Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Oct. 31, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
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 | 76,656,828 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Residential loans | $ 4,311,164 | $ 3,928,803 | |
Commercial loans | 30,400 | 402,647 | |
Real estate securities, at fair value | [1] | 936,910 | 1,233,256 |
Mortgage servicing rights, at fair value | [1] | 106,009 | 191,976 |
Cash and cash equivalents | [1] | 221,372 | 220,229 |
Total earning assets | [1] | 5,605,855 | 5,976,911 |
Restricted cash | [1] | 2,044 | 5,567 |
Accrued interest receivable | [1] | 20,054 | 23,290 |
Derivative assets | [1] | 36,880 | 16,393 |
Other assets | [1] | 207,786 | 197,886 |
Total Assets | [1] | 5,872,619 | 6,220,047 |
Liabilities | |||
Short-term debt | [1] | 1,117,405 | 1,855,003 |
Accrued interest payable | [1] | 15,518 | 8,936 |
Derivative liabilities | [1] | 100,117 | 62,794 |
Accrued expenses and other liabilities | [1] | 69,708 | 69,897 |
Asset-backed securities issued (includes $819,868 and $996,820 at fair value), net | [1],[2] | 819,868 | 1,049,415 |
Long-term debt (includes $0 and $63,152 at fair value), net | [1],[2] | 2,619,873 | 2,027,737 |
Total liabilities | [1] | 4,742,489 | 5,073,782 |
Equity | |||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,682,333 and 78,162,765 issued and outstanding | [1] | 767 | 782 |
Additional paid-in capital | [1] | 1,677,623 | 1,695,956 |
Accumulated other comprehensive income | [1] | 54,715 | 91,993 |
Cumulative earnings | [1] | 1,124,580 | 1,018,683 |
Cumulative distributions to stockholders | [1] | (1,727,555) | (1,661,149) |
Total equity | [1] | 1,130,130 | 1,146,265 |
Total Liabilities and Equity | [1] | 5,872,619 | 6,220,047 |
Residential loans, held-for-sale, at fair value | |||
ASSETS | |||
Residential loans | [1] | 1,188,514 | 1,115,738 |
Residential loans, held-for-investment, at fair value | |||
ASSETS | |||
Residential loans | [1] | 3,122,650 | 2,813,065 |
Commercial Loans, Held-for-sale | |||
ASSETS | |||
Commercial loans | [1] | 30,400 | 39,141 |
Commercial loans, held-for-investment | |||
ASSETS | |||
Commercial loans | [1] | $ 0 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. | ||
[2] | At September 30, 2016 and December 31, 2015, Asset-backed securities issued, net included $0 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $7,891 and $10,438, respectively, of deferred debt issuance costs. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Loans at fair value | $ 30,400,000 | $ 402,647,000 |
Asset-backed securities at fair value | 819,868,000 | 996,820,000 |
Long-term debt at fair value | $ 0 | $ 63,152,000 |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 180,000,000 | 180,000,000 |
Common stock, issued (shares) | 76,682,333 | 78,162,765 |
Common stock, outstanding (shares) | 76,682,333 | 78,162,765 |
Variable interest held by entity, assets | $ 847,399,000 | $ 1,195,574,000 |
Variable interest held by entity, liabilities | 820,391,000 | 1,050,861,000 |
Asset-backed securities issued | ||
Deferred debt issuance costs | 0 | 542,000 |
Long-term debt | ||
Deferred debt issuance costs | 7,891,000 | 10,438,000 |
Commercial Loans, Held-for-sale | ||
Loans at fair value | 0 | 39,141,000 |
Commercial loans, held-for-investment | ||
Loans at fair value | $ 0 | $ 67,657,000 |
Consolidated Statements Of Inco
Consolidated Statements Of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest Income | ||||
Residential loans | $ 35,595 | $ 29,472 | $ 102,149 | $ 80,289 |
Commercial loans | 6,453 | 11,191 | 28,834 | 34,784 |
Real estate securities | 18,600 | 22,749 | 58,112 | 75,363 |
Other interest income | 258 | 72 | 926 | 167 |
Total interest income | 60,906 | 63,484 | 190,021 | 190,603 |
Interest Expense | ||||
Short-term debt | (5,405) | (7,627) | (17,439) | (21,378) |
Asset-backed securities issued | (3,193) | (5,190) | (11,457) | (17,037) |
Long-term debt | (12,999) | (11,058) | (39,095) | (32,429) |
Total Interest Expense | (21,597) | (23,875) | (67,991) | (70,844) |
Net Interest Income | 39,309 | 39,609 | 122,030 | 119,759 |
Reversal of provision for loan losses | 859 | 60 | 7,102 | 115 |
Net Interest Income after Provision | 40,168 | 39,669 | 129,132 | 119,874 |
Non-interest Income (loss) | ||||
Mortgage banking activities, net | 9,766 | 1,333 | 24,712 | 10,706 |
Mortgage servicing rights income (loss), net | 3,770 | 3,549 | 12,834 | (6,545) |
Investment fair value changes, net | 11,918 | (14,169) | (18,686) | (17,105) |
Other income | 1,643 | 327 | 4,157 | 2,435 |
Realized gains, net | 6,615 | 5,548 | 26,037 | 16,170 |
Total non-interest income (loss), net | 33,712 | (3,412) | 49,054 | 5,661 |
Operating expenses | (20,355) | (24,497) | (70,962) | (74,778) |
Net Income before Provision for Income Taxes | 53,525 | 11,760 | 107,224 | 50,757 |
(Provision for) benefit from income taxes | (972) | 7,404 | (1,327) | 10,272 |
Net Income | $ 52,553 | $ 19,164 | $ 105,897 | $ 61,029 |
Basic earnings per common share (usd per share) | $ 0.67 | $ 0.22 | $ 1.34 | $ 0.71 |
Diluted earnings per common share (usd per share) | 0.58 | 0.22 | 1.23 | 0.69 |
Regular dividends declared per common share (usd per share) | $ 0.28 | $ 0.28 | $ 0.84 | $ 0.84 |
Basic weighted average shares outstanding (shares) | 76,680,183 | 83,787,533 | 76,827,026 | 83,696,461 |
Diluted weighted average shares outstanding (shares) | 97,831,617 | 85,074,704 | 97,991,678 | 85,338,996 |
Consolidated Statements Of Comp
Consolidated Statements Of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income | $ 52,553 | $ 19,164 | $ 105,897 | $ 61,029 |
Other comprehensive income (loss): | ||||
Net unrealized gain (loss) on available-for-sale securities | 9,038 | (5,673) | 5,195 | (5,701) |
Reclassification of unrealized gain on available-for-sale securities to net income | (1,319) | (3,270) | (19,983) | (10,320) |
Net unrealized gain (loss) on interest rate agreements | 647 | (12,049) | (22,545) | (5,023) |
Reclassification of unrealized loss on interest rate agreements to net income | 18 | 19 | 55 | 77 |
Total other comprehensive income (loss) | 8,384 | (20,973) | (37,278) | (20,967) |
Total Comprehensive Income | $ 60,937 | $ (1,809) | $ 68,619 | $ 40,062 |
Consolidated Statements Of Chan
Consolidated Statements Of Changes In Stockholders' 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 at Dec. 31, 2014 | 1,256,141 | $ 834 | 1,774,030 | 140,688 | 906,867 | (1,566,278) | ||
Beginning balance (shares) at Dec. 31, 2014 | 83,443,141 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net Income | 61,029 | 61,029 | ||||||
Other comprehensive income (loss) | (20,967) | (20,967) | ||||||
Issuance of common stock: | ||||||||
Dividend reinvestment & stock purchase plans | 6,834 | $ 4 | 6,830 | |||||
Dividend reinvestment & stock purchase plans (shares) | 418,508 | |||||||
Employee stock purchase and incentive plans | (7,728) | $ 7 | (7,735) | |||||
Employee stock purchase and incentive plans (shares) | 714,801 | |||||||
Non-cash equity award compensation | 9,002 | 9,002 | ||||||
Share repurchases | (35,376) | $ (24) | (35,352) | |||||
Share repurchases (shares) | (2,451,523) | |||||||
Common dividends declared | (72,088) | (72,088) | ||||||
Ending balance at Sep. 30, 2015 | 1,206,575 | $ 821 | 1,746,775 | 119,721 | 977,624 | (1,638,366) | ||
Ending balance (shares) at Sep. 30, 2015 | 82,124,927 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net Income | 19,164 | |||||||
Other comprehensive income (loss) | (20,973) | |||||||
Ending balance at Sep. 30, 2015 | 1,206,575 | $ 821 | 1,746,775 | 119,721 | 977,624 | (1,638,366) | ||
Ending balance (shares) at Sep. 30, 2015 | 82,124,927 | |||||||
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 | ||||||
Beginning balance (shares) (Previously Reported) at Dec. 31, 2015 | 78,162,765 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net Income | 105,897 | 105,897 | ||||||
Other comprehensive income (loss) | (37,278) | (37,278) | ||||||
Issuance of common stock: | ||||||||
Employee stock purchase and incentive plans | (4,179) | $ 4 | (4,183) | |||||
Employee stock purchase and incentive plans (shares) | 437,441 | |||||||
Non-cash equity award compensation | 10,595 | 10,595 | ||||||
Share repurchases | $ (24,764) | $ (19) | (24,745) | |||||
Share repurchases (shares) | (1,078,743) | (1,917,873) | ||||||
Common dividends declared | $ (66,406) | (66,406) | ||||||
Ending balance at Sep. 30, 2016 | 1,130,130 | [2] | $ 767 | 1,677,623 | 54,715 | 1,124,580 | (1,727,555) | |
Ending balance (shares) at Sep. 30, 2016 | 76,682,333 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net Income | 52,553 | |||||||
Other comprehensive income (loss) | 8,384 | |||||||
Ending balance at Sep. 30, 2016 | $ 1,130,130 | [2] | $ 767 | $ 1,677,623 | $ 54,715 | $ 1,124,580 | $ (1,727,555) | |
Ending balance (shares) at Sep. 30, 2016 | 76,682,333 | |||||||
[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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Consolidated Statements Of Cash
Consolidated Statements Of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | ||
Cash Flows From Operating Activities: | |||
Net Income | $ 105,897 | $ 61,029 | |
Adjustments to reconcile net income to net cash used in operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | (20,251) | (26,244) | |
Depreciation and amortization of non-financial assets | 849 | 510 | |
Purchases of held-for-sale loans | (3,817,445) | (8,794,939) | |
Proceeds from sales of held-for-sale loans | 2,930,641 | 7,741,024 | |
Principal payments on held-for-sale loans | 55,694 | 46,952 | |
Net settlements of derivatives | (13,914) | (47,002) | |
Provision for loan losses | (7,102) | (115) | |
Non-cash equity award compensation expense | 10,595 | 9,002 | |
Market valuation adjustments | 9,238 | 40,546 | |
Realized gains, net | (26,037) | (16,170) | |
Net change in: | |||
Accrued interest receivable and other assets | 7,983 | (90,605) | |
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 7,728 | 26,094 | |
Net cash used in operating activities | (756,124) | (1,049,918) | |
Cash Flows From Investing Activities: | |||
Purchases of loans held-for-investment | 0 | (22,219) | |
Proceeds from sales of loans held-for-investment | 219,639 | 0 | |
Principal payments on loans held-for-investment | 574,037 | 359,714 | |
Purchases of real estate securities | (212,364) | (66,601) | |
Proceeds from sales of real estate securities | 482,716 | 309,101 | |
Principal payments on real estate securities | 60,978 | 103,664 | |
Purchase of mortgage servicing rights | (15,286) | (23,315) | |
Proceeds from sales of mortgage servicing rights | 35,717 | 17,235 | |
Net change in restricted cash | 3,523 | (7,733) | |
Net cash provided by investing activities | 1,148,960 | 669,846 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 3,156,642 | 6,213,505 | |
Repayments on short-term debt | (3,894,240) | (6,160,226) | |
Repayments on asset-backed securities issued | (208,801) | (256,614) | |
Deferred securities issuance costs | 0 | (33) | |
Proceeds from issuance of long-term debt | 771,287 | 1,156,396 | |
Repayments on long-term debt | (118,146) | (502,268) | |
Net settlements of derivatives | (119) | (32) | |
Net proceeds from issuance of common stock | 220 | 7,198 | |
Net payments on repurchase of common stock | (27,731) | (32,042) | |
Taxes paid on equity award distributions | (4,399) | (8,092) | |
Dividends paid | (66,406) | (72,088) | |
Net cash (used in) provided by financing activities | (391,693) | 345,704 | |
Net increase (decrease) in cash and cash equivalents | 1,143 | (34,368) | |
Cash and cash equivalents at beginning of period | 220,229 | [1] | 269,730 |
Cash and cash equivalents at end of period | 221,372 | [1] | 235,362 |
Cash paid during the period for: | |||
Interest | 62,053 | 57,998 | |
Taxes | 826 | 55 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 3,673 | 39,698 | |
Retention of mortgage servicing rights from loan securitizations and sales | 7,679 | 52,297 | |
Transfers from loans held-for-sale to loans held-for-investment | 877,744 | 964,013 | |
Transfers from loans held-for-investment to loans held-for-sale | 359,005 | 66,918 | |
Transfers from residential loans to real estate owned | $ 8,479 | $ 5,740 | |
[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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Organization
Organization | 9 Months Ended |
Sep. 30, 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 | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at September 30, 2016 and December 31, 2015 , and for the three and nine months ended September 30, 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 September 30, 2016 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 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. From its creation in 2012 through the second quarter of 2016, when the third party financing was repaid, we consolidated the assets and liabilities of an entity formed in connection with a commercial securitization we engaged in (“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 recorded 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 | 9 Months Ended |
Sep. 30, 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 and nine months ended September 30, 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 September 30, 2016 and December 31, 2015 , we included zero and $0.5 million , respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented these amounts together as ABS issued, net on our consolidated balance sheets and we included $8 million and $10 million , respectively, of deferred securities issuance costs as a reduction to our long-term debt and presented these amounts together 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. In March 2016, the FASB issued 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. In addition, this guidance permits the withholding of employee taxes related to the distribution of equity awards up to the maximum individual employee statutory tax rates. This new guidance is effective for fiscal years beginning after December 15, 2016 and early adoption is permitted. In the second quarter of 2016, we adopted this new guidance. Upon adoption, we elected to account for forfeitures on employee equity awards as they occur, rather than estimating expected forfeitures. The adoption of this guidance did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In October 2016, the FASB issued ASU 2016-17, "Consolidation (Topic 810): Interests Held Through Related Parties that Are Under Common Control." This new guidance amends the consolidation guidance on how a reporting entity, that is the single decision maker of a VIE, evaluates whether it is the primary beneficiary of a VIE. 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 we are currently evaluating the impact that this update will have on our consolidated financial statements. In October 2016, the FASB issued ASU 2016-16, "Income Taxes (Topic 740): Intra-Entity Transfers of Assets Other Than Inventory." This new guidance allows an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. It also eliminates the exceptions for an intra-entity transfer of assets other than inventory. This new guidance is effective for fiscal years beginning after December 15, 2017. 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 August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments." This new guidance provides guidance on how to present and classify certain cash receipts and cash payments in the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. 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 June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal year beginning December 15, 2018. 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 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 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 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. In May 2016, the FASB issued ASU 2016-12, "Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients." This new ASU provides more specific guidance on certain aspects of Topic 606. Based on our initial evaluation of this new accounting standard, we do not expect that its adoption will have a material impact on our consolidated financial statements, as financial instruments are explicitly scoped out of the standard and nearly all of our income is generated from financial instruments. We will continue evaluating this new standard and caution that any changes in our business or additional amendments to this standard could change our initial assessment. 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 September 30, 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 September 30, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 29,073 $ — $ 29,073 $ (25,048 ) $ (4,025 ) $ — TBAs 1,514 — 1,514 (1,467 ) — 47 Futures 257 — 257 (54 ) — 203 Total Assets $ 30,844 $ — $ 30,844 $ (26,569 ) $ (4,025 ) $ 250 Liabilities (2) Interest rate agreements $ (95,171 ) $ — $ (95,171 ) $ 25,048 $ 70,123 $ — TBAs (4,335 ) — (4,335 ) 1,467 2,772 (96 ) Futures (54 ) — (54 ) 54 — — Loan warehouse debt (837,846 ) — (837,846 ) 837,846 — — Security repurchase agreements (279,559 ) — (279,559 ) 279,559 — — Total Liabilities $ (1,216,965 ) $ — $ (1,216,965 ) $ 1,143,974 $ 72,895 $ (96 ) 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 | 9 Months Ended |
Sep. 30, 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 At September 30, 2016 , we consolidated certain Sequoia securitization entities issued prior to 2012 that we determined were VIEs and for which we determined we were the primary beneficiary. As discussed in Note 2 , we previously consolidated our Commercial Securitization through the second quarter of 2016 and our Residential Resecuritization through the fourth quarter of 2015. 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 September 30, 2016 Sequoia Entities (Dollars in Thousands) Residential loans, held-for-investment $ 839,976 Restricted cash 148 Accrued interest receivable 1,030 Other assets 6,245 Total Assets $ 847,399 Accrued interest payable $ 523 Asset-backed securities issued 819,868 Total Liabilities $ 820,391 Number of VIEs 20 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 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 28 Sequoia securitization entities sponsored by us and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For the transferred loans where we held the servicing rights prior to the transfer and continue to hold the servicing rights, we recorded MSRs on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining residential MSRs (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. The following table presents information related to securitization transactions that occurred during the three and nine months ended September 30, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Principal balance of loans transferred $ 348,537 $ — $ 693,427 $ 1,038,451 Trading securities retained, at fair value — — — 33,389 AFS securities retained, at fair value 1,839 — 3,673 6,309 MSRs recognized 1,971 — 4,102 7,874 The following table summarizes the cash flows during the three and nine months ended September 30, 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 September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Proceeds from new transfers $ 356,497 $ — $ 708,539 $ 1,018,312 MSR fees received 3,473 3,817 10,397 11,287 Funding of compensating interest (98 ) (86 ) (254 ) (283 ) Cash flows received on retained securities 6,384 8,190 24,314 31,541 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 September 30, 2016 Three Months Ended September 30, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 24 % 15 % N/A N/A N/A Discount rates 11 % 7 % N/A N/A N/A Credit loss assumptions N/A 0.25 % N/A N/A N/A Nine Months Ended September 30, 2016 Nine Months Ended September 30, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 22 % 15 % 14 % 8 % 8 % Discount rates 11 % 7 % 11 % 3 % 6 % Credit loss assumptions N/A 0.25 % N/A 0.25 % 0.25 % The following table presents additional information at September 30, 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) September 30, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 31,271 $ 258,697 Subordinate securities, classified as AFS 237,248 272,715 Mortgage servicing rights 35,609 56,984 Maximum loss exposure (1) $ 304,128 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 6,990,350 $ 7,318,167 Principal balance of delinquent loans 30+ days delinquent 19,775 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 September 30, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood September 30, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at September 30, 2016 $ 35,609 $ 19,098 $ 249,421 Expected life (in years) (2) 5 5 12 Prepayment speed assumption (annual CPR) (2) 25 % 14 % 14 % Decrease in fair value from: 10% adverse change $ 2,414 $ 893 $ 955 25% adverse change 5,687 2,119 2,364 Discount rate assumption (2) 11 % 15 % 5 % Decrease in fair value from: 100 basis point increase $ 861 $ 551 $ 19,395 200 basis point increase 1,674 1,072 36,292 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 11 $ 1,220 25% higher losses N/A 27 3,048 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 $19 million and $31 million of interest only securities at September 30, 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 September 30, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) September 30, 2016 Mortgage Backed Securities Senior $ 76,685 Re-REMIC 161,234 Subordinate 430,471 Total Investments in Third-Party Sponsored VIEs $ 668,390 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 | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 1,187,240 $ 1,187,240 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,274 1,459 1,433 1,635 Residential loans, held-for-investment At fair value 3,122,650 3,122,650 2,813,065 2,813,065 Commercial loans, held-for-sale At fair value — — 39,141 39,141 At lower of cost or fair value 30,400 32,239 — — Commercial loans, held-for-investment At fair value — — 67,657 67,657 At amortized cost — — 295,849 300,824 Trading securities 341,269 341,269 404,011 404,011 Available-for-sale securities 595,641 595,641 829,245 829,245 MSRs 106,009 106,009 191,976 191,976 Cash and cash equivalents 221,372 221,372 220,229 220,229 Restricted cash 2,044 2,044 5,567 5,567 Accrued interest receivable 20,054 20,054 23,290 23,290 Derivative assets 36,880 36,880 16,393 16,393 REO (1) 6,245 6,342 4,896 5,282 Margin receivable (1) 96,650 96,650 83,191 83,191 FHLBC stock (1) 43,393 43,393 34,437 34,437 Guarantee asset (1) 3,627 3,627 5,697 5,697 Pledged collateral (1) 43,802 43,802 53,600 53,600 Liabilities Short-term debt $ 1,117,405 $ 1,117,405 $ 1,855,003 $ 1,855,003 Accrued interest payable 15,518 15,518 8,936 8,936 Margin payable 13,313 13,313 6,415 6,415 Guarantee obligation 23,011 21,968 22,704 22,702 Derivative liabilities 100,117 100,117 62,794 62,794 ABS issued, net (2) Fair value 819,868 819,868 996,820 996,820 Amortized cost — — 52,595 53,137 FHLBC long-term borrowings 1,999,999 1,999,999 1,343,023 1,343,023 Commercial secured borrowings — — 63,152 63,152 Convertible notes, net (2) 481,396 496,719 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,478 83,700 138,443 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 trust preferred securities and subordinated notes, each net of deferred debt issuance costs. See Note 3 for further discussion. During the three and nine months ended September 30, 2016 , we elected the fair value option for $64 million and $187 million of subordinate securities, $1.22 billion and $3.73 billion of residential loans (principal balance), and $3 million and $23 million of MSRs, respectively. 