Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Aug. 07, 2015 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | RWT | |
Entity Registrant Name | REDWOOD TRUST INC | |
Entity Central Index Key | 930,236 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 84,567,744 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
ASSETS | |||
Residential loans | $ 3,286,480 | $ 3,398,573 | |
Commercial loans | 551,331 | 566,927 | |
Real estate securities, at fair value | [1] | 1,157,599 | 1,379,230 |
Mortgage servicing rights, at fair value | [1] | 168,462 | 139,293 |
Cash and cash equivalents | [1] | 226,426 | 269,730 |
Total earning assets | [1] | 5,390,298 | 5,753,753 |
Restricted cash | [1] | 2,389 | 628 |
Accrued interest receivable | [1] | 16,151 | 18,222 |
Derivative assets | [1] | 26,252 | 16,417 |
Deferred securities issuance costs | [1] | 13,174 | 16,050 |
Other assets | [1] | 147,620 | 113,896 |
Total Assets | [1] | 5,595,884 | 5,918,966 |
Liabilities | |||
Short-term debt | [1] | 1,367,062 | 1,793,825 |
Accrued interest payable | [1] | 8,291 | 8,503 |
Derivative liabilities | [1] | 54,109 | 58,331 |
Accrued expenses and other liabilities | [1] | 49,925 | 52,244 |
Deferred tax liability | [1] | 10,237 | 10,236 |
Asset-backed securities issued (includes $1,173,336 and $0 at fair value) | [1],[2] | 1,262,122 | 1,545,119 |
Long-term debt (includes $65,232 and $66,707 at fair value) | [1] | 1,579,354 | 1,194,567 |
Total liabilities | [1] | 4,331,100 | 4,662,825 |
Equity | |||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 84,552,232 and 83,443,141 issued and outstanding | [1] | 846 | 834 |
Additional paid-in capital | [1] | 1,779,330 | 1,774,030 |
Accumulated other comprehensive income | [1] | 140,694 | 140,688 |
Cumulative earnings | [1] | 958,460 | 906,867 |
Cumulative distributions to stockholders | [1] | (1,614,546) | (1,566,278) |
Total equity | [1] | 1,264,784 | 1,256,141 |
Total Liabilities and Equity | [1] | 5,595,884 | 5,918,966 |
Residential Loans Held For Sale | |||
ASSETS | |||
Residential loans | [1] | 892,081 | 1,342,519 |
Residential Loans Held For Investment | |||
ASSETS | |||
Residential loans | [1],[2] | 2,394,399 | 2,056,054 |
Commercial Loans Held For Sale | |||
ASSETS | |||
Commercial loans | [1] | 165,853 | 166,234 |
Commercial Loans Held For Investment | |||
ASSETS | |||
Commercial loans | [1] | $ 385,478 | $ 400,693 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 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 $1,474,386 at historical cost. See Note 3 for further discussion. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Asset-backed securities at fair value | $ 1,173,336 | $ 0 |
Long-term debt at fair value | $ 65,232 | $ 66,707 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 180,000,000 | 180,000,000 |
Common stock, issued | 84,552,232 | 83,443,141 |
Common stock, outstanding | 84,552,232 | 83,443,141 |
Variable interest held by entity, assets | $ 1,622,636 | $ 1,900,208 |
Variable interest held by entity, liabilities | 1,263,249 | 1,546,490 |
Carrying value | 3,286,480 | 3,398,573 |
Commercial Loans Held For Investment | ||
Loans at fair value | $ 69,763 | 71,262 |
Residential Loans Held For Investment At Amortized Cost | ||
Carrying value | 1,474,386 | |
Sequoia | Residential Loans Held For Investment At Amortized Cost | ||
Carrying value | $ 1,474,386 |
Consolidated Statements Of Inco
Consolidated Statements Of Income - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Interest Income | |||||
Residential loans | $ 25,808 | $ 13,601 | $ 50,817 | $ 26,259 | |
Commercial loans | 12,679 | 11,217 | 23,593 | 21,601 | |
Real estate securities | 24,839 | 33,170 | 52,614 | 65,601 | |
Other interest income | 47 | 5 | 95 | 8 | |
Total interest income | 63,373 | 57,993 | 127,119 | 113,469 | |
Interest Expense | |||||
Short-term debt | (6,527) | (5,142) | (13,751) | (8,969) | |
Asset-backed securities issued | (5,645) | (8,183) | (11,847) | (16,624) | |
Long-term debt | (10,836) | (7,826) | (21,371) | (14,618) | |
Total interest expense | (23,008) | (21,151) | (46,969) | (40,211) | |
Net Interest Income | 40,365 | 36,842 | 80,150 | 73,258 | |
Reversal of (provision for) loan losses | 261 | 315 | 55 | (967) | |
Net Interest Income After Provision | 40,626 | 37,157 | 80,205 | 72,291 | |
Noninterest Income | |||||
Mortgage banking and investment activities | [1] | 5,659 | 2,189 | 6,437 | (4,181) |
Mortgage servicing rights income (loss), net | 830 | (1,777) | (10,094) | (1,171) | |
Other income | 1,299 | 0 | 2,108 | 0 | |
Realized gains, net | 6,316 | 1,063 | 10,622 | 2,155 | |
Total non-interest income (loss) | 14,104 | 1,475 | 9,073 | (3,197) | |
Operating expenses | (25,218) | (22,282) | (50,281) | (42,254) | |
Net income before provision for income taxes | 29,512 | 16,350 | 38,997 | 26,840 | |
(Provision for) benefit from income taxes | (2,448) | (333) | 2,868 | 1,510 | |
Net Income | $ 27,064 | $ 16,017 | $ 41,865 | $ 28,350 | |
Basic earnings per common share (usd per share) | $ 0.31 | $ 0.19 | $ 0.48 | $ 0.33 | |
Diluted earnings per common share (usd per share) | 0.31 | 0.18 | 0.47 | 0.32 | |
Regular dividends declared per common share (usd per share) | $ 0.28 | $ 0.28 | $ 0.56 | $ 0.56 | |
Basic weighted average shares outstanding (shares) | 83,936,844 | 82,740,012 | 83,650,170 | 82,575,636 | |
Diluted weighted average shares outstanding (shares) | 94,949,741 | 85,032,998 | 85,473,905 | 84,994,321 | |
[1] | For the three months ended June 30, 2015, there were no other-than-temporary impairments. For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement and $2,651 were recognized in Accumulated Other Comprehensive Income.For the six months ended June 30, 2015, there were no other-then-temporary impairments. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. |
Consolidated Statements Of Inc5
Consolidated Statements Of Income (Parenthetical) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Statement [Abstract] | ||||
Total other-than-temporary impairments | $ 0 | $ 2,915,000 | $ 0 | $ 4,585,000 |
Income Statement, other-than-temporary impairments | 264,000 | 377,000 | ||
Accumulated Other Comprehensive Income, other-than-temporary impairments | $ 2,651,000 | $ 4,208,000 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 27,064 | $ 16,017 | $ 41,865 | $ 28,350 |
Other comprehensive income: | ||||
Net unrealized (loss) gain on available-for-sale securities | (5,080) | 12,721 | (28) | 33,229 |
Reclassification of unrealized (gain) loss on available-for-sale securities to net income | (5,360) | (454) | (7,050) | (341) |
Net unrealized (loss) gain on interest rate agreements | 15,468 | (5,401) | 7,026 | (14,196) |
Reclassification of unrealized loss on interest rate agreements to net income | 26 | 39 | 58 | 99 |
Total other comprehensive income | 5,054 | 6,905 | 6 | 18,791 |
Total Comprehensive Income | $ 32,118 | $ 22,922 | $ 41,871 | $ 47,141 |
Consolidated Statements Of Chan
Consolidated Statements Of Changes In Equity - Type of Adoption [Domain] - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | ||
Beginning balance (in shares) at Dec. 31, 2013 | 82,504,801 | |||||||
Beginning balance at Dec. 31, 2013 | $ 1,245,783 | $ 825 | $ 1,760,899 | $ 148,766 | $ 806,298 | $ (1,471,005) | ||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net income | 28,350 | 28,350 | ||||||
Other comprehensive income | 18,791 | 18,791 | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans (in shares) | 179,187 | |||||||
Dividend reinvestment & stock purchase plans | 3,475 | $ 2 | 3,473 | |||||
Employee stock purchase and incentive plans (in shares) | 396,130 | |||||||
Employee stock purchase and incentive plans | (6,663) | $ 4 | (6,667) | |||||
Non-cash equity award compensation | 6,681 | 6,681 | ||||||
Common dividends declared | (47,513) | (47,513) | ||||||
Ending balance (in shares) at Jun. 30, 2014 | 83,080,118 | |||||||
Ending balance at Jun. 30, 2014 | 1,248,904 | $ 831 | 1,764,386 | 167,557 | 834,648 | (1,518,518) | ||
Increase (Decrease) in Stockholders' Equity | ||||||||
Adjusted balance | 1,265,869 | $ 834 | 1,774,030 | 140,688 | 916,595 | (1,566,278) | ||
Beginning balance (in shares) (Previously Reported) at Dec. 31, 2014 | 83,443,141 | |||||||
Beginning balance (in shares) at Dec. 31, 2014 | 83,443,141 | |||||||
Beginning balance (Previously Reported) at Dec. 31, 2014 | 1,256,141 | $ 834 | 1,774,030 | 140,688 | 906,867 | (1,566,278) | ||
Beginning balance at Dec. 31, 2014 | [1] | 1,256,141 | ||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net income | 41,865 | 41,865 | ||||||
Other comprehensive income | 6 | 6 | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans (in shares) | 418,508 | |||||||
Dividend reinvestment & stock purchase plans | 6,834 | $ 4 | 6,830 | |||||
Employee stock purchase and incentive plans (in shares) | 690,683 | |||||||
Employee stock purchase and incentive plans | (7,715) | $ 8 | (7,723) | |||||
Non-cash equity award compensation | 6,193 | 6,193 | ||||||
Common dividends declared | (48,268) | (48,268) | ||||||
Ending balance (in shares) at Jun. 30, 2015 | 84,552,332 | |||||||
Ending balance at Jun. 30, 2015 | $ 1,264,784 | [1] | $ 846 | $ 1,779,330 | $ 140,694 | $ 958,460 | $ (1,614,546) | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | ||
Cash Flows From Operating Activities: | |||
Net income | $ 41,865 | $ 28,350 | |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | (18,310) | (17,521) | |
Depreciation and amortization of non-financial assets | 315 | 232 | |
Purchases of held-for-sale loans | (5,656,836) | (3,118,457) | |
Proceeds from sales of held-for-sale loans | 5,366,705 | 2,339,023 | |
Principal payments on held-for-sale loans | 29,282 | 12,100 | |
Net settlements of derivatives | (36,622) | (14,873) | |
Provision for loan losses | (55) | 967 | |
Non-cash equity award compensation expense | 6,193 | 6,681 | |
Market valuation adjustments | 21,478 | 13,329 | |
Realized gains, net | (10,622) | (2,155) | |
Net change in: | |||
Accrued interest receivable and other assets | (28,265) | (23,935) | |
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | (1,390) | (9,950) | |
Net cash used in operating activities | (286,262) | (786,209) | |
Cash Flows From Investing Activities: | |||
Purchases of loans held-for-investment | (9,350) | (38,991) | |
Principal payments on held-for-investment loans | 243,179 | 146,656 | |
Purchases of real estate securities | (57,178) | (126,162) | |
Proceeds from sales of real estate securities | 271,963 | 1,313 | |
Principal payments on real estate securities | 62,090 | 95,303 | |
Purchase of mortgage servicing rights | (15,993) | (3,054) | |
Proceeds from sales of mortgage servicing rights | 17,235 | 0 | |
Net change in restricted cash | (1,761) | 5 | |
Net cash provided by investing activities | 510,185 | 75,070 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 3,605,887 | 2,417,438 | |
Repayments on short-term debt | (4,032,650) | (1,561,771) | |
Repayments on asset-backed securities issued | (174,949) | (174,861) | |
Deferred securities issuance costs | (33) | 0 | |
Proceeds from issuance of long-term debt | 637,396 | 69,181 | |
Repayments on long-term debt | (251,134) | (685) | |
Net settlements of derivatives | 999 | (1,650) | |
Net proceeds from issuance of common stock | 3,498 | 1,787 | |
Taxes paid on equity award distributions | (7,973) | (6,909) | |
Dividends paid | (48,268) | (47,513) | |
Net cash (used in) provided by financing activities | (267,227) | 695,017 | |
Net increase (decrease) in cash and cash equivalents | (43,304) | (16,122) | |
Cash and cash equivalents at beginning of period | 269,730 | [1] | 173,201 |
Cash and cash equivalents at end of period | 226,426 | [1] | 157,079 |
Cash paid during the period for: | |||
Interest | 41,440 | 38,158 | |
Taxes | 48 | 1,399 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 39,698 | 85,000 | |
Retention of mortgage servicing rights from loan securitizations and sales | 36,834 | 11,976 | |
Transfers from loans held-for-sale to loans held-for-investment | 663,666 | 37,631 | |
Transfers from residential loans to real estate owned | $ 4,780 | $ 1,832 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Organization
Organization | 6 Months Ended |
Jun. 30, 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 | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at June 30, 2015 and December 31, 2014 , and for the three and six months ended June 30, 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 June 30, 2015 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2015 should not be construed as indicative of the results to be expected for the full year. In the second quarter of 2015, we began to specifically identify derivatives that are used to hedge our exposure to market interest rate risk associated with our MSR investments. As a result, beginning in the second quarter of 2015, we have changed our income statement presentation to include the change in market value of these derivatives in the line item “Mortgage servicing rights income (loss), net.” As we previously managed our market interest rate risk on a portfolio-wide basis and did not necessarily rely on derivatives to hedge our MSRs, we cannot conform prior periods to the current presentation. Therefore, in periods prior to the second quarter of 2015 presented in our consolidated statements of income, amounts in “Mortgage servicing rights income (loss), net” do not reflect the impact of hedging. These changes and year-over-year comparisons are discussed in further detail in Part I, Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations in this quarterly report on Form 10-Q. Additionally, beginning in the second quarter of 2015, we have combined our “Mortgage banking activities” and “Other market valuation adjustments” line items on our consolidated statements of income into a single line, now called “Mortgage banking and investment activities, net.” As we currently manage our market interest rate risk on the remainder of our assets (excluding MSRs) on a net basis, we believe that combining these two line items will better reflect the net effect of our hedging activities on the assets associated with derivatives that are marked-to-market each quarter. We have conformed the presentation of prior periods related to this change for consistency of comparison. 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 as well as other income and expenses associated with these entities' activities. 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 Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 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 mortgage banking and investment activities, net. 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) December 31, 2014 ASU 2014-13 Adjustment January 1, 2015 Loan Principal $ 1,486 $ — $ 1,486 Loan unamortized premium 13 (13 ) — Allowance for loan losses (21 ) 21 — Loan market valuation adjustment — (113 ) (113 ) Residential loans held-for-investment 1,478 (105 ) 1,373 Deferred bond issuance costs 1 (1 ) — Other assets 5 — 5 Total assets 1,482 (105 ) 1,377 ABS issued principal 1,428 — 1,428 ABS issued unamortized discount (10 ) 10 — ABS market valuation adjustment — (125 ) (125 ) Total liabilities 1,418 (115 ) 1,303 Redwood's investment in consolidated Sequoia entities $ 64 $ 10 $ 74 (1) Certain totals may not foot due to rounding. 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 our deferred securities issuance costs costs that we currently present on the face of 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, 2015. Early adoption is allowed, including in any interim period. We are 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 borrowings, the new standard’s enhanced disclosures are effective for annual periods beginning after December 15, 2014 and interim periods beginning after March 15, 2015. We adopted the new guidance, as required, in the first quarter of 2015 and adopted the disclosure requirements in the second quarter of 2015, as required, which are included in Note 12 of these notes to our consolidated financial statements. 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 update modifies the guidance companies use to recognize revenue from contracts with customers for transfers of goods or services and transfers of nonfinancial assets, unless those contracts are within the scope of other standards. The guidance also requires new qualitative and quantitative disclosures, including information about contract balances and performance obligations. In July 2015, the FASB approved a one year deferral of the effective date. Accordingly, the Update is effective for us in the first quarter of 2018 with retrospective application to prior periods presented or as a cumulative effect adjustment in the period of adoption. Early adoption is permitted in the first quarter of 2017. We are evaluating the impact the update will have on our consolidated financial statements. 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 June 30, 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 (1) Net Amount June 30, 2015 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 9,017 $ — $ 9,017 $ (3,555 ) $ (4,822 ) $ 640 Credit default index swaps 3,792 — 3,792 — — 3,792 TBAs 7,627 — 7,627 (4,739 ) (1,563 ) 1,325 Total Assets $ 20,436 $ — $ 20,436 $ (8,294 ) $ (6,385 ) $ 5,757 Liabilities (2) Interest rate agreements $ (43,982 ) $ — $ (43,982 ) $ 3,555 $ 40,018 $ (409 ) TBAs (5,466 ) — (5,466 ) 4,739 340 (387 ) Futures (260 ) — (260 ) — 260 — Loan warehouse debt (873,673 ) — (873,673 ) 873,673 — — Security repurchase agreements (493,389 ) — (493,389 ) 493,389 — — Total Liabilities $ (1,416,770 ) $ — $ (1,416,770 ) $ 1,375,356 $ 40,618 $ (796 ) 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 (1) Net Amount December 31, 2014 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 7,006 $ — $ 7,006 $ (1,160 ) $ (4,360 ) $ 1,486 Credit default index swaps 1,598 — 1,598 — (375 ) 1,223 TBAs 6,653 — 6,653 (5,815 ) — 838 Total Assets $ 15,257 $ — $ 15,257 $ (6,975 ) $ (4,735 ) $ 3,547 Liabilities (2) Interest rate agreements $ (48,173 ) $ — $ (48,173 ) $ 1,160 47,013 $ — TBAs (9,506 ) — (9,506 ) 5,815 2,715 (976 ) Futures (372 ) — (372 ) — 372 — Loan warehouse debt (1,185,316 ) — (1,185,316 ) 1,185,316 — — Security repurchase agreements (608,509 ) — (608,509 ) 608,509 — — Total Liabilities $ (1,851,876 ) $ — $ (1,851,876 ) $ 1,800,800 $ 50,100 $ (976 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. 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 aggregated and 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. 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. Any such settlement would 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. Such limitations 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 | 6 Months Ended |
Jun. 30, 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 June 30, 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 June 30, 2015 Sequoia Entities Residential Resecuritization Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 1,237,114 $ — $ — $ 1,237,114 Commercial loans, held-for-investment — — 182,184 182,184 Real estate securities — 195,278 — 195,278 Restricted cash 147 — 139 286 Accrued interest receivable 1,589 409 1,367 3,365 Other assets 4,409 — — 4,409 Total Assets $ 1,243,259 $ 195,687 $ 183,690 $ 1,622,636 Accrued interest payable $ 797 $ 2 $ 328 $ 1,127 Asset-backed securities issued 1,173,336 18,872 69,914 1,262,122 Total Liabilities $ 1,174,133 $ 18,874 $ 70,242 $ 1,263,249 Number of VIEs 24 1 1 26 Since 2012, we have transferred residential loans to 25 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 and six months ended June 30, 2015 and 2014 . Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Principal balance of loans transferred $ 699,655 $ 347,305 $ 1,038,451 $ 347,305 Trading securities retained, at fair value 29,966 69,563 33,389 69,563 AFS securities retained, at fair value 3,450 20,428 6,309 20,428 MSRs recognized 6,002 2,186 7,874 2,186 The following table summarizes the cash flows during the three and six months ended June 30, 2015 and 2014 between us and the unconsolidated VIEs sponsored by us. Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Proceeds from new transfers $ 676,596 $ 267,776 $ 1,018,312 $ 267,776 MSR fees received 3,700 3,624 7,470 7,047 Funding of compensating interest (107 ) (43 ) (197 ) (76 ) Cash flows received on retained securities 10,706 15,924 23,351 28,227 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 June 30, 2015 Six Months Ended June 30, 2015 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 5 - 13% 8 % 8 % 5-15% 8 % 8 % Discount rates 11 % 3 % 6 % 11 % 3 % 6 % Credit loss assumptions N/A 0.25 % 0.25 % N/A 0.25 % 0.25 % Issued During The Three Months Ended June 30, 2014 Six Months Ended June 30, 2014 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 5 - 15% 10 % 10 % 5 - 15% 10 % 10 % Discount rates 11 % 3 % 5 % 11 % 3 % 5 % Credit loss assumptions N/A 0.25 % 0.25 % N/A 0.25 % 0.25 % The following table presents additional information at June 30, 2015 and December 31, 2014 , related to unconsolidated securitizations accounted for as sales since 2012. Unconsolidated VIEs Sponsored by Redwood (In Thousands) June 30, 2015 December 31, 2014 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 72,505 $ 93,802 Senior and subordinate securities, classified as AFS 294,040 460,990 Mortgage servicing rights 65,753 56,801 Maximum loss exposure (1) 432,298 611,593 Assets transferred: Principal balance of loans outstanding 7,570,297 7,276,825 Principal balance of delinquent loans 30+ days delinquent 17,646 17,022 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. 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 June 30, 2015 and December 31, 2014 . Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood June 30, 2015 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at June 30, 2015 $ 65,753 $ 62,427 $ 304,118 Expected life (in years) (2) 8 7 12 Prepayment speed assumption (annual CPR) (2) 10 % 10 % 11 % Decrease in fair value from: 10% adverse change $ 2,780 $ 1,920 $ 825 25% adverse change 6,242 4,543 2,114 Discount rate assumption (2) 11 % 9 % 6 % Decrease in fair value from: 100 basis point increase $ 3,004 $ 2,689 $ 24,530 200 basis point increase 5,514 5,166 45,844 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 241 $ 19,746 25% higher losses N/A 316 24,061 December 31, 2014 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2014 $ 56,801 $ 93,802 $ 460,990 Expected life (in years) (2) 7 6 10 Prepayment speed assumption (annual CPR) (2) 14 % 9 % 10 % Decrease in fair value from: 10% adverse change $ 2,419 $ 3,999 $ 684 25% adverse change 5,639 9,475 2,355 Discount rate assumption (2) 11 % 8 % 5 % Decrease in fair value from: 100 basis point increase $ 2,104 $ 4,214 $ 34,149 200 basis point increase 4,102 8,091 64,474 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 126 $ 3,169 25% higher losses N/A 299 7,841 (1) Senior securities include $40 million and $88 million of interest only securities as of June 30, 2015 and December 31, 2014, respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. 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 June 30, 2015 , grouped by security type. Third-Party Sponsored VIE Summary (Dollars in Thousands) June 30, 2015 Residential Mortgage Backed Securities Senior $ 452,041 Re-REMIC 169,084 Subordinate 169,928 Total Investments in Third-Party Sponsored VIEs $ 791,053 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 Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 890,623 $ 890,623 $ 1,341,032 $ 1,341,032 At lower of cost or fair value 1,458 1,655 1,488 1,669 Residential loans, held-for-investment (1) At fair value 2,394,399 2,394,399 581,668 581,668 At amortized cost — — 1,474,386 1,381,918 Commercial loans, held-for-sale 165,853 165,853 166,234 166,234 Commercial loans, held-for-investment At fair value 69,763 69,763 71,262 71,262 At amortized cost 315,715 321,038 329,431 334,876 Trading securities 116,141 116,141 111,606 111,606 Available-for-sale securities 1,041,458 1,041,458 1,267,624 1,267,624 MSRs 168,462 168,462 139,293 139,293 Cash and cash equivalents 226,426 226,426 269,730 269,730 Restricted cash 2,389 2,389 628 628 Accrued interest receivable 16,151 16,151 18,222 18,222 Derivative assets 26,252 26,252 16,417 16,417 REO (2) 4,410 5,081 4,391 4,703 Margin receivable (2) 71,392 71,392 65,374 65,374 FHLBC stock (2) 30,001 30,001 10,688 10,688 Guarantee asset (2) 6,417 6,417 7,201 7,201 Pledged collateral (2) 10,194 10,194 9,927 9,927 Liabilities Short-term debt $ 1,367,062 $ 1,367,062 $ 1,793,825 $ 1,793,825 Accrued interest payable 8,291 8,291 8,502 8,502 Guarantee obligation 6,146 6,417 7,201 7,201 Derivative liabilities 54,109 54,109 58,331 58,331 ABS issued (1) Fair value 1,173,336 1,173,336 — — Amortized cost 88,786 89,231 1,545,119 1,446,605 FHLBC borrowings 882,122 882,122 495,860 495,860 Commercial secured borrowings 65,232 65,232 66,707 66,707 Convertible notes 492,500 475,700 492,500 492,188 Other long-term debt 139,500 101,138 139,500 101,835 (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 and six months ended June 30, 2015 , we elected the fair value option for $36 million and $59 million of residential subordinate securities, $33 million and $33 million of residential senior securities, $2.78 billion and $5.18 billion of residential loans (principal balance), $258 million and $350 million of commercial loans (principal balance), and $32 million and $51 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 June 30, 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 June 30, 2015 June 30, 2015 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,285,022 $ — $ 248,157 $ 3,036,865 Commercial loans 235,616 — — 235,616 Trading securities 116,141 — — 116,141 Available-for-sale securities 1,041,458 — — 1,041,458 Derivative assets 26,252 7,625 13,621 5,006 MSRs 168,462 — — 168,462 Pledged collateral 10,194 10,194 — — FHLBC stock 30,001 30,001 — — Guarantee asset 6,417 — — 6,417 Liabilities Derivative liabilities 54,109 5,726 43,983 4,400 Commercial secured borrowings 65,232 — — 65,232 ABS issued 1,173,336 — — 1,173,336 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2015 . Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Liabilities Residential Loans Commercial Loans Trading Securities AFS Securities MSRs Guarantee Asset Derivatives (1) Commercial Secured Borrowings ABS Issued (In Thousands) Beginning balance - December 31, 2014 $ 1,677,984 $ 237,496 $ 111,606 $ 1,267,624 $ 139,293 $ 7,201 $ 1,119 $ 66,707 $ — Transfer to FVO (2) 1,370,699 — — — — — — — 1,302,216 Principal paydowns (247,699 ) (463 ) (827 ) (61,265 ) — — — (295 ) (135,799 ) Gains (losses) in net income, net (6,661 ) 5,640 (7,187 ) 29,424 (3,842 ) (855 ) 23,321 (1,204 ) 6,498 Unrealized losses in OCI, net — — — (7,050 ) — — — — — Acquisitions 2,519,029 350,384 92,006 14,788 51,217 — — — — Sales (2,273,308 ) (357,441 ) (79,457 ) (202,423 ) (18,206 ) — — — — Other settlements, net (3,179 ) — — 360 — 71 (23,834 ) 24 421 Ending balance - June 30, 2015 $ 3,036,865 $ 235,616 $ 116,141 $ 1,041,458 $ 168,462 $ 6,417 $ 606 $ 65,232 $ 1,173,336 (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 June 30, 2015 and 2014 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2015 and 2014 are not included in this presentation. Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2015 and 2014 Included in Net Income Included in Net Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Assets Residential loans at Redwood $ (7,508 ) $ 11,755 $ (5,441 ) $ 11,964 Residential loans at consolidated Sequoia entities 2,476 — 5,331 — Commercial loans (1,565 ) 2,008 (56 ) 2,008 Trading securities 4,601 (9,257 ) (5,254 ) (13,688 ) Available-for-sale securities — (264 ) — (377 ) MSRs 21,296 (4,974 ) 10,277 (7,236 ) Other assets - Guarantee asset 228 — (700 ) — Liabilities Loan purchase commitments (3,810 ) 1,707 (1,826 ) 1,707 Commercial secured borrowing 2,713 1,759 1,204 1,759 ABS issued (3,552 ) — (6,498 ) — The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 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 June 30, 2015 . Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2015 Gain (Loss) for June 30, 2015 Carrying Value Fair Value Measurements Using Three Months Ended Six Months Ended (In Thousands) Level 1 Level 2 Level 3 June 30, 2015 June 30, 2015 Assets Residential loans, at lower of cost or fair value $ 1,102 $ — $ — $ 1,102 $ 1 $ 1 REO 1,017 — — 1,017 (170 ) (175 ) The following table presents the net gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2015 and 2014 . Market Valuation Gains and Losses, Net Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Mortgage banking and investment activities, net Residential loans, at fair value $ (3,176 ) $ 13,994 $ (1,118 ) $ 21,119 Consolidated Sequoia entities (1) (684 ) (321 ) (1,777 ) (464 ) Residential loans held-for-investment, at Redwood (5,885 ) — (3,907 ) — Commercial loans, at fair value 987 5,714 6,845 9,340 Trading securities 6,927 (8,733 ) (7,162 ) (13,164 ) Risk management derivatives, net 4,645 (12,300 ) (7,311 ) (25,108 ) Impairments on AFS securities — (264 ) — (377 ) Guarantee asset 299 — (784 ) — Loan purchase and forward sale commitments 1,054 3,582 19,309 3,590 Other investments (71 ) — 83 — Total mortgage banking and investment activities, net (2) $ 4,096 $ 1,672 $ 4,178 $ (5,064 ) MSR Income (loss), net MSRs $ 15,675 $ (5,553 ) $ (3,842 ) $ (8,265 ) Risk management derivatives, net (21,814 ) — (21,814 ) — Total MSR income (loss), net (3) $ (6,139 ) $ (5,553 ) $ (25,656 ) $ (8,265 ) Total market valuation gains and losses, net $ (2,043 ) $ (3,881 ) $ (21,478 ) $ (13,329 ) (1) On January 1, 2015, we adopted ASU 2014-13 and began to record the assets and liabilities of consolidated Sequoia entities at fair value. This amount includes the net change in fair value of the consolidated assets and liabilities of these entities, which include residential loans held-for-investment, REO, and ABS issued. This combined amount represents the estimated change in value of our retained interests in these entities. See Note 3 for further discussion. (2) Mortgage banking and investment activities, net presented above does not include fee income or provisions for repurchases that is a component of mortgage banking and investment activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) MSR Income (loss), net presented above does not include net fee income or provisions for repurchases that are a component of MSR Income (loss), net on our consolidated statements of income. At June 30, 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 June 30, 2015 Fair Value Weighted Average (Dollars in Thousands, except input values) Unobservable Input Range Assets Residential loans, at fair value: Jumbo fixed rate loans uncommitted to sell $ 1,267,521 IO Multiple 4.3 - 5.0 x 4.4 x Prepayment rate (Annual CPR) 12 - 15 % 14 % Senior spread to TBA price $3.50 - $3.50 $ 3.50 Subordinate spread to swap rate 310 - 310 bps 310 bps Credit support 5 - 5 % 5 % Whole loan spread to TBA price $2.90 - $4.15 $ 4.00 Jumbo hybrid loans uncommitted to sell 181,279 Prepayment rate (Annual CPR) 15 - 15 % 15 % Spread to swap rate 125 - 160 bps 129 bps Jumbo loans committed to sell 350,951 Committed Sales Price $101 - $102 $ 102 Loans held by consolidated Sequoia entities (1) 1,237,114 Liability price N/A N/A Residential loans, at lower of cost or fair value 1,102 Loss severity 13 - 30 % 20 % Commercial loans, at fair value 235,616 Spread to swap rate 168 - 169 bps 168 bps Credit support 23 - 23 % 23 % Trading and AFS securities 1,157,599 Discount rate 4 - 12 % 6 % Prepayment rate (Annual CPR) 1 - 35 % 13 % Default rate 0 - 35 % 8 % Loss severity 20 - 65 % 34 % Credit support 0 - 49 % 5 % MSRs 168,462 Discount rate 8 - 11 % 10 % Prepayment rate (Annual CPR) 4 - 60 % 9 % Per loan annual cost to service $72 - $82 $ 78 Guarantee asset 6,417 Discount rate 11 - 11 % 11 % Prepayment rate (Annual CPR) 5 - 27 % 12 % REO 1,017 Loss severity 19 - 76 % 55 % Loan purchase commitments, net (2) 605 MSR Multiple 0 - 4 x 3.0 x Fallout rate 2 - 97 % 26 % Liabilities ABS issued by consolidated Sequoia entities (1) 1,173,336 Discount rate 5 - 8 % 5 % Prepayment rate (Annual CPR) 0 - 31 % 13 % Default rate 0 - 12 % 6 % Loss severity 20 - 32 % 26 % Credit support 0 - 69 % 11 % Commercial secured financing 65,232 Spread to swap rate 168 - 168 bps 168 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 using models that incorporate various observable inputs, including pricing information from recent securitizations and whole loan sales. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices for senior RMBS and index swap rates, adjusted as necessary for current market conditions (Level 3). Pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed swap rates, adjusted as necessary for current market conditions (Level 3). Other observable inputs include Agency RMBS transactions, benchmark interest rates, and prepayment rates. These assets would generally decrease in value based upon an increase in the credit spread, prepayment speed, or credit support assumptions. 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 collateral 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 default rates, serious delinquencies, 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 June 30, 2015 , we received dealer price indications on 81% of our securities, representing 92% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were within 1% of 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, loan purchase commitments (LPCs), and forward sale commitments (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 1% higher 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 asset 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 prices in active markets 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 2). 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 2). 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. 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. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. 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. 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 | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 (In Thousands) Redwood Sequoia (1) Total Held-for-sale Fair value - conforming $ 248,157 $ — $ 248,157 Fair value - jumbo 642,466 — 642,466 Lower of cost or fair value 1,458 — 1,458 Held-for-investment Fair value - Jumbo 1,157,285 1,237,114 2,394,399 Total Residential Loans $ 2,049,366 $ 1,237,114 $ 3,286,480 December 31, 2014 (In Thousands) Redwood Sequoia (1) Total Held-for-sale Fair value - conforming $ 244,714 $ — $ 244,714 Fair value - jumbo 1,096,317 — 1,096,317 Lower of cost or fair value 1,488 — 1,488 Held-for-investment Fair value - jumbo 581,668 — 581,668 At amortized cost — 1,474,386 1,474,386 Total Residential Loans $ 1,924,187 $ 1,474,386 $ 3,398,573 (1) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment at consolidated Sequoia entities began to be recorded at fair value. See Note 3 for further discussion. At June 30, 2015 , we owned mortgage servicing rights associated with $1.82 billion (principal balance) 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 June 30, 2015 , we owned 1,682 loans held-for-sale at fair value with an unpaid principal balance of $876 million , compared to 2,273 loans with an unpaid principal balance of $1.30 billion at December 31, 2014. At June 30, 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 and six months ended June 30, 2015 , we purchased $2.78 billion and $5.18 billion (principal balance) of loans, respectively, for which we elected the fair value option and recorded $3 million and $1 million of negative valuation adjustments, respectively, on residential loans held-for-sale at fair value through mortgage banking and investment activities, net, a component of our consolidated statements of income. During the three and six months ended June 30, 2015 , we sold $2.74 billion and $4.93 billion (principal balance) of loans held-for-sale, respectively. At June 30, 2015 loans held-for-sale with a principal balance of $848 million were pledged as collateral under short-term borrowing agreements. Residential Loans at Lower of Cost or Fair Value At June 30, 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 for both periods. Residential Loans Held-for-Investment at Fair Value Residential Loans at Redwood At June 30, 2015 , we owned 1,519 held-for-investment loans at Redwood with an unpaid principal balance of $1.13 billion , compared to 803 loans with an unpaid principal balance of $566 million at December 31, 2014 . At June 30, 2015 and December 31, 2014 , one of these loans was greater than 90 days delinquent and none of the loans were in foreclosure. During the three and six months ended June 30, 2015 , we transferred loans with a principal balance of $213 million and $650 million and a fair value of $215 million and $662 million , respectively, from held-for-sale to held-for-investment, bringing the total amount of loans held-for-investment at fair value to $1.16 billion at June 30, 2015 . During the three and six months ended June 30, 2015, we recorded negative $6 million and negative $4 million of valuation adjustments, respectively, on residential loans held-for-investment at fair value through mortgage banking and investment activities, net, a component of our consolidated statements of income. At June 30, 2015 , $1.02 billion of these loans were pledged as collateral under a borrowing agreement with the FHLBC. The outstanding loans held-for-investment at Redwood at June 30, 2015 were originated in 2014 and 2015 and the weighted average FICO score of borrowers backing these loans was 772 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 65% (at origination). At June 30, 2015 , these loans were comprised of 91% fixed-rate loans with a weighted average coupon of 4.06% , and the remainder were hybrid loans with a weighted average coupon of 3.30% . 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 1,343,333 $ 1,483,213 Unamortized premium, net — 12,511 Allowance for loan losses — (21,338 ) Valuation adjustment (106,219 ) — Carrying value $ 1,237,114 $ 1,474,386 At June 30, 2015 , we owned 4,999 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 732 (at origination) and the weighted average LTV ratio of these loans was 66% (at origination). At June 30, 2015 and December 31, 2014 , the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $66 million and $73 million , respectively, and the unpaid principal balance of loans in foreclosure was $36 million and $39 million , respectively. During the three and six months ended June 30, 2015 , we recorded positive $2 million and $5 million , respectively, of net valuation adjustments on these loans through mortgage banking and investment activities, net on our consolidated statements of income. |
Commercial Loans
Commercial Loans | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Held-for-sale, at fair value $ 165,853 $ 166,234 Held-for-investment At fair value 69,763 71,262 At amortized cost 315,715 329,431 Total Commercial Loans $ 551,331 $ 566,927 Of the held-for-investment commercial loans at amortized cost shown above at June 30, 2015 and December 31, 2014 , $182 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 June 30, 2015 , we held 11 senior commercial mortgage loans at fair value, with an aggregate outstanding principal balance of $165 million and an aggregate fair value of $166 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 and six months ended June 30, 2015 , we acquired $258 million and $350 million (principal balance), respectively, of senior commercial loans for which we elected the fair value option and sold $146 million and $348 million (principal balance), respectively, of loans to third parties. During the three months ended June 30, 2015 and 2014 , we recorded positive $1 million and positive $6 million , respectively, of valuation adjustments on senior commercial mortgage loans for which we elected the fair value option through mortgage banking and investment activities, net on our consolidated statements of income. During the six months ended June 30, 2015 and 2014 , we recorded positive $7 million and positive $9 million , respectively, of valuation adjustments on senior commercial mortgage loans for which we elected the fair value option through mortgage banking and investment activities, net on our consolidated statements of income. At June 30, 2015 , all commercial loans held-for-sale were current and loans with a principal balance of $60 million were pledged as collateral under short-term borrowing arrangements. 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 June 30, 2015 , we held three of these A/B notes with an aggregate outstanding principal balance of $67 million and an aggregate fair value of $70 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 . We carry the A-notes and associated secured commercial borrowings at the same fair values and the periodic valuation adjustments associated with these assets and liabilities offset through mortgage banking and investment activities, net on our consolidated statements of income. During the three and six months ended June 30, 2015 and 2014, there were no net changes in the fair value of the B-notes, in which we retain an actual economic interest. The carrying value of the B-notes at both June 30, 2015 and December 31, 2014 were $5 million . 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 June 30, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 327,592 $ 341,750 Unamortized discount, net (4,476 ) (4,862 ) Recorded investment 323,116 336,888 Allowance for loan losses (7,401 ) (7,457 ) Carrying Value $ 315,715 $ 329,431 At both June 30, 2015 and December 31, 2014 , we held 60 commercial loans held-for-investment at amortized cost. During the three and six months ended June 30, 2015 , we originated or acquired $2 million and $9 million , respectively, of commercial loans held-for-investment at amortized cost. Of the $323 million of recorded investment in commercial loans held-for-investment at June 30, 2015 , 3% was originated in 2015, 18% was originated in 2014, 15% 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) June 30, 2015 December 31, 2014 Pass $ 302,075 $ 316,122 Watch list 25,517 25,628 Total Commercial Loans Held-for-Investment $ 327,592 $ 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 and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 7,662 $ 8,028 $ 7,456 $ 7,373 Charge-offs, net — — — — (Reversal of) provision for loan losses (261 ) 289 (55 ) 944 Balance at End of Period $ 7,401 $ 8,317 $ 7,401 $ 8,317 Commercial Loans Collectively Evaluated for Impairment At June 30, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 327,592 $ 341,750 Recorded investment 323,116 336,888 Related allowance 7,401 7,457 Commercial Loans Individually Evaluated for Impairment We did not have any commercial loans individually evaluated for impairment at either June 30, 2015 or December 31, 2014 . |
Real Estate Securities
Real Estate Securities | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Trading $ 116,141 $ 111,606 Available-for-sale 1,041,458 1,267,624 Total Real Estate Securities $ 1,157,599 $ 1,379,230 Our real estate securities 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 June 30, 2015 , our trading securities included $47 million of interest-only securities, for which there is no principal balance, $22 million of senior securities and $47 million of subordinate securities. The unpaid principal balance of senior and subordinate securities classified as trading securities was $23 million and $61 million , respectively, at June 30, 2015 . During the three and six months ended June 30, 2015 , we acquired $71 million and $94 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $35 million and $37 million of such securities, respectively. During the three months ended June 30, 2015 and 2014 , we recorded positive $7 million and negative $9 million , respectively, of valuation adjustments on trading securities, included in mortgage banking and investment activities, net on our consolidated income statements. During the six months ended June 30, 2015 and 2014 , we recorded negative $7 million and negative $13 million , respectively, of valuation adjustments on trading securities, included in mortgage banking and investment activities, net on our consolidated statements of income. The following table presents trading securities by collateral type at June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Senior Securities Prime $ 62,427 $ 93,802 Non-prime 6,705 7,951 Total Senior Securities 69,132 101,753 Prime Subordinate Securities 47,009 9,853 Total Trading Securities $ 116,141 $ 111,606 AFS Securities The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Senior Securities Prime $ 278,960 $ 307,813 Non-prime 166,376 179,744 Total Senior Securities 445,336 487,557 Re-REMIC Securities 169,084 168,347 Subordinate Securities Prime Mezzanine (1) 257,263 448,838 Subordinate (2) 169,775 162,882 Total Subordinate Securities 427,038 611,720 Total AFS Securities $ 1,041,458 $ 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 June 30, 2015 , and December 31, 2014. The senior securities shown above at June 30, 2015 and December 31, 2014 , included $88 million and $105 million , respectively, of prime securities, and $107 million and $117 million , respectively, of non-prime securities that were financed through the Residential Resecuritization entity, as discussed in Note 4 . As of June 30, 2015 AFS securities with a carrying value of $535 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. During the three and six months ended June 30, 2015 , we purchased $5 million and $15 million of AFS securities, respectively, and sold $112 million and $202 million of AFS securities, respectively, which resulted in realized gains of $6 million and $10 million , respectively. During the three months ended June 30, 2014 , we purchased $77 million of AFS securities and sold $1 million . 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 June 30, 2015 , there were $6 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 June 30, 2015 and December 31, 2014 . Carrying Value of AFS Securities June 30, 2015 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 282,921 $ 182,719 $ 193,221 $ 535,511 $ 1,194,372 Credit reserve (2,650 ) (9,175 ) (13,071 ) (36,804 ) (61,700 ) Unamortized discount, net (30,401 ) (27,533 ) (75,658 ) (139,527 ) (273,119 ) Amortized cost 249,870 146,011 104,492 359,180 859,553 Gross unrealized gains 31,196 20,550 64,592 68,519 184,857 Gross unrealized losses (2,106 ) (185 ) — (661 ) (2,952 ) Carrying Value $ 278,960 $ 166,376 $ 169,084 $ 427,038 $ 1,041,458 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 and six months ended June 30, 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 June 30, 2015 Six Months Ended June 30, 2015 Credit Reserve Unamortized Discount, Net Credit Unamortized (In Thousands) Beginning balance $ 63,584 $ 286,382 $ 70,067 $ 296,342 Amortization of net discount — (9,324 ) — (19,162 ) Realized credit losses (2,769 ) — (5,714 ) — Acquisitions 858 3,033 858 5,705 Sales, calls, other — (6,945 ) — (13,277 ) Impairments — — — — Transfers to (release of) credit reserves, net 27 (27 ) (3,511 ) 3,511 Ending Balance $ 61,700 $ 273,119 $ 61,700 $ 273,119 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 June 30, 2015 and December 31, 2014 . Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) June 30, 2015 $ 98,390 $ (1,263 ) $ 97,127 $ 74,537 $ (1,689 ) $ 72,848 December 31, 2014 126,681 (1,374 ) 125,307 70,676 (1,422 ) 69,254 At June 30, 2015 , after giving effect to purchases, sales, and extinguishments due to credit losses, our consolidated balance sheet included 260 AFS securities, of which 29 were in an unrealized loss position and 13 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 June 30, 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 June 30, 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 and six months ended June 30, 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 June 30, 2015 . Significant Valuation Assumptions Range for Securities June 30, 2015 Prime Non-prime Prepayment rates 8 - 16 % 8 - 12 % Projected losses 1 - 21 % 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 June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 32,949 $ 35,786 $ 33,849 $ 37,149 Additions Initial credit impairments — 190 — 261 Subsequent credit impairments — 28 — 70 Reductions Securities sold, or expected to sell (253 ) (904 ) (348 ) (904 ) Securities with no outstanding principal at period end — (844 ) (805 ) (2,320 ) Balance at End of Period $ 32,696 $ 34,256 $ 32,696 $ 34,256 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 and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Gross realized gains - sales $ 5,956 $ 992 $ 10,262 $ 992 Gross realized gains - calls 360 — 360 987 Gross realized losses - sales — — — — Gross realized losses - calls — — — — Total Realized Gains on Sales and Calls of AFS Securities, net $ 6,316 $ 992 $ 10,622 $ 1,979 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 101,458 $ 8,917,808 $ 81,301 $ 7,705,146 Jumbo Loans 67,004 6,148,268 57,992 5,962,784 Total Mortgage Servicing Rights $ 168,462 $ 15,066,076 $ 139,293 $ 13,667,930 MSR Activity The following table presents activity for MSRs for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 120,324 $ 64,971 $ 139,293 $ 64,824 Additions 32,463 11,807 51,217 14,666 Sales — — (18,206 ) — Changes in fair value due to: Changes in assumptions (1) 19,168 (3,553 ) 5,132 (4,678 ) Other changes (2) (3,493 ) (2,000 ) (8,974 ) (3,587 ) Balance at End of Period $ 168,462 $ 71,225 $ 168,462 $ 71,225 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to realization of expected cash flows. MSR Additions 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. The following table details the retention and purchase of MSRs during the three and six months ended June 30, 2015 . (In Thousands) Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 6,002 $ 607,402 $ 7,874 $ 835,254 From loan sales 172 16,122 264 26,267 Total jumbo MSR additions 6,174 623,524 8,138 861,521 Conforming MSR additions: From loan sales $ 14,990 $ 1,348,871 $ 28,701 $ 2,701,529 From purchases 11,299 1,025,576 14,378 1,343,914 Total conforming MSR additions 26,289 2,374,447 43,079 4,045,443 Total MSR additions $ 32,463 $ 2,997,971 $ 51,217 $ 4,906,964 MSR Income (Loss), net The following table presents the components of our MSR income. Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Servicing income Income $ 8,454 $ 4,064 $ 18,170 $ 7,697 Cost of sub-servicer (1,162 ) (288 ) (2,391 ) (603 ) Net servicing income 7,292 3,776 15,779 7,094 Market valuation changes of MSRs 15,675 (5,553 ) (3,842 ) (8,265 ) Market valuation changes of associated derivatives (1) (21,814 ) — (21,814 ) — MSR provision for repurchases (323 ) — (217 ) — MSR income (loss), net $ 830 $ (1,777 ) $ (10,094 ) $ (1,171 ) (1) In the second quarter of 2015, we began to identify specific derivatives used to hedge the exposure of our MSRs to changes in market interest rates. See Note 2 for additional detail. |
Derivative Financial Instrument
Derivative Financial Instruments | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 294 $ 50,000 $ — $ — TBAs 7,625 1,246,400 6,654 1,074,000 Futures — — — — Swaptions 8,726 1,185,000 7,006 575,000 Credit default index swaps 3,792 100,000 1,597 50,000 Assets - Other Derivatives Loan purchase commitments 5,006 777,361 1,160 288,467 Loan forward sale commitments 809 155,319 — — Total Assets $ 26,252 $ 3,514,080 $ 16,417 $ 1,987,467 Liabilities - Cash Flow Hedges Interest rate swaps $ (39,810 ) $ 139,500 $ (46,845 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (4,172 ) 532,500 (1,328 ) 206,000 TBAs (5,466 ) 1,290,500 (9,506 ) 1,110,000 Futures (260 ) 54,000 (372 ) 90,000 Liabilities - Other Derivatives Loan purchase commitments (4,401 ) 861,436 (41 ) 27,324 Loan forward sale commitments — — (239 ) 102,793 Total Liabilities $ (54,109 ) $ 2,877,936 $ (58,331 ) $ 1,675,617 Total Derivative Financial Instruments, Net $ (27,857 ) $ 6,392,016 $ (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 June 30, 2015 , we were party to swaps and swaptions with an aggregate notional amount of $1.9 billion , TBA contracts sold with an aggregate notional amount of $2.5 billion , and financial futures contracts with an aggregate notional amount of $54 million . Net market valuation adjustments on risk management derivatives were negative $17 million and negative $29 million for the three and six months ended June 30, 2015 , respectively. Net market valuation adjustments on risk management derivatives were negative $12 million and negative $25 million for the three and six months ended June 30, 2014, respectively. These net market valuation adjustments are recorded in mortgage banking and investment activities, net on our consolidated statements of income. 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 $1 million and positive $19 million for the three and six months ended June 30, 2015 , respectively, and are reported through our consolidated statements of income in mortgage banking and investment 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 June 30, 2015 and 2014 , changes in the values of designated cash flow hedges were positive $15 million and negative $5 million , respectively, and were recorded in accumulated other comprehensive income, a component of equity. For the six months ended June 30, 2015 and 2014, changes in the values of designated cash flow hedges were positive $7 million and negative $14 million , respectively. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in accumulated other comprehensive income was $39 million and $46 million at June 30, 2015 and December 31, 2014 , respectively. For both the three and six months ended June 30, 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 and six months ended June 30, 2015 and 2014 . Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Net interest expense on cash interest rate agreements $ (1,475 ) $ (1,490 ) $ (2,959 ) $ (2,978 ) Realized expense due to ineffective portion of cash flow hedges — — — — Realized net losses reclassified from other comprehensive income (26 ) (39 ) (57 ) (99 ) Total Interest Expense $ (1,501 ) $ (1,529 ) $ (3,016 ) $ (3,077 ) 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 June 30, 2015 , we assessed this risk as remote and did not record a specific valuation adjustment. At June 30, 2015 , we had outstanding derivative agreements with seven counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions. |
Other Assets and Liabilities
Other Assets and Liabilities | 6 Months Ended |
Jun. 30, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other Assets Other assets at June 30, 2015 and December 31, 2014 , are summarized in the following table. (In Thousands) June 30, 2015 December 31, 2014 Margin receivable $ 71,392 $ 65,374 FHLBC stock 30,001 10,688 Pledged collateral 10,194 9,927 Guarantee asset 6,417 7,201 Investment receivable 5,378 1,103 Deposits 5,000 5,000 Fixed assets and leasehold improvements (1) 4,442 3,008 REO 4,410 4,391 Income tax receivables 3,278 175 Prepaid expenses 3,031 3,372 Other 4,077 3,657 Total Other Assets $ 147,620 $ 113,896 (1) Fixed assets and leasehold improvements have a basis of $7 million and accumulated depreciation of $4 million at June 30, 2015 . Accrued Expenses and Other Liabilities Accrued expenses and other liabilities at June 30, 2015 and December 31, 2014 are summarized in the following table. (In Thousands) June 30, 2015 December 31, 2014 Accrued compensation $ 11,927 $ 19,273 Margin payable $ 10,156 $ 6,455 Guarantee obligation 6,146 7,201 Current accounts payable 5,446 2,112 Residential loan and MSR repurchase reserve 5,083 3,724 Accrued operating expenses 3,501 3,334 Legal reserve 2,000 2,000 Income tax payable 221 — Other 5,445 8,145 Total Other Liabilities $ 49,925 $ 52,244 Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our derivatives, 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. 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. See Note 15 for additional information on the on the risk sharing arrangement. REO The carrying value of REO at June 30, 2015 , was $4 million , which includes the net effect of $5 million related to transfers into REO during the six months ended June 30, 2015 , offset by $3 million of REO liquidations, and $2 million of negative market valuation adjustments. At June 30, 2015 and December 31, 2014 , there were 18 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. |
Short-Term Debt
Short-Term Debt | 6 Months Ended |
