Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 02, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
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 | 76,964,286 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
ASSETS | ||||
Residential loans | $ 3,715,056 | $ 3,928,803 | ||
Commercial loans | 363,893 | 402,647 | ||
Real estate securities, at fair value | [1] | 919,927 | 1,233,256 | |
Mortgage servicing rights, at fair value | 126,620 | 191,976 | [1] | |
Cash and cash equivalents | [1] | 305,115 | 220,229 | |
Total earning assets | [1] | 5,430,611 | 5,976,911 | |
Restricted cash | [1] | 2,137 | 5,567 | |
Accrued interest receivable | [1] | 19,766 | 23,290 | |
Derivative assets | [1] | 31,975 | 16,393 | |
Other assets | [1] | 242,391 | 197,886 | |
Total Assets | [1] | 5,726,880 | 6,220,047 | |
Liabilities | ||||
Short-term debt | [1] | 804,175 | 1,855,003 | |
Accrued interest payable | [1] | 15,522 | 8,936 | |
Derivative liabilities | [1] | 97,468 | 62,794 | |
Accrued expenses and other liabilities | [1] | 82,169 | 69,897 | |
Asset-backed securities issued (includes $1,105,588 and $0 at fair value) | [1],[2] | 958,364 | 1,049,415 | |
Long-term debt (includes $65,181 and $63,152 at fair value), net (2) | [1],[2] | 2,683,432 | 2,027,737 | |
Total liabilities | [1] | 4,641,130 | 5,073,782 | |
Equity | ||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,627,231 and 78,162,765 issued and outstanding | [1] | 766 | 782 | |
Additional paid-in capital | [1] | 1,680,981 | 1,695,956 | |
Accumulated other comprehensive income | [1] | 56,712 | 91,993 | |
Cumulative earnings | [1] | 1,030,746 | 1,018,683 | |
Cumulative distributions to stockholders | [1] | (1,683,455) | (1,661,149) | |
Total equity | [1] | 1,085,750 | 1,146,265 | |
Total Liabilities and Equity | [1] | 5,726,880 | 6,220,047 | |
Residential loans, held-for-sale, at fair value | ||||
ASSETS | ||||
Residential loans | [1] | 441,076 | 1,115,738 | |
Residential loans, held-for-investment, at fair value | ||||
ASSETS | ||||
Residential loans | [1] | 3,273,980 | 2,813,065 | |
Commercial loans, held-for-sale, at fair value | ||||
ASSETS | ||||
Commercial loans | [1] | 0 | 39,141 | |
Commercial loans, held-for-investment (includes $69,674 and $67,657 at fair value) | ||||
ASSETS | ||||
Commercial loans | [1] | $ 363,893 | $ 363,506 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. | |||
[2] | At March 31, 2016 and December 31, 2015, Asset-backed securities issued, net included $339 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $9,513 and $10,438, respectively, of deferred debt issuance costs. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Asset-backed securities at fair value | $ 907,023 | $ 996,820 |
Long-term debt at fair value | $ 65,181 | $ 63,152 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 180,000,000 | 180,000,000 |
Common stock, issued | 76,627,231 | 78,162,765 |
Common stock, outstanding | 76,627,231 | 78,162,765 |
Variable interest held by entity, assets | $ 1,102,195 | $ 1,195,574 |
Variable interest held by entity, liabilities | 959,464 | 1,050,861 |
Carrying value of loans | 3,715,056 | 3,928,803 |
Commercial Loans Held For Investment | ||
Loans at fair value | 69,674 | 67,657 |
Asset-backed Securities | ||
Deferred debt issuance costs | 339 | 542 |
Long-term debt | ||
Deferred debt issuance costs | $ 9,513 | $ 10,438 |
Consolidated Statements Of Inco
Consolidated Statements Of Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest Income | ||
Residential loans | $ 31,400 | $ 25,009 |
Commercial loans | 9,460 | 10,914 |
Real estate securities | 21,095 | 27,775 |
Other interest income | 373 | 48 |
Total interest income | 62,328 | 63,746 |
Interest Expense | ||
Short-term debt | (6,697) | (7,224) |
Asset-backed securities issued | (4,282) | (6,202) |
Long-term debt | (12,971) | (10,535) |
Total Interest Expense | (23,950) | (23,961) |
Net Interest Income | 38,378 | 39,785 |
Provision for loan losses | (289) | (206) |
Net Interest Income After Provision | 38,089 | 39,579 |
Noninterest Income | ||
Mortgage banking activities, net | 7,218 | 1,923 |
Mortgage servicing rights income (loss), net | 6,281 | (10,924) |
Investment fair value changes, net | (19,538) | (1,145) |
Other income | 955 | 809 |
Realized gains, net | 9,538 | 4,306 |
Total non-interest income (loss), net | 4,454 | (5,031) |
Operating expenses | (30,452) | (25,063) |
Net income before provision for income taxes | 12,091 | 9,485 |
(Provision for) benefit from income taxes | (28) | 5,316 |
Net Income | $ 12,063 | $ 14,801 |
Basic earnings per common share (usd per share) | $ 0.15 | $ 0.17 |
Diluted earnings per common share (usd per share) | 0.15 | 0.16 |
Regular dividends declared per common share (usd per share) | $ 0.28 | $ 0.28 |
Basic weighted average shares outstanding (shares) | 77,137,682 | 83,360,312 |
Diluted weighted average shares outstanding (shares) | 77,137,682 | 85,622,216 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 12,063 | $ 14,801 |
Other comprehensive income (loss): | ||
Net unrealized (loss) gain on available-for-sale securities | (10,103) | 5,053 |
Reclassification of unrealized gain on available-for-sale securities to net income | (10,953) | (1,690) |
Net unrealized loss on interest rate agreements | (14,243) | (8,442) |
Reclassification of unrealized loss on interest rate agreements to net income | 18 | 31 |
Total other comprehensive income (loss) | (35,281) | (5,048) |
Total Comprehensive Income (Loss) | $ (23,218) | $ 9,753 |
Consolidated Statements Of Chan
Consolidated Statements Of Changes In Equity - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | ||
Increase (Decrease) in Stockholders' Equity | ||||||||
Cumulative adjustment - adoption of ASU 2014-13 | Accounting Standards Update 2014-13 | [1] | $ 9,728 | $ 9,728 | |||||
Adjusted balance | 1,265,869 | $ 834 | $ 1,774,030 | $ 140,688 | 916,595 | $ (1,566,278) | ||
Beginning balance (in shares) at Dec. 31, 2014 | 83,443,141 | |||||||
Beginning balance at Dec. 31, 2014 | 1,256,141 | $ 834 | 1,774,030 | 140,688 | 906,867 | (1,566,278) | ||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net income | 14,801 | 14,801 | ||||||
Other comprehensive income (loss) | (5,048) | (5,048) | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans (in shares) | 185,045 | |||||||
Dividend reinvestment & stock purchase plans | 3,241 | $ 2 | 3,239 | |||||
Employee stock purchase and incentive plans (in shares) | 120,435 | |||||||
Employee stock purchase and incentive plans | (183) | $ 1 | (184) | |||||
Non-cash equity award compensation | 2,692 | 2,692 | ||||||
Common dividends declared | (24,162) | (24,162) | ||||||
Ending balance (in shares) at Mar. 31, 2015 | 83,748,621 | |||||||
Ending balance at Mar. 31, 2015 | 1,257,210 | $ 837 | 1,779,777 | 135,640 | 931,396 | (1,590,440) | ||
Beginning balance (in shares) (Previously Reported) at Dec. 31, 2015 | 78,162,765 | |||||||
Beginning balance (Previously Reported) at Dec. 31, 2015 | 1,146,265 | $ 782 | 1,695,956 | 91,993 | 1,018,683 | (1,661,149) | ||
Beginning balance at Dec. 31, 2015 | [2] | 1,146,265 | ||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net income | 12,063 | 12,063 | ||||||
Other comprehensive income (loss) | (35,281) | (35,281) | ||||||
Issuance of common stock: | ||||||||
Employee stock purchase and incentive plans (in shares) | 73,651 | |||||||
Employee stock purchase and incentive plans | (152) | $ 0 | (152) | |||||
Non-cash equity award compensation | 5,782 | 5,782 | ||||||
Share repurchases (in shares) | (1,609,185) | |||||||
Share repurchases | (20,621) | $ (16) | (20,605) | |||||
Common dividends declared | (22,306) | (22,306) | ||||||
Ending balance (in shares) at Mar. 31, 2016 | 76,627,231 | |||||||
Ending balance at Mar. 31, 2016 | $ 1,085,750 | [2] | $ 766 | $ 1,680,981 | $ 56,712 | $ 1,030,746 | $ (1,683,455) | |
[1] | On January 1, 2015, we adopted ASU 2014-13, "Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity," and recorded this cumulative-effect adjustment, which represents the net effect of adjusting the assets and liabilities of the consolidated Sequoia collateralized financing entities ("CFEs") from amortized historical cost to fair value. | |||||||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Cash Flows From Operating Activities: | |||
Net income | $ 12,063 | $ 14,801 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | (7,568) | (9,176) | |
Depreciation and amortization of non-financial assets | 277 | 143 | |
Purchases of held-for-sale loans | (1,245,068) | (2,558,425) | |
Proceeds from sales of held-for-sale loans | 1,336,617 | 2,455,452 | |
Principal payments on held-for-sale loans | 23,518 | 14,394 | |
Net settlements of derivatives | (1,154) | (19,373) | |
Provision for loan losses | 289 | 206 | |
Non-cash equity award compensation expense | 5,782 | 2,692 | |
Market valuation adjustments | 15,848 | 19,435 | |
Realized gains, net | (9,538) | (4,306) | |
Net change in: | |||
Accrued interest receivable and other assets | (30,056) | (38,394) | |
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 4,966 | 3,476 | |
Net cash provided by (used in) operating activities | 105,976 | (119,075) | |
Cash Flows From Investing Activities: | |||
Purchases of loans held-for-investment | 0 | (7,600) | |
Proceeds from sales of loans held-for-investment | 6,298 | 0 | |
Principal payments on loans held-for-investment | 125,631 | 101,754 | |
Purchases of real estate securities | (48,446) | (15,613) | |
Proceeds from sales of real estate securities | 340,798 | 77,293 | |
Principal payments on real estate securities | 22,401 | 26,313 | |
Purchase of mortgage servicing rights | (5,397) | (5,173) | |
Proceeds from sales of mortgage servicing rights | 28,268 | 17,235 | |
Net change in restricted cash | 3,430 | (97) | |
Net cash provided by investing activities | 472,983 | 194,112 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 1,027,320 | 1,641,380 | |
Repayments on short-term debt | (2,078,148) | (1,933,041) | |
Proceeds from issuance of asset-backed securities | 0 | 420 | |
Repayments on asset-backed securities issued | (50,868) | (80,918) | |
Deferred securities issuance costs | 0 | (32) | |
Proceeds from issuance of long-term debt | 771,287 | 354,932 | |
Repayments on long-term debt | (118,146) | 0 | |
Net settlements of derivatives | (73) | 658 | |
Net proceeds from issuance of common stock | 77 | 134 | |
Net payments on repurchase of common stock | (22,987) | 0 | |
Taxes paid on equity award distributions | (229) | (318) | |
Dividends paid | (22,306) | (24,162) | |
Net cash used in financing activities | (494,073) | (40,947) | |
Net increase in cash and cash equivalents | 84,886 | 34,090 | |
Cash and cash equivalents at beginning of period | 220,229 | [1] | 269,730 |
Cash and cash equivalents at end of period | 305,115 | [1] | 303,820 |
Cash paid during the period for: | |||
Interest | 18,634 | 15,032 | |
Taxes | 64 | 38 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 0 | 6,282 | |
Retention of mortgage servicing rights from loan securitizations and sales | 3,463 | 15,675 | |
Transfers from loans held-for-sale to loans held-for-investment | 660,818 | 447,840 | |
Transfers from loans held-for-investment to loans held-for-sale | 54,747 | 0 | |
Transfers from residential loans to real estate owned | $ 2,042 | $ 3,166 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Organization
Organization | 3 Months Ended |
Mar. 31, 2016 | |
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 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 mortgage banking activities. We operate our business in three segments: Residential Investments, Residential Mortgage Banking, and Commercial. 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. 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 sponsor our Sequoia securitization program, which we use for the securitization of residential mortgage loans. References to Sequoia with respect to any time or period generally refer collectively to all the then consolidated Sequoia securitization entities for the periods presented. We have also engaged in securitization transactions in order to obtain financing for certain of our securities and commercial loans. |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at March 31, 2016 and December 31, 2015 , and for the three months ended March 31, 2016 and 2015 . 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, 2015 . In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at March 31, 2016 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2016 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 mortgage servicing right ("MSR") investments. As a result, beginning in the second quarter of 2015, we 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, in the first quarter of 2016, we began to present the changes in fair value of certain investments and their associated derivatives in the new line item "Investment fair value changes, net" on our consolidated statements of income and began to present income from mortgage banking activities in "Mortgage banking activities, net" on our consolidated statements of income. We conformed the presentation of prior periods related to this change for consistency of comparison. See Notes 18 and 19 for additional detail on the components of these income statement line items. 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 commercial securitization we engaged in during 2012 (“Commercial Securitization”). We also consolidated the assets and liabilities of an entity formed in connection with a resecuritization transaction we engaged in (“Residential Resecuritization”) from its creation in 2011 through the fourth quarter of 2015, when the debt of the entity was repaid, the assets of the entity were distributed to us, and the entity was dissolved. 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 | 3 Months Ended |
Mar. 31, 2016 | |
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 2015 Annual Report on Form 10-K is a summary of our significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the company’s consolidated financial condition and results of operations for the three months ended March 31, 2016 . Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In April 2015, the FASB issued ASU 2015-05, “Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Fees Paid in a Cloud-Computing Arrangement.” This new guidance provides additional guidance on accounting for fees paid in a cloud-computing arrangement that contains a software license. This new guidance is effective for fiscal years beginning after December 15, 2015. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. 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, and is required to be applied on a retrospective basis. We adopted this guidance, as required, in the first quarter of 2016 and now present our deferred securities issuance costs as a reduction to the related liabilities on our consolidated balance sheets for all periods presented. At March 31, 2016 and December 31, 2015 , we included $0.3 million and $0.5 million , respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented it as ABS issued, net on our consolidated balance sheets and, for both periods, we included $10 million of deferred securities issuance costs as a reduction to our long-term debt and presented it as Long-term debt, net on our consolidated balance sheets. 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. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In March 2016, the FASB issued 2016 ASU 2016-09,"Compensation - Stock compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting." This new guidance is to simplify the accounting for share-based payment transactions, including related income tax accounting, classification of awards, and classification on the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2016. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not believe it will have a material impact to our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02,"Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In January 2016, the FASB issued ASU 2016-01,"Recognition and Measurement of Financial Assets and Financial Liabilities." This new guidance amends accounting related to the classification and measurement of investments in equity securities and the presentation of certain fair value changes for financial liabilities measured at fair value. This new guidance also amends certain disclosure requirements associated with the fair value of financial instruments and it is effective for fiscal years beginning after December 15, 2017. We are currently evaluating the impact that this update will have on our consolidated financial statements. 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. In March 2016, the FASB issued ASU 2016-08, "Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net)." This new guidance provides additional implementation guidance on how an entity should identify the unit of accounting for the principal versus agent evaluations. We are currently evaluating the impact these updates will have on our consolidated financial statements. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2016 and December 31, 2015 . Table 3.1 – 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 March 31, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,188 $ — $ 24,188 $ (18,926 ) $ (4,581 ) $ 681 TBAs 2,843 — 2,843 (1,339 ) — 1,504 Total Assets $ 27,031 $ — $ 27,031 $ (20,265 ) $ (4,581 ) $ 2,185 Liabilities (2) Interest rate agreements $ (92,100 ) $ — $ (92,100 ) $ 18,926 $ 73,174 $ — TBAs (3,739 ) — (3,739 ) 1,339 1,680 (720 ) Futures (1,324 ) — (1,324 ) — 1,324 — Loan warehouse debt (368,679 ) — (368,679 ) 368,679 — — Security repurchase agreements (435,496 ) — (435,496 ) 435,496 — — Total Liabilities $ (901,338 ) $ — $ (901,338 ) $ 824,440 $ 76,178 $ (720 ) 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, 2015 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 7,781 $ — $ 7,781 $ (5,651 ) $ (1,917 ) $ 213 Credit default index swaps 1,207 — 1,207 — (720 ) 487 TBAs 2,734 — 2,734 (1,898 ) (293 ) 543 Total Assets $ 11,722 $ — $ 11,722 $ (7,549 ) $ (2,930 ) $ 1,243 Liabilities (2) Interest rate agreements $ (58,366 ) $ — $ (58,366 ) $ 5,651 $ 52,715 $ — TBAs (2,519 ) — (2,519 ) 1,898 7 (614 ) Futures (445 ) — (445 ) — 445 — Loan warehouse debt (1,023,740 ) — (1,023,740 ) 1,023,740 — — Security repurchase agreements (693,641 ) — (693,641 ) 693,641 — — Total Liabilities $ (1,778,711 ) $ — $ (1,778,711 ) $ 1,724,930 $ 53,167 $ (614 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements, TBAs, 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 | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs As of March 31, 2016 , the VIEs we are required to consolidate include certain Sequoia securitization entities and the Commercial Securitization entity. In addition, we consolidated the Residential Resecuritization from its creation in 2011 through the fourth quarter of 2015, when the VIE was dissolved. 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. Table 4.1 – Assets and Liabilities of Consolidated VIEs March 31, 2016 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 930,027 $ — $ 930,027 Commercial loans, held-for-investment — 164,626 164,626 Restricted cash 147 136 283 Accrued interest receivable 1,038 1,290 2,328 Other assets 4,884 47 4,931 Total Assets $ 936,096 $ 166,099 $ 1,102,195 Accrued interest payable $ 519 $ 242 $ 761 Asset-backed securities issued 907,023 51,680 958,703 Total Liabilities $ 907,542 $ 51,922 $ 959,464 Number of VIEs 20 1 21 December 31, 2015 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 1,021,870 $ — $ 1,021,870 Commercial loans, held-for-investment — 166,016 166,016 Real estate securities — — — Restricted cash 228 137 365 Accrued interest receivable 1,131 1,297 2,428 Other assets 4,895 — 4,895 Total Assets $ 1,028,124 $ 167,450 $ 1,195,574 Accrued interest payable $ 555 $ 249 $ 804 Accrued expenses and other liabilities 100 — 100 Asset-backed securities issued, net 996,820 53,137 1,049,957 Total Liabilities $ 997,475 $ 53,386 $ 1,050,861 Number of VIEs 21 1 22 Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 26 Sequoia securitization entities sponsored by us and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For the transferred loans where we held the servicing rights prior to the transfer and continue to hold the servicing rights, we recorded MSRs on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining residential MSRs (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2016 2015 Principal balance of loans transferred $ — $ 338,796 Trading securities retained, at fair value — 3,423 AFS securities retained, at fair value — 2,859 MSRs recognized — 1,872 The following table summarizes the cash flows during the three months ended March 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2016 2015 Proceeds from new transfers $ — $ 341,716 MSR fees received 3,523 3,770 Funding of compensating interest (79 ) (90 ) Cash flows received on retained securities 11,191 12,645 The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Subordinate Securities Prepayment rate N/A N/A 5 % - 19 % 8 % Discount rates N/A N/A 11 % 6 % Credit loss assumptions N/A N/A N/A 0.25 % The following table presents additional information at March 31, 2016 and December 31, 2015 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) March 31, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 32,434 $ 258,697 Senior and subordinate securities, classified as AFS 274,380 272,715 Mortgage servicing rights 39,220 56,984 Maximum loss exposure (1) $ 346,034 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 7,055,574 $ 7,318,167 Principal balance of delinquent loans 30+ days delinquent 15,235 18,300 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood March 31, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at March 31, 2016 $ 39,220 $ 22,177 $ 284,637 Expected life (in years) (2) 4 4 11 Prepayment speed assumption (annual CPR) (2) 21 % 14 % 13 % Decrease in fair value from: 10% adverse change $ 2,423 $ 1,297 $ 969 25% adverse change 5,800 3,039 2,459 Discount rate assumption (2) 11 % 11 % 6 % Decrease in fair value from: 100 basis point increase $ 1,024 $ 650 $ 21,432 200 basis point increase 2,012 1,264 40,189 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 15 $ 1,213 25% higher losses N/A 38 3,042 December 31, 2015 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2015 $ 56,984 $ 248,570 $ 282,842 Expected life (in years) (2) 7 5 12 Prepayment speed assumption (annual CPR) (2) 11 % 10 % 12 % Decrease in fair value from: 10% adverse change $ 2,868 $ 2,042 $ 901 25% adverse change 6,119 4,810 2,278 Discount rate assumption (2) 11 % 5 % 6 % Decrease in fair value from: 100 basis point increase $ 2,711 $ 10,029 $ 21,981 200 basis point increase 4,745 19,365 41,156 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 35 $ 1,244 25% higher losses N/A 86 3,129 (1) Senior securities included $22 million and $31 million of interest only securities as of March 31, 2016 and December 31, 2015 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. Analysis of Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at March 31, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) March 31, 2016 Mortgage Backed Securities Senior $ 146,030 Re-REMIC 162,970 Subordinate 304,113 Total Investments in Third-Party Sponsored VIEs $ 613,113 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 | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities March 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 439,674 $ 439,674 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,402 1,594 1,433 1,635 Residential loans, held-for-investment (1) At fair value 3,273,980 3,273,980 2,813,065 2,813,065 Commercial loans, held-for-sale — — 39,141 39,141 Commercial loans, held-for-investment At fair value 69,674 69,674 67,657 67,657 At amortized cost 294,219 301,488 295,849 300,824 Trading securities 221,571 221,571 404,011 404,011 Available-for-sale securities 698,356 698,356 829,245 829,245 MSRs 126,620 126,620 191,976 191,976 Cash and cash equivalents 305,115 305,115 220,229 220,229 Restricted cash 2,137 2,137 5,567 5,567 Accrued interest receivable 19,766 19,766 23,290 23,290 Derivative assets 31,975 31,975 16,393 16,393 REO (2) 4,884 5,475 4,896 5,282 Margin receivable (2) 107,941 107,941 83,191 83,191 FHLBC stock (2) 44,071 44,071 34,437 34,437 Guarantee asset (2) 4,272 4,272 5,697 5,697 Pledged collateral (2) 59,664 59,664 53,600 53,600 Liabilities Short-term debt $ 804,175 $ 804,175 $ 1,855,003 $ 1,855,003 Accrued interest payable 15,522 15,522 8,936 8,936 Margin payable 14,247 14,247 6,415 6,415 Guarantee obligation 24,896 23,595 22,704 22,702 Derivative liabilities 97,468 97,468 62,794 62,794 ABS issued, net (1) (2) Fair value 907,023 907,023 996,820 996,820 Amortized cost 51,341 51,680 52,595 53,137 FHLBC long-term borrowings 1,999,999 1,999,999 1,343,023 1,343,023 Commercial secured borrowings 65,181 65,181 63,152 63,152 Convertible notes, net (2) 479,798 453,396 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,454 80,910 138,443 83,700 (1) These assets are included in other assets on our consolidated balance sheets. (2) On January 1, 2016, we adopted ASU 2015-03 and began to present ABS issued, convertible notes, and other long-term debt net of deferred debt issuance costs. See Note 3 for further discussion. During the three months ended March 31, 2016 , we elected the fair value option for $48 million of residential subordinate securities, $1.19 billion of residential loans (principal balance), $38 million of commercial loans (principal balance), and $9 million of MSRs. We anticipate electing the fair value option for all future purchases of residential loans that we intend to sell to third parties or transfer to securitizations as well as for MSRs purchased or retained from sales of residential loans. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2016 and December 31, 2015 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,713,654 $ — $ 1,387 $ 3,712,267 Commercial loans 69,674 — — 69,674 Trading securities 221,571 — — 221,571 Available-for-sale securities 698,356 — — 698,356 Derivative assets 31,975 2,843 24,188 4,944 MSRs 126,620 — — 126,620 Pledged collateral 59,664 59,664 — — FHLBC stock 44,071 — 44,071 — Guarantee asset 4,272 — — 4,272 Liabilities Derivative liabilities $ 97,468 $ 5,063 $ 92,100 $ 305 Commercial secured borrowings 65,181 — — 65,181 ABS issued 907,023 — — 907,023 December 31, 2015 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,927,370 $ — $ 129,819 $ 3,797,551 Commercial loans 106,798 — — 106,798 Trading securities 404,011 — — 404,011 Available-for-sale securities 829,245 — — 829,245 Derivative assets 16,393 2,734 8,988 4,671 MSRs 191,976 — — 191,976 Pledged collateral 53,600 53,600 — — FHLBC stock 34,437 — 34,437 — Guarantee asset 5,697 — — 5,697 Liabilities Derivative liabilities $ 62,794 $ 2,963 $ 58,368 $ 1,463 Commercial secured borrowings 63,152 — — 63,152 ABS issued 996,820 — — 996,820 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2016 . Table 5.3 – 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, 2015 $ 3,797,551 $ 106,798 $ 404,011 $ 829,245 $ 191,976 $ 5,697 $ 3,208 $ 63,152 $ 996,820 Acquisitions 1,020,846 37,626 47,760 15,585 8,807 — — — — Sales (941,790 ) (77,183 ) (220,123 ) (125,911 ) (29,559 ) — — — — Principal paydowns (161,241 ) (171 ) (5,718 ) (16,683 ) — — — (155 ) (49,411 ) Gains (losses) in net income, net (7,934 ) 2,604 (4,359 ) 17,314 (44,604 ) (1,425 ) 15,606 2,171 (33,515 ) Unrealized losses in OCI, net — — — (21,194 ) — — — — — Other settlements, net (2) 4,835 — — — — — (14,175 ) 13 (6,871 ) Ending balance - March 31, 2016 $ 3,712,267 $ 69,674 $ 221,571 $ 698,356 $ 126,620 $ 4,272 $ 4,639 $ 65,181 $ 907,023 (1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis. (2) Other settlements, net for derivatives represents the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans. The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2016 and 2015 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2016 and 2015 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2016 and 2015 Included in Net Income Included in Net Income Three Months Ended March 31, (In Thousands) 2016 2015 Assets Residential loans at Redwood $ 27,285 $ 5,464 Residential loans at consolidated Sequoia entities (35,656 ) 1,179 Commercial loans 2,171 2,959 Trading securities (6,135 ) (13,790 ) MSRs (30,834 ) (11,769 ) Loan purchase commitments 4,644 7,422 Other assets - Guarantee asset (1,425 ) (1,083 ) Liabilities Commercial secured borrowing 2,171 (1,509 ) ABS issued (33,515 ) (2,946 ) The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2016 . 