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 September 30, 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 September 30, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 4,309,890 $ — $ — $ 4,309,890 Trading securities 341,269 — — 341,269 Available-for-sale securities 595,641 — — 595,641 Derivative assets 36,880 1,771 29,073 6,036 MSRs 106,009 — — 106,009 Pledged collateral 43,802 43,802 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 3,627 — — 3,627 Liabilities Derivative liabilities $ 100,117 $ 4,389 $ 95,171 $ 557 ABS issued 819,868 — — 819,868 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 nine months ended September 30, 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 3,615,003 37,625 187,149 28,888 22,941 — — — — Sales (2,544,595 ) (81,523 ) (241,208 ) (241,232 ) (38,419 ) — — — — Principal paydowns (569,591 ) (476 ) (13,591 ) (47,387 ) — — — (306 ) (155,662 ) Gains (losses) in net income, net 13,126 2,791 4,908 41,537 (70,489 ) (2,070 ) 41,110 2,369 (14,419 ) Unrealized losses in OCI, net — — — (15,410 ) — — — — — Other settlements, net (2) (1,604 ) (65,215 ) — — — — (38,839 ) (65,215 ) (6,871 ) Ending Balance - September 30, 2016 $ 4,309,890 $ — $ 341,269 $ 595,641 $ 106,009 $ 3,627 $ 5,479 $ — $ 819,868 (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. For commercial secured borrowings, the reduction represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes. 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 September 30, 2016 and 2015 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 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 September 30, 2016 and 2015 Included in Net Income Included in Net Income Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Assets Residential loans at Redwood $ 3,818 $ 16,451 $ 32,202 $ 12,115 Residential loans at consolidated Sequoia entities 9,200 (419 ) (18,864 ) 4,912 Commercial loans — 3,175 — 1,971 Trading securities 8,646 (8,298 ) 978 (13,274 ) Available-for-sale securities — (226 ) (305 ) (226 ) MSRs 6,549 (25,523 ) (36,738 ) (15,989 ) Loan purchase commitments 5,381 — 5,896 — Other assets - Guarantee asset 307 (1,098 ) (2,070 ) (1,799 ) Liabilities Loan purchase commitments $ — $ 9,736 $ — $ 9,806 Commercial secured borrowing — (454 ) — 750 ABS issued 10,522 300 (14,419 ) (6,198 ) The following table presents information on assets recorded at fair value on a non-recurring basis at September 30, 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 September 30, 2016 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2016 Gain (Loss) for September 30, 2016 Carrying Value Fair Value Measurements Using Three Months Ended Nine Months Ended (In Thousands) Level 1 Level 2 Level 3 September 30, 2016 September 30, 2016 Assets Residential loans, at lower of cost or fair value $ 954 $ — $ — $ 954 $ 3 $ 36 Commercial loans, at lower of cost or fair value 2,700 — — 2,700 (300 ) (300 ) REO 1,989 — — 1,989 (139 ) (351 ) The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and nine months ended September 30, 2016 and 2015 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 650 $ 11,010 $ 11,948 $ 9,892 Residential loan purchase and forward sale commitments 12,021 25,173 35,508 44,482 Commercial loans, at fair value (1) — 3,974 433 10,819 Sequoia securities — — 1,455 (14,359 ) Risk management derivatives, net (3,287 ) (40,110 ) (25,281 ) (43,674 ) Total mortgage banking activities, net (2) $ 9,384 $ 47 $ 24,063 $ 7,160 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood $ (655 ) $ 9,077 $ 22,161 $ 5,170 Trading securities 8,898 (8,784 ) 3,728 (1,587 ) Valuation adjustments on commercial loans held-for-sale (307 ) — (307 ) — Net investments in consolidated Sequoia entities (255 ) (500 ) (2,086 ) (2,277 ) Risk sharing investments 15 (1,098 ) (689 ) (1,799 ) Risk management derivatives, net 4,222 (12,638 ) (41,188 ) (16,386 ) Impairments on AFS securities — (226 ) (305 ) (226 ) Total investment fair value changes, net $ 11,918 $ (14,169 ) $ (18,686 ) $ (17,105 ) MSR Income (Loss), Net MSRs $ 1,380 $ (28,496 ) $ (70,489 ) $ (32,337 ) Risk management derivatives, net (6,336 ) 23,551 55,874 1,736 Total MSR loss, net (3) $ (4,956 ) $ (4,945 ) $ (14,615 ) $ (30,601 ) Total Market Valuation Gains (Losses), Net $ 16,346 $ (19,067 ) $ (9,238 ) $ (40,546 ) (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 September 30, 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 September 30, 2016 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average Assets Residential loans, at fair value: Jumbo fixed rate loans $ 2,404,070 Whole loan spread to TBA price $ 3.04 - $ 4.35 $ 4.31 Whole loan spread to swap rate 275 - 325 bps 324 bps Jumbo hybrid loans 160,047 Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate 130 - 275 bps 150 bps Jumbo loans committed to sell 905,797 Whole loan committed sales price $ 101.42 - $ 103.08 $ 102.22 IO multiple 2.8 - 2.8 x 2.8 x Prepayment rate (annual CPR) 15 - 15 % 15 % Senior spread to TBA price $ 2.13 - $ 2.13 $ 2.13 Subordinate spread to swap rate 200 - 857 bps 313 bps Credit support 5 - 5 % 5 % Loans held by consolidated Sequoia entities (1) 839,976 Liability price N/A N/A Residential loans, at lower of cost or fair value 954 Loss severity 15 - 30 % 17 % Trading and AFS securities 936,910 Discount rate 5 - 12 % 7 % Prepayment rate (annual CPR) 1 - 41 % 18 % Default rate 0 - 35 % 2 % Loss severity 20 - 65 % 21 % Credit support 0 - 48 % 3 % MSRs 106,009 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 9 - 25 % 18 % Per loan annual cost to service $ 72 - $ 82 $ 78 Guarantee asset 3,627 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 18 - 18 % 18 % REO 5,396 Loss severity 2 - 100 % 21 % Loan purchase commitments, net (2) 5,479 MSR multiple 0.9 - 4.7 x 2.7 x Fallout rate 2 - 85 % 28 % Whole loan spread to TBA price $ 3.04 - $ 4.20 $ 4.16 Whole loan spread to swap rate - fixed rate 275 - 325 bps 324 bps Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate - hybrid 130 - 275 bps 156 bps Liabilities ABS issued 819,868 Discount rate 5 - 9 % 5 % Prepayment rate (annual CPR) 2 - 20 % 15 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support 0 - 22 % 13 % Footnotes to Table 5.7 (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 and indexed swap rates for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Other observable inputs include benchmark interest rates, and prepayment rates. At September 30, 2016 , our jumbo fixed-rate loans that were not committed to sell 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 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. In certain cases, commercial loans are valued based on third-party offers for the loans (Level 2). An increase in market discount rates would generally reduce the estimated fair value of the 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). The estimated fair value of our senior commercial loans would generally decrease based upon an increase in credit spreads or required credit support. 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 September 30, 2016 , we received dealer price indications on 72% of our securities, representing 82% 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 approximately 5% lower than the third-party valuation. FHLBC Stock Our Federal Home Loan Bank ("FHLB") member subsidiary is required to purchase Federal Home Loan Bank of Chicago ("FHLBC") stock under a borrowing agreement between our 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 (Level 1). Cash and cash equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values (Level 1). Restricted cash Restricted cash primarily includes interest-earning cash balances at consolidated Sequoia entities and at the Residential Resecuritization and Commercial Securitization entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). Accrued interest receivable and payable Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). REO REO includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). Margin receivable Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 2). Guarantee Obligations In association with our risk sharing transactions with the Agencies, we have made certain guarantees. These obligations are initially recorded at fair value and subsequently carried at amortized cost. 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 analysis 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 | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of the Residential Loans September 30, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - jumbo $ 1,187,240 $ — $ 1,187,240 At lower of cost or fair value - jumbo 1,274 — 1,274 Total held-for-sale 1,188,514 — 1,188,514 Held-for-investment At fair value - jumbo 2,282,674 839,976 3,122,650 Total Residential Loans $ 3,471,188 $ 839,976 $ 4,311,164 December 31, 2015 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - conforming $ 129,819 $ — $ 129,819 At 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 At 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 September 30, 2016 , we owned mortgage servicing rights associated with $2.58 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 September 30, 2016 , we owned 1,528 loans held-for-sale at fair value with an aggregate unpaid principal balance of $1.16 billion and a fair value of $1.19 billion , 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 September 30, 2016 , none of these loans were greater than 90 days delinquent or in foreclosure. At December 31, 2015 , one of these loans with a fair value of $1 million was greater than 90 days delinquent and one of these loans with a fair value of $1 million was in foreclosure. During the three and nine months ended September 30, 2016 , we purchased $1.22 billion and $3.73 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $755 million and $2.80 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $1 million and $12 million , respectively, through Mortgage banking activities, net, a component of our consolidated statements of income. At September 30, 2016 , loans held-for-sale with a market value of $941 million were pledged as collateral under short-term borrowing agreements. During the three and nine months ended September 30, 2015 , we purchased $2.91 billion and $8.09 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $2.07 billion and $7.00 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $11 million and $10 million , respectively, through Mortgage banking activities, net, a component of our consolidated statements of income. At Lower of Cost or Fair Value At September 30, 2016 and December 31, 2015 , we held eight and nine , respectively, residential loans at the lower of cost or fair value with $2 million in outstanding principal balance for both periods and a carrying value of $1 million for both periods. At September 30, 2016 , one of these loans with an unpaid principal balance of $0.4 million was greater than 90 days delinquent and one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. At December 31, 2015 , one of these loans with an unpaid principal balance of $0.4 million was greater than 90 days delinquent and one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At September 30, 2016 , we owned 3,056 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.21 billion and a fair value of $2.28 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 September 30, 2016 and December 31, 2015 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three and nine months ended September 30, 2016 , we transferred loans with a fair value of $152 million and $878 million , respectively, from held-for-sale to held-for-investment. During the three and nine months ended September 30, 2016 , we transferred loans with a fair value of zero and $56 million , respectively, from held-for-investment to held-for-sale. During the three and nine months ended September 30, 2016 , we recorded a net market valuation loss of $1 million and a net market valuation gain of $22 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 September 30, 2016 , loans with a fair value of $2.27 billion were pledged as collateral under a borrowing agreement with the FHLBC. During the three and nine months ended September 30, 2015 , we transferred loans with a fair value of $300 million and $962 million , respectively, from held-for-sale to held-for-investment. During the three months ended September 30, 2015 , we transferred loans with a fair value of $67 million from held-for-investment to held-for-sale. During the three and nine months ended September 30, 2015 , we recorded net market valuation gains of $9 million and $5 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 September 30, 2016 , the outstanding loans held-for-investment at Redwood 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 773 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At September 30, 2016 , these loans were comprised of 99.5% fixed-rate loans with a weighted average coupon of 4.13% , and the remainder were hybrid or ARM loans with a weighted average coupon of 3.83% . At Consolidated Sequoia Entities At September 30, 2016 , we owned 3,901 held-for-investment loans at consolidated Sequoia entities, with an aggregate unpaid principal balance of $943 million and a fair value of $840 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 728 , the weighted average LTV ratio of these loans was 66% , and the loans were nearly all first lien and prime-quality. At September 30, 2016 and December 31, 2015 , the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $19 million and $27 million , respectively, and the unpaid principal balance of loans in foreclosure was $18 million and $32 million , respectively. During the three and nine months ended September 30, 2016 , we recorded a net market valuation gain of $9 million and a net market valuation loss of $19 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. During the three and nine months ended September 30, 2015 , we recorded a net market valuation loss of $0.4 million and a net market valuation gain of $5 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. |
Commercial Loans
Commercial Loans | 9 Months Ended |
Sep. 30, 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 ceased originating commercial loans and in June 2016, we engaged a broker to sell our commercial loan portfolio. As a result, we reclassified most of our loans from held-for-investment to held-for-sale. As discussed further below, during the third quarter of 2016, we sold a significant portion of our commercial loans. The following table summarizes the classifications and carrying value of commercial loans at September 30, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) September 30, 2016 December 31, 2015 Held-for-sale At fair value $ — $ 39,141 At lower of cost or fair value 30,400 — Held-for-investment At fair value — 67,657 At amortized cost — 295,849 Total Commercial Loans $ 30,400 $ 402,647 Of the held-for-investment commercial loans at amortized cost shown above at December 31, 2015 , $166 million were financed through the Commercial Securitization entity and $135 million were pledged as collateral under short-term borrowing arrangements. Commercial Loans Held-for-Sale At Fair Value In June 2016, we transferred commercial mezzanine loans with an unpaid principal balance of $67 million and a carrying value of $70 million from held-for-investment at fair value to held-for-sale at fair value. During the third quarter of 2016, we sold all of our remaining commercial loans held-for-sale at fair value. At December 31, 2015 , commercial loans held-for-sale at fair value included four senior commercial mortgage loans with an aggregate outstanding principal balance of $39 million and an aggregate fair value of $39 million . During the three months ended September 30, 2016 , we did not acquire or sell any senior commercial mortgage loans and we did not record any market valuation gains or losses on senior commercial mortgage loans. During the nine months ended September 30, 2016 , we acquired $38 million (principal balance) of senior commercial loans for which we elected the fair value option and sold $76 million (principal balance) of loans to third parties. During the nine months ended September 30, 2016 , we recorded $0.4 million 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. During the three and nine months ended September 30, 2015 , we acquired $168 million and $518 million (principal balance), respectively, of senior commercial loans for which we elected the fair value option and sold $254 million and $602 million (principal balance), respectively, of loans to third parties. During the three and nine months ended September 30, 2015 , we recorded $4 million and $11 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. At Lower of Cost or Fair Value Commercial loans held-for-sale at the lower of cost or fair value primarily include mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property. At September 30, 2016 , we held six commercial loans at the lower of cost or fair value with $31 million in outstanding principal balance, a carrying value of $30 million , and an estimated net fair value of $32 million . In June 2016, we transferred loans with an unpaid principal balance of $237 million and a carrying value of $233 million from held-for-investment at amortized cost to held-for-sale at the lower of cost or fair value, resulting from our decision to sell these loans. As we determined that the fair value of these loans was greater than their carrying value, we recorded the loans at their then current amortized cost, eliminating $4 million of net purchase discount and establishing a valuation adjustment of $4 million . During the third quarter of 2016, we entered into an agreement with a third party to sell most of our remaining commercial mezzanine loans and, as of September 30, 2016 , had completed the sale of loans with a principal balance of $203 million , which resulted in gains of $5 million that are presented in Realized gains, net on our consolidated statements of income. At September 30, 2016 , we held six loans, of which five are pending sale pursuant to the sale agreement entered into during the third quarter of 2016, subject to the satisfaction of certain conditions. The remaining loan had a carrying value of $3 million at September 30, 2016 , and during the third quarter of 2016, this loan experienced a technical default and we recorded a valuation adjustment of $0.3 million through Investment fair value changes, net, a component of our consolidated statements of income. Commercial Loans Held-for-Investment At Amortized Cost Commercial loans held-for-investment include mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property. As described above, in June 2016, we transferred most of our held for investment loans to held-for-sale. The following table provides additional information for our commercial loans held-for-investment at amortized cost at September 30, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) September 30, 2016 December 31, 2015 Principal balance $ — $ 307,047 Unamortized discount, net — (4,096 ) Recorded investment — 302,951 Allowance for loan losses — (7,102 ) Carrying Value $ — $ 295,849 At September 30, 2016 and December 31, 2015 , we held zero and 59 commercial loans held-for-investment at amortized cost, respectively. 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. During the second quarter of 2016, we transferred most of our held-for-investment loans to held-for-sale and recorded a reversal of provision for loan losses. This was based on our determination that the fair market value of these loans was higher than their amortized cost basis. As such, no valuation adjustment for the held-for-sale loans was charged against the allowance for loan losses during that quarter and the previously outstanding allowance associated with these loans was eliminated and a reversal of provision for loan losses was recorded in the second quarter of 2016. During the third quarter of 2016, our remaining commercial loans held-for-investment were repaid in full and, as result, we reversed our remaining provision for loan losses. 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) September 30, 2016 December 31, 2015 Pass $ — $ 272,768 Watch list — 34,279 Workout — — Total Commercial Loans Held-for-Investment $ — $ 307,047 The following table summarizes the activity in the allowance for commercial loan losses for the three and nine months ended September 30, 2016 and 2015 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 859 $ 7,401 $ 7,102 $ 7,456 Reversal of provision for loan losses (859 ) (60 ) (7,102 ) (115 ) Balance at End of Period $ — $ 7,341 $ — $ 7,341 At December 31, 2015 , all of our commercial loans collectively evaluated for impairment were current. The following table summarizes the balances for loans collectively evaluated for impairment at September 30, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) September 30, 2016 December 31, 2015 Principal balance $ — $ 307,047 Recorded investment — 302,951 Related allowance — 7,102 |
Real Estate Securities
