitments | 18,256 | 8 | ||||||||||||||||||||||||||||||||||
Total mortgage banking activities(1) | 1,227 | (597 | ) | |||||||||||||||||||||||||||||||||
MSRs | (19,517 | ) | (2,711 | ) | ||||||||||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 2 | $ | (2 | ) | |||||||||||||||||||||||||||||||
Consolidated Sequoia entities (2) | (1,093 | ) | — | |||||||||||||||||||||||||||||||||
Residential loans held-for-investment, at Redwood | 1,978 | — | ||||||||||||||||||||||||||||||||||
Trading securities | 270 | (154 | ) | |||||||||||||||||||||||||||||||||
Impairments on AFS securities | — | (113 | ) | |||||||||||||||||||||||||||||||||
Other risk management derivative instruments, net | (1,374 | ) | (5,727 | ) | ||||||||||||||||||||||||||||||||
Guarantee asset | (1,083 | ) | — | |||||||||||||||||||||||||||||||||
Other | 155 | (142 | ) | |||||||||||||||||||||||||||||||||
Total other | (1,145 | ) | (6,138 | ) | ||||||||||||||||||||||||||||||||
Total Market Valuation Adjustments, Net | $ | (19,435 | ) | $ | (9,446 | ) | ||||||||||||||||||||||||||||||
-1 | Income from mortgage banking activities presented above does not include fee income or provisions for repurchases that is a component of mortgage banking income presented on our consolidated statements of income as these amounts do not represent a market valuation adjustment. | |||||||||||||||||||||||||||||||||||
-2 | On January 1, 2015, we adopted ASU 2014-13 and began to record the assets and liabilities of consolidated Sequoia entities at fair value. This amount represents the net change in fair value of the consolidated assets and liabilities of these entities, which include residential loans held-for-investment, REO, and ABS issued. This amount also represents the estimated change in value of our retained interests in these entities. See Note 3 for further discussion. | |||||||||||||||||||||||||||||||||||
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. | |||||||||||||||||||||||||||||||||||
Fair Value Methodology for Level 3 Financial Instruments | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | Fair | Weighted | ||||||||||||||||||||||||||||||||||
(Dollars in Thousands, except input values) | Value | Unobservable Input | Range | Average | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||
Residential loans, at fair value: | ||||||||||||||||||||||||||||||||||||
Jumbo fixed rate loans priced to securitization | $ | 1,334,594 | IO Multiple | 4.0 - 4.6 | x | 4.2 | x | |||||||||||||||||||||||||||||
or to whole loan market and uncommitted to sell | ||||||||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 15-Dec | % | 14 | % | ||||||||||||||||||||||||||||||||
Senior spread to TBA price | $3.13 - 3.13 | $ | 3.13 | |||||||||||||||||||||||||||||||||
Subordinate spread to swap rate | 315 - 315 | bps | 315 | bps | ||||||||||||||||||||||||||||||||
Credit support | 8-Aug | % | 8 | % | ||||||||||||||||||||||||||||||||
Whole loan spread to TBA price | $3.10 - 4.50 | $ | 4.35 | |||||||||||||||||||||||||||||||||
Jumbo hybrid loans priced to whole loan market | 137,168 | Prepayment rate (Annual CPR) | 15 - 15 | % | 15 | % | ||||||||||||||||||||||||||||||
and uncommitted to sell | ||||||||||||||||||||||||||||||||||||
Spread to swap rate | 125 - 165 | bps | 134 | bps | ||||||||||||||||||||||||||||||||
Jumbo loans priced to whole loan market and | 421,226 | Committed Sales Price | $102 - 103 | $ | 103 | |||||||||||||||||||||||||||||||
committed to sell | ||||||||||||||||||||||||||||||||||||
Loans held by consolidated Sequoia entities (1) | 1,304,426 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 1,103 | Loss severity | 13 - 30 | % | 20 | % | ||||||||||||||||||||||||||||||
Commercial loans, at fair value | 127,026 | Spread to swap rate | 147 - 156 | bps | 154 | bps | ||||||||||||||||||||||||||||||
Credit support | 22 - 23 | % | 23 | % | ||||||||||||||||||||||||||||||||
Trading and AFS securities | 1,285,243 | Discount rate | 12-Apr | % | 6 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | Jan-35 | % | 12 | % | ||||||||||||||||||||||||||||||||
Default rate | 0 - 35 | % | 8 | % | ||||||||||||||||||||||||||||||||
Loss severity | 20 - 64 | % | 34 | % | ||||||||||||||||||||||||||||||||
Credit support | 0 - 48 | % | 10 | % | ||||||||||||||||||||||||||||||||
MSRs | 120,324 | Discount rate | 11-Sep | % | 10 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | Apr-60 | % | 14 | % | ||||||||||||||||||||||||||||||||
Per loan annual cost to service | $ 72 - 82 | $ | 77 | |||||||||||||||||||||||||||||||||
Guarantee asset | 6,118 | Discount rate | 11-Nov | % | 11 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 27-May | % | 12 | % | ||||||||||||||||||||||||||||||||
REO | 3,410 | Loss severity | 31 - 66 | % | 46 | % | ||||||||||||||||||||||||||||||
Loan purchase commitments, net (2) | 7,425 | MSR Multiple | 0.0 - 5.7 | x | 3.5 | x | ||||||||||||||||||||||||||||||
Fallout rate | Feb-98 | % | 33 | % | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||
ABS issued by consolidated Sequoia entities (1) | 1,239,065 | Discount rate | 8-Apr | % | 5 | % | ||||||||||||||||||||||||||||||
Prepayment rate (Annual CPR) | 0 - 31 | % | 13 | % | ||||||||||||||||||||||||||||||||
Default rate | 0 - 12 | % | 6 | % | ||||||||||||||||||||||||||||||||
Loss severity | 20 - 32 | % | 26 | % | ||||||||||||||||||||||||||||||||
Credit support | 0 - 65 | % | 11 | % | ||||||||||||||||||||||||||||||||
Commercial secured financing | 68,077 | Spread to swap rate | 156 - 156 | bps | 156 | bps | ||||||||||||||||||||||||||||||
Credit support | 23 - 23 | % | 23 | % | ||||||||||||||||||||||||||||||||
(1) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated Sequoia entities began to be recorded at fair value. In accordance with this new guidance, the fair value of the loans in these entities were based on the fair value of the liabilities issued by these entities, which we determined were more readily observable. See Note 3 for further discussion. | ||||||||||||||||||||||||||||||||||||
(2) For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net. |
Residential_Loans_Tables
Residential Loans (Tables) (Residential Loans) | 3 Months Ended | ||||||||||||
Mar. 31, 2015 | |||||||||||||
Residential Loans | |||||||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||||||
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at March 31, 2015 and December 31, 2014. | ||||||||||||
31-Mar-15 | |||||||||||||
(In Thousands) | Redwood | Sequoia (1) | Total | ||||||||||
Held-for-sale | |||||||||||||
Fair value - conforming | $ | 200,869 | $ | — | $ | 200,869 | |||||||
Fair value - jumbo | 892,544 | — | 892,544 | ||||||||||
Lower of cost or fair value | 1,472 | — | 1,472 | ||||||||||
Held-for-investment | |||||||||||||
Fair value - Jumbo | 1,000,444 | 1,304,426 | 2,304,870 | ||||||||||
Total Residential Loans | $ | 2,095,329 | $ | 1,304,426 | $ | 3,399,755 | |||||||
31-Dec-14 | |||||||||||||
(In Thousands) | Redwood | Sequoia (1) | Total | ||||||||||
Held-for-sale | |||||||||||||
Fair value - conforming | $ | 244,714 | $ | — | $ | 244,714 | |||||||
Fair value - jumbo | 1,096,317 | — | 1,096,317 | ||||||||||
Lower of cost or fair value | 1,488 | — | 1,488 | ||||||||||
Held-for-investment | |||||||||||||
Fair value - jumbo | 581,668 | — | 581,668 | ||||||||||
At amortized cost | — | 1,474,386 | 1,474,386 | ||||||||||
Total Residential Loans | $ | 1,924,187 | $ | 1,474,386 | $ | 3,398,573 | |||||||
-1 | Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment at consolidated Sequoia entities began to be recorded at fair value. See Note 3 for further discussion. | ||||||||||||
Carrying Value for Loans Held-for-Investment | The following table details the carrying value for residential loans held-for-investment at consolidated Sequoia entities at March 31, 2015 and December 31, 2014. | ||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||
Principal balance | $ | 1,415,017 | $ | 1,483,213 | |||||||||
Unamortized premium, net | — | 12,511 | |||||||||||
Allowance for loan losses | — | (21,338 | ) | ||||||||||
Valuation adjustment | (110,591 | ) | — | ||||||||||
Carrying value | $ | 1,304,426 | $ | 1,474,386 | |||||||||
Commercial_Loans_Tables
Commercial Loans (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Commercial Loans Held For Investment | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Commercial Loans Held-for-Investment by Risk Category | The following table presents the principal balance of commercial loans held-for-investment by risk category. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Pass | $ | 320,075 | $ | 316,122 | |||||
Watch list | 25,571 | 25,628 | |||||||
Total Commercial Loans Held-for-Investment | $ | 345,646 | $ | 341,750 | |||||
Commercial Loans | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying value of commercial loans at March 31, 2015 and December 31, 2014. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Held-for-sale, at fair value | $ | 54,407 | $ | 166,234 | |||||
Held-for-investment | |||||||||
At fair value | 72,619 | 71,262 | |||||||
At amortized cost | 333,316 | 329,431 | |||||||
Total Commercial Loans | $ | 460,342 | $ | 566,927 | |||||
Carrying Value for Loans Held-for-Investment | The following table provides additional information for our commercial loans held-for-investment at amortized cost at March 31, 2015 and December 31, 2014. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Principal balance | $ | 345,646 | $ | 341,750 | |||||
Unamortized discount, net | (4,668 | ) | (4,862 | ) | |||||
Recorded investment | 340,978 | 336,888 | |||||||
Allowance for loan losses | (7,662 | ) | (7,457 | ) | |||||
Carrying Value | $ | 333,316 | $ | 329,431 | |||||
Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for commercial loan losses for the three months ended March 31, 2015 and 2014. | ||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Balance at beginning of period | $ | 7,456 | $ | 7,373 | |||||
Charge-offs, net | — | — | |||||||
Provision for loan losses | 206 | 655 | |||||||
Balance at End of Period | $ | 7,662 | $ | 8,028 | |||||
Collectively Evaluated for Impairment | Commercial Loans | |||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||||
Loans Evaluated for Impairment | The following table summarizes the balances for loans collectively evaluated for impairment at March 31, 2015 and December 31, 2014. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Principal balance | $ | 345,646 | $ | 341,750 | |||||
Recorded investment | 340,978 | 336,888 | |||||||
Related allowance | 7,662 | 7,457 | |||||||
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Fair Values of Real Estate Securities | The following table presents the fair values of our real estate securities by type at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Trading | $ | 106,837 | $ | 111,606 | |||||||||||||||||||||
Available-for-sale | 1,178,406 | 1,267,624 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,285,243 | $ | 1,379,230 | |||||||||||||||||||||
Trading Securities by Collateral Type | The following table presents trading securities by collateral type at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 65,809 | $ | 93,802 | |||||||||||||||||||||
Non-prime | 7,454 | 7,951 | |||||||||||||||||||||||
Total Senior Securities | 73,263 | 101,753 | |||||||||||||||||||||||
Prime Subordinate Securities | 33,574 | 9,853 | |||||||||||||||||||||||
Total Trading Securities | $ | 106,837 | $ | 111,606 | |||||||||||||||||||||
Available for Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 297,872 | $ | 307,813 | |||||||||||||||||||||
Non-prime | 174,874 | 179,744 | |||||||||||||||||||||||
Total Senior Securities | 472,746 | 487,557 | |||||||||||||||||||||||
Re-REMIC Securities | 169,239 | 168,347 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime Mezzanine (1) | 370,391 | 448,838 | |||||||||||||||||||||||
Subordinate (2) | 166,030 | 162,882 | |||||||||||||||||||||||
Total Subordinate Securities | 536,421 | 611,720 | |||||||||||||||||||||||
Total AFS Securities | $ | 1,178,406 | $ | 1,267,624 | |||||||||||||||||||||
(1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later. | |||||||||||||||||||||||||
(2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2015, and December 31, 2014. | |||||||||||||||||||||||||
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
Carrying Value of AFS Securities | |||||||||||||||||||||||||
March 31, 2015 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 302,046 | $ | 190,790 | $ | 194,296 | $ | 648,490 | $ | 1,335,622 | |||||||||||||||
Credit reserve | (2,830 | ) | (9,027 | ) | (12,667 | ) | (39,060 | ) | (63,584 | ) | |||||||||||||||
Unamortized discount, net | (32,645 | ) | (29,791 | ) | (79,401 | ) | (144,545 | ) | (286,382 | ) | |||||||||||||||
Amortized cost | 266,571 | 151,972 | 102,228 | 464,885 | 985,656 | ||||||||||||||||||||
Gross unrealized gains | 33,313 | 22,984 | 67,011 | 72,328 | 195,636 | ||||||||||||||||||||
Gross unrealized losses | (2,012 | ) | (82 | ) | — | (792 | ) | (2,886 | ) | ||||||||||||||||
Carrying Value | $ | 297,872 | $ | 174,874 | $ | 169,239 | $ | 536,421 | $ | 1,178,406 | |||||||||||||||
December 31, 2014 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 311,573 | $ | 196,258 | $ | 195,098 | $ | 742,150 | $ | 1,445,079 | |||||||||||||||
Credit reserve | (3,660 | ) | (9,644 | ) | (15,202 | ) | (41,561 | ) | (70,067 | ) | |||||||||||||||
Unamortized discount, net | (34,782 | ) | (31,491 | ) | (79,611 | ) | (150,458 | ) | (296,342 | ) | |||||||||||||||
Amortized cost | 273,131 | 155,123 | 100,285 | 550,131 | 1,078,670 | ||||||||||||||||||||
Gross unrealized gains | 35,980 | 24,682 | 68,062 | 63,026 | 191,750 | ||||||||||||||||||||
Gross unrealized losses | (1,298 | ) | (61 | ) | — | (1,437 | ) | (2,796 | ) | ||||||||||||||||
Carrying Value | $ | 307,813 | $ | 179,744 | $ | 168,347 | $ | 611,720 | $ | 1,267,624 | |||||||||||||||
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three ended March 31, 2015, in unamortized discount and designated credit reserves on residential AFS securities. | ||||||||||||||||||||||||
Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||||||
Credit | Unamortized | ||||||||||||||||||||||||
(In Thousands) | Reserve | Discount, Net | |||||||||||||||||||||||
Beginning balance | $ | 70,067 | $ | 296,342 | |||||||||||||||||||||
Amortization of net discount | — | (9,838 | ) | ||||||||||||||||||||||
Realized credit losses | (2,945 | ) | — | ||||||||||||||||||||||
Acquisitions | — | 2,672 | |||||||||||||||||||||||
Sales, calls, other | — | (6,332 | ) | ||||||||||||||||||||||
Impairments | — | — | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | (3,538 | ) | 3,538 | ||||||||||||||||||||||
Ending Balance | $ | 63,584 | $ | 286,382 | |||||||||||||||||||||
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | ||||||||||||||||||||||||
Amortized | Unrealized | Fair | Amortized | Unrealized | Fair | ||||||||||||||||||||
(In Thousands) | Cost | Losses | Value | Cost | Losses | ||||||||||||||||||||
March 31, 2015 | $ | 143,665 | $ | (1,798 | ) | $ | 141,867 | $ | 36,468 | $ | (1,088 | ) | $ | 35,380 | |||||||||||
December 31, 2014 | 126,681 | (1,374 | ) | 125,307 | 70,676 | (1,422 | ) | 69,254 | |||||||||||||||||
Summary of Significant Valuation Assumptions for Available for Sale Securities | The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at March 31, 2015. | ||||||||||||||||||||||||
Significant Valuation Assumptions | |||||||||||||||||||||||||
Range for Securities | |||||||||||||||||||||||||
March 31, 2015 | Prime | Non-prime | |||||||||||||||||||||||
Prepayment rates | 8 - 16% | 10 - 10% | |||||||||||||||||||||||
Projected losses | 1 - 18% | 14 - 18% | |||||||||||||||||||||||
Activity of Credit Component of Other-than-Temporary Impairments | The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at March 31, 2015 and 2014, for which a portion of an OTTI was recognized in other comprehensive income. | ||||||||||||||||||||||||
Activity of the Credit Component of Other-than-Temporary Impairments | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||||||||||
Balance at beginning of period | $ | 33,849 | $ | 37,149 | |||||||||||||||||||||
Additions | |||||||||||||||||||||||||
Initial credit impairments | — | 71 | |||||||||||||||||||||||
Subsequent credit impairments | — | 42 | |||||||||||||||||||||||
Reductions | |||||||||||||||||||||||||
Securities sold, or expected to sell | (95 | ) | — | ||||||||||||||||||||||
Securities with no outstanding principal at period end | (805 | ) | (1,476 | ) | |||||||||||||||||||||
Balance at End of Period | $ | 32,949 | $ | 35,786 | |||||||||||||||||||||
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||||||||||
Gross realized gains - sales | $ | 4,306 | $ | — | |||||||||||||||||||||
Gross realized gains - calls | — | 987 | |||||||||||||||||||||||
Gross realized losses - sales | — | — | |||||||||||||||||||||||
Gross realized losses - calls | — | — | |||||||||||||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 4,306 | $ | 987 | |||||||||||||||||||||
Mortgage_Servicing_Rights_Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Transfers and Servicing [Abstract] | |||||||||||||||||
Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans | The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of March 31, 2015 and December 31, 2014. | ||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
(In Thousands) | MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | |||||||||||||
Mortgage Servicing Rights | |||||||||||||||||
Conforming Loans | $ | 69,203 | $ | 6,800,645 | $ | 81,301 | $ | 7,705,146 | |||||||||
Jumbo Loans | 51,121 | 5,851,993 | 57,992 | 5,962,784 | |||||||||||||
Total Mortgage Servicing Rights | $ | 120,324 | $ | 12,652,638 | $ | 139,293 | $ | 13,667,930 | |||||||||
Activity for Residential First-Lien Mortgage Servicing Rights | The following table presents activity for MSRs for the three months ended March 31, 2015 and 2014. | ||||||||||||||||
MSR Activity | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Balance at beginning of period | $ | 139,293 | $ | 64,824 | |||||||||||||
Additions | 18,754 | 2,858 | |||||||||||||||
Sales | (18,206 | ) | — | ||||||||||||||
Changes in fair value due to: | |||||||||||||||||
Changes in assumptions (1) | (14,036 | ) | (1,125 | ) | |||||||||||||
Other changes (2) | (5,481 | ) | (1,586 | ) | |||||||||||||
Balance at End of Period | $ | 120,324 | $ | 64,971 | |||||||||||||
-1 | Primarily reflects changes in prepayment assumptions due to changes in market interest rates. | ||||||||||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||||||||||
Details of Retention and Purchase of MSRs | The following table details the retention and purchase of MSRs during the three months ended March 31, 2015. | ||||||||||||||||
MSR Additions | |||||||||||||||||
(In Thousands) | Three Months Ended March 31, 2015 | ||||||||||||||||
MSR Fair Value | Associated Principal | ||||||||||||||||
Jumbo MSR additions: | |||||||||||||||||
From securitization | $ | 1,872 | $ | 227,852 | |||||||||||||
From loan sales | 92 | 10,145 | |||||||||||||||
Total jumbo MSR additions | 1,964 | 237,997 | |||||||||||||||
Conforming MSR additions: | |||||||||||||||||
From loan sales | $ | 13,711 | $ | 1,352,658 | |||||||||||||
From purchases | 3,079 | 318,338 | |||||||||||||||
Total conforming MSR additions | 16,790 | 1,670,996 | |||||||||||||||
Total MSR additions | $ | 18,754 | $ | 1,908,993 | |||||||||||||
Components of Mortgage Servicing Rights Income | The following table presents the components of our MSR income. | ||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Servicing income | |||||||||||||||||
Income | $ | 9,716 | $ | 3,633 | |||||||||||||
Cost of sub-servicer | (1,229 | ) | (316 | ) | |||||||||||||
Net servicing income | 8,487 | 3,317 | |||||||||||||||
Market valuation adjustments | (19,517 | ) | (2,711 | ) | |||||||||||||
MSR provision for repurchases | 106 | — | |||||||||||||||
MSR income (loss) | $ | (10,924 | ) | $ | 606 | ||||||||||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2015 and December 31, 2014. | ||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
Fair | Notional | Fair | Notional | ||||||||||||||
(In Thousands) | Value | Amount | Value | Amount | |||||||||||||
Assets - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | $ | 1,768 | $ | 158,000 | $ | — | $ | — | |||||||||
TBAs | 4,721 | 691,000 | 6,654 | 1,074,000 | |||||||||||||
Futures | — | — | — | — | |||||||||||||
Swaptions | 15,786 | 825,000 | 7,006 | 575,000 | |||||||||||||
Credit default index swaps | — | — | 1,597 | 50,000 | |||||||||||||
Assets - Other Derivatives | |||||||||||||||||
Loan purchase commitments | 8,271 | 1,405,347 | 1,160 | 288,467 | |||||||||||||
Loan forward sale commitments | — | — | — | — | |||||||||||||
Total Assets | $ | 30,546 | $ | 3,079,347 | $ | 16,417 | $ | 1,987,467 | |||||||||
Liabilities - Cash Flow Hedges | |||||||||||||||||
Interest rate swaps | $ | (55,284 | ) | $ | 139,500 | $ | (46,845 | ) | $ | 139,500 | |||||||
Liabilities - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | (2,297 | ) | 190,500 | (1,328 | ) | 206,000 | |||||||||||
TBAs | (8,842 | ) | 1,230,000 | (9,506 | ) | 1,110,000 | |||||||||||
Futures | (332 | ) | 72,000 | (372 | ) | 90,000 | |||||||||||
Liabilities - Other Derivatives | |||||||||||||||||
Loan purchase commitments | (846 | ) | 387,051 | (41 | ) | 27,324 | |||||||||||
Loan forward sale commitments | (463 | ) | 99,475 | (239 | ) | 102,793 | |||||||||||
Total Liabilities | $ | (68,064 | ) | $ | 2,118,526 | $ | (58,331 | ) | $ | 1,675,617 | |||||||
Total Derivative Financial Instruments, Net | $ | (37,518 | ) | $ | 5,197,873 | $ | (41,914 | ) | $ | 3,663,084 | |||||||
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2015 and 2014. | ||||||||||||||||
Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands) | 2015 | 2014 | |||||||||||||||
Net interest expense on cash interest rate agreements | $ | (1,484 | ) | $ | (1,488 | ) | |||||||||||
Realized expense due to ineffective portion of cash flow hedges | — | — | |||||||||||||||
Realized net losses reclassified from other comprehensive income | (31 | ) | (60 | ) | |||||||||||||
Total Interest Expense | $ | (1,515 | ) | $ | (1,548 | ) |
Other_Assets_and_Liabilities_T
Other Assets and Liabilities (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||
Summary of Other Assets | Other assets at March 31, 2015 and December 31, 2014, are summarized in the following table. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Margin receivable | $ | 79,760 | $ | 65,374 | |||||
Investment receivable | 31,578 | 1,103 | |||||||
FHLBC stock | 28,434 | 10,688 | |||||||
Pledged collateral | 10,265 | 9,927 | |||||||
Guarantee asset | 6,118 | 7,201 | |||||||
Income tax receivables | 5,786 | 175 | |||||||
REO | 5,305 | 4,391 | |||||||
Deposits | 5,000 | 5,000 | |||||||
Prepaid expenses | 2,816 | 3,372 | |||||||
Fixed assets and leasehold improvements (1) | 3,868 | 3,008 | |||||||
Other | 4,062 | 3,657 | |||||||
Total Other Assets | $ | 182,992 | $ | 113,896 | |||||
-1 | Fixed assets have a basis of $6 million and accumulated depreciation of $4 million at March 31, 2015. | ||||||||
Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at March 31, 2015 and December 31, 2014 are summarized in the following table. | ||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||
Margin payable | $ | 15,007 | $ | 6,455 | |||||
Unsettled trades | 11,050 | — | |||||||
Accrued compensation | 8,518 | 19,273 | |||||||
Guarantee obligation | 6,917 | 7,201 | |||||||
Residential repurchase reserve | 4,292 | 3,724 | |||||||
Accrued operating expenses | 3,096 | 3,334 | |||||||
Legal reserve | 2,000 | 2,000 | |||||||
Income tax payable | 721 | — | |||||||
Other | 8,534 | 10,257 | |||||||
Total Other Liabilities | $ | 60,135 | $ | 52,244 | |||||
ShortTerm_Debt_Tables
Short-Term Debt (Tables) | 3 Months Ended | ||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt | The table below summarizes the facilities that are available to us and the balances of short-term debt at March 31, 2015 and December 31, 2014 by the type of collateral securing the debt. | ||||||||||||||||||
Short-Term Debt | |||||||||||||||||||
March 31, 2015 | |||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding | Limit | Maturity | |||||||||||||||
Collateral Type | |||||||||||||||||||
Residential loans | 5 | $ | 815,037 | $ | 1,550,000 | 4/2015-2/2016 | |||||||||||||
Commercial loans | 3 | 80,858 | 400,000 | 4/2015-10/2016 | |||||||||||||||
Real estate securities | 10 | 606,269 | — | 4/2015-6/2015 | |||||||||||||||
Total | 18 | $ | 1,502,164 | ||||||||||||||||
December 31, 2014 | |||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding | Limit | Maturity | |||||||||||||||
Collateral Type | |||||||||||||||||||
Residential loans | 5 | $ | 1,076,188 | $ | 1,550,000 | 2/2015-12/2015 | |||||||||||||
Commercial loans | 3 | 109,128 | 400,000 | 4/2015-10/2016 | |||||||||||||||
Real estate securities | 9 | 608,509 | — | 1/2015-3/2015 | |||||||||||||||
Total | 17 | $ | 1,793,825 | ||||||||||||||||
Short-Term Debt by Weighted Average Interest Rates and Collateral Type | The table below summarizes short-term debt by weighted average interest rates and by collateral type at March 31, 2015 and December 31, 2014. | ||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||
(Dollars in Thousands) | Amount Borrowed | Weighted Average Interest Rate | Weighted Average Days Until Maturity | Amount Borrowed | Weighted Average Interest Rate | Weighted Average Days Until Maturity | |||||||||||||
Collateral Type | |||||||||||||||||||
Residential loan collateral | $ | 815,037 | 1.74 | % | 191 | $ | 1,076,188 | 1.74 | % | 156 | |||||||||
Commercial loan collateral | 80,858 | 4.4 | % | 288 | 109,128 | 3.66 | % | 185 | |||||||||||
Real estate securities collateral | 606,269 | 1.38 | % | 26 | 608,509 | 1.38 | % | 20 | |||||||||||
Total Short-Term Debt | $ | 1,502,164 | 1.74 | % | 130 | $ | 1,793,825 | 1.73 | % | 112 | |||||||||
Remaining Maturities of Short Term Debt | The following table presents the remaining maturities of short-term debt at March 31, 2015 and December 31, 2014. | ||||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||||
Within 30 days | $ | 427,720 | $ | 515,552 | |||||||||||||||
31 to 90 days | 269,050 | 447,021 | |||||||||||||||||
Over 90 days | 805,394 | 831,252 | |||||||||||||||||
Total Short-Term Debt | $ | 1,502,164 | $ | 1,793,825 | |||||||||||||||
AssetBacked_Securities_Issued_
Asset-Backed Securities Issued (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | The carrying values of ABS issued by consolidated securitization entities we sponsored at March 31, 2015 and December 31, 2014, along with other selected information, are summarized in the following table. | ||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Certificates with principal balance | $ | 1,359,646 | $ | 34,280 | $ | 79,676 | $ | 1,473,602 | |||||||||
Interest-only certificates | 5,622 | — | — | 5,622 | |||||||||||||
Market valuation adjustments (1) | (126,203 | ) | — | — | (126,203 | ) | |||||||||||
Total ABS Issued | $ | 1,239,065 | $ | 34,280 | $ | 79,676 | $ | 1,353,021 | |||||||||
Range of weighted average interest rates, by series | 0.38% to 4.30% | 2.17 | % | 5.62 | % | ||||||||||||
Stated maturities | 2017-2041 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
(1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for further discussion. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Certificates with principal balance | $ | 1,427,056 | $ | 45,044 | $ | 83,313 | $ | 1,555,413 | |||||||||
Interest-only certificates | 2,079 | — | — | 2,079 | |||||||||||||
Unamortized discount | (12,373 | ) | — | — | (12,373 | ) | |||||||||||
Total ABS Issued | $ | 1,416,762 | $ | 45,044 | $ | 83,313 | $ | 1,545,119 | |||||||||
Range of weighted average interest rates, by series | 0.36% to 4.27% | 2.16 | % | 5.62 | % | ||||||||||||
Stated maturities | 2014 - 2041 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
Summary of Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at March 31, 2015 and December 31, 2014. Interest due on consolidated ABS issued is payable monthly. | ||||||||||||||||
Accrued Interest Payable on Asset-Backed Securities Issued | |||||||||||||||||
(In Thousands) | March 31, 2015 | December 31, 2014 | |||||||||||||||
Sequoia | $ | 893 | $ | 976 | |||||||||||||
Residential Resecuritization | 10 | 5 | |||||||||||||||
Commercial Securitization | 374 | 390 | |||||||||||||||
Total Accrued Interest Payable on ABS Issued | $ | 1,277 | $ | 1,371 | |||||||||||||
Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at March 31, 2015 and December 31, 2014. | ||||||||||||||||
Collateral for Asset-Backed Securities Issued | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
(In Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Residential loans | $ | 1,304,426 | $ | — | $ | — | $ | 1,304,426 | |||||||||
Commercial loans | — | — | 191,575 | $ | 191,575 | ||||||||||||
Real estate securities | — | 211,316 | — | $ | 211,316 | ||||||||||||
Restricted cash | 147 | — | 135 | $ | 282 | ||||||||||||
Accrued interest receivable | 1,720 | 449 | 1,491 | $ | 3,660 | ||||||||||||
REO | 5,304 | — | — | $ | 5,304 | ||||||||||||
Total Collateral for ABS Issued | $ | 1,311,597 | $ | 211,765 | $ | 193,201 | $ | 1,716,563 | |||||||||
December 31, 2014 | |||||||||||||||||
(In Thousands) | Sequoia | Residential Resecuritization | Commercial Securitization | Total | |||||||||||||
Residential loans | $ | 1,474,386 | $ | — | $ | — | $ | 1,474,386 | |||||||||
Commercial loans | — | — | 194,991 | $ | 194,991 | ||||||||||||
Real estate securities | — | 221,676 | — | $ | 221,676 | ||||||||||||
Restricted cash | 147 | 43 | 137 | $ | 327 | ||||||||||||
Accrued interest receivable | 2,359 | 477 | 1,511 | $ | 4,347 | ||||||||||||
REO | 4,391 | — | — | $ | 4,391 | ||||||||||||
Total Collateral for ABS Issued | $ | 1,481,283 | $ | 222,196 | $ | 196,639 | $ | 1,900,118 | |||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 3 Months Ended | ||||
Mar. 31, 2015 | |||||
Commitments and Contingencies Disclosure [Abstract] | |||||
Future Lease Commitments | The following table presents our future lease commitments at March 31, 2015. | ||||
Future Lease Commitments by Year | |||||
(In Thousands) | March 31, 2015 | ||||
2015 (9 months) | $ | 2,123 | |||
2016 | 2,833 | ||||
2017 | 2,879 | ||||
2018 | 1,827 | ||||
2019 | 1,189 | ||||
2020 and thereafter | 1,495 | ||||
Total Lease Commitments | $ | 12,346 | |||
Equity_Tables
Equity (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Equity [Abstract] | |||||||||||||||||
Changes to Accumulated Other Comprehensive Income (Loss) by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the three months ended March 31, 2015 and 2014. | ||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | |||||||||||||||||
Three Months Ended March 31, 2015 | Three Months Ended March 31, 2014 | ||||||||||||||||
(In Thousands) | Net unrealized gains on available-for-sale securities | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | Net unrealized gains on available-for-sale securities | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||||||||||
Balance at beginning of period | $ | 186,737 | $ | (46,049 | ) | $ | 164,654 | $ | (15,888 | ) | |||||||
Other comprehensive income (loss) | 5,053 | (8,442 | ) | 19,323 | (8,795 | ) | |||||||||||
before reclassifications | |||||||||||||||||
Amounts reclassified from other | (1,690 | ) | 31 | 1,298 | 60 | ||||||||||||
accumulated comprehensive income | |||||||||||||||||
Net current-period other comprehensive income (loss) | 3,363 | (8,411 | ) | 20,621 | (8,735 | ) | |||||||||||
Balance at End of Period | $ | 190,100 | $ | (54,460 | ) | $ | 185,275 | $ | (24,623 | ) | |||||||
Reclassifications out of Accumulated Other Comprehensive Income (Loss) | The following table provides a summary of reclassifications out of accumulated other comprehensive income for three months ended March 31, 2015 and 2014. | ||||||||||||||||
Reclassifications Out of Accumulated Other Comprehensive Income | |||||||||||||||||
Amount Reclassified From Accumulated Other Comprehensive Income | |||||||||||||||||
Affected Line Item in the | Three Months Ended March 31, | ||||||||||||||||
(In Thousands) | Income Statement | 2015 | 2014 | ||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | — | $ | 1,298 | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | $ | (1,690 | ) | $ | — | |||||||||||
$ | (1,690 | ) | $ | 1,298 | |||||||||||||
Net realized gains on interest rate | |||||||||||||||||
agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 31 | $ | 60 | ||||||||||||
$ | 31 | $ | 60 | ||||||||||||||
Basic and Diluted Earnings (Loss) Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three months ended March 31, 2015 and 2014. | ||||||||||||||||
Basic and Diluted Earnings Per Common Share | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
(In Thousands, Except Share Data) | 2015 | 2014 | |||||||||||||||
Basic Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 14,801 | $ | 12,333 | |||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (822 | ) | (702 | ) | |||||||||||||
Net income allocated to common shareholders | $ | 13,979 | $ | 11,631 | |||||||||||||
Basic weighted average common shares outstanding | 83,360,312 | 82,410,562 | |||||||||||||||
Basic Earnings Per Common Share | $ | 0.17 | $ | 0.14 | |||||||||||||
Diluted Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 14,801 | $ | 12,333 | |||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (822 | ) | (702 | ) | |||||||||||||
Net income allocated to common shareholders | $ | 13,979 | $ | 11,631 | |||||||||||||
Weighted average common shares outstanding | 83,360,312 | 82,410,562 | |||||||||||||||
Net effect of dilutive equity awards | 2,261,904 | 2,529,978 | |||||||||||||||
Diluted weighted average common shares outstanding | 85,622,216 | 84,940,540 | |||||||||||||||
Diluted Earnings Per Common Share | $ | 0.16 | $ | 0.14 | |||||||||||||
Equity_Compensation_Plans_Tabl
Equity Compensation Plans (Tables) | 3 Months Ended | ||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||