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 consolidated balance sheet at March 31, 2016 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2016 Gain (Loss) for March 31, 2016 Carrying Value Fair Value Measurements Using Three Months Ended (In Thousands) Level 1 Level 2 Level 3 March 31, 2016 Assets Residential loans, at lower of cost or fair value $ 1,076 $ — $ — $ 1,076 $ (16 ) REO 1,285 — — 1,285 (252 ) Liabilities Guarantee obligation $ 928 $ — $ — $ 928 $ — The following table presents the net gains and losses recorded in each line item of our consolidated statements of income for the three months ended March 31, 2016 and 2015 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended March 31, (In Thousands) 2016 2015 Mortgage banking activities, net Residential loans held-for-sale, at fair value $ 5,439 $ 2,056 Residential loan purchase and forward sale commitments 12,635 18,256 Commercial loans, at fair value (1) 433 5,857 Sequoia securities 1,484 (14,359 ) Risk management derivatives, net (12,754 ) (10,583 ) Total mortgage banking activities, net (2) $ 7,237 $ 1,227 Investment fair value changes, net Residential loans held-for-investment at Redwood $ 23,463 $ 1,980 Net investments in consolidated Sequoia entities (1,580 ) (1,093 ) Trading securities (5,601 ) 270 Risk management derivatives, net (35,810 ) (1,374 ) Risk sharing investments (10 ) (928 ) Total investment fair value changes, net $ (19,538 ) $ (1,145 ) MSR income (loss), net MSRs $ (44,604 ) $ (19,517 ) Risk management derivatives, net 41,057 — Total MSR loss, net (3) $ (3,547 ) $ (19,517 ) Total Market Valuation Losses, Net $ (15,848 ) $ (19,435 ) (1) Commercial loans at fair value does not include commercial A-notes, which were sold in 2014, but did not qualify for sale treatment under GAAP. The market valuation gains and losses on the commercial A-notes and associated commercial secured borrowings net to zero in each period presented. (2) Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) MSR income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR income (loss), net on our consolidated statements of income, as these amounts do not represent market valuation adjustments. In addition, we did not specifically identify derivatives used to hedge MSRs in the first quarter of 2015. See Note 2 for additional detail. At March 31, 2016 , our valuation policy and processes had not changed from those described in our Annual Report on Form 10-K for the year ended December 31, 2015 . 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. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments March 31, 2016 Fair Value Weighted Average (Dollars in Thousands, except Input Values) Unobservable Input Range Assets Residential loans, at fair value: Jumbo fixed rate loans $ 2,494,912 Whole loan spread to TBA price $ 3.13 - $ 4.35 $ 4.12 Jumbo hybrid loans 83,124 Prepayment rate (annual CPR) 15 - 15 % 15 % Spread to swap rate 130 - 180 bps 151 bps Jumbo loans committed to sell 204,204 Committed Sales Price $ 101.91 - $ 102.30 $ 102.14 Loans held by consolidated Sequoia entities (1) 930,027 Liability price N/A N/A Residential loans, at lower of cost or fair value 1,076 Loss severity 15 - 30 % 29 % Commercial loans, at fair value 69,674 Spread to swap rate 212 - 212 bps 212 bps Credit support 25 - 25 % 25 % Trading and AFS securities 919,927 Discount rate 5 - 12 % 6 % Prepayment rate (annual CPR) 1 - 35 % 14 % Default rate — - 35 % 3 % Loss severity 20 - 65 % 23 % Credit support — - 48 % 4 % MSRs 126,620 Discount rate 8 - 13 % 10 % Prepayment rate (annual CPR) 4 - 60 % 15 % Per loan annual cost to service $ 72 - $ 82 $ 78 Guarantee asset 4,272 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 19 - 19 % 19 % REO 1,285 Loss severity 11 - 93 % 35 % Loan purchase commitments, net (2) 4,639 MSR Multiple 0.3 - 6.6 x 2.8 x Fallout rate 2 - 98 % 44 % Whole loan spread to TBA price 3.35 - 4.35 4.16 Prepayment rate (annual CPR) 15 - 15 % 15 % Spread to swap rate 130 - 180 bps 154 bps Liabilities ABS issued 907,023 Discount rate 5 - 9 % 5 % Prepayment rate (annual CPR) 5 - 20 % 12 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support — - 33 % 9 % Commercial secured borrowings 65,181 Spread to swap rate 212 - 212 bps 212 bps Credit support 25 % - 25 % 25 % (1) The fair value of the loans held by consolidated Sequoia entities was based on the fair value of the ABS issued by these entities, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. (2) For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net. 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 residential mortgage-backed securities ("RMBS") and indexed swap rates for subordinate RMBS (Level 3). Pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed to be announced ("TBA") prices for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Other observable inputs include benchmark interest rates, and prepayment rates. At March 31, 2016 , our jumbo fixed-rate loans were priced exclusively using whole loan sale inputs. 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 loans 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 generally 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 March 31, 2016 , we received dealer price indications on 68% of our securities, representing 84% 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. Fair values of TBAs and financial futures 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 for conforming loans are estimated based on quoted Agency mortgage-backed securities ("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 for conforming loans are obtained using quoted Agency prices. LPC fair values for jumbo loans are estimated based on the estimated fair values of the underlying loans (as described in " Residential loans " above) as well as the probability that the mortgage loan will be purchased (Level 3). 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 (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 would generally 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 were within 1% of 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 FHLB-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 2). Guarantee Asset The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to a 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 would generally 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). Guarantee Obligations In association with our risk sharing transactions with the Agencies, we have made certain guarantees. For these transactions, at the close of each delivery period, or at quarter-end for open delivery periods, we recognize a liability representing the fair value of the guarantee obligations we assumed. Fair values of guarantee obligations are determined using internal models that incorporate certain significant inputs that are considered unobservable and are therefore Level 3 in nature. Pricing inputs include prepayment assumptions, loss assumptions, and discount rates. An increase in discount rates or loss rates, or a decrease in prepayment rates, would reduce the estimated fair value of the guarantee obligations. 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, generally 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 2). 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 | 3 Months Ended |
Mar. 31, 2016 | |
Residential Loans | |
Mortgage Loans on Real Estate [Line Items] | |
Loans | Residential Loans We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at March 31, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of the Residential Loans March 31, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale Fair value - conforming $ 1,387 $ — $ 1,387 Fair value - jumbo 438,287 — 438,287 Lower of cost or fair value - jumbo 1,402 — 1,402 Total held-for-sale 441,076 — 441,076 Held-for-investment Fair value - jumbo 2,343,953 930,027 3,273,980 Total Residential Loans $ 2,785,029 $ 930,027 $ 3,715,056 December 31, 2015 (In Thousands) Redwood Sequoia Total Held-for-sale Fair value - conforming $ 129,819 $ — $ 129,819 Fair value - jumbo 984,486 — 984,486 Lower of cost or fair value - jumbo 1,433 — 1,433 Total held-for-sale 1,115,738 — 1,115,738 Held-for-investment Fair value - jumbo 1,791,195 1,021,870 2,813,065 Total Residential Loans $ 2,906,933 $ 1,021,870 $ 3,928,803 At March 31, 2016 , we owned mortgage servicing rights associated with $1.88 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 consolidated balance sheet. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At March 31, 2016 , we owned 588 loans held-for-sale at fair value with an aggregate unpaid principal balance of $429 million and a fair value of $440 million , compared to 1,763 loans with an aggregate unpaid principal balance of $1.09 billion and a fair value of $1.11 billion at December 31, 2015 . At March 31, 2016 , none of these loans were greater than 90 days delinquent or in foreclosure. At December 31, 2015 , two of these loans were greater than 90 days delinquent and one of these loans was in foreclosure. During the three months ended March 31, 2016 and 2015 , we purchased $1.19 billion and $2.40 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.24 billion and $2.20 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $5 million and $2 million , respectively, through Mortgage banking activities, net, a component of our consolidated statements of income. At March 31, 2016 , loans held-for-sale with a market value of $414 million were pledged as collateral under short-term borrowing agreements. At Lower of Cost or Fair Value At March 31, 2016 and December 31, 2015 , 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. At both March 31, 2016 and December 31, 2015 , two of these loans were greater than 90 days delinquent and one of these loans was in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At March 31, 2016 , we owned 3,096 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.28 billion and a fair value of $2.34 billion , compared to 2,398 loans with an aggregate unpaid principal balance of $1.76 billion and a fair value of $1.79 billion at December 31, 2015 . At both March 31, 2016 and December 31, 2015 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2016 and 2015 , we transferred loans with a fair value of $660 million and $448 million , respectively, from held-for-sale to held-for-investment. During the three months ended March 31, 2016 , we transferred loans with a fair value of $54 million from held-for-investments to held-for-sale. We did not transfer loans from held-for-investment to held-for-sale during the three months ended March 31, 2015 . During the three months ended March 31, 2016 and 2015 , we recorded net market valuation gains of $23 million and $2 million , respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net, a component of our consolidated statements of income. At March 31, 2016 , $2.34 billion of these loans were pledged as collateral under a borrowing agreement with the FHLBC. The outstanding loans held-for-investment at Redwood at March 31, 2016 were prime-quality, first lien loans, of which 93% were originated between 2013 and 2016, and 7% were originated in 2012 and prior years. 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 66% (at origination). At March 31, 2016 , these loans were comprised of 99% fixed-rate loans with a weighted average coupon of 4.16% , and the remainder were hybrid or ARM loans with a weighted average coupon of 4.00% . At Consolidated Sequoia Entities At March 31, 2016 , we owned 4,221 held-for-investment loans at consolidated Sequoia entities, with an aggregate unpaid principal balance of $1.06 billion and a fair value of $930 million , as compared to 4,545 loans at December 31, 2015 , with an aggregate unpaid principal balance of $1.12 billion and a fair value of $1.02 billion . At origination, the weighted average FICO score of borrowers backing these loans was 729 , the weighted average LTV ratio of these loans was 66% , and the loans were nearly all first lien and prime-quality. At March 31, 2016 and December 31, 2015 , the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $51 million and $59 million , respectively, and the unpaid principal balance of loans in foreclosure was $26 million and $32 million , respectively. During the three months ended March 31, 2016 and 2015 , we recorded net market valuation losses of $36 million and net market valuation gains of $3 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. |
Commercial Loans
Commercial Loans | 3 Months Ended |
Mar. 31, 2016 | |
Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Loans | Commercial Loans We invest in commercial loans that we historically originated or acquired. In February 2016, we discontinued commercial loan originations. The following table summarizes the classifications and carrying value of commercial loans at March 31, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) March 31, 2016 December 31, 2015 Held-for-sale, at fair value $ — $ 39,141 Held-for-investment At fair value 69,674 67,657 At amortized cost 294,219 295,849 Total Commercial Loans $ 363,893 $ 402,647 Of the held-for-investment commercial loans at amortized cost shown above at March 31, 2016 and December 31, 2015 , $165 million and $166 million , respectively, were financed through the Commercial Securitization entity, and $7 million and $135 million , respectively, were pledged as collateral under short-term borrowing arrangements. Commercial Loans Held-for-Sale at Fair Value Commercial loans held-for-sale include loans we originated with the intent to sell to third parties. At March 31, 2016 , we did not hold any senior commercial mortgage loans. As of December 31, 2015 , there were four senior commercial mortgage loans at fair value, with an aggregate outstanding principal balance of $39 million and an aggregate fair value of $39 million . During the three months ended March 31, 2016 and 2015 , we acquired $38 million and $93 million (principal balance), respectively, of senior commercial loans for which we elected the fair value option and sold $76 million and $203 million (principal balance), respectively, of loans to third parties. During the three months ended March 31, 2016 and 2015 , we recorded $0.4 million and $6 million , respectively, of net market valuation gains on senior commercial mortgage loans for which we elected the fair value option through Mortgage banking activities, net on our consolidated statements of income. Commercial Loans Held-for-Investment At Fair Value Commercial loans held-for-investment at fair value include senior mortgage loans for which we have elected the fair value option and have been split into senior A-notes and junior B-notes. Although the A-notes for each of the loans were sold, the transfers did not qualify for sale accounting treatment and we treated the sales as secured borrowings. At March 31, 2016 and December 31, 2015 , we held three of these A/B notes with an aggregate outstanding principal balance of $67 million and $67 million , respectively, and an aggregate fair value of $70 million and $68 million , respectively. 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 completely offset through our consolidated statements of income. During the three months ended March 31, 2016 and 2015 , 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 March 31, 2016 and December 31, 2015 was $4 million and $5 million , respectively. At Amortized Cost Commercial loans held-for-investment primarily include mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property. The following table provides additional information for our commercial loans held-for-investment at amortized cost at March 31, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) March 31, 2016 December 31, 2015 Principal balance $ 305,517 $ 307,047 Unamortized discount, net (3,908 ) (4,096 ) Recorded investment 301,609 302,951 Allowance for loan losses (7,390 ) (7,102 ) Carrying Value $ 294,219 $ 295,849 At March 31, 2016 and December 31, 2015 , we held 58 and 59 , respectively, commercial loans held-for-investment at amortized cost. Of the $302 million of recorded investment in commercial loans held-for-investment at March 31, 2016 , 7% was originated in 2015, 19% was originated in 2014, 16% was originated in 2013, 31% was originated in 2012, 23% 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. Table 7.3 – Principal Balance of Commercial Loans Held-for-Investment by Risk Category (In Thousands) March 31, 2016 December 31, 2015 Pass $ 260,599 $ 272,768 Watch list 44,918 34,279 Total Commercial Loans Held-for-Investment $ 305,517 $ 307,047 The following table summarizes the activity in the allowance for commercial loan losses for the three months ended March 31, 2016 and 2015 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 7,102 $ 7,457 Provision for loan losses 288 205 Balance at End of Period $ 7,390 $ 7,662 At March 31, 2016 and December 31, 2015 , all of our commercial loans collectively evaluated for impairment were current. We did not have any commercial loans individually evaluated for impairment at either March 31, 2016 or December 31, 2015 . The following table summarizes the balances for loans collectively evaluated for impairment at March 31, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) March 31, 2016 December 31, 2015 Principal balance $ 305,517 $ 307,047 Recorded investment 301,609 302,951 Related allowance 7,390 7,102 |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities We invest in real estate securities. The following table presents the fair values of our real estate securities by type at March 31, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) March 31, 2016 December 31, 2015 Trading $ 221,571 $ 404,011 Available-for-sale 698,356 829,245 Total Real Estate Securities $ 919,927 $ 1,233,256 Our real estate securities include RMBS and CMBS, which 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. In addition, our real estate securities include investments in Agency residential mortgage credit risk transfer (or "CRT") securities, which are presented as subordinate securities. Trading Securities The following table presents the fair value of trading securities by collateral type at March 31, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Collateral Type (In Thousands) March 31, 2016 December 31, 2015 Senior Securities Prime $ 22,177 $ 248,570 Non-prime 5,414 5,781 Total Senior Securities 27,591 254,351 Subordinate Securities Prime mezzanine (1) 144,317 136,140 Prime subordinate (2) 49,663 13,520 Total Subordinate Securities (3) 193,980 149,660 Total Trading Securities $ 221,571 $ 404,011 (1) Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. (2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2016 , and December 31, 2015 . (3) At March 31, 2016 , and December 31, 2015 , subordinate securities included $62 million and $25 million , respectively, of CRT securities. We elected the fair value option for certain securities and classify them as trading securities. At March 31, 2016 and December 31, 2015 , our senior trading securities included $28 million and $37 million , respectively, of interest-only securities, for which there is no principal balance, and the remaining unpaid principal balance of our senior trading securities was zero and $217 million , respectively, and the unpaid principal balance of our subordinate trading securities was $212 million and $168 million , respectively. During the three months ended March 31, 2016 and 2015 , we acquired $50 million and $23 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $218 million and $3 million , respectively, of such securities. During the three months ended March 31, 2016 and 2015 , we recorded net market valuation losses of $4 million and $14 million , respectively, on trading securities, included in Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. As of March 31, 2016 , trading securities with a carrying value of $142 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. AFS Securities The following table presents the fair value of our available-for-sale securities by collateral type at March 31, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Collateral Type (In Thousands) March 31, 2016 December 31, 2015 Senior Securities Prime $ 111,523 $ 210,993 Non-prime 29,093 68,258 Total Senior Securities 140,616 279,251 Re-REMIC Securities 162,970 165,064 Subordinate Securities Prime mezzanine (1) 225,787 224,624 Prime subordinate (2) 168,983 160,306 Total Subordinate Securities 394,770 384,930 Total AFS Securities $ 698,356 $ 829,245 (1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later. (2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2016 , and December 31, 2015 . As of March 31, 2016 , AFS securities with a carrying value of $389 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. During the three months ended March 31, 2016 and 2015 , we purchased $16 million and $10 million of AFS securities, respectively, and sold $126 million and $91 million of AFS securities, respectively, which resulted in net realized gains of $9 million and $4 million , respectively. We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. At March 31, 2016 , there were $2 million of AFS securities with contractual maturities less than five years , none with contractual maturities greater than five years but less than 10 years , and the remainder of our AFS securities had contractual maturities greater than 10 years . The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities March 31, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 120,577 $ 31,781 $ 189,146 $ 504,228 $ 845,732 Credit reserve (1,108 ) (687 ) (11,258 ) (35,494 ) (48,547 ) Unamortized discount, net (13,491 ) (3,262 ) (66,586 ) (136,291 ) (219,630 ) Amortized cost 105,978 27,832 111,302 332,443 577,555 Gross unrealized gains 9,326 1,482 51,668 64,538 127,014 Gross unrealized losses (3,781 ) (221 ) — (2,211 ) (6,213 ) Carrying Value $ 111,523 $ 29,093 $ 162,970 $ 394,770 $ 698,356 December 31, 2015 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 217,605 $ 75,591 $ 189,782 $ 490,249 $ 973,227 Credit reserve (1,305 ) (5,101 ) (10,332 ) (32,131 ) (48,869 ) Unamortized discount, net (22,079 ) (8,395 ) (71,670 ) (134,963 ) (237,107 ) Amortized cost 194,221 62,095 107,780 323,155 687,251 Gross unrealized gains 20,263 6,249 57,284 63,205 147,001 Gross unrealized losses (3,491 ) (86 ) — (1,430 ) (5,007 ) Carrying Value $ 210,993 $ 68,258 $ 165,064 $ 384,930 $ 829,245 The following table presents the changes for the three months ended March 31, 2016 , in unamortized discount and designated credit reserves on residential AFS securities. Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended March 31, 2016 Credit Unamortized (In Thousands) Beginning balance $ 48,869 $ 237,107 Amortization of net discount — (8,068 ) Realized credit losses (1,955 ) — Acquisitions 4,383 5,110 Sales, calls, other (4,252 ) (13,017 ) Transfers to (release of) credit reserves, net 1,502 (1,502 ) Ending Balance $ 48,547 $ 219,630 AFS Securities with Unrealized Losses The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2016 and December 31, 2015 . Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) March 31, 2016 $ 39,132 $ (1,350 ) $ 37,782 $ 76,241 $ (4,863 ) $ 71,378 December 31, 2015 87,718 (1,972 ) 85,746 77,539 (3,035 ) 74,504 At March 31, 2016 , after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 199 AFS securities, of which 28 were in an unrealized loss position and 13 were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2015 , our consolidated balance sheet included 224 AFS securities, of which 32 were in an unrealized loss position and 15 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 $6 million at March 31, 2016 . We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At March 31, 2016 , we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. During the three months ended March 31, 2016 , we recognized no OTTI losses related to our AFS securities. AFS securities for which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the OTTI assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of the credit loss component of OTTI. The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at March 31, 2016 . Table 8.7 – Significant Valuation Assumptions Range for Securities March 31, 2016 Prime Non-prime Prepayment rates 10 - 20 % 12 - 15 % Projected losses 0 - 9 % 5 % The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at March 31, 2016 and 2015 , for which a portion of an OTTI was recognized in other comprehensive income. Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 28,277 $ 33,849 Reductions Securities sold, or expected to sell (226 ) (95 ) Securities with no outstanding principal at period end (109 ) (805 ) Balance at End of Period $ 27,942 $ 32,949 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2016 and 2015 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended March 31, (In Thousands) 2016 2015 Gross realized gains - sales $ 11,419 $ 4,306 Gross realized losses - sales (2,173 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 9,246 $ 4,306 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Mortgage Servicing Rights | Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of March 31, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans March 31, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 86,591 $ 9,344,652 $ 133,838 $ 12,560,533 Jumbo Loans 40,029 5,479,353 58,138 5,705,939 Total Mortgage Servicing Rights $ 126,620 $ 14,824,005 $ 191,976 $ 18,266,472 The following table presents activity for MSRs for the three months ended March 31, 2016 and 2015 . Table 9.2 – Activity for MSRs Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 191,976 $ 139,293 Additions 8,807 18,754 Sales (29,559 ) (18,206 ) Changes in fair value due to: Changes in assumptions (1) (38,328 ) (14,036 ) Other changes (2) (6,276 ) (5,481 ) Balance at End of Period $ 126,620 $ 120,324 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to realization of expected cash flows. We make investments in MSRs through the retention of servicing rights associated with the residential mortgage loans that we acquire and subsequently transfer to third parties or through the direct acquisition of MSRs sold by third parties. We hold our MSR investments at our taxable REIT subsidiary. The following table details the retention and purchase of MSRs during the three months ended March 31, 2016 . Table 9.3 – MSR Additions (In Thousands) Three Months Ended March 31, 2016 MSR Fair Value Associated Principal Jumbo MSR additions: From loan sales $ 46 $ 6,519 Total jumbo MSR additions 46 6,519 Conforming MSR additions: From loan sales $ 3,364 $ 314,518 From purchases 5,397 549,034 Total conforming MSR additions 8,761 863,552 Total MSR Additions $ 8,807 $ 870,071 The following table presents the components of our MSR income. Table 9.4 – Components of MSR Income (Loss), net Three Months Ended March 31, (In Thousands) 2016 2015 Servicing income Income $ 11,684 $ 9,716 Cost of sub-servicer (2,038 ) (1,229 ) Net servicing income 9,646 8,487 Market valuation changes of MSRs (44,604 ) (19,517 ) Market valuation changes of associated derivatives (1) 41,057 — MSR provision for repurchases 182 106 MSR Income (Loss), Net $ 6,281 $ (10,924 ) (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 | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments March 31, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 8,647 $ 525,000 $ 2,590 $ 658,000 TBAs 2,843 569,500 2,734 1,028,500 Swaptions 15,541 570,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 4,944 867,816 4,671 764,161 Total Assets $ 31,975 $ 2,532,316 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (62,407 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (29,693 ) 968,500 (10,134 ) 1,039,500 TBAs (3,739 ) 581,000 (2,519 ) 1,450,500 Futures (1,324 ) 150,000 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (305 ) 263,769 (1,464 ) 375,815 Total Liabilities $ (97,468 ) $ 2,102,769 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (65,493 ) $ 4,635,085 $ (46,401 ) $ 6,483,976 Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheet, we may enter into derivative contracts. At March 31, 2016 , we were party to swaps and swaptions with an aggregate notional amount of $2.06 billion , TBA contracts sold with an aggregate notional amount of $1.15 billion , and financial futures contracts with an aggregate notional amount of $150 million . At December 31, 2015 , we were party to swaps and swaptions with an aggregate notional amount of $2.62 billion , TBA contracts sold with an aggregate notional amount of $2.48 billion , and financial futures contracts with an aggregate notional amount of $78 million . During the three months ended March 31, 2016 and 2015 , we recorded net market valuation losses of $8 million and $12 million , respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and MSR income (loss), 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 market valuation gains on LPCs and FSCs were $13 million and $18 million for the three months ended March 31, 2016 and 2015 , respectively, and are recorded in Mortgage banking activities, net on our consolidated statements of income. Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million . For the three months ended March 31, 2016 and 2015 , net market valuation losses on interest rate agreements were $14 million and $8 million , respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $62 million and $47 million at March 31, 2016 and December 31, 2015 , respectively. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2016 and 2015 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended March 31, (In Thousands) 2016 2015 Net interest expense on cash flows hedges $ (1,387 ) $ (1,484 ) Realized net losses reclassified from other comprehensive income (18 ) (31 ) Total Interest Expense $ (1,405 ) $ (1,515 ) Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2015 , we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At March 31, 2016 , we assessed this risk as remote and did not record a specific valuation adjustment. At March 31, 2016 , we had outstanding derivative agreements with four counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions. |