Jun. 30, 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 June 30, 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 June 30, 2015 and December 31, 2014 by the type of collateral securing the debt. Short-Term Debt June 30, 2015 (Dollars in Thousands) Number of Facilities Outstanding Limit Maturity Collateral Type Residential loans 5 $ 776,824 $ 1,800,000 7/2015-6/2016 Commercial loans 3 96,849 450,000 9/2015-10/2016 Real estate securities 8 493,389 — 7/2015-9/2015 Total 16 $ 1,367,062 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 June 30, 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 $860 million , $143 million , and $615 million , respectively, at June 30, 2015 and $1.22 billion , $161 million , and $762 million , respectively, at December 31, 2014 . For the three and six months ended June 30, 2015 , the average balance of short-term debt was $1.38 billion and $1.48 billion , respectively. At both June 30, 2015 and December 31, 2014 , accrued interest payable on short-term debt was $2 million . 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 June 30, 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 June 30, 2015 . June 30, 2015 (Dollars in Thousands) Amount Borrowed Weighted Average Interest Rate Weighted Average Days Until Maturity Collateral Type Residential loan collateral $ 776,824 1.73 % 233 Commercial loan collateral 96,849 3.92 % 185 Real estate securities collateral 493,389 1.43 % 22 Total Short-Term Debt $ 1,367,062 1.78 % 154 Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of short-term debt at June 30, 2015 and December 31, 2014 . June 30, 2015 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Residential loans $ — $ — $ 776,824 $ 776,824 Commercial loans — 52,224 44,625 96,849 Real estate securities 363,099 127,864 2,426 493,389 Total Short-Term Debt $ 363,099 $ 180,088 $ 823,875 $ 1,367,062 December 31, 2014 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Residential loans $ — $ 354,064 $ 722,124 $ 1,076,188 Commercial loans — — 109,128 109,128 Real estate securities 515,552 92,957 — 608,509 Total Short-Term Debt $ 515,552 $ 447,021 $ 831,252 $ 1,793,825 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 , along with other selected information, are summarized in the following table. Asset-Backed Securities Issued June 30, 2015 (Dollars in Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Certificates with principal balance $ 1,289,032 $ 18,872 $ 69,914 $ 1,377,818 Interest-only certificates 5,011 — — 5,011 Market valuation adjustments (1) (120,707 ) — — (120,707 ) Total ABS Issued $ 1,173,336 $ 18,872 $ 69,914 $ 1,262,122 Range of weighted average interest rates, by series 0.39% to 4.33% 2.18 % 5.62 % Stated maturities 2017-2041 2046 2018 Number of series 24 1 1 (1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for additional information. December 31, 2014 (Dollars in Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Certificates with principal balance $ 1,427,056 $ 45,044 $ 83,313 $ 1,555,413 Interest-only certificates 2,079 — — 2,079 Unamortized discount (12,373 ) — — (12,373 ) Total ABS Issued $ 1,416,762 $ 45,044 $ 83,313 $ 1,545,119 Range of weighted average interest rates, by series 0.36% to 4.27% 2.16 % 5.62 % Stated maturities 2014 - 2041 2046 2018 Number of series 24 1 1 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 June 30, 2015 , $1.25 billion of ABS issued ( $1.36 billion principal balance) had contractual maturities beyond five years and $8 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 were less than $1 million and $1 million for the three and six months ended June 30, 2015 and 2014 , respectively. The following table summarizes the accrued interest payable on ABS issued at June 30, 2015 and December 31, 2014 . Interest due on consolidated ABS issued is payable monthly. Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) June 30, 2015 December 31, 2014 Sequoia $ 797 $ 976 Residential Resecuritization 2 5 Commercial Securitization 328 390 Total Accrued Interest Payable on ABS Issued $ 1,127 $ 1,371 The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2015 and December 31, 2014 . Collateral for Asset-Backed Securities Issued June 30, 2015 (In Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Residential loans $ 1,237,114 $ — $ — $ 1,237,114 Commercial loans — — 182,184 182,184 Real estate securities — 195,278 — 195,278 Restricted cash 147 — 139 286 Accrued interest receivable 1,589 409 1,367 3,365 REO 4,409 — — 4,409 Total Collateral for ABS Issued $ 1,243,259 $ 195,687 $ 183,690 $ 1,622,636 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 |
Long-Term Debt
Long-Term Debt | 6 Months Ended |
Jun. 30, 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. As of June 30, 2015, under this agreement, our subsidiary could 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. This borrowing agreement is uncommitted, which means that any request we make to borrow funds may be declined for any reason, even if at the time of the borrowing request we have then-outstanding borrowings that are less than the borrowing limits under this agreement. During the three and six months ended June 30, 2015 , our FHLB-member subsidiary borrowed an additional $31 million and $386 million , respectively, under this agreement. At June 30, 2015 , $882 million of advances were outstanding under this agreement with a weighted average interest rate of 0.23% and a weighted average maturity of 6 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 $1.00 billion at June 30, 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 June 30, 2015 , our subsidiary held $30 million of FHLBC stock that is included in other assets in our consolidated balance sheets. During July of 2015, the FHLBC approved an increase to our FHLB-member subsidiary's uncommitted borrowing capacity, bringing our subsidiary's total uncommitted borrowing capacity with the FHLBC to $1.4 billion. Commercial Secured Borrowing At June 30, 2015 , we had commercial secured borrowings of $65 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 6.58% and 6.51% for the three and six months ended June 30, 2015 , respectively. At June 30, 2015 , the accrued interest payable balance on this debt was $2 million and the unamortized deferred issuance costs were $6 million . At June 30, 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 5.41% and 5.39% for the three and six months ended June 30, 2015 , respectively. At June 30, 2015 , the accrued interest payable balance on this debt was $3 million and the unamortized deferred issuance costs were $5 million . At June 30, 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 June 30, 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 2.63% and 2.67% for the three months ended June 30, 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 6.85% and 6.89% for the three months ended June 30, 2015 and 2014, respectively. The interest expense yield on both our trust preferred securities and subordinated notes was 2.58% and 2.57% for the six months ended June 30, 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 6.85% and 6.87% for the six months ended June 30, 2015 and 2014, respectively. At both June 30, 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 | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At June 30, 2015 , we were obligated under nine non-cancelable operating leases with expiration dates through 2021 for $12 million of cumulative lease payments. Operating lease expense was $1 million for both of the six months ended June 30, 2015 and 2014 . The following table presents our future lease commitments at June 30, 2015 . Future Lease Commitments by Year (In Thousands) June 30, 2015 2015 (6 months) $ 1,400 2016 2,838 2017 2,879 2018 1,827 2019 1,189 2020 and thereafter 1,495 Total Lease Commitments $ 11,628 Loss Contingencies — Risk Sharing In the fourth quarter of 2014, we entered into a risk-sharing arrangement with Fannie Mae. Under this arrangement we committed to assume 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 assume 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 June 30, 2015 , we determined a loss allowance was not required. Income from cash payments received under the risk sharing arrangement and income related to the amortization of the guarantee obligation are recorded in other income, and market valuation changes of the guarantee asset are recorded in mortgage banking and investment activities, net, on our consolidated statements of income. For the three and six months ended June 30, 2015, other income related to this transaction was $1 million and $2 million , respectively, and market valuation changes were less than $1 million and negative $1 million , respectively. All of the loans in the reference pool subject to the guarantee were originated in 2014 and at June 30, 2015 , the loans had an unpaid principal balance of $874 million and an original weighted average FICO score of 762 (at origination) and LTV of 75% (at origination). At June 30, 2015 , $2 million of the outstanding principal balance was 30 days or more delinquent and less than $1 million of the loans were 90 days or more delinquent or in foreclosure. At June 30, 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 other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to this guarantee obligation. As of June 30, 2015, we have not incurred any losses under this agreement. Our consolidated balance sheets include assets of special purpose entities (SPEs) that can only be used to settle obligations of these SPEs and liabilities of SPEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. The SPEs exist for the purpose of engaging in risk sharing arrangements with Fannie Mae and Freddie Mac. At June 30, 2015 and December 31, 2014, assets of such SPEs totaled $17 million and $19 million , respectively, and liabilities of such SPEs totaled $6 million and $7 million , respectively. 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 June 30, 2015 and December 31, 2014 , our repurchase reserve associated with our residential loans and MSRs was $5 million and $4 million , respectively, and was recorded in accrued expenses and other liabilities on our consolidated balance sheets. We received 50 repurchase requests during the six months ended June 30, 2015 and none during the six months ended June 30, 2014. We repurchased one loan during the six months ended June 30, 2015 . The loan was repurchased from us by the loan originator, resulting in no loss to us. During the six months ended June 30, 2015 and 2014 we recorded repurchase provisions of $1 million and less than $1 million , respectively, that were recorded in mortgage banking and investment activities, net and MSR income (loss), net 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 June 30, 2015, the FHLB-Seattle has received approximately $119 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 June 30, 2015, approximately $13 million of principal and $1 million of interest payments have been made in respect of the Schwab Certificate. Redwood 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 June 30, 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 | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2015 and 2014 . Changes in Accumulated Other Comprehensive Income by Component Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 (In Thousands) Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Balance at beginning of period $ 190,100 $ (54,460 ) $ 185,275 $ (24,623 ) Other comprehensive income (loss) before reclassifications (5,080 ) 15,469 12,721 (5,401 ) Amounts reclassified from other accumulated comprehensive income (5,361 ) 26 (454 ) 39 Net current-period other comprehensive income (loss) (10,441 ) 15,495 12,267 (5,362 ) Balance at End of Period $ 179,659 $ (38,965 ) $ 197,542 $ (29,985 ) Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 (In Thousands) Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Balance at beginning of period $ 186,737 $ (46,049 ) $ 164,654 $ (15,888 ) Other comprehensive income (loss) (28 ) 7,026 33,229 (14,196 ) Amounts reclassified from other (7,050 ) 58 (341 ) 99 Net current-period other comprehensive income (loss) (7,078 ) 7,084 32,888 (14,097 ) Balance at End of Period $ 179,659 $ (38,965 ) $ 197,542 $ (29,985 ) The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and six months ended June 30, 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 June 30, (In Thousands) Income Statement 2015 2014 Net realized gains (losses) on AFS securities Other than temporary impairment Mortgage banking and investment activities, net $ — $ 264 Gain on sale of AFS securities Realized gains, net (5,361 ) (718 ) $ (5,361 ) $ (454 ) Net realized gains on interest rate Amortization of deferred loss Interest expense $ 26 $ 39 $ 26 $ 39 Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Six Months Ended June 30, (In Thousands) Income Statement 2015 2014 Net realized gains (losses) on AFS securities Other than temporary impairment Mortgage banking and investment activities, net $ — $ 377 Gain on sale of AFS securities Realized gains, net (7,050 ) (718 ) $ (7,050 ) $ (341 ) Net realized gains on interest rate Amortization of deferred loss Interest expense $ 58 $ 99 $ 58 $ 99 Earnings Per Common Share The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2015 and 2014 . Basic and Diluted Earnings Per Common Share Three Months Ended June 30, Six Months Ended June 30, (In Thousands, Except Share Data) 2015 2014 2015 2014 Basic Earnings Per Common Share: Net income attributable to Redwood $ 27,064 $ 16,017 $ 41,865 $ 28,350 Less: Dividends and undistributed earnings allocated to participating securities (642 ) (537 ) (1,375 ) (1,239 ) Net income allocated to common shareholders $ 26,422 $ 15,480 $ 40,490 $ 27,111 Basic weighted average common shares outstanding 83,936,844 82,740,012 83,650,170 82,575,636 Basic Earnings Per Common Share $ 0.31 $ 0.19 $ 0.48 $ 0.33 Diluted Earnings Per Common Share: Net income attributable to Redwood $ 27,064 $ 16,017 $ 41,865 $ 28,350 Less: Dividends and undistributed earnings allocated to participating securities (619 ) (537 ) (1,375 ) (1,239 ) Add back: Interest expense on convertible notes for the period, net of tax 2,789 — — — Net income allocated to common shareholders $ 29,234 $ 15,480 $ 40,490 $ 27,111 Weighted average common shares outstanding 83,936,844 82,740,012 83,650,170 82,575,636 Net effect of dilutive equity awards 1,546,038 2,292,986 1,823,735 2,418,685 Net effect of assumed convertible notes conversion to common shares 9,466,859 — — — Diluted weighted average common shares outstanding 94,949,741 85,032,998 85,473,905 84,994,321 Diluted Earnings Per Common Share $ 0.31 $ 0.18 $ 0.47 $ 0.32 For the three and six months ended June 30, 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 these shares. For the three and six months ended June 30, 2015 , there were 1,546,038 and 1,823,735 of dilutive equity awards, respectively. For the three and six months ended June 30, 2014 , there were 2,292,986 and 2,418,685 of dilutive equity awards, respectively. 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 June 30, 2015 , common shares related to the assumed conversion of convertible notes totaling 9,466,859 were included in the calculation of diluted earnings per share as they were determined to be dilutive. For the three and six months ended June 30, 2015 , 11,825,450 and 21,292,309 , 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 and six months ended June 30, 2015 , the number of outstanding equity awards that were antidilutive totaled 286,075 and 299,491 , respectively. For the three and six months ended June 30, 2014, the number of outstanding equity awards that were antidilutive totaled 70,508 and 271,392 , respectively. 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 had no expiration date. During the six months ended June 30, 2015, there were no shares acquired under the plan. In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock, replacing the Board’s previous share repurchase authorization. Our share repurchase authorization does not obligate us to acquire any specific number of shares. Under this authorization, shares may be repurchased in privately negotiated and/or open market transactions, including under plans complying with Rule 10b5-1 under the Securities Exchange Act of 1934, as amended. As of August 7, 2015, no shares had been acquired under this authorization. |
Equity Compensation Plans
Equity Compensation Plans | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At June 30, 2015 and December 31, 2014 , 1,987,975 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 $22 million at June 30, 2015 , as shown in the following table. Six Months Ended June 30, 2015 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 1,091 $ 12,304 $ 6,874 $ — $ 20,269 Equity grants 2,709 5,923 — 236 8,868 Equity grant forfeitures (387 ) — — — (387 ) Equity compensation expense (521 ) (3,931 ) (1,709 ) (116 ) (6,277 ) Unrecognized Compensation Cost at End of Period $ 2,892 $ 14,296 $ 5,165 $ 120 $ 22,473 At June 30, 2015 , the weighted average amortization period remaining for all of our equity awards was less than two years . Restricted Stock At June 30, 2015 and December 31, 2014 , there were 187,669 and 109,464 shares, respectively, of restricted stock awards outstanding. Restrictions on these shares lapse through 2019. During the six months ended June 30, 2015 , there were 139,526 restricted stock awards granted, 40,643 restricted stock awards that vested and were distributed, and 20,678 restricted stock awards forfeited. Deferred Stock Units (“DSUs”) At June 30, 2015 and December 31, 2014 , there were 2,169,028 and 2,168,824 DSUs, respectively, outstanding of which 1,235,082 and 1,287,862 , respectively, had vested. There were 314,527 DSUs granted, and 314,323 DSUs distributed, and no DSUs forfeited during the six months ended June 30, 2015 . Unvested DSUs at June 30, 2015 vest through 2019. Performance Stock Units (“PSUs”) At both June 30, 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 occurred 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 June 30, 2015 and December 31, 2014 , 292,145 and 274,318 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at June 30, 2015 . |
Mortgage Banking and Investment
Mortgage Banking and Investment Activities | 6 Months Ended |
Jun. 30, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Mortgage Banking and Investment Activities | Mortgage Banking and Investment Activities, Net The following table presents the components of mortgage banking and investment activities, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Residential mortgage banking activities, net: Changes in fair value of: Residential loans, at fair value (1) $ (2,122 ) $ 17,575 $ 18,192 $ 24,709 Real estate securities (2) — (8,810 ) (14,359 ) (13,087 ) Risk management derivatives (3) 2,752 (7,858 ) (1,619 ) (12,136 ) Hedging allocation (2) 2,803 — 2,803 — Other income, net (4) 1,400 435 2,035 790 Total residential mortgage banking activities, net: 4,833 1,342 7,052 276 Commercial mortgage banking activities, net: Changes in fair value of: Commercial loans, at fair value 987 5,714 6,844 9,340 Risk management derivatives (3) 1,463 (816 ) (4,750 ) (3,619 ) Other fee income 164 83 227 93 Total commercial mortgage banking activities, net: 2,614 4,981 2,321 5,814 Investment activities, net Changes in fair value of: Residential loans held-for-investment, at Redwood (5,885 ) — (3,907 ) — Real estate securities 6,927 (186 ) 7,197 (453 ) Net investments in consolidated Sequoia entities (684 ) (321 ) (1,777 ) (464 ) Risk sharing investments 228 — (702 ) — Risk management derivatives 429 (3,627 ) (944 ) (9,354 ) Hedging allocation (2) (2,803 ) — (2,803 ) — Total investment activities: (1,788 ) (4,134 ) (2,936 ) (10,271 ) Mortgage banking and investment activities, net $ 5,659 $ 2,189 $ 6,437 $ (4,181 ) (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) In the second quarter of 2015, we transferred securities previously utilized as hedges for our mortgage banking segment to our residential investments segment and began to record a hedging allocation between our business segments. See Note 21 for further discussion. (3) Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. (4) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Operating Expenses
Operating Expenses | 6 Months Ended |
Jun. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Operating Expenses | Operating Expenses Components of our operating expenses for the three and six months ended June 30, 2015 and 2014 are presented in the following table. Operating Expenses Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Fixed compensation expense $ 9,286 $ 6,872 $ 18,441 $ 13,664 Variable compensation expense 3,578 3,243 7,569 5,974 Equity compensation expense 3,539 2,824 6,277 5,154 Total compensation expense 16,403 12,939 32,287 24,792 Systems and consulting 2,242 3,977 4,364 7,443 Accounting and legal 1,130 1,183 2,707 2,816 Office costs 1,366 1,170 2,598 2,155 Corporate costs 512 558 1,037 1,111 Other operating expenses 3,565 2,455 7,288 3,937 Total Operating Expenses $ 25,218 $ 22,282 $ 50,281 $ 42,254 |
Taxes
Taxes | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes For the six months ended June 30, 2015 and 2014 , we recognized a benefit for income taxes of $3 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 June 30, 2015 and 2014 . Reconciliation of Statutory Tax Rate to Effective Tax Rate June 30, 2015 June 30, 2014 Federal statutory rate 34.0 % 34.0 % State statutory rate, net of Federal tax effect 7.2 % 7.2 % Differences in taxable (loss) income from GAAP income (15.6 )% (2.5 )% Change in valuation allowance 1.6 % 1.2 % Dividends paid deduction (34.6 )% (45.5 )% Effective Tax Rate (7.4 )% (5.6 )% The negative effective tax rate for the six months ended June 30, 2015 and 2014, 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 June 30, 2015 and December 31, 2014 , concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 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. Prior to the second quarter of 2015, we utilized certain Sequoia interest only (IO) securities in part to serve as hedges in our residential mortgage banking segment. As such, we included these securities in the segment’s assets as well as the interest income and valuation adjustments related to the securities in the segment’s results. During the second quarter of 2015, we transferred these securities to our residential investments segment. Additionally, beginning in the second quarter of 2015, we began to record a hedging allocation between our segments. As we currently manage our market interest rate risk on an enterprise-wide basis, we rely on certain assets to serve as natural hedges to other assets, and in some cases these assets can be in different segments. Management uses this allocation to assess the economic returns of each segment on a stand-alone basis and the allocation has no impact on our consolidated results. This is a prospective change in how we are managing our business and allocating capital to each segment. As such, we have not conformed prior year results for our segments. Analysis of our year-over-year results are discussed in Part I, Item 2, Management’s Discussion and Analysis of Results of Operations in this quarterly report on Form 10-Q. The following tables present financial information by segment for the three and six months ended June 30, 2015 and 2014 . Business Segment Financial Information Three Months Ended June 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total Interest income $ 9,976 $ 34,249 $ 12,679 $ 6,469 $ 63,373 Interest expense (3,298 ) (2,660 ) (3,497 ) (13,553 ) (23,008 ) Net interest income (loss) 6,678 31,589 9,182 (7,084 ) 40,365 Reversal of provision for loan losses — — 261 — 261 Non-interest income Mortgage banking and investment activities, net (1) 4,833 (1,104 ) 2,614 (684 ) 5,659 MSR income (loss), net — 830 — — 830 Other income — 1,299 — — 1,299 Realized gains, net — 6,316 — — 6,316 Total non-interest income, net 4,833 7,341 2,614 (684 ) 14,104 Direct operating expenses (11,033 ) (1,171 ) (3,020 ) (9,994 ) (25,218 ) (Provision for) benefit from income taxes 865 (3,768 ) (143 ) 598 (2,448 ) Segment Contribution $ 1,343 $ 33,991 $ 8,894 $ (17,164 ) Net Income $ 27,064 Non-cash amortization income (expense) (44 ) 9,324 (78 ) (995 ) 8,207 Hedging allocations (1) 2,803 (2,753 ) — (50 ) — Three Months Ended June 30, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total Interest income $ 12,438 $ 27,924 $ 11,217 $ 6,414 $ 57,993 Interest expense (2,161 ) (3,116 ) (4,404 ) (11,470 ) (21,151 ) Net interest income (loss) 10,277 24,808 6,813 (5,056 ) 36,842 Reversal of provision (provision) for loan losses — — (289 ) 604 315 Non-interest income Mortgage banking and investment activities, net 1,342 (3,788 ) 4,981 (346 ) 2,189 MSR income (loss), net — (1,777 ) — — (1,777 ) Other income — — — — — Realized gains, net — 992 — 71 1,063 Total non-interest income, net 1,342 (4,573 ) 4,981 (275 ) 1,475 Direct operating expenses (9,501 ) (770 ) (2,180 ) (9,831 ) (22,282 ) (Provision for) benefit from income taxes 259 149 (750 ) 9 (333 ) Segment Contribution $ 2,377 $ 19,614 $ 8,575 $ (14,549 ) Net Income $ 16,017 Non-cash amortization income (expense) (36 ) 10,586 (215 ) (2,073 ) 8,262 Six Months Ended June 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Total Interest income $ 25,771 $ 64,261 $ 23,593 $ 13,494 $ 127,119 Interest expense (7,076 ) (5,469 ) (6,986 ) (27,438 ) (46,969 ) Net interest income (loss) 18,695 58,792 16,607 (13,944 ) 80,150 Reversal of provision for loan losses — — 55 — 55 Non-interest income Mortgage banking and investment activities, net (1) 7,052 (1,123 ) 2,321 (1,813 ) 6,437 MSR income (loss), net — (10,094 ) — — (10,094 ) Other income 2,108 2,108 Realized gains, net — 10,622 — — 10,622 Total non-interest income, net 7,052 1,513 2,321 (1,813 ) 9,073 Direct operating expenses (21,936 ) (2,289 ) (6,502 ) (19,554 ) (50,281 ) (Provision for) benefit from income taxes 872 (258 ) 710 1,544 2,868 Segment Contribution $ 4,683 $ 57,758 $ 13,191 $ (33,767 ) Net Income $ 41,865 Non-cash amortization income (expense) (90 ) 19,162 (128 ) (1,976 ) 16,968 Hedging allocations (1) 2,803 (2,753 ) — (50 ) — Six Months Ended June 30, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Total Interest income $ 23,104 $ 55,519 $ 21,601 $ 13,245 $ 113,469 Interest expense (3,482 ) (5,966 ) (7,708 ) (23,055 ) (40,211 ) Net interest income (loss) 19,622 49,553 13,893 (9,810 ) 73,258 Provision for loan losses — — (944 ) (23 ) (967 ) Non-interest income Mortgage banking and investment activities, net 276 (9,746 ) 5,814 (525 ) (4,181 ) MSR income (loss), net — (1,171 ) — — (1,171 ) Other income — — — — — Realized gains, net — 1,979 — 176 2,155 Total non-interest income, net 276 (8,938 ) 5,814 (349 ) (3,197 ) Direct operating expenses (16,595 ) (1,865 ) (4,806 ) (18,988 ) (42,254 ) (Provision for) benefit from income taxes 94 1,676 (395 ) 135 1,510 Segment Contribution $ 3,397 $ 40,426 $ 13,562 $ (29,035 ) Net Income $ 28,350 Non-cash amortization income (expense) (88 ) 21,833 (388 ) (4,019 ) 17,338 (1) Intersegment hedging allocation presented in the tables above is included in the mortgage banking and investment activities, net line item of the segment income statements for the three and six months ended June 30, 2015. The following tables present the components of Corporate/Other for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 2014 (In Thousands) Legacy Consolidated VIEs Other Total Legacy Consolidated VIEs Other Total Interest income $ 6,462 $ 7 $ 6,469 $ 6,411 $ 3 $ 6,414 Interest expense (4,048 ) (9,505 ) (13,553 ) (5,240 ) (6,230 ) (11,470 ) Net interest income (loss) 2,414 (9,498 ) (7,084 ) 1,171 (6,227 ) (5,056 ) Reversal of provision for loan losses — — — 604 — 604 Non-interest income Mortgage banking and investment activities, net (684 ) — (684 ) (321 ) (25 ) (346 ) MSR income (loss), net — — — — — — Realized gains, net — — — 71 — 71 Total non-interest income, net (684 ) — (684 ) (250 ) (25 ) (275 ) Direct operating expenses — (9,994 ) (9,994 ) (42 ) (9,789 ) (9,831 ) Benefit from income taxes — 598 598 — 9 9 Total $ 1,730 $ (18,894 ) $ (17,164 ) $ 1,483 $ (16,032 ) $ (14,549 ) Six Months Ended June 30, 2015 2014 (In Thousands) Legacy Consolidated VIEs Other Total Legacy Consolidated VIEs Other Total Interest income $ 13,480 $ 14 $ 13,494 $ 13,240 $ 5 $ 13,245 Interest expense (8,530 ) (18,908 ) (27,438 ) (10,699 ) (12,356 ) (23,055 ) Net interest income (loss) 4,950 (18,894 ) (13,944 ) 2,541 (12,351 ) (9,810 ) Provision for loan losses — — — (23 ) — (23 ) Non-interest income Mortgage banking and investment activities, net (1,777 ) (36 ) (1,813 ) (464 ) (61 ) (525 ) MSR income (loss), net — — — — — — Realized gains, net — — — 176 — 176 Total non-interest income, net (1,777 ) (36 ) (1,813 ) (288 ) (61 ) (349 ) Direct operating expenses — (19,554 ) (19,554 ) (94 ) (18,894 ) (18,988 ) Benefit from income taxes — 1,544 1,544 — 135 135 Total $ 3,173 $ (36,940 ) $ (33,767 ) $ 2,136 $ (31,171 ) $ (29,035 ) The following table presents supplemental information by segment at June 30, 2015 and December 31, 2014 . Supplemental Disclosures (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total June 30, 2015 Residential loans $ 892,081 $ 1,157,285 $ — $ 1,237,114 $ 3,286,480 Commercial loans — — 551,331 — 551,331 Real estate securities — 1,157,599 — — 1,157,599 Mortgage servicing rights — 168,462 — — 168,462 Total assets 938,720 2,559,481 560,956 1,536,727 5,595,884 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 |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock, replacing the Board’s previous share repurchase authorization. Our share repurchase authorization does not obligate us to acquire any specific number of shares. Under this authorization, shares may be repurchased in privately negotiated and/or open market transactions, including under plans complying with Rule 10b5-1 under the Securities Exchange Act of 1934, as amended. As of August 7, 2015, no shares had been purchased under this authorization. |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 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 as well as other income and expenses associated with these entities' activities. |