Equity Compensation Plans | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $25 million at March 31, 2015, as shown in the following table. | ||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||
(In Thousands) | Restricted Stock | Deferred Stock Units | Performance Stock Units | Employee Stock Purchase Plan | Total | ||||||||||||||||
Unrecognized compensation cost at beginning of period | $ | 1,091 | $ | 12,304 | $ | 6,874 | $ | — | $ | 20,269 | |||||||||||
Equity grants | 2,636 | 5,162 | — | 236 | 8,034 | ||||||||||||||||
Equity grant forfeitures | (162 | ) | — | — | — | (162 | ) | ||||||||||||||
Equity compensation expense | (250 | ) | (1,575 | ) | (854 | ) | (59 | ) | (2,738 | ) | |||||||||||
Unrecognized Compensation Cost at End of Period | $ | 3,315 | $ | 15,891 | $ | 6,020 | $ | 177 | $ | 25,403 | |||||||||||
Mortgage_Banking_Activities_Ta
Mortgage Banking Activities (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||||
Components of Mortgage Banking Activities, Net | The following table presents the components of mortgage banking activities, net, recorded in our consolidated income statements for the three months ended March 31, 2015 and 2014. | ||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Residential mortgage banking activities: | |||||||||
Changes in fair value of: | |||||||||
Residential loans, at fair value (1) | $ | 20,312 | $ | 7,045 | |||||
Sequoia IO securities | (14,359 | ) | (4,277 | ) | |||||
Risk management derivatives (2) | (4,371 | ) | (4,278 | ) | |||||
Other (3) | 633 | 446 | |||||||
Total residential mortgage banking activities: | 2,215 | (1,064 | ) | ||||||
Commercial mortgage banking activities: | |||||||||
Changes in fair value of: | |||||||||
Commercial loans, at fair value | 5,857 | 3,626 | |||||||
Risk management derivatives (2) | (6,212 | ) | (2,803 | ) | |||||
Other (3) | 63 | 10 | |||||||
Total commercial mortgage banking activities: | (292 | ) | 833 | ||||||
Mortgage banking activities | $ | 1,923 | $ | (231 | ) | ||||
-1 | Includes changes in fair value for loan purchase and forward sale commitments. | ||||||||
-2 | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. | ||||||||
-3 | Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Operating_Expenses_Tables
Operating Expenses (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Other Income and Expenses [Abstract] | |||||||||
Components of Operating Expenses | Components of our operating expenses for the three months ended March 31, 2015 and 2014 are presented in the following table. | ||||||||
Operating Expenses | |||||||||
Three Months Ended March 31, | |||||||||
(In Thousands) | 2015 | 2014 | |||||||
Fixed compensation expense | $ | 9,155 | $ | 6,742 | |||||
Variable compensation expense | 3,991 | 2,781 | |||||||
Equity compensation expense | 2,738 | 2,330 | |||||||
Total compensation expense | 15,884 | 11,853 | |||||||
Systems and consulting | 2,122 | 3,466 | |||||||
Accounting and legal | 1,577 | 1,633 | |||||||
Office costs | 1,232 | 985 | |||||||
Corporate costs | 526 | 552 | |||||||
Other operating expenses | 3,722 | 1,482 | |||||||
Total Operating Expenses | $ | 25,063 | $ | 19,971 | |||||
Taxes_Tables
Taxes (Tables) | 3 Months Ended | ||||||
Mar. 31, 2015 | |||||||
Income Tax Disclosure [Abstract] | |||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our projected annual effective rate at March 31, 2015 and 2014. | ||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | |||||||
31-Mar-15 | March 31, 2014 | ||||||
Federal statutory rate | 34 | % | 34 | % | |||
State statutory rate, net of Federal tax effect | 7.2 | % | 7.2 | % | |||
Differences in taxable (loss) income from GAAP income | (44.7 | )% | (1.7 | )% | |||
Change in valuation allowance | 11.9 | % | 3.7 | % | |||
Dividends paid deduction | (64.4 | )% | (60.8 | )% | |||
Effective Tax Rate | (56.0 | )% | (17.6 | )% |
Segment_Information_Tables
Segment Information (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||
Financial Information by Segment | The following tables present financial information by segment for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||
Business Segment Financial Information | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
Interest income | $ | 15,795 | $ | 30,012 | $ | 10,914 | $ | 7,025 | $ | 63,746 | |||||||||||||||
Interest expense | (3,778 | ) | (2,810 | ) | (3,489 | ) | (13,884 | ) | (23,961 | ) | |||||||||||||||
Net interest income (loss) | 12,017 | 27,202 | 7,425 | (6,859 | ) | 39,785 | |||||||||||||||||||
Provision for loan losses | — | — | (206 | ) | — | (206 | ) | ||||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Mortgage banking activities | 2,215 | — | (292 | ) | — | 1,923 | |||||||||||||||||||
MSR income (loss) | — | (10,924 | ) | — | — | (10,924 | ) | ||||||||||||||||||
Other market valuation adjustments | 2 | (19 | ) | — | (1,128 | ) | (1,145 | ) | |||||||||||||||||
Realized gains, net | — | 4,306 | — | — | 4,306 | ||||||||||||||||||||
Other income | — | 809 | — | — | 809 | ||||||||||||||||||||
Total non-interest income, net | 2,217 | (5,828 | ) | (292 | ) | (1,128 | ) | (5,031 | ) | ||||||||||||||||
Direct operating expenses | (10,903 | ) | (1,118 | ) | (3,482 | ) | (9,560 | ) | (25,063 | ) | |||||||||||||||
Benefit from income taxes | 8 | 3,510 | 853 | 945 | 5,316 | ||||||||||||||||||||
Segment Contribution | $ | 3,339 | $ | 23,766 | $ | 4,298 | $ | (16,602 | ) | ||||||||||||||||
Net Income | $ | 14,801 | |||||||||||||||||||||||
Non-cash amortization expense | (46 | ) | 9,838 | (49 | ) | (981 | ) | 8,762 | |||||||||||||||||
Three Months Ended March 31, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
Interest income | $ | 10,668 | $ | 27,594 | $ | 10,384 | $ | 6,830 | $ | 55,476 | |||||||||||||||
Interest expense | (1,321 | ) | (2,850 | ) | (3,303 | ) | (11,586 | ) | (19,060 | ) | |||||||||||||||
Net interest income (loss) | 9,347 | 24,744 | 7,081 | (4,756 | ) | 36,416 | |||||||||||||||||||
Provision for loan losses | — | — | (655 | ) | (629 | ) | (1,284 | ) | |||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Mortgage banking activities | (1,064 | ) | — | 833 | — | (231 | ) | ||||||||||||||||||
MSR income (loss) | — | 606 | — | — | 606 | ||||||||||||||||||||
Other market valuation adjustments | (2 | ) | (5,957 | ) | — | (179 | ) | (6,138 | ) | ||||||||||||||||
Realized gains, net | — | 987 | — | 105 | 1,092 | ||||||||||||||||||||
Total non-interest income, net | (1,066 | ) | (4,364 | ) | 833 | (74 | ) | (4,671 | ) | ||||||||||||||||
Direct operating expenses | (7,094 | ) | (1,095 | ) | (2,626 | ) | (9,156 | ) | (19,971 | ) | |||||||||||||||
(Provision for) benefit from income taxes | (165 | ) | 1,527 | 355 | 126 | 1,843 | |||||||||||||||||||
Segment Contribution | $ | 1,022 | $ | 20,812 | $ | 4,988 | $ | (14,489 | ) | ||||||||||||||||
Net Income | $ | 12,333 | |||||||||||||||||||||||
Non-cash amortization expense | (52 | ) | 11,247 | (173 | ) | (1,946 | ) | 9,076 | |||||||||||||||||
The following tables present the components of Corporate/Other for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs | Other | Total | Legacy Consolidated VIEs | Other | Total | |||||||||||||||||||
Interest income | $ | 7,018 | $ | 7 | $ | 7,025 | $ | 6,828 | $ | 2 | $ | 6,830 | |||||||||||||
Interest expense | (4,482 | ) | (9,402 | ) | $ | (13,884 | ) | (5,460 | ) | (6,126 | ) | (11,586 | ) | ||||||||||||
Net interest income (loss) | 2,536 | (9,395 | ) | (6,859 | ) | 1,368 | (6,124 | ) | (4,756 | ) | |||||||||||||||
Provision for loan losses | — | — | — | (629 | ) | — | (629 | ) | |||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Other market valuation adjustments | (1,093 | ) | (35 | ) | (1,128 | ) | (142 | ) | (37 | ) | (179 | ) | |||||||||||||
Realized gains, net | — | — | — | 105 | — | 105 | |||||||||||||||||||
Total non-interest income, net | (1,093 | ) | (35 | ) | (1,128 | ) | (37 | ) | (37 | ) | (74 | ) | |||||||||||||
Direct operating expenses | — | (9,560 | ) | (9,560 | ) | (52 | ) | (9,104 | ) | (9,156 | ) | ||||||||||||||
Benefit from income taxes | — | 945 | 945 | — | 126 | 126 | |||||||||||||||||||
Total | $ | 1,443 | $ | (18,045 | ) | $ | (16,602 | ) | $ | 650 | $ | (15,139 | ) | $ | (14,489 | ) | |||||||||
Supplemental Information by Segment | The following table presents supplemental information by segment at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||
Supplemental Disclosures | |||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Residential Investments | Commercial Mortgage Banking and Investments | Corporate/ | Total | ||||||||||||||||||||
Other | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Residential loans | $ | 1,094,885 | $ | 1,000,444 | $ | — | $ | 1,304,426 | $ | 3,399,755 | |||||||||||||||
Commercial loans | — | — | 460,342 | — | 460,342 | ||||||||||||||||||||
Real estate securities | 65,809 | 1,219,434 | — | — | 1,285,243 | ||||||||||||||||||||
Mortgage servicing rights | — | 120,324 | — | — | 120,324 | ||||||||||||||||||||
Total assets | 1,204,055 | 2,446,100 | 467,200 | 1,698,664 | 5,816,019 | ||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Residential loans | $ | 1,342,519 | $ | 581,668 | $ | — | $ | 1,474,386 | $ | 3,398,573 | |||||||||||||||
Commercial loans | — | — | 566,927 | — | 566,927 | ||||||||||||||||||||
Real estate securities | 93,802 | 1,285,428 | — | — | 1,379,230 | ||||||||||||||||||||
Mortgage servicing rights | — | 139,293 | — | — | 139,293 | ||||||||||||||||||||
Total assets | 1,468,856 | 2,057,256 | 575,943 | 1,816,911 | 5,918,966 | ||||||||||||||||||||
Organization_Detail
Organization (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 3 |
Minimum percentage of taxable income distribution to shareholders to be taxed as a REIT | 90.00% |
Summary_of_Significant_Account3
Summary of Significant Accounting Policies - Effect of ASU 2014-13 on Balance Sheet (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Residential loans | $3,399,755,000 | $3,398,573,000 | ||
Other assets | 182,992,000 | [1] | 113,896,000 | [1] |
Total Assets | 5,816,019,000 | [1] | 5,918,966,000 | [1] |
ABS issued principal | 1,353,021,000 | [1],[2] | 1,545,119,000 | [1],[2] |
Total liabilities | 4,558,809,000 | [1] | 4,662,825,000 | [1] |
Residential Loans Held for Investment | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Loan Principal | 1,415,017,000 | 1,483,213,000 | ||
Residential loans | 1,304,426,000 | 1,474,386,000 | ||
Variable Interest Entity, Primary Beneficiary | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Loan Principal | 1,373,000,000 | |||
Loan unamortized premium | 0 | |||
Allowance for loan losses | 0 | |||
Deferred bond issuance costs | 0 | |||
Other assets | 5,000,000 | |||
Total Assets | 1,377,000,000 | |||
ABS issued principal | 1,303,000,000 | |||
ABS issued unamortized discount | 0 | |||
Total liabilities | 1,303,000,000 | |||
Redwood's investment in consolidated Sequoia entities | 74,000,000 | |||
Variable Interest Entity, Primary Beneficiary | Residential Loans Held for Investment | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Residential loans | 1,373,000,000 | |||
Variable Interest Entity, Primary Beneficiary | Previously Reported | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Loan Principal | 1,486,000,000 | |||
Loan unamortized premium | 13,000,000 | |||
Allowance for loan losses | -21,000,000 | |||
Deferred bond issuance costs | 1,000,000 | |||
Other assets | 5,000,000 | |||
Total Assets | 1,482,000,000 | |||
ABS issued principal | 1,428,000,000 | |||
ABS issued unamortized discount | -10,000,000 | |||
Total liabilities | 1,418,000,000 | |||
Redwood's investment in consolidated Sequoia entities | 64,000,000 | |||
Variable Interest Entity, Primary Beneficiary | Previously Reported | Residential Loans Held for Investment | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Residential loans | 1,478,000,000 | |||
Variable Interest Entity, Primary Beneficiary | Restatement Adjustment | Accounting Standards Update 2014-13 | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Loan Principal | -113,000,000 | |||
Loan unamortized premium | -13,000,000 | |||
Allowance for loan losses | 21,000,000 | |||
Deferred bond issuance costs | -1,000,000 | |||
Other assets | 0 | |||
Total Assets | -105,000,000 | |||
ABS issued principal | -125,000,000 | |||
ABS issued unamortized discount | 10,000,000 | |||
Total liabilities | -115,000,000 | |||
Redwood's investment in consolidated Sequoia entities | 10,000,000 | |||
Variable Interest Entity, Primary Beneficiary | Restatement Adjustment | Accounting Standards Update 2014-13 | Residential Loans Held for Investment | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Residential loans | ($105,000,000) | |||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. | |||
[2] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. |
Summary_of_Significant_Account4
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | $22,275 | $15,257 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 22,275 | 15,257 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -7,386 | -6,975 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | -10,884 | -4,735 |
Net Amount | 4,005 | 3,547 |
Gross Amounts of Recognized Liabilities | -1,568,919 | -1,851,876 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -1,568,919 | -1,851,876 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,509,549 | 1,800,800 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 58,395 | 50,100 |
Net Amount | -975 | -976 |
Interest Rate Swaps | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 17,554 | 7,006 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 17,554 | 7,006 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -2,719 | -1,160 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | -10,830 | -4,360 |
Net Amount | 4,005 | 1,486 |
Gross Amounts of Recognized Liabilities | -57,581 | -48,173 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -57,581 | -48,173 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 2,719 | 1,160 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 54,862 | 47,013 |
Net Amount | 0 | 0 |
Credit Default Index Swaps | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1,598 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,598 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | -375 | |
Net Amount | 1,223 | |
TBAs | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 4,721 | 6,653 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 4,721 | 6,653 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -4,667 | -5,815 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | -54 | 0 |
Net Amount | 0 | 838 |
Gross Amounts of Recognized Liabilities | -8,842 | -9,506 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -8,842 | -9,506 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 4,666 | 5,815 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 3,201 | 2,715 |
Net Amount | -975 | -976 |
Futures | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | -332 | -372 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -332 | -372 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 332 | 372 |
Net Amount | 0 | 0 |
Loan warehouse debt | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | -895,895 | -1,185,316 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -895,895 | -1,185,316 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 895,895 | 1,185,316 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 |
Net Amount | 0 | |
Security repurchase agreements | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | -606,269 | -608,509 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -606,269 | -608,509 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 606,269 | 608,509 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 |
Net Amount | $0 | $0 |
Principles_of_Consolidation_Ad
Principles of Consolidation - Additional Information (Detail) (Variable Interest Entity, Not Primary Beneficiary) | 39 Months Ended |
Mar. 31, 2015 | |
Entity | |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of securitization entities to which asset transferred | 23 |
Principles_of_Consolidation_As
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $1,716,563 | $1,900,208 |
Liabilities | 1,354,298 | 1,546,490 |
Number of VIEs | 26 | |
Residential Loans Held for Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,304,426 | |
Commercial Loans Held For Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 191,575 | |
Real Estate Securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 211,316 | |
Restricted Cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 282 | |
Accrued Interest Receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,660 | |
Other Assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,304 | |
Accrued Interest Payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,277 | |
Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,353,021 | |
Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,311,597 | |
Liabilities | 1,239,958 | |
Number of VIEs | 24 | |
Sequoia | Residential Loans Held for Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,304,426 | |