Other Assets and Liabilities
Other Assets and Liabilities | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at March 31, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) March 31, 2016 December 31, 2015 Margin receivable $ 107,941 $ 83,191 Pledged collateral 59,664 53,600 FHLBC stock 44,071 34,437 Investment receivable 7,772 3,870 Guarantee asset 4,272 5,697 REO 4,884 4,896 Fixed assets and leasehold improvements (1) 3,608 4,117 Prepaid expenses 2,183 3,640 Other 7,996 4,438 Total Other Assets $ 242,391 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $6 million and accumulated depreciation of $2 million at March 31, 2016 . Accrued expenses and other liabilities at March 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) March 31, 2016 December 31, 2015 Guarantee obligations $ 24,896 $ 22,704 Unsettled trades 15,014 29 Margin payable 14,247 6,415 Residential loan and MSR repurchase reserve 6,693 6,403 Accrued compensation 6,476 17,527 Restructuring liabilities 5,245 — Legal reserve 2,000 2,000 Accrued operating expenses 1,621 1,845 Current accounts payable 1,038 4,764 Other 4,939 8,210 Total Other Liabilities $ 82,169 $ 69,897 Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our counterparties under derivatives, master repurchase agreements, and warehouse facilities, whereby we or the counterparty posted collateral. Guarantee Asset, Pledged Collateral, and Guarantee Obligations The pledged collateral, guarantee asset, and guarantee obligations presented in the tables above are related to our risk sharing arrangements with Fannie Mae and Freddie Mac. In accordance with these arrangements, we are required to pledge collateral to secure our guarantee obligations. At March 31, 2016 , we were over-collateralized by approximately $16 million and expect to receive this collateral back from the custodian in the second quarter of 2016. See Note 15 for additional information on our risk sharing arrangements. 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. REO The carrying value of REO at March 31, 2016 , was $5 million , which includes the net effect of $2 million related to transfers into REO during the three months ended March 31, 2016 , offset by $3 million of REO liquidations, and $1 million of unrealized gains resulting from market valuation adjustments. At March 31, 2016 and December 31, 2015 , there were 20 and 23 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. Restructuring Accruals In January 2016, we announced plans to restructure certain aspects of our residential mortgage loan operations by discontinuing the acquisition and aggregation of conforming loans for resale to the Agencies. Additionally, in February 2016, we announced our plans to restructure our commercial business and discontinue commercial loan originations. Finally, in March 2016, we announced the departure of our President effective July 1, 2016. We currently expect to substantially complete these restructuring activities during the second quarter of 2016. In connection with these activities, we incurred restructuring expenses, including one-time termination benefits, contract termination costs, and other associated costs. During the first quarter of 2016, we established a restructuring liability and recorded restructuring charges totaling $11 million in Operating expenses on our consolidated statements of income, which included $9 million of severance related charges (including $3 million of equity compensation expense) and $2 million of contract termination costs. For segment reporting, we consider these restructuring charges as corporate charges and included them in the “corporate/other” reconciling column in our business segment financial information tables in Note 22, Segment Information . The following table presents our restructuring activities and the associated liabilities during the three months ended March 31, 2016 . Table 11.3 – Activities of Restructuring Liabilities Three Months Ended March 31, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ — $ — $ — Costs incurred and expensed 8,738 1,921 10,659 Costs paid/settled (1,326 ) (602 ) (1,928 ) Adjustments (1) (3,486 ) — (3,486 ) Ending Balance $ 3,926 $ 1,319 $ 5,245 (1) Amount represents equity compensation expense recorded during the three months ended March 31, 2016 related to equity awards that were accelerated, and will be distributed in future periods. |
Short-Term Debt
Short-Term Debt | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | Short-Term Debt We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At March 31, 2016 , 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, 2015 . The table below summarizes the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information of the short-term debt at March 31, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities March 31, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 368,679 $ 1,400,000 1.97 % 6/2016-2/2017 240 Commercial loan warehouse 2 — 300,000 N/A 4/2016-10/2016 N/A Real estate securities repo 9 435,496 — 1.77 % 4/2016-6/2016 29 Total 15 $ 804,175 December 31, 2015 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 950,022 $ 1,400,000 1.90 % 2/2016-12/2016 182 FHLBC (1) 1 137,622 — 0.21 % 7/2016-11/2016 204 Commercial loan warehouse 2 73,718 300,000 4.13 % 4/2016-10/2016 265 Real estate securities repo 9 693,641 — 1.47 % 1/2016-3/2016 24 Total 16 $ 1,855,003 (1) Amount represents the portion of our borrowings from the FHLBC that were due within 12 months at December 31, 2015 . See Note 14 for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC. Borrowings under these facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At March 31, 2016 , all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. The fair value of held-for-sale residential loans, commercial loans, and real estate securities pledged as collateral was $414 million , $7 million , and $531 million , respectively, at March 31, 2016 and $1.07 billion , $152 million , and $827 million , respectively, at December 31, 2015 . For the three months ended March 31, 2016 and 2015 , the average balance of short-term debt was $1.28 billion and $1.59 billion , respectively. At March 31, 2016 and December 31, 2015 , accrued interest payable on short-term debt was $3 million and $2 million , respectively. We also maintain a $10 million committed line of credit with a financial institution that is secured by certain mortgage-backed securities with a fair market value in excess of $10 million at March 31, 2016 . At both March 31, 2016 and December 31, 2015 , we had no outstanding borrowings on this facility. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at March 31, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities March 31, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 64,571 $ 304,108 $ 368,679 Commercial loans (1) 4,337 — — 4,337 Real estate securities 309,112 122,047 — 431,159 Total Short-Term Debt $ 313,449 $ 186,618 $ 304,108 $ 804,175 (1) One commercial loan serves as collateral under a securities repo facility. |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia entities. ABS were also issued by securitization entities in the Residential Resecuritization and the Commercial Securitization. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. As a general matter, ABS have been issued by these securitization entities to fund the acquisition of assets from us or from third parties. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly or quarterly basis. Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. Some ABS issued pay fixed rates of interest or pay hybrid rates, which are fixed rates that subsequently adjust to variable rates. ABS issued also includes some interest-only classes with coupons set at a fixed rate or a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity. The carrying values of ABS issued by consolidated securitization entities we sponsored at March 31, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued March 31, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 1,044,364 $ 51,680 $ 1,096,044 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 4,598 — 4,598 4,672 — 4,672 Market valuation adjustments (141,939 ) — (141,939 ) (116,637 ) — (116,637 ) Total ABS Issued 907,023 51,680 958,703 996,820 53,137 1,049,957 Deferred debt issuance costs — (339 ) (339 ) — (542 ) (542 ) ABS issued, net (1) $ 907,023 $ 51,341 $ 958,364 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.64% to 1.87% 5.62 % 0.41% to 2.21% 5.62 % Stated maturities 2024 - 2037 2018 2017 - 2037 2018 Number of series 20 1 21 1 (1) Upon adoption of ASU 2015-03 on January 1, 2016, we began to present ABS issued, net of deferred debt issuance costs. See Note 3 for further discussion. The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its stated maturity. At March 31, 2016 , $907 million of ABS issued ( $1.04 billion principal balance) had contractual maturities after five years . The following table summarizes the accrued interest payable on ABS issued at March 31, 2016 and December 31, 2015 . Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) March 31, 2016 December 31, 2015 Sequoia $ 519 $ 555 Commercial Securitization 242 249 Total Accrued Interest Payable on ABS Issued $ 761 $ 804 The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at March 31, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued March 31, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 930,027 $ — $ 930,027 $ 1,021,870 $ — $ 1,021,870 Commercial loans — 164,626 164,626 — 166,016 166,016 Restricted cash 147 136 283 228 137 365 Accrued interest receivable 1,038 1,290 2,328 1,131 1,297 2,428 REO 4,884 47 4,931 4,895 — 4,895 Total Collateral for ABS Issued $ 936,096 $ 166,099 $ 1,102,195 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2016 | |
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. At March 31, 2016 , under this agreement, our subsidiary could incur borrowings up to $2.00 billion , also referred to as “advances,” from the FHLBC secured by eligible collateral, including residential mortgage loans. During the three months ended March 31, 2016 , our FHLB-member subsidiary borrowed an additional $519 million under this agreement. Under a final rule published by the Federal Housing Finance Agency in January 2016, our FHLB-member subsidiary will remain an FHLB member through the five -year transition period for captive insurance companies. Our FHLB-member subsidiary's existing $2.00 billion of FHLB debt, which matures beyond this transition period, is permitted to remain outstanding until stated maturity. As residential loans pledged as collateral for this debt pay down, we are permitted to pledge additional loans or other eligible assets to collateralize this debt; however, we do not expect to be able to increase our subsidiary's FHLB debt above the existing $2.00 billion maximum. At March 31, 2016 , $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 0.58% and a weighted average maturity of approximately nine years. At December 31, 2015 , $1.48 billion of advances were outstanding under this agreement, of which $1.34 billion were classified as long-term debt, with a weighted average interest rate of 0.46% and a weighted average maturity of nine 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. Total advances under this agreement were secured by residential mortgage loans with a fair value of $2.34 billion at March 31, 2016 . This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At March 31, 2016 , our subsidiary held $44 million of FHLBC stock that is included in Other assets in our consolidated balance sheets. The following table presents maturities of our FHLBC borrowings by year at March 31, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) March 31, 2016 2024 $ 470,171 2025 887,639 2026 642,189 Total FHLBC Borrowings $ 1,999,999 For additional discussion of our FHLBC borrowings, see Part I, Item 2 of Quarterly Report on Form 10-Q under the heading “ Risks Relating to Debt Incurred under Short- and Long-Term Borrowing Facilities. ” Commercial Secured Borrowings At March 31, 2016 , 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 consolidated 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 6.54% and 6.52% , respectively, for the three months ended March 31, 2016 and 2015 . At March 31, 2016 , 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. During the three months ended March 31, 2016 , we repurchased $4 million par value of these notes at a discount and recorded $0.3 million of gains on extinguishment of debt in Realized gains, net on our consolidated statements of income. At March 31, 2016 , the outstanding principal amount of these notes was $201 million . At March 31, 2016 , the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $5 million . 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 5.36% , respectively, for the three months ended March 31, 2016 and 2015 . At March 31, 2016 , the accrued interest payable balance on this debt was $7 million and the unamortized deferred issuance costs were $4 million . At March 31, 2016 , these notes were convertible at the option of the holder at a conversion rate of 41.1320 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $24.31 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. Trust Preferred Securities and Subordinated Notes At March 31, 2016 , 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 2.85% and 2.52% for the three months ended March 31, 2016 and 2015 , 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 6.86% and 6.81% for the three months ended March 31, 2016 and 2015 , respectively. At both March 31, 2016 and December 31, 2015 , the accrued interest payable balance on our trust preferred securities and subordinated notes was $1 million . Under the terms of this debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this debt. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At March 31, 2016 , we were obligated under seven non-cancelable operating leases with expiration dates through 2021 for $10 million of cumulative lease payments. Operating lease expense was $1 million for both three -month periods ended March 31, 2016 and 2015 . The following table presents our future lease commitments at March 31, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) March 31, 2016 2016 (9 months) $ 2,149 2017 2,880 2018 1,827 2019 1,189 2020 1,127 2021 and thereafter 367 Total Lease Commitments $ 9,539 Loss Contingencies — Risk Sharing At March 31, 2016 , we had sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion , subject to our risk sharing arrangements with the Agencies. At March 31, 2016 , the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was fully collateralized by assets we transferred to pledged accounts and is 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 our obligations under the arrangements. At March 31, 2016 , we had not incurred any losses under these arrangements. For each of the three months ended March 31, 2016 and 2015 , other income related to these arrangements was $1 million , and net market valuation losses related to these investments were zero and $1 million , respectively, for the three months ended March 31, 2016 and 2015 . All of the loans in the reference pools subject to these risk sharing arrangements were originated in 2014 and 2015, and at March 31, 2016 , the loans had an unpaid principal balance of $2.93 billion and a weighted average FICO score of 758 (at origination) and LTV of 76% (at origination). At March 31, 2016 , $11 million of the outstanding principal balance was 30 days or more delinquent, $1 million of the loans were 90 days or more delinquent, and $1 million of loans were in foreclosure. Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015 , assets of such SPEs totaled $66 million and $63 million , respectively, and liabilities of such SPEs totaled $25 million and $25 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 March 31, 2016 and December 31, 2015 , our repurchase reserve associated with our residential loans and MSRs was $7 million and $6 million , respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received 27 and 25 repurchase requests during the three months ended March 31, 2016 and 2015 , respectively. We did not repurchase any loans during the three months ended March 31, 2016 . During the three months ended March 31, 2016 and 2015 , we recorded repurchase provisions of $0.3 million and $1 million , respectively, that were recorded in Mortgage banking 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 March 31, 2016 , the FHLB-Seattle has received approximately $121 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. At the time the Settle Certificate was issued, Redwood agreed to indemnify the underwriters of the 2005-4 RMBS for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. The FHLB-Seattle’s claims against the underwriters of this RMBS were not dismissed and remain pending. Regardless of the outcome of this litigation, we could incur a loss as a result of these indemnities. On or about July 15, 2010, The Charles Schwab Corporation (“Schwab”) filed a complaint in the Superior Court for the State of California in San Francisco (case number CGC-10-501610) against SRF and 26 other defendants (collectively, the “Schwab Defendants”) alleging that the Schwab Defendants made false or misleading statements in offering materials for various residential mortgage-backed securities sold or issued by the Schwab Defendants. Schwab alleged only a claim for negligent misrepresentation under California state law against SRF and sought unspecified damages and attorneys’ fees and costs from SRF. Schwab claims that SRF made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Schwab Certificate”) issued in the 2005-4 RMBS and purchased by Schwab. Specifically, the complaint alleges that the misstatements for the 2005-4 RMBS concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Schwab Certificate. On November 14, 2014, Schwab voluntarily dismissed with prejudice its negligent misrepresentation claim, which resulted in the dismissal with prejudice of SRF from the action. The Schwab Certificate was issued with an original principal amount of approximately $15 million , and, as of March 31, 2016 , approximately $13 million of principal and $1 million of interest payments have been made in respect of the Schwab Certificate. At the time the Schwab Certificate was issued, 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 March 31, 2016 , the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described above was $2 million . We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity
Equity | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three months ended March 31, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 (In Thousands) Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 139,356 $ (47,363 ) $ 186,737 $ (46,049 ) Other comprehensive income (loss) (10,103 ) (14,243 ) 5,053 (8,442 ) Amounts reclassified from other (10,953 ) 18 (1,690 ) 31 Net current-period other comprehensive income (loss) (21,056 ) (14,225 ) 3,363 (8,411 ) Balance at End of Period $ 118,300 $ (61,588 ) $ 190,100 $ (54,460 ) The following table provides a summary of reclassifications out of accumulated other comprehensive income for three months ended March 31, 2016 and 2015 . Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, (In Thousands) Income Statement 2016 2015 Net realized (gain) loss on AFS securities Gain on sale of AFS securities Realized gains, net (10,953 ) (1,690 ) $ (10,953 ) $ (1,690 ) Net realized loss on interest rate Amortization of deferred loss Interest expense $ 18 $ 31 $ 18 $ 31 Earnings Per Common Share The following table provides the basic and diluted earnings per common share computations for the three months ended March 31, 2016 and 2015 . Table 16.3 – Basic and Diluted Earnings Per Common Share Three Months Ended March 31, (In Thousands, Except Share Data) 2016 2015 Basic Earnings Per Common Share: Net income attributable to Redwood $ 12,063 $ 14,801 Less: Dividends and undistributed earnings allocated to participating securities (701 ) (822 ) Net income allocated to common shareholders $ 11,362 $ 13,979 Basic weighted average common shares outstanding 77,137,682 83,360,312 Basic Earnings Per Common Share $ 0.15 $ 0.17 Diluted Earnings Per Common Share: Net income attributable to Redwood $ 12,063 $ 14,801 Less: Dividends and undistributed earnings allocated to participating securities (701 ) (822 ) Net income allocated to common shareholders $ 11,362 $ 13,979 Weighted average common shares outstanding 77,137,682 83,360,312 Net effect of dilutive equity awards — 2,261,904 Diluted weighted average common shares outstanding 77,137,682 85,622,216 Diluted Earnings Per Common Share $ 0.15 $ 0.16 For the three months ended March 31, 2016 and 2015 , 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. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. For the three months ended March 31, 2016 and 2015 , 21,245,028 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 months ended March 31, 2016 and 2015 , the number of outstanding equity awards that were antidilutive totaled 6,950 and 79,535 , respectively. Stock Repurchases In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock. During the three months ended March 31, 2016, we repurchased 839,130 common shares for $11 million , utilizing the remaining availability under this authorization. In February 2016, our Board of Directors approved an additional authorization for the repurchase of up to $100 million of our common stock and also authorized the repurchase of outstanding debt securities, including convertible and exchangeable debt. This current authorization replaced all previous share repurchase plans and has no expiration date. This current repurchase authorization does not obligate us to acquire any specific number of shares or securities. Under this current authorization, shares or securities 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. Under this authorization, during the three months ended March 31, 2016 , we repurchased 770,055 shares pursuant to this authorization for $9 million . During the three months ended March 31, 2015 , there were no shares acquired under then-existing share repurchase authorization. At March 31, 2016 , approximately $91 million of this current authorization remained available for the repurchase of shares of our common stock. |
Equity Compensation Plans
Equity Compensation Plans | 3 Months Ended |
Mar. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At March 31, 2016 and December 31, 2015 , 1,391,379 and 1,665,032 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 $20 million at March 31, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Three Months Ended March 31, 2016 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 2,393 $ 14,392 $ 6,823 $ — $ 23,608 Equity grants 1,741 3,355 — 124 5,220 Equity grant forfeitures (1,119 ) (150 ) (2,209 ) — (3,478 ) Equity compensation (expense) income 17 (4,712 ) (1,092 ) (31 ) (5,818 ) Unrecognized Compensation Cost at End of Period $ 3,032 $ 12,885 $ 3,522 $ 93 $ 19,532 At March 31, 2016 , the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock At March 31, 2016 and December 31, 2015 , there were 223,914 and 187,180 shares, respectively, of restricted stock outstanding. Restrictions on these shares lapse through 2020 . During the three months ended March 31, 2016 , there were 144,056 shares of restricted stock granted, restrictions on 48,061 shares of restricted stock lapsed and those shares were distributed, and 59,261 shares of restricted stock awards forfeited. Deferred Stock Units (“DSUs”) At March 31, 2016 and December 31, 2015 , there were 2,680,320 and 2,407,154 DSUs, respectively, outstanding of which 1,707,272 and 1,363,548 , respectively, had vested. There were 281,014 DSUs granted, no DSUs distributed, and 7,849 DSUs forfeited during the three months ended March 31, 2016 . Unvested DSUs at March 31, 2016 vest through 2020 . During the three months ended March 31, 2016 , equity compensation expense of $3 million was recognized in connection with the announced departures of two executives due to the full vesting of their DSUs in accordance with the terms of their employment agreements. Performance Stock Units (“PSUs”) At both March 31, 2016 and December 31, 2015 , the target number of PSUs that were unvested was 656,549 and 849,021 , respectively. 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, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock, relative to an average of the per share price of our common stock over a 40 trading day period preceding 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 2016 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. During the three months ended March 31, 2016, equity compensation expense of $0.6 million was recognized in connection with the announced departures of two executives to reflect the pro-rated vesting of their PSUs through their expected departure dates in 2016 in accordance with the terms of their employment agreements. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 450,000 shares of common stock to be purchased in aggregate for all employees. As of March 31, 2016 and December 31, 2015 , 316,990 and 310,040 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at March 31, 2016 . |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three months ended March 31, 2016 and 2015 . Table 18.1 – Mortgage Banking Activities Three Months Ended March 31, (In Thousands) 2016 2015 Residential mortgage banking activities, net: Changes in fair value of: Residential loans, at fair value (1) $ 18,074 $ 20,312 Sequoia securities 1,484 (14,359 ) Risk management derivatives (2) (10,216 ) (4,371 ) Other income (expense), net (3) (62 ) 633 Total residential mortgage banking activities, net 9,280 2,215 Commercial mortgage banking activities, net: Changes in fair value of: Commercial loans, at fair value 433 5,857 Risk management derivatives (3) (2,538 ) (6,212 ) Other fee income 43 63 Total commercial mortgage banking activities, net (2,062 ) (292 ) Mortgage Banking Activities, Net $ 7,218 $ 1,923 (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. (3) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Investments Fair Value Changes,
Investments Fair Value Changes, Net | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments Fair Value Changes, Net | Investment Fair Value Changes, Net The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the three months ended March 31, 2016 and 2015 . Table 19.1 – Investment Activities Three Months Ended March 31, (In Thousands) 2016 2015 Investment fair value changes, net Changes in fair value of: Residential loans held-for-investment, at Redwood $ 23,463 $ 1,980 Trading securities (5,601 ) 270 Net investments in consolidated Sequoia entities (1,580 ) (1,093 ) Risk sharing investments (10 ) (928 ) Risk management derivatives (35,810 ) (1,374 ) Investment Fair Value Changes, Net $ (19,538 ) $ (1,145 ) |