Real Estate Securities | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2016 December 31, 2015 Trading $ 341,269 $ 404,011 Available-for-sale 595,641 829,245 Total Real Estate Securities $ 936,910 $ 1,233,256 Our real estate securities include mortgage backed securities, 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. We further separate our subordinate securities into mezzanine and subordinate, where mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. Trading Securities The following table presents the fair value of trading securities by collateral type at September 30, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Collateral Type (In Thousands) September 30, 2016 December 31, 2015 Senior Securities Prime $ 19,098 $ 248,570 Non-prime 5,394 5,781 Total Senior Securities 24,492 254,351 Subordinate Securities Prime mezzanine 194,832 136,140 Prime subordinate 121,945 13,520 Total Subordinate Securities 316,777 149,660 Total Trading Securities $ 341,269 $ 404,011 We elected the fair value option for certain securities and classify them as trading securities. Our trading securities are primarily comprised of residential mortgage backed securities. At September 30, 2016 and December 31, 2015 , our senior trading securities included $24 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 our subordinate trading securities had an unpaid principal balance of $332 million and $168 million , respectively. At September 30, 2016 and December 31, 2015 , subordinate trading securities included $134 million and $48 million , respectively, of Agency residential mortgage credit risk transfer (or "CRT") securities, $12 million and $259 million , respectively, of Sequoia securities, $98 million and $89 million , respectively, of other third party residential securities, and $73 million and $8 million , respectively, of third-party commercial mortgage backed securities. During the three and nine months ended September 30, 2016 , we acquired $65 million and $198 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $2 million and $238 million , respectively, of such securities. During the three and nine months ended September 30, 2015 , we acquired $9 million and $103 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $2 million and $81 million , respectively, of such securities. During the three and nine months ended September 30, 2016 , we recorded net market valuation gains of $9 million and $5 million , respectively, on trading securities, included in Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. During the three and nine months ended September 30, 2015 , we recorded net market valuation losses of $9 million and $16 million , respectively, on trading securities, included in Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. At September 30, 2016 , trading securities with a carrying value of $126 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 September 30, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Collateral Type (In Thousands) September 30, 2016 December 31, 2015 Senior Securities Prime $ 63,469 $ 210,993 Non-prime 7,821 68,258 Total Senior Securities 71,290 279,251 Re-REMIC Securities 161,234 165,064 Subordinate Securities Prime mezzanine 177,468 224,624 Prime subordinate 185,649 160,306 Total Subordinate Securities 363,117 384,930 Total AFS Securities $ 595,641 $ 829,245 At September 30, 2016 and December 31, 2015 , all of our available-for-sale securities were comprised of non-Agency residential mortgage backed securities. At September 30, 2016 , AFS securities with a carrying value of $210 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. During the three and nine months ended September 30, 2016 , we purchased $11 million and $29 million of AFS securities, respectively, and sold $26 million and $241 million of AFS securities, respectively, which resulted in net realized gains of $2 million and $20 million , respectively. During the three and nine months ended September 30, 2015 , we purchased zero and $15 million of AFS securities, respectively, and sold $35 million and $237 million of AFS securities, respectively, which resulted in net realized gains of $4 million and $14 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 September 30, 2016 , there were $1 million of AFS securities with contractual maturities less than five years , $1 million 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 September 30, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities September 30, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 68,288 $ 9,372 $ 180,754 $ 460,981 $ 719,395 Credit reserve (1,483 ) (641 ) (10,452 ) (35,037 ) (47,613 ) Unamortized discount, net (6,116 ) (1,635 ) (59,146 ) (135,829 ) (202,726 ) Amortized cost 60,689 7,096 111,156 290,115 469,056 Gross unrealized gains 4,860 725 50,078 74,041 129,704 Gross unrealized losses (2,080 ) — — (1,039 ) (3,119 ) Carrying Value $ 63,469 $ 7,821 $ 161,234 $ 363,117 $ 595,641 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 and nine months ended September 30, 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 September 30, 2016 Nine Months Ended September 30, 2016 Credit Reserve Unamortized Discount, Net Credit Unamortized (In Thousands) Beginning balance $ 44,943 $ 207,574 $ 48,869 $ 237,107 Amortization of net discount — (6,124 ) — (20,531 ) Realized credit losses (329 ) — (3,397 ) — Acquisitions 2,136 2,982 7,381 9,018 Sales, calls, other — (843 ) (4,382 ) (24,031 ) Impairments — — 305 — Transfers to (release of) credit reserves, net 863 (863 ) (1,163 ) 1,163 Ending Balance $ 47,613 $ 202,726 $ 47,613 $ 202,726 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 September 30, 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) September 30, 2016 $ 3,117 $ (127 ) $ 2,990 $ 67,091 $ (2,992 ) $ 64,099 December 31, 2015 87,718 (1,972 ) 85,746 77,539 (3,035 ) 74,504 At September 30, 2016 , after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 184 AFS securities, of which 15 were in an unrealized loss position and 12 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 $3 million at September 30, 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 September 30, 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. For the three months ended September 30, 2016 , we recognized no OTTI losses related to our AFS securities. For the nine months ended September 30, 2016 , other-than-temporary impairments were $3 million , of which $0.3 million were recognized through our consolidated statements of income and $2 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. 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 September 30, 2016 . Table 8.7 – Significant Valuation Assumptions September 30, 2016 Range for Securities Prepayment rates 8% - 20% Projected losses —% - 9% 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 September 30, 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 September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 28,198 $ 32,696 $ 28,277 $ 33,849 Additions Initial credit impairments — 226 291 226 Reductions Securities sold, or expected to sell — — (261 ) (348 ) Securities with no outstanding principal at period end — (446 ) (109 ) (1,251 ) Balance at End of Period $ 28,198 $ 32,476 $ 28,198 $ 32,476 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2016 and 2015 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Gross realized gains - sales $ 1,990 $ 4,053 $ 22,395 $ 14,315 Gross realized gains - calls — 1,607 1,210 1,967 Gross realized losses - sales — — (2,293 ) — Gross realized losses - calls — (112 ) — (112 ) Total Realized Gains on Sales and Calls of AFS Securities, net $ 1,990 $ 5,548 $ 21,312 $ 16,170 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 9 Months Ended |
Sep. 30, 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 at September 30, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans September 30, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 69,578 $ 8,422,222 $ 133,838 $ 12,560,533 Jumbo Loans 36,431 5,494,950 58,138 5,705,939 Total Mortgage Servicing Rights $ 106,009 $ 13,917,172 $ 191,976 $ 18,266,472 The following table presents activity for MSRs for the three and nine months ended September 30, 2016 and 2015 . Table 9.2 – Activity for MSRs Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 110,046 $ 168,462 $ 191,976 $ 139,293 Additions 3,443 22,760 22,941 73,976 Sales (8,860 ) — (38,419 ) (18,206 ) Changes in fair value due to: Changes in assumptions (1) 7,085 (23,786 ) (52,723 ) (18,653 ) Other changes (2) (5,705 ) (4,710 ) (17,766 ) (13,684 ) Balance at End of Period $ 106,009 $ 162,726 $ 106,009 $ 162,726 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to receipt 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 and nine months ended September 30, 2016 . Table 9.3 – MSR Additions (In Thousands) Three Months Ended September 30, 2016 Nine Months Ended September 30, 2016 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 1,971 $ 328,227 $ 4,102 $ 638,469 From loan sales 21 3,510 145 21,002 Total jumbo MSR additions 1,992 331,737 4,247 659,471 Conforming MSR additions: From loan sales $ — $ — $ 3,380 $ 316,290 From purchases 1,451 216,544 15,314 1,629,762 Total conforming MSR additions 1,451 216,544 18,694 1,946,052 Total MSR Additions $ 3,443 $ 548,281 $ 22,941 $ 2,605,523 The following table presents the components of our MSR income for the three and nine months ended September 30, 2016 and 2015 . Table 9.4 – Components of MSR Income (Loss), net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Servicing income Income $ 9,943 $ 10,028 $ 32,199 $ 28,199 Cost of sub-servicer (1,217 ) (1,313 ) (4,958 ) (3,704 ) Net servicing income 8,726 8,715 27,241 24,495 Market valuation changes of MSRs 1,380 (28,496 ) (70,489 ) (32,337 ) Market valuation changes of associated derivatives (1) (6,336 ) 23,551 55,874 1,736 MSR provision for repurchases — (221 ) 208 (439 ) MSR Income (Loss), Net $ 3,770 $ 3,549 $ 12,834 $ (6,545 ) (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 | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 16,839 $ 580,000 $ 2,590 $ 658,000 TBAs 1,514 555,000 2,734 1,028,500 Futures 257 130,000 — — Swaptions 12,234 495,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 6,036 892,901 4,671 764,161 Total Assets $ 36,880 $ 2,652,901 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (70,672 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (24,499 ) 966,500 (10,134 ) 1,039,500 TBAs (4,335 ) 1,000,000 (2,519 ) 1,450,500 Futures (54 ) 15,000 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (557 ) 219,300 (1,464 ) 375,815 Total Liabilities $ (100,117 ) $ 2,340,300 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (63,237 ) $ 4,993,201 $ (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 September 30, 2016 , we were party to swaps and swaptions with an aggregate notional amount of $2.04 billion , TBA agreements sold with an aggregate notional amount of $1.56 billion , and financial futures contracts with an aggregate notional amount of $145 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 and nine months ended September 30, 2016 , we recorded net market valuation losses of $5 million and $11 million , respectively, on risk management derivatives. During the three and nine months ended September 30, 2015 , we recorded net market valuation losses on risk management derivatives of $29 million and $58 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 $12 million and $36 million for the three and nine months ended September 30, 2016 , respectively, and were $25 million and $44 million for the three and nine months ended September 30, 2015 , respectively. The market valuation gains and losses were 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 and nine months ended September 30, 2016 , designated interest rate agreements had a net market valuation gain of $1 million and a net market valuation loss of $23 million , respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For the three and nine months ended September 30, 2015 , designated interest rate agreements had net market valuation losses of $12 million and $5 million , respectively. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $70 million and $47 million at September 30, 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 and nine months ended September 30, 2016 and 2015 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Net interest expense on cash flows hedges $ (1,314 ) $ (1,466 ) $ (4,049 ) $ (4,425 ) Realized net losses reclassified from other comprehensive income (18 ) (19 ) (55 ) (77 ) Total Interest Expense $ (1,332 ) $ (1,485 ) $ (4,104 ) $ (4,502 ) 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 September 30, 2016 , we assessed this risk as remote and did not record a specific valuation adjustment. At September 30, 2016 , we had outstanding derivative agreements with three counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions. |
Other Assets and Liabilities
Other Assets and Liabilities | 9 Months Ended |
Sep. 30, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at September 30, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) September 30, 2016 December 31, 2015 Margin receivable $ 96,650 $ 83,191 Pledged collateral 43,802 53,600 FHLBC stock 43,393 34,437 REO 6,245 4,896 Guarantee asset 3,627 5,697 Fixed assets and leasehold improvements (1) 2,850 4,117 Prepaid expenses 2,017 3,640 Investment receivable 1,525 3,870 Other 7,677 4,438 Total Other Assets $ 207,786 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $5 million and accumulated depreciation of $2 million at September 30, 2016 . Accrued expenses and other liabilities at September 30, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) September 30, 2016 December 31, 2015 Guarantee obligations $ 23,011 $ 22,704 Margin payable 13,313 6,415 Accrued compensation 12,674 17,527 Residential loan and MSR repurchase reserve 6,617 6,403 Accrued operating expenses 5,958 1,845 Restructuring liabilities 3,667 — Legal reserve 2,000 2,000 Current accounts payable 1,292 4,764 Other 1,176 8,239 Total Other Liabilities $ 69,708 $ 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. 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 September 30, 2016 , was $6 million , which includes the net effect of $8 million related to transfers into REO during the nine months ended September 30, 2016 , offset by $9 million of REO liquidations, and $2 million of unrealized gains resulting from market valuation adjustments. At September 30, 2016 and December 31, 2015 , there were 24 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 ceasing 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 no longer originate commercial loans. Finally, in March 2016, we announced the departure of our President effective July 1, 2016. These restructuring activities were substantially completed 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. During the second and third quarters of 2016, minor adjustments affected the restructuring accrual and we currently expect the remaining liabilities to be substantially settled during the next nine months in accordance with the terms of outstanding contracts and employment agreements. (See table below for more details). 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 and nine months ended September 30, 2016 . Table 11.3 – Activities of Restructuring Liabilities Three Months Ended September 30, 2016 Nine Months Ended September 30, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ 3,387 $ 772 $ 4,159 $ — $ — $ — Costs incurred and expensed — 4 4 8,793 1,752 10,545 Costs paid/settled (34 ) (462 ) (496 ) (1,954 ) (1,438 ) (3,392 ) Adjustments (1) — — — (3,486 ) — (3,486 ) Ending Balance $ 3,353 $ 314 $ 3,667 $ 3,353 $ 314 $ 3,667 (1) Amount represents equity compensation expense recorded during the three and nine months ended September 30, 2016 related to equity awards that were accelerated, and will be distributed in future periods. |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 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 September 30, 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 September 30, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities September 30, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 837,846 $ 1,325,000 2.07 % 12/2016-8/2017 145 Commercial loan warehouse 1 — 150,000 N/A 10/2016 N/A Real estate securities repo 7 279,559 — 1.79 % 10/2016-12/2016 26 Total 12 $ 1,117,405 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 September 30, 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 $941 million , zero , and $336 million , respectively, at September 30, 2016 and $1.07 billion , $152 million , and $827 million , respectively, at December 31, 2015 . For the three and nine months ended September 30, 2016 , the average balance of short-term debt was $1.07 billion and $1.15 billion , respectively. At September 30, 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 of $10 million at September 30, 2016 . At both September 30, 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 September 30, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities September 30, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 434,331 $ 403,515 $ 837,846 Real estate securities 210,228 69,331 — 279,559 Total Short-Term Debt $ 210,228 $ 503,662 $ 403,515 $ 1,117,405 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 9 Months Ended |
Sep. 30, 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 the Commercial Securitization and the Residential Resecuritization. During the second quarter of 2016, the debt of the Commercial Securitization was repaid. During the fourth quarter of 2015, the debt of the Residential Resecuritization was repaid. 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 September 30, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued September 30, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 935,565 $ — $ 935,565 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 4,383 — 4,383 4,672 — 4,672 Market valuation adjustments (120,080 ) — (120,080 ) (116,637 ) — (116,637 ) Total ABS issued 819,868 — 819,868 996,820 53,137 1,049,957 Deferred debt issuance costs — — — — (542 ) (542 ) ABS Issued, Net (1) $ 819,868 $ — $ 819,868 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.14% to 1.94% — % 0.41% to 2.21% 5.62 % Stated maturities 2024 - 2036 N/A 2017 - 2037 2018 Number of series 20 — 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 September 30, 2016 , all outstanding ABS issued had contractual maturities beyond five years . The following table summarizes the accrued interest payable on ABS issued at September 30, 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) September 30, 2016 December 31, 2015 Sequoia $ 523 $ 555 Commercial Securitization — 249 Total Accrued Interest Payable on ABS Issued $ 523 $ 804 The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at September 30, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued September 30, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 839,976 $ — $ 839,976 $ 1,021,870 $ — $ 1,021,870 Commercial loans — — — — 166,016 166,016 Restricted cash 148 — 148 228 137 365 Accrued interest receivable 1,030 — 1,030 1,131 1,297 2,428 REO 6,245 — 6,245 4,895 — 4,895 Total Collateral for ABS Issued $ 847,399 $ — $ 847,399 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 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 September 30, 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 and nine months ended September 30, 2016 , our FHLB-member subsidiary borrowed an additional zero and $519 million , respectively, 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 September 30, 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 0.57% 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 $2.27 billion at September 30, 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 September 30, 2016 , our subsidiary held $43 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 September 30, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) September 30, 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 September 30, 2016 and December 31, 2015 , we had zero and $63 million of commercial secured borrowings, respectively, 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. During the third quarter of 2016, we sold our retained junior portions of the loans we had originally bifurcated from these senior loans and derecognized the secured borrowing liability and the associated senior portion of the loan 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 weighted average interest expense yield on these exchangeable notes was approximately 6.6% per annum. At September 30, 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 September 30, 2016 , we did not repurchase any of these notes. During the nine months ended September 30, 2016 , we repurchased $4 million par value of these notes at a discount and recorded a gain on extinguishment of debt of $0.3 million in Realized gains, net on our consolidated statements of income. At September 30, 2016 , the outstanding principal amount of these notes was $201 million . At September 30, 2016 , the accrued interest payable balance on this debt was $5 million and the unamortized deferred issuance costs were $4 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 weighted average interest expense yield on these convertible notes was approximately 5.4% per annum. At September 30, 2016 , the accrued interest payable balance on this debt was $7 million and the unamortized deferred issuance costs were $3 million . At September 30, 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 September 30, 2016 , we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million , respectively. This debt requires quarterly interest payments at a floating rate equal to three-month LIBOR plus 2.25% until the debt is extinguished. Prior to 2014, we entered into interest rate swaps with aggregate notional values totaling $140 million to hedge the variability in this long-term debt interest expense. Including hedging costs and amortization of deferred securities issuance costs, the weighted average interest expense yield on our trust preferred securities and subordinated notes was approximately 6.9% per annum. At both September 30, 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 | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At September 30, 2016 , we were obligated under five non-cancelable operating leases with expiration dates through 2021 for $5 million of cumulative lease payments. Our operating lease expense was $2 million for both the nine months ended September 30, 2016 and 2015 . The following table presents our future lease commitments at September 30, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) September 30, 2016 2016 (3 months) $ 571 2017 2,301 2018 1,268 2019 642 2020 581 2021 and thereafter 48 Total Lease Commitments $ 5,411 Loss Contingencies — Risk Sharing At September 30, 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 September 30, 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 September 30, 2016 , we had not incurred any losses under these arrangements. For the three and nine months ended September 30, 2016 , other income related to these arrangements was $1 million and $3 million , respectively. For the three and nine months ended September 30, 2015 , other income related to these arrangements was $0.2 million and $2 million , respectively. For the three and nine months ended September 30, 2016 , we recorded net market valuation losses of zero and $1 million , respectively, related to these investments. For the three and nine months ended September 30, 2015 , we recorded net market valuation losses of $1 million and $2 million , respectively, related to these investments. All of the loans in the reference pools subject to these risk sharing arrangements were originated in 2014 and 2015, and at September 30, 2016 , the loans had an unpaid principal balance of $2.61 billion and a weighted average FICO score of 766 (at origination) and LTV of 74% (at origination). At September 30, 2016 , $1 million of the loans were 90 days or more delinquent, and $1 million were in foreclosure. At September 30, 2016 , the carrying value of our guarantee obligation was $23 million and included $10 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations. 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 September 30, 2016 and December 31, 2015 , assets of such SPEs totaled $50 million and $63 million , respectively, and liabilities of such SPEs totaled $23 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 September 30, 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 53 repurchase requests and we repurchased one loan during the nine months ended September 30, 2016 . During the nine months ended September 30, 2016 and 2015 , we recorded repurchase provisions of $0.3 million and $2 million , respectively, that were recorded in Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income and had charge-offs of $0.1 million and zero , respectively. 