Sequoia | Restricted Cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 147 | |
Sequoia | Accrued Interest Receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,720 | |
Sequoia | Other Assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,304 | |
Sequoia | Accrued Interest Payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 893 | |
Sequoia | Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,239,065 | |
Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Assets | 211,765 | |
Liabilities | 34,290 | |
Number of VIEs | 1 | |
Residential Resecuritization | Real Estate Securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 211,316 | |
Residential Resecuritization | Restricted Cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Residential Resecuritization | Accrued Interest Receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 449 | |
Residential Resecuritization | Accrued Interest Payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 10 | |
Residential Resecuritization | Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 34,280 | |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 193,201 | |
Liabilities | 80,050 | |
Number of VIEs | 1 | |
Commercial Securitization | Commercial Loans Held For Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 191,575 | |
Commercial Securitization | Restricted Cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 135 | |
Commercial Securitization | Accrued Interest Receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,491 | |
Commercial Securitization | Other Assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Commercial Securitization | Accrued Interest Payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 374 | |
Commercial Securitization | Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $79,676 |
Principles_of_Consolidation_Se
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Variable Interest Entity [Line Items] | ||
MSRs recognized | $15,675 | $2,294 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Principal balance of loans transferred | 338,796 | 0 |
MSRs recognized | 1,872 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | 3,423 | 0 |
Variable Interest Entity, Not Primary Beneficiary | Available-for-sale Securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | $2,859 | $0 |
Principles_of_Consolidation_Ca
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Variable Interest Entity [Line Items] | ||
Cash proceeds | $341,716 | $0 |
MSR fees received | 3,770 | 3,423 |
Funding of compensating interest | -90 | -33 |
Cash flows received on retained securities | $12,645 | $12,303 |
Principles_of_Consolidation_Mo
Principles of Consolidation - Mortgage Servicing Rights Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Subordinate Securities | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Credit loss assumptions | 0.25% |
Subordinate Securities | Variable Interest Entity, Not Primary Beneficiary | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Prepayment speeds | 8.00% |
Discount rates | 6.00% |
Mortgage Servicing Rights | Variable Interest Entity, Not Primary Beneficiary | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Discount rates | 11.00% |
Mortgage Servicing Rights | Variable Interest Entity, Not Primary Beneficiary | Minimum | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Prepayment speeds | 5.00% |
Mortgage Servicing Rights | Variable Interest Entity, Not Primary Beneficiary | Maximum | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Prepayment speeds | 19.00% |
Principles_of_Consolidation_Su
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $460,554 | $554,792 |
Principal balance of loans outstanding | 7,287,906 | 7,276,825 |
Principal balance of delinquent loans 30+ days delinquent | 20,952 | 17,022 |
Interest-Only and Senior Securities | ||
On-balance sheet assets, at fair value: | ||
Securities | 69,258 | 93,802 |
Senior and Subordinate Securities | ||
On-balance sheet assets, at fair value: | ||
Securities | $391,296 | $460,990 |
Principles_of_Consolidation_Ke
Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Mortgage Servicing Rights | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $50,156 | $56,801 |
Expected life (in years) | 6 years | 7 years |
Prepayment speed assumption (annual CPR) | 17.00% | 14.00% |
Decrease in fair value from: | ||
10% adverse change | 2,329 | 2,419 |
25% adverse change | 5,530 | 5,639 |
Discount rate assumption | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | 1,645 | 2,104 |
200 basis point increase | 3,216 | 4,102 |
Interest-only Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | 65,809 | 93,802 |
Expected life (in years) | 6 years | 6 years |
Prepayment speed assumption (annual CPR) | 11.00% | 9.00% |
Decrease in fair value from: | ||
10% adverse change | 3,697 | 3,999 |
25% adverse change | 7,035 | 9,475 |
Discount rate assumption | 10.00% | 8.00% |
Decrease in fair value from: | ||
100 basis point increase | 2,540 | 4,214 |
200 basis point increase | 4,899 | 8,091 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | 345 | 126 |
25% higher losses | 456 | 299 |
Subordinate Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | 394,745 | 460,990 |
Expected life (in years) | 11 years | 10 years |
Prepayment speed assumption (annual CPR) | 10.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | 905 | 684 |
25% adverse change | 2,356 | 2,355 |
Discount rate assumption | 5.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | 30,841 | 34,149 |
200 basis point increase | 57,886 | 64,474 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | 2,397 | 3,169 |
25% higher losses | $5,704 | $7,841 |
Principles_of_Consolidation_Su1
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Detail) (Real Estate Securities, USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Variable Interest Entity [Line Items] | |
Assets | $824,690 |
Senior Securities | |
Variable Interest Entity [Line Items] | |
Assets | 480,200 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 169,240 |
Subordinate Securities | |
Variable Interest Entity [Line Items] | |
Assets | $175,250 |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments - Additional Information (Detail) (USD $) | 3 Months Ended |
In Millions, unless otherwise specified | Mar. 31, 2015 |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Dealer marks of securities | 81.00% |
Percentage of carrying value for which dealer quotes have been received | 93.00% |
Percentage difference of internal valuation than dealer marks | 2.00% |
Residential Subordinate Securities | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $23 |
Residential Loans | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | 2,400 |
Commercial Loans | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | 93 |
Mortgage Servicing Rights | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $19 |
Mortgage Servicing Rights | Maximum | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Percentage difference of internal valuation than dealer marks | 2.00% |
Asset-backed Securities | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Dealer marks of securities | 36.00% |
Percentage difference of internal valuation than dealer marks | 1.00% |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Assets | ||||
Trading securities | $106,837 | $111,606 | ||
Available-for-sale securities | 1,178,406 | 1,267,624 | ||
MSRs | 120,324 | [1] | 139,293 | [1] |
Derivative assets | 30,546 | [1] | 16,417 | [1] |
Pledged collateral | 10,265 | 9,927 | ||
Liabilities | ||||
Derivative liabilities | 68,064 | [1] | 58,331 | [1] |
Long/Other Long-term debt | 68,707 | 66,707 | ||
Carrying Value | ||||
Assets | ||||
Trading securities | 106,837 | 111,606 | ||
Available-for-sale securities | 1,178,406 | 1,267,624 | ||
MSRs | 120,324 | 139,293 | ||
Cash and cash equivalents | 303,820 | 269,730 | ||
Restricted cash | 725 | 628 | ||
Accrued interest receivable | 17,970 | 18,222 | ||
Derivative assets | 30,546 | 16,417 | ||
REO | 5,305 | 4,391 | ||
Margin receivable | 79,760 | 65,374 | ||
FHLBC stock | 28,434 | 10,688 | ||
Guarantees asset | 6,118 | 7,201 | ||
Pledged collateral | 10,265 | 9,927 | ||
Liabilities | ||||
Short-term debt | 1,502,164 | 1,793,825 | ||
Accrued interest payable | 14,319 | 8,502 | ||
Guarantee obligation | 6,917 | 7,201 | ||
Derivative liabilities | 68,064 | 58,331 | ||
ABS issued, Fair value | 1,239,065 | 0 | ||
ABS issued, Amortized cost | 113,956 | 1,545,119 | ||
FHLBC Borrowings | 850,792 | 495,860 | ||
Convertible notes | 492,500 | 492,500 | ||
Long/Other Long-term debt | 139,500 | 139,500 | ||
Carrying Value | Residential Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,093,413 | 1,341,032 | ||
Carrying Value | Residential Loans at Lower of Cost or Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,472 | 1,488 | ||
Carrying Value | Residential Loans Held For Investment at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 2,304,870 | 581,668 | ||
Carrying Value | Residential Loans Held For Investment At Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | 0 | 1,474,386 | ||
Carrying Value | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 54,407 | 166,234 | ||
Carrying Value | Commercial Loans Held For Investment | ||||
Assets | ||||
Loans, held-for-investment | 72,619 | 71,262 | ||
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | 333,316 | 329,431 | ||
Carrying Value | Commercial Secured Borrowings | ||||
Liabilities | ||||
Long/Other Long-term debt | 68,077 | 66,707 | ||
Fair Value | ||||
Assets | ||||
Trading securities | 106,837 | 111,606 | ||
Available-for-sale securities | 1,178,406 | 1,267,624 | ||
MSRs | 120,324 | 139,293 | ||
Cash and cash equivalents | 303,820 | 269,730 | ||
Restricted cash | 725 | 628 | ||
Accrued interest receivable | 17,970 | 18,222 | ||
Derivative assets | 30,546 | 16,417 | ||
REO | 5,446 | 4,703 | ||
Margin receivable | 79,760 | 65,374 | ||
FHLBC stock | 28,434 | 10,688 | ||
Guarantees asset | 6,118 | 7,201 | ||
Pledged collateral | 10,265 | 9,927 | ||
Liabilities | ||||
Short-term debt | 1,502,164 | 1,793,825 | ||
Accrued interest payable | 14,319 | 8,502 | ||
Guarantee obligation | 6,917 | 7,201 | ||
Derivative liabilities | 68,064 | 58,331 | ||
ABS issued, Fair value | 1,239,065 | 0 | ||
ABS issued, Amortized cost | 114,613 | 1,446,605 | ||
FHLBC Borrowings | 850,792 | 495,860 | ||
Convertible notes | 488,243 | 492,188 | ||
Long/Other Long-term debt | 97,650 | 101,835 | ||
Fair Value | Residential Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,093,413 | 1,341,032 | ||
Fair Value | Residential Loans at Lower of Cost or Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,663 | 1,669 | ||
Fair Value | Residential Loans Held For Investment at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 2,304,870 | 581,668 | ||
Fair Value | Residential Loans Held For Investment At Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | 0 | 1,381,918 | ||
Fair Value | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 54,407 | 166,234 | ||
Fair Value | Commercial Loans Held For Investment | ||||
Assets | ||||
Loans, held-for-investment | 72,619 | 71,262 | ||
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | 338,932 | 334,876 | ||
Fair Value | Commercial Secured Borrowings | ||||
Liabilities | ||||
Long/Other Long-term debt | $68,077 | $66,707 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Assets | ||||
Trading securities | $106,837 | $111,606 | ||
Available-for-sale securities | 1,178,406 | 1,267,624 | ||
Derivative assets | 30,546 | [1] | 16,417 | [1] |
MSRs | 120,324 | [1] | 139,293 | [1] |
Pledged collateral | 10,265 | 9,927 | ||
Liabilities | ||||
Derivative liabilities | 68,064 | [1] | 58,331 | [1] |
Commercial secured borrowings | 68,707 | 66,707 | ||
Fair Value, Measurements, Recurring | ||||
Assets | ||||
Trading securities | 106,837 | |||
Available-for-sale securities | 1,178,406 | |||
Derivative assets | 30,546 | |||
MSRs | 120,324 | |||
Pledged collateral | 10,265 | |||
FHLBC stock | 28,434 | |||
Guarantees asset | 6,118 | |||
Liabilities | ||||
Derivative liabilities | 68,064 | |||
Commercial secured borrowings | 68,077 | |||
ABS issued | 1,239,065 | |||
Fair Value, Measurements, Recurring | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 3,398,283 | |||
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 127,026 | |||
Fair Value, Measurements, Recurring | Level 1 | ||||
Assets | ||||
Derivative assets | 4,721 | |||
Pledged collateral | 10,265 | |||
FHLBC stock | 28,434 | |||
Liabilities | ||||
Derivative liabilities | 9,173 | |||
Fair Value, Measurements, Recurring | Level 2 | ||||
Assets | ||||
Derivative assets | 17,554 | |||
Liabilities | ||||
Derivative liabilities | 58,045 | |||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 200,869 | |||
Fair Value, Measurements, Recurring | Level 3 | ||||
Assets | ||||
Trading securities | 106,837 | |||
Available-for-sale securities | 1,178,406 | |||
Derivative assets | 8,271 | |||
MSRs | 120,324 | |||
Guarantees asset | 6,118 | |||
Liabilities | ||||
Derivative liabilities | 846 | |||
Commercial secured borrowings | 68,077 | |||
ABS issued | 1,239,065 | |||
Fair Value, Measurements, Recurring | Level 3 | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 3,197,414 | |||
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | $127,026 | |||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Commercial Secured Borrowings | |
Liabilities | |
Beginning balance | $66,707 |
Principal paydowns | -152 |
Gains (losses) in net income, net | 1,509 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 0 |
Sales | 0 |
Other settlements, net | 13 |
Ending balance | 68,077 |
Asset-backed Securities | |
Liabilities | |
Transfer to FVO | 1,302,216 |
Principal paydowns | -66,517 |
Gains (losses) in net income, net | 2,946 |
Other settlements, net | 421 |
Ending balance | 1,239,066 |
Residential Loans at Fair Value | |
Assets | |
Beginning balance | 1,677,984 |
Transfer to FVO | 1,370,699 |
Principal paydowns | -111,716 |
Gains (losses) in net income, net | -7,570 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 1,112,042 |
Sales | -857,249 |
Other settlements, net | -1,916 |
Ending balance | 3,197,414 |
Commercial Loans | |
Assets | |
Beginning balance | 237,496 |
Principal paydowns | -240 |
Gains (losses) in net income, net | -7,366 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 92,713 |
Sales | -210,309 |
Ending balance | 127,026 |
Trading Securities | |
Assets | |
Beginning balance | 111,606 |
Principal paydowns | -203 |
Gains (losses) in net income, net | 14,114 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 23,084 |
Sales | -13,536 |
Ending balance | 106,837 |
Available-for-sale Securities | |
Assets | |
Beginning balance | 1,267,624 |
Principal paydowns | -26,110 |
Gains (losses) in net income, net | -4,306 |
Unrealized gains in OCI, net | -3,795 |
Acquisitions | 9,831 |
Sales | -90,878 |
Ending balance | 1,178,406 |
Liabilities | |
Amortization income | 9,838 |
Mortgage Servicing Rights | |
Assets | |
Beginning balance | 139,293 |
Gains (losses) in net income, net | 19,517 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 18,754 |
Sales | -18,206 |
Ending balance | 120,324 |
Guarantee Asset | |
Assets | |
Beginning balance | 7,201 |
Gains (losses) in net income, net | 1,083 |
Ending balance | 6,118 |
Loan Purchase Commitments | |
Assets | |
Beginning balance | 1,119 |
Gains (losses) in net income, net | -20,087 |
Other settlements, net | -13,781 |
Ending balance | $7,425 |
Fair_Value_of_Financial_Instru6
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Loan Purchase Commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $0 | ($235) |
Commercial Secured Borrowings | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | -1,509 | |
Asset-backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | -2,946 | |
Residential Loans Held For Investment at Fair Value | Residential loans at Redwood | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 5,464 | 3,483 |
Residential Loans Held For Investment at Fair Value | Residential loans at consolidated Sequoia entities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 1,179 | 0 |
Guarantee Asset | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | -1,083 | 0 |
Commercial Loans at Fair Value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 2,959 | 2,530 |
Trading Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | -13,790 | -4,431 |
Available-for-sale Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 0 | -113 |
Mortgage Servicing Rights | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | -11,769 | -2,291 |
Loan Purchase Commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | $7,422 | $0 |
Fair_Value_of_Financial_Instru7
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Detail) (Fair Value, Measurements, Nonrecurring, USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Residential loans, at lower of cost or fair value | $1,103 |
REO | 3,410 |
Level 3 | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Residential loans, at lower of cost or fair value | 1,103 |