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 mortgage banking and investment activities, net. 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) December 31, 2014 ASU 2014-13 Adjustment January 1, 2015 Loan Principal $ 1,486 $ — $ 1,486 Loan unamortized premium 13 (13 ) — Allowance for loan losses (21 ) 21 — Loan market valuation adjustment — (113 ) (113 ) Residential loans held-for-investment 1,478 (105 ) 1,373 Deferred bond issuance costs 1 (1 ) — Other assets 5 — 5 Total assets 1,482 (105 ) 1,377 ABS issued principal 1,428 — 1,428 ABS issued unamortized discount (10 ) 10 — ABS market valuation adjustment — (125 ) (125 ) Total liabilities 1,418 (115 ) 1,303 Redwood's investment in consolidated Sequoia entities $ 64 $ 10 $ 74 (1) Certain totals may not foot due to rounding. 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 our deferred securities issuance costs costs that we currently present on the face of 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, 2015. Early adoption is allowed, including in any interim period. We are 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 borrowings, the new standard’s enhanced disclosures are effective for annual periods beginning after December 15, 2014 and interim periods beginning after March 15, 2015. We adopted the new guidance, as required, in the first quarter of 2015 and adopted the disclosure requirements in the second quarter of 2015, as required, which are included in Note 12 of these notes to our consolidated financial statements. 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 update modifies the guidance companies use to recognize revenue from contracts with customers for transfers of goods or services and transfers of nonfinancial assets, unless those contracts are within the scope of other standards. The guidance also requires new qualitative and quantitative disclosures, including information about contract balances and performance obligations. In July 2015, the FASB approved a one year deferral of the effective date. Accordingly, the Update is effective for us in the first quarter of 2018 with retrospective application to prior periods presented or as a cumulative effect adjustment in the period of adoption. Early adoption is permitted in the first quarter of 2017. We are evaluating the impact the update will have on our consolidated financial statements. 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 | 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 aggregated and 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. 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. Any such settlement would 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. Such limitations 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. 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. |
Summary of Significant Accoun32
Summary of Significant Accounting Policies (Tables) | 6 Months Ended |
Jun. 30, 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) December 31, 2014 ASU 2014-13 Adjustment January 1, 2015 Loan Principal $ 1,486 $ — $ 1,486 Loan unamortized premium 13 (13 ) — Allowance for loan losses (21 ) 21 — Loan market valuation adjustment — (113 ) (113 ) Residential loans held-for-investment 1,478 (105 ) 1,373 Deferred bond issuance costs 1 (1 ) — Other assets 5 — 5 Total assets 1,482 (105 ) 1,377 ABS issued principal 1,428 — 1,428 ABS issued unamortized discount (10 ) 10 — ABS market valuation adjustment — (125 ) (125 ) Total liabilities 1,418 (115 ) 1,303 Redwood's investment in consolidated Sequoia entities $ 64 $ 10 $ 74 (1) Certain totals may not foot due to rounding. |
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 June 30, 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 (1) Net Amount June 30, 2015 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 9,017 $ — $ 9,017 $ (3,555 ) $ (4,822 ) $ 640 Credit default index swaps 3,792 — 3,792 — — 3,792 TBAs 7,627 — 7,627 (4,739 ) (1,563 ) 1,325 Total Assets $ 20,436 $ — $ 20,436 $ (8,294 ) $ (6,385 ) $ 5,757 Liabilities (2) Interest rate agreements $ (43,982 ) $ — $ (43,982 ) $ 3,555 $ 40,018 $ (409 ) TBAs (5,466 ) — (5,466 ) 4,739 340 (387 ) Futures (260 ) — (260 ) — 260 — Loan warehouse debt (873,673 ) — (873,673 ) 873,673 — — Security repurchase agreements (493,389 ) — (493,389 ) 493,389 — — Total Liabilities $ (1,416,770 ) $ — $ (1,416,770 ) $ 1,375,356 $ 40,618 $ (796 ) 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 (1) Net Amount December 31, 2014 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 7,006 $ — $ 7,006 $ (1,160 ) $ (4,360 ) $ 1,486 Credit default index swaps 1,598 — 1,598 — (375 ) 1,223 TBAs 6,653 — 6,653 (5,815 ) — 838 Total Assets $ 15,257 $ — $ 15,257 $ (6,975 ) $ (4,735 ) $ 3,547 Liabilities (2) Interest rate agreements $ (48,173 ) $ — $ (48,173 ) $ 1,160 47,013 $ — TBAs (9,506 ) — (9,506 ) 5,815 2,715 (976 ) Futures (372 ) — (372 ) — 372 — Loan warehouse debt (1,185,316 ) — (1,185,316 ) 1,185,316 — — Security repurchase agreements (608,509 ) — (608,509 ) 608,509 — — Total Liabilities $ (1,851,876 ) $ — $ (1,851,876 ) $ 1,800,800 $ 50,100 $ (976 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 6 Months Ended |
Jun. 30, 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 and six months ended June 30, 2015 and 2014 . Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Principal balance of loans transferred $ 699,655 $ 347,305 $ 1,038,451 $ 347,305 Trading securities retained, at fair value 29,966 69,563 33,389 69,563 AFS securities retained, at fair value 3,450 20,428 6,309 20,428 MSRs recognized 6,002 2,186 7,874 2,186 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and six months ended June 30, 2015 and 2014 between us and the unconsolidated VIEs sponsored by us. Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Proceeds from new transfers $ 676,596 $ 267,776 $ 1,018,312 $ 267,776 MSR fees received 3,700 3,624 7,470 7,047 Funding of compensating interest (107 ) (43 ) (197 ) (76 ) Cash flows received on retained securities 10,706 15,924 23,351 28,227 |
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 June 30, 2015 Six Months Ended June 30, 2015 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 5 - 13% 8 % 8 % 5-15% 8 % 8 % Discount rates 11 % 3 % 6 % 11 % 3 % 6 % Credit loss assumptions N/A 0.25 % 0.25 % N/A 0.25 % 0.25 % Issued During The Three Months Ended June 30, 2014 Six Months Ended June 30, 2014 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 5 - 15% 10 % 10 % 5 - 15% 10 % 10 % Discount rates 11 % 3 % 5 % 11 % 3 % 5 % Credit loss assumptions N/A 0.25 % 0.25 % N/A 0.25 % 0.25 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at June 30, 2015 and December 31, 2014 , related to unconsolidated securitizations accounted for as sales since 2012. Unconsolidated VIEs Sponsored by Redwood (In Thousands) June 30, 2015 December 31, 2014 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 72,505 $ 93,802 Senior and subordinate securities, classified as AFS 294,040 460,990 Mortgage servicing rights 65,753 56,801 Maximum loss exposure (1) 432,298 611,593 Assets transferred: Principal balance of loans outstanding 7,570,297 7,276,825 Principal balance of delinquent loans 30+ days delinquent 17,646 17,022 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
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 June 30, 2015 and December 31, 2014 . Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood June 30, 2015 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at June 30, 2015 $ 65,753 $ 62,427 $ 304,118 Expected life (in years) (2) 8 7 12 Prepayment speed assumption (annual CPR) (2) 10 % 10 % 11 % Decrease in fair value from: 10% adverse change $ 2,780 $ 1,920 $ 825 25% adverse change 6,242 4,543 2,114 Discount rate assumption (2) 11 % 9 % 6 % Decrease in fair value from: 100 basis point increase $ 3,004 $ 2,689 $ 24,530 200 basis point increase 5,514 5,166 45,844 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 241 $ 19,746 25% higher losses N/A 316 24,061 December 31, 2014 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2014 $ 56,801 $ 93,802 $ 460,990 Expected life (in years) (2) 7 6 10 Prepayment speed assumption (annual CPR) (2) 14 % 9 % 10 % Decrease in fair value from: 10% adverse change $ 2,419 $ 3,999 $ 684 25% adverse change 5,639 9,475 2,355 Discount rate assumption (2) 11 % 8 % 5 % Decrease in fair value from: 100 basis point increase $ 2,104 $ 4,214 $ 34,149 200 basis point increase 4,102 8,091 64,474 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 126 $ 3,169 25% higher losses N/A 299 7,841 (1) Senior securities include $40 million and $88 million of interest only securities as of June 30, 2015 and December 31, 2014, respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Variable Interest Entity, Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Schedule of Variable Interest 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 June 30, 2015 Sequoia Entities Residential Resecuritization Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 1,237,114 $ — $ — $ 1,237,114 Commercial loans, held-for-investment — — 182,184 182,184 Real estate securities — 195,278 — 195,278 Restricted cash 147 — 139 286 Accrued interest receivable 1,589 409 1,367 3,365 Other assets 4,409 — — 4,409 Total Assets $ 1,243,259 $ 195,687 $ 183,690 $ 1,622,636 Accrued interest payable $ 797 $ 2 $ 328 $ 1,127 Asset-backed securities issued 1,173,336 18,872 69,914 1,262,122 Total Liabilities $ 1,174,133 $ 18,874 $ 70,242 $ 1,263,249 Number of VIEs 24 1 1 26 |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Schedule of Variable Interest Entities | The following table presents a summary of our interests in third-party VIEs at June 30, 2015 , grouped by security type. Third-Party Sponsored VIE Summary (Dollars in Thousands) June 30, 2015 Residential Mortgage Backed Securities Senior $ 452,041 Re-REMIC 169,084 Subordinate 169,928 Total Investments in Third-Party Sponsored VIEs $ 791,053 |
Fair Value of Financial Instr34
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 890,623 $ 890,623 $ 1,341,032 $ 1,341,032 At lower of cost or fair value 1,458 1,655 1,488 1,669 Residential loans, held-for-investment (1) At fair value 2,394,399 2,394,399 581,668 581,668 At amortized cost — — 1,474,386 1,381,918 Commercial loans, held-for-sale 165,853 165,853 166,234 166,234 Commercial loans, held-for-investment At fair value 69,763 69,763 71,262 71,262 At amortized cost 315,715 321,038 329,431 334,876 Trading securities 116,141 116,141 111,606 111,606 Available-for-sale securities 1,041,458 1,041,458 1,267,624 1,267,624 MSRs 168,462 168,462 139,293 139,293 Cash and cash equivalents 226,426 226,426 269,730 269,730 Restricted cash 2,389 2,389 628 628 Accrued interest receivable 16,151 16,151 18,222 18,222 Derivative assets 26,252 26,252 16,417 16,417 REO (2) 4,410 5,081 4,391 4,703 Margin receivable (2) 71,392 71,392 65,374 65,374 FHLBC stock (2) 30,001 30,001 10,688 10,688 Guarantee asset (2) 6,417 6,417 7,201 7,201 Pledged collateral (2) 10,194 10,194 9,927 9,927 Liabilities Short-term debt $ 1,367,062 $ 1,367,062 $ 1,793,825 $ 1,793,825 Accrued interest payable 8,291 8,291 8,502 8,502 Guarantee obligation 6,146 6,417 7,201 7,201 Derivative liabilities 54,109 54,109 58,331 58,331 ABS issued (1) Fair value 1,173,336 1,173,336 — — Amortized cost 88,786 89,231 1,545,119 1,446,605 FHLBC borrowings 882,122 882,122 495,860 495,860 Commercial secured borrowings 65,232 65,232 66,707 66,707 Convertible notes 492,500 475,700 492,500 492,188 Other long-term debt 139,500 101,138 139,500 101,835 (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 June 30, 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 June 30, 2015 June 30, 2015 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,285,022 $ — $ 248,157 $ 3,036,865 Commercial loans 235,616 — — 235,616 Trading securities 116,141 — — 116,141 Available-for-sale securities 1,041,458 — — 1,041,458 Derivative assets 26,252 7,625 13,621 5,006 MSRs 168,462 — — 168,462 Pledged collateral 10,194 10,194 — — FHLBC stock 30,001 30,001 — — Guarantee asset 6,417 — — 6,417 Liabilities Derivative liabilities 54,109 5,726 43,983 4,400 Commercial secured borrowings 65,232 — — 65,232 ABS issued 1,173,336 — — 1,173,336 |
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 six months ended June 30, 2015 . Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Liabilities Residential Loans Commercial Loans Trading Securities AFS Securities MSRs Guarantee Asset Derivatives (1) Commercial Secured Borrowings ABS Issued (In Thousands) Beginning balance - December 31, 2014 $ 1,677,984 $ 237,496 $ 111,606 $ 1,267,624 $ 139,293 $ 7,201 $ 1,119 $ 66,707 $ — Transfer to FVO (2) 1,370,699 — — — — — — — 1,302,216 Principal paydowns (247,699 ) (463 ) (827 ) (61,265 ) — — — (295 ) (135,799 ) Gains (losses) in net income, net (6,661 ) 5,640 (7,187 ) 29,424 (3,842 ) (855 ) 23,321 (1,204 ) 6,498 Unrealized losses in OCI, net — — — (7,050 ) — — — — — Acquisitions 2,519,029 350,384 92,006 14,788 51,217 — — — — Sales (2,273,308 ) (357,441 ) (79,457 ) (202,423 ) (18,206 ) — — — — Other settlements, net (3,179 ) — — 360 — 71 (23,834 ) 24 421 Ending balance - June 30, 2015 $ 3,036,865 $ 235,616 $ 116,141 $ 1,041,458 $ 168,462 $ 6,417 $ 606 $ 65,232 $ 1,173,336 (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 June 30, 2015 and 2014 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2015 and 2014 are not included in this presentation. Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2015 and 2014 Included in Net Income Included in Net Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Assets Residential loans at Redwood $ (7,508 ) $ 11,755 $ (5,441 ) $ 11,964 Residential loans at consolidated Sequoia entities 2,476 — 5,331 — Commercial loans (1,565 ) 2,008 (56 ) 2,008 Trading securities 4,601 (9,257 ) (5,254 ) (13,688 ) Available-for-sale securities — (264 ) — (377 ) MSRs 21,296 (4,974 ) 10,277 (7,236 ) Other assets - Guarantee asset 228 — (700 ) — Liabilities Loan purchase commitments (3,810 ) 1,707 (1,826 ) 1,707 Commercial secured borrowing 2,713 1,759 1,204 1,759 ABS issued (3,552 ) — (6,498 ) — |
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 June 30, 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 June 30, 2015 . Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2015 Gain (Loss) for June 30, 2015 Carrying Value Fair Value Measurements Using Three Months Ended Six Months Ended (In Thousands) Level 1 Level 2 Level 3 June 30, 2015 June 30, 2015 Assets Residential loans, at lower of cost or fair value $ 1,102 $ — $ — $ 1,102 $ 1 $ 1 REO 1,017 — — 1,017 (170 ) (175 ) |
Market Valuation Gains and Losses, Net | The following table presents the net gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2015 and 2014 . Market Valuation Gains and Losses, Net Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Mortgage banking and investment activities, net Residential loans, at fair value $ (3,176 ) $ 13,994 $ (1,118 ) $ 21,119 Consolidated Sequoia entities (1) (684 ) (321 ) (1,777 ) (464 ) Residential loans held-for-investment, at Redwood (5,885 ) — (3,907 ) — Commercial loans, at fair value 987 5,714 6,845 9,340 Trading securities 6,927 (8,733 ) (7,162 ) (13,164 ) Risk management derivatives, net 4,645 (12,300 ) (7,311 ) (25,108 ) Impairments on AFS securities — (264 ) — (377 ) Guarantee asset 299 — (784 ) — Loan purchase and forward sale commitments 1,054 3,582 19,309 3,590 Other investments (71 ) — 83 — Total mortgage banking and investment activities, net (2) $ 4,096 $ 1,672 $ 4,178 $ (5,064 ) MSR Income (loss), net MSRs $ 15,675 $ (5,553 ) $ (3,842 ) $ (8,265 ) Risk management derivatives, net (21,814 ) — (21,814 ) — Total MSR income (loss), net (3) $ (6,139 ) $ (5,553 ) $ (25,656 ) $ (8,265 ) Total market valuation gains and losses, net $ (2,043 ) $ (3,881 ) $ (21,478 ) $ (13,329 ) (1) On January 1, 2015, we adopted ASU 2014-13 and began to record the assets and liabilities of consolidated Sequoia entities at fair value. This amount includes the net change in fair value of the consolidated assets and liabilities of these entities, which include residential loans held-for-investment, REO, and ABS issued. This combined amount represents the estimated change in value of our retained interests in these entities. See Note 3 for further discussion. (2) Mortgage banking and investment activities, net presented above does not include fee income or provisions for repurchases that is a component of mortgage banking and investment activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) MSR Income (loss), net presented above does not include net fee income or provisions for repurchases that are a component of MSR Income (loss), net on our consolidated statements of income. |
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 June 30, 2015 Fair Value Weighted Average (Dollars in Thousands, except input values) Unobservable Input Range Assets Residential loans, at fair value: Jumbo fixed rate loans uncommitted to sell $ 1,267,521 IO Multiple 4.3 - 5.0 x 4.4 x Prepayment rate (Annual CPR) 12 - 15 % 14 % Senior spread to TBA price $3.50 - $3.50 $ 3.50 Subordinate spread to swap rate 310 - 310 bps 310 bps Credit support 5 - 5 % 5 % Whole loan spread to TBA price $2.90 - $4.15 $ 4.00 Jumbo hybrid loans uncommitted to sell 181,279 Prepayment rate (Annual CPR) 15 - 15 % 15 % Spread to swap rate 125 - 160 bps 129 bps Jumbo loans committed to sell 350,951 Committed Sales Price $101 - $102 $ 102 Loans held by consolidated Sequoia entities (1) 1,237,114 Liability price N/A N/A Residential loans, at lower of cost or fair value 1,102 Loss severity 13 - 30 % 20 % Commercial loans, at fair value 235,616 Spread to swap rate 168 - 169 bps 168 bps Credit support 23 - 23 % 23 % Trading and AFS securities 1,157,599 Discount rate 4 - 12 % 6 % Prepayment rate (Annual CPR) 1 - 35 % 13 % Default rate 0 - 35 % 8 % Loss severity 20 - 65 % 34 % Credit support 0 - 49 % 5 % MSRs 168,462 Discount rate 8 - 11 % 10 % Prepayment rate (Annual CPR) 4 - 60 % 9 % Per loan annual cost to service $72 - $82 $ 78 Guarantee asset 6,417 Discount rate 11 - 11 % 11 % Prepayment rate (Annual CPR) 5 - 27 % 12 % REO 1,017 Loss severity 19 - 76 % 55 % Loan purchase commitments, net (2) 605 MSR Multiple 0 - 4 x 3.0 x Fallout rate 2 - 97 % 26 % Liabilities ABS issued by consolidated Sequoia entities (1) 1,173,336 Discount rate 5 - 8 % 5 % Prepayment rate (Annual CPR) 0 - 31 % 13 % Default rate 0 - 12 % 6 % Loss severity 20 - 32 % 26 % Credit support 0 - 69 % 11 % Commercial secured financing 65,232 Spread to swap rate 168 - 168 bps 168 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 | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 . June 30, 2015 (In Thousands) Redwood Sequoia (1) Total Held-for-sale Fair value - conforming $ 248,157 $ — $ 248,157 Fair value - jumbo 642,466 — 642,466 Lower of cost or fair value 1,458 — 1,458 Held-for-investment Fair value - Jumbo 1,157,285 1,237,114 2,394,399 Total Residential Loans $ 2,049,366 $ 1,237,114 $ 3,286,480 December 31, 2014 (In Thousands) Redwood Sequoia (1) Total Held-for-sale Fair value - conforming $ 244,714 $ — $ 244,714 Fair value - jumbo 1,096,317 — 1,096,317 Lower of cost or fair value 1,488 — 1,488 Held-for-investment Fair value - jumbo 581,668 — 581,668 At amortized cost — 1,474,386 1,474,386 Total Residential Loans $ 1,924,187 $ 1,474,386 $ 3,398,573 (1) Upon adoption of ASU 2014-13 on January 1, 2015, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 1,343,333 $ 1,483,213 Unamortized premium, net — 12,511 Allowance for loan losses — (21,338 ) Valuation adjustment (106,219 ) — Carrying value $ 1,237,114 $ 1,474,386 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 6 Months Ended |
Jun. 30, 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) June 30, 2015 December 31, 2014 Pass $ 302,075 $ 316,122 Watch list 25,517 25,628 Total Commercial Loans Held-for-Investment $ 327,592 $ 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Held-for-sale, at fair value $ 165,853 $ 166,234 Held-for-investment At fair value 69,763 71,262 At amortized cost 315,715 329,431 Total Commercial Loans $ 551,331 $ 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 327,592 $ 341,750 Unamortized discount, net (4,476 ) (4,862 ) Recorded investment 323,116 336,888 Allowance for loan losses (7,401 ) (7,457 ) Carrying Value $ 315,715 $ 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 and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 7,662 $ 8,028 $ 7,456 $ 7,373 Charge-offs, net — — — — (Reversal of) provision for loan losses (261 ) 289 (55 ) 944 Balance at End of Period $ 7,401 $ 8,317 $ 7,401 $ 8,317 |
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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Principal balance $ 327,592 $ 341,750 Recorded investment 323,116 336,888 Related allowance 7,401 7,457 |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Trading $ 116,141 $ 111,606 Available-for-sale 1,041,458 1,267,624 Total Real Estate Securities $ 1,157,599 $ 1,379,230 |
Trading Securities by Collateral Type | The following table presents trading securities by collateral type at June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Senior Securities Prime $ 62,427 $ 93,802 Non-prime 6,705 7,951 Total Senior Securities 69,132 101,753 Prime Subordinate Securities 47,009 9,853 Total Trading Securities $ 116,141 $ 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 June 30, 2015 and December 31, 2014 . (In Thousands) June 30, 2015 December 31, 2014 Senior Securities Prime $ 278,960 $ 307,813 Non-prime 166,376 179,744 Total Senior Securities 445,336 487,557 Re-REMIC Securities 169,084 168,347 Subordinate Securities Prime Mezzanine (1) 257,263 448,838 Subordinate (2) 169,775 162,882 Total Subordinate Securities 427,038 611,720 Total AFS Securities $ 1,041,458 $ 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 June 30, 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 June 30, 2015 and December 31, 2014 . Carrying Value of AFS Securities June 30, 2015 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 282,921 $ 182,719 $ 193,221 $ 535,511 $ 1,194,372 Credit reserve (2,650 ) (9,175 ) (13,071 ) (36,804 ) (61,700 ) Unamortized discount, net (30,401 ) (27,533 ) (75,658 ) (139,527 ) (273,119 ) Amortized cost 249,870 146,011 104,492 359,180 859,553 Gross unrealized gains 31,196 20,550 64,592 68,519 184,857 Gross unrealized losses (2,106 ) (185 ) — (661 ) (2,952 ) Carrying Value $ 278,960 $ 166,376 $ 169,084 $ 427,038 $ 1,041,458 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 and six months ended June 30, 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 June 30, 2015 Six Months Ended June 30, 2015 Credit Reserve Unamortized Discount, Net Credit Unamortized (In Thousands) Beginning balance $ 63,584 $ 286,382 $ 70,067 $ 296,342 Amortization of net discount — (9,324 ) — (19,162 ) Realized credit losses (2,769 ) — (5,714 ) — Acquisitions 858 3,033 858 5,705 Sales, calls, other — (6,945 ) — (13,277 ) Impairments — — — — Transfers to (release of) credit reserves, net 27 (27 ) (3,511 ) 3,511 Ending Balance $ 61,700 $ 273,119 $ 61,700 $ 273,119 |
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 June 30, 2015 and December 31, 2014 . Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) June 30, 2015 $ 98,390 $ (1,263 ) $ 97,127 $ 74,537 $ (1,689 ) $ 72,848 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 June 30, 2015 . Significant Valuation Assumptions Range for Securities June 30, 2015 Prime Non-prime Prepayment rates 8 - 16 % 8 - 12 % Projected losses 1 - 21 % 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 June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 32,949 $ 35,786 $ 33,849 $ 37,149 Additions Initial credit impairments — 190 — 261 Subsequent credit impairments — 28 — 70 Reductions Securities sold, or expected to sell (253 ) (904 ) (348 ) (904 ) Securities with no outstanding principal at period end — (844 ) (805 ) (2,320 ) Balance at End of Period $ 32,696 $ 34,256 $ 32,696 $ 34,256 |
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 and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Gross realized gains - sales $ 5,956 $ 992 $ 10,262 $ 992 Gross realized gains - calls 360 — 360 987 Gross realized losses - sales — — — — Gross realized losses - calls — — — — Total Realized Gains on Sales and Calls of AFS Securities, net $ 6,316 $ 992 $ 10,622 $ 1,979 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 101,458 $ 8,917,808 $ 81,301 $ 7,705,146 Jumbo Loans 67,004 6,148,268 57,992 5,962,784 Total Mortgage Servicing Rights $ 168,462 $ 15,066,076 $ 139,293 $ 13,667,930 |
Activity for Residential First-Lien Mortgage Servicing Rights | The following table presents activity for MSRs for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Balance at beginning of period $ 120,324 $ 64,971 $ 139,293 $ 64,824 Additions 32,463 11,807 51,217 14,666 Sales — — (18,206 ) — Changes in fair value due to: Changes in assumptions (1) 19,168 (3,553 ) 5,132 (4,678 ) Other changes (2) (3,493 ) (2,000 ) (8,974 ) (3,587 ) Balance at End of Period $ 168,462 $ 71,225 $ 168,462 $ 71,225 (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 and six months ended June 30, 2015 . (In Thousands) Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 6,002 $ 607,402 $ 7,874 $ 835,254 From loan sales 172 16,122 264 26,267 Total jumbo MSR additions 6,174 623,524 8,138 861,521 Conforming MSR additions: From loan sales $ 14,990 $ 1,348,871 $ 28,701 $ 2,701,529 From purchases 11,299 1,025,576 14,378 1,343,914 Total conforming MSR additions 26,289 2,374,447 43,079 4,045,443 Total MSR additions $ 32,463 $ 2,997,971 $ 51,217 $ 4,906,964 |
Components of Mortgage Servicing Rights Income | The following table presents the components of our MSR income. Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Servicing income Income $ 8,454 $ 4,064 $ 18,170 $ 7,697 Cost of sub-servicer (1,162 ) (288 ) (2,391 ) (603 ) Net servicing income 7,292 3,776 15,779 7,094 Market valuation changes of MSRs 15,675 (5,553 ) (3,842 ) (8,265 ) Market valuation changes of associated derivatives (1) (21,814 ) — (21,814 ) — MSR provision for repurchases (323 ) — (217 ) — MSR income (loss), net $ 830 $ (1,777 ) $ (10,094 ) $ (1,171 ) (1) In the second quarter of 2015, we began to identify specific derivatives used to hedge the exposure of our MSRs to changes in market interest rates. See Note 2 for additional detail. |
Derivative Financial Instrume39
Derivative Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 294 $ 50,000 $ — $ — TBAs 7,625 1,246,400 6,654 1,074,000 Futures — — — — Swaptions 8,726 1,185,000 7,006 575,000 Credit default index swaps 3,792 100,000 1,597 50,000 Assets - Other Derivatives Loan purchase commitments 5,006 777,361 1,160 288,467 Loan forward sale commitments 809 155,319 — — Total Assets $ 26,252 $ 3,514,080 $ 16,417 $ 1,987,467 Liabilities - Cash Flow Hedges Interest rate swaps $ (39,810 ) $ 139,500 $ (46,845 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (4,172 ) 532,500 (1,328 ) 206,000 TBAs (5,466 ) 1,290,500 (9,506 ) 1,110,000 Futures (260 ) 54,000 (372 ) 90,000 Liabilities - Other Derivatives Loan purchase commitments (4,401 ) 861,436 (41 ) 27,324 Loan forward sale commitments — — (239 ) 102,793 Total Liabilities $ (54,109 ) $ 2,877,936 $ (58,331 ) $ 1,675,617 Total Derivative Financial Instruments, Net $ (27,857 ) $ 6,392,016 $ (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 and six months ended June 30, 2015 and 2014 . Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Net interest expense on cash interest rate agreements $ (1,475 ) $ (1,490 ) $ (2,959 ) $ (2,978 ) Realized expense due to ineffective portion of cash flow hedges — — — — Realized net losses reclassified from other comprehensive income (26 ) (39 ) (57 ) (99 ) Total Interest Expense $ (1,501 ) $ (1,529 ) $ (3,016 ) $ (3,077 ) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Other Assets | Other assets at June 30, 2015 and December 31, 2014 , are summarized in the following table. (In Thousands) June 30, 2015 December 31, 2014 Margin receivable $ 71,392 $ 65,374 FHLBC stock 30,001 10,688 Pledged collateral 10,194 9,927 Guarantee asset 6,417 7,201 Investment receivable 5,378 1,103 Deposits 5,000 5,000 Fixed assets and leasehold improvements (1) 4,442 3,008 REO 4,410 4,391 Income tax receivables 3,278 175 Prepaid expenses 3,031 3,372 Other 4,077 3,657 Total Other Assets $ 147,620 $ 113,896 (1) Fixed assets and leasehold improvements have a basis of $7 million and accumulated depreciation of $4 million at June 30, 2015 . |
Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at June 30, 2015 and December 31, 2014 are summarized in the following table. (In Thousands) June 30, 2015 December 31, 2014 Accrued compensation $ 11,927 $ 19,273 Margin payable $ 10,156 $ 6,455 Guarantee obligation 6,146 7,201 Current accounts payable 5,446 2,112 Residential loan and MSR repurchase reserve 5,083 3,724 Accrued operating expenses 3,501 3,334 Legal reserve 2,000 2,000 Income tax payable 221 — Other 5,445 8,145 Total Other Liabilities $ 49,925 $ 52,244 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 by the type of collateral securing the debt. Short-Term Debt June 30, 2015 (Dollars in Thousands) Number of Facilities Outstanding Limit Maturity Collateral Type Residential loans 5 $ 776,824 $ 1,800,000 7/2015-6/2016 Commercial loans 3 96,849 450,000 9/2015-10/2016 Real estate securities 8 493,389 — 7/2015-9/2015 Total 16 $ 1,367,062 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 June 30, 2015 . June 30, 2015 (Dollars in Thousands) Amount Borrowed Weighted Average Interest Rate Weighted Average Days Until Maturity Collateral Type Residential loan collateral $ 776,824 1.73 % 233 Commercial loan collateral 96,849 3.92 % 185 Real estate securities collateral 493,389 1.43 % 22 Total Short-Term Debt $ 1,367,062 1.78 % 154 |
Remaining Maturities of Short Term Debt | The following table presents the remaining maturities of short-term debt at June 30, 2015 and December 31, 2014 . June 30, 2015 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Residential loans $ — $ — $ 776,824 $ 776,824 Commercial loans — 52,224 44,625 96,849 Real estate securities 363,099 127,864 2,426 493,389 Total Short-Term Debt $ 363,099 $ 180,088 $ 823,875 $ 1,367,062 December 31, 2014 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Residential loans $ — $ 354,064 $ 722,124 $ 1,076,188 Commercial loans — — 109,128 109,128 Real estate securities 515,552 92,957 — 608,509 Total Short-Term Debt $ 515,552 $ 447,021 $ 831,252 $ 1,793,825 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and December 31, 2014 , along with other selected information, are summarized in the following table. Asset-Backed Securities Issued June 30, 2015 (Dollars in Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Certificates with principal balance $ 1,289,032 $ 18,872 $ 69,914 $ 1,377,818 Interest-only certificates 5,011 — — 5,011 Market valuation adjustments (1) (120,707 ) — — (120,707 ) Total ABS Issued $ 1,173,336 $ 18,872 $ 69,914 $ 1,262,122 Range of weighted average interest rates, by series 0.39% to 4.33% 2.18 % 5.62 % Stated maturities 2017-2041 2046 2018 Number of series 24 1 1 (1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for additional information. December 31, 2014 (Dollars in Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Certificates with principal balance $ 1,427,056 $ 45,044 $ 83,313 $ 1,555,413 Interest-only certificates 2,079 — — 2,079 Unamortized discount (12,373 ) — — (12,373 ) Total ABS Issued $ 1,416,762 $ 45,044 $ 83,313 $ 1,545,119 Range of weighted average interest rates, by series 0.36% to 4.27% 2.16 % 5.62 % Stated maturities 2014 - 2041 2046 2018 Number of series 24 1 1 |
Summary of Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at June 30, 2015 and December 31, 2014 . Interest due on consolidated ABS issued is payable monthly. Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) June 30, 2015 December 31, 2014 Sequoia $ 797 $ 976 Residential Resecuritization 2 5 Commercial Securitization 328 390 Total Accrued Interest Payable on ABS Issued $ 1,127 $ 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 June 30, 2015 and December 31, 2014 . Collateral for Asset-Backed Securities Issued June 30, 2015 (In Thousands) Sequoia Residential Resecuritization Commercial Securitization Total Residential loans $ 1,237,114 $ — $ — $ 1,237,114 Commercial loans — — 182,184 182,184 Real estate securities — 195,278 — 195,278 Restricted cash 147 — 139 286 Accrued interest receivable 1,589 409 1,367 3,365 REO 4,409 — — 4,409 Total Collateral for ABS Issued $ 1,243,259 $ 195,687 $ 183,690 $ 1,622,636 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) | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments | The following table presents our future lease commitments at June 30, 2015 . Future Lease Commitments by Year (In Thousands) June 30, 2015 2015 (6 months) $ 1,400 2016 2,838 2017 2,879 2018 1,827 2019 1,189 2020 and thereafter 1,495 Total Lease Commitments $ 11,628 |
Equity (Tables)
Equity (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2015 and 2014 . Changes in Accumulated Other Comprehensive Income by Component Three Months Ended June 30, 2015 Three Months Ended June 30, 2014 (In Thousands) Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Balance at beginning of period $ 190,100 $ (54,460 ) $ 185,275 $ (24,623 ) Other comprehensive income (loss) before reclassifications (5,080 ) 15,469 12,721 (5,401 ) Amounts reclassified from other accumulated comprehensive income (5,361 ) 26 (454 ) 39 Net current-period other comprehensive income (loss) (10,441 ) 15,495 12,267 (5,362 ) Balance at End of Period $ 179,659 $ (38,965 ) $ 197,542 $ (29,985 ) Six Months Ended June 30, 2015 Six Months Ended June 30, 2014 (In Thousands) Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Net unrealized gains on available-for-sale securities Net unrealized losses on interest rate agreements accounted for as cash flow hedges Balance at beginning of period $ 186,737 $ (46,049 ) $ 164,654 $ (15,888 ) Other comprehensive income (loss) (28 ) 7,026 33,229 (14,196 ) Amounts reclassified from other (7,050 ) 58 (341 ) 99 Net current-period other comprehensive income (loss) (7,078 ) 7,084 32,888 (14,097 ) Balance at End of Period $ 179,659 $ (38,965 ) $ 197,542 $ (29,985 ) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and six months ended June 30, 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 June 30, (In Thousands) Income Statement 2015 2014 Net realized gains (losses) on AFS securities Other than temporary impairment Mortgage banking and investment activities, net $ — $ 264 Gain on sale of AFS securities Realized gains, net (5,361 ) (718 ) $ (5,361 ) $ (454 ) Net realized gains on interest rate Amortization of deferred loss Interest expense $ 26 $ 39 $ 26 $ 39 Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Six Months Ended June 30, (In Thousands) Income Statement 2015 2014 Net realized gains (losses) on AFS securities Other than temporary impairment Mortgage banking and investment activities, net $ — $ 377 Gain on sale of AFS securities Realized gains, net (7,050 ) (718 ) $ (7,050 ) $ (341 ) Net realized gains on interest rate Amortization of deferred loss Interest expense $ 58 $ 99 $ 58 $ 99 |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2015 and 2014 . Basic and Diluted Earnings Per Common Share Three Months Ended June 30, Six Months Ended June 30, (In Thousands, Except Share Data) 2015 2014 2015 2014 Basic Earnings Per Common Share: Net income attributable to Redwood $ 27,064 $ 16,017 $ 41,865 $ 28,350 Less: Dividends and undistributed earnings allocated to participating securities (642 ) (537 ) (1,375 ) (1,239 ) Net income allocated to common shareholders $ 26,422 $ 15,480 $ 40,490 $ 27,111 Basic weighted average common shares outstanding 83,936,844 82,740,012 83,650,170 82,575,636 Basic Earnings Per Common Share $ 0.31 $ 0.19 $ 0.48 $ 0.33 Diluted Earnings Per Common Share: Net income attributable to Redwood $ 27,064 $ 16,017 $ 41,865 $ 28,350 Less: Dividends and undistributed earnings allocated to participating securities (619 ) (537 ) (1,375 ) (1,239 ) Add back: Interest expense on convertible notes for the period, net of tax 2,789 — — — Net income allocated to common shareholders $ 29,234 $ 15,480 $ 40,490 $ 27,111 Weighted average common shares outstanding 83,936,844 82,740,012 83,650,170 82,575,636 Net effect of dilutive equity awards 1,546,038 2,292,986 1,823,735 2,418,685 Net effect of assumed convertible notes conversion to common shares 9,466,859 — — — Diluted weighted average common shares outstanding 94,949,741 85,032,998 85,473,905 84,994,321 Diluted Earnings Per Common Share $ 0.31 $ 0.18 $ 0.47 $ 0.32 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 6 Months Ended |
Jun. 30, 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 $22 million at June 30, 2015 , as shown in the following table. Six Months Ended June 30, 2015 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 1,091 $ 12,304 $ 6,874 $ — $ 20,269 Equity grants 2,709 5,923 — 236 8,868 Equity grant forfeitures (387 ) — — — (387 ) Equity compensation expense (521 ) (3,931 ) (1,709 ) (116 ) (6,277 ) Unrecognized Compensation Cost at End of Period $ 2,892 $ 14,296 $ 5,165 $ 120 $ 22,473 |
Mortgage Banking and Investme46
Mortgage Banking and Investment Activities (Tables) | 6 Months Ended |
Jun. 30, 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 and investment activities, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Residential mortgage banking activities, net: Changes in fair value of: Residential loans, at fair value (1) $ (2,122 ) $ 17,575 $ 18,192 $ 24,709 Real estate securities (2) — (8,810 ) (14,359 ) (13,087 ) Risk management derivatives (3) 2,752 (7,858 ) (1,619 ) (12,136 ) Hedging allocation (2) 2,803 — 2,803 — Other income, net (4) 1,400 435 2,035 790 Total residential mortgage banking activities, net: 4,833 1,342 7,052 276 Commercial mortgage banking activities, net: Changes in fair value of: Commercial loans, at fair value 987 5,714 6,844 9,340 Risk management derivatives (3) 1,463 (816 ) (4,750 ) (3,619 ) Other fee income 164 83 227 93 Total commercial mortgage banking activities, net: 2,614 4,981 2,321 5,814 Investment activities, net Changes in fair value of: Residential loans held-for-investment, at Redwood (5,885 ) — (3,907 ) — Real estate securities 6,927 (186 ) 7,197 (453 ) Net investments in consolidated Sequoia entities (684 ) (321 ) (1,777 ) (464 ) Risk sharing investments 228 — (702 ) — Risk management derivatives 429 (3,627 ) (944 ) (9,354 ) Hedging allocation (2) (2,803 ) — (2,803 ) — Total investment activities: (1,788 ) (4,134 ) (2,936 ) (10,271 ) Mortgage banking and investment activities, net $ 5,659 $ 2,189 $ 6,437 $ (4,181 ) (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) In the second quarter of 2015, we transferred securities previously utilized as hedges for our mortgage banking segment to our residential investments segment and began to record a hedging allocation between our business segments. See Note 21 for further discussion. (3) Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. (4) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Operating Expenses (Tables)
Operating Expenses (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of our operating expenses for the three and six months ended June 30, 2015 and 2014 are presented in the following table. Operating Expenses Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2015 2014 2015 2014 Fixed compensation expense $ 9,286 $ 6,872 $ 18,441 $ 13,664 Variable compensation expense 3,578 3,243 7,569 5,974 Equity compensation expense 3,539 2,824 6,277 5,154 Total compensation expense 16,403 12,939 32,287 24,792 Systems and consulting 2,242 3,977 4,364 7,443 Accounting and legal 1,130 1,183 2,707 2,816 Office costs 1,366 1,170 2,598 2,155 Corporate costs 512 558 1,037 1,111 Other operating expenses 3,565 2,455 7,288 3,937 Total Operating Expenses $ 25,218 $ 22,282 $ 50,281 $ 42,254 |
Taxes (Tables)
Taxes (Tables) | 6 Months Ended |
Jun. 30, 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 June 30, 2015 and 2014 . Reconciliation of Statutory Tax Rate to Effective Tax Rate June 30, 2015 June 30, 2014 Federal statutory rate 34.0 % 34.0 % State statutory rate, net of Federal tax effect 7.2 % 7.2 % Differences in taxable (loss) income from GAAP income (15.6 )% (2.5 )% Change in valuation allowance 1.6 % 1.2 % Dividends paid deduction (34.6 )% (45.5 )% Effective Tax Rate (7.4 )% (5.6 )% |
Segment Information (Tables)
Segment Information (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Financial Information by Segment | The following tables present financial information by segment for the three and six months ended June 30, 2015 and 2014 . Business Segment Financial Information Three Months Ended June 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total Interest income $ 9,976 $ 34,249 $ 12,679 $ 6,469 $ 63,373 Interest expense (3,298 ) (2,660 ) (3,497 ) (13,553 ) (23,008 ) Net interest income (loss) 6,678 31,589 9,182 (7,084 ) 40,365 Reversal of provision for loan losses — — 261 — 261 Non-interest income Mortgage banking and investment activities, net (1) 4,833 (1,104 ) 2,614 (684 ) 5,659 MSR income (loss), net — 830 — — 830 Other income — 1,299 — — 1,299 Realized gains, net — 6,316 — — 6,316 Total non-interest income, net 4,833 7,341 2,614 (684 ) 14,104 Direct operating expenses (11,033 ) (1,171 ) (3,020 ) (9,994 ) (25,218 ) (Provision for) benefit from income taxes 865 (3,768 ) (143 ) 598 (2,448 ) Segment Contribution $ 1,343 $ 33,991 $ 8,894 $ (17,164 ) Net Income $ 27,064 Non-cash amortization income (expense) (44 ) 9,324 (78 ) (995 ) 8,207 Hedging allocations (1) 2,803 (2,753 ) — (50 ) — Three Months Ended June 30, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total Interest income $ 12,438 $ 27,924 $ 11,217 $ 6,414 $ 57,993 Interest expense (2,161 ) (3,116 ) (4,404 ) (11,470 ) (21,151 ) Net interest income (loss) 10,277 24,808 6,813 (5,056 ) 36,842 Reversal of provision (provision) for loan losses — — (289 ) 604 315 Non-interest income Mortgage banking and investment activities, net 1,342 (3,788 ) 4,981 (346 ) 2,189 MSR income (loss), net — (1,777 ) — — (1,777 ) Other income — — — — — Realized gains, net — 992 — 71 1,063 Total non-interest income, net 1,342 (4,573 ) 4,981 (275 ) 1,475 Direct operating expenses (9,501 ) (770 ) (2,180 ) (9,831 ) (22,282 ) (Provision for) benefit from income taxes 259 149 (750 ) 9 (333 ) Segment Contribution $ 2,377 $ 19,614 $ 8,575 $ (14,549 ) Net Income $ 16,017 Non-cash amortization income (expense) (36 ) 10,586 (215 ) (2,073 ) 8,262 Six Months Ended June 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Total Interest income $ 25,771 $ 64,261 $ 23,593 $ 13,494 $ 127,119 Interest expense (7,076 ) (5,469 ) (6,986 ) (27,438 ) (46,969 ) Net interest income (loss) 18,695 58,792 16,607 (13,944 ) 80,150 Reversal of provision for loan losses — — 55 — 55 Non-interest income Mortgage banking and investment activities, net (1) 7,052 (1,123 ) 2,321 (1,813 ) 6,437 MSR income (loss), net — (10,094 ) — — (10,094 ) Other income 2,108 2,108 Realized gains, net — 10,622 — — 10,622 Total non-interest income, net 7,052 1,513 2,321 (1,813 ) 9,073 Direct operating expenses (21,936 ) (2,289 ) (6,502 ) (19,554 ) (50,281 ) (Provision for) benefit from income taxes 872 (258 ) 710 1,544 2,868 Segment Contribution $ 4,683 $ 57,758 $ 13,191 $ (33,767 ) Net Income $ 41,865 Non-cash amortization income (expense) (90 ) 19,162 (128 ) (1,976 ) 16,968 Hedging allocations (1) 2,803 (2,753 ) — (50 ) — Six Months Ended June 30, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Total Interest income $ 23,104 $ 55,519 $ 21,601 $ 13,245 $ 113,469 Interest expense (3,482 ) (5,966 ) (7,708 ) (23,055 ) (40,211 ) Net interest income (loss) 19,622 49,553 13,893 (9,810 ) 73,258 Provision for loan losses — — (944 ) (23 ) (967 ) Non-interest income Mortgage banking and investment activities, net 276 (9,746 ) 5,814 (525 ) (4,181 ) MSR income (loss), net — (1,171 ) — — (1,171 ) Other income — — — — — Realized gains, net — 1,979 — 176 2,155 Total non-interest income, net 276 (8,938 ) 5,814 (349 ) (3,197 ) Direct operating expenses (16,595 ) (1,865 ) (4,806 ) (18,988 ) (42,254 ) (Provision for) benefit from income taxes 94 1,676 (395 ) 135 1,510 Segment Contribution $ 3,397 $ 40,426 $ 13,562 $ (29,035 ) Net Income $ 28,350 Non-cash amortization income (expense) (88 ) 21,833 (388 ) (4,019 ) 17,338 (1) Intersegment hedging allocation presented in the tables above is included in the mortgage banking and investment activities, net line item of the segment income statements for the three and six months ended June 30, 2015. The following tables present the components of Corporate/Other for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 2014 (In Thousands) Legacy Consolidated VIEs Other Total Legacy Consolidated VIEs Other Total Interest income $ 6,462 $ 7 $ 6,469 $ 6,411 $ 3 $ 6,414 Interest expense (4,048 ) (9,505 ) (13,553 ) (5,240 ) (6,230 ) (11,470 ) Net interest income (loss) 2,414 (9,498 ) (7,084 ) 1,171 (6,227 ) (5,056 ) Reversal of provision for loan losses — — — 604 — 604 Non-interest income Mortgage banking and investment activities, net (684 ) — (684 ) (321 ) (25 ) (346 ) MSR income (loss), net — — — — — — Realized gains, net — — — 71 — 71 Total non-interest income, net (684 ) — (684 ) (250 ) (25 ) (275 ) Direct operating expenses — (9,994 ) (9,994 ) (42 ) (9,789 ) (9,831 ) Benefit from income taxes — 598 598 — 9 9 Total $ 1,730 $ (18,894 ) $ (17,164 ) $ 1,483 $ (16,032 ) $ (14,549 ) Six Months Ended June 30, 2015 2014 (In Thousands) Legacy Consolidated VIEs Other Total Legacy Consolidated VIEs Other Total Interest income $ 13,480 $ 14 $ 13,494 $ 13,240 $ 5 $ 13,245 Interest expense (8,530 ) (18,908 ) (27,438 ) (10,699 ) (12,356 ) (23,055 ) Net interest income (loss) 4,950 (18,894 ) (13,944 ) 2,541 (12,351 ) (9,810 ) Provision for loan losses — — — (23 ) — (23 ) Non-interest income Mortgage banking and investment activities, net (1,777 ) (36 ) (1,813 ) (464 ) (61 ) (525 ) MSR income (loss), net — — — — — — Realized gains, net — — — 176 — 176 Total non-interest income, net (1,777 ) (36 ) (1,813 ) (288 ) (61 ) (349 ) Direct operating expenses — (19,554 ) (19,554 ) (94 ) (18,894 ) (18,988 ) Benefit from income taxes — 1,544 1,544 — 135 135 Total $ 3,173 $ (36,940 ) $ (33,767 ) $ 2,136 $ (31,171 ) $ (29,035 ) |
Supplemental Information by Segment | The following table presents supplemental information by segment at June 30, 2015 and December 31, 2014 . Supplemental Disclosures (In Thousands) Residential Mortgage Banking Residential Investments Commercial Mortgage Banking and Investments Corporate/ Other Total June 30, 2015 Residential loans $ 892,081 $ 1,157,285 $ — $ 1,237,114 $ 3,286,480 Commercial loans — — 551,331 — 551,331 Real estate securities — 1,157,599 — — 1,157,599 Mortgage servicing rights — 168,462 — — 168,462 Total assets 938,720 2,559,481 560,956 1,536,727 5,595,884 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) - Jun. 30, 2015 - Segment | Total |
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 Accoun51
Summary of Significant Accounting Policies - Effect of ASU 2014-13 on Balance Sheet (Details) - USD ($) $ in Thousands | Dec. 31, 2014 | Jun. 30, 2015 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cumulative adjustment - adoption of ASU 2014-13 | [1] | $ 9,728 | |
Residential loans | 3,398,573 | $ 3,286,480 | |
Other assets | [2] | 113,896 | 147,620 |
Total Assets | [2] | 5,918,966 | 5,595,884 |
ABS issued principal | [2],[3] | 1,545,119 | 1,262,122 |
Total liabilities | [2] | 4,662,825 | 4,331,100 |
Residential Loans Held for Investment | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Loan Principal | 1,483,213 | 1,343,333 | |
Residential loans | 1,474,386 | $ 1,237,114 | |
Variable Interest Entity, Primary Beneficiary | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Loan Principal | 1,486,000 | ||
Loan unamortized premium | 0 | ||
Allowance for loan losses | 0 | ||
Loan market valuation adjustment | (113,000) | ||
Deferred bond issuance costs | 0 | ||
Other assets | 5,000 | ||
Total Assets | 1,377,000 | ||
ABS issued principal | 1,428,000 | ||
ABS issued unamortized discount | 0 | ||
Asset Backed Securities, Valuation Adjustment | (125,000) | ||
Total liabilities | 1,303,000 | ||
Redwood's investment in consolidated Sequoia entities | 74,000 | ||
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 | ||
Variable Interest Entity, Primary Beneficiary | Previously Reported | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Loan Principal | 1,486,000 | ||
Loan unamortized premium | 13,000 | ||
Allowance for loan losses | (21,000) | ||
Deferred bond issuance costs | 1,000 | ||
Other assets | 5,000 | ||
Total Assets | 1,482,000 | ||
ABS issued principal | 1,428,000 | ||
ABS issued unamortized discount | (10,000) | ||
Total liabilities | 1,418,000 | ||
Redwood's investment in consolidated Sequoia entities | 64,000 | ||
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 | ||
Variable Interest Entity, Primary Beneficiary | Restatement Adjustment | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Loan market valuation adjustment | 0 | ||
Asset Backed Securities, Valuation Adjustment | 0 | ||
Accounting Standards Update 2014-13 | Variable Interest Entity, Primary Beneficiary | Restatement Adjustment | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Loan Principal | 0 | ||
Loan unamortized premium | (13,000) | ||
Allowance for loan losses | 21,000 | ||
Loan market valuation adjustment | (113,000) | ||
Deferred bond issuance costs | (1,000) | ||
Other assets | 0 | ||
Total Assets | (105,000) | ||
ABS issued principal | 0 | ||
ABS issued unamortized discount | 10,000 | ||
Asset Backed Securities, Valuation Adjustment | (125,000) | ||
Total liabilities | (115,000) | ||
Redwood's investment in consolidated Sequoia entities | 10,000 | ||
Accounting Standards Update 2014-13 | Variable Interest Entity, Primary Beneficiary | Restatement Adjustment | Residential Loans Held for Investment | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Residential loans | (105,000) | ||
Retained Earnings | Accounting Standards Update 2014-13 | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cumulative adjustment - adoption of ASU 2014-13 | [1] | $ 9,728 | |
[1] | On January 1, 2015, we adopted ASU 2014-13. See Note 3 for further discussion. | ||
[2] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. | ||
[3] | 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 $1,474,386 at historical cost. See Note 3 for further discussion. |
Summary of Significant Accoun52
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | $ 20,436 | $ 15,257 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 20,436 | 15,257 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (8,294) | (6,975) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (6,385) | (4,735) |
Net Amount | 5,757 | 3,547 |
Gross Amounts of Recognized Liabilities | (1,416,770) | (1,851,876) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (1,416,770) | (1,851,876) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,375,356 | 1,800,800 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 40,618 | 50,100 |
Net Amount | (796) | (976) |
Interest rate agreements | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 9,017 | 7,006 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 9,017 | 7,006 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (3,555) | (1,160) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,822) | (4,360) |
Net Amount | 640 | 1,486 |
Gross Amounts of Recognized Liabilities | (43,982) | (48,173) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (43,982) | (48,173) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 3,555 | 1,160 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 40,018 | 47,013 |
Net Amount | (409) | 0 |
Credit Default Index Swaps | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 3,792 | 1,598 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 3,792 | 1,598 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | 0 | (375) |
Net Amount | 3,792 | 1,223 |
TBAs | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 7,627 | 6,653 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 7,627 | 6,653 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (4,739) | (5,815) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (1,563) | 0 |
Net Amount | 1,325 | 838 |
Gross Amounts of Recognized Liabilities | (5,466) | (9,506) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (5,466) | (9,506) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 4,739 | 5,815 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 340 | 2,715 |
Net Amount | (387) | (976) |
Futures | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | (260) | (372) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (260) | (372) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 260 | 372 |
Net Amount | 0 | 0 |
Loan warehouse debt | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | (873,673) | (1,185,316) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (873,673) | (1,185,316) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 873,673 | 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 | (493,389) | (608,509) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (493,389) | (608,509) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 493,389 | 608,509 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Detail) | 42 Months Ended |
Jun. 30, 2015Entity | |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of securitization entities to which asset transferred | 25 |
Principles of Consolidation -54
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Detail) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015USD ($)Investment | Dec. 31, 2014USD ($) | |
Variable Interest Entity [Line Items] | ||
Assets | $ 1,622,636 | $ 1,900,208 |
Liabilities | $ 1,263,249 | $ 1,546,490 |
Number of VIEs | Investment | 26 | |
Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 1,243,259 | |
Liabilities | $ 1,174,133 | |
Number of VIEs | Investment | 24 | |
Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 195,687 | |
Liabilities | $ 18,874 | |
Number of VIEs | Investment | 1 | |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 183,690 | |
Liabilities | $ 70,242 | |
Number of VIEs | Investment | 1 | |
Residential Loans Held for Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 1,237,114 | |
Residential Loans Held for Investment | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,237,114 | |
Commercial Loans Held For Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 182,184 | |
Commercial Loans Held For Investment | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 182,184 | |
Real Estate Securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 195,278 | |
Real Estate Securities | Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Assets | 195,278 | |
Restricted Cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 286 | |
Restricted Cash | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 147 | |
Restricted Cash | Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Restricted Cash | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 139 | |
Accrued Interest Receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,365 | |
Accrued Interest Receivable | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,589 | |
Accrued Interest Receivable | Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Assets | 409 | |
Accrued Interest Receivable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,367 | |
Other Assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,409 | |
Other Assets | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,409 | |
Other Assets | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Accrued Interest Payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,127 | |
Accrued Interest Payable | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 797 | |
Accrued Interest Payable | Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 2 | |
Accrued Interest Payable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 328 | |
Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,262,122 | |
Asset-backed Securities | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,173,336 | |
Asset-backed Securities | Residential Resecuritization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 18,872 | |
Asset-backed Securities | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 69,914 |
Principles of Consolidation - S
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Variable Interest Entity [Line Items] | ||||
MSRs recognized | $ 36,834 | $ 11,976 | ||
Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance of loans transferred | $ 699,655 | $ 347,305 | 1,038,451 | 347,305 |
MSRs recognized | 6,002 | 2,186 | 7,874 | 2,186 |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | 29,966 | 69,563 | 33,389 | 69,563 |
Variable Interest Entity, Not Primary Beneficiary | Available-for-sale Securities | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | $ 3,450 | $ 20,428 | $ 6,309 | $ 20,428 |
Principles of Consolidation - C
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Variable Interest Entity [Line Items] | ||||
Proceeds from new transfers | $ 676,596 | $ 267,776 | $ 1,018,312 | $ 267,776 |
MSR fees received | 3,700 | 3,624 | 7,470 | 7,047 |
Funding of compensating interest | (107) | (43) | (197) | (76) |
Cash flows received on retained securities | $ 10,706 | $ 15,924 | $ 23,351 | $ 28,227 |
Principles of Consolidation - M
Principles of Consolidation - Mortgage Servicing Rights Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
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% | 0.25% | 0.25% | 0.25% |
Senior 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% | 0.25% | 0.25% | 0.25% |
Variable Interest Entity, Not Primary Beneficiary | Subordinate Securities | ||||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||||
Prepayment rate | 8.00% | 10.00% | 8.00% | 10.00% |
Discount rates | 6.00% | 5.00% | 6.00% | 5.00% |
Variable Interest Entity, Not Primary Beneficiary | Senior Securities | ||||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||||
Prepayment rate | 8.00% | 10.00% | 8.00% | 10.00% |
Discount rates | 3.00% | 3.00% | 3.00% | 3.00% |
Variable Interest Entity, Not Primary Beneficiary | Mortgage servicing rights | ||||
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% | 11.00% | 11.00% | 11.00% |
Variable Interest Entity, Not Primary Beneficiary | Mortgage servicing rights | Minimum | ||||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||||
Prepayment rate | 5.00% | 5.00% | 5.00% | 5.00% |
Variable Interest Entity, Not Primary Beneficiary | Mortgage servicing rights | Maximum | ||||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||||
Prepayment rate | 13.00% | 15.00% | 15.00% | 15.00% |
Principles of Consolidation -58
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 432,298 | $ 611,593 |
Principal balance of loans outstanding | 7,570,297 | 7,276,825 |
Principal balance of delinquent loans 30+ days delinquent | 17,646 | 17,022 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 72,505 | 93,802 |
Senior and subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 294,040 | 460,990 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 65,753 | $ 56,801 |
Principles of Consolidation - K
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 ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 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 | $ 65,753 | $ 56,801 |
Expected life (in years) | 8 years | 7 years |
Prepayment speed assumption (annual CPR) | 10.00% | 14.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,780 | $ 2,419 |
25% adverse change | $ 6,242 | $ 5,639 |
Discount rate assumption | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 3,004 | $ 2,104 |
200 basis point increase | 5,514 | 4,102 |
Senior 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 | $ 62,427 | $ 93,802 |
Expected life (in years) | 7 years | 6 years |
Prepayment speed assumption (annual CPR) | 10.00% | 9.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,920 | $ 3,999 |
25% adverse change | $ 4,543 | $ 9,475 |
Discount rate assumption | 9.00% | 8.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 2,689 | $ 4,214 |
200 basis point increase | $ 5,166 | $ 8,091 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 241 | $ 126 |
25% higher losses | 316 | 299 |
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 | 40,000 | 88,000 |
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 | $ 304,118 | $ 460,990 |
Expected life (in years) | 12 years | 10 years |
Prepayment speed assumption (annual CPR) | 11.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | $ 825 | $ 684 |
25% adverse change | $ 2,114 | $ 2,355 |
Discount rate assumption | 6.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 24,530 | $ 34,149 |
200 basis point increase | $ 45,844 | $ 64,474 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 19,746 | $ 3,169 |
25% higher losses | $ 24,061 | $ 7,841 |
Principles of Consolidation -60
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Detail) - Real Estate Securities $ in Thousands | Jun. 30, 2015USD ($) |
Variable Interest Entity [Line Items] | |
Assets | $ 791,053 |
Senior | |
Variable Interest Entity [Line Items] | |
Assets | 452,041 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 169,084 |
Subordinate | |
Variable Interest Entity [Line Items] | |
Assets | $ 169,928 |
Fair Value of Financial Instr61
Fair Value of Financial Instruments - Additional Information (Detail) - Jun. 30, 2015 - USD ($) $ in Millions | Total | Total |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Dealer marks of securities | 81.00% | 81.00% |
Percentage of carrying value for which dealer quotes have been received | 92.00% | 92.00% |
Residential Subordinate Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 36 | $ 59 |
Residential Senior Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 33 | 33 |
Residential Loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 2,780 | 5,180 |
Commercial Loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 258 | 350 |
Mortgage servicing rights | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 32 | $ 51 |
Mortgage servicing rights | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Percentage difference of internal valuation than dealer marks | 1.00% | 1.00% |
Fair Value of Financial Instr62
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets | |||
Trading securities | $ 116,141 | $ 111,606 | |
Available-for-sale securities | 1,041,458 | 1,267,624 | |
MSRs | [1] | 168,462 | 139,293 |
Derivative assets | [1] | 26,252 | 16,417 |
Pledged collateral | 10,194 | 9,927 | |
Liabilities | |||
Derivative liabilities | [1] | 54,109 | 58,331 |
Long/Other Long-term debt | 65,232 | 66,707 | |
Carrying Value | |||
Assets | |||
Trading securities | 116,141 | 111,606 | |
Available-for-sale securities | 1,041,458 | 1,267,624 | |
MSRs | 168,462 | 139,293 | |
Cash and cash equivalents | 226,426 | 269,730 | |
Restricted cash | 2,389 | 628 | |
Accrued interest receivable | 16,151 | 18,222 | |
Derivative assets | 26,252 | 16,417 | |
REO | 4,410 | 4,391 | |
Margin receivable | 71,392 | 65,374 | |
FHLBC stock | 30,001 | 10,688 | |
Guarantees asset | 6,417 | 7,201 | |
Pledged collateral | 10,194 | 9,927 | |
Liabilities | |||
Short-term debt | 1,367,062 | 1,793,825 | |
Accrued interest payable | 8,291 | 8,502 | |
Guarantee obligation | 6,146 | 7,201 | |
Derivative liabilities | 54,109 | 58,331 | |
ABS issued, Fair value | 1,173,336 | 0 | |
ABS issued, Amortized cost | 88,786 | 1,545,119 | |
FHLBC Borrowings | 882,122 | 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 | 890,623 | 1,341,032 | |
Carrying Value | Residential Loans at Lower of Cost or Fair Value | |||
Assets | |||
Loans, held-for-sale | 1,458 | 1,488 | |
Carrying Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans, held-for-investment | 2,394,399 | 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 | 165,853 | 166,234 | |
Carrying Value | Commercial Loans Held For Investment | |||
Assets | |||
Loans, held-for-investment | 69,763 | 71,262 | |
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans, held-for-investment | 315,715 | 329,431 | |
Carrying Value | Commercial Secured Borrowings | |||
Liabilities | |||
Long/Other Long-term debt | 65,232 | 66,707 | |
Fair Value | |||
Assets | |||
Trading securities | 116,141 | 111,606 | |
Available-for-sale securities | 1,041,458 | 1,267,624 | |
MSRs | 168,462 | 139,293 | |
Cash and cash equivalents | 226,426 | 269,730 | |
Restricted cash | 2,389 | 628 | |
Accrued interest receivable | 16,151 | 18,222 | |
Derivative assets | 26,252 | 16,417 | |
REO | 5,081 | 4,703 | |
Margin receivable | 71,392 | 65,374 | |
FHLBC stock | 30,001 | 10,688 | |
Guarantees asset | 6,417 | 7,201 | |
Pledged collateral | 10,194 | 9,927 | |
Liabilities | |||
Short-term debt | 1,367,062 | 1,793,825 | |
Accrued interest payable | 8,291 | 8,502 | |
Guarantee obligation | 6,417 | 7,201 | |
Derivative liabilities | 54,109 | 58,331 | |
ABS issued, Fair value | 1,173,336 | 0 | |
ABS issued, Amortized cost | 89,231 | 1,446,605 | |
FHLBC Borrowings | 882,122 | 495,860 | |
Convertible notes | 475,700 | 492,188 | |
Long/Other Long-term debt | 101,138 | 101,835 | |
Fair Value | Residential Loans at Fair Value | |||
Assets | |||
Loans, held-for-sale | 890,623 | 1,341,032 | |
Fair Value | Residential Loans at Lower of Cost or Fair Value | |||
Assets | |||
Loans, held-for-sale | 1,655 | 1,669 | |
Fair Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans, held-for-investment | 2,394,399 | 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 | 165,853 | 166,234 | |
Fair Value | Commercial Loans Held For Investment | |||
Assets | |||
Loans, held-for-investment | 69,763 | 71,262 | |
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans, held-for-investment | 321,038 | 334,876 | |
Fair Value | Commercial Secured Borrowings | |||
Liabilities | |||
Long/Other Long-term debt | $ 65,232 | $ 66,707 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr63
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets | |||
Trading securities | $ 116,141 | $ 111,606 | |
Available-for-sale securities | 1,041,458 | 1,267,624 | |
Derivative assets | [1] | 26,252 | 16,417 |
MSRs | [1] | 168,462 | 139,293 |
Pledged collateral | 10,194 | 9,927 | |
Liabilities | |||
Derivative liabilities | [1] | 54,109 | 58,331 |
Commercial secured borrowings | 65,232 | $ 66,707 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Trading securities | 116,141 | ||
Available-for-sale securities | 1,041,458 | ||
Derivative assets | 26,252 | ||
MSRs | 168,462 | ||
Pledged collateral | 10,194 | ||
FHLBC stock | 30,001 | ||
Guarantees asset | 6,417 | ||
Liabilities | |||
Derivative liabilities | 54,109 | ||
Commercial secured borrowings | 65,232 | ||
ABS issued | 1,173,336 | ||
Fair Value, Measurements, Recurring | Residential Loans at Fair Value | |||
Assets | |||
Loans at fair value | 3,285,022 | ||
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value | |||
Assets | |||
Loans at fair value | 235,616 | ||
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Derivative assets | 7,625 | ||
Pledged collateral | 10,194 | ||
FHLBC stock | 30,001 | ||
Liabilities | |||
Derivative liabilities | 5,726 | ||
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Derivative assets | 13,621 | ||
Liabilities | |||
Derivative liabilities | 43,983 | ||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans at Fair Value | |||
Assets | |||
Loans at fair value | 248,157 | ||
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Trading securities | 116,141 | ||
Available-for-sale securities | 1,041,458 | ||
Derivative assets | 5,006 | ||
MSRs | 168,462 | ||
Guarantees asset | 6,417 | ||
Liabilities | |||
Derivative liabilities | 4,400 | ||
Commercial secured borrowings | 65,232 | ||
ABS issued | 1,173,336 | ||
Fair Value, Measurements, Recurring | Level 3 | Residential Loans at Fair Value | |||
Assets | |||
Loans at fair value | 3,036,865 | ||
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value | |||
Assets | |||
Loans at fair value | $ 235,616 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr64
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) $ in Thousands | 6 Months Ended |
Jun. 30, 2015USD ($) | |
Commercial Secured Borrowings | |
Liabilities | |
Beginning balance | $ 66,707 |
Principal paydowns | (295) |
Gains (losses) in net income, net | (1,204) |
Unrealized gains in OCI, net | 0 |
Acquisitions | 0 |
Sales | 0 |
Other settlements, net | 24 |
Ending balance | 65,232 |
Asset-backed Securities | |
Liabilities | |
Transfer to FVO | 1,302,216 |
Principal paydowns | (135,799) |
Gains (losses) in net income, net | 6,498 |
Other settlements, net | 421 |
Ending balance | 1,173,336 |
Residential Loans at Fair Value | |
Assets | |
Beginning balance | 1,677,984 |
Transfer to FVO | 1,370,699 |
Principal paydowns | (247,699) |
Gains (losses) in net income, net | 6,661 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 2,519,029 |
Sales | (2,273,308) |
Other settlements, net | (3,179) |
Ending balance | 3,036,865 |
Commercial Loans | |
Assets | |
Beginning balance | 237,496 |
Principal paydowns | (463) |
Gains (losses) in net income, net | (5,640) |
Unrealized gains in OCI, net | 0 |
Acquisitions | 350,384 |
Sales | (357,441) |
Ending balance | 235,616 |
Trading Securities | |
Assets | |
Beginning balance | 111,606 |
Principal paydowns | (827) |
Gains (losses) in net income, net | 7,187 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 92,006 |
Sales | (79,457) |
Ending balance | 116,141 |
Available-for-sale Securities | |
Assets | |
Beginning balance | 1,267,624 |
Principal paydowns | (61,265) |
Gains (losses) in net income, net | (29,424) |
Unrealized gains in OCI, net | 7,050 |
Acquisitions | 14,788 |
Sales | (202,423) |
Other settlements, net | 360 |
Ending balance | 1,041,458 |
Mortgage servicing rights | |
Assets | |
Beginning balance | 139,293 |
Gains (losses) in net income, net | 3,842 |
Unrealized gains in OCI, net | 0 |
Acquisitions | 51,217 |
Sales | (18,206) |
Ending balance | 168,462 |
Guarantee Asset | |
Assets | |
Beginning balance | 7,201 |
Gains (losses) in net income, net | 855 |
Other settlements, net | 71 |
Ending balance | 6,417 |
Loan Purchase Commitments | |
Assets | |
Beginning balance | 1,119 |
Gains (losses) in net income, net | (23,321) |
Other settlements, net | (23,834) |
Ending balance | $ 606 |
Fair Value of Financial Instr65
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 ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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 | $ 1,707 | $ 1,707 | ||
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 | $ 2,713 | 1,759 | $ 1,204 | 1,759 |
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 | (3,552) | (6,498) | ||
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 | (7,508) | 11,755 | (5,441) | 11,964 |
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 | 2,476 | 0 | 5,331 | 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 | 228 | 0 | (700) | 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 | (1,565) | 2,008 | (56) | 2,008 |
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 | 4,601 | (9,257) | (5,254) | (13,688) |
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 | (264) | 0 | (377) |
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 | 21,296 | $ (4,974) | 10,277 | $ (7,236) |
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 | $ (3,810) | $ (1,826) |
Fair Value of Financial Instr66
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Detail) - Jun. 30, 2015 - Fair Value, Measurements, Nonrecurring - USD ($) $ in Thousands | Total | Total |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Residential loans, at lower of cost or fair value | $ 1,102 | $ 1,102 |
REO | 1,017 | 1,017 |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Residential loans, at lower of cost or fair value | 1,102 | 1,102 |
REO | 1,017 | 1,017 |
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 | 1 | 1 |
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 | $ (170) | $ (175) |
Fair Value of Financial Instr67
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | $ 830 | $ (1,777) | $ (10,094) | $ (1,171) |
Total Market gains and losses, net | (2,043) | (3,881) | (21,478) | (13,329) |
Mortgage banking and investment activities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 4,096 | 1,672 | 4,178 | (5,064) |
Mortgage banking and investment activities | Residential Loans at Fair Value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (3,176) | 13,994 | (1,118) | 21,119 |
Mortgage banking and investment activities | Consolidated Sequoia entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (684) | (321) | (1,777) | (464) |
Mortgage banking and investment activities | Residential Loans Held for Investment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (5,885) | 0 | (3,907) | 0 |
Mortgage banking and investment activities | Commercial Loans at Fair Value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 987 | 5,714 | 6,845 | 9,340 |
Mortgage banking and investment activities | Trading securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 6,927 | (8,733) | (7,162) | (13,164) |
Mortgage banking and investment activities | Risk managment derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 4,645 | (12,300) | (7,311) | (25,108) |
Mortgage banking and investment activities | Impairments on AFS securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 0 | (264) | 0 | (377) |
Mortgage banking and investment activities | Guarantee asset | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 299 | 0 | (784) | 0 |
Mortgage banking and investment activities | Loan Purchase and Forward Sales Commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 1,054 | 3,582 | 19,309 | 3,590 |
Mortgage banking and investment activities | Other | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (71) | 0 | 83 | 0 |
MSR Income (loss), net, including risk management derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | (6,139) | (5,553) | (25,656) | (8,265) |
MSR Income (loss), net, including risk management derivatives | Risk managment derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | (21,814) | 0 | (21,814) | 0 |
MSR Income (loss), net, including risk management derivatives | Mortgage servicing rights | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | $ 15,675 | $ (5,553) | $ (3,842) | $ (8,265) |
Fair Value of Financial Instr68
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) - Jun. 30, 2015 | USD ($)$ / shares$ / senior_security$ / loan |
Asset-backed Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,173,336,000 |
Asset-backed Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 5.00% |
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 | 69.00% |
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 | $ 65,232,000 |
Commercial Secured Borrowings | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.68% |
Credit support | 23.00% |
Commercial Secured Borrowings | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.68% |
Credit support | 23.00% |
Commercial Secured Borrowings | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.68% |
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 | $ 1,267,521,000 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 430.00% |
Prepayment rate | 12.00% |
Senior credit spread to TBA (usd per senior security) | $ / senior_security | 3.5 |
Spread to swap rate | 3.10% |
Credit support | 5.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 2.90 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 500.00% |
Prepayment rate | 15.00% |
Senior credit spread to TBA (usd per senior security) | $ / senior_security | 3.5 |
Spread to swap rate | 3.10% |
Credit support | 5.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.15 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 440.00% |
Prepayment rate | 14.00% |
Senior credit spread to TBA (usd per senior security) | $ / senior_security | 3.50 |
Spread to swap rate | 3.10% |
Credit support | 5.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4 |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 181,279,000 |
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 | 1.60% |
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 | 1.29% |
Residential Loans Priced To Whole Loan Market and Committed to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 350,951,000 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / shares | $ 101 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / shares | 102 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / shares | $ 102 |
Residential Loans Held For Investment at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,237,114,000 |
Residential Loans at Lower of Cost or Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,102,000 |
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 | $ 235,616,000 |
Commercial Loans at Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.68% |
Credit support | 23.00% |
Commercial Loans at Fair Value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.69% |
Credit support | 23.00% |
Commercial Loans at Fair Value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.68% |
Credit support | 23.00% |
Investment Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,157,599,000 |
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 | 49.00% |
Loss severity | 65.00% |
Default rate | 35.00% |
Investment Securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 6.00% |
Prepayment rate | 13.00% |
Credit support | 5.00% |
Loss severity | 34.00% |
Default rate | 8.00% |
Mortgage servicing rights | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 168,462,000 |
Mortgage servicing rights | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 8.00% |
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 | 9.00% |
Per loan annual cost to service | $ 78 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 6,417,000 |
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 | $ 1,017,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 19.00% |
REO | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 76.00% |
REO | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 55.00% |
Loan Purchase Commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 605,000 |
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 | 4 |
Fallout rate | 97.00% |
Loan Purchase Commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
MSR Multiple | 3 |
Fallout rate | 26.00% |
Residential Loans - Additional
Residential Loans - Additional Information (Detail) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015USD ($) | Jun. 30, 2015USD ($)Contract | Dec. 31, 2014USD ($)Contract | |
Mortgage Loans on Real Estate [Line Items] | |||
Principal balance of loans sold during period | $ 2,740,000 | $ 4,930,000 | |
Carrying value | $ 3,286,480 | $ 3,286,480 | $ 3,398,573 |
Percentage of fixed-rate loans | 91.00% | 91.00% | |
Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value | $ 1,237,114 | $ 1,237,114 | $ 1,474,386 |
Fixed-rate loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 4.06% | 4.06% | |
Hybrid loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 3.30% | 3.30% | |
Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | Contract | 1,682 | 2,273 | |
Loan Principal | $ 876,000 | $ 876,000 | $ 1,300,000 |
Valuation adjustments | 3,000 | 1,000 | |
Loan pledged as collateral | 848,000 | $ 848,000 | |
Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | Contract | 9 | 9 | |
Loan Principal | 2,000 | $ 2,000 | $ 2,000 |
Carrying value | 1,458 | 1,458 | 1,488 |
Residential Loans at Lower of Cost or Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value | 0 | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | Contract | 1,519 | 803 | |
Loan Principal | 1,130,000 | $ 1,130,000 | $ 566,000 |
Valuation adjustments | 6,000 | 4,000 | |
Carrying value | 1,160,000 | 1,160,000 | |
Principal balance of loans transferred | 213,000 | 650,000 | |
Fair value of loans transferred | 215,000 | 662,000 | |
Loan pledged as collateral | $ 1,020,000 | $ 1,020,000 | |
Weighted average original Fair Isaac Corporation (FICO) score | 772 | 772 | |
Weighted average original loan-to-value (LTV) | 65.00% | 65.00% | |
Residential Loans Held For Investment at Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | Contract | 4,999 | 5,315 | |
Weighted average original Fair Isaac Corporation (FICO) score | 732 | 732 | |
Weighted average original loan-to-value (LTV) | 66.00% | 66.00% | |
Loans held-for-investment, delinquent greater than 90 days | $ 66,000 | $ 66,000 | $ 73,000 |
Loans held-for-investment, in foreclosure | 36,000 | 36,000 | 39,000 |
Valuation adjustments | 2,000 | 5,000 | |
Residential Loans Held for Investment | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan Principal | 1,343,333 | 1,343,333 | 1,483,213 |
Carrying value | 1,237,114 | 1,237,114 | 1,474,386 |
Unamortized premium, net | 0 | 0 | 12,511 |
Allowance for loan losses | 0 | 0 | $ 21,338 |
Mortgage servicing rights | |||
Mortgage Loans on Real Estate [Line Items] | |||
Principal balance of mortgage servicing rights purchased from third-party originators | 1,820,000 | ||
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Principal value of loans purchased | $ 2,780,000 | $ 5,180,000 |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | $ 3,286,480 | $ 3,398,573 |
Residential Loans at Fair Value | Conforming Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 248,157 | 244,714 |
Residential Loans at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 642,466 | 1,096,317 |
Residential Loans at Lower of Cost or Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,458 | 1,488 |
Residential Loans Held For Investment at Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,160,000 | |
Residential Loans Held For Investment at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 2,394,399 | 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 | 2,049,366 | 1,924,187 |
Redwood | Residential Loans at Fair Value | Conforming Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 248,157 | 244,714 |
Redwood | Residential Loans at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 642,466 | 1,096,317 |
Redwood | Residential Loans at Lower of Cost or Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,458 | 1,488 |
Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loan | ||
Mortgage Loans on Real Estate [Line Items] | ||
Residential loans | 1,157,285 | 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 | 1,237,114 | 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 | $ 1,237,114 | 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 Va
Residential Loans - Carrying Value for Residential Loans Held-for-Investment at Amortized Cost (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Mortgage Loans on Real Estate [Line Items] | ||
Carrying Value | $ 3,286,480 | $ 3,398,573 |
Residential Loans Held for Investment | ||
Mortgage Loans on Real Estate [Line Items] | ||
Principal balance | 1,343,333 | 1,483,213 |
Unamortized premium, net | 0 | 12,511 |
Allowance for loan losses | 0 | (21,338) |
Valuation adjustment | (106,219) | 0 |
Carrying Value | $ 1,237,114 | $ 1,474,386 |
Commercial Loans - Additional I
Commercial Loans - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)loanContract | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($)loanContract | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Aggregate fair value | $ 551,331 | $ 551,331 | $ 566,927 | |||
Senior commercial loans, held for sale | 5,656,836 | $ 3,118,457 | ||||
Sale of loan for third party, held for sale | $ 5,366,705 | 2,339,023 | ||||
Commercial Loans Held For Sale | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of loans | loan | 11 | 13 | ||||
Principal balance | 165,000 | $ 165,000 | $ 163,000 | |||
Aggregate fair value | [1] | 165,853 | 165,853 | $ 166,234 | ||
Sale of loan for third party, held for sale | 146,000 | 348,000 | ||||
Valuation adjustments | 1,000 | $ 6,000 | 7,000 | $ 9,000 | ||
Loan pledged as collateral | 60,000 | $ 60,000 | ||||
Commercial Loans Held-for-Investment, at Fair Value | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of loans | Contract | 3 | 3 | ||||
Principal balance | 67,000 | $ 67,000 | $ 68,000 | |||
Aggregate fair value | 69,763 | $ 69,763 | $ 71,262 | |||
Commercial Loans Held-for-Investment, at Amortized Cost | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of loans | Contract | 60 | 60 | ||||
Aggregate fair value | 315,715 | $ 315,715 | $ 329,431 | |||
Acquired amount of loans held for investment | 2,000 | 9,000 | ||||
Recorded investment in loans | $ 323,116 | $ 323,116 | 336,888 | |||
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 | 3.00% | 3.00% | ||||
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 | 18.00% | 18.00% | ||||
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 | 15.00% | 15.00% | ||||
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% | 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% | 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% | 4.00% | ||||
Commercial Loans Held For Investment | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Aggregate fair value | [1] | $ 385,478 | $ 385,478 | 400,693 | ||