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, at September 30, 2016 , the FHLB-Seattle has received approximately $122 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, at September 30, 2016 , approximately $14 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. Through certain of our wholly-owned subsidiaries, we have in the past engaged in, and expect to continue to engage in, activities relating to the acquisition and securitization of residential mortgage loans. In addition, certain of our wholly-owned subsidiaries have in the past engaged in activities relating to the acquisition and securitization of debt obligations and other assets through the issuance of collateralized debt obligations (commonly referred to as CDO transactions). Because of this involvement in the securitization and CDO businesses, we could become the subject of litigation relating to these businesses, including additional litigation of the type described above, and we could also become the subject of governmental investigations, enforcement actions, or lawsuits, and governmental authorities could allege that we violated applicable law or regulation in the conduct of our business. As an example, we recently became aware of a complaint filed by the State of California on April 1, 2016 against Morgan Stanley & Co. and certain of its affiliates alleging, among other things, that there were misleading statements contained in offering materials for 28 different mortgage pass-through certificates purchased by various California investors, including various California public pension systems, from Morgan Stanley and alleging that Morgan Stanley made false or fraudulent claims in connection with the sale of those certificates. Of the 28 mortgage pass-through certificates that are the subject of the complaint, two are Sequoia mortgage pass-through certificates issued in 2004 and two are Sequoia mortgage pass-through certificates issued in 2007, with respect to each of which certificates our wholly-owned subsidiary, RWT Holdings, Inc., was the sponsor and our wholly-owned subsidiary, Sequoia Residential Funding, Inc., was the depositor. At the time these four Sequoia mortgage pass-through certificates were issued, Sequoia Residential Funding, Inc. and Redwood Trust agreed to indemnify the underwriters of these certificates for certain losses and expenses they might incur as a result of claims made against them relating to these certificates, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, we 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 September 30, 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 | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three and nine months ended September 30, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended September 30, 2016 Three Months Ended September 30, 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 $ 116,849 $ (70,518 ) $ 179,659 $ (38,965 ) Other comprehensive income (loss) before reclassifications 9,038 647 (5,673 ) (12,049 ) Amounts reclassified from other accumulated comprehensive income (1,319 ) 18 (3,270 ) 19 Net current-period other comprehensive income (loss) 7,719 665 (8,943 ) (12,030 ) Balance at End of Period $ 124,568 $ (69,853 ) $ 170,716 $ (50,995 ) Nine Months Ended September 30, 2016 Nine Months Ended September 30, 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) 5,195 (22,545 ) (5,701 ) (5,023 ) Amounts reclassified from other (19,983 ) 55 (10,320 ) 77 Net current-period other comprehensive income (loss) (14,788 ) (22,490 ) (16,021 ) (4,946 ) Balance at End of Period $ 124,568 $ (69,853 ) $ 170,716 $ (50,995 ) The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and nine months ended September 30, 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 September 30, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ — $ 198 Gain on sale of AFS securities Realized gains, net (1,319 ) (3,468 ) $ (1,319 ) $ (3,270 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 18 $ 19 $ 18 $ 19 Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Nine Months Ended September 30, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ 305 $ 198 Gain on sale of AFS securities Realized gains, net (20,288 ) (10,518 ) $ (19,983 ) $ (10,320 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 55 $ 77 $ 55 $ 77 (1) For the three months ended September 30, 2016 , there were no other-than-temporary impairments. For the nine months ended September 30, 2016 , other-than-temporary impairments were $3 million , of which $0.3 million were recognized through our consolidated statements of income and $2 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. Earnings per Common Share The following table provides the basic and diluted earnings per common share computations for the three and nine months ended September 30, 2016 and 2015 . Table 16.3 – Basic and Diluted Earnings per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2016 2015 2016 2015 Basic Earnings per Common Share: Net income attributable to Redwood $ 52,553 $ 19,164 $ 105,897 $ 61,029 Less: Dividends and undistributed earnings allocated to participating securities (1,485 ) (553 ) (3,040 ) (1,928 ) Net income allocated to common shareholders $ 51,068 $ 18,611 $ 102,857 $ 59,101 Basic weighted average common shares outstanding 76,680,183 83,787,533 76,827,026 83,696,461 Basic Earnings per Common Share $ 0.67 $ 0.22 $ 1.34 $ 0.71 Diluted Earnings per Common Share: Net income attributable to Redwood $ 52,553 $ 19,164 $ 105,897 $ 61,029 Less: Dividends and undistributed earnings allocated to participating securities (1,439 ) (553 ) (3,226 ) (1,928 ) Add back: Interest expense on convertible notes for the period, net of tax 6,115 — 18,263 — Net income allocated to common shareholders $ 57,229 $ 18,611 $ 120,934 $ 59,101 Weighted average common shares outstanding 76,680,183 83,787,533 76,827,026 83,696,461 Net effect of dilutive equity awards 54,696 1,287,171 18,665 1,642,535 Net effect of assumed convertible notes conversion to common shares 21,096,738 — 21,145,987 — Diluted weighted average common shares outstanding 97,831,617 85,074,704 97,991,678 85,338,996 Diluted Earnings per Common Share $ 0.58 $ 0.22 $ 1.23 $ 0.69 We included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, in the calculations of basic and 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. During the three and nine months ended September 30, 2016 and 2015 , certain convertible notes were determined to be dilutive and were included in the calculation of diluted EPS under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator. For both the three and nine months ended September 30, 2016 , no common shares related to the assumed conversion of the convertible notes were antidilutive and excluded in the calculation of diluted earnings per share. For both the three and nine months ended September 30, 2015 , 21,292,309 of common shares related to the assumed conversion of the convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three and nine months ended September 30, 2016 , the number of outstanding equity awards that were antidilutive totaled 6,623 and 6,565 , respectively. For the three and nine months ended September 30, 2015 , the number of outstanding equity awards that were antidilutive totaled 163,296 and 180,897 , respectively. Stock Repurchases In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock. During the nine months ended September 30, 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 and nine months ended September 30, 2016 , we repurchased 259,005 shares and 1,078,743 shares, respectively, pursuant to this authorization for $3 million and $14 million , respectively. At September 30, 2016 , approximately $86 million of this current authorization remained available for the repurchase of shares of our common stock. During both the three and nine months ended September 30, 2015 , there were 2,451,523 shares acquired under then-existing share repurchase authorization. |
Equity Compensation Plans
Equity Compensation Plans | 9 Months Ended |
Sep. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At September 30, 2016 and December 31, 2015 , 1,764,135 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 $15 million at September 30, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 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 1,753 4,641 — 124 6,518 Equity grant forfeitures (1,351 ) (1,167 ) (2,209 ) — (4,727 ) Equity compensation expense (451 ) (7,922 ) (2,134 ) (93 ) (10,600 ) Unrecognized Compensation Cost at End of Period $ 2,344 $ 9,944 $ 2,480 $ 31 $ 14,799 At September 30, 2016 , the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock At September 30, 2016 and December 31, 2015 , there were 207,543 and 187,180 shares, respectively, of restricted stock outstanding. Restrictions on these shares lapse through 2020 . During the nine months ended September 30, 2016 , there were 144,056 shares of restricted stock granted, restrictions on 49,077 shares of restricted stock lapsed and those shares were distributed, and 74,616 shares of restricted stock awards forfeited. Deferred Stock Units (“DSUs”) At September 30, 2016 and December 31, 2015 , there were 2,033,395 and 2,407,154 DSUs, respectively, outstanding of which 1,247,119 and 1,363,548 , respectively, had vested. There were 377,040 DSUs granted, 687,844 DSUs distributed, and 62,955 DSUs forfeited during the nine months ended September 30, 2016 . Unvested DSUs at September 30, 2016 vest through 2020 . During the first quarter of 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 September 30, 2016 and December 31, 2015 , the target number of PSUs that were unvested was 656,725 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 first quarter of 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 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. At September 30, 2016 and December 31, 2015 , 329,736 and 310,040 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at September 30, 2016 . |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Banking [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 and nine months ended September 30, 2016 and 2015 . Table 18.1 – Mortgage Banking Activities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Residential Mortgage Banking Activities, Net: Changes in fair value of: Residential loans, at fair value (1) $ 12,671 $ 36,183 $ 47,456 $ 54,375 Sequoia securities — — 1,455 (14,359 ) Risk management derivatives (2) (3,287 ) (37,029 ) (22,743 ) (35,842 ) Other income (expense), net (3) 382 1,177 606 3,209 Total residential mortgage banking activities, net 9,766 331 26,774 7,383 Commercial Mortgage Banking Activities, Net: Changes in fair value of: Commercial loans, at fair value — 3,974 433 10,819 Risk management derivatives (2) — (3,081 ) (2,538 ) (7,832 ) Other fee income — 109 43 336 Total commercial mortgage banking activities, net — 1,002 (2,062 ) 3,323 Mortgage Banking Activities, Net $ 9,766 $ 1,333 $ 24,712 $ 10,706 (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of 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 | 9 Months Ended |
Sep. 30, 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 and nine months ended September 30, 2016 and 2015 . Table 19.1 – Investment Fair Value Changes Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment, at Redwood $ (655 ) $ 9,077 $ 22,161 $ 5,170 Trading securities 8,898 (8,784 ) 3,728 (1,587 ) Net investments in consolidated Sequoia entities (255 ) (500 ) (2,086 ) (2,277 ) Risk sharing investments 15 (1,098 ) (689 ) (1,799 ) Risk management derivatives 4,222 (12,638 ) (41,188 ) (16,386 ) Valuation adjustments on commercial loans held-for-sale (307 ) — (307 ) — Impairments on AFS securities — (226 ) (305 ) (226 ) Investment Fair Value Changes, Net $ 11,918 $ (14,169 ) $ (18,686 ) $ (17,105 ) |
Operating Expenses
Operating Expenses | 9 Months Ended |
Sep. 30, 2016 | |
Other Income and Expenses [Abstract] | |
Operating Expenses | Operating Expenses Components of our operating expenses for the three and nine months ended September 30, 2016 and 2015 are presented in the following table. Table 20.1 – Components of Operating Expenses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Fixed compensation expense $ 5,253 $ 8,642 $ 19,022 $ 27,083 Variable compensation expense 5,802 3,567 11,824 11,135 Equity compensation expense 2,031 2,835 7,117 9,112 Total compensation expense 13,086 15,044 37,963 47,330 Systems and consulting 2,692 2,355 7,274 6,718 Loan acquisition costs (1) 1,393 2,995 4,680 7,864 Office costs 1,056 1,314 3,501 3,912 Accounting and legal 721 1,047 3,043 3,754 Corporate costs 478 484 1,589 1,521 Other operating expenses 925 1,258 2,367 3,679 Operating expenses before restructuring charges 20,351 24,497 60,417 74,778 Restructuring charges (2) 4 — 10,545 — Total Operating Expenses $ 20,355 $ 24,497 $ 70,962 $ 74,778 (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 nine months ended September 30, 2016 , restructuring charges included $5 million of fixed compensation expense and $4 million of equity compensation expense related to one-time termination benefits, as well as $2 million of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See Note 11 for further discussion on restructuring charges. |
Taxes
Taxes | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes For the nine months ended September 30, 2016 and 2015 , we recognized a provision for income taxes of $1 million and a benefit from income taxes of $10 million , respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at September 30, 2016 and 2015 . Table 21.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2016 September 30, 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 (21.7 )% (36.5 )% Change in valuation allowance 6.6 % 20.9 % Dividends paid deduction (24.9 )% (45.8 )% Effective Tax Rate 1.2 % (20.2 )% We assessed our tax positions for all open tax years (i.e., Federal, 2013 to 2016, and State, 2012- 2016) at September 30, 2016 and December 31, 2015 , and concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 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 and nine months ended September 30, 2016 and 2015 . Table 22.1 – Business Segment Financial Information Three Months Ended September 30, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 8,831 $ 39,981 $ 7,195 $ 4,899 $ 60,906 Interest expense (3,826 ) (4,471 ) (542 ) (12,758 ) (21,597 ) Net interest income (loss) 5,005 35,510 6,653 (7,859 ) 39,309 Reversal of provision for loan losses — — 859 — 859 Non-interest income Mortgage banking activities, net 9,766 — — — 9,766 MSR income (loss), net — 3,770 — — 3,770 Investment fair value changes, net — 11,973 203 (258 ) 11,918 Other income — 1,643 — — 1,643 Realized gains, net — 1,991 4,624 — 6,615 Total non-interest income, net 9,766 19,377 4,827 (258 ) 33,712 Direct operating expenses (1) (5,807 ) (2,498 ) (253 ) (11,797 ) (20,355 ) Provision for income taxes (240 ) (732 ) — — (972 ) Segment Contribution $ 8,724 $ 51,657 $ 12,086 $ (19,914 ) Net Income $ 52,553 Non-cash amortization income (expense) $ (28 ) $ 6,124 $ (1 ) $ (983 ) $ 5,112 Three Months Ended September 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 12,115 $ 34,074 $ 11,191 $ 6,104 $ 63,484 Interest expense (4,313 ) (2,660 ) (3,502 ) (13,400 ) (23,875 ) Net interest income (loss) 7,802 31,414 7,689 (7,296 ) 39,609 Reversal of provision for loan losses — — 60 — 60 Non-interest income Mortgage banking activities, net 331 — 1,002 — 1,333 MSR income (loss), net — 3,549 — — 3,549 Investment fair value changes, net — (13,622 ) — (547 ) (14,169 ) Other income — 327 — — 327 Realized gains, net — 5,548 — — 5,548 Total non-interest income, net 331 (4,198 ) 1,002 (547 ) (3,412 ) Direct operating expenses (11,278 ) (1,311 ) (3,136 ) (8,772 ) (24,497 ) (Provision for) benefit from income taxes 2,690 4,082 (389 ) 1,021 7,404 Segment Contribution $ (455 ) $ 29,987 $ 5,226 $ (15,594 ) Net Income $ 19,164 Non-cash amortization income (expense) $ (45 ) $ 9,115 $ (61 ) $ (1,007 ) $ 8,002 Hedging allocations (1,683 ) 1,683 — — — Nine Months Ended September 30, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 24,610 $ 120,812 $ 29,927 $ 14,672 $ 190,021 Interest expense (10,719 ) (14,076 ) (5,001 ) (38,195 ) (67,991 ) Net interest income (loss) 13,891 106,736 24,926 (23,523 ) 122,030 Reversal of provision for loan losses — — 7,102 — 7,102 Non-interest income Mortgage banking activities, net 26,774 — (2,062 ) — 24,712 MSR income (loss), net — 12,834 — — 12,834 Investment fair value changes, net — (16,913 ) 408 (2,181 ) (18,686 ) Other income — 4,130 27 — 4,157 Realized gains, net — 21,312 4,433 292 26,037 Total non-interest income, net 26,774 21,363 2,806 (1,889 ) 49,054 Direct operating expenses (1) (17,175 ) (6,517 ) (2,524 ) (44,746 ) (70,962 ) Provision for income taxes (240 ) (1,087 ) — — (1,327 ) Segment Contribution $ 23,250 $ 120,495 $ 32,310 $ (70,158 ) Net Income $ 105,897 Non-cash amortization income (expense) $ (102 ) $ 20,531 $ (24 ) $ (2,978 ) $ 17,427 Nine Months Ended September 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 37,886 $ 98,335 $ 34,784 $ 19,598 $ 190,603 Interest expense (11,389 ) (8,137 ) (10,488 ) (40,830 ) (70,844 ) Net interest income (loss) 26,497 90,198 24,296 (21,232 ) 119,759 Reversal of provision for loan losses — — 115 — 115 Non-interest income Mortgage banking activities, net 7,383 — 3,323 — 10,706 MSR income (loss), net — (6,545 ) — — (6,545 ) Investment fair value changes, net — (14,745 ) — (2,360 ) (17,105 ) Other income — 2,435 — — 2,435 Realized gains, net — 16,170 — — 16,170 Total non-interest income, net 7,383 (2,685 ) 3,323 (2,360 ) 5,661 Direct operating expenses (33,214 ) (3,600 ) (9,638 ) (28,326 ) (74,778 ) Benefit from income taxes 3,562 3,824 321 2,565 10,272 Segment Contribution $ 4,228 $ 87,737 $ 18,417 $ (49,353 ) Net Income $ 61,029 Non-cash amortization income (expense) $ (135 ) $ 28,277 $ (188 ) $ (2,984 ) $ 24,970 Hedging allocations 1,120 (1,070 ) — (50 ) — (1) For the three and nine months ended September 30, 2016 , charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations, included in the direct operating expense line item, are presented under the Corporate/Other column. See Note 11 for further discussion of these restructuring charges. The following tables present the components of Corporate/Other for the three and nine months ended September 30, 2016 and 2015 . Table 22.2 – Components of Corporate/Other Three Months Ended September 30, 2016 2015 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 4,837 $ 62 $ 4,899 $ 6,098 $ 6 $ 6,104 Interest expense (3,274 ) (9,484 ) (12,758 ) (3,842 ) (9,558 ) (13,400 ) Net interest income (loss) 1,563 (9,422 ) (7,859 ) 2,256 (9,552 ) (7,296 ) Non-interest income Investment fair value changes, net (255 ) (3 ) (258 ) (501 ) (46 ) (547 ) Total non-interest income, net (255 ) (3 ) (258 ) (501 ) (46 ) (547 ) Direct operating expenses — (11,797 ) (11,797 ) — (8,772 ) (8,772 ) Provision for income taxes — — — — 1,021 1,021 Total $ 1,308 $ (21,222 ) $ (19,914 ) $ 1,755 $ (17,349 ) $ (15,594 ) Nine Months Ended September 30, 2016 2015 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 14,525 $ 147 $ 14,672 $ 19,578 $ 20 $ 19,598 Interest expense (9,842 ) (28,353 ) (38,195 ) (12,372 ) (28,458 ) (40,830 ) Net interest income (loss) 4,683 (28,206 ) (23,523 ) 7,206 (28,438 ) (21,232 ) Non-interest income Investment fair value changes, net (2,086 ) (95 ) (2,181 ) (2,277 ) (83 ) (2,360 ) Realized gains, net — 292 292 — — — Total non-interest income, net (2,086 ) 197 (1,889 ) (2,277 ) (83 ) (2,360 ) Direct operating expenses — (44,746 ) (44,746 ) — (28,326 ) (28,326 ) Provision for income taxes — — — — 2,565 2,565 Total $ 2,597 $ (72,755 ) $ (70,158 ) $ 4,929 $ (54,282 ) $ (49,353 ) (1) Legacy consolidated 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 September 30, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total September 30, 2016 Residential loans $ 1,188,514 $ 2,282,674 $ — $ 839,976 $ 4,311,164 Commercial loans — — 30,400 — 30,400 Real estate securities — 864,300 72,610 — 936,910 Mortgage servicing rights — 106,009 — — 106,009 Total assets 1,215,240 3,470,013 103,507 1,083,859 5,872,619 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) | 9 Months Ended |
Sep. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The consolidated financial statements presented herein are at September 30, 2016 and December 31, 2015 , and for the three and nine months ended September 30, 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 September 30, 2016 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 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. From its creation in 2012 through the second quarter of 2016, when the third party financing was repaid, we consolidated the assets and liabilities of an entity formed in connection with a commercial securitization we engaged in (“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 recorded 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 | 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 | 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 September 30, 2016 and December 31, 2015 , we included zero and $0.5 million , respectively, of deferred securities issuance costs as a reduction to our ABS issued and presented these amounts together as ABS issued, net on our consolidated balance sheets and we included $8 million and $10 million , respectively, of deferred securities issuance costs as a reduction to our long-term debt and presented these amounts together 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. In March 2016, the FASB issued 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. In addition, this guidance permits the withholding of employee taxes related to the distribution of equity awards up to the maximum individual employee statutory tax rates. This new guidance is effective for fiscal years beginning after December 15, 2016 and early adoption is permitted. In the second quarter of 2016, we adopted this new guidance. Upon adoption, we elected to account for forfeitures on employee equity awards as they occur, rather than estimating expected forfeitures. The adoption of this guidance did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In October 2016, the FASB issued ASU 2016-17, "Consolidation (Topic 810): Interests Held Through Related Parties that Are Under Common Control." This new guidance amends the consolidation guidance on how a reporting entity, that is the single decision maker of a VIE, evaluates whether it is the primary beneficiary of a VIE. 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 we are currently evaluating the impact that this update will have on our consolidated financial statements. In October 2016, the FASB issued ASU 2016-16, "Income Taxes (Topic 740): Intra-Entity Transfers of Assets Other Than Inventory." This new guidance allows an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. It also eliminates the exceptions for an intra-entity transfer of assets other than inventory. This new guidance is effective for fiscal years beginning after December 15, 2017. 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 August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments." This new guidance provides guidance on how to present and classify certain cash receipts and cash payments in the statement of cash flows. This new guidance is effective for fiscal years beginning after December 15, 2017. 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 June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal year beginning December 15, 2018. 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 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 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 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. In May 2016, the FASB issued ASU 2016-12, "Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients." This new ASU provides more specific guidance on certain aspects of Topic 606. Based on our initial evaluation of this new accounting standard, we do not expect that its adoption will have a material impact on our consolidated financial statements, as financial instruments are explicitly scoped out of the standard and nearly all of our income is generated from financial instruments. We will continue evaluating this new standard and caution that any changes in our business or additional amendments to this standard could change our initial assessment. |