REO | 3,410 |
Residential Loans at Lower of Cost or Fair Value | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 0 |
REO | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | ($74) |
Fair_Value_of_Financial_Instru8
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Detail) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Mortgage banking activities market valuation adjustments | ||||
Adjustment to valuation of trading securities | ($14,359) | ($4,277) | ||
Risk management derivatives, net | -10,583 | -7,082 | ||
Loan purchase and forward sale commitments | 18,256 | 8 | ||
Total mortgage banking activities | 1,227 | -597 | ||
MSRs | -19,517 | -2,711 | ||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | -1,145 | [1] | -6,138 | [1] |
Total Market Valuation Adjustments, Net | -19,435 | -9,446 | ||
Residential Loans at Fair Value | ||||
Mortgage banking activities market valuation adjustments | ||||
Valuation adjustments | 2,056 | 7,128 | ||
Commercial Loans at Fair Value | ||||
Mortgage banking activities market valuation adjustments | ||||
Valuation adjustments | 5,857 | 3,626 | ||
Residential Loans at Lower of Cost or Fair Value | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | 2 | -2 | ||
Residential Loans Held for Investment | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | -1,093 | 0 | ||
Held For Investment Loans At Fair Value | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | 1,978 | 0 | ||
Trading Securities | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | 270 | -154 | ||
Impairments on AFS Securities | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | 0 | -113 | ||
Other derivative instruments, net | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | -1,374 | -5,727 | ||
Guarantee asset | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | -1,083 | 0 | ||
Other | ||||
Other market valuation adjustments | ||||
Other market valuation adjustments, net | $155 | ($142) | ||
[1] | For the three months ended March 31, 2015, there were no other-than-temporary impairments. For the three months ended March 31, 2014, other-than-temporary impairments were $1,671, of which $113 were recognized through the Income Statement and $1,558 were recognized in Accumulated Other Comprehensive Income. |
Fair_Value_of_Financial_Instru9
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Detail) (USD $) | 3 Months Ended |
Mar. 31, 2015 | |
Asset-backed Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 1,239,065,000 |
Asset-backed Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 4.00% |
Prepayment rate | 0.00% |
Credit support | 0.00% |
Loss severity | 20.00% |
Default rate | 0.00% |
Asset-backed Securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 8.00% |
Prepayment rate | 31.00% |
Credit support | 65.00% |
Loss severity | 32.00% |
Default rate | 12.00% |
Asset-backed Securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 5.00% |
Prepayment rate | 13.00% |
Credit support | 11.00% |
Loss severity | 26.00% |
Default rate | 6.00% |
Commercial Secured Borrowings | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 68,077,000 |
Commercial Secured Borrowings | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.56% |
Credit support | 23.00% |
Commercial Secured Borrowings | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.56% |
Credit support | 23.00% |
Commercial Secured Borrowings | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.56% |
Credit support | 23.00% |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 1,334,594,000 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 4.00% |
Prepayment rate | 12.00% |
Senior credit spread to TBA (usd per senior security) | 3.13 |
Spread to swap rate | 3.15% |
Credit support | 8.00% |
Whole loan spread to TBA (usd per loan) | 3.1 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 5.00% |
Prepayment rate | 15.00% |
Senior credit spread to TBA (usd per senior security) | 3.13 |
Spread to swap rate | 3.15% |
Credit support | 8.00% |
Whole loan spread to TBA (usd per loan) | 4.5 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 420.00% |
Prepayment rate | 14.00% |
Senior credit spread to TBA (usd per senior security) | 3.13 |
Spread to swap rate | 3.15% |
Credit support | 8.00% |
Whole loan spread to TBA (usd per loan) | 4.35 |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 137,168,000 |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Spread to swap rate | 1.25% |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Spread to swap rate | 1.65% |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Spread to swap rate | 1.34% |
Residential Loans Priced To Whole Loan Market and Committed to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 421,226,000 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | 102 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | 103 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | 103,000 |
Residential Loans Held For Investment at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 1,304,426,000 |
Residential Loans at Lower of Cost or Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 1,103,000 |
Residential Loans at Lower of Cost or Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 13.00% |
Residential Loans at Lower of Cost or Fair Value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 30.00% |
Residential Loans at Lower of Cost or Fair Value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 20.00% |
Commercial Loans at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 127,026,000 |
Commercial Loans at Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.47% |
Credit support | 22.00% |
Commercial Loans at Fair Value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.56% |
Credit support | 23.00% |
Commercial Loans at Fair Value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.54% |
Credit support | 23.00% |
Investment Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 1,285,243,000 |
Investment Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 4.00% |
Prepayment rate | 1.00% |
Credit support | 0.00% |
Loss severity | 20.00% |
Default rate | 0.00% |
Investment Securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 12.00% |
Prepayment rate | 35.00% |
Credit support | 48.00% |
Loss severity | 64.00% |
Default rate | 35.00% |
Investment Securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 6.00% |
Prepayment rate | 12.00% |
Credit support | 10.00% |
Loss severity | 34.00% |
Default rate | 8.00% |
Mortgage Servicing Rights | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 120,324,000 |
Mortgage Servicing Rights | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 9.00% |
Prepayment rate | 4.00% |
Per loan annual cost to service | 72 |
Mortgage Servicing Rights | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 60.00% |
Per loan annual cost to service | 82 |
Mortgage Servicing Rights | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 10.00% |
Prepayment rate | 14.00% |
Per loan annual cost to service | 77 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 6,118,000 |
Guarantee asset | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 5.00% |
Guarantee asset | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 27.00% |
Guarantee asset | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 12.00% |
REO | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 3,410,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 31.00% |
REO | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 66.00% |
REO | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 46.00% |
Loan Purchase Commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | 7,425,000 |
Loan Purchase Commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
MSR Multiple | 0 |
Fallout rate | 2.00% |
Loan Purchase Commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
MSR Multiple | 6 |
Fallout rate | 98.00% |
Loan Purchase Commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
MSR Multiple | 3.5 |
Fallout rate | 33.00% |
Residential_Loans_Additional_I
Residential Loans - Additional Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Contract | Contract | ||
Mortgage Loans on Real Estate [Line Items] | |||
Principal balance of loans sold during period | $2,200,000,000 | $707,000,000 | |
Carrying value | 3,399,755,000 | 3,398,573,000 | |
Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value | 1,304,426,000 | 1,474,386,000 | |
Fixed-rate loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 3.92% | ||
Hybrid loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 3.06% | ||
Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 1,903 | 2,273 | |
Loan Principal | 1,070,000,000 | 1,300,000,000 | |
Principal value of loans purchased | 2,400,000,000 | 1,070,000,000 | |
Valuation adjustments | 2,056,000 | 7,128,000 | |
Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 9 | 9,000 | |
Loan Principal | 2,000,000 | 0 | |
Carrying value | 1,472,000 | 1,488,000 | |
Residential Loans at Lower of Cost or Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value | 0 | 0 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 1,314 | 803 | |
Loan Principal | 972,000,000 | 566,000,000 | |
Carrying value | 1,000,000,000 | ||
Principal balance of loans transferred | 436,000,000 | ||
Fair value of loans transferred | 448,000,000 | ||
Loan pledged as collateral | 994,000,000 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 773 | ||
Weighted average original loan-to-value (LTV) | 68.00% | ||
Residential Loans Held For Investment at Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 5,177 | 5,315 | |
Weighted average original Fair Isaac Corporation (FICO) score | 733 | ||
Weighted average original loan-to-value (LTV) | 66.00% | ||
Loans held-for-investment, delinquent greater than 90 days | 68,000,000 | 73,000,000 | |
Loans held-for-investment, in foreclosure | 34,000,000 | 39,000,000 | |
Valuation adjustments | 3,000,000 | ||
Residential Loans Held for Investment | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan Principal | 1,415,017,000 | 1,483,213,000 | |
Carrying value | 1,304,426,000 | 1,474,386,000 | |
Unamortized premium, net | 0 | 12,511,000 | |
Allowance for loan losses | 0 | 21,338,000 | |
Mortgage Servicing Rights | |||
Mortgage Loans on Real Estate [Line Items] | |||
Purchases of mortgage servicing assets | $1,908,993,000 |
Residential_Loans_Summary_of_C
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | $3,399,755 | $3,398,573 |
Residential Loans at Fair Value | Conforming Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 200,869 | 244,714 |
Residential Loans at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 892,544 | 1,096,317 |
Residential Loans at Lower of Cost or Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,472 | 1,488 |
Residential Loans Held For Investment at Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,000,000 | |
Residential Loans Held For Investment at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 2,304,870 | 581,668 |
Residential Loans Held For Investment At Amortized Cost | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,474,386 | |
Redwood | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 2,095,329 | 1,924,187 |
Redwood | Residential Loans at Fair Value | Conforming Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 200,869 | 244,714 |
Redwood | Residential Loans at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 892,544 | 1,096,317 |
Redwood | Residential Loans at Lower of Cost or Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,472 | 1,488 |
Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,000,444 | 581,668 |
Redwood | Residential Loans Held For Investment At Amortized Cost | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 0 | |
Sequoia | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,304,426 | 1,474,386 |
Sequoia | Residential Loans at Fair Value | Conforming Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 0 | 0 |
Sequoia | Residential Loans at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 0 | 0 |
Sequoia | Residential Loans at Lower of Cost or Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 0 | 0 |
Sequoia | Residential Loans Held For Investment at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,304,426 | 0 |
Sequoia | Residential Loans Held For Investment At Amortized Cost | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | $1,474,386 |
Residential_Loans_Carrying_Val
Residential Loans - Carrying Value for Residential Loans Held-for-Investment at Amortized Cost (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Mortgage Loans on Real Estate [Line Items] | ||
Carrying Value | $3,399,755 | $3,398,573 |
Residential Loans Held for Investment | ||
Mortgage Loans on Real Estate [Line Items] | ||
Principal balance | 1,415,017 | 1,483,213 |
Unamortized premium, net | 0 | 12,511 |
Allowance for loan losses | 0 | -21,338 |
Valuation adjustment | -110,591 | 0 |
Carrying Value | $1,304,426 | $1,474,386 |
Commercial_Loans_Additional_In
Commercial Loans - Additional Information (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |||
loan | loan | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Aggregate fair value | $460,342,000 | $566,927,000 | |||
Senior commercial loans, held for sale | 2,558,425,000 | 1,181,488,000 | |||
Sale of loan for third party, held for sale | 2,455,452,000 | 785,380,000 | |||
Commercial Loans Held For Sale | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Number of loans | 5 | 13 | |||
Principal balance | 53,000,000 | 163,000,000 | |||
Aggregate fair value | 54,407,000 | [1] | 166,234,000 | [1] | |
Senior commercial loans, held for sale | 93,000,000 | ||||
Sale of loan for third party, held for sale | 203,000,000 | ||||
Valuation adjustments | 6,000,000 | 2,000,000 | |||
Commercial Loans Held-for-Investment, at Fair Value | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Number of loans | 3 | ||||
Principal balance | 67,000,000 | 68,000,000 | |||
Aggregate fair value | 72,619,000 | 71,262,000 | |||
Valuation adjustments | 2,000,000 | 1,000,000 | |||
Commercial Loans Held-for-Investment, at Amortized Cost | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Number of loans | 62 | 60 | |||
Aggregate fair value | 333,316,000 | 329,431,000 | |||
Acquired amount of loans held for investment | 8,000,000 | ||||
Recorded investment in loans | 340,978,000 | 336,888,000 | |||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2015 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 2.00% | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2014 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 17.00% | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2013 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 17.00% | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2012 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 36.00% | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2011 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 24.00% | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2010 | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Percentage of loan portfolio originated in year | 4.00% | ||||
Commercial Loans Held For Investment | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Aggregate fair value | $405,935,000 | [1] | $400,693,000 | [1] | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Commercial_Loans_Summary_of_Cl
Commercial Loans - Summary of Classifications and Carrying Value of Commercial Loans (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans | $460,342,000 | $566,927,000 |
Commercial Loans at Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans | 54,407,000 | 166,234,000 |
Commercial Loans Held-for-Investment, at Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans | 72,619,000 | 71,262,000 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans | 333,316,000 | 329,431,000 |
Commercial loans financed through Commercial Securitization entity | $192,000,000 | $195,000,000 |
Commercial_Loans_Commercial_Lo
Commercial Loans - Commercial Loans Held-For-Investment at Amortized Cost (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $460,342 | $566,927 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal balance | 345,646 | 341,750 |
Unamortized discount, net | -4,668 | -4,862 |
Recorded investment in loans | 340,978 | 336,888 |
Allowance for loan losses | -7,662 | -7,457 |
Carrying Value | $333,316 | $329,431 |
Commercial_Loans_Commercial_Lo1
Commercial Loans - Commercial Loans Held for Investment by Risk Category (Details) (Commercial Loans Held For Investment, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $345,646 | $341,750 |
Pass | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | 320,075 | 316,122 |
Watch List | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $25,571 | $25,628 |
Commercial_Loans_Summary_of_Ac
Commercial Loans - Summary of Activity in Allowance for Commercial Loan Losses (Details) (Commercial Loans, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Commercial Loans | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Balance at beginning of period | $7,456 | $7,373 |