Commercial Loans Held-for-Investment, at Fair Value, B-Notes | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Aggregate fair value | 5,000 | 5,000 | $ 5,000 | |||
Commercial Loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Senior commercial loans, held for sale | $ 258,000 | $ 350,000 | ||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Commercial Loans - Summary of C
Commercial Loans - Summary of Classifications and Carrying Value of Commercial Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | $ 551,331 | $ 566,927 | |
Commercial Loans Held For Sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | [1] | 165,853 | 166,234 |
Commercial Loans Held-for-Investment, at Fair Value | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | 69,763 | 71,262 | |
Commercial Loans Held-for-Investment, at Amortized Cost | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | 315,715 | 329,431 | |
Commercial loans financed through Commercial Securitization entity | $ 182,000 | $ 195,000 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Commercial Loans - Commercial L
Commercial Loans - Commercial Loans Held-For-Investment at Amortized Cost (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 551,331 | $ 566,927 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal balance | 327,592 | 341,750 |
Unamortized discount, net | (4,476) | (4,862) |
Recorded investment in loans | 323,116 | 336,888 |
Allowance for loan losses | (7,401) | (7,457) |
Carrying Value | $ 315,715 | $ 329,431 |
Commercial Loans - Commercial75
Commercial Loans - Commercial Loans Held for Investment by Risk Category (Details) - Commercial Loans Held For Investment - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 327,592 | $ 341,750 |
Pass | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | 302,075 | 316,122 |
Watch List | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 25,517 | $ 25,628 |
Commercial Loans - Summary of A
Commercial Loans - Summary of Activity in Allowance for Commercial Loan Losses (Details) - Commercial Loans - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance at beginning of period | $ 7,662 | $ 8,028 | $ 7,456 | $ 7,373 |
Charge-offs, net | 0 | 0 | 0 | 0 |
Provision for loan losses | (261) | 289 | (55) | 944 |
Balance at End of Period | $ 7,401 | $ 8,317 | $ 7,401 | $ 8,317 |
Commercial Loans - Commercial77
Commercial Loans - Commercial Loans Collectively Evaluated for Impairment (Details) - Commercial Loans - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Financing Receivable, Impaired [Line Items] | ||
Principal balance | $ 327,592 | $ 341,750 |
Recorded investment | 323,116 | 336,888 |
Related allowance | $ 7,401 | $ 7,457 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Detail) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015USD ($)Investment | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)Investment | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($)Investment | |
Investment Holdings [Line Items] | |||||
Trading securities | $ 116,141,000 | $ 116,141,000 | $ 111,606,000 | ||
Trading securities acquired | 71,000,000 | 94,000,000 | |||
Trading securities sold | 35,000,000 | 37,000,000 | |||
Adjustment to valuation of trading securities | (7,000,000) | $ (9,000,000) | (7,000,000) | $ (13,000,000) | |
Available-for-sale securities purchased | 5,000,000 | 77,000,000 | 15,000,000 | ||
Available-for-sale securities sold | 112,000,000 | 1,000,000 | 202,000,000 | ||
Gross realized gains | $ 5,956,000 | $ 992,000 | $ 10,262,000 | $ 992,000 | |
Number of AFS securities | Investment | 260 | 260 | 290 | ||
Number of securities in unrealized loss position | Investment | 29 | 29 | 31 | ||
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | Investment | 13 | 13 | 10 | ||
OTTI losses on AFS securities | $ 0 | $ 0 | |||
Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 69,132,000 | 69,132,000 | $ 101,753,000 | ||
Interest Only Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 47,000,000 | 47,000,000 | |||
Residential Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 22,000,000 | 22,000,000 | |||
Residential Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 47,000,000 | 47,000,000 | |||
Trading Securities | Residential Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Unpaid principal balance | 23,000,000 | 23,000,000 | |||
Trading Securities | Residential Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Unpaid principal balance | 61,000,000 | 61,000,000 | |||
Prime | Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 62,427,000 | 62,427,000 | 93,802,000 | ||
Securities financed through non-recourse resecuritization entity | 88,000,000 | 88,000,000 | 105,000,000 | ||
Non-prime | Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 6,705,000 | 6,705,000 | 7,951,000 | ||
Securities financed through non-recourse resecuritization entity | 107,000,000 | 107,000,000 | $ 117,000,000 | ||
Residential | |||||
Investment Holdings [Line Items] | |||||
Loan pledged as collateral | 535,000,000 | 535,000,000 | |||
Marketable securities, less than five years | 6,000,000 | 6,000,000 | |||
Marketable securities, due from five to ten years | $ 2,000,000 | $ 2,000,000 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 116,141 | $ 111,606 | |
Available-for-sale | 1,041,458 | 1,267,624 | |
Total Real Estate Securities | [1] | $ 1,157,599 | $ 1,379,230 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Investment Holdings [Line Items] | ||
Trading securities | $ 116,141 | $ 111,606 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 69,132 | 101,753 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 62,427 | 93,802 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 6,705 | 7,951 |
Subordinate Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 47,009 | $ 9,853 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 1,041,458 | $ 1,267,624 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 445,336 | 487,557 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 278,960 | 307,813 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 166,376 | 179,744 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 169,084 | 168,347 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 427,038 | 611,720 |
Subordinate Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 257,263 | 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 | $ 169,775 | $ 162,882 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 1,041,458 | $ 1,267,624 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 445,336 | 487,557 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 278,960 | 307,813 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 166,376 | 179,744 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 169,084 | 168,347 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 427,038 | 611,720 |
Subordinate Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 257,263 | 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 | 1,194,372 | 1,445,079 |
Credit reserve | (61,700) | (70,067) |
Unamortized discount, net | (273,119) | (296,342) |
Amortized cost | 859,553 | 1,078,670 |
Gross unrealized gains | 184,857 | 191,750 |
Gross unrealized losses | (2,952) | (2,796) |
Carrying Value | 1,041,458 | 1,267,624 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 282,921 | 311,573 |
Credit reserve | (2,650) | (3,660) |
Unamortized discount, net | (30,401) | (34,782) |
Amortized cost | 249,870 | 273,131 |
Gross unrealized gains | 31,196 | 35,980 |
Gross unrealized losses | (2,106) | (1,298) |
Carrying Value | 278,960 | 307,813 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 182,719 | 196,258 |
Credit reserve | (9,175) | (9,644) |
Unamortized discount, net | (27,533) | (31,491) |
Amortized cost | 146,011 | 155,123 |
Gross unrealized gains | 20,550 | 24,682 |
Gross unrealized losses | (185) | (61) |
Carrying Value | 166,376 | 179,744 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 193,221 | 195,098 |
Credit reserve | (13,071) | (15,202) |
Unamortized discount, net | (75,658) | (79,611) |
Amortized cost | 104,492 | 100,285 |
Gross unrealized gains | 64,592 | 68,062 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 169,084 | 168,347 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 535,511 | 742,150 |
Credit reserve | (36,804) | (41,561) |
Unamortized discount, net | (139,527) | (150,458) |
Amortized cost | 359,180 | 550,131 |
Gross unrealized gains | 68,519 | 63,026 |
Gross unrealized losses | (661) | (1,437) |
Carrying Value | $ 427,038 | $ 611,720 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Detail) - Jun. 30, 2015 - Residential - USD ($) $ in Thousands | Total | Total |
Credit Reserve | ||
Beginning balance | $ 63,584 | $ 70,067 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (2,769) | (5,714) |
Acquisitions | 858 | 858 |
Sales, calls, other | 0 | 0 |
Impairments | 0 | 0 |
Transfers to (release of) credit reserves, net | 27 | (3,511) |
Ending Balance | 61,700 | 61,700 |
Unamortized Discount Net | ||
Beginning balance | 286,382 | 296,342 |
Amortization of net discount | (9,324) | (19,162) |
Realized credit losses | 0 | 0 |
Acquisitions | 3,033 | 5,705 |
Sales, calls, other | (6,945) | (13,277) |
Impairments | 0 | 0 |
Transfers to (release of) credit reserves, net | (27) | 3,511 |
Ending Balance | $ 273,119 | $ 273,119 |
Real Estate Securities - Comp84
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Detail) - Residential - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 98,390 | $ 126,681 |
Less Than 12 Consecutive Months Gross Unrealized Losses | (1,263) | (1,374) |
Less Than 12 Consecutive Months Fair Value | 97,127 | 125,307 |
12 Consecutive Months or Longer Amortized Cost | 74,537 | 70,676 |
12 Consecutive Months or Longer Gross Unrealized Losses | (1,689) | (1,422) |
12 Consecutive Months or Longer Fair Value | $ 72,848 | $ 69,254 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Detail) - Jun. 30, 2015 | Total |
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 | 21.00% |
Non-prime | Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 8.00% |
Projected default rate | 14.00% |
Non-prime | Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 12.00% |
Projected default rate | 18.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Activity of the Credit Component of Other-than-Temporary Impairments | ||||
Balance at beginning of period | $ 32,949 | $ 35,786 | $ 33,849 | $ 37,149 |
Initial credit impairments | 0 | 190 | 0 | 261 |
Subsequent credit impairments | 0 | 28 | 0 | 70 |
Securities sold, or expected to sell | (253) | (904) | (348) | (904) |
Securities with no outstanding principal at period end | 0 | (844) | (805) | (2,320) |
Balance at End of Period | $ 32,696 | $ 34,256 | $ 32,696 | $ 34,256 |
Real Estate Securities - Gross
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Gross realized gains | $ 5,956 | $ 992 | $ 10,262 | $ 992 |
Gross realized losses | 0 | 0 | 0 | 0 |
Total Realized Gains on Sales and Calls of AFS Securities, Net | 6,316 | 992 | 10,622 | 1,979 |
Call Option | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Gross realized gains | 360 | 0 | 360 | 987 |
Gross realized losses | $ 0 | $ 0 | $ 0 | $ 0 |
Mortgage Servicing Rights - Sch
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Servicing Assets at Fair Value [Line Items] | |||
MSR Fair Value | [1] | $ 168,462 | $ 139,293 |
Associated Principal | 15,066,076 | 13,667,930 | |
Conforming Loan | |||
Servicing Assets at Fair Value [Line Items] | |||
MSR Fair Value | 101,458 | 81,301 | |
Associated Principal | 8,917,808 | 7,705,146 | |
Jumbo Loan | |||
Servicing Assets at Fair Value [Line Items] | |||
MSR Fair Value | 67,004 | 57,992 | |
Associated Principal | $ 6,148,268 | $ 5,962,784 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Act
Mortgage Servicing Rights - Activity for Residential First-Lien Mortgage Servicing Rights (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Balance at beginning of period | [1] | $ 139,293 | |||
Additions | 36,834 | $ 11,976 | |||
Changes in fair value due to: | |||||
Balance at End of Period | [1] | $ 168,462 | 168,462 | ||
Mortgage servicing rights | |||||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Balance at beginning of period | 120,324 | $ 64,971 | 139,293 | 64,824 | |
Additions | 32,463 | 11,807 | 51,217 | 14,666 | |
Sales | 0 | 0 | (18,206) | 0 | |
Changes in fair value due to: | |||||
Changes in assumptions | 19,168 | (3,553) | 5,132 | (4,678) | |
Other changes | (3,493) | (2,000) | (8,974) | (3,587) | |
Balance at End of Period | $ 168,462 | $ 71,225 | $ 168,462 | $ 71,225 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Det
Mortgage Servicing Rights - Details of Retention and Purchase of MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | $ 36,834 | $ 11,976 | ||
Mortgage servicing rights | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | $ 32,463 | $ 11,807 | 51,217 | $ 14,666 |
Associated Principal | 2,997,971 | 4,906,964 | ||
Mortgage servicing rights | Jumbo MSR Additions | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 6,174 | 8,138 | ||
Associated Principal | 623,524 | 861,521 | ||
Mortgage servicing rights | Jumbo MSR Additions | Securitization | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 6,002 | 7,874 | ||
Associated Principal | 607,402 | 835,254 | ||
Mortgage servicing rights | Jumbo MSR Additions | Loan Sales | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 172 | 264 | ||
Associated Principal | 16,122 | 26,267 | ||
Mortgage servicing rights | Conforming MSR Additions | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 26,289 | 43,079 | ||
Associated Principal | 2,374,447 | 4,045,443 | ||
Mortgage servicing rights | Conforming MSR Additions | Loan Sales | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 14,990 | 28,701 | ||
Associated Principal | 1,348,871 | 2,701,529 | ||
Mortgage servicing rights | Conforming MSR Additions | From purchases | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 11,299 | 14,378 | ||
Associated Principal | $ 1,025,576 | $ 1,343,914 |
Mortgage Servicing Rights - Com
Mortgage Servicing Rights - Components of Mortgage Servicing Rights Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Servicing income: | ||||
Income | $ 8,454 | $ 4,064 | $ 18,170 | $ 7,697 |
Cost of sub-servicer | (1,162) | (288) | (2,391) | (603) |
Net servicing income | 7,292 | 3,776 | 15,779 | 7,094 |
Market valuation adjustments | 15,675 | (5,553) | (3,842) | (8,265) |
Market valuation changes in associated derivatives | (21,814) | 0 | (21,814) | 0 |
MSR provision for repurchases | (323) | 0 | (217) | 0 |
MSR income (loss) | $ 830 | $ (1,777) | $ (10,094) | $ (1,171) |
Derivative Financial Instrume92
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||
Fair Value | $ (27,857) | $ (41,914) |
Notional Amount | 6,392,016 | 3,663,084 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (54,109) | (58,331) |
Notional Amount | 2,877,936 | 1,675,617 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 26,252 | 16,417 |
Notional Amount | 3,514,080 | 1,987,467 |
Interest rate swaps | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (4,172) | (1,328) |
Notional Amount | 532,500 | 206,000 |
Interest rate swaps | Cash Flow Hedging | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (39,810) | (46,845) |
Notional Amount | 139,500 | |
Interest rate swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 294 | 0 |
Notional Amount | 50,000 | 0 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (5,466) | (9,506) |
Notional Amount | 1,290,500 | 1,110,000 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 7,625 | 6,654 |
Notional Amount | 1,246,400 | 1,074,000 |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (260) | (372) |
Notional Amount | 90,000 | |
Futures | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 0 |
Notional Amount | 0 | 0 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 8,726 | 7,006 |
Notional Amount | 1,185,000 | 575,000 |
Credit Default Index Swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 3,792 | 1,597 |
Notional Amount | 100,000 | 50,000 |
Loan Purchase Commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (4,401) | (41) |
Notional Amount | 861,436 | 27,324 |
Loan Purchase Commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 5,006 | 1,160 |
Notional Amount | 777,361 | 288,467 |
Loan forward Sales Commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | 0 | (239) |
Notional Amount | 0 | 102,793 |
Loan forward Sales Commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 809 | 0 |
Notional Amount | $ 155,319 | $ 0 |
Derivative Financial Instrume93
Derivative Financial Instruments - Additional Information (Detail) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015USD ($)counterparty | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)counterparty | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |
Derivative [Line Items] | |||||
Notional amount | $ 6,392,016 | $ 6,392,016 | $ 3,663,084 | ||
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | $ 39,000 | $ 39,000 | $ 46,000 | ||
Number of counterparties | counterparty | 7 | 7 | |||
Cash Flow Hedging | Interest rate swaps | |||||
Derivative [Line Items] | |||||
Notional amount | $ 139,500 | $ 139,500 | |||
Valuation adjustments on derivatives | 15,000 | $ (5,000) | 7,000 | $ (14,000) | |
Loan Purchase and Forward Sales Commitments | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | 1,000 | 19,000 | |||
Unsecuritized Residential and Commercial Loans | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | (17,000) | (12,000) | (25,000) | ||
Unsecuritized Residential and Commercial Loans | Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Notional amount | 1,900,000 | 1,900,000 | |||
Unsecuritized Residential and Commercial Loans | Futures | |||||
Derivative [Line Items] | |||||
Notional amount | 54,000 | 54,000 | |||
Unsecuritized Residential and Commercial Loans | TBAs | |||||
Derivative [Line Items] | |||||
Notional amount | 2,500,000 | 2,500,000 | |||
Maximum | |||||
Derivative [Line Items] | |||||
Hedges decreased in value recorded as a component of interest expense (less than) | 100 | $ 100 | 100 | $ 100 | |
Maximum | Interest rate swaps | |||||
Derivative [Line Items] | |||||
Accumulated other comprehensive loss that will be amortized into interest expense (less than) | $ (1,000) | (1,000) | |||
Maximum | Unsecuritized Residential and Commercial Loans | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | $ (29,000) |
Derivative Financial Instrume94
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative [Line Items] | ||||
Total interest expense | $ (23,008) | $ (21,151) | $ (46,969) | $ (40,211) |
Cash Flow Hedging | Interest Rate Contract | ||||
Derivative [Line Items] | ||||
Net interest expense on cash flow interest rate agreements | (1,475) | (1,490) | (2,959) | (2,978) |
Realized income (expense) due to ineffective portion of hedges | 0 | 0 | 0 | 0 |
Realized net losses reclassified from other comprehensive income | (26) | (39) | (57) | (99) |
Total interest expense | $ (1,501) | $ (1,529) | $ (3,016) | $ (3,077) |
Other Assets and Liabilities -
Other Assets and Liabilities - Summary of Other Assets (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Margin receivable | $ 71,392 | $ 65,374 | |
FHLBC stock | 30,001 | 10,688 | |
Pledged collateral | 10,194 | 9,927 | |
Guarantee asset | 6,417 | 7,201 | |
Investment receivable | 5,378 | 1,103 | |
Deposits | 5,000 | 5,000 | |
Fixed assets and leasehold improvements | 4,442 | 3,008 | |
REO | 4,410 | 4,391 | |
Income taxes receivable | 3,278 | 175 | |
Prepaid expenses | 3,031 | 3,372 | |
Other | 4,077 | 3,657 | |
Total Other Assets | [1] | 147,620 | $ 113,896 |
Fixed assets | 7,000 | ||
Accumulated depreciation | $ 4,000 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities 96
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Accrued compensation | $ 11,927 | $ 19,273 |
Margin payable | 10,156 | 6,455 |
Guarantee obligation | 6,146 | 7,201 |
Current accounts payable | 5,446 | 2,112 |
Residential loan and MSR repurchase reserve | 5,083 | 3,724 |
Accrued operating expenses | 3,501 | 3,334 |
Legal reserve | 2,000 | 2,000 |
Income tax payable | 221 | 0 |
Other | 5,445 | 8,145 |
Total Other Liabilities | $ 49,925 | $ 52,244 |
Other Assets and Liabilities 97
Other Assets and Liabilities - Additional Information (Detail) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015USD ($)Location | Dec. 31, 2014USD ($)Location | |
Other Assets and Other Liabilities [Line Items] | ||
Real estate owned (REO) | $ 4,410 | $ 4,391 |
Amount related to transfers into REO | 5,000 | |
REO liquidations | 3,000 | |
Negative market valuation adjustments on REO | $ 2,000 | |
Sequoia | ||
Other Assets and Other Liabilities [Line Items] | ||
Number of REO properties recorded on balance sheet | Location | 18 | 22 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Detail) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015USD ($)Contract | Dec. 31, 2014USD ($)Contract | ||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 16 | 17 | |
Outstanding | [1] | $ 1,367,062,000 | $ 1,793,825,000 |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 5 | 5 | |
Outstanding | $ 776,824,000 | $ 1,076,188,000 | |
Limit | $ 1,800,000,000 | $ 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 | Contract | 3 | 3 | |
Outstanding | $ 96,849,000 | $ 109,128,000 | |
Limit | $ 450,000,000 | $ 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 | Contract | 8 | 9 | |
Outstanding | $ 493,389,000 | $ 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 (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Short-term Debt [Line Items] | |||
Securities pledged as collateral | $ 615,000,000 | $ 615,000,000 | $ 762,000,000 |
Average balance of short-term debt | 1,380,000,000 | 1,480,000,000 | |
Accrued interest payable on short-term debt | 2,000,000 | 2,000,000 | 2,000,000 |
Committed line of credit | 10,000,000 | 10,000,000 | |
Committed line of credit with financial institutions, outstanding | 0 | 0 | 0 |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 860,000,000 | 860,000,000 | 1,220,000,000 |
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | $ 143,000,000 | $ 143,000,000 | $ 161,000,000 |
Short-Term Debt - By Weighted A
Short-Term Debt - By Weighted Average Interest Rates and Collateral Type (Detail) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | ||
Short-term Debt [Line Items] | |||
Amount Borrowed | [1] | $ 1,367,062 | $ 1,793,825 |
Weighted Average Interest Rate | 1.78% | ||
Weighted Average Days Until Maturity | 154 days | ||
Residential Loans | |||
Short-term Debt [Line Items] | |||
Amount Borrowed | $ 776,824 | 1,076,188 | |
Weighted Average Interest Rate | 1.73% | ||
Weighted Average Days Until Maturity | 233 days | ||
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Amount Borrowed | $ 96,849 | 109,128 | |
Weighted Average Interest Rate | 3.92% | ||
Weighted Average Days Until Maturity | 185 days | ||
Real Estate Securities | |||
Short-term Debt [Line Items] | |||
Amount Borrowed | $ 493,389 | $ 608,509 | |
Weighted Average Interest Rate | 1.43% | ||
Weighted Average Days Until Maturity | 22 days | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 1,367,062 | $ 1,793,825 |
Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 363,099 | 515,552 | |
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 180,088 | 447,021 | |
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 823,875 | 831,252 | |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 776,824 | 1,076,188 | |
Residential Loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 354,064 | ||
Residential Loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 776,824 | 722,124 | |
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 96,849 | 109,128 | |
Commercial Loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 52,224 | 0 | |
Commercial Loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,625 | 109,128 | |
Real Estate Securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 493,389 | 608,509 | |
Real Estate Securities | Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 363,099 | 515,552 | |
Real Estate Securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 127,864 | 92,957 | |
Real Estate Securities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 2,426 | $ 0 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu102
Asset-Backed Securities Issued - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 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],[2] | $ 1,262,122 | $ 1,262,122 | $ 1,545,119 | ||
Asset-backed Securities | ||||||
Debt Instrument [Line Items] | ||||||
ABS issued principal | 1,262,122 | 1,262,122 | 1,545,119 | |||
Amortization of deferred ABS issuance costs, less than | 1,000 | $ 1,000 | 1,000 | $ 1,000 | ||
Asset-backed Securities | Contractual maturities of over five years | ||||||
Debt Instrument [Line Items] | ||||||
ABS issued principal | 1,250,000 | $ 1,250,000 | ||||
Contractual maturities of ABS (in years) | 5 years | |||||
Asset-backed Securities | Maturity Less Than One Year | ||||||
Debt Instrument [Line Items] | ||||||
ABS issued principal | 8,000 | $ 8,000 | ||||
Contractual maturities of ABS, maximum (in years) | 1 year | |||||
Asset-backed Securities | Certificates With Principal Value | ||||||
Debt Instrument [Line Items] | ||||||
Principal value | 1,377,818 | $ 1,377,818 | $ 1,555,413 | |||
Asset-backed Securities | Certificates With Principal Value | Contractual maturities of over five years | ||||||
Debt Instrument [Line Items] | ||||||
Principal value | 1,360,000 | 1,360,000 | ||||
Asset-backed Securities | Certificates With Principal Value | Maturity Less Than One Year | ||||||
Debt Instrument [Line Items] | ||||||
Principal value | $ 16,000 | $ 16,000 | ||||
[1] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. | |||||
[2] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu103
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Detail) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2015USD ($)series | Dec. 31, 2014USD ($)series | ||
Debt Instrument [Line Items] | |||
ABS issued principal | [1],[2] | $ 1,262,122 | $ 1,545,119 |
Asset-backed Securities | |||
Debt Instrument [Line Items] | |||
Market valuation adjustments | (120,707) | ||
Unamortized discount | (12,373) | ||
ABS issued principal | 1,262,122 | 1,545,119 | |
Asset-backed Securities | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | 1,377,818 | 1,555,413 | |
Asset-backed Securities | Interest Only Certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 5,011 | 2,079 | |
Asset-backed Securities | Sequoia | |||
Debt Instrument [Line Items] | |||
Market valuation adjustments | (120,707) | ||
Unamortized discount | (12,373) | ||
ABS issued principal | $ 1,173,336 | $ 1,416,762 | |
Number of series | series | 24 | 24 | |
Asset-backed Securities | Sequoia | Minimum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 0.39% | 0.36% | |
Stated maturities | 2,017 | 2,014 | |
Asset-backed Securities | Sequoia | Maximum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 4.33% | 4.27% | |
Stated maturities | 2,041 | 2,041 | |
Asset-backed Securities | Sequoia | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | $ 1,289,032 | $ 1,427,056 | |
Asset-backed Securities | Sequoia | Interest Only Certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 5,011 | 2,079 | |
Asset-backed Securities | Residential Resecuritization | |||
Debt Instrument [Line Items] | |||
ABS issued principal | $ 18,872 | $ 45,044 | |
Weighted average interest rates, by series | 2.18% | 2.16% | |
Stated maturities | 2,046 | 2,046 | |
Number of series | series | 1 | 1 | |
Asset-backed Securities | Residential Resecuritization | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | $ 18,872 | $ 45,044 | |
Asset-backed Securities | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
ABS issued principal | $ 69,914 | $ 83,313 | |
Weighted average interest rates, by series | 5.62% | 5.62% | |
Stated maturities | 2,018 | 2,018 | |
Number of series | series | 1 | 1 | |
Asset-backed Securities | Commercial Securitization | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | $ 69,914 | $ 83,313 | |
[1] | On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included $1,474,386 at historical cost. See Note 3 for further discussion. | ||
[2] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu104
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Debt Instrument [Line Items] | |||
Accrued interest payable | [1] | $ 8,291 | $ 8,503 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 1,127 | 1,371 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Sequoia | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 797 | 976 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Residential Resecuritization | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 2 | 5 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | $ 328 | $ 390 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu105