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. 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. |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, 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 September 30, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 29,073 $ — $ 29,073 $ (25,048 ) $ (4,025 ) $ — TBAs 1,514 — 1,514 (1,467 ) — 47 Futures 257 — 257 (54 ) — 203 Total Assets $ 30,844 $ — $ 30,844 $ (26,569 ) $ (4,025 ) $ 250 Liabilities (2) Interest rate agreements $ (95,171 ) $ — $ (95,171 ) $ 25,048 $ 70,123 $ — TBAs (4,335 ) — (4,335 ) 1,467 2,772 (96 ) Futures (54 ) — (54 ) 54 — — Loan warehouse debt (837,846 ) — (837,846 ) 837,846 — — Security repurchase agreements (279,559 ) — (279,559 ) 279,559 — — Total Liabilities $ (1,216,965 ) $ — $ (1,216,965 ) $ 1,143,974 $ 72,895 $ (96 ) 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) | 9 Months Ended |
Sep. 30, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Assets and Liabilities of Consolidated VIEs | 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 September 30, 2016 Sequoia Entities (Dollars in Thousands) Residential loans, held-for-investment $ 839,976 Restricted cash 148 Accrued interest receivable 1,030 Other assets 6,245 Total Assets $ 847,399 Accrued interest payable $ 523 Asset-backed securities issued 819,868 Total Liabilities $ 820,391 Number of VIEs 20 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 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 |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three and nine months ended September 30, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Principal balance of loans transferred $ 348,537 $ — $ 693,427 $ 1,038,451 Trading securities retained, at fair value — — — 33,389 AFS securities retained, at fair value 1,839 — 3,673 6,309 MSRs recognized 1,971 — 4,102 7,874 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and nine months ended September 30, 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 September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Proceeds from new transfers $ 356,497 $ — $ 708,539 $ 1,018,312 MSR fees received 3,473 3,817 10,397 11,287 Funding of compensating interest (98 ) (86 ) (254 ) (283 ) Cash flows received on retained securities 6,384 8,190 24,314 31,541 |
Assumptions Related to Assets Retained from 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 September 30, 2016 Three Months Ended September 30, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 24 % 15 % N/A N/A N/A Discount rates 11 % 7 % N/A N/A N/A Credit loss assumptions N/A 0.25 % N/A N/A N/A Nine Months Ended September 30, 2016 Nine Months Ended September 30, 2015 At Date of Securitization MSRs Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rate 22 % 15 % 14 % 8 % 8 % Discount rates 11 % 7 % 11 % 3 % 6 % Credit loss assumptions N/A 0.25 % N/A 0.25 % 0.25 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at September 30, 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) September 30, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 31,271 $ 258,697 Subordinate securities, classified as AFS 237,248 272,715 Mortgage servicing rights 35,609 56,984 Maximum loss exposure (1) $ 304,128 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 6,990,350 $ 7,318,167 Principal balance of delinquent loans 30+ days delinquent 19,775 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 September 30, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood September 30, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at September 30, 2016 $ 35,609 $ 19,098 $ 249,421 Expected life (in years) (2) 5 5 12 Prepayment speed assumption (annual CPR) (2) 25 % 14 % 14 % Decrease in fair value from: 10% adverse change $ 2,414 $ 893 $ 955 25% adverse change 5,687 2,119 2,364 Discount rate assumption (2) 11 % 15 % 5 % Decrease in fair value from: 100 basis point increase $ 861 $ 551 $ 19,395 200 basis point increase 1,674 1,072 36,292 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 11 $ 1,220 25% higher losses N/A 27 3,048 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 $19 million and $31 million of interest only securities at September 30, 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. |
Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at September 30, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) September 30, 2016 Mortgage Backed Securities Senior $ 76,685 Re-REMIC 161,234 Subordinate 430,471 Total Investments in Third-Party Sponsored VIEs $ 668,390 |
Fair Value of Financial Instr33
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and 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 September 30, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 1,187,240 $ 1,187,240 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,274 1,459 1,433 1,635 Residential loans, held-for-investment At fair value 3,122,650 3,122,650 2,813,065 2,813,065 Commercial loans, held-for-sale At fair value — — 39,141 39,141 At lower of cost or fair value 30,400 32,239 — — Commercial loans, held-for-investment At fair value — — 67,657 67,657 At amortized cost — — 295,849 300,824 Trading securities 341,269 341,269 404,011 404,011 Available-for-sale securities 595,641 595,641 829,245 829,245 MSRs 106,009 106,009 191,976 191,976 Cash and cash equivalents 221,372 221,372 220,229 220,229 Restricted cash 2,044 2,044 5,567 5,567 Accrued interest receivable 20,054 20,054 23,290 23,290 Derivative assets 36,880 36,880 16,393 16,393 REO (1) 6,245 6,342 4,896 5,282 Margin receivable (1) 96,650 96,650 83,191 83,191 FHLBC stock (1) 43,393 43,393 34,437 34,437 Guarantee asset (1) 3,627 3,627 5,697 5,697 Pledged collateral (1) 43,802 43,802 53,600 53,600 Liabilities Short-term debt $ 1,117,405 $ 1,117,405 $ 1,855,003 $ 1,855,003 Accrued interest payable 15,518 15,518 8,936 8,936 Margin payable 13,313 13,313 6,415 6,415 Guarantee obligation 23,011 21,968 22,704 22,702 Derivative liabilities 100,117 100,117 62,794 62,794 ABS issued, net (2) Fair value 819,868 819,868 996,820 996,820 Amortized cost — — 52,595 53,137 FHLBC long-term borrowings 1,999,999 1,999,999 1,343,023 1,343,023 Commercial secured borrowings — — 63,152 63,152 Convertible notes, net (2) 481,396 496,719 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,478 83,700 138,443 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 trust preferred securities and subordinated notes, each 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 September 30, 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 September 30, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 4,309,890 $ — $ — $ 4,309,890 Trading securities 341,269 — — 341,269 Available-for-sale securities 595,641 — — 595,641 Derivative assets 36,880 1,771 29,073 6,036 MSRs 106,009 — — 106,009 Pledged collateral 43,802 43,802 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 3,627 — — 3,627 Liabilities Derivative liabilities $ 100,117 $ 4,389 $ 95,171 $ 557 ABS issued 819,868 — — 819,868 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 nine months ended September 30, 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 3,615,003 37,625 187,149 28,888 22,941 — — — — Sales (2,544,595 ) (81,523 ) (241,208 ) (241,232 ) (38,419 ) — — — — Principal paydowns (569,591 ) (476 ) (13,591 ) (47,387 ) — — — (306 ) (155,662 ) Gains (losses) in net income, net 13,126 2,791 4,908 41,537 (70,489 ) (2,070 ) 41,110 2,369 (14,419 ) Unrealized losses in OCI, net — — — (15,410 ) — — — — — Other settlements, net (2) (1,604 ) (65,215 ) — — — — (38,839 ) (65,215 ) (6,871 ) Ending Balance - September 30, 2016 $ 4,309,890 $ — $ 341,269 $ 595,641 $ 106,009 $ 3,627 $ 5,479 $ — $ 819,868 (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. For commercial secured borrowings, the reduction represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes. |
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 September 30, 2016 and 2015 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 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 September 30, 2016 and 2015 Included in Net Income Included in Net Income Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Assets Residential loans at Redwood $ 3,818 $ 16,451 $ 32,202 $ 12,115 Residential loans at consolidated Sequoia entities 9,200 (419 ) (18,864 ) 4,912 Commercial loans — 3,175 — 1,971 Trading securities 8,646 (8,298 ) 978 (13,274 ) Available-for-sale securities — (226 ) (305 ) (226 ) MSRs 6,549 (25,523 ) (36,738 ) (15,989 ) Loan purchase commitments 5,381 — 5,896 — Other assets - Guarantee asset 307 (1,098 ) (2,070 ) (1,799 ) Liabilities Loan purchase commitments $ — $ 9,736 $ — $ 9,806 Commercial secured borrowing — (454 ) — 750 ABS issued 10,522 300 (14,419 ) (6,198 ) |
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 September 30, 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 September 30, 2016 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2016 Gain (Loss) for September 30, 2016 Carrying Value Fair Value Measurements Using Three Months Ended Nine Months Ended (In Thousands) Level 1 Level 2 Level 3 September 30, 2016 September 30, 2016 Assets Residential loans, at lower of cost or fair value $ 954 $ — $ — $ 954 $ 3 $ 36 Commercial loans, at lower of cost or fair value 2,700 — — 2,700 (300 ) (300 ) REO 1,989 — — 1,989 (139 ) (351 ) |
Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and nine months ended September 30, 2016 and 2015 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 650 $ 11,010 $ 11,948 $ 9,892 Residential loan purchase and forward sale commitments 12,021 25,173 35,508 44,482 Commercial loans, at fair value (1) — 3,974 433 10,819 Sequoia securities — — 1,455 (14,359 ) Risk management derivatives, net (3,287 ) (40,110 ) (25,281 ) (43,674 ) Total mortgage banking activities, net (2) $ 9,384 $ 47 $ 24,063 $ 7,160 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood $ (655 ) $ 9,077 $ 22,161 $ 5,170 Trading securities 8,898 (8,784 ) 3,728 (1,587 ) Valuation adjustments on commercial loans held-for-sale (307 ) — (307 ) — Net investments in consolidated Sequoia entities (255 ) (500 ) (2,086 ) (2,277 ) Risk sharing investments 15 (1,098 ) (689 ) (1,799 ) Risk management derivatives, net 4,222 (12,638 ) (41,188 ) (16,386 ) Impairments on AFS securities — (226 ) (305 ) (226 ) Total investment fair value changes, net $ 11,918 $ (14,169 ) $ (18,686 ) $ (17,105 ) MSR Income (Loss), Net MSRs $ 1,380 $ (28,496 ) $ (70,489 ) $ (32,337 ) Risk management derivatives, net (6,336 ) 23,551 55,874 1,736 Total MSR loss, net (3) $ (4,956 ) $ (4,945 ) $ (14,615 ) $ (30,601 ) Total Market Valuation Gains (Losses), Net $ 16,346 $ (19,067 ) $ (9,238 ) $ (40,546 ) (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 September 30, 2016 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average Assets Residential loans, at fair value: Jumbo fixed rate loans $ 2,404,070 Whole loan spread to TBA price $ 3.04 - $ 4.35 $ 4.31 Whole loan spread to swap rate 275 - 325 bps 324 bps Jumbo hybrid loans 160,047 Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate 130 - 275 bps 150 bps Jumbo loans committed to sell 905,797 Whole loan committed sales price $ 101.42 - $ 103.08 $ 102.22 IO multiple 2.8 - 2.8 x 2.8 x Prepayment rate (annual CPR) 15 - 15 % 15 % Senior spread to TBA price $ 2.13 - $ 2.13 $ 2.13 Subordinate spread to swap rate 200 - 857 bps 313 bps Credit support 5 - 5 % 5 % Loans held by consolidated Sequoia entities (1) 839,976 Liability price N/A N/A Residential loans, at lower of cost or fair value 954 Loss severity 15 - 30 % 17 % Trading and AFS securities 936,910 Discount rate 5 - 12 % 7 % Prepayment rate (annual CPR) 1 - 41 % 18 % Default rate 0 - 35 % 2 % Loss severity 20 - 65 % 21 % Credit support 0 - 48 % 3 % MSRs 106,009 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 9 - 25 % 18 % Per loan annual cost to service $ 72 - $ 82 $ 78 Guarantee asset 3,627 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 18 - 18 % 18 % REO 5,396 Loss severity 2 - 100 % 21 % Loan purchase commitments, net (2) 5,479 MSR multiple 0.9 - 4.7 x 2.7 x Fallout rate 2 - 85 % 28 % Whole loan spread to TBA price $ 3.04 - $ 4.20 $ 4.16 Whole loan spread to swap rate - fixed rate 275 - 325 bps 324 bps Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate - hybrid 130 - 275 bps 156 bps Liabilities ABS issued 819,868 Discount rate 5 - 9 % 5 % Prepayment rate (annual CPR) 2 - 20 % 15 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support 0 - 22 % 13 % Footnotes to Table 5.7 (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) | 9 Months Ended |
Sep. 30, 2016 | |
Held-for-sale residential loans | |
Mortgage Loans on Real Estate [Line Items] | |
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 September 30, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of the Residential Loans September 30, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - jumbo $ 1,187,240 $ — $ 1,187,240 At lower of cost or fair value - jumbo 1,274 — 1,274 Total held-for-sale 1,188,514 — 1,188,514 Held-for-investment At fair value - jumbo 2,282,674 839,976 3,122,650 Total Residential Loans $ 3,471,188 $ 839,976 $ 4,311,164 December 31, 2015 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - conforming $ 129,819 $ — $ 129,819 At 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 At 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) | 9 Months Ended |
Sep. 30, 2016 | |
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 September 30, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) September 30, 2016 December 31, 2015 Held-for-sale At fair value $ — $ 39,141 At lower of cost or fair value 30,400 — Held-for-investment At fair value — 67,657 At amortized cost — 295,849 Total Commercial Loans $ 30,400 $ 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 September 30, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) September 30, 2016 December 31, 2015 Principal balance $ — $ 307,047 Unamortized discount, net — (4,096 ) Recorded investment — 302,951 Allowance for loan losses — (7,102 ) Carrying Value $ — $ 295,849 |
Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for commercial loan losses for the three and nine months ended September 30, 2016 and 2015 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 859 $ 7,401 $ 7,102 $ 7,456 Reversal of provision for loan losses (859 ) (60 ) (7,102 ) (115 ) Balance at End of Period $ — $ 7,341 $ — $ 7,341 |
Loans Collectively Evaluated for Impairment | The following table summarizes the balances for loans collectively evaluated for impairment at September 30, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) September 30, 2016 December 31, 2015 Principal balance $ — $ 307,047 Recorded investment — 302,951 Related allowance — 7,102 |
Commercial loans, held-for-investment | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Principal Balance of 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) September 30, 2016 December 31, 2015 Pass $ — $ 272,768 Watch list — 34,279 Workout — — Total Commercial Loans Held-for-Investment $ — $ 307,047 |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities by Type | The following table presents the fair values of our real estate securities by type at September 30, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2016 December 31, 2015 Trading $ 341,269 $ 404,011 Available-for-sale 595,641 829,245 Total Real Estate Securities $ 936,910 $ 1,233,256 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by collateral type at September 30, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Collateral Type (In Thousands) September 30, 2016 December 31, 2015 Senior Securities Prime $ 19,098 $ 248,570 Non-prime 5,394 5,781 Total Senior Securities 24,492 254,351 Subordinate Securities Prime mezzanine 194,832 136,140 Prime subordinate 121,945 13,520 Total Subordinate Securities 316,777 149,660 Total Trading Securities $ 341,269 $ 404,011 |
Available-for-Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by collateral type at September 30, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Collateral Type (In Thousands) September 30, 2016 December 31, 2015 Senior Securities Prime $ 63,469 $ 210,993 Non-prime 7,821 68,258 Total Senior Securities 71,290 279,251 Re-REMIC Securities 161,234 165,064 Subordinate Securities Prime mezzanine 177,468 224,624 Prime subordinate 185,649 160,306 Total Subordinate Securities 363,117 384,930 Total AFS Securities $ 595,641 $ 829,245 |
Carrying Value of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at September 30, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities September 30, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 68,288 $ 9,372 $ 180,754 $ 460,981 $ 719,395 Credit reserve (1,483 ) (641 ) (10,452 ) (35,037 ) (47,613 ) Unamortized discount, net (6,116 ) (1,635 ) (59,146 ) (135,829 ) (202,726 ) Amortized cost 60,689 7,096 111,156 290,115 469,056 Gross unrealized gains 4,860 725 50,078 74,041 129,704 Gross unrealized losses (2,080 ) — — (1,039 ) (3,119 ) Carrying Value $ 63,469 $ 7,821 $ 161,234 $ 363,117 $ 595,641 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 and nine months ended September 30, 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 September 30, 2016 Nine Months Ended September 30, 2016 Credit Reserve Unamortized Discount, Net Credit Unamortized (In Thousands) Beginning balance $ 44,943 $ 207,574 $ 48,869 $ 237,107 Amortization of net discount — (6,124 ) — (20,531 ) Realized credit losses (329 ) — (3,397 ) — Acquisitions 2,136 2,982 7,381 9,018 Sales, calls, other — (843 ) (4,382 ) (24,031 ) Impairments — — 305 — Transfers to (release of) credit reserves, net 863 (863 ) (1,163 ) 1,163 Ending Balance $ 47,613 $ 202,726 $ 47,613 $ 202,726 |
Components of Fair Value of Available for Sale Securities Securities by Holding Periods | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at September 30, 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) September 30, 2016 $ 3,117 $ (127 ) $ 2,990 $ 67,091 $ (2,992 ) $ 64,099 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 September 30, 2016 . Table 8.7 – Significant Valuation Assumptions September 30, 2016 Range for Securities Prepayment rates 8% - 20% Projected losses —% - 9% |
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 September 30, 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 September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 28,198 $ 32,696 $ 28,277 $ 33,849 Additions Initial credit impairments — 226 291 226 Reductions Securities sold, or expected to sell — — (261 ) (348 ) Securities with no outstanding principal at period end — (446 ) (109 ) (1,251 ) Balance at End of Period $ 28,198 $ 32,476 $ 28,198 $ 32,476 |
Gross Realized Gains and Losses on Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2016 and 2015 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Gross realized gains - sales $ 1,990 $ 4,053 $ 22,395 $ 14,315 Gross realized gains - calls — 1,607 1,210 1,967 Gross realized losses - sales — — (2,293 ) — Gross realized losses - calls — (112 ) — (112 ) Total Realized Gains on Sales and Calls of AFS Securities, net $ 1,990 $ 5,548 $ 21,312 $ 16,170 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Transfers and Servicing [Abstract] | |
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 at September 30, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans September 30, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 69,578 $ 8,422,222 $ 133,838 $ 12,560,533 Jumbo Loans 36,431 5,494,950 58,138 5,705,939 Total Mortgage Servicing Rights $ 106,009 $ 13,917,172 $ 191,976 $ 18,266,472 |
Activity for Mortgage Servicing Rights | The following table presents activity for MSRs for the three and nine months ended September 30, 2016 and 2015 . Table 9.2 – Activity for MSRs Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Balance at beginning of period $ 110,046 $ 168,462 $ 191,976 $ 139,293 Additions 3,443 22,760 22,941 73,976 Sales (8,860 ) — (38,419 ) (18,206 ) Changes in fair value due to: Changes in assumptions (1) 7,085 (23,786 ) (52,723 ) (18,653 ) Other changes (2) (5,705 ) (4,710 ) (17,766 ) (13,684 ) Balance at End of Period $ 106,009 $ 162,726 $ 106,009 $ 162,726 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to receipt of expected cash flows. |
MSR Additions | The following table details the retention and purchase of MSRs during the three and nine months ended September 30, 2016 . Table 9.3 – MSR Additions (In Thousands) Three Months Ended September 30, 2016 Nine Months Ended September 30, 2016 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 1,971 $ 328,227 $ 4,102 $ 638,469 From loan sales 21 3,510 145 21,002 Total jumbo MSR additions 1,992 331,737 4,247 659,471 Conforming MSR additions: From loan sales $ — $ — $ 3,380 $ 316,290 From purchases 1,451 216,544 15,314 1,629,762 Total conforming MSR additions 1,451 216,544 18,694 1,946,052 Total MSR Additions $ 3,443 $ 548,281 $ 22,941 $ 2,605,523 |
Components of Mortgage Servicing Rights Income (Loss), net | The following table presents the components of our MSR income for the three and nine months ended September 30, 2016 and 2015 . Table 9.4 – Components of MSR Income (Loss), net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Servicing income Income $ 9,943 $ 10,028 $ 32,199 $ 28,199 Cost of sub-servicer (1,217 ) (1,313 ) (4,958 ) (3,704 ) Net servicing income 8,726 8,715 27,241 24,495 Market valuation changes of MSRs 1,380 (28,496 ) (70,489 ) (32,337 ) Market valuation changes of associated derivatives (1) (6,336 ) 23,551 55,874 1,736 MSR provision for repurchases — (221 ) 208 (439 ) MSR Income (Loss), Net $ 3,770 $ 3,549 $ 12,834 $ (6,545 ) (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) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