Charge-offs, net | 0 | 0 |
Provision for loan losses | 206 | 655 |
Balance at End of Period | $7,662 | $8,028 |
Commercial_Loans_Commercial_Lo2
Commercial Loans - Commercial Loans Collectively Evaluated for Impairment (Details) (Commercial Loans, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Commercial Loans | ||
Financing Receivable, Impaired [Line Items] | ||
Principal balance | $345,646 | $341,750 |
Recorded investment | 340,978 | 336,888 |
Related allowance | $7,662 | $7,457 |
Real_Estate_Securities_Additio
Real Estate Securities - Additional Information (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Investment | Investment | ||
Investment Holdings [Line Items] | |||
Trading securities | $106,837,000 | $111,606,000 | |
Trading securities acquired | 23,000,000 | ||
Trading securities sold | 3,000,000 | ||
Adjustment to valuation of trading securities | -14,359,000 | -4,277,000 | |
Available-for-sale securities purchased | 10,000,000 | 74,000,000 | |
Available-for-sale securities sold | 91,000,000 | 0 | |
Gross realized gains | 4,306,000 | 0 | |
Number of AFS securities | 274 | 290 | |
Number of securities in unrealized loss position | 29 | 31 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | 8 | 10 | |
Gross unrealized losses on AFS securities | 3,000,000 | ||
Income Statement, other-than-temporary impairments | 113,000 | ||
Maximum | |||
Investment Holdings [Line Items] | |||
Income Statement, other-than-temporary impairments | 0 | ||
Senior Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 73,263,000 | 101,753,000 | |
Interest Only Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 70,000,000 | ||
Residential Senior and Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 4,000,000 | ||
Residential Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 33,000,000 | ||
Trading Securities | Residential Senior and Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 4,000,000 | ||
Trading Securities | Residential Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 45,000,000 | ||
Prime | Senior Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 65,809,000 | 93,802,000 | |
Securities financed through non-recourse resecuritization entity | 98,000,000 | 105,000,000 | |
Non-prime | Senior Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 7,454,000 | 7,951,000 | |
Securities financed through non-recourse resecuritization entity | 113,000,000 | 117,000,000 | |
Residential | |||
Investment Holdings [Line Items] | |||
Marketable securities, less than five years | 7,000,000 | ||
Marketable securities, due from five to ten years | $2,000,000 |
Real_Estate_Securities_Fair_Va
Real Estate Securities - Fair Values of Real Estate Securities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Investments, Debt and Equity Securities [Abstract] | ||||
Trading | $106,837 | $111,606 | ||
Available-for-sale | 1,178,406 | 1,267,624 | ||
Total Real Estate Securities | $1,285,243 | [1] | $1,379,230 | [1] |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Real_Estate_Securities_Trading
Real Estate Securities - Trading Securities by Collateral Type (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Investment Holdings [Line Items] | ||
Trading securities | $106,837 | $111,606 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 73,263 | 101,753 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 65,809 | 93,802 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 7,454 | 7,951 |
Subordinate Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | $33,574 | $9,853 |
Real_Estate_Securities_Availab
Real Estate Securities - Available for Sale Securities by Collateral Type (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $1,178,406 | $1,267,624 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 472,746 | 487,557 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 297,872 | 307,813 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 174,874 | 179,744 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 169,239 | 168,347 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 536,421 | 611,720 |
Subordinate Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 370,391 | 448,838 |
Subordinate Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 1,000 | 1,000 |
Subordinate Securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $166,030 | $162,882 |
Real_Estate_Securities_Compone
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $1,178,406 | $1,267,624 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 472,746 | 487,557 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 297,872 | 307,813 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 174,874 | 179,744 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 169,239 | 168,347 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 536,421 | 611,720 |
Subordinate Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 370,391 | 448,838 |
Subordinate Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 1,000 | 1,000 |
Residential | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 1,335,622 | 1,445,079 |
Credit reserve | -63,584 | -70,067 |
Unamortized discount, net | -286,382 | -296,342 |
Amortized cost | 985,656 | 1,078,670 |
Gross unrealized gains | 195,636 | 191,750 |
Gross unrealized losses | -2,886 | -2,796 |
Carrying Value | 1,178,406 | 1,267,624 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 302,046 | 311,573 |
Credit reserve | -2,830 | -3,660 |
Unamortized discount, net | -32,645 | -34,782 |
Amortized cost | 266,571 | 273,131 |
Gross unrealized gains | 33,313 | 35,980 |
Gross unrealized losses | -2,012 | -1,298 |
Carrying Value | 297,872 | 307,813 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 190,790 | 196,258 |
Credit reserve | -9,027 | -9,644 |
Unamortized discount, net | -29,791 | -31,491 |
Amortized cost | 151,972 | 155,123 |
Gross unrealized gains | 22,984 | 24,682 |
Gross unrealized losses | -82 | -61 |
Carrying Value | 174,874 | 179,744 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 194,296 | 195,098 |
Credit reserve | -12,667 | -15,202 |
Unamortized discount, net | -79,401 | -79,611 |
Amortized cost | 102,228 | 100,285 |
Gross unrealized gains | 67,011 | 68,062 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 169,239 | 168,347 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 648,490 | 742,150 |
Credit reserve | -39,060 | -41,561 |
Unamortized discount, net | -144,545 | -150,458 |
Amortized cost | 464,885 | 550,131 |
Gross unrealized gains | 72,328 | 63,026 |
Gross unrealized losses | -792 | -1,437 |
Carrying Value | $536,421 | $611,720 |
Real_Estate_Securities_Changes
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Detail) (Residential, USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Residential | |
Credit Reserve | |
Beginning balance | $70,067 |
Amortization of net discount | 0 |
Realized credit losses | -2,945 |
Acquisitions | 0 |
Sales, calls, other | 0 |
Impairments | 0 |
Transfers to (release of) credit reserves, net | -3,538 |
Ending Balance | 63,584 |
Unamortized Discount Net | |
Beginning balance | 296,342 |
Amortization of net discount | -9,838 |
Realized credit losses | 0 |
Acquisitions | 2,672 |
Sales, calls, other | -6,332 |
Impairments | 0 |
Transfers to (release of) credit reserves, net | 3,538 |
Ending Balance | $286,382 |
Real_Estate_Securities_Compone1
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Detail) (Residential, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Residential | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $143,665 | $126,681 |
Less Than 12 Consecutive Months Gross Unrealized Losses | -1,798 | -1,374 |
Less Than 12 Consecutive Months Fair Value | 141,867 | 125,307 |
12 Consecutive Months or Longer Amortized Cost | 36,468 | 70,676 |
12 Consecutive Months or Longer Gross Unrealized Losses | -1,088 | -1,422 |
12 Consecutive Months or Longer Fair Value | $35,380 | $69,254 |
Real_Estate_Securities_Summary
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Prime | Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 8.00% |
Projected default rate | 1.00% |
Prime | Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 16.00% |
Projected default rate | 18.00% |
Non-prime | Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 10.00% |
Projected default rate | 14.00% |
Non-prime | Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 10.00% |
Projected default rate | 18.00% |
Real_Estate_Securities_Activit
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Balance at beginning of period | $33,849 | $37,149 |
Initial credit impairments | 0 | 71 |
Subsequent credit impairments | 0 | 42 |
Securities sold, or expected to sell | -95 | 0 |
Securities with no outstanding principal at period end | -805 | -1,476 |
Balance at End of Period | $32,949 | $35,786 |
Real_Estate_Securities_Gross_R
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Gross realized gains | $4,306 | $0 |
Gross realized losses | 0 | 0 |
Total Realized Gains on Sales and Calls of AFS Securities, Net | 4,306 | 987 |
Call Option | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Gross realized gains | 0 | 987 |
Gross realized losses | $0 | $0 |
Mortgage_Servicing_Rights_Sche
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Servicing Assets at Fair Value [Line Items] | ||||
MSR Fair Value | $120,324 | [1] | $139,293 | [1] |
Associated Principal | 12,652,638 | 13,667,930 | ||
Conforming Loan | ||||
Servicing Assets at Fair Value [Line Items] | ||||
MSR Fair Value | 69,203 | 81,301 | ||
Associated Principal | 6,800,645 | 7,705,146 | ||
Jumbo Loan | ||||
Servicing Assets at Fair Value [Line Items] | ||||
MSR Fair Value | 51,121 | 57,992 | ||
Associated Principal | $5,851,993 | $5,962,784 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Mortgage_Servicing_Rights_Acti
Mortgage Servicing Rights - Activity for Residential First-Lien Mortgage Servicing Rights (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Servicing Assets at Fair Value [Line Items] | |||
Balance at beginning of period | $139,293 | [1] | |
Additions | 15,675 | 2,294 | |
Changes in fair value due to: | |||
Balance at End of Period | 120,324 | [1] | |
Mortgage Servicing Rights | |||
Servicing Assets at Fair Value [Line Items] | |||
Balance at beginning of period | 139,293 | 64,824 | |
Additions | 18,754 | 2,858 | |
Sales | -18,206 | 0 | |
Changes in fair value due to: | |||
Changes in assumptions | -14,036 | -1,125 | |
Other changes | -5,481 | -1,586 | |
Balance at End of Period | $120,324 | $64,971 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Mortgage_Servicing_Rights_Deta
Mortgage Servicing Rights - Details of Retention and Purchase of MSRs (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | $15,675 | $2,294 |
Mortgage Servicing Rights | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 18,754 | 2,858 |
Associated Principal | 1,908,993 | |
Mortgage Servicing Rights | Jumbo MSR Additions | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 1,964 | |
Associated Principal | 237,997 | |
Mortgage Servicing Rights | Jumbo MSR Additions | Securitization | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 1,872 | |
Associated Principal | 227,852 | |
Mortgage Servicing Rights | Jumbo MSR Additions | Loan Sales | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 92 | |
Associated Principal | 10,145 | |
Mortgage Servicing Rights | Conforming MSR Additions | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 16,790 | |
Associated Principal | 1,670,996 | |
Mortgage Servicing Rights | Conforming MSR Additions | Loan Sales | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 13,711 | |
Associated Principal | 1,352,658 | |
Mortgage Servicing Rights | Conforming MSR Additions | From purchases | ||
Mortgage Servicing Rights [Line Items] | ||
MSR Fair Value | 3,079 | |
Associated Principal | $318,338 |
Mortgage_Servicing_Rights_Comp
Mortgage Servicing Rights - Components of Mortgage Servicing Rights Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Servicing income: | ||
Income | $9,716 | $3,633 |
Cost of sub-servicer | -1,229 | -316 |
Net servicing income | 8,487 | 3,317 |
Market valuation adjustments | -19,517 | -2,711 |
MSR provision for repurchases | 106 | 0 |
MSR income (loss) | ($10,924) | $606 |
Derivative_Financial_Instrumen2
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ||
Fair Value | ($37,518) | ($41,914) |
Notional Amount | 5,197,873 | 3,663,084 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -68,064 | -58,331 |
Notional Amount | 2,118,526 | 1,675,617 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 30,546 | 16,417 |
Notional Amount | 3,079,347 | 1,987,467 |
Interest Rate Swaps | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -2,297 | -1,328 |
Notional Amount | 190,500 | 206,000 |
Interest Rate Swaps | Cash Flow Hedging | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -55,284 | -46,845 |
Notional Amount | 139,500 | 139,500 |
Interest Rate Swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 1,768 | 0 |
Notional Amount | 158,000 | 0 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -8,842 | -9,506 |
Notional Amount | 1,230,000 | 1,110,000 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 4,721 | 6,654 |
Notional Amount | 691,000 | 1,074,000 |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -332 | -372 |
Notional Amount | 72,000 | 90,000 |
Futures | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 0 |
Notional Amount | 0 | 0 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 15,786 | 7,006 |
Notional Amount | 825,000 | 575,000 |
Credit Default Index Swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,597 |
Notional Amount | 0 | 50,000 |
Loan Purchase Commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -846 | -41 |
Notional Amount | 387,051 | 27,324 |
Loan Purchase Commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 8,271 | 1,160 |
Notional Amount | 1,405,347 | 288,467 |
Loan forward Sales Commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | -463 | -239 |
Notional Amount | 99,475 | 102,793 |
Loan forward Sales Commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 0 |
Notional Amount | $0 | $0 |
Derivative_Financial_Instrumen3
Derivative Financial Instruments - Additional Information (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Notional amount | $5,197,873,000 | $3,663,084,000 | |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | 54,000,000 | 46,000,000 | |
Number of counterparties | 6 | ||
Cash Flow Hedging | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Notional amount | 140,000,000 | ||
Valuation adjustments on derivatives | -8,000,000 | -9,000,000 | |
Loan Purchase and Forward Sales Commitments | |||
Derivative [Line Items] | |||
Valuation adjustments on derivatives | 18,000,000 | -1,000,000 | |
Unsecuritized Residential and Commercial Loans | |||
Derivative [Line Items] | |||
Valuation adjustments on derivatives | -12,000,000 | ||
Unsecuritized Residential and Commercial Loans | Interest Rate Contract | |||
Derivative [Line Items] | |||
Notional amount | 1,300,000,000 | ||
Unsecuritized Residential and Commercial Loans | Futures | |||
Derivative [Line Items] | |||
Notional amount | 72,000,000 | ||
Unsecuritized Residential and Commercial Loans | TBAs | |||
Derivative [Line Items] | |||
Notional amount | 1,900,000,000 | ||
Maximum | |||
Derivative [Line Items] | |||
Hedges decreased in value recorded as a component of interest expense | 100,000 | ||
Maximum | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Accumulated other comprehensive loss that will be amortized into interest expense | -1,000,000 | ||
Maximum | Unsecuritized Residential and Commercial Loans | |||
Derivative [Line Items] | |||
Valuation adjustments on derivatives | ($13,000,000) |
Derivative_Financial_Instrumen4
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Derivative [Line Items] | ||
Total interest expense | ($23,961) | ($19,060) |
Cash Flow Hedging | Interest Rate Contract | ||
Derivative [Line Items] | ||
Net interest expense on cash flow interest rate agreements | -1,484 | -1,488 |
Realized income (expense) due to ineffective portion of hedges | 0 | 0 |
Realized net losses reclassified from other comprehensive income | -31 | -60 |
Total interest expense | ($1,515) | ($1,548) |
Other_Assets_and_Liabilities_S
Other Assets and Liabilities - Summary of Other Assets (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Margin receivable | $79,760,000 | $65,374,000 | ||
Investment receivable | 31,578,000 | 1,103,000 | ||
FHLBC stock | 28,434,000 | 10,688,000 | ||
Pledged collateral | 10,265,000 | 9,927,000 | ||
Guarantee asset | 6,118,000 | 7,201,000 | ||
Income taxes receivable | 5,786,000 | 175,000 | ||
REO | 5,305,000 | 4,391,000 | ||
Deposits | 5,000,000 | 5,000,000 | ||
Prepaid expenses | 2,816,000 | 3,372,000 | ||
Fixed assets and leasehold improvements | 3,868,000 | 3,008,000 | ||
Other | 4,062,000 | 3,657,000 | ||
Total Other Assets | 182,992,000 | [1] | 113,896,000 | [1] |
Fixed assets | 6,000,000 | |||