Operating Expenses
Operating Expenses | 3 Months Ended |
Mar. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Operating Expenses | Operating Expenses Components of our operating expenses for the three months ended March 31, 2016 and 2015 are presented in the following table. Table 20.1 – Components of Operating Expenses Three Months Ended March 31, (In Thousands) 2016 2015 Fixed compensation expense $ 7,894 $ 9,155 Variable compensation expense 1,760 3,991 Equity compensation expense 2,332 2,738 Total compensation expense 11,986 15,884 Systems and consulting 2,622 2,122 Loan acquisition costs (1) 1,601 2,324 Office costs 1,380 1,232 Accounting and legal 985 1,577 Corporate costs 466 526 Other operating expenses 753 1,398 Operating expenses before restructuring charges $ 19,793 $ 25,063 Restructuring charges (2) 10,659 — Total Operating Expenses $ 30,452 $ 25,063 (1) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value. (2) For the three month months ended March 31, 2016 , restructuring charges included $5 million of fixed compensation expense and $4 million of equity compensation expense related to one-time termination benefits, as well as $2 million of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See Note 11 for further discussion on restructuring charges. |
Taxes
Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes For the three months ended March 31, 2016 and 2015 , we recognized a provision for income taxes of $28 thousand and a benefit for income taxes of $5 million , respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at March 31, 2016 and 2015 . Table 21.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate March 31, 2016 March 31, 2015 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 (74.0 )% (44.7 )% Change in valuation allowance 92.0 % 11.9 % Dividends paid deduction (59.0 )% (64.4 )% Effective Tax Rate 0.2 % (56.0 )% We assessed our tax positions for all open tax years (i.e., Federal, 2012 to 2016, and State, 2011- 2016) and, at March 31, 2016 and December 31, 2015 , concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Mortgage Banking, Residential Investments, and Commercial. Beginning in the first quarter of 2016, we renamed our former "Commercial mortgage banking and investments" segment to our "Commercial" segment, as a result of our announcement to discontinue the origination of commercial loans. 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 for the year ended December 31, 2015 . Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain expenses not directly assigned or allocated to one of the three primary segments, as well as activity from certain consolidated Sequoia entities consolidated for GAAP financial reporting purposes, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated expenses primarily include interest expense associated with certain long-term debt, indirect operating expenses, and other expense. The following tables present financial information by segment for the three months ended March 31, 2016 and 2015 . Table 22.1 – Business Segment Financial Information Three Months Ended March 31, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 7,869 $ 39,936 $ 9,581 $ 4,942 $ 62,328 Interest expense (3,289 ) (4,953 ) (2,952 ) (12,756 ) (23,950 ) Net interest income (loss) 4,580 34,983 6,629 (7,814 ) 38,378 Reversal of provision for loan losses — — (289 ) — (289 ) Non-interest income Mortgage banking activities, net 9,280 — (2,062 ) — 7,218 MSR income (loss), net — 6,281 — — 6,281 Investment fair value changes, net — (17,765 ) (137 ) (1,636 ) (19,538 ) Other income — 955 — — 955 Realized gains, net — 9,246 — 292 9,538 Total non-interest income, net 9,280 (1,283 ) (2,199 ) (1,344 ) 4,454 Direct operating expenses (1) (5,321 ) (1,861 ) (1,602 ) (21,668 ) (30,452 ) Provision for income taxes — (28 ) — — (28 ) Segment Contribution $ 8,539 $ 31,811 $ 2,539 $ (30,826 ) Net Income $ 12,063 Non-cash amortization income (expense) $ (43 ) $ 8,068 $ (16 ) $ (990 ) $ 7,019 (1) For the three months ended March 31, 2016 , charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations are presented under the Corporate/Other column. See Note 11 for further discussion of these restructuring charges. Three Months Ended March 31, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 15,795 $ 30,012 $ 10,914 $ 7,025 $ 63,746 Interest expense (3,778 ) (2,810 ) (3,489 ) (13,884 ) (23,961 ) Net interest income (loss) 12,017 27,202 7,425 (6,859 ) 39,785 Provision for loan losses — — (206 ) — (206 ) Non-interest income Mortgage banking activities, net 2,215 — (292 ) — 1,923 MSR income (loss), net — (10,924 ) — — (10,924 ) Investment fair value changes, net 2 (19 ) — (1,128 ) (1,145 ) Other income — 809 — — 809 Realized gains, net — 4,306 — — 4,306 Total non-interest income, net 2,217 (5,828 ) (292 ) (1,128 ) (5,031 ) Direct operating expenses (10,903 ) (1,118 ) (3,482 ) (9,560 ) (25,063 ) Benefit from income taxes 8 3,510 853 945 5,316 Segment Contribution $ 3,339 $ 23,766 $ 4,298 $ (16,602 ) Net Income $ 14,801 Non-cash amortization income (expense) $ (46 ) $ 9,838 $ (49 ) $ (981 ) $ 8,762 The following tables present the components of Corporate/Other for the three months ended March 31, 2016 and 2015 . Table 22.2 – Components of Corporate/Other Three Months Ended March 31, 2016 2015 (In Thousands) Legacy VIEs (1) Other Total Legacy VIEs (1) Other Total Interest income $ 4,777 $ 165 $ 4,942 $ 7,018 $ 7 $ 7,025 Interest expense (3,297 ) (9,459 ) (12,756 ) (4,482 ) (9,402 ) (13,884 ) Net interest income (loss) 1,480 (9,294 ) (7,814 ) 2,536 (9,395 ) (6,859 ) Reversal of provision for loan losses — — — — — — Non-interest income Mortgage banking activities, net — — — — — — MSR income (loss), net — — — — — — Investment fair value changes, net (1,580 ) (56 ) (1,636 ) (1,093 ) (35 ) (1,128 ) Other income — — — — — — Realized gains, net — 292 292 — — — Total non-interest income, net (1,580 ) 236 (1,344 ) (1,093 ) (35 ) (1,128 ) Direct operating expenses — (21,668 ) (21,668 ) — (9,560 ) (9,560 ) (Provision for) benefit from income taxes — — — — 945 945 Total $ (100 ) $ (30,726 ) $ (30,826 ) $ 1,443 $ (18,045 ) $ (16,602 ) (1) Legacy VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. The following table presents supplemental information by segment at March 31, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total March 31, 2016 Residential loans $ 441,076 $ 2,343,953 $ — $ 930,027 $ 3,715,056 Commercial loans — — 363,893 — 363,893 Real estate securities — 909,569 10,358 — 919,927 Mortgage servicing rights — 126,620 — — 126,620 Total assets 472,213 3,552,629 377,452 1,324,586 5,726,880 December 31, 2015 Residential loans $ 1,115,738 $ 1,791,195 $ — $ 1,021,870 $ 3,928,803 Commercial loans — — 402,647 — 402,647 Real estate securities 197,007 1,028,171 8,078 — 1,233,256 Mortgage servicing rights — 191,976 — — 191,976 Total assets 1,347,492 3,140,604 415,716 1,316,235 6,220,047 |
Summary of Significant Accoun30
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The consolidated financial statements presented herein are at March 31, 2016 and December 31, 2015 , and for the three months ended March 31, 2016 and 2015 . 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, 2015 . In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at March 31, 2016 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2016 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 mortgage servicing right ("MSR") investments. As a result, beginning in the second quarter of 2015, we 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, in the first quarter of 2016, we began to present the changes in fair value of certain investments and their associated derivatives in the new line item "Investment fair value changes, net" on our consolidated statements of income and began to present income from mortgage banking activities in "Mortgage banking activities, net" on our consolidated statements of income. We conformed the presentation of prior periods related to this change for consistency of comparison. See Notes 18 and 19 for additional detail on the components of these income statement line items. |
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 commercial securitization we engaged in during 2012 (“Commercial Securitization”). We also consolidated the assets and liabilities of an entity formed in connection with a resecuritization transaction we engaged in (“Residential Resecuritization”) from its creation in 2011 through the fourth quarter of 2015, when the debt of the entity was repaid, the assets of the entity were distributed to us, and the entity was dissolved. 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 Newly Adopted Accounting Standards Updates ("ASUs") In April 2015, the FASB issued ASU 2015-05, “Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Fees Paid in a Cloud-Computing Arrangement.” This new guidance provides additional guidance on accounting for fees paid in a cloud-computing arrangement that contains a software license. This new guidance is effective for fiscal years beginning after December 15, 2015. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. 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, and is required to be applied on a retrospective basis. We adopted this guidance, as required, in the first quarter of 2016 and now present our deferred securities issuance costs as a reduction to the related liabilities on our consolidated balance sheets for all periods presented. At March 31, 2016 and December 31, 2015 , we included $0.3 million and $0.5 million , respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented it as ABS issued, net on our consolidated balance sheets and, for both periods, we included $10 million of deferred securities issuance costs as a reduction to our long-term debt and presented it as Long-term debt, net on our consolidated balance sheets. 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. We adopted this guidance, as required, in the first quarter of 2016, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In March 2016, the FASB issued 2016 ASU 2016-09,"Compensation - Stock compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting." This new guidance is to simplify the accounting for share-based payment transactions, including related income tax accounting, classification of awards, and classification on the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2016. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not believe it will have a material impact to our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02,"Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. Early adoption is permitted. We plan to adopt this new guidance by the required date and we are currently evaluating the impact that this update will have on our consolidated financial statements. In January 2016, the FASB issued ASU 2016-01,"Recognition and Measurement of Financial Assets and Financial Liabilities." This new guidance amends accounting related to the classification and measurement of investments in equity securities and the presentation of certain fair value changes for financial liabilities measured at fair value. This new guidance also amends certain disclosure requirements associated with the fair value of financial instruments and it is effective for fiscal years beginning after December 15, 2017. We are currently evaluating the impact that this update will have on our consolidated financial statements. 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. In March 2016, the FASB issued ASU 2016-08, "Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net)." This new guidance provides additional implementation guidance on how an entity should identify the unit of accounting for the principal versus agent evaluations. We are currently evaluating the impact these updates will have on our consolidated 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 Accoun31
Summary of Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2016 and December 31, 2015 . Table 3.1 – 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 March 31, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,188 $ — $ 24,188 $ (18,926 ) $ (4,581 ) $ 681 TBAs 2,843 — 2,843 (1,339 ) — 1,504 Total Assets $ 27,031 $ — $ 27,031 $ (20,265 ) $ (4,581 ) $ 2,185 Liabilities (2) Interest rate agreements $ (92,100 ) $ — $ (92,100 ) $ 18,926 $ 73,174 $ — TBAs (3,739 ) — (3,739 ) 1,339 1,680 (720 ) Futures (1,324 ) — (1,324 ) — 1,324 — Loan warehouse debt (368,679 ) — (368,679 ) 368,679 — — Security repurchase agreements (435,496 ) — (435,496 ) 435,496 — — Total Liabilities $ (901,338 ) $ — $ (901,338 ) $ 824,440 $ 76,178 $ (720 ) 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, 2015 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 7,781 $ — $ 7,781 $ (5,651 ) $ (1,917 ) $ 213 Credit default index swaps 1,207 — 1,207 — (720 ) 487 TBAs 2,734 — 2,734 (1,898 ) (293 ) 543 Total Assets $ 11,722 $ — $ 11,722 $ (7,549 ) $ (2,930 ) $ 1,243 Liabilities (2) Interest rate agreements $ (58,366 ) $ — $ (58,366 ) $ 5,651 $ 52,715 $ — TBAs (2,519 ) — (2,519 ) 1,898 7 (614 ) Futures (445 ) — (445 ) — 445 — Loan warehouse debt (1,023,740 ) — (1,023,740 ) 1,023,740 — — Security repurchase agreements (693,641 ) — (693,641 ) 693,641 — — Total Liabilities $ (1,778,711 ) $ — $ (1,778,711 ) $ 1,724,930 $ 53,167 $ (614 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Variable Interest Entity [Line Items] | |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2016 2015 Principal balance of loans transferred $ — $ 338,796 Trading securities retained, at fair value — 3,423 AFS securities retained, at fair value — 2,859 MSRs recognized — 1,872 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three months ended March 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2016 2015 Proceeds from new transfers $ — $ 341,716 MSR fees received 3,523 3,770 Funding of compensating interest (79 ) (90 ) Cash flows received on retained securities 11,191 12,645 |
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. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Subordinate Securities Prepayment rate N/A N/A 5 % - 19 % 8 % Discount rates N/A N/A 11 % 6 % Credit loss assumptions N/A N/A N/A 0.25 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at March 31, 2016 and December 31, 2015 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) March 31, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 32,434 $ 258,697 Senior and subordinate securities, classified as AFS 274,380 272,715 Mortgage servicing rights 39,220 56,984 Maximum loss exposure (1) $ 346,034 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 7,055,574 $ 7,318,167 Principal balance of delinquent loans 30+ days delinquent 15,235 18,300 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood March 31, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at March 31, 2016 $ 39,220 $ 22,177 $ 284,637 Expected life (in years) (2) 4 4 11 Prepayment speed assumption (annual CPR) (2) 21 % 14 % 13 % Decrease in fair value from: 10% adverse change $ 2,423 $ 1,297 $ 969 25% adverse change 5,800 3,039 2,459 Discount rate assumption (2) 11 % 11 % 6 % Decrease in fair value from: 100 basis point increase $ 1,024 $ 650 $ 21,432 200 basis point increase 2,012 1,264 40,189 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 15 $ 1,213 25% higher losses N/A 38 3,042 December 31, 2015 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2015 $ 56,984 $ 248,570 $ 282,842 Expected life (in years) (2) 7 5 12 Prepayment speed assumption (annual CPR) (2) 11 % 10 % 12 % Decrease in fair value from: 10% adverse change $ 2,868 $ 2,042 $ 901 25% adverse change 6,119 4,810 2,278 Discount rate assumption (2) 11 % 5 % 6 % Decrease in fair value from: 100 basis point increase $ 2,711 $ 10,029 $ 21,981 200 basis point increase 4,745 19,365 41,156 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 35 $ 1,244 25% higher losses N/A 86 3,129 (1) Senior securities included $22 million and $31 million of interest only securities as of March 31, 2016 and December 31, 2015 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
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. Table 4.1 – Assets and Liabilities of Consolidated VIEs March 31, 2016 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 930,027 $ — $ 930,027 Commercial loans, held-for-investment — 164,626 164,626 Restricted cash 147 136 283 Accrued interest receivable 1,038 1,290 2,328 Other assets 4,884 47 4,931 Total Assets $ 936,096 $ 166,099 $ 1,102,195 Accrued interest payable $ 519 $ 242 $ 761 Asset-backed securities issued 907,023 51,680 958,703 Total Liabilities $ 907,542 $ 51,922 $ 959,464 Number of VIEs 20 1 21 December 31, 2015 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 1,021,870 $ — $ 1,021,870 Commercial loans, held-for-investment — 166,016 166,016 Real estate securities — — — Restricted cash 228 137 365 Accrued interest receivable 1,131 1,297 2,428 Other assets 4,895 — 4,895 Total Assets $ 1,028,124 $ 167,450 $ 1,195,574 Accrued interest payable $ 555 $ 249 $ 804 Accrued expenses and other liabilities 100 — 100 Asset-backed securities issued, net 996,820 53,137 1,049,957 Total Liabilities $ 997,475 $ 53,386 $ 1,050,861 Number of VIEs 21 1 22 |
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 March 31, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) March 31, 2016 Mortgage Backed Securities Senior $ 146,030 Re-REMIC 162,970 Subordinate 304,113 Total Investments in Third-Party Sponsored VIEs $ 613,113 |
Fair Value of Financial Instr33
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Estimated Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities March 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 439,674 $ 439,674 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,402 1,594 1,433 1,635 Residential loans, held-for-investment (1) At fair value 3,273,980 3,273,980 2,813,065 2,813,065 Commercial loans, held-for-sale — — 39,141 39,141 Commercial loans, held-for-investment At fair value 69,674 69,674 67,657 67,657 At amortized cost 294,219 301,488 295,849 300,824 Trading securities 221,571 221,571 404,011 404,011 Available-for-sale securities 698,356 698,356 829,245 829,245 MSRs 126,620 126,620 191,976 191,976 Cash and cash equivalents 305,115 305,115 220,229 220,229 Restricted cash 2,137 2,137 5,567 5,567 Accrued interest receivable 19,766 19,766 23,290 23,290 Derivative assets 31,975 31,975 16,393 16,393 REO (2) 4,884 5,475 4,896 5,282 Margin receivable (2) 107,941 107,941 83,191 83,191 FHLBC stock (2) 44,071 44,071 34,437 34,437 Guarantee asset (2) 4,272 4,272 5,697 5,697 Pledged collateral (2) 59,664 59,664 53,600 53,600 Liabilities Short-term debt $ 804,175 $ 804,175 $ 1,855,003 $ 1,855,003 Accrued interest payable 15,522 15,522 8,936 8,936 Margin payable 14,247 14,247 6,415 6,415 Guarantee obligation 24,896 23,595 22,704 22,702 Derivative liabilities 97,468 97,468 62,794 62,794 ABS issued, net (1) (2) Fair value 907,023 907,023 996,820 996,820 Amortized cost 51,341 51,680 52,595 53,137 FHLBC long-term borrowings 1,999,999 1,999,999 1,343,023 1,343,023 Commercial secured borrowings 65,181 65,181 63,152 63,152 Convertible notes, net (2) 479,798 453,396 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,454 80,910 138,443 83,700 (1) These assets are included in other assets on our consolidated balance sheets. (2) On January 1, 2016, we adopted ASU 2015-03 and began to present ABS issued, convertible notes, and other long-term debt net of deferred debt issuance costs. See Note 3 for further discussion. |
Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2016 and December 31, 2015 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,713,654 $ — $ 1,387 $ 3,712,267 Commercial loans 69,674 — — 69,674 Trading securities 221,571 — — 221,571 Available-for-sale securities 698,356 — — 698,356 Derivative assets 31,975 2,843 24,188 4,944 MSRs 126,620 — — 126,620 Pledged collateral 59,664 59,664 — — FHLBC stock 44,071 — 44,071 — Guarantee asset 4,272 — — 4,272 Liabilities Derivative liabilities $ 97,468 $ 5,063 $ 92,100 $ 305 Commercial secured borrowings 65,181 — — 65,181 ABS issued 907,023 — — 907,023 December 31, 2015 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,927,370 $ — $ 129,819 $ 3,797,551 Commercial loans 106,798 — — 106,798 Trading securities 404,011 — — 404,011 Available-for-sale securities 829,245 — — 829,245 Derivative assets 16,393 2,734 8,988 4,671 MSRs 191,976 — — 191,976 Pledged collateral 53,600 53,600 — — FHLBC stock 34,437 — 34,437 — Guarantee asset 5,697 — — 5,697 Liabilities Derivative liabilities $ 62,794 $ 2,963 $ 58,368 $ 1,463 Commercial secured borrowings 63,152 — — 63,152 ABS issued 996,820 — — 996,820 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2016 . Table 5.3 – 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, 2015 $ 3,797,551 $ 106,798 $ 404,011 $ 829,245 $ 191,976 $ 5,697 $ 3,208 $ 63,152 $ 996,820 Acquisitions 1,020,846 37,626 47,760 15,585 8,807 — — — — Sales (941,790 ) (77,183 ) (220,123 ) (125,911 ) (29,559 ) — — — — Principal paydowns (161,241 ) (171 ) (5,718 ) (16,683 ) — — — (155 ) (49,411 ) Gains (losses) in net income, net (7,934 ) 2,604 (4,359 ) 17,314 (44,604 ) (1,425 ) 15,606 2,171 (33,515 ) Unrealized losses in OCI, net — — — (21,194 ) — — — — — Other settlements, net (2) 4,835 — — — — — (14,175 ) 13 (6,871 ) Ending balance - March 31, 2016 $ 3,712,267 $ 69,674 $ 221,571 $ 698,356 $ 126,620 $ 4,272 $ 4,639 $ 65,181 $ 907,023 (1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis. (2) Other settlements, net for derivatives represents the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans. |
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2016 and 2015 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2016 and 2015 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2016 and 2015 Included in Net Income Included in Net Income Three Months Ended March 31, (In Thousands) 2016 2015 Assets Residential loans at Redwood $ 27,285 $ 5,464 Residential loans at consolidated Sequoia entities (35,656 ) 1,179 Commercial loans 2,171 2,959 Trading securities (6,135 ) (13,790 ) MSRs (30,834 ) (11,769 ) Loan purchase commitments 4,644 7,422 Other assets - Guarantee asset (1,425 ) (1,083 ) Liabilities Commercial secured borrowing 2,171 (1,509 ) ABS issued (33,515 ) (2,946 ) |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2016 . 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 consolidated balance sheet at March 31, 2016 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2016 Gain (Loss) for March 31, 2016 Carrying Value Fair Value Measurements Using Three Months Ended (In Thousands) Level 1 Level 2 Level 3 March 31, 2016 Assets Residential loans, at lower of cost or fair value $ 1,076 $ — $ — $ 1,076 $ (16 ) REO 1,285 — — 1,285 (252 ) Liabilities Guarantee obligation $ 928 $ — $ — $ 928 $ — |
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 months ended March 31, 2016 and 2015 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended March 31, (In Thousands) 2016 2015 Mortgage banking activities, net Residential loans held-for-sale, at fair value $ 5,439 $ 2,056 Residential loan purchase and forward sale commitments 12,635 18,256 Commercial loans, at fair value (1) 433 5,857 Sequoia securities 1,484 (14,359 ) Risk management derivatives, net (12,754 ) (10,583 ) Total mortgage banking activities, net (2) $ 7,237 $ 1,227 Investment fair value changes, net Residential loans held-for-investment at Redwood $ 23,463 $ 1,980 Net investments in consolidated Sequoia entities (1,580 ) (1,093 ) Trading securities (5,601 ) 270 Risk management derivatives, net (35,810 ) (1,374 ) Risk sharing investments (10 ) (928 ) Total investment fair value changes, net $ (19,538 ) $ (1,145 ) MSR income (loss), net MSRs $ (44,604 ) $ (19,517 ) Risk management derivatives, net 41,057 — Total MSR loss, net (3) $ (3,547 ) $ (19,517 ) Total Market Valuation Losses, Net $ (15,848 ) $ (19,435 ) (1) Commercial loans at fair value does not include commercial A-notes, which were sold in 2014, but did not qualify for sale treatment under GAAP. The market valuation gains and losses on the commercial A-notes and associated commercial secured borrowings net to zero in each period presented. (2) Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) MSR income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR income (loss), net on our consolidated statements of income, as these amounts do not represent market valuation adjustments. In addition, we did not specifically identify derivatives used to hedge MSRs in the first quarter of 2015. See Note 2 for additional detail. |
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. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments March 31, 2016 Fair Value Weighted Average (Dollars in Thousands, except Input Values) Unobservable Input Range Assets Residential loans, at fair value: Jumbo fixed rate loans $ 2,494,912 Whole loan spread to TBA price $ 3.13 - $ 4.35 $ 4.12 Jumbo hybrid loans 83,124 Prepayment rate (annual CPR) 15 - 15 % 15 % Spread to swap rate 130 - 180 bps 151 bps Jumbo loans committed to sell 204,204 Committed Sales Price $ 101.91 - $ 102.30 $ 102.14 Loans held by consolidated Sequoia entities (1) 930,027 Liability price N/A N/A Residential loans, at lower of cost or fair value 1,076 Loss severity 15 - 30 % 29 % Commercial loans, at fair value 69,674 Spread to swap rate 212 - 212 bps 212 bps Credit support 25 - 25 % 25 % Trading and AFS securities 919,927 Discount rate 5 - 12 % 6 % Prepayment rate (annual CPR) 1 - 35 % 14 % Default rate — - 35 % 3 % Loss severity 20 - 65 % 23 % Credit support — - 48 % 4 % MSRs 126,620 Discount rate 8 - 13 % 10 % Prepayment rate (annual CPR) 4 - 60 % 15 % Per loan annual cost to service $ 72 - $ 82 $ 78 Guarantee asset 4,272 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 19 - 19 % 19 % REO 1,285 Loss severity 11 - 93 % 35 % Loan purchase commitments, net (2) 4,639 MSR Multiple 0.3 - 6.6 x 2.8 x Fallout rate 2 - 98 % 44 % Whole loan spread to TBA price 3.35 - 4.35 4.16 Prepayment rate (annual CPR) 15 - 15 % 15 % Spread to swap rate 130 - 180 bps 154 bps Liabilities ABS issued 907,023 Discount rate 5 - 9 % 5 % Prepayment rate (annual CPR) 5 - 20 % 12 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support — - 33 % 9 % Commercial secured borrowings 65,181 Spread to swap rate 212 - 212 bps 212 bps Credit support 25 % - 25 % 25 % (1) The fair value of the loans held by consolidated Sequoia entities was based on the fair value of the ABS issued by these entities, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. (2) For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net. |
Residential Loans (Tables)
Residential Loans (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Residential Loans | |
Mortgage Loans on Real Estate [Line Items] | |
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at March 31, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of the Residential Loans March 31, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale Fair value - conforming $ 1,387 $ — $ 1,387 Fair value - jumbo 438,287 — 438,287 Lower of cost or fair value - jumbo 1,402 — 1,402 Total held-for-sale 441,076 — 441,076 Held-for-investment Fair value - jumbo 2,343,953 930,027 3,273,980 Total Residential Loans $ 2,785,029 $ 930,027 $ 3,715,056 December 31, 2015 (In Thousands) Redwood Sequoia Total Held-for-sale Fair value - conforming $ 129,819 $ — $ 129,819 Fair value - jumbo 984,486 — 984,486 Lower of cost or fair value - jumbo 1,433 — 1,433 Total held-for-sale 1,115,738 — 1,115,738 Held-for-investment Fair value - jumbo 1,791,195 1,021,870 2,813,065 Total Residential Loans $ 2,906,933 $ 1,021,870 $ 3,928,803 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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. Table 7.3 – Principal Balance of Commercial Loans Held-for-Investment by Risk Category (In Thousands) March 31, 2016 December 31, 2015 Pass $ 260,599 $ 272,768 Watch list 44,918 34,279 Total Commercial Loans Held-for-Investment $ 305,517 $ 307,047 |
Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying value of commercial loans at March 31, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) March 31, 2016 December 31, 2015 Held-for-sale, at fair value $ — $ 39,141 Held-for-investment At fair value 69,674 67,657 At amortized cost 294,219 295,849 Total Commercial Loans $ 363,893 $ 402,647 |