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 September 30, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 16,839 $ 580,000 $ 2,590 $ 658,000 TBAs 1,514 555,000 2,734 1,028,500 Futures 257 130,000 — — Swaptions 12,234 495,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 6,036 892,901 4,671 764,161 Total Assets $ 36,880 $ 2,652,901 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (70,672 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (24,499 ) 966,500 (10,134 ) 1,039,500 TBAs (4,335 ) 1,000,000 (2,519 ) 1,450,500 Futures (54 ) 15,000 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (557 ) 219,300 (1,464 ) 375,815 Total Liabilities $ (100,117 ) $ 2,340,300 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (63,237 ) $ 4,993,201 $ (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 and nine months ended September 30, 2016 and 2015 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Net interest expense on cash flows hedges $ (1,314 ) $ (1,466 ) $ (4,049 ) $ (4,425 ) Realized net losses reclassified from other comprehensive income (18 ) (19 ) (55 ) (77 ) Total Interest Expense $ (1,332 ) $ (1,485 ) $ (4,104 ) $ (4,502 ) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Other Assets | Other assets at September 30, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) September 30, 2016 December 31, 2015 Margin receivable $ 96,650 $ 83,191 Pledged collateral 43,802 53,600 FHLBC stock 43,393 34,437 REO 6,245 4,896 Guarantee asset 3,627 5,697 Fixed assets and leasehold improvements (1) 2,850 4,117 Prepaid expenses 2,017 3,640 Investment receivable 1,525 3,870 Other 7,677 4,438 Total Other Assets $ 207,786 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $5 million and accumulated depreciation of $2 million at September 30, 2016 . |
Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at September 30, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) September 30, 2016 December 31, 2015 Guarantee obligations $ 23,011 $ 22,704 Margin payable 13,313 6,415 Accrued compensation 12,674 17,527 Residential loan and MSR repurchase reserve 6,617 6,403 Accrued operating expenses 5,958 1,845 Restructuring liabilities 3,667 — Legal reserve 2,000 2,000 Current accounts payable 1,292 4,764 Other 1,176 8,239 Total Other Liabilities $ 69,708 $ 69,897 |
Activities of Restructuring Liabilities | The following table presents our restructuring activities and the associated liabilities during the three and nine months ended September 30, 2016 . Table 11.3 – Activities of Restructuring Liabilities Three Months Ended September 30, 2016 Nine Months Ended September 30, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ 3,387 $ 772 $ 4,159 $ — $ — $ — Costs incurred and expensed — 4 4 8,793 1,752 10,545 Costs paid/settled (34 ) (462 ) (496 ) (1,954 ) (1,438 ) (3,392 ) Adjustments (1) — — — (3,486 ) — (3,486 ) Ending Balance $ 3,353 $ 314 $ 3,667 $ 3,353 $ 314 $ 3,667 (1) Amount represents equity compensation expense recorded during the three and nine months ended September 30, 2016 related to equity awards that were accelerated, and will be distributed in future periods. |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Short-Term Debt Facilities | 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 September 30, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities September 30, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 837,846 $ 1,325,000 2.07 % 12/2016-8/2017 145 Commercial loan warehouse 1 — 150,000 N/A 10/2016 N/A Real estate securities repo 7 279,559 — 1.79 % 10/2016-12/2016 26 Total 12 $ 1,117,405 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. |
Short-Term Debt by Collateral Type and Remaining Maturities | The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at September 30, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities September 30, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 434,331 $ 403,515 $ 837,846 Real estate securities 210,228 69,331 — 279,559 Total Short-Term Debt $ 210,228 $ 503,662 $ 403,515 $ 1,117,405 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | The carrying values of ABS issued by consolidated securitization entities we sponsored at September 30, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued September 30, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 935,565 $ — $ 935,565 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 4,383 — 4,383 4,672 — 4,672 Market valuation adjustments (120,080 ) — (120,080 ) (116,637 ) — (116,637 ) Total ABS issued 819,868 — 819,868 996,820 53,137 1,049,957 Deferred debt issuance costs — — — — (542 ) (542 ) ABS Issued, Net (1) $ 819,868 $ — $ 819,868 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.14% to 1.94% — % 0.41% to 2.21% 5.62 % Stated maturities 2024 - 2036 N/A 2017 - 2037 2018 Number of series 20 — 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. |
Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at September 30, 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) September 30, 2016 December 31, 2015 Sequoia $ 523 $ 555 Commercial Securitization — 249 Total Accrued Interest Payable on ABS Issued $ 523 $ 804 |
Collateral for ABS Issued | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at September 30, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued September 30, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 839,976 $ — $ 839,976 $ 1,021,870 $ — $ 1,021,870 Commercial loans — — — — 166,016 166,016 Restricted cash 148 — 148 228 137 365 Accrued interest receivable 1,030 — 1,030 1,131 1,297 2,428 REO 6,245 — 6,245 4,895 — 4,895 Total Collateral for ABS Issued $ 847,399 $ — $ 847,399 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Maturities of FHLBC Borrowings by Year | The following table presents maturities of our FHLBC borrowings by year at September 30, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) September 30, 2016 2024 $ 470,171 2025 887,639 2026 642,189 Total FHLBC Borrowings $ 1,999,999 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments by Year | The following table presents our future lease commitments at September 30, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) September 30, 2016 2016 (3 months) $ 571 2017 2,301 2018 1,268 2019 642 2020 581 2021 and thereafter 48 Total Lease Commitments $ 5,411 |
Equity (Tables)
Equity (Tables) | 9 Months Ended |
Sep. 30, 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 and nine months ended September 30, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended September 30, 2016 Three Months Ended September 30, 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 $ 116,849 $ (70,518 ) $ 179,659 $ (38,965 ) Other comprehensive income (loss) before reclassifications 9,038 647 (5,673 ) (12,049 ) Amounts reclassified from other accumulated comprehensive income (1,319 ) 18 (3,270 ) 19 Net current-period other comprehensive income (loss) 7,719 665 (8,943 ) (12,030 ) Balance at End of Period $ 124,568 $ (69,853 ) $ 170,716 $ (50,995 ) Nine Months Ended September 30, 2016 Nine Months Ended September 30, 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) 5,195 (22,545 ) (5,701 ) (5,023 ) Amounts reclassified from other (19,983 ) 55 (10,320 ) 77 Net current-period other comprehensive income (loss) (14,788 ) (22,490 ) (16,021 ) (4,946 ) Balance at End of Period $ 124,568 $ (69,853 ) $ 170,716 $ (50,995 ) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and nine months ended September 30, 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 September 30, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ — $ 198 Gain on sale of AFS securities Realized gains, net (1,319 ) (3,468 ) $ (1,319 ) $ (3,270 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 18 $ 19 $ 18 $ 19 Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Nine Months Ended September 30, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ 305 $ 198 Gain on sale of AFS securities Realized gains, net (20,288 ) (10,518 ) $ (19,983 ) $ (10,320 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 55 $ 77 $ 55 $ 77 (1) For the three months ended September 30, 2016 , there were no other-than-temporary impairments. For the nine months ended September 30, 2016 , other-than-temporary impairments were $3 million , of which $0.3 million were recognized through our consolidated statements of income and $2 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three and nine months ended September 30, 2016 and 2015 . Table 16.3 – Basic and Diluted Earnings per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2016 2015 2016 2015 Basic Earnings per Common Share: Net income attributable to Redwood $ 52,553 $ 19,164 $ 105,897 $ 61,029 Less: Dividends and undistributed earnings allocated to participating securities (1,485 ) (553 ) (3,040 ) (1,928 ) Net income allocated to common shareholders $ 51,068 $ 18,611 $ 102,857 $ 59,101 Basic weighted average common shares outstanding 76,680,183 83,787,533 76,827,026 83,696,461 Basic Earnings per Common Share $ 0.67 $ 0.22 $ 1.34 $ 0.71 Diluted Earnings per Common Share: Net income attributable to Redwood $ 52,553 $ 19,164 $ 105,897 $ 61,029 Less: Dividends and undistributed earnings allocated to participating securities (1,439 ) (553 ) (3,226 ) (1,928 ) Add back: Interest expense on convertible notes for the period, net of tax 6,115 — 18,263 — Net income allocated to common shareholders $ 57,229 $ 18,611 $ 120,934 $ 59,101 Weighted average common shares outstanding 76,680,183 83,787,533 76,827,026 83,696,461 Net effect of dilutive equity awards 54,696 1,287,171 18,665 1,642,535 Net effect of assumed convertible notes conversion to common shares 21,096,738 — 21,145,987 — Diluted weighted average common shares outstanding 97,831,617 85,074,704 97,991,678 85,338,996 Diluted Earnings per Common Share $ 0.58 $ 0.22 $ 1.23 $ 0.69 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Costs by Award Type | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $15 million at September 30, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 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 1,753 4,641 — 124 6,518 Equity grant forfeitures (1,351 ) (1,167 ) (2,209 ) — (4,727 ) Equity compensation expense (451 ) (7,922 ) (2,134 ) (93 ) (10,600 ) Unrecognized Compensation Cost at End of Period $ 2,344 $ 9,944 $ 2,480 $ 31 $ 14,799 |
Mortgage Banking Activities, 46
Mortgage Banking Activities, Net (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three and nine months ended September 30, 2016 and 2015 . Table 18.1 – Mortgage Banking Activities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Residential Mortgage Banking Activities, Net: Changes in fair value of: Residential loans, at fair value (1) $ 12,671 $ 36,183 $ 47,456 $ 54,375 Sequoia securities — — 1,455 (14,359 ) Risk management derivatives (2) (3,287 ) (37,029 ) (22,743 ) (35,842 ) Other income (expense), net (3) 382 1,177 606 3,209 Total residential mortgage banking activities, net 9,766 331 26,774 7,383 Commercial Mortgage Banking Activities, Net: Changes in fair value of: Commercial loans, at fair value — 3,974 433 10,819 Risk management derivatives (2) — (3,081 ) (2,538 ) (7,832 ) Other fee income — 109 43 336 Total commercial mortgage banking activities, net — 1,002 (2,062 ) 3,323 Mortgage Banking Activities, Net $ 9,766 $ 1,333 $ 24,712 $ 10,706 (1) Includes changes in fair value for associated loan purchase and forward sale commitments. (2) Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of 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) | 9 Months Ended |
Sep. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments Fair Value Changes | The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the three and nine months ended September 30, 2016 and 2015 . Table 19.1 – Investment Fair Value Changes Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment, at Redwood $ (655 ) $ 9,077 $ 22,161 $ 5,170 Trading securities 8,898 (8,784 ) 3,728 (1,587 ) Net investments in consolidated Sequoia entities (255 ) (500 ) (2,086 ) (2,277 ) Risk sharing investments 15 (1,098 ) (689 ) (1,799 ) Risk management derivatives 4,222 (12,638 ) (41,188 ) (16,386 ) Valuation adjustments on commercial loans held-for-sale (307 ) — (307 ) — Impairments on AFS securities — (226 ) (305 ) (226 ) Investment Fair Value Changes, Net $ 11,918 $ (14,169 ) $ (18,686 ) $ (17,105 ) |
Operating Expenses (Tables)
Operating Expenses (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of our operating expenses for the three and nine months ended September 30, 2016 and 2015 are presented in the following table. Table 20.1 – Components of Operating Expenses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2016 2015 2016 2015 Fixed compensation expense $ 5,253 $ 8,642 $ 19,022 $ 27,083 Variable compensation expense 5,802 3,567 11,824 11,135 Equity compensation expense 2,031 2,835 7,117 9,112 Total compensation expense 13,086 15,044 37,963 47,330 Systems and consulting 2,692 2,355 7,274 6,718 Loan acquisition costs (1) 1,393 2,995 4,680 7,864 Office costs 1,056 1,314 3,501 3,912 Accounting and legal 721 1,047 3,043 3,754 Corporate costs 478 484 1,589 1,521 Other operating expenses 925 1,258 2,367 3,679 Operating expenses before restructuring charges 20,351 24,497 60,417 74,778 Restructuring charges (2) 4 — 10,545 — Total Operating Expenses $ 20,355 $ 24,497 $ 70,962 $ 74,778 (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 nine months ended September 30, 2016 , restructuring charges included $5 million of fixed compensation expense and $4 million of equity compensation expense related to one-time termination benefits, as well as $2 million of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See Note 11 for further discussion on restructuring charges. |
Taxes (Tables)
Taxes (Tables) | 9 Months Ended |
Sep. 30, 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 September 30, 2016 and 2015 . Table 21.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2016 September 30, 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 (21.7 )% (36.5 )% Change in valuation allowance 6.6 % 20.9 % Dividends paid deduction (24.9 )% (45.8 )% Effective Tax Rate 1.2 % (20.2 )% |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Segment Reporting [Abstract] | |
Business Segment Financial Information | The following tables present financial information by segment for the three and nine months ended September 30, 2016 and 2015 . Table 22.1 – Business Segment Financial Information Three Months Ended September 30, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 8,831 $ 39,981 $ 7,195 $ 4,899 $ 60,906 Interest expense (3,826 ) (4,471 ) (542 ) (12,758 ) (21,597 ) Net interest income (loss) 5,005 35,510 6,653 (7,859 ) 39,309 Reversal of provision for loan losses — — 859 — 859 Non-interest income Mortgage banking activities, net 9,766 — — — 9,766 MSR income (loss), net — 3,770 — — 3,770 Investment fair value changes, net — 11,973 203 (258 ) 11,918 Other income — 1,643 — — 1,643 Realized gains, net — 1,991 4,624 — 6,615 Total non-interest income, net 9,766 19,377 4,827 (258 ) 33,712 Direct operating expenses (1) (5,807 ) (2,498 ) (253 ) (11,797 ) (20,355 ) Provision for income taxes (240 ) (732 ) — — (972 ) Segment Contribution $ 8,724 $ 51,657 $ 12,086 $ (19,914 ) Net Income $ 52,553 Non-cash amortization income (expense) $ (28 ) $ 6,124 $ (1 ) $ (983 ) $ 5,112 Three Months Ended September 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 12,115 $ 34,074 $ 11,191 $ 6,104 $ 63,484 Interest expense (4,313 ) (2,660 ) (3,502 ) (13,400 ) (23,875 ) Net interest income (loss) 7,802 31,414 7,689 (7,296 ) 39,609 Reversal of provision for loan losses — — 60 — 60 Non-interest income Mortgage banking activities, net 331 — 1,002 — 1,333 MSR income (loss), net — 3,549 — — 3,549 Investment fair value changes, net — (13,622 ) — (547 ) (14,169 ) Other income — 327 — — 327 Realized gains, net — 5,548 — — 5,548 Total non-interest income, net 331 (4,198 ) 1,002 (547 ) (3,412 ) Direct operating expenses (11,278 ) (1,311 ) (3,136 ) (8,772 ) (24,497 ) (Provision for) benefit from income taxes 2,690 4,082 (389 ) 1,021 7,404 Segment Contribution $ (455 ) $ 29,987 $ 5,226 $ (15,594 ) Net Income $ 19,164 Non-cash amortization income (expense) $ (45 ) $ 9,115 $ (61 ) $ (1,007 ) $ 8,002 Hedging allocations (1,683 ) 1,683 — — — Nine Months Ended September 30, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 24,610 $ 120,812 $ 29,927 $ 14,672 $ 190,021 Interest expense (10,719 ) (14,076 ) (5,001 ) (38,195 ) (67,991 ) Net interest income (loss) 13,891 106,736 24,926 (23,523 ) 122,030 Reversal of provision for loan losses — — 7,102 — 7,102 Non-interest income Mortgage banking activities, net 26,774 — (2,062 ) — 24,712 MSR income (loss), net — 12,834 — — 12,834 Investment fair value changes, net — (16,913 ) 408 (2,181 ) (18,686 ) Other income — 4,130 27 — 4,157 Realized gains, net — 21,312 4,433 292 26,037 Total non-interest income, net 26,774 21,363 2,806 (1,889 ) 49,054 Direct operating expenses (1) (17,175 ) (6,517 ) (2,524 ) (44,746 ) (70,962 ) Provision for income taxes (240 ) (1,087 ) — — (1,327 ) Segment Contribution $ 23,250 $ 120,495 $ 32,310 $ (70,158 ) Net Income $ 105,897 Non-cash amortization income (expense) $ (102 ) $ 20,531 $ (24 ) $ (2,978 ) $ 17,427 Nine Months Ended September 30, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 37,886 $ 98,335 $ 34,784 $ 19,598 $ 190,603 Interest expense (11,389 ) (8,137 ) (10,488 ) (40,830 ) (70,844 ) Net interest income (loss) 26,497 90,198 24,296 (21,232 ) 119,759 Reversal of provision for loan losses — — 115 — 115 Non-interest income Mortgage banking activities, net 7,383 — 3,323 — 10,706 MSR income (loss), net — (6,545 ) — — (6,545 ) Investment fair value changes, net — (14,745 ) — (2,360 ) (17,105 ) Other income — 2,435 — — 2,435 Realized gains, net — 16,170 — — 16,170 Total non-interest income, net 7,383 (2,685 ) 3,323 (2,360 ) 5,661 Direct operating expenses (33,214 ) (3,600 ) (9,638 ) (28,326 ) (74,778 ) Benefit from income taxes 3,562 3,824 321 2,565 10,272 Segment Contribution $ 4,228 $ 87,737 $ 18,417 $ (49,353 ) Net Income $ 61,029 Non-cash amortization income (expense) $ (135 ) $ 28,277 $ (188 ) $ (2,984 ) $ 24,970 Hedging allocations 1,120 (1,070 ) — (50 ) — (1) For the three and nine months ended September 30, 2016 , charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations, included in the direct operating expense line item, are presented under the Corporate/Other column. See Note 11 for further discussion of these restructuring charges. |
Components of Corporate and Other | The following tables present the components of Corporate/Other for the three and nine months ended September 30, 2016 and 2015 . Table 22.2 – Components of Corporate/Other Three Months Ended September 30, 2016 2015 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 4,837 $ 62 $ 4,899 $ 6,098 $ 6 $ 6,104 Interest expense (3,274 ) (9,484 ) (12,758 ) (3,842 ) (9,558 ) (13,400 ) Net interest income (loss) 1,563 (9,422 ) (7,859 ) 2,256 (9,552 ) (7,296 ) Non-interest income Investment fair value changes, net (255 ) (3 ) (258 ) (501 ) (46 ) (547 ) Total non-interest income, net (255 ) (3 ) (258 ) (501 ) (46 ) (547 ) Direct operating expenses — (11,797 ) (11,797 ) — (8,772 ) (8,772 ) Provision for income taxes — — — — 1,021 1,021 Total $ 1,308 $ (21,222 ) $ (19,914 ) $ 1,755 $ (17,349 ) $ (15,594 ) Nine Months Ended September 30, 2016 2015 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 14,525 $ 147 $ 14,672 $ 19,578 $ 20 $ 19,598 Interest expense (9,842 ) (28,353 ) (38,195 ) (12,372 ) (28,458 ) (40,830 ) Net interest income (loss) 4,683 (28,206 ) (23,523 ) 7,206 (28,438 ) (21,232 ) Non-interest income Investment fair value changes, net (2,086 ) (95 ) (2,181 ) (2,277 ) (83 ) (2,360 ) Realized gains, net — 292 292 — — — Total non-interest income, net (2,086 ) 197 (1,889 ) (2,277 ) (83 ) (2,360 ) Direct operating expenses — (44,746 ) (44,746 ) — (28,326 ) (28,326 ) Provision for income taxes — — — — 2,565 2,565 Total $ 2,597 $ (72,755 ) $ (70,158 ) $ 4,929 $ (54,282 ) $ (49,353 ) (1) Legacy consolidated VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
Supplemental Information by Segment | The following table presents supplemental information by segment at September 30, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total September 30, 2016 Residential loans $ 1,188,514 $ 2,282,674 $ — $ 839,976 $ 4,311,164 Commercial loans — — 30,400 — 30,400 Real estate securities — 864,300 72,610 — 936,910 Mortgage servicing rights — 106,009 — — 106,009 Total assets 1,215,240 3,470,013 103,507 1,083,859 5,872,619 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 (Details)
Organization (Details) | 9 Months Ended |
Sep. 30, 2016Segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 3 |
Summary of Significant Accoun52
Summary of Significant Accounting Policies - Debt Issuance Costs (Details) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Asset-backed securities issued | ||
Debt Instrument [Line Items] | ||
Deferred debt issuance costs | $ 0 | $ 542,000 |
Long-term debt | ||
Debt Instrument [Line Items] | ||
Deferred debt issuance costs | $ 7,891,000 | $ 10,438,000 |
Summary of Significant Accoun53
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | $ 30,844 | $ 11,722 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets Presented in Consolidated Balance Sheet | [1] | 36,880 | 16,393 |
Total Derivative Assets, Excluding Loan Purchase Commitments | 30,844 | 11,722 | |
Gross Amounts Not Offset in Consolidated Balance Sheet - Financial Instruments | (26,569) | (7,549) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | (4,025) | (2,930) | |
Net Amount | 250 | 1,243 | |
Gross Amounts of Recognized Liabilities, Including Securities Sold Under Repurchase Agreements | (1,216,965) | (1,778,711) | |
Gross Amounts Offset in Consolidated Balance Sheet, Including Securities Sold Under Agreements to Repurchase | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | [1] | (100,117) | (62,794) |
Derivative Liability, Excluding Loan Purchase Commitments, Including Securities Sold Under Agreements To Repurchase | (1,216,965) | (1,778,711) | |
Derivative, Including Securities Sold Under Agreements To Repurchase, Collateral, Right To Reclaim Securities | 1,143,974 | 1,724,930 | |
Derivative, Including Securities Sold Under Agreements To Repurchase, Collateral, Right To Reclaim Cash | 72,895 | 53,167 | |
Derivative Liability, Including Securities Sold Under Agreements To Repurchase, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | (96) | (614) | |
Interest rate agreements | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 29,073 | 7,781 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 29,073 | 7,781 | |
Gross Amounts Not Offset in Consolidated Balance Sheet - Financial Instruments | (25,048) | (5,651) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | (4,025) | (1,917) | |
Net Amount | 0 | 213 | |
Gross Amounts of Recognized Liabilities | (95,171) | (58,366) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (95,171) | (58,366) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 25,048 | 5,651 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 70,123 | 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 Pledged | (720) | ||
Net Amount | 487 | ||
TBAs | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 1,514 | 2,734 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,514 | 2,734 | |