Accumulated depreciation | $4,000,000 | |||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Other_Assets_and_Liabilities_A
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Other Liabilities Disclosure [Abstract] | ||
Margin payable | $15,007 | $6,455 |
Unsettled trades | 11,050 | 0 |
Accrued compensation | 8,518 | 19,273 |
Guarantee obligation | 6,917 | 7,201 |
Residential repurchase reserve | 4,292 | 3,724 |
Accrued operating expenses | 3,096 | 3,334 |
Legal reserve | 2,000 | 2,000 |
Income tax payable | 721 | 0 |
Other | 8,534 | 10,257 |
Total Other Liabilities | $60,135 | $52,244 |
Other_Assets_and_Liabilities_A1
Other Assets and Liabilities - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Other Assets and Other Liabilities [Line Items] | ||
Real estate owned (REO) | $5,305,000 | $4,391,000 |
Amount related to transfers into REO | 3,000,000 | |
REO liquidations | 1,000,000 | |
Negative market valuation adjustments on REO | 2,000,000 | |
Sequoia | ||
Other Assets and Other Liabilities [Line Items] | ||
Number of REO properties recorded on balance sheet | 20 | 22 |
Guarantee obligations | ||
Other Assets and Other Liabilities [Line Items] | ||
Unpaid principal amount on loans | 957,000,000 | |
Weighted average original Fair Isaac Corporation (FICO) score | 762 | |
Weighted average original loan-to-value (LTV) | 75.00% | |
Percent of loans in reference portfolio that are in foreclosure | 0.00% | |
Potential future payments on loans | 10,000,000 | |
Loans and Leases Receivable, Allowance | $0 | |
Guarantee obligations | Financing Receivables, Equal To Greater Than 30 Days Past Due | ||
Other Assets and Other Liabilities [Line Items] | ||
Percent of loans in reference portfolio that are past due | 0.44% | |
Guarantee obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||
Other Assets and Other Liabilities [Line Items] | ||
Percent of loans in reference portfolio that are past due | 0.00% |
ShortTerm_Debt_Outstanding_Bal
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | |||
Contract | Contract | |||
Short-term Debt [Line Items] | ||||
Number of Facilities | 18 | 17 | ||
Outstanding | $1,502,164,000 | [1] | $1,793,825,000 | [1] |
Residential Loans | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | 5 | 5 | ||
Outstanding | 815,037,000 | 1,076,188,000 | ||
Limit | 1,550,000,000 | 1,550,000,000 | ||
Residential Loans | Minimum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2015-04 | 2015-02 | ||
Residential Loans | Maximum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2016-02 | 2015-12 | ||
Commercial Loans | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | 3 | 3 | ||
Outstanding | 80,858,000 | 109,128,000 | ||
Limit | 400,000,000 | 400,000,000 | ||
Commercial Loans | Minimum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2015-04 | 2015-04 | ||
Commercial Loans | Maximum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2016-10 | 2016-10 | ||
Real Estate Securities | ||||
Short-term Debt [Line Items] | ||||
Number of Facilities | 10 | 9 | ||
Outstanding | $606,269,000 | $608,509,000 | ||
Real Estate Securities | Minimum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2015-04 | 2015-01 | ||
Real Estate Securities | Maximum | ||||
Short-term Debt [Line Items] | ||||
Maturity | 2015-06 | 2015-03 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
ShortTerm_Debt_Additional_Info
Short-Term Debt - Additional Information (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Short-term Debt [Line Items] | |||
Securities pledged as collateral | $734,000,000 | $762,000,000 | |
Average balance of short-term debt | 1,590,000,000 | 1,010,000,000 | |
Accrued interest payable on short-term debt | 2,000,000 | 2,000,000 | |
Committed line of credit | 10,000,000 | ||
Committed line of credit with financial institutions, outstanding | 0 | 0 | |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 915,000,000 | 1,220,000,000 | |
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | $125,000,000 | $161,000,000 |
ShortTerm_Debt_By_Weighted_Ave
Short-Term Debt - By Weighted Average Interest Rates and Collateral Type (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Short-term Debt [Line Items] | ||||
Amount Borrowed | $1,502,164 | [1] | $1,793,825 | [1] |
Weighted Average Interest Rate | 1.74% | 1.73% | ||
Weighted Average Days Until Maturity | 130 days | 112 days | ||
Residential Loans | ||||
Short-term Debt [Line Items] | ||||
Amount Borrowed | 815,037 | 1,076,188 | ||
Weighted Average Interest Rate | 1.74% | 1.74% | ||
Weighted Average Days Until Maturity | 191 days | 156 days | ||
Commercial Loans | ||||
Short-term Debt [Line Items] | ||||
Amount Borrowed | 80,858 | 109,128 | ||
Weighted Average Interest Rate | 4.40% | 3.66% | ||
Weighted Average Days Until Maturity | 288 days | 185 days | ||
Real Estate Securities | ||||
Short-term Debt [Line Items] | ||||
Amount Borrowed | $606,269 | $608,509 | ||
Weighted Average Interest Rate | 1.38% | 1.38% | ||
Weighted Average Days Until Maturity | 26 days | 20 days | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
ShortTerm_Debt_Remaining_Matur
Short-Term Debt - Remaining Maturities of Short Term Debt (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | $1,502,164 | [1] | $1,793,825 | [1] |
Within 30 Days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 427,720 | 515,552 | ||
31 to 90 Days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | 269,050 | 447,021 | ||
Over 90 Days | ||||
Short-term Debt [Line Items] | ||||
Short-term debt | $805,394 | $831,252 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
AssetBacked_Securities_Issued_1
Asset-Backed Securities Issued - Additional Information (Detail) (USD $) | 3 Months Ended | ||||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |||
Debt Instrument [Line Items] | |||||
Description of interest rate | Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. | ||||
ABS issued principal | $1,353,021,000 | [1],[2] | $1,545,119,000 | [1],[2] | |
Asset-backed Securities | |||||
Debt Instrument [Line Items] | |||||
ABS issued principal | 1,353,021,000 | 1,545,119,000 | |||
Amortization of deferred ABS issuance costs, less than | 1,000,000 | 1,000,000 | |||
Asset-backed Securities | Contractual maturities of over five years | |||||
Debt Instrument [Line Items] | |||||
ABS issued principal | 1,350,000,000 | ||||
Contractual maturities of ABS (in years) | 5 years | ||||
Asset-backed Securities | Maturity Less Than One Year | |||||
Debt Instrument [Line Items] | |||||
ABS issued principal | 7,000,000 | ||||
Contractual maturities of ABS, maximum (in years) | 1 year | ||||
Asset-backed Securities | Certificates With Principal Value | |||||
Debt Instrument [Line Items] | |||||
Principal value | 1,473,602,000 | 1,555,413,000 | |||
Asset-backed Securities | Certificates With Principal Value | Contractual maturities of over five years | |||||
Debt Instrument [Line Items] | |||||
Principal value | 1,460,000,000 | ||||
Asset-backed Securities | Certificates With Principal Value | Maturity Less Than One Year | |||||
Debt Instrument [Line Items] | |||||
Principal value | $16,000,000 | ||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. | ||||
[2] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. |
AssetBacked_Securities_Issued_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Debt Instrument [Line Items] | ||||
ABS issued principal | 1,353,021 | [1],[2] | 1,545,119 | [1],[2] |
Asset-backed Securities | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | -126,203 | |||
Unamortized discount | -12,373 | |||
ABS issued principal | 1,353,021 | 1,545,119 | ||
Asset-backed Securities | Certificates With Principal Value | ||||
Debt Instrument [Line Items] | ||||
Principal value | 1,473,602 | 1,555,413 | ||
Asset-backed Securities | Interest Only Certificates | ||||
Debt Instrument [Line Items] | ||||
Principal value | 5,622 | 2,079 | ||
Asset-backed Securities | Sequoia | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | -126,203 | |||
Unamortized discount | -12,373 | |||
ABS issued principal | 1,239,065 | 1,416,762 | ||
Number of series | 24 | 24 | ||
Asset-backed Securities | Sequoia | Minimum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 0.38% | 0.36% | ||
Stated maturities | 2017 | 2014 | ||
Asset-backed Securities | Sequoia | Maximum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 4.30% | 4.27% | ||
Stated maturities | 2041 | 2041 | ||
Asset-backed Securities | Sequoia | Certificates With Principal Value | ||||
Debt Instrument [Line Items] | ||||
Principal value | 1,359,646 | 1,427,056 | ||
Asset-backed Securities | Sequoia | Interest Only Certificates | ||||
Debt Instrument [Line Items] | ||||
Principal value | 5,622 | 2,079 | ||
Asset-backed Securities | Residential Resecuritization | ||||
Debt Instrument [Line Items] | ||||
ABS issued principal | 34,280 | 45,044 | ||
Weighted average interest rates, by series | 2.17% | 2.16% | ||
Stated maturities | 2046 | 2046 | ||
Number of series | 1 | 1 | ||
Asset-backed Securities | Residential Resecuritization | Certificates With Principal Value | ||||
Debt Instrument [Line Items] | ||||
Principal value | 34,280 | 45,044 | ||
Asset-backed Securities | Commercial Securitization | ||||
Debt Instrument [Line Items] | ||||
ABS issued principal | 79,676 | 83,313 | ||
Weighted average interest rates, by series | 5.62% | 5.62% | ||
Stated maturities | 2018 | 2018 | ||
Number of series | 1 | 1 | ||
Asset-backed Securities | Commercial Securitization | Certificates With Principal Value | ||||
Debt Instrument [Line Items] | ||||
Principal value | 79,676 | 83,313 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. | |||
[2] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. |
AssetBacked_Securities_Issued_3
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | $14,319 | [1] | $8,503 | [1] |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 1,277 | 1,371 | ||
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Sequoia | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 893 | 976 | ||
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Residential Resecuritization | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 10 | 5 | ||
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | $374 | $390 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
AssetBacked_Securities_Issued_4
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $1,716,563 | $1,900,118 |
Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,304,426 | 1,474,386 |
Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 191,575 | 194,991 |
Real Estate Securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 211,316 | 221,676 |
Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 282 | 327 |
Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,660 | 4,347 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,304 | 4,391 |
Sequoia | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,311,597 | 1,481,283 |
Sequoia | Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,304,426 | 1,474,386 |
Sequoia | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 147 | 147 |
Sequoia | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,720 | 2,359 |
Sequoia | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,304 | 4,391 |
Residential Resecuritization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 211,765 | 222,196 |
Residential Resecuritization | Real Estate Securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 211,316 | 221,676 |
Residential Resecuritization | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 43 |
Residential Resecuritization | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 449 | 477 |
Commercial Securitization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 193,201 | 196,639 |
Commercial Securitization | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 191,575 | 194,991 |
Commercial Securitization | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 135 | 137 |
Commercial Securitization | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,491 | 1,511 |
Commercial Securitization | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $0 |
LongTerm_Debt_Additional_Infor
Long-Term Debt - Additional Information (Detail) (USD $) | 1 Months Ended | 3 Months Ended | 1 Months Ended | 3 Months Ended | |||
Nov. 30, 2014 | Mar. 31, 2015 | Mar. 31, 2013 | Mar. 31, 2014 | Dec. 31, 2014 | |||
Debt Instrument [Line Items] | |||||||
Federal home loan bank stock | $28,434,000 | $10,688,000 | |||||
Accrued interest payable | 2,000,000 | 2,000,000 | |||||
Accrued interest payable balance on long-term debt (less than) | 14,319,000 | [1] | 8,503,000 | [1] | |||
Commercial Secured Borrowings | |||||||
Debt Instrument [Line Items] | |||||||
Commercial mortgage loans | 68,000,000 | ||||||
Exchangeable Senior Notes | |||||||
Debt Instrument [Line Items] | |||||||
Convertible notes | 205,000,000 | ||||||
Debt Instrument interest rate | 5.63% | ||||||
Debt instrument maturity year | 2019 | ||||||
Debt instrument redemption date | 15-Nov-19 | ||||||
Net proceeds from issuance of convertible debt | 198,000,000 | ||||||
Interest expense yield | 6.52% | ||||||
Accrued interest payable | 4,000,000 | ||||||
Unamortized Debt Issuance Expense | 7,000,000 | ||||||
Convertible senior notes conversion rate | 0.0461798 | ||||||
Convertible senior notes conversion per share | $21.65 | ||||||
Senior Notes due 2018 | |||||||
Debt Instrument [Line Items] | |||||||
Convertible notes | 288,000,000 | ||||||
Debt Instrument interest rate | 4.63% | ||||||
Net proceeds from issuance of convertible debt | 279,000,000 | ||||||
Interest expense yield | 5.36% | ||||||
Accrued interest payable | 7,000,000 | ||||||
Unamortized Debt Issuance Expense | 5,000,000 | ||||||
Convertible senior notes conversion rate | 0.041132 | ||||||
Convertible senior notes conversion per share | $24.31 | ||||||
Trust Preferred Securities | |||||||
Debt Instrument [Line Items] | |||||||
Interest expense yield | 2.52% | 2.42% | |||||
Debt instrument face amount | 100,000,000 | ||||||
Percentage of yield of debt securities | -6.81% | -6.78% | |||||
Subordinated Notes | |||||||
Debt Instrument [Line Items] | |||||||
Interest expense yield | 2.52% | 2.45% | |||||
Debt instrument face amount | 40,000,000 | ||||||
Percentage of yield of debt securities | -6.81% | -6.78% | |||||
Long-term Debt | Maximum | |||||||
Debt Instrument [Line Items] | |||||||
Accrued interest payable balance on long-term debt (less than) | 1,000,000 | 0 | |||||
FHLB Chicago | |||||||
Debt Instrument [Line Items] | |||||||
Federal home loan bank advances, reset period of basis margin | 91 days | ||||||
FHLB Chicago | Residential Loans Held For Investment at Fair Value | |||||||
Debt Instrument [Line Items] | |||||||
Amount on advances secured by residential mortgage loans | 994,000,000 | ||||||
FHLB Member Subsidiary | FHLB Chicago | |||||||
Debt Instrument [Line Items] | |||||||
Additional borrowings from FHLBC | 355,000,000 | ||||||
Federal home loan bank advances outstanding | 851,000,000 | ||||||
Weighted average interest rate | 0.27% | ||||||
Weighted average maturity | 9 years 2 months 12 days | ||||||
Federal home loan bank stock | $28,000,000 | ||||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Commitments_and_Contingencies_1
Commitments and Contingencies - Additional Information (Detail) (USD $) | 3 Months Ended | 0 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Jul. 15, 2010 | Dec. 31, 2014 | |
loan | Plaintiff | |||
repurchase_request | ||||
lease | ||||
Loss Contingencies [Line Items] | ||||
Number of noncancelable leases | 9 | |||
Future lease commitments with expiration date | $12,346,000 | |||
Residential repurchase reserve | 4,292,000 | 3,724,000 | ||
Residential repurchase provisions recorded | 1,000,000 | 1,000,000 | ||
Residential repurchase requests | 25 | |||
Resdential repurchase, number of loans repurchased | 1 | |||
Aggregate amount of loss contingency reserves | 2,000,000 | 2,000,000 | ||
Schwab | ||||
Loss Contingencies [Line Items] | ||||
Number of other named defendants along with SRF | 26 | |||
Maximum | ||||
Loss Contingencies [Line Items] | ||||
Operating lease expiration dates | 2021 | |||
Operating lease expense (less than) | 1,000,000 | 0 | ||
Sequoia | FHLB Seattle | Residential | ||||
Loss Contingencies [Line Items] | ||||
Statutory interest rate per annum | 8.00% | |||
Original principal amount of securities | 133,000,000 | |||
Debt instrument principal payment amount | 116,000,000 | |||
Debt instrument interest payment amount | 11,000,000 | |||
Sequoia | Schwab | Residential | ||||
Loss Contingencies [Line Items] | ||||
Original principal amount of securities | 15,000,000 | |||
Principal balance of securities | 13,000,000 | |||
Debt instrument interest amount | $1,000,000 |
Commitments_and_Contingencies_2
Commitments and Contingencies - Future Lease Commitments (Detail) (USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Leases [Abstract] | |
2015 (9 months) | $2,123 |
2016 | 2,833 |
2017 | 2,879 |
2018 | 1,827 |
2019 | 1,189 |
2020 and thereafter | 1,495 |
Total | $12,346 |
Equity_Changes_to_Accumulated_