Carrying Value for Loans Held-for-Investment | The following table provides additional information for our commercial loans held-for-investment at amortized cost at March 31, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) March 31, 2016 December 31, 2015 Principal balance $ 305,517 $ 307,047 Unamortized discount, net (3,908 ) (4,096 ) Recorded investment 301,609 302,951 Allowance for loan losses (7,390 ) (7,102 ) Carrying Value $ 294,219 $ 295,849 |
Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for commercial loan losses for the three months ended March 31, 2016 and 2015 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 7,102 $ 7,457 Provision for loan losses 288 205 Balance at End of Period $ 7,390 $ 7,662 |
Collectively Evaluated for Impairment | Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Loans Evaluated for Impairment | The following table summarizes the balances for loans collectively evaluated for impairment at March 31, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) March 31, 2016 December 31, 2015 Principal balance $ 305,517 $ 307,047 Recorded investment 301,609 302,951 Related allowance 7,390 7,102 |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities | The following table presents the fair values of our real estate securities by type at March 31, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) March 31, 2016 December 31, 2015 Trading $ 221,571 $ 404,011 Available-for-sale 698,356 829,245 Total Real Estate Securities $ 919,927 $ 1,233,256 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by collateral type at March 31, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Collateral Type (In Thousands) March 31, 2016 December 31, 2015 Senior Securities Prime $ 22,177 $ 248,570 Non-prime 5,414 5,781 Total Senior Securities 27,591 254,351 Subordinate Securities Prime mezzanine (1) 144,317 136,140 Prime subordinate (2) 49,663 13,520 Total Subordinate Securities (3) 193,980 149,660 Total Trading Securities $ 221,571 $ 404,011 (1) Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. (2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2016 , and December 31, 2015 . (3) At March 31, 2016 , and December 31, 2015 , subordinate securities included $62 million and $25 million , respectively, of CRT securities. |
Available for Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by collateral type at March 31, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Collateral Type (In Thousands) March 31, 2016 December 31, 2015 Senior Securities Prime $ 111,523 $ 210,993 Non-prime 29,093 68,258 Total Senior Securities 140,616 279,251 Re-REMIC Securities 162,970 165,064 Subordinate Securities Prime mezzanine (1) 225,787 224,624 Prime subordinate (2) 168,983 160,306 Total Subordinate Securities 394,770 384,930 Total AFS Securities $ 698,356 $ 829,245 (1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later. (2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2016 , and December 31, 2015 . |
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities March 31, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 120,577 $ 31,781 $ 189,146 $ 504,228 $ 845,732 Credit reserve (1,108 ) (687 ) (11,258 ) (35,494 ) (48,547 ) Unamortized discount, net (13,491 ) (3,262 ) (66,586 ) (136,291 ) (219,630 ) Amortized cost 105,978 27,832 111,302 332,443 577,555 Gross unrealized gains 9,326 1,482 51,668 64,538 127,014 Gross unrealized losses (3,781 ) (221 ) — (2,211 ) (6,213 ) Carrying Value $ 111,523 $ 29,093 $ 162,970 $ 394,770 $ 698,356 December 31, 2015 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 217,605 $ 75,591 $ 189,782 $ 490,249 $ 973,227 Credit reserve (1,305 ) (5,101 ) (10,332 ) (32,131 ) (48,869 ) Unamortized discount, net (22,079 ) (8,395 ) (71,670 ) (134,963 ) (237,107 ) Amortized cost 194,221 62,095 107,780 323,155 687,251 Gross unrealized gains 20,263 6,249 57,284 63,205 147,001 Gross unrealized losses (3,491 ) (86 ) — (1,430 ) (5,007 ) Carrying Value $ 210,993 $ 68,258 $ 165,064 $ 384,930 $ 829,245 |
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three months ended March 31, 2016 , in unamortized discount and designated credit reserves on residential AFS securities. Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended March 31, 2016 Credit Unamortized (In Thousands) Beginning balance $ 48,869 $ 237,107 Amortization of net discount — (8,068 ) Realized credit losses (1,955 ) — Acquisitions 4,383 5,110 Sales, calls, other (4,252 ) (13,017 ) Transfers to (release of) credit reserves, net 1,502 (1,502 ) Ending Balance $ 48,547 $ 219,630 |
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2016 and December 31, 2015 . Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) March 31, 2016 $ 39,132 $ (1,350 ) $ 37,782 $ 76,241 $ (4,863 ) $ 71,378 December 31, 2015 87,718 (1,972 ) 85,746 77,539 (3,035 ) 74,504 |
Summary of Significant Valuation Assumptions for Available for Sale Securities | The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at March 31, 2016 . Table 8.7 – Significant Valuation Assumptions Range for Securities March 31, 2016 Prime Non-prime Prepayment rates 10 - 20 % 12 - 15 % Projected losses 0 - 9 % 5 % |
Activity of Credit Component of Other-than-Temporary Impairments | The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at March 31, 2016 and 2015 , for which a portion of an OTTI was recognized in other comprehensive income. Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 28,277 $ 33,849 Reductions Securities sold, or expected to sell (226 ) (95 ) Securities with no outstanding principal at period end (109 ) (805 ) Balance at End of Period $ 27,942 $ 32,949 |
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2016 and 2015 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended March 31, (In Thousands) 2016 2015 Gross realized gains - sales $ 11,419 $ 4,306 Gross realized losses - sales (2,173 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 9,246 $ 4,306 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans | The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of March 31, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans March 31, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 86,591 $ 9,344,652 $ 133,838 $ 12,560,533 Jumbo Loans 40,029 5,479,353 58,138 5,705,939 Total Mortgage Servicing Rights $ 126,620 $ 14,824,005 $ 191,976 $ 18,266,472 |
Activity for Residential First-Lien Mortgage Servicing Rights | The following table presents activity for MSRs for the three months ended March 31, 2016 and 2015 . Table 9.2 – Activity for MSRs Three Months Ended March 31, (In Thousands) 2016 2015 Balance at beginning of period $ 191,976 $ 139,293 Additions 8,807 18,754 Sales (29,559 ) (18,206 ) Changes in fair value due to: Changes in assumptions (1) (38,328 ) (14,036 ) Other changes (2) (6,276 ) (5,481 ) Balance at End of Period $ 126,620 $ 120,324 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to realization of expected cash flows. |
Details of Retention and Purchase of MSRs | The following table details the retention and purchase of MSRs during the three months ended March 31, 2016 . Table 9.3 – MSR Additions (In Thousands) Three Months Ended March 31, 2016 MSR Fair Value Associated Principal Jumbo MSR additions: From loan sales $ 46 $ 6,519 Total jumbo MSR additions 46 6,519 Conforming MSR additions: From loan sales $ 3,364 $ 314,518 From purchases 5,397 549,034 Total conforming MSR additions 8,761 863,552 Total MSR Additions $ 8,807 $ 870,071 |
Components of Mortgage Servicing Rights Income | The following table presents the components of our MSR income. Table 9.4 – Components of MSR Income (Loss), net Three Months Ended March 31, (In Thousands) 2016 2015 Servicing income Income $ 11,684 $ 9,716 Cost of sub-servicer (2,038 ) (1,229 ) Net servicing income 9,646 8,487 Market valuation changes of MSRs (44,604 ) (19,517 ) Market valuation changes of associated derivatives (1) 41,057 — MSR provision for repurchases 182 106 MSR Income (Loss), Net $ 6,281 $ (10,924 ) (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 Instrume38
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments March 31, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 8,647 $ 525,000 $ 2,590 $ 658,000 TBAs 2,843 569,500 2,734 1,028,500 Swaptions 15,541 570,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 4,944 867,816 4,671 764,161 Total Assets $ 31,975 $ 2,532,316 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (62,407 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (29,693 ) 968,500 (10,134 ) 1,039,500 TBAs (3,739 ) 581,000 (2,519 ) 1,450,500 Futures (1,324 ) 150,000 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (305 ) 263,769 (1,464 ) 375,815 Total Liabilities $ (97,468 ) $ 2,102,769 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (65,493 ) $ 4,635,085 $ (46,401 ) $ 6,483,976 |
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2016 and 2015 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended March 31, (In Thousands) 2016 2015 Net interest expense on cash flows hedges $ (1,387 ) $ (1,484 ) Realized net losses reclassified from other comprehensive income (18 ) (31 ) Total Interest Expense $ (1,405 ) $ (1,515 ) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Other Assets | Other assets at March 31, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) March 31, 2016 December 31, 2015 Margin receivable $ 107,941 $ 83,191 Pledged collateral 59,664 53,600 FHLBC stock 44,071 34,437 Investment receivable 7,772 3,870 Guarantee asset 4,272 5,697 REO 4,884 4,896 Fixed assets and leasehold improvements (1) 3,608 4,117 Prepaid expenses 2,183 3,640 Other 7,996 4,438 Total Other Assets $ 242,391 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $6 million and accumulated depreciation of $2 million at March 31, 2016 . |
Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at March 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) March 31, 2016 December 31, 2015 Guarantee obligations $ 24,896 $ 22,704 Unsettled trades 15,014 29 Margin payable 14,247 6,415 Residential loan and MSR repurchase reserve 6,693 6,403 Accrued compensation 6,476 17,527 Restructuring liabilities 5,245 — Legal reserve 2,000 2,000 Accrued operating expenses 1,621 1,845 Current accounts payable 1,038 4,764 Other 4,939 8,210 Total Other Liabilities $ 82,169 $ 69,897 |
Restructuring and Related Costs | The following table presents our restructuring activities and the associated liabilities during the three months ended March 31, 2016 . Table 11.3 – Activities of Restructuring Liabilities Three Months Ended March 31, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ — $ — $ — Costs incurred and expensed 8,738 1,921 10,659 Costs paid/settled (1,326 ) (602 ) (1,928 ) Adjustments (1) (3,486 ) — (3,486 ) Ending Balance $ 3,926 $ 1,319 $ 5,245 (1) Amount represents equity compensation expense recorded during the three months ended March 31, 2016 related to equity awards that were accelerated, and will be distributed in future periods. |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, the outstanding balances, the weighted average interest rate, and the maturity information of the short-term debt at March 31, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities March 31, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 368,679 $ 1,400,000 1.97 % 6/2016-2/2017 240 Commercial loan warehouse 2 — 300,000 N/A 4/2016-10/2016 N/A Real estate securities repo 9 435,496 — 1.77 % 4/2016-6/2016 29 Total 15 $ 804,175 December 31, 2015 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 950,022 $ 1,400,000 1.90 % 2/2016-12/2016 182 FHLBC (1) 1 137,622 — 0.21 % 7/2016-11/2016 204 Commercial loan warehouse 2 73,718 300,000 4.13 % 4/2016-10/2016 265 Real estate securities repo 9 693,641 — 1.47 % 1/2016-3/2016 24 Total 16 $ 1,855,003 (1) Amount represents the portion of our borrowings from the FHLBC that were due within 12 months at December 31, 2015 . See Note 14 for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC. |
Remaining Maturities of Short Term Debt | The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at March 31, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities March 31, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 64,571 $ 304,108 $ 368,679 Commercial loans (1) 4,337 — — 4,337 Real estate securities 309,112 122,047 — 431,159 Total Short-Term Debt $ 313,449 $ 186,618 $ 304,108 $ 804,175 (1) One commercial loan serves as collateral under a securities repo facility. |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | The carrying values of ABS issued by consolidated securitization entities we sponsored at March 31, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued March 31, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 1,044,364 $ 51,680 $ 1,096,044 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 4,598 — 4,598 4,672 — 4,672 Market valuation adjustments (141,939 ) — (141,939 ) (116,637 ) — (116,637 ) Total ABS Issued 907,023 51,680 958,703 996,820 53,137 1,049,957 Deferred debt issuance costs — (339 ) (339 ) — (542 ) (542 ) ABS issued, net (1) $ 907,023 $ 51,341 $ 958,364 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.64% to 1.87% 5.62 % 0.41% to 2.21% 5.62 % Stated maturities 2024 - 2037 2018 2017 - 2037 2018 Number of series 20 1 21 1 (1) Upon adoption of ASU 2015-03 on January 1, 2016, we began to present ABS issued, net of deferred debt issuance costs. See Note 3 for further discussion. |
Summary of Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at March 31, 2016 and December 31, 2015 . Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) March 31, 2016 December 31, 2015 Sequoia $ 519 $ 555 Commercial Securitization 242 249 Total Accrued Interest Payable on ABS Issued $ 761 $ 804 |
Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at March 31, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued March 31, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 930,027 $ — $ 930,027 $ 1,021,870 $ — $ 1,021,870 Commercial loans — 164,626 164,626 — 166,016 166,016 Restricted cash 147 136 283 228 137 365 Accrued interest receivable 1,038 1,290 2,328 1,131 1,297 2,428 REO 4,884 47 4,931 4,895 — 4,895 Total Collateral for ABS Issued $ 936,096 $ 166,099 $ 1,102,195 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt | The following table presents maturities of our FHLBC borrowings by year at March 31, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) March 31, 2016 2024 $ 470,171 2025 887,639 2026 642,189 Total FHLBC Borrowings $ 1,999,999 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments | The following table presents our future lease commitments at March 31, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) March 31, 2016 2016 (9 months) $ 2,149 2017 2,880 2018 1,827 2019 1,189 2020 1,127 2021 and thereafter 367 Total Lease Commitments $ 9,539 |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 months ended March 31, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 (In Thousands) Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 139,356 $ (47,363 ) $ 186,737 $ (46,049 ) Other comprehensive income (loss) (10,103 ) (14,243 ) 5,053 (8,442 ) Amounts reclassified from other (10,953 ) 18 (1,690 ) 31 Net current-period other comprehensive income (loss) (21,056 ) (14,225 ) 3,363 (8,411 ) Balance at End of Period $ 118,300 $ (61,588 ) $ 190,100 $ (54,460 ) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for three months ended March 31, 2016 and 2015 . Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, (In Thousands) Income Statement 2016 2015 Net realized (gain) loss on AFS securities Gain on sale of AFS securities Realized gains, net (10,953 ) (1,690 ) $ (10,953 ) $ (1,690 ) Net realized loss on interest rate Amortization of deferred loss Interest expense $ 18 $ 31 $ 18 $ 31 |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three months ended March 31, 2016 and 2015 . Table 16.3 – Basic and Diluted Earnings Per Common Share Three Months Ended March 31, (In Thousands, Except Share Data) 2016 2015 Basic Earnings Per Common Share: Net income attributable to Redwood $ 12,063 $ 14,801 Less: Dividends and undistributed earnings allocated to participating securities (701 ) (822 ) Net income allocated to common shareholders $ 11,362 $ 13,979 Basic weighted average common shares outstanding 77,137,682 83,360,312 Basic Earnings Per Common Share $ 0.15 $ 0.17 Diluted Earnings Per Common Share: Net income attributable to Redwood $ 12,063 $ 14,801 Less: Dividends and undistributed earnings allocated to participating securities (701 ) (822 ) Net income allocated to common shareholders $ 11,362 $ 13,979 Weighted average common shares outstanding 77,137,682 83,360,312 Net effect of dilutive equity awards — 2,261,904 Diluted weighted average common shares outstanding 77,137,682 85,622,216 Diluted Earnings Per Common Share $ 0.15 $ 0.16 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 $20 million at March 31, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Three Months Ended March 31, 2016 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 2,393 $ 14,392 $ 6,823 $ — $ 23,608 Equity grants 1,741 3,355 — 124 5,220 Equity grant forfeitures (1,119 ) (150 ) (2,209 ) — (3,478 ) Equity compensation (expense) income 17 (4,712 ) (1,092 ) (31 ) (5,818 ) Unrecognized Compensation Cost at End of Period $ 3,032 $ 12,885 $ 3,522 $ 93 $ 19,532 |
Mortgage Banking Activities, 46
Mortgage Banking Activities, Net (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Mortgage Banking Activities, Net | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three months ended March 31, 2016 and 2015 . Table 18.1 – Mortgage Banking Activities Three Months Ended March 31, (In Thousands) 2016 2015 Residential mortgage banking activities, net: Changes in fair value of: Residential loans, at fair value (1) $ 18,074 $ 20,312 Sequoia securities 1,484 (14,359 ) Risk management derivatives (2) (10,216 ) (4,371 ) Other income (expense), net (3) (62 ) 633 Total residential mortgage banking activities, net 9,280 2,215 Commercial mortgage banking activities, net: Changes in fair value of: Commercial loans, at fair value 433 5,857 Risk management derivatives (3) (2,538 ) (6,212 ) Other fee income 43 63 Total commercial mortgage banking activities, net (2,062 ) (292 ) Mortgage Banking Activities, Net $ 7,218 $ 1,923 (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. (3) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
Investments Fair Value Change47
Investments Fair Value Changes, Net (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule Of Investments Fair Value Changes, Net | The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the three months ended March 31, 2016 and 2015 . Table 19.1 – Investment Activities Three Months Ended March 31, (In Thousands) 2016 2015 Investment fair value changes, net Changes in fair value of: Residential loans held-for-investment, at Redwood $ 23,463 $ 1,980 Trading securities (5,601 ) 270 Net investments in consolidated Sequoia entities (1,580 ) (1,093 ) Risk sharing investments (10 ) (928 ) Risk management derivatives (35,810 ) (1,374 ) Investment Fair Value Changes, Net $ (19,538 ) $ (1,145 ) |
Operating Expenses (Tables)
Operating Expenses (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of our operating expenses for the three months ended March 31, 2016 and 2015 are presented in the following table. Table 20.1 – Components of Operating Expenses Three Months Ended March 31, (In Thousands) 2016 2015 Fixed compensation expense $ 7,894 $ 9,155 Variable compensation expense 1,760 3,991 Equity compensation expense 2,332 2,738 Total compensation expense 11,986 15,884 Systems and consulting 2,622 2,122 Loan acquisition costs (1) 1,601 2,324 Office costs 1,380 1,232 Accounting and legal 985 1,577 Corporate costs 466 526 Other operating expenses 753 1,398 Operating expenses before restructuring charges $ 19,793 $ 25,063 Restructuring charges (2) 10,659 — Total Operating Expenses $ 30,452 $ 25,063 (1) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value. (2) For the three month months ended March 31, 2016 , restructuring charges included $5 million of fixed compensation expense and $4 million of equity compensation expense related to one-time termination benefits, as well as $2 million of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See Note 11 for further discussion on restructuring charges. |
Taxes (Tables)
Taxes (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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 effective tax rate at March 31, 2016 and 2015 . Table 21.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate March 31, 2016 March 31, 2015 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 (74.0 )% (44.7 )% Change in valuation allowance 92.0 % 11.9 % Dividends paid deduction (59.0 )% (64.4 )% Effective Tax Rate 0.2 % (56.0 )% |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Financial Information by Segment | The following tables present financial information by segment for the three months ended March 31, 2016 and 2015 . Table 22.1 – Business Segment Financial Information Three Months Ended March 31, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 7,869 $ 39,936 $ 9,581 $ 4,942 $ 62,328 Interest expense (3,289 ) (4,953 ) (2,952 ) (12,756 ) (23,950 ) Net interest income (loss) 4,580 34,983 6,629 (7,814 ) 38,378 Reversal of provision for loan losses — — (289 ) — (289 ) Non-interest income Mortgage banking activities, net 9,280 — (2,062 ) — 7,218 MSR income (loss), net — 6,281 — — 6,281 Investment fair value changes, net — (17,765 ) (137 ) (1,636 ) (19,538 ) Other income — 955 — — 955 Realized gains, net — 9,246 — 292 9,538 Total non-interest income, net 9,280 (1,283 ) (2,199 ) (1,344 ) 4,454 Direct operating expenses (1) (5,321 ) (1,861 ) (1,602 ) (21,668 ) (30,452 ) Provision for income taxes — (28 ) — — (28 ) Segment Contribution $ 8,539 $ 31,811 $ 2,539 $ (30,826 ) Net Income $ 12,063 Non-cash amortization income (expense) $ (43 ) $ 8,068 $ (16 ) $ (990 ) $ 7,019 (1) For the three months ended March 31, 2016 , charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations are presented under the Corporate/Other column. See Note 11 for further discussion of these restructuring charges. Three Months Ended March 31, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 15,795 $ 30,012 $ 10,914 $ 7,025 $ 63,746 Interest expense (3,778 ) (2,810 ) (3,489 ) (13,884 ) (23,961 ) Net interest income (loss) 12,017 27,202 7,425 (6,859 ) 39,785 Provision for loan losses — — (206 ) — (206 ) Non-interest income Mortgage banking activities, net 2,215 — (292 ) — 1,923 MSR income (loss), net — (10,924 ) — — (10,924 ) Investment fair value changes, net 2 (19 ) — (1,128 ) (1,145 ) Other income — 809 — — 809 Realized gains, net — 4,306 — — 4,306 Total non-interest income, net 2,217 (5,828 ) (292 ) (1,128 ) (5,031 ) Direct operating expenses (10,903 ) (1,118 ) (3,482 ) (9,560 ) (25,063 ) Benefit from income taxes 8 3,510 853 945 5,316 Segment Contribution $ 3,339 $ 23,766 $ 4,298 $ (16,602 ) Net Income $ 14,801 Non-cash amortization income (expense) $ (46 ) $ 9,838 $ (49 ) $ (981 ) $ 8,762 |
Schedule of Corporate and Other | The following tables present the components of Corporate/Other for the three months ended March 31, 2016 and 2015 . Table 22.2 – Components of Corporate/Other Three Months Ended March 31, 2016 2015 (In Thousands) Legacy VIEs (1) Other Total Legacy VIEs (1) Other Total Interest income $ 4,777 $ 165 $ 4,942 $ 7,018 $ 7 $ 7,025 Interest expense (3,297 ) (9,459 ) (12,756 ) (4,482 ) (9,402 ) (13,884 ) Net interest income (loss) 1,480 (9,294 ) (7,814 ) 2,536 (9,395 ) (6,859 ) Reversal of provision for loan losses — — — — — — Non-interest income Mortgage banking activities, net — — — — — — MSR income (loss), net — — — — — — Investment fair value changes, net (1,580 ) (56 ) (1,636 ) (1,093 ) (35 ) (1,128 ) Other income — — — — — — Realized gains, net — 292 292 — — — Total non-interest income, net (1,580 ) 236 (1,344 ) (1,093 ) (35 ) (1,128 ) Direct operating expenses — (21,668 ) (21,668 ) — (9,560 ) (9,560 ) (Provision for) benefit from income taxes — — — — 945 945 Total $ (100 ) $ (30,726 ) $ (30,826 ) $ 1,443 $ (18,045 ) $ (16,602 ) |
Supplemental Information by Segment | The following table presents supplemental information by segment at March 31, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total March 31, 2016 Residential loans $ 441,076 $ 2,343,953 $ — $ 930,027 $ 3,715,056 Commercial loans — — 363,893 — 363,893 Real estate securities — 909,569 10,358 — 919,927 Mortgage servicing rights — 126,620 — — 126,620 Total assets 472,213 3,552,629 377,452 1,324,586 5,726,880 December 31, 2015 Residential loans $ 1,115,738 $ 1,791,195 $ — $ 1,021,870 $ 3,928,803 Commercial loans — — 402,647 — 402,647 Real estate securities 197,007 1,028,171 8,078 — 1,233,256 Mortgage servicing rights — 191,976 — — 191,976 Total assets 1,347,492 3,140,604 415,716 1,316,235 6,220,047 |
Organization (Detail)
Organization (Detail) | 3 Months Ended |
Mar. 31, 2016Segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 3 |
Summary of Significant Accoun52
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | $ 27,031 | $ 11,722 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 27,031 | 11,722 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (20,265) | (7,549) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,581) | (2,930) |
Net Amount | 2,185 | 1,243 |
Gross Amounts of Recognized Liabilities | (901,338) | (1,778,711) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (901,338) | (1,778,711) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 824,440 | 1,724,930 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 76,178 | 53,167 |
Net Amount | (720) | (614) |
Interest rate agreements | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 24,188 | 7,781 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 24,188 | 7,781 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (18,926) | (5,651) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,581) | (1,917) |
Net Amount | 681 | 213 |
Gross Amounts of Recognized Liabilities | (92,100) | (58,366) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (92,100) | (58,366) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 18,926 | 5,651 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 73,174 | 52,715 |
Net Amount | 0 | 0 |
Credit Default Index Swaps | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 1,207 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,207 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (720) | |
Net Amount | 487 | |
TBAs | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 2,843 | 2,734 |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 2,843 | 2,734 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (1,339) | (1,898) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | 0 | (293) |
Net Amount | 1,504 | 543 |
Gross Amounts of Recognized Liabilities | (3,739) | (2,519) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (3,739) | (2,519) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,339 | 1,898 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 1,680 | 7 |
Net Amount | (720) | (614) |
Futures | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | (1,324) | (445) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (1,324) | (445) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 1,324 | 445 |
Net Amount | 0 | 0 |
Loan warehouse debt | ||
Offsetting Asset and Liabilities [Line Items] | ||
Gross Amounts of Recognized Liabilities | (368,679) | (1,023,740) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (368,679) | (1,023,740) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 368,679 | 1,023,740 |
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 | (435,496) | (693,641) |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (435,496) | (693,641) |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 435,496 | 693,641 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Summary of Significant Accoun53
Summary of Significant Accounting Policies - Debt Issuance Costs (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Long-term debt | ||
Debt Instrument [Line Items] | ||
Deferred debt issuance costs | $ 9,513 | $ 10,438 |
Asset-backed Securities | ||
Debt Instrument [Line Items] | ||
Deferred debt issuance costs | $ 339 | $ 542 |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Detail) | 39 Months Ended |
Mar. 31, 2016Entity | |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of securitization entities to which asset transferred | 26 |
Principles of Consolidation -55
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Detail) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016USD ($)Investment | Dec. 31, 2015USD ($)Investment | |
Variable Interest Entity [Line Items] | ||