Gross Amounts Not Offset in Consolidated Balance Sheet - Financial Instruments | (1,467) | (1,898) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | (293) | |
Net Amount | 47 | 543 | |
Gross Amounts of Recognized Liabilities | (4,335) | (2,519) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (4,335) | (2,519) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,467 | 1,898 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 2,772 | 7 | |
Net Amount | (96) | (614) | |
Futures | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 257 | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets Presented in Consolidated Balance Sheet | 257 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet - Financial Instruments | (54) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | ||
Net Amount | 203 | ||
Gross Amounts of Recognized Liabilities | (54) | (445) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (54) | (445) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 54 | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 445 | |
Net Amount | 0 | 0 | |
Loan warehouse debt | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts Offset in Consolidated Balance Sheet - Under Repurchase Agreements | (837,846) | (1,023,740) | |
Gross Amounts Offset in Consolidated Balance Sheet - Under Repurchase Agreement | 0 | 0 | |
Securities Sold under Agreements to Repurchase | (837,846) | (1,023,740) | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | 837,846 | 1,023,740 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | 0 | 0 | |
Security repurchase agreements | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts Offset in Consolidated Balance Sheet - Under Repurchase Agreements | (279,559) | (693,641) | |
Gross Amounts Offset in Consolidated Balance Sheet - Under Repurchase Agreement | 0 | 0 | |
Securities Sold under Agreements to Repurchase | (279,559) | (693,641) | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | 279,559 | 693,641 | |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Cash | 0 | 0 | |
Securities Sold under Agreements to Repurchase, Amount Offset Against Collateral | $ 0 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) | 45 Months Ended |
Sep. 30, 2016Entity | |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of securitization entities to which asset transferred | 28 |
Principles of Consolidation -55
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016USD ($)Investment | Dec. 31, 2015USD ($)Investment | |
Variable Interest Entity [Line Items] | ||
Assets | $ 847,399 | $ 1,195,574 |
Liabilities | 820,391 | $ 1,050,861 |
Number of VIEs | Investment | 22 | |
Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 847,399 | $ 1,028,124 |
Liabilities | $ 820,391 | $ 997,475 |
Number of VIEs | Investment | 20 | 21 |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 167,450 | |
Liabilities | $ 53,386 | |
Number of VIEs | Investment | 1 | |
Residential loans held-for-investment at Redwood | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 1,021,870 | |
Residential loans held-for-investment at Redwood | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 839,976 | 1,021,870 |
Residential loans held-for-investment at Redwood | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Commercial loans, held-for-investment | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Commercial loans, held-for-investment | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 365 | |
Restricted cash | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 148 | 228 |
Restricted cash | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 137 | |
Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 2,428 | |
Accrued interest receivable | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,030 | 1,131 |
Accrued interest receivable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,297 | |
Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 4,895 | |
Other assets | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 6,245 | 4,895 |
Other assets | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 804 | |
Accrued interest payable | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 523 | 555 |
Accrued interest payable | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 249 | |
Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Accrued expenses and other liabilities | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Accrued expenses and other liabilities | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | |
Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,049,957 | |
Asset-backed securities issued | Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 819,868 | 996,820 |
Asset-backed securities issued | Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 53,137 |
Principles of Consolidation - S
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Variable Interest Entity [Line Items] | ||||
MSRs recognized | $ 7,679 | $ 52,297 | ||
Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance of loans transferred | $ 348,537 | $ 0 | 693,427 | 1,038,451 |
MSRs recognized | 1,971 | 0 | 4,102 | 7,874 |
Variable Interest Entity, Not Primary Beneficiary | Trading securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | 0 | 0 | 0 | 33,389 |
Variable Interest Entity, Not Primary Beneficiary | AFS securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | $ 1,839 | $ 0 | $ 3,673 | $ 6,309 |
Principles of Consolidation - C
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Variable Interest Entity [Line Items] | ||||
Proceeds from new transfers | $ 356,497 | $ 0 | $ 708,539 | $ 1,018,312 |
MSR fees received | 3,473 | 3,817 | 10,397 | 11,287 |
Funding of compensating interest | (98) | (86) | (254) | (283) |
Cash flows received on retained securities | $ 6,384 | $ 8,190 | $ 24,314 | $ 31,541 |
Principles of Consolidation -58
Principles of Consolidation - Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Sep. 30, 2015 | |
MSRs | |||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |||
Prepayment rate | 24.00% | 22.00% | 14.00% |
Discount rates | 11.00% | 11.00% | 11.00% |
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 | 15.00% | 15.00% | 8.00% |
Discount rates | 7.00% | 7.00% | 6.00% |
Credit loss assumptions | 0.25% | 0.25% | 0.25% |
Senior Securities | |||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | |||
Prepayment rate | 8.00% | ||
Discount rates | 3.00% | ||
Credit loss assumptions | 0.25% |
Principles of Consolidation -59
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 304,128 | $ 588,396 |
Principal balance of loans outstanding | 6,990,350 | 7,318,167 |
Principal balance of delinquent loans 30 days delinquent | 19,775 | 18,300 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 31,271 | 258,697 |
Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 237,248 | 272,715 |
MSRs | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 35,609 | $ 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 (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Decrease in fair value from: | ||
Discount rate assumption (percent) | 1.00% | 1.00% |
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed (percent) | 25.00% | 25.00% |
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
Variable Interest Entity, Not Primary Beneficiary | MSRs | ||
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 | $ 35,609 | $ 56,984 |
Expected life (in years) | 5 years | 7 years |
Prepayment speed assumption (annual CPR) (percent) | 25.00% | 11.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,414 | $ 2,868 |
25% adverse change | $ 5,687 | $ 6,119 |
Discount rate assumption (percent) | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 861 | $ 2,711 |
200 basis point increase | 1,674 | 4,745 |
Variable Interest Entity, Not Primary Beneficiary | 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 | $ 19,098 | $ 248,570 |
Expected life (in years) | 5 years | 5 years |
Prepayment speed assumption (annual CPR) (percent) | 14.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | $ 893 | $ 2,042 |
25% adverse change | $ 2,119 | $ 4,810 |
Discount rate assumption (percent) | 15.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 551 | $ 10,029 |
200 basis point increase | $ 1,072 | $ 19,365 |
Credit loss assumption (percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 11 | $ 35 |
25% higher losses | 27 | 86 |
Variable Interest Entity, Not Primary Beneficiary | 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 | 19,000 | 31,000 |
Variable Interest Entity, Not Primary Beneficiary | 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 | $ 249,421 | $ 282,842 |
Expected life (in years) | 12 years | 12 years |
Prepayment speed assumption (annual CPR) (percent) | 14.00% | 12.00% |
Decrease in fair value from: | ||
10% adverse change | $ 955 | $ 901 |
25% adverse change | $ 2,364 | $ 2,278 |
Discount rate assumption (percent) | 5.00% | 6.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 19,395 | $ 21,981 |
200 basis point increase | $ 36,292 | $ 41,156 |
Credit loss assumption (percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 1,220 | $ 1,244 |
25% higher losses | $ 3,048 | $ 3,129 |
Principles of Consolidation -61
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - Real estate securities $ in Thousands | Sep. 30, 2016USD ($) |
Variable Interest Entity [Line Items] | |
Assets | $ 668,390 |
Senior | |
Variable Interest Entity [Line Items] | |
Assets | 76,685 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 161,234 |
Subordinate | |
Variable Interest Entity [Line Items] | |
Assets | $ 430,471 |
Fair Value of Financial Instr62
Fair Value of Financial Instruments - Additional Information (Details) $ in Millions | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016USD ($) | Sep. 30, 2016USD ($) | |
Subordinate Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 64 | $ 187 |
Residential loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 1,220 | 3,730 |
MSRs | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 3 | $ 23 |
MSRs | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Difference of internal valuation than dealer marks (percent) | 5.00% | 5.00% |
Real estate securities | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Dealer marks of securities (percent) | 72.00% | 72.00% |
Carrying value for which dealer quotes have been received (percent) | 82.00% | 82.00% |
Difference of internal valuation than dealer marks (percent) | 1.00% | 1.00% |
Fair Value of Financial Instr63
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets | |||
Loans receivable, fair value | $ 30,400 | $ 402,647 | |
Trading securities | 341,269 | 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
MSRs | [1] | 106,009 | 191,976 |
Derivative assets | [1] | 36,880 | 16,393 |
Pledged collateral | 43,802 | 53,600 | |
Liabilities | |||
Derivative liabilities | [1] | 100,117 | 62,794 |
Commercial Loans, Held-for-sale | |||
Assets | |||
Loans, held-for-sale | 0 | 39,141 | |
Loans receivable, fair value | 0 | 39,141 | |
Commercial Loans at Lower of Cost or Market | |||
Assets | |||
Loans, held-for-sale | 30,400 | 0 | |
Commercial loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 0 | 67,657 | |
Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans receivable, fair value | 0 | 67,657 | |
Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans receivable, fair value | 0 | 295,849 | |
Carrying Value | |||
Assets | |||
Trading securities | 341,269 | 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
MSRs | 106,009 | 191,976 | |
Cash and cash equivalents | 221,372 | 220,229 | |
Restricted cash | 2,044 | 5,567 | |
Accrued interest receivable | 20,054 | 23,290 | |
Derivative assets | 36,880 | 16,393 | |
REO | 6,245 | 4,896 | |
Margin receivable | 96,650 | 83,191 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 3,627 | 5,697 | |
Pledged collateral | 53,600 | ||
Liabilities | |||
Short-term debt | 1,117,405 | 1,855,003 | |
Accrued interest payable | 15,518 | 8,936 | |
Margin payable | 13,313 | 6,415 | |
Guarantee obligation | 23,011 | 22,704 | |
Derivative liabilities | 100,117 | 62,794 | |
ABS issued, net, Fair value | 819,868 | 996,820 | |
ABS issued, net, Amortized cost | 0 | 52,595 | |
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |
Commercial secured borrowings | 0 | 63,152 | |
Convertible notes, net | 481,396 | 483,119 | |
Trust preferred securities and subordinated notes, net | 138,478 | 138,443 | |
Carrying Value | Residential Loans | |||
Assets | |||
Loans, held-for-sale | 1,187,240 | 1,114,305 | |
Carrying Value | Residential loans, at lower of cost or fair value | |||
Assets | |||
Loans, held-for-sale | 1,274 | 1,433 | |
Carrying Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans receivable, fair value | 3,122,650 | 2,813,065 | |
Carrying Value | Commercial Loans, Held-for-sale | |||
Assets | |||
Loans, held-for-sale | 0 | 39,141 | |
Carrying Value | Commercial Loans at Lower of Cost or Market | |||
Assets | |||
Loans, held-for-sale | 30,400 | 0 | |
Carrying Value | Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans receivable, fair value | 0 | 67,657 | |
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans receivable, fair value | 0 | 295,849 | |
Fair Value | |||
Assets | |||
Trading securities | 341,269 | 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
MSRs | 106,009 | 191,976 | |
Cash and cash equivalents | 221,372 | 220,229 | |
Restricted cash | 2,044 | 5,567 | |
Accrued interest receivable | 20,054 | 23,290 | |
Derivative assets | 36,880 | 16,393 | |
REO | 6,342 | 5,282 | |
Margin receivable | 96,650 | 83,191 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 3,627 | 5,697 | |
Pledged collateral | 43,802 | 53,600 | |
Liabilities | |||
Short-term debt | 1,117,405 | 1,855,003 | |
Accrued interest payable | 15,518 | 8,936 | |
Margin payable | 13,313 | 6,415 | |
Guarantee obligation | 21,968 | 22,702 | |
Derivative liabilities | 100,117 | 62,794 | |
ABS issued, net, Fair value | 819,868 | 996,820 | |
ABS issued, net, Amortized cost | 0 | 53,137 | |
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |
Commercial secured borrowings | 0 | 63,152 | |
Convertible notes, net | 496,719 | 461,053 | |
Trust preferred securities and subordinated notes, net | 83,700 | 83,700 | |
Fair Value | Residential Loans | |||
Assets | |||
Loans, held-for-sale | 1,187,240 | 1,114,305 | |
Fair Value | Residential loans, at lower of cost or fair value | |||
Assets | |||
Loans, held-for-sale | 1,459 | 1,635 | |
Fair Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans receivable, fair value | 3,122,650 | 2,813,065 | |
Fair Value | Commercial Loans, Held-for-sale | |||
Assets | |||
Loans, held-for-sale | 0 | 39,141 | |
Fair Value | Commercial Loans at Lower of Cost or Market | |||
Assets | |||
Loans, held-for-sale | 32,239 | 0 | |
Fair Value | Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans receivable, fair value | 0 | 67,657 | |
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans receivable, fair value | $ 0 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr64
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Assets | |||
Trading securities | $ 341,269 | $ 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
Derivative assets | [1] | 36,880 | 16,393 |
MSRs | [1] | 106,009 | 191,976 |
Pledged collateral | 43,802 | 53,600 | |
Liabilities | |||
Derivative liabilities | [1] | 100,117 | 62,794 |
Commercial secured borrowings | 0 | 63,152 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Trading securities | 341,269 | 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
Derivative assets | 36,880 | 16,393 | |
MSRs | 106,009 | 191,976 | |
Pledged collateral | 43,802 | 53,600 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 3,627 | 5,697 | |
Liabilities | |||
Derivative liabilities | 100,117 | 62,794 | |
Commercial secured borrowings | 63,152 | ||
ABS issued | 819,868 | 996,820 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Loans at fair value | 4,309,890 | 3,927,370 | |
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value | |||
Assets | |||
Loans at fair value | 106,798 | ||
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Derivative assets | 1,771 | 2,734 | |
MSRs | 0 | 0 | |
Pledged collateral | 43,802 | 53,600 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Derivative liabilities | 4,389 | 2,963 | |
Commercial secured borrowings | 0 | ||
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||
Assets | |||
Loans at fair value | 0 | 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 | 0 | |
Available-for-sale securities | 0 | 0 | |
Derivative assets | 29,073 | 8,988 | |
MSRs | 0 | 0 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Derivative liabilities | 95,171 | 58,368 | |
Commercial secured borrowings | 0 | ||
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||
Assets | |||
Loans at fair value | 0 | 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 | 341,269 | 404,011 | |
Available-for-sale securities | 595,641 | 829,245 | |
Derivative assets | 6,036 | 4,671 | |
MSRs | 106,009 | 191,976 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 3,627 | 5,697 | |
Liabilities | |||
Derivative liabilities | 557 | 1,463 | |
Commercial secured borrowings | 63,152 | ||
ABS issued | 819,868 | 996,820 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Loans at fair value | $ 4,309,890 | 3,797,551 | |
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value | |||
Assets | |||
Loans at fair value | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 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 (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Commercial Secured Borrowings | |
Liabilities | |
Beginning balance | $ 63,152 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | (306) |
Gains (losses) in net income, net | 2,369 |
Unrealized gains in OCI, net | 0 |
Other settlements, net | (65,215) |
Ending balance | 0 |
Asset-backed securities issued | |
Liabilities | |
Beginning balance | 996,820 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | (155,662) |
Gains (losses) in net income, net | (14,419) |
Unrealized gains in OCI, net | 0 |
Other settlements, net | (6,871) |
Ending balance | 819,868 |
Residential Loans | |
Assets | |
Beginning balance | 3,797,551 |
Acquisitions | 3,615,003 |
Sales | (2,544,595) |
Principal paydowns | (569,591) |
Gains (losses) in net income, net | 13,126 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (1,604) |
Ending balance | 4,309,890 |
Commercial Loans | |
Assets | |
Beginning balance | 106,798 |
Acquisitions | 37,625 |
Sales | (81,523) |
Principal paydowns | (476) |
Gains (losses) in net income, net | 2,791 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (65,215) |
Ending balance | 0 |
Trading securities retained, at fair value | |
Assets | |
Beginning balance | 404,011 |
Acquisitions | 187,149 |
Sales | (241,208) |
Principal paydowns | (13,591) |
Gains (losses) in net income, net | 4,908 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 341,269 |
AFS securities retained, at fair value | |
Assets | |
Beginning balance | 829,245 |
Acquisitions | 28,888 |
Sales | (241,232) |
Principal paydowns | (47,387) |
Gains (losses) in net income, net | 41,537 |
Unrealized losses in OCI, net | (15,410) |
Other settlements, net | 0 |
Ending balance | 595,641 |
MSRs | |
Assets | |
Beginning balance | 191,976 |
Acquisitions | 22,941 |
Sales | (38,419) |
Principal paydowns | 0 |
Gains (losses) in net income, net | (70,489) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 106,009 |
Guarantee Asset | |
Assets | |
Beginning balance | 5,697 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | (2,070) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 3,627 |
Derivatives | |
Assets | |
Beginning balance | 3,208 |
Acquisitions | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | 41,110 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (38,839) |
Ending balance | $ 5,479 |
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 (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Loan purchase commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $ 0 | $ 9,736 | $ 0 | $ 9,806 |
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 | 0 | (454) | 0 | 750 |
Asset-backed securities issued | ||||
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 | 10,522 | 300 | (14,419) | (6,198) |
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 | 3,818 | 16,451 | 32,202 | 12,115 |
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 | 9,200 | (419) | (18,864) | 4,912 |
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 | 0 | 3,175 | 0 | 1,971 |
Trading securities retained, 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 | 8,646 | (8,298) | 978 | (13,274) |
AFS securities retained, 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 | 0 | (226) | (305) | (226) |
MSRs | ||||
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 | 6,549 | (25,523) | (36,738) | (15,989) |
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 | 5,381 | 0 | 5,896 | 0 |
Guarantee Asset | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | $ 307 | $ (1,098) | $ (2,070) | $ (1,799) |
Fair Value of Financial Instr67
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016USD ($) | Sep. 30, 2016USD ($) | |
Residential loans, at lower of cost or fair value | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | $ 954 | $ 954 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 3 | 36 |
Residential loans, at lower of cost or fair value | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Residential loans, at lower of cost or fair value | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Residential loans, at lower of cost or fair value | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 954 | 954 |
Commercial loans, at lower of cost or fair value | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 2,700 | 2,700 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (300) | (300) |
Commercial loans, at lower of cost or fair value | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Commercial loans, at lower of cost or fair value | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 0 |
Commercial loans, at lower of cost or fair value | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Loans, at lower of cost or fair value | 2,700 | 2,700 |
REO | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 1,989 | 1,989 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (139) | (351) |
REO | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 0 | 0 |
REO | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 0 | 0 |
REO | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | $ 1,989 | $ 1,989 |
Fair Value of Financial Instr68
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | $ 3,770 | $ 3,549 | $ 12,834 | $ (6,545) |
Total Market Valuation Gains (Losses), Net | 16,346 | (19,067) | (9,238) | (40,546) |
Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 9,384 | 47 | 24,063 | 7,160 |
Mortgage Banking Activities, Net | Residential Loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 650 | 11,010 | 11,948 | 9,892 |
Mortgage Banking Activities, Net | Residential loan purchase and forward sale commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 12,021 | 25,173 | 35,508 | 44,482 |