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Balance at beginning of period | $140,688 | [1] | |
Total other comprehensive (loss) income | -5,048 | 11,886 | |
Balance at End of Period | 135,640 | [1] | |
Net unrealized gains on available-for-sale securities | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Balance at beginning of period | 186,737 | 164,654 | |
Other comprehensive income (loss) before reclassifications | 5,053 | 19,323 | |
Amounts reclassified from other accumulated comprehensive income | -1,690 | 1,298 | |
Total other comprehensive (loss) income | 3,363 | 20,621 | |
Balance at End of Period | 190,100 | 185,275 | |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
Balance at beginning of period | -46,049 | -15,888 | |
Other comprehensive income (loss) before reclassifications | -8,442 | -8,795 | |
Amounts reclassified from other accumulated comprehensive income | 31 | 60 | |
Total other comprehensive (loss) income | -8,411 | -8,735 | |
Balance at End of Period | ($54,460) | ($24,623) | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |
Equity_Reclassifications_out_o
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Other than temporary impairment | $113 | |
Realized gains (losses), net | 4,306 | 1,092 |
Total interest expense | 23,961 | 19,060 |
Reclassification out of Accumulated Other Comprehensive Income | Net unrealized gains on available-for-sale securities | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Other than temporary impairment | 0 | 1,298 |
Gain on sale of AFS securities | -1,690 | 0 |
Realized gains (losses), net | -1,690 | 1,298 |
Reclassification out of Accumulated Other Comprehensive Income | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Total interest expense | $31 | $60 |
Equity_Basic_and_Diluted_Earni
Equity - Basic and Diluted Earnings Per Common Share (Detail) (USD $) | 3 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Earnings Per Share [Abstract] | ||
Net income attributable to Redwood | $14,801 | $12,333 |
Less: Dividends and undistributed earnings allocated to participating securities | -822 | -702 |
Net income allocated to common shareholders | 13,979 | 11,631 |
Basic weighted average common shares outstanding (shares) | 83,360,312 | 82,410,562 |
Basic earnings per common share (usd per share) | $0.17 | $0.14 |
Less: Dividends and undistributed earnings allocated to participating securities | -822 | -702 |
Net income allocated to common shareholders | $13,979 | $11,631 |
Net effect of dilutive equity awards | 2,261,904 | 2,529,978 |
Diluted weighted average common shares outstanding (shares) | 85,622,216 | 84,940,540 |
Diluted earnings per common share (usd per share) | $0.16 | $0.14 |
Equity_Additional_Information_
Equity - Additional Information (Detail) | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Nov. 30, 2007 | |
Stockholders Equity Note [Line Items] | |||
Net effect of dilutive equity awards | 2,261,904 | 2,529,978 | |
Stock repurchase program authorized number of shares to be repurchased | 5,000,000 | ||
Stock acquired during the period | 0 | ||
Stock repurchase program authorized number of shares remained for repurchase | 4,005,985 | ||
Convertible notes | |||
Stockholders Equity Note [Line Items] | |||
Securities excluded in the calculation of diluted earnings per share | 11,825,450 | 21,292,309 | |
Equity awards | |||
Stockholders Equity Note [Line Items] | |||
Securities excluded in the calculation of diluted earnings per share | 79,535 |
Equity_Compensation_Plans_Unre
Equity Compensation Plans - Unrecognized Compensation Cost (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation cost at beginning of period | $20,269 | |
Equity grants | 8,034 | |
Equity grant forfeitures | -162 | |
Equity compensation expense | -2,738 | -2,330 |
Unrecognized Compensation Cost at End of Period | 25,403 | |
Incentive Plans | Restricted Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation cost at beginning of period | 1,091 | |
Equity grants | 2,636 | |
Equity grant forfeitures | -162 | |
Equity compensation expense | -250 | |
Unrecognized Compensation Cost at End of Period | 3,315 | |
Incentive Plans | Deferred Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation cost at beginning of period | 12,304 | |
Equity grants | 5,162 | |
Equity grant forfeitures | 0 | |
Equity compensation expense | -1,575 | |
Unrecognized Compensation Cost at End of Period | 15,891 | |
Incentive Plans | Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation cost at beginning of period | 6,874 | |
Equity grants | 0 | |
Equity compensation expense | -854 | |
Unrecognized Compensation Cost at End of Period | 6,020 | |
Employee Stock Purchase Plan | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Equity grants | 236 | |
Equity compensation expense | -59 | |
Unrecognized Compensation Cost at End of Period | $177 |
Equity_Compensation_Plans_Addi
Equity Compensation Plans - Additional Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Shares of common stock available for grant under Redwood's Incentive Plan | 1,914,207 | 2,225,245 |
Unrecognized compensation cost | $25,403 | $20,269 |
Weighted average amortization period remaining for equity awards (less than) | 2 years | |
Number of shares purchased by employees | 283,092 | 274,318 |
Restricted Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards | 196,644 | 109,464 |
Number of stock awards granted | 136,561 | |
Number of stock awards vested | 40,643 | |
Number of stock awards forfeited | 8,738 | |
Deferred Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards | 2,438,081 | 2,168,824 |
Number of stock awards granted | 269,258 | |
Number of stock awards vested | 1,435,093 | 1,287,862 |
Number of stock awards forfeited | 0 | |
Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards | 761,051 | 761,051 |
Number of stock awards vested | 701,440 | |
Share-based compensation, vesting period | 3 years | |
Share-based compensation, vesting year | 2015 and in future years | |
Maximum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Shares of common stock to be purchased in aggregate for all employees | 450,000 | |
Maximum | Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Equity awards, vesting percentage | 200.00% | |
Total Shareholder Return (TSR) percentage to determine vested shares (greater than) | 125.00% | |
Minimum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share-based compensation, vesting period | 3 years | |
Minimum | Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Equity awards, vesting percentage | 0.00% |
Mortgage_Banking_Activities_Co
Mortgage Banking Activities - Components of Mortgage Banking Activities, Net (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Mortgage Loans on Real Estate [Line Items] | ||
Adjustment to valuation of trading securities | ($14,359) | ($4,277) |
Risk management derivatives | -10,583 | -7,082 |
Mortgage banking activities, net | 1,923 | -231 |
Mortgage Banking Activities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage banking activities, net | 1,923 | -231 |
Mortgage Banking Activities | Residential Mortgage Banking Activities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Valuation adjustments | 20,312 | 7,045 |
Adjustment to valuation of trading securities | -14,359 | -4,277 |
Risk management derivatives | -4,371 | -4,278 |
Other | 633 | 446 |
Mortgage banking activities, net | 2,215 | -1,064 |
Mortgage Banking Activities | Commercial Mortgage Banking Activities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Valuation adjustments | 5,857 | 3,626 |
Risk management derivatives | -6,212 | -2,803 |
Other | 63 | 10 |
Mortgage banking activities, net | ($292) | $833 |
Operating_Expenses_Components_
Operating Expenses - Components of Operating Expenses (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Other Income and Expenses [Abstract] | ||
Fixed compensation expense | $9,155 | $6,742 |
Variable compensation expense | 3,991 | 2,781 |
Equity compensation expense | 2,738 | 2,330 |
Total compensation expense | 15,884 | 11,853 |
Systems and consulting | 2,122 | 3,466 |
Accounting and legal | 1,577 | 1,633 |
Office costs | 1,232 | 985 |
Corporate costs | 526 | 552 |
Other operating expenses | 3,722 | 1,482 |
Total Operating Expenses | $25,063 | $19,971 |
Taxes_Additional_Information_D
Taxes - Additional Information (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Income Tax Disclosure [Abstract] | ||
Benefit from income taxes | $5,316 | $1,843 |
Taxes_Reconciliation_of_Statut
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Detail) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 34.00% | 34.00% |
State statutory rate, net of Federal tax effect | 7.20% | 7.20% |
Differences in taxable (loss) income from GAAP income | -44.70% | -1.70% |
Change in valuation allowance | 11.90% | 3.70% |
Dividends paid deduction | -64.40% | -60.80% |
Effective Tax Rate | -56.00% | -17.60% |
Segment_Information_Additional
Segment Information - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment_Information_Financial_
Segment Information - Financial Information by Segment (Detail) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Segment Reporting Information [Line Items] | ||||
Interest income | $63,746 | $55,476 | ||
Interest expense | -23,961 | -19,060 | ||
Net Interest Income | 39,785 | 36,416 | ||
Provision for loan losses | -206 | -1,284 | ||
Mortgage banking activities | 1,923 | -231 | ||
MSR income (loss) | -10,924 | 606 | ||
Other market valuation adjustments | -1,145 | [1] | -6,138 | [1] |
Realized gains, net | 4,306 | 1,092 | ||
Total noninterest income, net | -5,031 | -4,671 | ||
Direct operating expenses | -25,063 | -19,971 | ||
Other income (expense) | 809 | |||
(Provision for) benefit from income taxes | 5,316 | 1,843 | ||
Net Income | 14,801 | 12,333 | ||
Non-cash amortization expense | 8,762 | 9,076 | ||
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 15,795 | 10,668 | ||
Interest expense | -3,778 | -1,321 | ||
Net Interest Income | 12,017 | 9,347 | ||
Provision for loan losses | 0 | 0 | ||
Mortgage banking activities | 2,215 | -1,064 | ||
MSR income (loss) | 0 | 0 | ||
Other market valuation adjustments | 2 | -2 | ||
Realized gains, net | 0 | 0 | ||
Total noninterest income, net | 2,217 | -1,066 | ||
Direct operating expenses | -10,903 | -7,094 | ||
Other income (expense) | 0 | |||
(Provision for) benefit from income taxes | 8 | -165 | ||
Net Income | 3,339 | 1,022 | ||
Non-cash amortization expense | -46 | -52 | ||
Operating Segments | Residential Investments | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 30,012 | 27,594 | ||
Interest expense | -2,810 | -2,850 | ||
Net Interest Income | 27,202 | 24,744 | ||
Provision for loan losses | 0 | 0 | ||
Mortgage banking activities | 0 | 0 | ||
MSR income (loss) | -10,924 | 606 | ||
Other market valuation adjustments | -19 | -5,957 | ||
Realized gains, net | 4,306 | 987 | ||
Total noninterest income, net | -5,828 | -4,364 | ||
Direct operating expenses | -1,118 | -1,095 | ||
Other income (expense) | 809 | |||
(Provision for) benefit from income taxes | 3,510 | 1,527 | ||
Net Income | 23,766 | 20,812 | ||
Non-cash amortization expense | 9,838 | 11,247 | ||
Operating Segments | Commercial Mortgage Banking and Investments | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 10,914 | 10,384 | ||
Interest expense | -3,489 | -3,303 | ||
Net Interest Income | 7,425 | 7,081 | ||
Provision for loan losses | -206 | -655 | ||
Mortgage banking activities | -292 | 833 | ||
MSR income (loss) | 0 | 0 | ||
Other market valuation adjustments | 0 | 0 | ||
Realized gains, net | 0 | 0 | ||
Total noninterest income, net | -292 | 833 | ||
Direct operating expenses | -3,482 | -2,626 | ||
Other income (expense) | 0 | |||
(Provision for) benefit from income taxes | 853 | 355 | ||
Net Income | 4,298 | 4,988 | ||
Non-cash amortization expense | -49 | -173 | ||
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 7,025 | 6,830 | ||
Interest expense | -13,884 | -11,586 | ||
Net Interest Income | -6,859 | -4,756 | ||
Provision for loan losses | 0 | -629 | ||
Mortgage banking activities | 0 | 0 | ||
MSR income (loss) | 0 | 0 | ||
Other market valuation adjustments | -1,128 | -179 | ||
Realized gains, net | 0 | 105 | ||
Total noninterest income, net | -1,128 | -74 | ||
Direct operating expenses | -9,560 | -9,156 | ||
Other income (expense) | 0 | |||
(Provision for) benefit from income taxes | 945 | 126 | ||
Net Income | -16,602 | -14,489 | ||
Non-cash amortization expense | ($981) | ($1,946) | ||
[1] | For the three months ended March 31, 2015, there were no other-than-temporary impairments. For the three months ended March 31, 2014, other-than-temporary impairments were $1,671, of which $113 were recognized through the Income Statement and $1,558 were recognized in Accumulated Other Comprehensive Income. |
Segment_Information_Components
Segment Information - Components of Corporate/Other (Detail) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Segment Reporting Information [Line Items] | ||||
Interest income | $63,746 | $55,476 | ||
Interest expense | -23,961 | -19,060 | ||
Net Interest Income | 39,785 | 36,416 | ||
Provision for loan losses | -206 | -1,284 | ||
Mortgage banking activities | 1,923 | -231 | ||
MSR income (loss) | -10,924 | 606 | ||
Other market valuation adjustments | -1,145 | [1] | -6,138 | [1] |
Realized gains, net | 4,306 | 1,092 | ||
Other income (expense) | 809 | |||
Total noninterest income, net | -5,031 | -4,671 | ||
Direct operating expenses | -25,063 | -19,971 | ||
(Provision for) benefit from income taxes | 5,316 | 1,843 | ||
Net income | 14,801 | 12,333 | ||
Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 7,018 | 6,828 | ||
Interest expense | -4,482 | -5,460 | ||
Net Interest Income | 2,536 | 1,368 | ||
Provision for loan losses | 0 | -629 | ||
Other market valuation adjustments | -1,093 | -142 | ||
Realized gains, net | 0 | 105 | ||
Total noninterest income, net | -1,093 | -37 | ||
Direct operating expenses | 0 | -52 | ||
(Provision for) benefit from income taxes | 0 | 0 | ||
Net income | 1,443 | 650 | ||
Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 7 | 2 | ||
Interest expense | -9,402 | -6,126 | ||
Net Interest Income | -9,395 | -6,124 | ||
Provision for loan losses | 0 | 0 | ||
Other market valuation adjustments | -35 | -37 | ||
Realized gains, net | 0 | 0 | ||
Total noninterest income, net | -35 | -37 | ||
Direct operating expenses | -9,560 | -9,104 | ||
(Provision for) benefit from income taxes | 945 | 126 | ||
Net income | -18,045 | -15,139 | ||
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 7,025 | 6,830 | ||
Interest expense | -13,884 | -11,586 | ||
Net Interest Income | -6,859 | -4,756 | ||
Provision for loan losses | 0 | -629 | ||
Mortgage banking activities | 0 | 0 | ||
MSR income (loss) | 0 | 0 | ||
Other market valuation adjustments | -1,128 | -179 | ||
Realized gains, net | 0 | 105 | ||
Other income (expense) | 0 | |||
Total noninterest income, net | -1,128 | -74 | ||
Direct operating expenses | -9,560 | -9,156 | ||
(Provision for) benefit from income taxes | 945 | 126 | ||
Net income | ($16,602) | ($14,489) | ||
[1] | For the three months ended March 31, 2015, there were no other-than-temporary impairments. For the three months ended March 31, 2014, other-than-temporary impairments were $1,671, of which $113 were recognized through the Income Statement and $1,558 were recognized in Accumulated Other Comprehensive Income. |
Segment_Information_Supplement
Segment Information - Supplemental Information by Segment (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | $3,399,755 | $3,398,573 | ||
Commercial loans | 460,342 | 566,927 | ||
Real estate securities | 1,285,243 | [1] | 1,379,230 | [1] |
Mortgage servicing rights | 120,324 | [1] | 139,293 | [1] |
Total assets | 5,816,019 | [1] | 5,918,966 | [1] |
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 1,094,885 | 1,342,519 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 65,809 | 93,802 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | 1,204,055 | 1,468,856 | ||
Operating Segments | Residential Investments | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 1,000,444 | 581,668 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 1,219,434 | 1,285,428 | ||
Mortgage servicing rights | 120,324 | 139,293 | ||
Total assets | 2,446,100 | 2,057,256 | ||
Operating Segments | Commercial Mortgage Banking and Investments | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 0 | 0 | ||
Commercial loans | 460,342 | 566,927 | ||
Real estate securities | 0 | 0 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | 467,200 | 575,943 | ||
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 1,304,426 | 1,474,386 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 0 | 0 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | $1,698,664 | $1,816,911 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At March 31, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,716,563 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,354,298 and $1,546,490, respectively. See Note 4 for further discussion. |