Assets | $ 1,102,195 | $ 1,195,574 |
Liabilities | $ 959,464 | $ 1,050,861 |
Number of VIEs | Investment | 21 | 22 |
Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 936,096 | $ 1,028,124 |
Liabilities | $ 907,542 | $ 997,475 |
Number of VIEs | Investment | 20 | 21 |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 166,099 | $ 167,450 |
Liabilities | $ 51,922 | $ 53,386 |
Number of VIEs | Investment | 1 | 1 |
Residential Loans Held for Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 930,027 | $ 1,021,870 |
Residential Loans Held for Investment | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 930,027 | 1,021,870 |
Residential Loans Held for Investment | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Commercial Loans Held For Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 164,626 | 166,016 |
Commercial Loans Held For Investment | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Commercial Loans Held For Investment | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 164,626 | 166,016 |
Real estate securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Real estate securities | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Real estate securities | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 283 | 365 |
Restricted cash | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 147 | 228 |
Restricted cash | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 136 | 137 |
Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 2,328 | 2,428 |
Accrued interest receivable | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,038 | 1,131 |
Accrued interest receivable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,290 | 1,297 |
Other Assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,931 | 4,895 |
Other Assets | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,884 | 4,895 |
Other Assets | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 47 | 0 |
Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 761 | 804 |
Accrued interest payable | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 519 | 555 |
Accrued interest payable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 242 | 249 |
Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Accrued expenses and other liabilities | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Accrued expenses and other liabilities | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | |
Asset-backed Securities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 958,703 | 1,049,957 |
Asset-backed Securities | Sequoia | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 907,023 | 996,820 |
Asset-backed Securities | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 51,680 | $ 53,137 |
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Variable Interest Entity [Line Items] | ||
MSRs recognized | $ 3,463 | $ 15,675 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Principal balance of loans transferred | 0 | 338,796 |
MSRs recognized | 0 | 1,872 |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | 0 | 3,423 |
Variable Interest Entity, Not Primary Beneficiary | Available-for-sale Securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | $ 0 | $ 2,859 |
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Variable Interest Entity [Line Items] | ||
Proceeds from new transfers | $ 0 | $ 341,716 |
MSR fees received | 3,523 | 3,770 |
Funding of compensating interest | (79) | (90) |
Cash flows received on retained securities | $ 11,191 | $ 12,645 |
Principles of Consolidation -58
Principles of Consolidation - Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) | 3 Months Ended |
Mar. 31, 2015 | |
Subordinate Securities | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |
Credit loss assumptions | 0.25% |
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% |
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% |
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 | 19.00% |
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% |
Discount rates | 6.00% |
Principles of Consolidation -59
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 346,034 | $ 588,396 |
Principal balance of loans outstanding | 7,055,574 | 7,318,167 |
Principal balance of delinquent loans 30+ days delinquent | 15,235 | 18,300 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 32,434 | 258,697 |
Senior and subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 274,380 | 272,715 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 39,220 | $ 56,984 |
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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
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 | $ 39,220 | $ 56,984 |
Expected life (in years) | 4 years | 7 years |
Prepayment speed assumption (annual CPR) | 21.00% | 11.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,423 | $ 2,868 |
25% adverse change | $ 5,800 | $ 6,119 |
Discount rate assumption | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 1,024 | $ 2,711 |
200 basis point increase | 2,012 | 4,745 |
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 | $ 22,177 | $ 248,570 |
Expected life (in years) | 4 years | 5 years |
Prepayment speed assumption (annual CPR) | 14.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,297 | $ 2,042 |
25% adverse change | $ 3,039 | $ 4,810 |
Discount rate assumption | 11.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 650 | $ 10,029 |
200 basis point increase | $ 1,264 | $ 19,365 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 15 | $ 35 |
25% higher losses | 38 | 86 |
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 | 22,000 | 31,000 |
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 | $ 284,637 | $ 282,842 |
Expected life (in years) | 11 years | 12 years |
Prepayment speed assumption (annual CPR) | 13.00% | 12.00% |
Decrease in fair value from: | ||
10% adverse change | $ 969 | $ 901 |
25% adverse change | $ 2,459 | $ 2,278 |
Discount rate assumption | 6.00% | 6.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 21,432 | $ 21,981 |
200 basis point increase | $ 40,189 | $ 41,156 |
Credit loss assumption | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 1,213 | $ 1,244 |
25% higher losses | $ 3,042 | $ 3,129 |
Principles of Consolidation -61
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Detail) - Real Estate Securities $ in Thousands | Mar. 31, 2016USD ($) |
Variable Interest Entity [Line Items] | |
Assets | $ 613,113 |
Senior | |
Variable Interest Entity [Line Items] | |
Assets | 146,030 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 162,970 |
Subordinate | |
Variable Interest Entity [Line Items] | |
Assets | $ 304,113 |
Fair Value of Financial Instr62
Fair Value of Financial Instruments - Additional Information (Detail) $ in Millions | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Dealer marks of securities | 68.00% |
Percentage of carrying value for which dealer quotes have been received | 84.00% |
Mortgage servicing rights | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 9 |
Mortgage servicing rights | Maximum | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Percentage difference of internal valuation than dealer marks | 1.00% |
Residential Subordinate Securities | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 48 |
Residential Loans | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | 1,190 |
Commercial Loans | |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 38 |
Fair Value of Financial Instr63
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
Assets | ||||
Trading securities | $ 221,571 | $ 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
MSRs | 126,620 | 191,976 | [1] | |
Derivative assets | [1] | 31,975 | 16,393 | |
Pledged collateral | 59,664 | 53,600 | ||
Liabilities | ||||
Derivative liabilities | [1] | 97,468 | 62,794 | |
Carrying Value | ||||
Assets | ||||
Trading securities | 221,571 | 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
MSRs | 126,620 | 191,976 | ||
Cash and cash equivalents | 305,115 | 220,229 | ||
Restricted cash | 2,137 | 5,567 | ||
Accrued interest receivable | 19,766 | 23,290 | ||
Derivative assets | 31,975 | 16,393 | ||
REO | 4,884 | 4,896 | ||
Margin receivable | 107,941 | 83,191 | ||
FHLBC stock | 44,071 | 34,437 | ||
Guarantees asset | 4,272 | 5,697 | ||
Pledged collateral | 53,600 | |||
Liabilities | ||||
Short-term debt | 804,175 | 1,855,003 | ||
Accrued interest payable | 15,522 | 8,936 | ||
Margin payable | 14,247 | 6,415 | ||
Guarantee obligation | 24,896 | 22,704 | ||
Derivative liabilities | 97,468 | 62,794 | ||
ABS issued, net, Fair value | 907,023 | 996,820 | ||
ABS issued, net, Amortized cost | 51,341 | 52,595 | ||
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | ||
Commercial secured borrowings | 65,181 | 63,152 | ||
Convertible notes, net | 479,798 | 483,119 | ||
Trust preferred securities and subordinated notes, net | 138,454 | 138,443 | ||
Carrying Value | Residential Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 439,674 | 1,114,305 | ||
Carrying Value | Residential Loans at Lower of Cost or Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,402 | 1,433 | ||
Carrying Value | Residential Loans Held For Investment at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 3,273,980 | 2,813,065 | ||
Carrying Value | Commercial Loans Held For Sale | ||||
Assets | ||||
Loans, held-for-sale | 39,141 | |||
Loans, held-for-investment | 0 | |||
Carrying Value | Commercial Loans Held-for-Investment, at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 69,674 | 67,657 | ||
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | 294,219 | 295,849 | ||
Fair Value | ||||
Assets | ||||
Trading securities | 221,571 | 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
MSRs | 126,620 | 191,976 | ||
Cash and cash equivalents | 305,115 | 220,229 | ||
Restricted cash | 2,137 | 5,567 | ||
Accrued interest receivable | 19,766 | 23,290 | ||
Derivative assets | 31,975 | 16,393 | ||
REO | 5,475 | 5,282 | ||
Margin receivable | 107,941 | 83,191 | ||
FHLBC stock | 44,071 | 34,437 | ||
Guarantees asset | 4,272 | 5,697 | ||
Pledged collateral | 59,664 | 53,600 | ||
Liabilities | ||||
Short-term debt | 804,175 | 1,855,003 | ||
Accrued interest payable | 15,522 | 8,936 | ||
Margin payable | 14,247 | 6,415 | ||
Guarantee obligation | 23,595 | 22,702 | ||
Derivative liabilities | 97,468 | 62,794 | ||
ABS issued, net, Fair value | 907,023 | 996,820 | ||
ABS issued, net, Amortized cost | 51,680 | 53,137 | ||
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | ||
Commercial secured borrowings | 65,181 | 63,152 | ||
Convertible notes, net | 453,396 | 461,053 | ||
Trust preferred securities and subordinated notes, net | 80,910 | 83,700 | ||
Fair Value | Residential Loans at Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 439,674 | 1,114,305 | ||
Fair Value | Residential Loans at Lower of Cost or Fair Value | ||||
Assets | ||||
Loans, held-for-sale | 1,594 | 1,635 | ||
Fair Value | Residential Loans Held For Investment at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 3,273,980 | 2,813,065 | ||
Fair Value | Commercial Loans Held For Sale | ||||
Assets | ||||
Loans, held-for-sale | 0 | 39,141 | ||
Fair Value | Commercial Loans Held-for-Investment, at Fair Value | ||||
Assets | ||||
Loans, held-for-investment | 69,674 | 67,657 | ||
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Assets | ||||
Loans, held-for-investment | $ 301,488 | $ 300,824 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr64
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
Assets | ||||
Trading securities | $ 221,571 | $ 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
Derivative assets | [1] | 31,975 | 16,393 | |
MSRs | 126,620 | 191,976 | [1] | |
Pledged collateral | 59,664 | 53,600 | ||
Liabilities | ||||
Derivative liabilities | [1] | 97,468 | 62,794 | |
Commercial secured borrowings | 65,181 | 63,152 | ||
Fair Value, Measurements, Recurring | ||||
Assets | ||||
Trading securities | 221,571 | 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
Derivative assets | 31,975 | 16,393 | ||
MSRs | 126,620 | 191,976 | ||
Pledged collateral | 59,664 | 53,600 | ||
FHLBC stock | 44,071 | 34,437 | ||
Guarantees asset | 4,272 | 5,697 | ||
Liabilities | ||||
Derivative liabilities | 97,468 | 62,794 | ||
Commercial secured borrowings | 65,181 | 63,152 | ||
ABS issued | 907,023 | 996,820 | ||
Fair Value, Measurements, Recurring | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 3,713,654 | 3,927,370 | ||
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 69,674 | 106,798 | ||
Fair Value, Measurements, Recurring | Level 1 | ||||
Assets | ||||
Trading securities | 0 | |||
Available-for-sale securities | 0 | |||
Derivative assets | 2,843 | 2,734 | ||
MSRs | 0 | |||
Pledged collateral | 59,664 | 53,600 | ||
FHLBC stock | 0 | 0 | ||
Liabilities | ||||
Derivative liabilities | 5,063 | 2,963 | ||
Commercial secured borrowings | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | ||||
Assets | ||||
Trading securities | 0 | |||
Available-for-sale securities | 0 | |||
Derivative assets | 24,188 | 8,988 | ||
MSRs | 0 | |||
Pledged collateral | 0 | |||
FHLBC stock | 44,071 | 34,437 | ||
Liabilities | ||||
Derivative liabilities | 92,100 | 58,368 | ||
Commercial secured borrowings | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 1,387 | 129,819 | ||
Fair Value, Measurements, Recurring | Level 2 | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | ||||
Assets | ||||
Trading securities | 221,571 | 404,011 | ||
Available-for-sale securities | 698,356 | 829,245 | ||
Derivative assets | 4,944 | 4,671 | ||
MSRs | 126,620 | 191,976 | ||
Pledged collateral | 0 | |||
FHLBC stock | 0 | |||
Guarantees asset | 4,272 | 5,697 | ||
Liabilities | ||||
Derivative liabilities | 305 | 1,463 | ||
Commercial secured borrowings | 65,181 | 63,152 | ||
ABS issued | 907,023 | 996,820 | ||
Fair Value, Measurements, Recurring | Level 3 | Residential Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | 3,712,267 | 3,797,551 | ||
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value | ||||
Assets | ||||
Loans at fair value | $ 69,674 | $ 106,798 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr65
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Commercial Secured Borrowings | |
Liabilities | |
Beginning balance | $ 63,152 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | (155) |
Gains (losses) in net income, net | 2,171 |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 13 |
Ending balance | 65,181 |
Asset-backed Securities | |
Liabilities | |
Beginning balance | 996,820 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | (49,411) |
Gains (losses) in net income, net | (33,515) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | (6,871) |
Ending balance | 907,023 |
Residential Loans at Fair Value | |
Assets | |
Beginning balance | 3,797,551 |
Acquisitions | 1,020,846 |
Sales | (941,790) |
Principal paydowns | (161,241) |
Gains (losses) in net income, net | (7,934) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 4,835 |
Ending balance | 3,712,267 |
Commercial Loans | |
Assets | |
Beginning balance | 106,798 |
Acquisitions | 37,626 |
Sales | (77,183) |
Principal paydowns | (171) |
Gains (losses) in net income, net | 2,604 |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 69,674 |
Trading Securities | |
Assets | |
Beginning balance | 404,011 |
Acquisitions | 47,760 |
Sales | (220,123) |
Principal paydowns | (5,718) |
Gains (losses) in net income, net | (4,359) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 221,571 |
Available-for-sale Securities | |
Assets | |
Beginning balance | 829,245 |
Acquisitions | 15,585 |
Sales | (125,911) |
Principal paydowns | (16,683) |
Gains (losses) in net income, net | 17,314 |
Unrealized gains in OCI, net | (21,194) |
Other settlements, net | 0 |
Ending balance | 698,356 |
Mortgage servicing rights | |
Assets | |
Beginning balance | 191,976 |
Acquisitions | 8,807 |
Sales | (29,559) |
Principal paydowns | 0 |
Gains (losses) in net income, net | (44,604) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 126,620 |
Guarantee Asset | |
Assets | |
Beginning balance | 5,697 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | (1,425) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 4,272 |
Derivatives | |
Assets | |
Beginning balance | 3,208 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | 15,606 |
Unrealized gains in OCI, net | 0 |
Other settlements, net | (14,175) |
Ending balance | $ 4,639 |
Fair Value of Financial Instr66
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
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 | $ 2,171 | $ (1,509) |
Asset-backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | (33,515) | (2,946) |
Residential Loans Held For Investment at Fair Value | Residential loans at Redwood | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 27,285 | 5,464 |
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 | (35,656) | 1,179 |
Guarantee Asset | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (1,425) | (1,083) |
Commercial Loans at Fair Value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 2,171 | 2,959 |
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 | (6,135) | (13,790) |
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 | (30,834) | (11,769) |
Loan Purchase Commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | $ 4,644 | $ 7,422 |
Fair Value of Financial Instr67
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Detail) - Fair Value, Measurements, Nonrecurring $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Residential loans, at lower of cost or fair value | $ 1,076 |
REO | 1,285 |
Guarantee obligations | 928 |
Level 3 | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | |
Residential loans, at lower of cost or fair value | 1,076 |
REO | 1,285 |
Guarantee obligations | 928 |
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 | (16) |
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 | $ (252) |
Fair Value of Financial Instr68
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage servicing rights income (loss), net | $ 6,281 | $ (10,924) |
Total Market gains and losses, net | (15,848) | (19,435) |
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 | 13,000 | 18,000 |
Mortgage banking activities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | 7,237 | 1,227 |
Mortgage banking 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 | 5,439 | 2,056 |
Mortgage banking 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 | 12,635 | 18,256 |
Mortgage banking 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 | 433 | 5,857 |
Mortgage banking activities | Consolidated Sequoia entities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | 1,484 | (14,359) |
Mortgage banking activities | Risk managment derivatives | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (12,754) | (10,583) |
Investment activities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (19,538) | (1,145) |
Investment activities | Consolidated Sequoia entities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (1,580) | (1,093) |
Investment activities | Residential loans held-for-investment, at Redwood | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | 23,463 | 1,980 |
Investment activities | Real estate securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (5,601) | 270 |
Investment activities | Risk managment derivatives | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (35,810) | (1,374) |
Investment activities | Other | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Market valuations gains and losses, net | (10) | (928) |
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 | (3,547) | (19,517) |
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 | 41,057 | 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 | $ (44,604) | $ (19,517) |
Fair Value of Financial Instr69
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) | 3 Months Ended |
Mar. 31, 2016USD ($)$ / loan | |
Loan Purchase Commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.30% |
Loan Purchase Commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.80% |
Loan Purchase Commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 1.54% |
Asset-backed Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 907,023,000 |
Asset-backed Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 5.00% |
Prepayment rate | 5.00% |
Credit support | 0.00% |
Loss severity | 20.00% |
Default rate | 1.00% |
Asset-backed Securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 9.00% |
Prepayment rate | 20.00% |
Credit support | 33.00% |
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 | 12.00% |
Credit support | 9.00% |
Loss severity | 27.00% |
Default rate | 7.00% |
Commercial Secured Borrowings | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 65,181,000 |
Commercial Secured Borrowings | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.12% |
Credit support | 25.00% |
Commercial Secured Borrowings | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.12% |
Credit support | 25.00% |
Commercial Secured Borrowings | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.12% |
Credit support | 25.00% |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 2,494,912,000 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA (usd per loan) | $ / loan | 3.13 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.35 |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.12 |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 83,124,000 |
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 | 1.30% |
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 | 1.80% |
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 | 1.51% |
Residential Loans Priced To Whole Loan Market and Committed to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 204,204,000 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / loan | 101.91 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / loan | 102.30 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Committed Sales Price | $ / loan | 102.14 |
Residential Loans Held For Investment at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 930,027,000 |
Residential Loans at Lower of Cost or Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,076,000 |
Residential Loans at Lower of Cost or Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 15.00% |
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 | 29.00% |
Commercial Loans at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 69,674,000 |
Commercial Loans at Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.20% |
Credit support | 25.00% |
Commercial Loans at Fair Value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.20% |
Credit support | 25.00% |
Commercial Loans at Fair Value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Spread to swap rate | 2.20% |
Credit support | 25.00% |
Investment Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 919,927,000 |
Investment Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 5.00% |
Prepayment rate | 1.00% |
Credit support | 0.00% |
Loss severity | 20.00% |
Default rate | 0.00% |
Investment Securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 12.00% |
Prepayment rate | 35.00% |
Credit support | 48.00% |
Loss severity | 65.00% |
Default rate | 35.00% |
Investment Securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 6.00% |
Prepayment rate | 14.00% |
Credit support | 4.00% |
Loss severity | 23.00% |
Default rate | 3.00% |
Mortgage servicing rights | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 126,620,000 |
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 | 13.00% |
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 | 15.00% |
Per loan annual cost to service | $ 78 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 4,272,000 |
Guarantee asset | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 19.00% |
Guarantee asset | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 19.00% |
Guarantee asset | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Discount rate | 11.00% |
Prepayment rate | 19.00% |
REO | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,285,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 11.00% |
REO | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 93.00% |
REO | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity | 35.00% |
Loan Purchase Commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 4,639,000 |
Loan Purchase Commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 3.35 |
MSR Multiple | 0.3 |
Fallout rate | 2.00% |
Loan Purchase Commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.35 |
MSR Multiple | 6.6 |
Fallout rate | 98.00% |
Loan Purchase Commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.16 |
MSR Multiple | 2.8 |
Fallout rate | 44.00% |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | $ 3,715,056 | $ 3,928,803 | |
Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | [1] | 441,076 | 1,115,738 |
Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 440,000 | 1,110,000 | |
Residential Loans at Fair Value | Conforming Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,387 | 129,819 | |
Residential Loans at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 438,287 | 984,486 | |
Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,402 | 1,433 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,790,000 | ||
Residential Loans Held For Investment at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 3,273,980 | 2,813,065 | |
Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,785,029 | 2,906,933 | |
Redwood | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 441,076 | 1,115,738 | |
Redwood | Residential Loans at Fair Value | Conforming Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,387 | 129,819 | |
Redwood | Residential Loans at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 438,287 | 984,486 | |
Redwood | Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,402 | 1,433 | |
Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,343,953 | 1,791,195 | |
Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 930,027 | 1,021,870 | |
Sequoia | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
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 | $ 930,027 | $ 1,021,870 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Detail) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)loanContract | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)loanContract | |
Mortgage Loans on Real Estate [Line Items] | |||
Transfers from loans held-for-sale to loans held-for-investment | $ 660,818 | $ 447,840 | |
Transfers from loans held-for-investment to loans held-for-sale | 54,747 | 0 | |
Principal balance of loans sold during period | 1,240,000 | 2,200,000 | |
Carrying value of loans | 3,715,056 | $ 3,928,803 | |
Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 2,785,029 | 2,906,933 | |
Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | $ 930,027 | $ 1,021,870 | |
Fixed-rate loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 4.16% | ||
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Principal value of loans purchased | $ 1,190,000 | 2,400,000 | |
Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 588 | 1,763 | |
Loan Principal | $ 429,000 | $ 1,090,000 | |
Valuation adjustments | 5,000 | 2,000 | |
Loan pledged as collateral | 414,000 | ||
Carrying value of loans | 440,000 | $ 1,110,000 | |
Loans held-for-investment, in foreclosure | $ 1,000 | ||
Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 9 | 9 | |
Loan Principal | $ 2,000 | $ 2,000 | |
Financing Receivable, Number Of Loans In Foreclosure | loan | 1 | ||
Carrying value of loans | $ 1,402 | 1,433 | |
Residential Loans at Lower of Cost or Fair Value | Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 1,402 | 1,433 | |
Residential Loans at Lower of Cost or Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | $ 0 | $ 0 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 3,096 | 2,398 | |
Loan Principal | $ 2,280,000 | $ 1,760,000 | |
Valuation adjustments | 23,000 | 2,000 | |
Transfers from loans held-for-sale to loans held-for-investment | 660,000 | 448,000 | |
Transfers from loans held-for-investment to loans held-for-sale | $ 54,000 | 0 | |
Carrying value of loans | $ 1,790,000 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 772 | ||
Weighted average original loan-to-value (LTV) | 66.00% | ||
Percentage of fixed-rate loans | 99.00% | ||
Residential Loans Held For Investment at Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | 4,221 | 4,545 | |
Weighted average original Fair Isaac Corporation (FICO) score | 729 | ||