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 1,622,636 | $ 1,900,118 |
Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,237,114 | 1,474,386 |
Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 182,184 | 194,991 |
Real Estate Securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 195,278 | 221,676 |
Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 286 | 327 |
Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,365 | 4,347 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 4,409 | 4,391 |
Sequoia | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,243,259 | 1,481,283 |
Sequoia | Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,237,114 | 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 | 1,589 | 2,359 |
Sequoia | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 4,409 | 4,391 |
Residential Resecuritization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 195,687 | 222,196 |
Residential Resecuritization | Real Estate Securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 195,278 | 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 | 409 | 477 |
Commercial Securitization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 183,690 | 196,639 |
Commercial Securitization | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 182,184 | 194,991 |
Commercial Securitization | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 139 | 137 |
Commercial Securitization | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,367 | $ 1,511 |
Commercial Securitization | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 0 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | |||||
Nov. 30, 2014 | Mar. 31, 2013 | Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | ||
Debt Instrument [Line Items] | ||||||||
Federal home loan bank stock | $ 30,001,000 | $ 30,001,000 | $ 10,688,000 | |||||
Accrued interest payable | 2,000,000 | 2,000,000 | 2,000,000 | |||||
Accrued interest payable balance on long-term debt (less than) | [1] | 8,291,000 | 8,291,000 | 8,503,000 | ||||
Commercial Secured Borrowings | ||||||||
Debt Instrument [Line Items] | ||||||||
Commercial mortgage loans | $ 65,000,000 | $ 65,000,000 | ||||||
Exchangeable Senior Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Convertible notes | $ 205,000,000 | |||||||
Debt Instrument interest rate | 5.625% | |||||||
Debt instrument maturity year | 2,019 | |||||||
Debt instrument redemption date | Nov. 15, 2019 | |||||||
Net proceeds from issuance of convertible debt | $ 198,000,000 | |||||||
Interest expense yield | (6.58%) | (6.51%) | ||||||
Accrued interest payable | $ 2,000,000 | $ 2,000,000 | ||||||
Unamortized Debt Issuance Expense | $ 6,000,000 | $ 6,000,000 | ||||||
Convertible senior notes conversion rate | 0.0461798 | |||||||
Convertible senior notes conversion per share | $ 21.65 | $ 21.65 | ||||||
Senior Notes due 2018 | ||||||||
Debt Instrument [Line Items] | ||||||||
Convertible notes | $ 288,000,000 | |||||||
Debt Instrument interest rate | 4.625% | |||||||
Net proceeds from issuance of convertible debt | $ 279,000,000 | |||||||
Interest expense yield | (5.41%) | (5.39%) | ||||||
Accrued interest payable | $ 3,000,000 | $ 3,000,000 | ||||||
Unamortized Debt Issuance Expense | $ 5,000,000 | $ 5,000,000 | ||||||
Convertible senior notes conversion rate | 0.041132 | |||||||
Convertible senior notes conversion per share | $ 24.31 | $ 24.31 | ||||||
Trust Preferred Securities | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest expense yield | (2.63%) | (2.67%) | (2.58%) | (2.57%) | ||||
Debt instrument face amount | $ 100,000,000 | $ 100,000,000 | ||||||
Percentage of yield of debt securities | (6.85%) | (6.89%) | (6.85%) | (6.87%) | ||||
Subordinated Notes | ||||||||
Debt Instrument [Line Items] | ||||||||
Interest expense yield | (2.63%) | (2.67%) | (2.58%) | (2.57%) | ||||
Debt instrument face amount | $ 40,000,000 | $ 40,000,000 | ||||||
Percentage of yield of debt securities | (6.85%) | (6.87%) | (6.85%) | (6.87%) | ||||
Long-term Debt | Maximum | ||||||||
Debt Instrument [Line Items] | ||||||||
Accrued interest payable balance on long-term debt (less than) | $ 1,000,000 | $ 1,000,000 | $ 1,000,000 | |||||
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 | 1,000,000,000 | $ 1,000,000,000 | ||||||
FHLB Member Subsidiary | FHLB Chicago | ||||||||
Debt Instrument [Line Items] | ||||||||
Line of Credit Facility, Maximum Borrowing Capacity | 1,000,000,000 | 1,000,000,000 | ||||||
Additional borrowings from FHLBC | 31,000,000 | 386,000,000 | ||||||
Federal home loan bank advances outstanding | $ 882,000,000 | $ 882,000,000 | ||||||
Weighted average interest rate | 0.23% | 0.23% | ||||||
Weighted average maturity | 6 years | |||||||
Federal home loan bank stock | $ 30,000,000 | $ 30,000,000 | ||||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Detail) $ in Thousands | Jul. 15, 2010Plaintiff | Jun. 30, 2015USD ($)lease | Jun. 30, 2015USD ($)loanleaserepurchase_request | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) |
Loss Contingencies [Line Items] | |||||
Number of noncancelable leases | lease | 9 | 9 | |||
Operating lease expiration dates | 2,021 | ||||
Future lease commitments with expiration date | $ 11,628 | $ 11,628 | |||
Operating lease expense | $ 1,000 | ||||
Percentage of losses assumed on pool of loans sold | 1.00% | ||||
Risk-sharing arrangement term (years) | 10 years | ||||
Market valuation changes in fair value of guarantee asset (less than for three months ending June 30, 2015) | 1,000 | ||||
Special Purpose Entities (SPEs) assets | 17,000 | $ 17,000 | $ 19,000 | ||
Special Purpose Entities (SPEs) liabilities | 6,000 | 6,000 | 7,000 | ||
Residential repurchase reserve | 5,083 | $ 5,083 | 3,724 | ||
Residential repurchase requests | repurchase_request | 50 | ||||
Residential repurchase, number of loans repurchased | loan | 1 | ||||
Residential repurchase provisions recorded (less than for six months ended June 30, 2014) | $ 1,000 | $ 1,000 | |||
Aggregate amount of loss contingency reserves | 2,000 | 2,000 | $ 2,000 | ||
Schwab | |||||
Loss Contingencies [Line Items] | |||||
Number of other named defendants along with SRF | Plaintiff | 26 | ||||
Guarantee Obligations | |||||
Loss Contingencies [Line Items] | |||||
Unpaid principal amount on loans | $ 874,000 | $ 874,000 | |||
Weighted average original Fair Isaac Corporation (FICO) score | 762 | 762 | |||
Weighted average original loan-to-value (LTV) | 75.00% | 75.00% | |||
Potential future payments on loans | $ 10,000 | $ 10,000 | |||
Guarantee Obligations | Financing Receivables, Equal To Greater Than 30 Days Past Due | |||||
Loss Contingencies [Line Items] | |||||
Percent of loans in reference portfolio that are past due | 200000000.00% | ||||
Residential | Sequoia | FHLB Seattle | |||||
Loss Contingencies [Line Items] | |||||
Statutory interest rate per annum | 8.00% | 8.00% | |||
Original principal amount of securities | $ 133,000 | $ 133,000 | |||
Debt instrument principal payment amount | 119,000 | ||||
Debt instrument interest payment amount | 11,000 | ||||
Residential | Sequoia | Schwab | |||||
Loss Contingencies [Line Items] | |||||
Original principal amount of securities | 15,000 | 15,000 | |||
Principal balance of securities | 13,000 | 13,000 | |||
Debt instrument interest amount | 1,000 | 1,000 | |||
Other income | |||||
Loss Contingencies [Line Items] | |||||
Fee income from risk sharing agreement | $ 1,000 | 2,000 | |||
Mortgage banking and investment activities | |||||
Loss Contingencies [Line Items] | |||||
Market valuation changes in fair value of guarantee asset (less than for three months ending June 30, 2015) | $ (1,000) |
Commitments and Contingencie108
Commitments and Contingencies - Future Lease Commitments (Detail) $ in Thousands | Jun. 30, 2015USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2015 (6 months) | $ 1,400 |
2,016 | 2,838 |
2,017 | 2,879 |
2,018 | 1,827 |
2,019 | 1,189 |
2020 and thereafter | 1,495 |
Total | $ 11,628 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Balance at beginning of period | [1] | $ 140,688 | |||
Total other comprehensive income | $ 5,054 | $ 6,905 | 6 | $ 18,791 | |
Balance at End of Period | [1] | 140,694 | 140,694 | ||
Net unrealized gains on available-for-sale securities | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Balance at beginning of period | 190,100 | 185,275 | 186,737 | 164,654 | |
Other comprehensive income (loss) before reclassifications | (5,080) | 12,721 | (28) | 33,229 | |
Amounts reclassified from other accumulated comprehensive income | (5,361) | (454) | (7,050) | (341) | |
Total other comprehensive income | (10,441) | 12,267 | (7,078) | 32,888 | |
Balance at End of Period | 179,659 | 197,542 | 179,659 | 197,542 | |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Balance at beginning of period | (54,460) | (24,623) | (46,049) | (15,888) | |
Other comprehensive income (loss) before reclassifications | 15,469 | (5,401) | 7,026 | (14,196) | |
Amounts reclassified from other accumulated comprehensive income | 26 | 39 | 58 | 99 | |
Total other comprehensive income | 15,495 | (5,362) | 7,084 | (14,097) | |
Balance at End of Period | $ (38,965) | $ (29,985) | $ (38,965) | $ (29,985) | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other than temporary impairment | $ 264 | $ 377 | ||
Realized gains (losses), net | $ 6,316 | 1,063 | $ 10,622 | 2,155 |
Total interest expense | 23,008 | 21,151 | 46,969 | 40,211 |
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 | 264 | 0 | 377 |
Gain on sale of AFS securities | (5,361) | (718) | (7,050) | (718) |
Realized gains (losses), net | (5,361) | (454) | (7,050) | (341) |
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 | $ 26 | $ 39 | $ 58 | $ 99 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Equity [Abstract] | ||||
Net income attributable to Redwood | $ 27,064 | $ 16,017 | $ 41,865 | $ 28,350 |
Less: Dividends and undistributed earnings allocated to participating securities | (642) | (537) | (1,375) | (1,239) |
Net income allocated to common shareholders | $ 26,422 | $ 15,480 | $ 40,490 | $ 27,111 |
Basic weighted average common shares outstanding (shares) | 83,936,844 | 82,740,012 | 83,650,170 | 82,575,636 |
Basic earnings per common share (usd per share) | $ 0.31 | $ 0.19 | $ 0.48 | $ 0.33 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (619) | $ (537) | $ (1,375) | $ (1,239) |
Add back: Interest expense on convertible notes for the period, net of tax | 2,789 | 0 | 0 | 0 |
Net income allocated to common shareholders | $ 29,234 | $ 15,480 | $ 40,490 | $ 27,111 |
Net effect of dilutive equity awards (in shares) | 1,546,038 | 2,292,986 | 1,823,735 | 2,418,685 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 9,466,859 | 0 | 0 | 0 |
Diluted weighted average common shares outstanding (shares) | 94,949,741 | 85,032,998 | 85,473,905 | 84,994,321 |
Diluted earnings per common share (usd per share) | $ 0.31 | $ 0.18 | $ 0.47 | $ 0.32 |
Equity - Additional Information
Equity - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Aug. 07, 2015 | Nov. 30, 2007 | |
Stockholders Equity Note [Line Items] | ||||||
Net effect of dilutive equity awards (in shares) | 1,546,038 | 2,292,986 | 1,823,735 | 2,418,685 | ||
Net effect of assumed convertible notes conversion to common shares (in shares) | 9,466,859 | 0 | 0 | 0 | ||
Common stock authorized to repurchase by Board | $ 5,000,000 | |||||
Subsequent event | ||||||
Stockholders Equity Note [Line Items] | ||||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||||
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 | 286,075 | 70,508 | 299,491 | 271,392 |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||||
Unrecognized compensation cost at beginning of period | $ 20,269 | |||
Equity grants | 8,868 | |||
Equity grant forfeitures | (387) | |||
Equity compensation expense | $ (3,539) | $ (2,824) | (6,277) | $ (5,154) |
Unrecognized Compensation Cost at End of Period | 22,473 | 22,473 | ||
Incentive Plans | Restricted Stock | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||||
Unrecognized compensation cost at beginning of period | 1,091 | |||
Equity grants | 2,709 | |||
Equity grant forfeitures | (387) | |||
Equity compensation expense | (521) | |||
Unrecognized Compensation Cost at End of Period | 2,892 | 2,892 | ||
Incentive Plans | Deferred Stock Units | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||||
Unrecognized compensation cost at beginning of period | 12,304 | |||
Equity grants | 5,923 | |||
Equity grant forfeitures | 0 | |||
Equity compensation expense | (3,931) | |||
Unrecognized Compensation Cost at End of Period | 14,296 | 14,296 | ||
Incentive Plans | Performance Stock Units | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||||
Unrecognized compensation cost at beginning of period | 6,874 | |||
Equity grants | 0 | |||
Equity compensation expense | (1,709) | |||
Unrecognized Compensation Cost at End of Period | 5,165 | 5,165 | ||
Employee Stock Purchase Plan | ||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||||
Equity grants | 236 | |||
Equity compensation expense | (116) | |||
Unrecognized Compensation Cost at End of Period | $ 120 | $ 120 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Dec. 31, 2014 | Jun. 30, 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 | 2,225,245 | 1,987,975 | 2,225,245 |
Unrecognized compensation cost | $ 20,269 | $ 22,473 | $ 20,269 |
Weighted average amortization period remaining for equity awards (less than) | 2 years | ||
Number of shares purchased by employees | 292,145 | 274,318 | |
Restricted Stock | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 109,464 | 187,669 | 109,464 |
Number of stock awards granted | 139,526 | ||
Number of stock awards vested | 40,643 | ||
Number of stock awards forfeited | 20,678 | ||
Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 2,168,824 | 2,169,028 | 2,168,824 |
Number of stock awards granted | 314,527 | ||
Number of stock awards vested | 1,235,082 | 1,287,862 | |
Number of stock awards forfeited | 0 | ||
Number of stock awards distributed | 314,323 | ||
Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 761,051 | 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 and Investm115
Mortgage Banking and Investment Activities - Components of Mortgage Banking Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Mortgage Loans on Real Estate [Line Items] | |||||
Hedging allocation | $ 0 | $ 0 | |||
Total investment activities | (1,788) | $ (4,134) | (2,936) | $ (10,271) | |
Mortgage banking and investment activities | [1] | 5,659 | 2,189 | 6,437 | (4,181) |
Residential Mortgage Banking Activities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Other income | 1,400 | 435 | 2,035 | 790 | |
Mortgage banking activities | 4,833 | 1,342 | 7,052 | 276 | |
Hedging allocation | 2,803 | 0 | 2,803 | 0 | |
Residential Mortgage Banking Activities | Residential loans, at fair value | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | (2,122) | 17,575 | 18,192 | 24,709 | |
Residential Mortgage Banking Activities | Real estate securities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | 0 | (8,810) | (14,359) | (13,087) | |
Residential Mortgage Banking Activities | Risk managment derivatives | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of risk management derivatives | 2,752 | (7,858) | (1,619) | (12,136) | |
Commercial Mortgage Banking Activities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Other income | 164 | 83 | 227 | 93 | |
Mortgage banking activities | 2,614 | 4,981 | 2,321 | 5,814 | |
Commercial Mortgage Banking Activities | Risk managment derivatives | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of risk management derivatives | 1,463 | (816) | (4,750) | (3,619) | |
Commercial Mortgage Banking Activities | Commercial loans, at fair value | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | 987 | 5,714 | 6,844 | 9,340 | |
Investment Activities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of risk management derivatives | 429 | (3,627) | (944) | (9,354) | |
Hedging allocation | (2,803) | 0 | (2,803) | 0 | |
Investment Activities | Real estate securities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | 6,927 | (186) | 7,197 | (453) | |
Investment Activities | Net investments in consolidated Sequoia entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | (684) | (321) | (1,777) | (464) | |
Investment Activities | Residential loans held-for-investment, at Redwood | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | (5,885) | 0 | (3,907) | 0 | |
Investment Activities | Risk sharing investments | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Changes in fair value of assets | $ 228 | $ 0 | $ (702) | $ 0 | |
[1] | For the three months ended June 30, 2015, there were no other-than-temporary impairments. For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement and $2,651 were recognized in Accumulated Other Comprehensive Income.For the six months ended June 30, 2015, there were no other-then-temporary impairments. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. |
Operating Expenses - Components
Operating Expenses - Components of Operating Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Other Income and Expenses [Abstract] | ||||
Fixed compensation expense | $ 9,286 | $ 6,872 | $ 18,441 | $ 13,664 |
Variable compensation expense | 3,578 | 3,243 | 7,569 | 5,974 |
Equity compensation expense | 3,539 | 2,824 | 6,277 | 5,154 |
Total compensation expense | 16,403 | 12,939 | 32,287 | 24,792 |
Systems and consulting | 2,242 | 3,977 | 4,364 | 7,443 |
Accounting and legal | 1,130 | 1,183 | 2,707 | 2,816 |
Office costs | 1,366 | 1,170 | 2,598 | 2,155 |
Corporate costs | 512 | 558 | 1,037 | 1,111 |
Other operating expenses | 3,565 | 2,455 | 7,288 | 3,937 |
Total Operating Expenses | $ 25,218 | $ 22,282 | $ 50,281 | $ 42,254 |
Taxes - Additional Information
Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Tax Disclosure [Abstract] | ||||
Benefit from income taxes | $ (2,448) | $ (333) | $ 2,868 | $ 1,510 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Detail) | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 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 | (15.60%) | (2.50%) |
Change in valuation allowance | 1.60% | 1.20% |
Dividends paid deduction | (34.60%) | (45.50%) |
Effective Tax Rate | (7.40%) | (5.60%) |
Segment Information - Additiona
Segment Information - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2015Segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Segment Reporting Information [Line Items] | |||||
Interest income | $ 63,373 | $ 57,993 | $ 127,119 | $ 113,469 | |
Interest expense | (23,008) | (21,151) | (46,969) | (40,211) | |
Net Interest Income | 40,365 | 36,842 | 80,150 | 73,258 | |
Provision for loan losses | 261 | 315 | 55 | (967) | |
Mortgage banking and investment activities | [1] | 5,659 | 2,189 | 6,437 | (4,181) |
MSR income (loss), net | 830 | (1,777) | (10,094) | (1,171) | |
Other income | 1,299 | 0 | 2,108 | 0 | |
Realized gains, net | 6,316 | 1,063 | 10,622 | 2,155 | |
Total non-interest income (loss) | 14,104 | 1,475 | 9,073 | (3,197) | |
Direct operating expenses | (25,218) | (22,282) | (50,281) | (42,254) | |
(Provision for) benefit from income taxes | (2,448) | (333) | 2,868 | 1,510 | |
Net Income | 27,064 | 16,017 | 41,865 | 28,350 | |
Non-cash amortization income (expense) | 8,207 | 8,262 | 16,968 | 17,338 | |
Hedging allocations | 0 | 0 | |||
Operating Segments | Residential Mortgage Banking | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 9,976 | 12,438 | 25,771 | 23,104 | |
Interest expense | (3,298) | (2,161) | (7,076) | (3,482) | |
Net Interest Income | 6,678 | 10,277 | 18,695 | 19,622 | |
Provision for loan losses | 0 | 0 | 0 | 0 | |
Mortgage banking and investment activities | 4,833 | 1,342 | 7,052 | 276 | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Other income | 0 | 0 | |||
Realized gains, net | 0 | 0 | 0 | 0 | |
Total non-interest income (loss) | 4,833 | 1,342 | 7,052 | 276 | |
Direct operating expenses | (11,033) | (9,501) | (21,936) | (16,595) | |
(Provision for) benefit from income taxes | 865 | 259 | 872 | 94 | |
Net Income | 1,343 | 2,377 | 4,683 | 3,397 | |
Non-cash amortization income (expense) | (44) | (36) | (90) | (88) | |
Hedging allocations | 2,803 | 2,803 | |||
Operating Segments | Residential Investments | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 34,249 | 27,924 | 64,261 | 55,519 | |
Interest expense | (2,660) | (3,116) | (5,469) | (5,966) | |
Net Interest Income | 31,589 | 24,808 | 58,792 | 49,553 | |
Provision for loan losses | 0 | 0 | 0 | 0 | |
Mortgage banking and investment activities | (1,104) | (3,788) | (1,123) | (9,746) | |
MSR income (loss), net | 830 | (1,777) | (10,094) | (1,171) | |
Other income | 1,299 | 0 | 2,108 | ||
Realized gains, net | 6,316 | 992 | 10,622 | 1,979 | |
Total non-interest income (loss) | 7,341 | (4,573) | 1,513 | (8,938) | |
Direct operating expenses | (1,171) | (770) | (2,289) | (1,865) | |
(Provision for) benefit from income taxes | (3,768) | 149 | (258) | 1,676 | |
Net Income | 33,991 | 19,614 | 57,758 | 40,426 | |
Non-cash amortization income (expense) | 9,324 | 10,586 | 19,162 | 21,833 | |
Hedging allocations | (2,753) | (2,753) | |||
Operating Segments | Commercial Mortgage Banking and Investments | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 12,679 | 11,217 | 23,593 | 21,601 | |
Interest expense | (3,497) | (4,404) | (6,986) | (7,708) | |
Net Interest Income | 9,182 | 6,813 | 16,607 | 13,893 | |
Provision for loan losses | 261 | (289) | 55 | (944) | |
Mortgage banking and investment activities | 2,614 | 4,981 | 2,321 | 5,814 | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Other income | 0 | 0 | |||
Realized gains, net | 0 | 0 | 0 | 0 | |
Total non-interest income (loss) | 2,614 | 4,981 | 2,321 | 5,814 | |
Direct operating expenses | (3,020) | (2,180) | (6,502) | (4,806) | |
(Provision for) benefit from income taxes | (143) | (750) | 710 | (395) | |
Net Income | 8,894 | 8,575 | 13,191 | 13,562 | |
Non-cash amortization income (expense) | (78) | (215) | (128) | (388) | |
Hedging allocations | 0 | 0 | |||
Corporate/Other | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 6,469 | 6,414 | 13,494 | 13,245 | |
Interest expense | (13,553) | (11,470) | (27,438) | (23,055) | |
Net Interest Income | (7,084) | (5,056) | (13,944) | (9,810) | |
Provision for loan losses | 0 | 604 | 0 | (23) | |
Mortgage banking and investment activities | (684) | (346) | (1,813) | (525) | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Other income | 0 | 0 | |||
Realized gains, net | 0 | 71 | 0 | 176 | |
Total non-interest income (loss) | (684) | (275) | (1,813) | (349) | |
Direct operating expenses | (9,994) | (9,831) | (19,554) | (18,988) | |
(Provision for) benefit from income taxes | 598 | 9 | 1,544 | 135 | |
Net Income | (17,164) | (14,549) | (33,767) | (29,035) | |
Non-cash amortization income (expense) | (995) | $ (2,073) | (1,976) | $ (4,019) | |
Hedging allocations | $ (50) | $ (50) | |||
[1] | For the three months ended June 30, 2015, there were no other-than-temporary impairments. For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement and $2,651 were recognized in Accumulated Other Comprehensive Income.For the six months ended June 30, 2015, there were no other-then-temporary impairments. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. |
Segment Information - Component
Segment Information - Components of Corporate/Other (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Segment Reporting Information [Line Items] | |||||
Interest income | $ 63,373 | $ 57,993 | $ 127,119 | $ 113,469 | |
Interest expense | (23,008) | (21,151) | (46,969) | (40,211) | |
Net Interest Income | 40,365 | 36,842 | 80,150 | 73,258 | |
Provision for loan losses | 261 | 315 | 55 | (967) | |
Mortgage banking and investment activities | [1] | 5,659 | 2,189 | 6,437 | (4,181) |
MSR income (loss), net | 830 | (1,777) | (10,094) | (1,171) | |
Realized gains, net | 6,316 | 1,063 | 10,622 | 2,155 | |
Total noninterest income, net | 14,104 | 1,475 | 9,073 | (3,197) | |
Direct operating expenses | (25,218) | (22,282) | (50,281) | (42,254) | |
Benefit from income taxes | (2,448) | (333) | 2,868 | 1,510 | |
Net income | 27,064 | 16,017 | 41,865 | 28,350 | |
Legacy Consolidated VIEs | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 6,462 | 6,411 | 13,480 | 13,240 | |
Interest expense | (4,048) | (5,240) | (8,530) | (10,699) | |
Net Interest Income | 2,414 | 1,171 | 4,950 | 2,541 | |
Provision for loan losses | 0 | 604 | 0 | (23) | |
Mortgage banking and investment activities | (684) | (321) | (1,777) | (464) | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Realized gains, net | 0 | 71 | 0 | 176 | |
Total noninterest income, net | (684) | (250) | (1,777) | (288) | |
Direct operating expenses | 0 | (42) | 0 | (94) | |
Benefit from income taxes | 0 | 0 | 0 | 0 | |
Net income | 1,730 | 1,483 | 3,173 | 2,136 | |
Other | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 7 | 3 | 14 | 5 | |
Interest expense | (9,505) | (6,230) | (18,908) | (12,356) | |
Net Interest Income | (9,498) | (6,227) | (18,894) | (12,351) | |
Provision for loan losses | 0 | 0 | 0 | 0 | |
Mortgage banking and investment activities | 0 | (25) | (36) | (61) | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Realized gains, net | 0 | 0 | 0 | 0 | |
Total noninterest income, net | 0 | (25) | (36) | (61) | |
Direct operating expenses | (9,994) | (9,789) | (19,554) | (18,894) | |
Benefit from income taxes | 598 | 9 | 1,544 | 135 | |
Net income | (18,894) | (16,032) | (36,940) | (31,171) | |
Corporate/Other | |||||
Segment Reporting Information [Line Items] | |||||
Interest income | 6,469 | 6,414 | 13,494 | 13,245 | |
Interest expense | (13,553) | (11,470) | (27,438) | (23,055) | |
Net Interest Income | (7,084) | (5,056) | (13,944) | (9,810) | |
Provision for loan losses | 0 | 604 | 0 | (23) | |
Mortgage banking and investment activities | (684) | (346) | (1,813) | (525) | |
MSR income (loss), net | 0 | 0 | 0 | 0 | |
Realized gains, net | 0 | 71 | 0 | 176 | |
Total noninterest income, net | (684) | (275) | (1,813) | (349) | |
Direct operating expenses | (9,994) | (9,831) | (19,554) | (18,988) | |
Benefit from income taxes | 598 | 9 | 1,544 | 135 | |
Net income | $ (17,164) | $ (14,549) | $ (33,767) | $ (29,035) | |
[1] | For the three months ended June 30, 2015, there were no other-than-temporary impairments. For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement and $2,651 were recognized in Accumulated Other Comprehensive Income.For the six months ended June 30, 2015, there were no other-then-temporary impairments. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Detail) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Segment Reporting Information [Line Items] | |||
Residential loans | $ 3,286,480 | $ 3,398,573 | |
Commercial loans | 551,331 | 566,927 | |
Real estate securities | [1] | 1,157,599 | 1,379,230 |
Mortgage servicing rights | [1] | 168,462 | 139,293 |
Total assets | [1] | 5,595,884 | 5,918,966 |
Operating Segments | Residential Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 892,081 | 1,342,519 | |
Commercial loans | 0 | 0 | |
Real estate securities | 0 | 93,802 | |
Mortgage servicing rights | 0 | 0 | |
Total assets | 938,720 | 1,468,856 | |
Operating Segments | Residential Investments | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 1,157,285 | 581,668 | |
Commercial loans | 0 | 0 | |
Real estate securities | 1,157,599 | 1,285,428 | |
Mortgage servicing rights | 168,462 | 139,293 | |
Total assets | 2,559,481 | 2,057,256 | |
Operating Segments | Commercial Mortgage Banking and Investments | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 0 | 0 | |
Commercial loans | 551,331 | 566,927 | |
Real estate securities | 0 | 0 | |
Mortgage servicing rights | 0 | 0 | |
Total assets | 560,956 | 575,943 | |
Corporate/Other | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 1,237,114 | 1,474,386 | |
Commercial loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
Mortgage servicing rights | 0 | 0 | |
Total assets | $ 1,536,727 | $ 1,816,911 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2015 and December 31, 2014, assets of consolidated VIEs totaled $1,622,636 and $1,900,208, respectively, and liabilities of consolidated VIEs totaled $1,263,249 and $1,546,490, respectively. See Note 4 for further discussion. |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | Aug. 07, 2015 | Nov. 30, 2007 |
Subsequent Event [Line Items] | ||
Common stock authorized to repurchase by Board | $ 5,000,000 | |
Subsequent event | ||
Subsequent Event [Line Items] | ||
Common stock authorized to repurchase by Board | $ 100,000,000 |