Weighted average original loan-to-value (LTV) | 66.00% | ||
Loans held-for-investment, delinquent greater than 90 days | $ 51,000 | $ 59,000 | |
Loans held-for-investment, in foreclosure | 26,000 | 32,000 | |
Valuation adjustments | $ (36,000) | $ 3,000 | |
Residential Loans Held For Investment at Fair Value | Hybrid loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average coupon rate | 4.00% | ||
Residential Loans Held for Investment | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan Principal | $ 1,060,000 | 1,120,000 | |
Carrying value of loans | 930,000 | $ 1,020,000 | |
Mortgage servicing rights | |||
Mortgage Loans on Real Estate [Line Items] | |||
Servicing Asset at Amortized Cost | $ 1,880,000 | ||
Financing Receivables, Equal to Greater than 90 Days Past Due | Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Financing Receivable, Number Of Loans Past Due 90 Days Or More | loan | 0 | 2 | |
Financing Receivable, Number Of Loans In Foreclosure | loan | 1 | ||
Financing Receivables, Equal to Greater than 90 Days Past Due | Residential Loans at Lower of Cost or Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Financing Receivable, Number Of Loans Past Due 90 Days Or More | loan | 2 | 2,000 | |
Jumbo Loan | Residential Loans at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | $ 438,287 | $ 984,486 | |
Jumbo Loan | Residential Loans at Fair Value | Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 438,287 | 984,486 | |
Jumbo Loan | Residential Loans at Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 0 | 0 | |
Jumbo Loan | Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 3,273,980 | 2,813,065 | |
Jumbo Loan | Residential Loans Held For Investment at Fair Value | Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 2,343,953 | 1,791,195 | |
Jumbo Loan | Residential Loans Held For Investment at Fair Value | Sequoia | |||
Mortgage Loans on Real Estate [Line Items] | |||
Carrying value of loans | 930,027 | $ 1,021,870 | |
Residential Loans | FHLB Chicago | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 2,340,000 | ||
Originated Between 2013 and 2016 | Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio originated in year | 93.00% | ||
Originated 2012 and prior years | Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio originated in year | 7.00% |
Commercial Loans - Additional I
Commercial Loans - Additional Information (Details) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2016USD ($)loan | Mar. 31, 2015USD ($)loan | Dec. 31, 2015USD ($) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Senior commercial loans, held for sale | $ 1,245,068 | $ 2,558,425 | ||
Aggregate fair value | 363,893 | $ 402,647 | ||
Sale of loan for third party, held for sale | $ 1,336,617 | $ 2,455,452 | ||
Commercial Loans Held For Sale | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Number of loans | loan | 0 | 4 | ||
Principal balance | 39,000 | |||
Aggregate fair value | [1] | $ 0 | 39,141 | |
Sale of loan for third party, held for sale | 76,000 | $ 203,000 | ||
Valuation adjustments | 0 | $ 6,000 | ||
Commercial Loans Held-for-Investment, at Amortized Cost | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans Financed through Securitization | $ 165,000 | 166,000 | ||
Number of loans | loan | 58 | 59 | ||
Aggregate fair value | $ 294,219 | 295,849 | ||
Loan pledged as collateral | 7,000 | 135,000 | ||
Recorded investment in loans | $ 301,609 | 302,951 | ||
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 | 7.00% | |||
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 | 19.00% | |||
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 | 16.00% | |||
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 | 31.00% | |||
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 | 23.00% | |||
Commercial Loans Held-for-Investment, at Amortized Cost | Originated During 2010 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Percentage of loan portfolio originated in year | 4.00% | |||
Commercial Loans Held For Investment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Number of loans | loan | 3 | |||
Principal balance | $ 67,000 | 67,000 | ||
Loans at fair value | 69,674 | 67,657 | ||
Aggregate fair value | [1] | 363,893 | 363,506 | |
Commercial Loans Held-for-Investment, at Fair Value, B-Notes | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Aggregate fair value | 4,000 | $ 5,000 | ||
Commercial Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Senior commercial loans, held for sale | $ 38,000 | $ 93,000 | ||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Commercial Loans - Summary of C
Commercial Loans - Summary of Classifications and Carrying Value of Commercial Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | $ 363,893 | $ 402,647 | |
Commercial Loans Held For Sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | [1] | 0 | 39,141 |
Commercial Loans Held For Investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | [1] | 363,893 | 363,506 |
Loans at fair value | 69,674 | 67,657 | |
Commercial Loans Held-for-Investment, at Amortized Cost | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commercial loans | 294,219 | 295,849 | |
Loans Financed through Securitization | $ 165,000 | $ 166,000 | |
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Commercial Loans - Commercial L
Commercial Loans - Commercial Loans Held-For-Investment at Amortized Cost (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 363,893 | $ 402,647 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal balance | 305,517 | 307,047 |
Unamortized discount, net | (3,908) | (4,096) |
Recorded investment in loans | 301,609 | 302,951 |
Allowance for loan losses | (7,390) | (7,102) |
Carrying Value | $ 294,219 | $ 295,849 |
Commercial Loans - Commercial75
Commercial Loans - Commercial Loans Held for Investment by Risk Category (Details) - Commercial Loans Held For Investment - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 305,517 | $ 307,047 |
Pass | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | 260,599 | 272,768 |
Watch List | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 44,918 | $ 34,279 |
Commercial Loans - Summary of A
Commercial Loans - Summary of Activity in Allowance for Commercial Loan Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Provision for loan losses | $ (289) | $ (206) |
Commercial Loans | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Balance at beginning of period | 7,102 | 7,457 |
Provision for loan losses | (288) | (205) |
Balance at End of Period | $ 7,390 | $ 7,662 |
Commercial Loans - Commercial77
Commercial Loans - Commercial Loans Collectively Evaluated for Impairment (Details) - Commercial Loans - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Financing Receivable, Impaired [Line Items] | ||
Principal balance | $ 305,517 | $ 307,047 |
Recorded investment | 301,609 | 302,951 |
Related allowance | $ 7,390 | $ 7,102 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Detail) | 3 Months Ended | ||
Mar. 31, 2016USD ($)Investment | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)Investment | |
Investment Holdings [Line Items] | |||
Trading securities | $ 221,571,000 | $ 404,011,000 | |
Trading securities acquired | 50,000,000 | $ 23,000,000 | |
Trading securities sold | 218,000,000 | 3,000,000 | |
Adjustment to valuation of trading securities | (4,000,000) | (14,000,000) | |
Available-for-sale securities purchased | 16,000,000 | 10,000,000 | |
Available-for-sale securities sold | 126,000,000 | 91,000,000 | |
Net realized gains | $ 9,246,000 | $ 4,306,000 | |
Number of AFS securities | Investment | 199 | 224 | |
Number of securities in unrealized loss position | Investment | 28 | 32 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | Investment | 13 | 15 | |
OTTI losses on AFS securities | $ 0 | ||
Trading Securities Pledged as Collateral | 142,000,000 | ||
Senior Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 27,591,000 | $ 254,351,000 | |
Interest Only Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 28,000,000 | 37,000,000 | |
Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 193,980,000 | 149,660,000 | |
Trading Securities | Residential Senior Securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 0 | 217,000,000 | |
Trading Securities | Residential Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 212,000,000 | 168,000,000 | |
Non-prime | Senior Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 5,414,000 | 5,781,000 | |
Non-prime | Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 1,000,000 | 1,000,000 | |
Residential | |||
Investment Holdings [Line Items] | |||
Securities pledged as collateral | 531,000,000 | $ 827,000,000 | |
Marketable securities, less than five years (less than) | 2,000,000 | ||
Marketable securities, due from five to ten years | 0 | ||
Residential | Available-for-sale Securities | |||
Investment Holdings [Line Items] | |||
Securities pledged as collateral | $ 389,000,000 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 221,571 | $ 404,011 | |
Available-for-sale | 698,356 | 829,245 | |
Total Real Estate Securities | [1] | $ 919,927 | $ 1,233,256 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Trading securities | $ 221,571 | $ 404,011 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 27,591 | 254,351 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 22,177 | 248,570 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 5,414 | 5,781 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 193,980 | 149,660 |
Subordinate Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 1,000 | 1,000 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 144,317 | 136,140 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | 49,663 | 13,520 |
Subordinate Securities | CRT securities | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 62,000 | $ 25,000 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 698,356 | $ 829,245 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 140,616 | 279,251 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 111,523 | 210,993 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 29,093 | 68,258 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 162,970 | 165,064 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 394,770 | 384,930 |
Subordinate Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 1,000 | 1,000 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 225,787 | 224,624 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 168,983 | $ 160,306 |
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 | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 698,356 | $ 829,245 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 140,616 | 279,251 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 111,523 | 210,993 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 29,093 | 68,258 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 162,970 | 165,064 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 394,770 | 384,930 |
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 | 845,732 | 973,227 |
Credit reserve | (48,547) | (48,869) |
Unamortized discount, net | (219,630) | (237,107) |
Amortized cost | 577,555 | 687,251 |
Gross unrealized gains | 127,014 | 147,001 |
Gross unrealized losses | (6,213) | (5,007) |
Carrying Value | 698,356 | 829,245 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 120,577 | 217,605 |
Credit reserve | (1,108) | (1,305) |
Unamortized discount, net | (13,491) | (22,079) |
Amortized cost | 105,978 | 194,221 |
Gross unrealized gains | 9,326 | 20,263 |
Gross unrealized losses | (3,781) | (3,491) |
Carrying Value | 111,523 | 210,993 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 31,781 | 75,591 |
Credit reserve | (687) | (5,101) |
Unamortized discount, net | (3,262) | (8,395) |
Amortized cost | 27,832 | 62,095 |
Gross unrealized gains | 1,482 | 6,249 |
Gross unrealized losses | (221) | (86) |
Carrying Value | 29,093 | 68,258 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 189,146 | 189,782 |
Credit reserve | (11,258) | (10,332) |
Unamortized discount, net | (66,586) | (71,670) |
Amortized cost | 111,302 | 107,780 |
Gross unrealized gains | 51,668 | 57,284 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 162,970 | 165,064 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 504,228 | 490,249 |
Credit reserve | (35,494) | (32,131) |
Unamortized discount, net | (136,291) | (134,963) |
Amortized cost | 332,443 | 323,155 |
Gross unrealized gains | 64,538 | 63,205 |
Gross unrealized losses | (2,211) | (1,430) |
Carrying Value | $ 394,770 | $ 384,930 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Detail) - Residential $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Credit Reserve | |
Beginning balance | $ 48,869 |
Amortization of net discount | 0 |
Realized credit losses | (1,955) |
Acquisitions | 4,383 |
Sales, calls, other | (4,252) |
Transfers to (release of) credit reserves, net | 1,502 |
Ending Balance | 48,547 |
Unamortized Discount Net | |
Beginning balance | 237,107 |
Amortization of net discount | (8,068) |
Realized credit losses | 0 |
Acquisitions | 5,110 |
Sales, calls, other | (13,017) |
Transfers to (release of) credit reserves, net | (1,502) |
Ending Balance | $ 219,630 |
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 | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 39,132 | $ 87,718 |
Less Than 12 Consecutive Months Gross Unrealized Losses | (1,350) | (1,972) |
Less Than 12 Consecutive Months Fair Value | 37,782 | 85,746 |
12 Consecutive Months or Longer Amortized Cost | 76,241 | 77,539 |
12 Consecutive Months or Longer Gross Unrealized Losses | (4,863) | (3,035) |
12 Consecutive Months or Longer Fair Value | $ 71,378 | $ 74,504 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Detail) | 3 Months Ended |
Mar. 31, 2016 | |
Prime | Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 10.00% |
Projected default rate | 0.00% |
Prime | Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 20.00% |
Projected default rate | 9.00% |
Non-prime | |
Schedule of Available-for-sale Securities [Line Items] | |
Projected default rate | 5.00% |
Non-prime | Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 12.00% |
Non-prime | Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 15.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Activity of the Credit Component of Other-than-Temporary Impairments | ||
Balance at beginning of period | $ 28,277 | $ 33,849 |
Securities sold, or expected to sell | (226) | (95) |
Securities with no outstanding principal at period end | (109) | (805) |
Balance at End of Period | $ 27,942 | $ 32,949 |
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 | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||
Gross realized gains | $ 11,419 | $ 4,306 |
Gross realized losses | (2,173) | 0 |
Total Realized Gains on Sales and Calls of AFS Securities, net | $ 9,246 | $ 4,306 |
Mortgage Servicing Rights - Sch
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | $ 126,620 | $ 191,976 | [1] | ||
Associated Principal | 14,824,005 | 18,266,472 | |||
Mortgage servicing rights | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 126,620 | 191,976 | $ 120,324 | $ 139,293 | |
Mortgage servicing rights | Conforming Loan | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 86,591 | 133,838 | |||
Associated Principal | 9,344,652 | 12,560,533 | |||
Mortgage servicing rights | Jumbo Loan | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 40,029 | 58,138 | |||
Associated Principal | $ 5,479,353 | $ 5,705,939 | |||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Act
Mortgage Servicing Rights - Activity for Residential First-Lien Mortgage Servicing Rights (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Balance at beginning of period | [1] | $ 191,976 | |
Additions | 3,463 | $ 15,675 | |
Changes in fair value due to: | |||
Balance at End of Period | 126,620 | ||
Mortgage servicing rights | |||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Balance at beginning of period | 191,976 | 139,293 | |
Additions | 8,807 | 18,754 | |
Sales | (29,559) | (18,206) | |
Changes in fair value due to: | |||
Changes in assumptions | (38,328) | (14,036) | |
Other changes | (6,276) | (5,481) | |
Balance at End of Period | $ 126,620 | $ 120,324 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Det
Mortgage Servicing Rights - Details of Retention and Purchase of MSRs (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | $ 3,463 | $ 15,675 |
Mortgage servicing rights | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 8,807 | $ 18,754 |
Associated Principal | 870,071 | |
Mortgage servicing rights | Jumbo Loan | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 46 | |
Associated Principal | 6,519 | |
Mortgage servicing rights | Jumbo Loan | Loan Sales | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 46 | |
Associated Principal | 6,519 | |
Mortgage servicing rights | Conforming Loan | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 8,761 | |
Associated Principal | 863,552 | |
Mortgage servicing rights | Conforming Loan | Loan Sales | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 3,364 | |
Associated Principal | 314,518 | |
Mortgage servicing rights | Conforming Loan | From purchases | ||
Mortgage Servicing Rights [Line Items] | ||
MSRs recognized | 5,397 | |
Associated Principal | $ 549,034 |
Mortgage Servicing Rights - Com
Mortgage Servicing Rights - Components of Mortgage Servicing Rights Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Servicing income: | ||
Income | $ 11,684 | $ 9,716 |
Cost of sub-servicer | (2,038) | (1,229) |
Net servicing income | 9,646 | 8,487 |
Market valuation adjustments | (44,604) | (19,517) |
Market valuation changes in associated derivatives | 41,057 | 0 |
MSR provision for repurchases | 182 | 106 |
MSR income (loss) | $ 6,281 | $ (10,924) |
Derivative Financial Instrume92
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Fair Value | $ (65,493) | $ (46,401) |
Notional Amount | 4,635,085 | 6,483,976 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (97,468) | (62,794) |
Notional Amount | 2,102,769 | 3,083,315 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 31,975 | 16,393 |
Notional Amount | 2,532,316 | 3,400,661 |
Interest rate swaps | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (29,693) | (10,134) |
Notional Amount | 968,500 | 1,039,500 |
Interest rate swaps | Cash Flow Hedging | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (62,407) | (48,232) |
Notional Amount | 139,500 | 139,500 |
Interest rate swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 8,647 | 2,590 |
Notional Amount | 525,000 | 658,000 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (3,739) | (2,519) |
Notional Amount | 581,000 | 1,450,500 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 2,843 | 2,734 |
Notional Amount | 569,500 | 1,028,500 |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (1,324) | (445) |
Notional Amount | 150,000 | 78,000 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 15,541 | 5,191 |
Notional Amount | 570,000 | 925,000 |
Credit Default Index Swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,207 |
Notional Amount | 0 | 25,000 |
Loan Purchase Commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (305) | (1,464) |
Notional Amount | 263,769 | 375,815 |
Loan Purchase Commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 4,944 | 4,671 |
Notional Amount | $ 867,816 | $ 764,161 |
Derivative Financial Instrume93
Derivative Financial Instruments - Additional Information (Detail) $ in Thousands | 3 Months Ended | ||||
Mar. 31, 2016USD ($)counterparty | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | ||
Derivative [Line Items] | |||||
Notional amount | $ 4,635,085 | $ 6,483,976 | |||
Accumulated other comprehensive income (loss) | [1] | $ 56,712 | 91,993 | ||
Number of counterparties | counterparty | 4 | ||||
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||
Derivative [Line Items] | |||||
Accumulated other comprehensive income (loss) | $ (61,588) | $ (54,460) | (47,363) | $ (46,049) | |
Loan Purchase and Forward Sales Commitments | |||||
Derivative [Line Items] | |||||
Market valuations gains and losses, net | 13,000 | 18,000 | |||
Interest rate swaps | Cash Flow Hedging | |||||
Derivative [Line Items] | |||||
Notional amount | 140,000 | ||||
Valuation adjustments on derivatives | (14,000) | (8,000) | |||
Unsecuritized Residential and Commercial Loans | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | (8,000) | $ (12,000) | |||
Unsecuritized Residential and Commercial Loans | Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Notional amount | 2,060,000 | 2,620,000 | |||
Unsecuritized Residential and Commercial Loans | Futures | |||||
Derivative [Line Items] | |||||
Notional amount | 150,000 | 78,000 | |||
Unsecuritized Residential and Commercial Loans | TBAs | |||||
Derivative [Line Items] | |||||
Notional amount | $ 1,150,000 | $ 2,480,000 | |||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Derivative Financial Instrume94
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative [Line Items] | ||
Total Interest Expense | $ (23,950) | $ (23,961) |
Cash Flow Hedging | Interest Rate Contract | ||
Derivative [Line Items] | ||
Net interest expense on cash flows hedges | (1,387) | (1,484) |
Realized net losses reclassified from other comprehensive income | (18) | (31) |
Total Interest Expense | $ (1,405) | $ (1,515) |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Margin receivable | $ 107,941 | $ 83,191 | |
Pledged collateral | 59,664 | 53,600 | |
FHLBC stock | 44,071 | 34,437 | |
Investment receivable | 7,772 | 3,870 | |
Guarantee asset | 4,272 | 5,697 | |
REO | 4,884 | 4,896 | |
Fixed assets and leasehold improvements | 3,608 | 4,117 | |
Prepaid expenses | 2,183 | 3,640 | |
Other | 7,996 | 4,438 | |
Total Other Assets | [1] | 242,391 | $ 197,886 |
Fixed assets | 6,000 | ||
Accumulated depreciation | $ 2,000 | ||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities 96
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Guarantee obligations | $ 24,896 | $ 22,704 |
Unsettled trades | 15,014 | 29 |
Margin payable | 14,247 | 6,415 |
Residential loan and MSR repurchase reserve | 6,693 | 6,403 |
Accrued compensation | 6,476 | 17,527 |
Restructuring liabilities | 5,245 | 0 |
Legal reserve | 2,000 | 2,000 |
Accrued operating expenses | 1,621 | 1,845 |
Current accounts payable | 1,038 | 4,764 |
Other | 4,939 | 8,210 |
Total Other Liabilities | $ 82,169 | $ 69,897 |
Other Assets and Liabilities 97
Other Assets and Liabilities - Additional Information (Detail) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016USD ($)Location | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)Location | |
Other Assets and Other Liabilities [Line Items] | |||
Guarantee obligations, over-collateralized amount | $ 16,000 | ||
Real estate owned (REO) | 4,884 | $ 4,896 | |
Amount related to transfers into REO | 2,000 | ||
REO liquidations | 3,000 | ||
Unrealized loss resulting from market valuation adjustments on REO | 1,000 | ||
Costs incurred and expensed | 10,659 | $ 0 | |
Adjustments in restructuring | $ (3,486) | ||
Sequoia | |||
Other Assets and Other Liabilities [Line Items] | |||
Number of REO properties recorded on balance sheet | Location | 20 | 23 | |
Termination Benefits | |||
Other Assets and Other Liabilities [Line Items] | |||
Costs incurred and expensed | $ 8,738 | ||
Adjustments in restructuring | (3,486) | ||
Contract Termination Costs | |||
Other Assets and Other Liabilities [Line Items] | |||
Costs incurred and expensed | 1,921 | ||
Adjustments in restructuring | $ 0 |
Other Assets and Liabilities 98
Other Assets and Liabilities - Restructuring Accruals (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Restructuring Reserve [Roll Forward] | ||
Restructuring Reserve | $ 0 | |
Costs incurred and expensed | 10,659 | $ 0 |
Costs paid/settled | (1,928) | |
Adjustments | (3,486) | |
Restructuring Reserve | 5,245 | |
Termination Benefits | ||
Restructuring Reserve [Roll Forward] | ||
Restructuring Reserve | 0 | |
Costs incurred and expensed | 8,738 | |
Costs paid/settled | (1,326) | |
Adjustments | (3,486) | |
Restructuring Reserve | 3,926 | |
Contract Termination Costs | ||
Restructuring Reserve [Roll Forward] | ||
Restructuring Reserve | 0 | |
Costs incurred and expensed | 1,921 | |
Costs paid/settled | (602) | |
Adjustments | 0 | |
Restructuring Reserve | $ 1,319 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Detail) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016USD ($)Contract | Dec. 31, 2015USD ($)Contract | ||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 15 | 16 | |
Outstanding | [1] | $ 804,175 | $ 1,855,003 |
Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 4 | ||
Outstanding | $ 368,679 | ||
Limit | $ 1,400,000 | ||
Weighted Average Interest Rate | 1.97% | ||
Weighted Average Days Until Maturity | 240 days | ||
Commercial loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 2 | 2 | |
Outstanding | $ 0 | $ 73,718 | |
Limit | $ 300,000 | $ 300,000 | |
Weighted Average Interest Rate | 4.13% | ||
Weighted Average Days Until Maturity | 265 days | ||
Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 9 | 9 | |
Outstanding | $ 435,496 | $ 693,641 | |
Weighted Average Interest Rate | 1.77% | 1.47% | |
Weighted Average Days Until Maturity | 29 days | 24 days | |
Held-for-sale residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 4 | ||
Outstanding | $ 950,022 | ||
Limit | $ 1,400,000 | ||
Weighted Average Interest Rate | 1.90% | ||
Weighted Average Days Until Maturity | 182 days | ||
FHLBC | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Contract | 1 | ||
Outstanding | $ 137,622 | ||
Limit | $ 0 | ||
Weighted Average Interest Rate | 0.21% | ||
Weighted Average Days Until Maturity | 204 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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Average balance of short-term debt | $ 1,280,000,000 | $ 1,590,000,000 | |
Accrued interest payable on short-term debt | 3,000,000 | $ 2,000,000 | |
Committed line of credit | 10,000,000 | ||
Fair value of mortgage backed securities securing loan (in excess) | 10,000,000 | ||
Committed line of credit with financial institutions, outstanding | 0 | 0 | |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 414,000,000 | 1,070,000,000 | |
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 7,000,000 | 152,000,000 | |
Residential | |||
Short-term Debt [Line Items] | |||
Securities pledged as collateral | $ 531,000,000 | $ 827,000,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Detail) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016USD ($)loan | Dec. 31, 2015USD ($) | ||
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 804,175 | $ 1,855,003 |
Number of loans serving as collateral under securities repo facility | loan | 1 | ||
Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 313,449 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 186,618 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 304,108 | ||
Residential Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 368,679 | ||
Residential Loans | Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Residential Loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 64,571 | ||
Residential Loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 304,108 | ||
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 4,337 | ||
Commercial Loans | Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 4,337 | ||
Commercial Loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Commercial Loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Real Estate Securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 431,159 | ||
Real Estate Securities | Within 30 Days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 309,112 | ||
Real Estate Securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 122,047 | ||
Real Estate Securities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu102
Asset-Backed Securities Issued - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Dec. 31, 2015 | ||
Debt Instrument [Line Items] | |||
ABS issued principal | [1],[2] | $ 958,364 | $ 1,049,415 |
Asset-backed Securities | Contractual maturities of over five years | |||
Debt Instrument [Line Items] | |||
ABS issued principal | $ 907,000 | ||
Contractual maturities of ABS (in years) | 5 years | ||
Asset-backed Securities | Certificates With Principal Value | Contractual maturities of over five years | |||
Debt Instrument [Line Items] | |||
Principal value | $ 1,040,000 | ||
[1] | At March 31, 2016 and December 31, 2015, Asset-backed securities issued, net included $339 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $9,513 and $10,438, respectively, of deferred debt issuance costs. | ||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, 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 | Mar. 31, 2016USD ($)series | Dec. 31, 2015USD ($)series | |
Debt Instrument [Line Items] | |||
Secured Debt, Net Of Debt Issuance Costs | [1],[2] | $ 2,683,432 | $ 2,027,737 |
Asset-backed Securities | |||
Debt Instrument [Line Items] | |||
Principal value | 958,703 | 1,049,957 | |
Market valuation adjustments | (141,939) | (116,637) | |
Deferred debt issuance costs | (339) | (542) | |
Secured Debt, Net Of Debt Issuance Costs | 958,364 | 1,049,415 | |
Asset-backed Securities | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | 1,096,044 | 1,161,922 | |
Asset-backed Securities | Interest Only Certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 4,598 | 4,672 | |
Asset-backed Securities | Sequoia | |||
Debt Instrument [Line Items] | |||
Principal value | 907,023 | 996,820 | |
Market valuation adjustments | (141,939) | (116,637) | |
Deferred debt issuance costs | 0 | 0 | |
Secured Debt, Net Of Debt Issuance Costs | $ 907,023 | $ 996,820 | |
Number of series | series | 20 | 21 | |
Asset-backed Securities | Sequoia | Minimum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 0.64% | 0.41% | |
Asset-backed Securities | Sequoia | Maximum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 1.87% | 2.21% | |
Asset-backed Securities | Sequoia | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | $ 1,044,364 | $ 1,108,785 | |
Asset-backed Securities | Sequoia | Interest Only Certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 4,598 | 4,672 | |
Asset-backed Securities | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Principal value | 51,680 | 53,137 | |
Deferred debt issuance costs | (339) | (542) | |
Secured Debt, Net Of Debt Issuance Costs | $ 51,341 | $ 52,595 | |
Weighted average interest rates, by series | 5.62% | 5.62% | |
Number of series | series | 1 | 1 | |
Asset-backed Securities | Commercial Securitization | Certificates With Principal Value | |||
Debt Instrument [Line Items] | |||
Principal value | $ 51,680 | $ 53,137 | |
[1] | At March 31, 2016 and December 31, 2015, Asset-backed securities issued, net included $339 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $9,513 and $10,438, respectively, of deferred debt issuance costs. | ||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu104
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Accrued interest payable | [1] | $ 15,522 | $ 8,936 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 761 | 804 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Sequoia | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 519 | 555 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | $ 242 | $ 249 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu105
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 1,102,195 | $ 1,195,574 |
Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 930,027 | 1,021,870 |
Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 164,626 | 166,016 |
Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 283 | 365 |
Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 2,328 | 2,428 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 4,931 | 4,895 |
Sequoia | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 936,096 | 1,028,124 |
Sequoia | Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 930,027 | 1,021,870 |
Sequoia | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Sequoia | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 147 | 228 |
Sequoia | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,038 | 1,131 |
Sequoia | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 4,884 | 4,895 |
Commercial Securitization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 166,099 | 167,450 |
Commercial Securitization | Residential Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Commercial Securitization | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 164,626 | 166,016 |
Commercial Securitization | Restricted Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 136 | 137 |
Commercial Securitization | Accrued Interest Receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,290 | 1,297 |
Commercial Securitization | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 47 | $ 0 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||
Nov. 30, 2014 | Mar. 31, 2013 | Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Debt Instrument [Line Items] | ||||||
Transition period for subsidiary to be a FHLB-member | 5 years | |||||
Existing debt | $ 0 | $ 0 | ||||
Federal home loan bank stock | 44,071,000 | 34,437,000 | ||||
Accrued interest payable | 3,000,000 | 2,000,000 | ||||
Accrued interest payable balance on long-term debt (less than) | [1] | $ 15,522,000 | 8,936,000 | |||
Exchangeable Senior Notes | ||||||
Debt Instrument [Line Items] | ||||||
Interest expense yield | 6.54% | 6.52% | ||||
Senior Notes due 2018 | ||||||
Debt Instrument [Line Items] | ||||||
Interest expense yield | 5.41% | 5.36% | ||||
FHLB Chicago | ||||||
Debt Instrument [Line Items] | ||||||
Federal home loan bank advances, reset period of basis margin | 91 days | |||||
FHLB Member Subsidiary | FHLB Chicago | ||||||
Debt Instrument [Line Items] | ||||||
Maximum borrowing limit | $ 2,000,000,000 | |||||
Additional borrowings from FHLBC | 519,000,000 | |||||
Existing debt | 2,000,000,000 | |||||
Federal home loan bank advances outstanding | $ 2,000,000,000 | 1,480,000,000 | ||||
Outstanding advances classified as long-term debt | $ 1,340,000,000 | |||||
Weighted average interest rate | 0.58% | 0.46% | ||||
Weighted average maturity | 9 years | 9 years | ||||
Secured Debt | ||||||
Debt Instrument [Line Items] | ||||||
Commercial mortgage loans | $ 65,000,000 | |||||
Convertible Debt | Exchangeable Senior Notes | ||||||
Debt Instrument [Line Items] | ||||||
Convertible notes | $ 205,000,000 | 201,000,000 | ||||
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 | |||||
Accrued interest payable | 4,000,000 | |||||
Unamortized Debt Issuance Expense | $ 5,000,000 | |||||
Convertible senior notes conversion rate | 0.0461798 | |||||
Convertible senior notes conversion per share | $ 21.65 | |||||
Amount of debt repurchased | $ 4,000,000 | |||||
Convertible Debt | Convertible 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 | |||||
Accrued interest payable | 7,000,000 | |||||
Unamortized Debt Issuance Expense | $ 4,000,000 | |||||
Convertible senior notes conversion rate | 0.041132 | |||||
Convertible senior notes conversion per share | $ 24.31 | |||||
Trust Preferred Securities | ||||||
Debt Instrument [Line Items] | ||||||
Interest expense yield | 2.85% | 2.52% | ||||
Debt instrument face amount | $ 100,000,000 | |||||
Percentage of yield of debt securities | 6.86% | 6.81% | ||||
Accrued interest payable balance on long-term debt (less than) | $ 1,000,000 | $ 1,000,000 | ||||
Subordinated Notes | ||||||
Debt Instrument [Line Items] | ||||||
Interest expense yield | 2.85% | 2.52% | ||||
Debt instrument face amount | $ 40,000,000 | |||||
Percentage of yield of debt securities | 6.86% | 6.81% | ||||
Accrued interest payable balance on long-term debt (less than) | $ 1,000,000 | |||||
Gain (Loss) on Investments [Member] | Convertible Debt | Exchangeable Senior Notes | ||||||
Debt Instrument [Line Items] | ||||||
Gains on extinguishment of debt | $ 300,000 | |||||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Long-Term Debt - FHLBC Borrowin
Long-Term Debt - FHLBC Borrowings (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Total FHLBC Borrowings | [1],[2] | $ 2,683,432 | $ 2,027,737 |
FHLB Chicago | FHLB Member Subsidiary | |||
Debt Instrument [Line Items] | |||
2,024 | 470,171 | ||
2,025 | 887,639 | ||
2,026 | 642,189 | ||
Total FHLBC Borrowings | $ 1,999,999 | ||
[1] | At March 31, 2016 and December 31, 2015, Asset-backed securities issued, net included $339 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $9,513 and $10,438, respectively, of deferred debt issuance costs. | ||
[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 Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Detail) $ in Thousands | Jul. 15, 2010Plaintiff | Mar. 31, 2016USD ($)leaserepurchase_request | Mar. 31, 2015USD ($)repurchase_request | Dec. 31, 2015USD ($) |
Loss Contingencies [Line Items] | ||||
Number of noncancelable leases | lease | 7 | |||
Operating lease expiration dates | 2,021 | |||
Future lease commitments with expiration date | $ 9,539 | |||
Operating lease expense | 1,000 | $ 1,000 | ||
Special Purpose Entities (SPEs) assets | 66,000 | $ 63,000 | ||
Special Purpose Entities (SPEs) liabilities | 25,000 | 25,000 | ||
Residential repurchase reserve | $ 6,693 | 6,403 | ||
Residential repurchase requests | repurchase_request | 27 | 25 | ||
Residential repurchase provisions recorded | $ 300 | $ 1,000 | ||
Aggregate amount of loss contingency reserves | 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] | ||||
Principal Amount Outstanding on Loans Securitized or Asset-backed Financing Arrangement, Original Principal Balance | 3,190,000 | |||
Loan Principal | $ 2,930,000 | |||
Weighted average original Fair Isaac Corporation (FICO) score | 758 | |||
Weighted average original loan-to-value (LTV) | 76.00% | |||
Potential future payments on loans | $ 44,000 | |||
Guarantee Obligations | Financing Receivables, Equal To Greater Than 30 Days Past Due | ||||
Loss Contingencies [Line Items] | ||||
Financing Receivable, Recorded Investment, Past Due | 11,000 | |||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
Loss Contingencies [Line Items] | ||||
Financing Receivable, Recorded Investment, Past Due | $ 1,000 | |||
Residential | Sequoia | FHLB Seattle | ||||
Loss Contingencies [Line Items] | ||||
Statutory interest rate per annum | 8.00% | |||
Principal value | $ 133,000 | |||
Debt instrument principal payment amount | 121,000 | |||
Debt instrument interest payment amount | 11,000 | |||
Residential | Sequoia | Schwab | ||||
Loss Contingencies [Line Items] | ||||
Principal value | 15,000 | |||
Principal balance of securities | 13,000 | |||
Debt instrument interest amount | 1,000 | |||
Other income | ||||
Loss Contingencies [Line Items] | ||||
Other income related to risk sharing agreement | 1,000 | 1,000 | ||
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) | $ 0 | $ (1,000) |
Commitments and Contingencie109
Commitments and Contingencies - Future Lease Commitments (Detail) $ in Thousands | Mar. 31, 2016USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2016 (9 months) | $ 2,149 |
2,017 | 2,880 |
2,018 | 1,827 |
2,019 | 1,189 |
2,020 | 1,127 |
2021 and thereafter | 367 |
Total | $ 9,539 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Balance at beginning of period | [1] | $ 91,993 | |
Total other comprehensive income (loss) | (35,281) | $ (5,048) | |
Balance at End of Period | [1] | 56,712 | |
Net unrealized gains on available-for-sale securities | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||
Balance at beginning of period | 139,356 | 186,737 | |
Other comprehensive income (loss) before reclassifications | (10,103) | 5,053 | |
Amounts reclassified from other accumulated comprehensive income | (10,953) | (1,690) | |
Total other comprehensive income (loss) | (21,056) | 3,363 | |
Balance at End of Period | 118,300 | 190,100 | |
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 | (47,363) | (46,049) | |
Other comprehensive income (loss) before reclassifications | (14,243) | (8,442) | |
Amounts reclassified from other accumulated comprehensive income | 18 | 31 | |
Total other comprehensive income (loss) | (14,225) | (8,411) | |
Balance at End of Period | $ (61,588) | $ (54,460) | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Realized gains (losses), net | $ 9,538 | $ 4,306 |
Total interest expense | 23,950 | 23,961 |
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] | ||
Realized gains (losses), net | (10,953) | (1,690) |
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 | $ 18 | $ 31 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Equity [Abstract] | ||
Net income attributable to Redwood | $ 12,063 | $ 14,801 |
Less: Dividends and undistributed earnings allocated to participating securities | (701) | (822) |
Net income allocated to common shareholders | $ 11,362 | $ 13,979 |
Basic weighted average common shares outstanding (shares) | 77,137,682 | 83,360,312 |
Basic earnings per common share (usd per share) | $ 0.15 | $ 0.17 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (701) | $ (822) |
Net income allocated to common shareholders | $ 11,362 | $ 13,979 |
Net effect of dilutive equity awards (in shares) | 0 | 2,261,904 |
Diluted weighted average common shares outstanding (shares) | 77,137,682 | 85,622,216 |
Diluted earnings per common share (usd per share) | $ 0.15 | $ 0.16 |
Equity - Additional Information
Equity - Additional Information (Detail) - USD ($) | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Feb. 28, 2016 | Aug. 31, 2015 | |
Stockholders Equity Note [Line Items] | ||||
Shares repurchased, value | $ 20,621,000 | |||
Convertible notes | ||||
Stockholders Equity Note [Line Items] | ||||
Securities excluded in the calculation of diluted earnings per share | 21,245,028 | 21,292,309 | ||
Equity awards | ||||
Stockholders Equity Note [Line Items] | ||||
Securities excluded in the calculation of diluted earnings per share | 6,950 | 79,535 | ||
Share Repurchase Plan, August 2015 [Member] | ||||
Stockholders Equity Note [Line Items] | ||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||
Shares repurchased pursuant to authorization | 839,130 | |||
Shares repurchased, value | $ 11,000,000 | |||
Share Repurchase Plan, February 2016 [Member] | ||||
Stockholders Equity Note [Line Items] | ||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||
Shares repurchased pursuant to authorization | 770,055 | 0 | ||
Shares repurchased, value | $ 9,000,000 | |||
Available authorization remaining for repurchase | $ 91,000,000 |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | $ 23,608 | |
Equity grants | 5,220 | |
Equity grant forfeitures | (3,478) | |
Equity compensation (expense) income | 5,818 | |
Equity compensation expense | (2,332) | $ (2,738) |
Unrecognized Compensation Cost at End of Period | 19,532 | |
Deferred Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation (expense) income | 3,000 | |
Performance Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation (expense) income | 600 | |
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 | 2,393 | |
Equity grants | 1,741 | |
Equity grant forfeitures | (1,119) | |
Equity compensation (expense) income | (17) | |
Unrecognized Compensation Cost at End of Period | 3,032 | |
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 | 14,392 | |
Equity grants | 3,355 | |
Equity grant forfeitures | (150) | |
Equity compensation (expense) income | 4,712 | |
Unrecognized Compensation Cost at End of Period | 12,885 | |
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 | 6,823 | |
Equity grants | 0 | |
Equity grant forfeitures | (2,209) | |
Equity compensation (expense) income | 1,092 | |
Unrecognized Compensation Cost at End of Period | 3,522 | |
Employee Stock Purchase Plan | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity grants | 124 | |
Equity compensation (expense) income | 31 | |
Unrecognized Compensation Cost at End of Period | $ 93 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Detail) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016USD ($)executiveshares | Mar. 31, 2015shares | Dec. 31, 2015USD ($)shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares of common stock available for grant under Redwood's Incentive Plan | 1,391,379 | 1,665,032 | |
Unrecognized compensation cost | $ | $ 19,532 | $ 23,608 | |
Share-based compensation, vesting period | 3 years | ||
Equity compensation expense | $ | $ 5,818 | ||
Number of shares purchased by employees | 316,990 | 310,040 | |
Restricted Stock | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 223,914 | 187,180 | |
Number of stock awards granted | 144,056 | ||
Number of stock awards vested | 48,061 | ||
Number of stock awards forfeited | 59,261 | ||
Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 2,680,320 | 2,407,154 | |
Number of stock awards granted | 281,014 | ||
Number of stock awards vested | 1,707,272 | 1,363,548 | |
Number of stock awards forfeited | 7,849 | ||
Number of stock awards distributed | 0 | ||
Equity compensation expense | $ | $ 3,000 | ||
Number of executives departed | executive | 2 | ||
Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards | 656,549 | 849,021 | |
Share-based compensation, vesting period | 3 years | ||
Equity compensation expense | $ | $ 600 | ||
Number of executives departed | executive | 2 | ||
Share-based compensation, vesting year | 2016 and in future years | ||
Maximum | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Weighted average amortization period remaining for equity awards (less than) | 2 years | ||
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 | Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Equity awards, vesting percentage | 0.00% |
Mortgage Banking Activities,116
Mortgage Banking Activities, Net - Components of Mortgage Banking Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage Banking Activities, Net | $ 7,218 | $ 1,923 |
Residential Mortgage Banking Activities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Other income (expense), net / other fee income | (62) | 633 |
Mortgage Banking Activities, Net | 9,280 | 2,215 |
Residential Mortgage Banking Activities | Residential loans, at fair value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | 18,074 | 20,312 |
Residential Mortgage Banking Activities | Sequoia securities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | 1,484 | (14,359) |
Residential Mortgage Banking Activities | Risk managment derivatives | ||
Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of risk management derivatives | (10,216) | (4,371) |
Commercial Mortgage Banking Activities | ||
Mortgage Loans on Real Estate [Line Items] | ||
Other income (expense), net / other fee income | 43 | 63 |
Mortgage Banking Activities, Net | (2,062) | (292) |
Commercial Mortgage Banking Activities | Risk managment derivatives | ||
Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of risk management derivatives | (2,538) | (6,212) |
Commercial Mortgage Banking Activities | Commercial loans, at fair value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | $ 433 | $ 5,857 |
Investments Fair Value Chang117
Investments Fair Value Changes, Net - Components of Investment Activities (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investment Holdings [Line Items] | ||
Investment Fair Value Changes, Net | $ (19,538) | $ (1,145) |
Investment activities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (19,538) | (1,145) |
Changes in fair value of risk management derivatives | (35,810) | (1,374) |
Investment Fair Value Changes, Net | (19,538) | (1,145) |
Investment activities | Residential loans held-for-investment, at Redwood | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | 23,463 | 1,980 |
Investment activities | Trading Securities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (5,601) | 270 |
Investment activities | Net investments in consolidated Sequoia entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (1,580) | (1,093) |
Investment activities | Risk sharing investments | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | $ (10) | $ (928) |
Operating Expenses - Components
Operating Expenses - Components of Operating Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other Income and Expenses [Abstract] | ||
Fixed compensation expense | $ 7,894 | $ 9,155 |
Variable compensation expense | 1,760 | 3,991 |
Equity compensation expense | 2,332 | 2,738 |
Total compensation expense | 11,986 | 15,884 |
Systems and consulting | 2,622 | 2,122 |
Loan acquisition costs | 1,601 | 2,324 |
Accounting and legal | 985 | 1,577 |
Office costs | 1,380 | 1,232 |
Corporate costs | 466 | 526 |
Other operating expenses | 753 | 1,398 |
Operating expenses before restructuring charges | 19,793 | 25,063 |
Restructuring charges | 10,659 | 0 |
Total Operating Expenses | $ 30,452 | $ 25,063 |
Operating Expenses - Additional
Operating Expenses - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Restructuring Cost and Reserve [Line Items] | ||
Restructuring charges | $ 10,659 | $ 0 |
Termination Benefits | ||
Restructuring Cost and Reserve [Line Items] | ||
Restructuring charges | 8,738 | |
Equity compensation | ||
Restructuring Cost and Reserve [Line Items] | ||
Restructuring charges | 4,000 | |
Fixed compensation | ||
Restructuring Cost and Reserve [Line Items] | ||
Restructuring charges | 5,000 | |
Contract Termination Costs | ||
Restructuring Cost and Reserve [Line Items] | ||
Restructuring charges | $ 1,921 |
Taxes - Additional Information
Taxes - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Income Tax Disclosure [Abstract] | ||
(Provision for) benefit from income taxes | $ (28) | $ 5,316 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Detail) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
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 | (74.00%) | (44.70%) |
Change in valuation allowance | 92.00% | 11.90% |
Dividends paid deduction | (59.00%) | (64.40%) |
Effective Tax Rate | 0.20% | (56.00%) |
Segment Information - Additiona
Segment Information - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2016Segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Segment Reporting Information [Line Items] | ||
Interest income | $ 62,328 | $ 63,746 |
Interest expense | (23,950) | (23,961) |
Net Interest Income | 38,378 | 39,785 |
Provision for loan losses | (289) | (206) |
Mortgage banking activities, net | 7,218 | 1,923 |
MSR income (loss), net | 6,281 | (10,924) |
Investment fair value changes, net | (19,538) | (1,145) |
Other income | 955 | 809 |
Realized gains, net | 9,538 | 4,306 |
Total non-interest income (loss), net | 4,454 | (5,031) |
Direct operating expenses | (30,452) | (25,063) |
Provision for income taxes | (28) | 5,316 |
Net Income | 12,063 | 14,801 |
Non-cash amortization income (expense) | 7,019 | 8,762 |
Operating Segments | Residential Mortgage Banking | ||
Segment Reporting Information [Line Items] | ||
Interest income | 7,869 | 15,795 |
Interest expense | (3,289) | (3,778) |
Net Interest Income | 4,580 | 12,017 |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 9,280 | 2,215 |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | 0 | 2 |
Other income | 0 | 0 |
Realized gains, net | 0 | 0 |
Total non-interest income (loss), net | 9,280 | 2,217 |
Direct operating expenses | (5,321) | (10,903) |
Provision for income taxes | 0 | 8 |
Net Income | 8,539 | 3,339 |
Non-cash amortization income (expense) | (43) | (46) |
Operating Segments | Residential Investments | ||
Segment Reporting Information [Line Items] | ||
Interest income | 39,936 | 30,012 |
Interest expense | (4,953) | (2,810) |
Net Interest Income | 34,983 | 27,202 |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 0 | 0 |
MSR income (loss), net | 6,281 | (10,924) |
Investment fair value changes, net | (17,765) | (19) |
Other income | 955 | 809 |
Realized gains, net | 9,246 | 4,306 |
Total non-interest income (loss), net | (1,283) | (5,828) |
Direct operating expenses | (1,861) | (1,118) |
Provision for income taxes | (28) | 3,510 |
Net Income | 31,811 | 23,766 |
Non-cash amortization income (expense) | 8,068 | 9,838 |
Operating Segments | Commercial Mortgage Banking and Investments | ||
Segment Reporting Information [Line Items] | ||
Interest income | 9,581 | 10,914 |
Interest expense | (2,952) | (3,489) |
Net Interest Income | 6,629 | 7,425 |
Provision for loan losses | (289) | (206) |
Mortgage banking activities, net | (2,062) | (292) |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | (137) | 0 |
Other income | 0 | 0 |
Realized gains, net | 0 | 0 |
Total non-interest income (loss), net | (2,199) | (292) |
Direct operating expenses | (1,602) | (3,482) |
Provision for income taxes | 0 | 853 |
Net Income | 2,539 | 4,298 |
Non-cash amortization income (expense) | (16) | (49) |
Corporate/Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 4,942 | 7,025 |
Interest expense | (12,756) | (13,884) |
Net Interest Income | (7,814) | (6,859) |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 0 | 0 |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | (1,636) | (1,128) |
Other income | 0 | 0 |
Realized gains, net | 292 | 0 |
Total non-interest income (loss), net | (1,344) | (1,128) |
Direct operating expenses | (21,668) | (9,560) |
Provision for income taxes | 0 | 945 |
Net Income | (30,826) | (16,602) |
Non-cash amortization income (expense) | $ (990) | $ (981) |
Segment Information - Component
Segment Information - Components of Corporate/Other (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Segment Reporting Information [Line Items] | ||
Interest income | $ 62,328 | $ 63,746 |
Interest expense | (23,950) | (23,961) |
Net Interest Income | 38,378 | 39,785 |
Provision for loan losses | (289) | (206) |
Mortgage banking activities, net | 7,218 | 1,923 |
MSR income (loss), net | 6,281 | (10,924) |
Investment fair value changes, net | (19,538) | (1,145) |
Realized gains, net | 9,538 | 4,306 |
Total non-interest income (loss), net | 4,454 | (5,031) |
Direct operating expenses | (30,452) | (25,063) |
Provision for income taxes | (28) | 5,316 |
Net Income | 12,063 | 14,801 |
Legacy Consolidated VIEs | ||
Segment Reporting Information [Line Items] | ||
Interest income | 4,777 | 7,018 |
Interest expense | (3,297) | (4,482) |
Net Interest Income | 1,480 | 2,536 |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 0 | 0 |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | (1,580) | (1,093) |
Other income | 0 | 0 |
Realized gains, net | 0 | 0 |
Total non-interest income (loss), net | (1,580) | (1,093) |
Direct operating expenses | 0 | 0 |
Provision for income taxes | 0 | 0 |
Net Income | (100) | 1,443 |
Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 165 | 7 |
Interest expense | (9,459) | (9,402) |
Net Interest Income | (9,294) | (9,395) |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 0 | 0 |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | (56) | (35) |
Other income | 0 | 0 |
Realized gains, net | 292 | 0 |
Total non-interest income (loss), net | 236 | (35) |
Direct operating expenses | (21,668) | (9,560) |
Provision for income taxes | 0 | 945 |
Net Income | (30,726) | (18,045) |
Corporate/Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 4,942 | 7,025 |
Interest expense | (12,756) | (13,884) |
Net Interest Income | (7,814) | (6,859) |
Provision for loan losses | 0 | 0 |
Mortgage banking activities, net | 0 | 0 |
MSR income (loss), net | 0 | 0 |
Investment fair value changes, net | (1,636) | (1,128) |
Other income | 0 | 0 |
Realized gains, net | 292 | 0 |
Total non-interest income (loss), net | (1,344) | (1,128) |
Direct operating expenses | (21,668) | (9,560) |
Provision for income taxes | 0 | 945 |
Net Income | $ (30,826) | $ (16,602) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | ||
Segment Reporting Information [Line Items] | ||||
Residential loans | $ 3,715,056 | $ 3,928,803 | ||
Commercial loans | 363,893 | 402,647 | ||
Real estate securities | [1] | 919,927 | 1,233,256 | |
Mortgage servicing rights | 126,620 | 191,976 | [1] | |
Total assets | [1] | 5,726,880 | 6,220,047 | |
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 441,076 | 1,115,738 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 0 | 197,007 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | 472,213 | 1,347,492 | ||
Operating Segments | Residential Investments | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 2,343,953 | 1,791,195 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 909,569 | 1,028,171 | ||
Mortgage servicing rights | 126,620 | 191,976 | ||
Total assets | 3,552,629 | 3,140,604 | ||
Operating Segments | Commercial Mortgage Banking and Investments | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 0 | 0 | ||
Commercial loans | 363,893 | 402,647 | ||
Real estate securities | 10,358 | 8,078 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | 377,452 | 415,716 | ||
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Residential loans | 930,027 | 1,021,870 | ||
Commercial loans | 0 | 0 | ||
Real estate securities | 0 | 0 | ||
Mortgage servicing rights | 0 | 0 | ||
Total assets | $ 1,324,586 | $ 1,316,235 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion. |