Mortgage Banking Activities, Net | Commercial Loans at Fair Value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 0 | 3,974 | 433 | 10,819 |
Mortgage Banking Activities, Net | Consolidated Sequoia entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 0 | 0 | 1,455 | (14,359) |
Mortgage Banking Activities, Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (3,287) | (40,110) | (25,281) | (43,674) |
Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 11,918 | (14,169) | (18,686) | (17,105) |
Investment Fair Value Changes, Net | Consolidated Sequoia entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (255) | (500) | (2,086) | (2,277) |
Investment Fair Value Changes, Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 4,222 | (12,638) | (41,188) | (16,386) |
Investment Fair Value Changes, Net | 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 | (655) | 9,077 | 22,161 | 5,170 |
Investment Fair Value Changes, Net | Trading securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 8,898 | (8,784) | 3,728 | (1,587) |
Investment Fair Value Changes, Net | Commercial loans, held-for-investment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (307) | 0 | (307) | 0 |
Investment Fair Value Changes, Net | Risk sharing investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 15 | (1,098) | (689) | (1,799) |
Investment Fair Value Changes, Net | Impairments on AFS securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 0 | (226) | (305) | (226) |
MSR Income (Loss), Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | (4,956) | (4,945) | (14,615) | (30,601) |
MSR Income (Loss), Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | (6,336) | 23,551 | 55,874 | 1,736 |
MSR Income (Loss), Net | MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Mortgage servicing rights income (loss), net | $ 1,380 | $ (28,496) | $ (70,489) | $ (32,337) |
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 (Details) | 9 Months Ended |
Sep. 30, 2016USD ($)$ / shares$ / loan | |
Asset-backed securities issued | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 819,868,000 |
Asset-backed securities issued | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 2.00% |
Credit support (percent) | 0.00% |
Loss severity (percent) | 20.00% |
Discount rate (percent) | 5.00% |
Default rate (percent) | 1.00% |
Asset-backed securities issued | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 20.00% |
Credit support (percent) | 22.00% |
Loss severity (percent) | 32.00% |
Discount rate (percent) | 9.00% |
Default rate (percent) | 12.00% |
Asset-backed securities issued | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Credit support (percent) | 13.00% |
Loss severity (percent) | 27.00% |
Discount rate (percent) | 5.00% |
Default rate (percent) | 7.00% |
Residential Loans Priced To Securitization and Whole Loan Market, Uncommitted to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 2,404,070,000 |
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 | 3.04 |
Whole loan spread to swap rate | 2.75% |
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 |
Whole loan spread to swap rate | 3.25% |
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 | 4.31 |
Whole loan spread to swap rate | 3.24% |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 160,047,000 |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Whole loan spread to swap rate (percent) | 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 (annual CPR) (percent) | 15.00% |
Whole loan spread to swap rate (percent) | 2.75% |
Residential Jumbo Hybrid Loans Priced To Whole Loan Market Uncommitted To Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Whole loan spread to swap rate (percent) | 1.50% |
Residential Loans Priced To Whole Loan Market and Committed to Sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 905,797,000 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
IO multiple | 2.8 |
Prepayment rate (annual CPR) (percent) | 15.00% |
Senior spread to TBA price (in dollars per share) | $ / shares | $ 2.13 |
Credit support (percent) | 5.00% |
Whole loan committed sales price (USD per loan) | $ / loan | 101.42 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
IO multiple | 2.8 |
Prepayment rate (annual CPR) (percent) | 15.00% |
Senior spread to TBA price (in dollars per share) | $ / shares | $ 2.13 |
Credit support (percent) | 5.00% |
Whole loan committed sales price (USD per loan) | $ / loan | 103.08 |
Residential Loans Priced To Whole Loan Market and Committed to Sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
IO multiple | 2.8 |
Prepayment rate (annual CPR) (percent) | 15.00% |
Senior spread to TBA price (in dollars per share) | $ / shares | $ 2.13 |
Credit support (percent) | 5.00% |
Whole loan committed sales price (USD per loan) | $ / loan | 102.22 |
Residential Loans Held For Investment at Fair Value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 839,976,000 |
Residential Loans Held For Investment at Fair Value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Subordinate spread to swap rate | 2.00% |
Residential Loans Held For Investment at Fair Value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Subordinate spread to swap rate | 8.57% |
Residential Loans Held For Investment at Fair Value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Subordinate spread to swap rate | 3.13% |
Residential loans, at lower of cost or fair value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 954,000 |
Residential loans, at lower of cost or fair value | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 15.00% |
Residential loans, at lower of cost or fair value | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 30.00% |
Residential loans, at lower of cost or fair value | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 17.00% |
Investment Securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 936,910,000 |
Investment Securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 1.00% |
Credit support (percent) | 0.00% |
Loss severity (percent) | 20.00% |
Discount rate (percent) | 5.00% |
Default rate (percent) | 0.00% |
Investment Securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 41.00% |
Credit support (percent) | 48.00% |
Loss severity (percent) | 65.00% |
Discount rate (percent) | 12.00% |
Default rate (percent) | 35.00% |
Investment Securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 18.00% |
Credit support (percent) | 3.00% |
Loss severity (percent) | 21.00% |
Discount rate (percent) | 7.00% |
Default rate (percent) | 2.00% |
MSRs | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 106,009,000 |
MSRs | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 9.00% |
Discount rate (percent) | 11.00% |
Per loan annual cost to service | $ 72 |
MSRs | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 25.00% |
Discount rate (percent) | 11.00% |
Per loan annual cost to service | $ 82 |
MSRs | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 18.00% |
Discount rate (percent) | 11.00% |
Per loan annual cost to service | $ 78 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 3,627,000 |
Guarantee asset | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 18.00% |
Discount rate (percent) | 11.00% |
Guarantee asset | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 18.00% |
Discount rate (percent) | 11.00% |
Guarantee asset | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 18.00% |
Discount rate (percent) | 11.00% |
REO | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 5,396,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 2.00% |
REO | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 100.00% |
REO | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity (percent) | 21.00% |
Loan purchase commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 5,479,000 |
Loan purchase commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 3.04 |
Whole loan spread to swap rate (percent) | 1.30% |
Whole loan spread to swap rate | 2.75% |
MSR Multiple | 0.9 |
Fallout rate (percent) | 2.00% |
Loan purchase commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.20 |
Whole loan spread to swap rate (percent) | 2.75% |
Whole loan spread to swap rate | 3.25% |
MSR Multiple | 4.7 |
Fallout rate (percent) | 85.00% |
Loan purchase commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate (annual CPR) (percent) | 15.00% |
Whole loan spread to TBA (usd per loan) | $ / loan | 4.16 |
Whole loan spread to swap rate (percent) | 1.56% |
Whole loan spread to swap rate | 3.24% |
MSR Multiple | 2.7 |
Fallout rate (percent) | 28.00% |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | $ 4,311,164 | $ 3,928,803 | |
Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | [1] | 1,188,514 | 1,115,738 |
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,190,000 | 1,110,000 | |
Residential Loans | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,187,240 | 984,486 | |
Residential Loans | Conforming Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 129,819 | ||
Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,274 | 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 | 3,122,650 | 2,813,065 | |
Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 3,471,188 | 2,906,933 | |
Redwood | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,188,514 | 1,115,738 | |
Redwood | Residential Loans | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,187,240 | 984,486 | |
Redwood | Residential Loans | Conforming Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 129,819 | ||
Redwood | Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,274 | 1,433 | |
Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,282,674 | 1,791,195 | |
Sequoia Entities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 839,976 | 1,021,870 | |
Sequoia Entities | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Sequoia Entities | Residential Loans | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Sequoia Entities | Residential Loans | Conforming Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | ||
Sequoia Entities | Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Sequoia Entities | Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 840,000 | 1,020,000 | |
Sequoia Entities | Residential Loans Held For Investment at Fair Value | Jumbo Loan | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | $ 839,976 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016USD ($)loan | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)loan | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($)Contractloan | |
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | $ 4,311,164 | $ 4,311,164 | $ 3,928,803 | ||
Transfers from loans held-for-sale to loans held-for-investment | 877,744 | $ 964,013 | |||
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005 | 66,918 | |||
Fixed-rate loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Weighted average coupon rate (percent) | 4.13% | 4.13% | |||
FHLB Chicago | Held-for-sale residential loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 2,270,000 | $ 2,270,000 | |||
Sequoia Entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 839,976 | 839,976 | 1,021,870 | ||
Redwood | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 3,471,188 | $ 3,471,188 | $ 2,906,933 | ||
Residential Loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 1,528 | 1,763 | |||
Loan Principal | 1,160,000 | $ 1,160,000 | $ 1,090,000 | ||
Carrying value of loans | 1,190,000 | 1,190,000 | 1,110,000 | ||
Principal value of loans purchased | 1,220,000 | $ 2,910,000 | 3,730,000 | 8,090,000 | |
Principal balance of loans sold during period | 755,000 | 2,070,000 | 2,800,000 | 7,000,000 | |
Valuation adjustments | 1,000 | (11,000) | 12,000 | (10,000) | |
Loan pledged as collateral | 941,000 | 941,000 | |||
Loans held-for-investment, in foreclosure | 1,000 | 1,000 | |||
Residential Loans | Jumbo Loan | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 1,187,240 | 1,187,240 | 984,486 | ||
Residential Loans | Jumbo Loan | Sequoia Entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 0 | 0 | 0 | ||
Residential Loans | Jumbo Loan | Redwood | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | $ 1,187,240 | $ 1,187,240 | 984,486 | ||
Residential Loans | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | $ 1,000 | ||||
Number of loans past due | loan | 0 | 0 | 1 | ||
Number of loans in foreclosure | loan | 1 | ||||
Residential Loans | Financing Receivables, Receivables In Foreclosure | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | $ 1,000 | ||||
Residential loans, at lower of cost or fair value | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 8 | 9 | |||
Loan Principal | $ 2,000 | $ 2,000 | $ 2,000 | ||
Carrying value of loans | 1,274 | 1,274 | $ 1,433 | ||
Number of loans in foreclosure | loan | 1 | ||||
Loans held-for-investment, delinquent greater than 90 days | 400 | 400 | $ 400 | ||
Loans held-for-investment, in foreclosure | 100 | 100 | 100 | ||
Residential loans, at lower of cost or fair value | Sequoia Entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 0 | 0 | 0 | ||
Residential loans, at lower of cost or fair value | Redwood | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | $ 1,274 | $ 1,274 | $ 1,433 | ||
Residential loans, at lower of cost or fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans past due | loan | 1 | 1 | 1 | ||
Residential Loans Held For Investment at Fair Value | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 3,056 | 2,398 | |||
Loan Principal | $ 2,210,000 | $ 2,210,000 | $ 1,760,000 | ||
Carrying value of loans | $ 1,790,000 | ||||
Valuation adjustments | (1,000) | 9,000 | 22,000 | 5,000 | |
Transfers from loans held-for-sale to loans held-for-investment | 152,000 | 300,000 | 878,000 | 962,000 | |
Transfers from loans held-for-investment to loans held-for-sale | $ 0 | 67,000 | $ 56,000 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 773 | 773 | |||
Weighted average original loan-to-value (LTV) (percent) | 66.00% | 66.00% | |||
Percentage of fixed-rate loans | 99.50% | 99.50% | |||
Residential Loans Held For Investment at Fair Value | Hybrid loans | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Weighted average coupon rate (percent) | 3.83% | 3.83% | |||
Residential Loans Held For Investment at Fair Value | Originated Between 2013 and 2016 | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Percentage of loan portfolio originated in year | 93.00% | 93.00% | |||
Residential Loans Held For Investment at Fair Value | Originated 2012 and prior years | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Percentage of loan portfolio originated in year | 7.00% | 7.00% | |||
Residential Loans Held For Investment at Fair Value | Sequoia Entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | 3,901 | 4,545 | |||
Loan Principal | $ 943,000 | $ 943,000 | $ 1,120,000 | ||
Carrying value of loans | 840,000 | 840,000 | 1,020,000 | ||
Loans held-for-investment, delinquent greater than 90 days | 19,000 | 19,000 | 27,000 | ||
Loans held-for-investment, in foreclosure | $ 18,000 | $ 18,000 | 32,000 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 728 | 728 | |||
Weighted average original loan-to-value (LTV) (percent) | 66.00% | 66.00% | |||
Valuation adjustments | $ 9,000 | $ (400) | $ (19,000) | $ 5,000 | |
Residential Loans Held For Investment at Fair Value | Jumbo Loan | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 3,122,650 | 3,122,650 | 2,813,065 | ||
Residential Loans Held For Investment at Fair Value | Jumbo Loan | Sequoia Entities | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 839,976 | 839,976 | 1,021,870 | ||
Residential Loans Held For Investment at Fair Value | Jumbo Loan | Redwood | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Carrying value of loans | 2,282,674 | 2,282,674 | $ 1,791,195 | ||
MSRs | |||||
Mortgage Loans on Real Estate [Line Items] | |||||
Mortgage servicing rights, at amortized cost | $ 2,580,000 | $ 2,580,000 |
Commercial Loans - Additional I
Commercial Loans - Additional Information (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Jun. 30, 2016USD ($) | Sep. 30, 2016USD ($)loan | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)loan | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($)loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005 | $ 66,918 | |||||
Aggregate fair value | $ 30,400 | 30,400 | $ 402,647 | ||||
Senior commercial loans, held for sale | 3,817,445 | 8,794,939 | |||||
Sale of loan for third party, held for sale | 2,930,641 | 7,741,024 | |||||
Loans receivable, fair value | 30,400 | 30,400 | 402,647 | ||||
Carrying value of loans | 4,311,164 | 4,311,164 | 3,928,803 | ||||
Investment fair value changes, net | 11,918 | $ (14,169) | $ (18,686) | (17,105) | |||
Commercial Loans Held-for-Investment, at Amortized Cost | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Loans financed through securitization | 166,000 | ||||||
Loan pledged as collateral | $ 135,000 | ||||||
Number of loans | loan | 0 | 59 | |||||
Aggregate fair value | 0 | $ 0 | $ 295,849 | ||||
Recorded investment in loans | 0 | 0 | 302,951 | ||||
Loans receivable, fair value | 0 | 0 | $ 295,849 | ||||
Commercial loans, held-for-investment | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Transfer of loans held-for-sale to held-for-sale, principal balance | $ 67,000 | ||||||
Transfers from loans held-for-investment to loans held-for-sale | 70,000 | ||||||
Number of loans | loan | 3 | ||||||
Aggregate fair value | [1] | 0 | 0 | $ 363,506 | |||
Loans receivable, fair value | 0 | 0 | $ 67,657 | ||||
Commercial Loans, Held-for-sale | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Number of loans | loan | 4 | ||||||
Principal balance | $ 39,000 | ||||||
Aggregate fair value | [1] | 30,400 | 30,400 | 39,141 | |||
Senior commercial loans, held for sale | 168,000 | 38,000 | 518,000 | ||||
Sale of loan for third party, held for sale | 254,000 | 76,000 | 602,000 | ||||
Valuation adjustments | $ 4,000 | 400 | $ 11,000 | ||||
Loans, held-for-sale | 0 | 0 | 39,141 | ||||
Loans receivable, fair value | 0 | $ 0 | 39,141 | ||||
Commercial Loans at Lower of Cost or Market | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Transfer of loans held-for-sale to held-for-sale, principal balance | 237,000 | ||||||
Transfers from loans held-for-investment to loans held-for-sale | 233,000 | ||||||
Number of loans | loan | 6 | ||||||
Principal balance | 31,000 | $ 31,000 | |||||
Valuation adjustments | $ 4,000 | ||||||
Loans, held-for-sale | 30,400 | 30,400 | 0 | ||||
Net purchase discount on loans transferred to held-for-sale | 4,000 | $ 4,000 | |||||
Principal balance of loans sold during period | 203,000 | ||||||
Gain on sale of loans held at lower of cost or market | $ 5,000 | ||||||
Number of loans subject to sale agreements | loan | 5 | 5 | |||||
Carrying value of loans | $ 3,000 | $ 3,000 | |||||
Investment fair value changes, net | (300) | ||||||
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Loans receivable, fair value | 0 | 0 | 300,824 | ||||
Fair Value | Commercial Loans, Held-for-sale | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Loans, held-for-sale | 0 | 0 | 39,141 | ||||
Fair Value | Commercial Loans at Lower of Cost or Market | |||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||||
Loans, held-for-sale | $ 32,239 | $ 32,239 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 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 | Sep. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans receivable, fair value | $ 30,400 | $ 402,647 |
Commercial Loans, Held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at lower of cost or fair value | 0 | 39,141 |
Loans receivable, fair value | 0 | 39,141 |
Commercial Loans at Lower of Cost or Market | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at lower of cost or fair value | 30,400 | 0 |
Commercial Loans Held-for-Investment, at Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans receivable, fair value | 0 | 67,657 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans receivable, fair value | $ 0 | $ 295,849 |
Commercial Loans - Held-For-Inv
Commercial Loans - Held-For-Investment at Amortized Cost (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Carrying Value | $ 30,400 | $ 402,647 |
Commercial Loans Held-for-Investment, at Amortized Cost | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Principal balance | 0 | 307,047 |
Unamortized discount, net | 0 | (4,096) |
Recorded investment | 0 | 302,951 |
Allowance for loan losses | 0 | (7,102) |
Carrying Value | $ 0 | $ 295,849 |
Commercial Loans - Held for Inv
Commercial Loans - Held for Investment by Risk Category (Details) - Commercial loans, held-for-investment - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 0 | $ 307,047 |
Pass | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | 0 | 272,768 |
Watch list | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | 0 | 34,279 |
Workout | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commercial loans held for investment | $ 0 | $ 0 |
Commercial Loans - Summary of A
Commercial Loans - Summary of Activity in Allowance for Commercial Loan Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Provision for loan losses | $ 859 | $ 60 | $ 7,102 | $ 115 |
Commercial Loans | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance at beginning of period | 859 | 7,401 | 7,102 | 7,456 |
Provision for loan losses | (859) | (60) | (7,102) | (115) |
Balance at End of Period | $ 0 | $ 7,341 | $ 0 | $ 7,341 |
Commercial Loans - Collectively
Commercial Loans - Collectively Evaluated for Impairment (Details) - Commercial Loans - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Financing Receivable, Impaired [Line Items] | ||
Principal balance | $ 0 | $ 307,047 |
Recorded investment | 0 | 302,951 |
Related allowance | $ 0 | $ 7,102 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 341,269 | $ 404,011 | |
Available-for-sale | 595,641 | 829,245 | |
Total Real Estate Securities | [1] | $ 936,910 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Trading securities | $ 341,269 | $ 404,011 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 24,492 | 254,351 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 19,098 | 248,570 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 5,394 | 5,781 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 316,777 | 149,660 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 194,832 | 136,140 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 121,945 | $ 13,520 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016USD ($)Investment | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)Investment | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($)Investment | |
Investment Holdings [Line Items] | |||||
Trading securities | $ 341,269,000 | $ 341,269,000 | $ 404,011,000 | ||
Trading securities acquired | 65,000,000 | $ 9,000,000 | 198,000,000 | $ 103,000,000 | |
Trading securities sold | 2,000,000 | 2,000,000 | 238,000,000 | 81,000,000 | |
Increase (decrease) in valuation of trading securities | 9,000,000 | (9,000,000) | 5,000,000 | (16,000,000) | |
Trading securities pledged as collateral | 126,000,000 | 126,000,000 | |||
Available-for-sale securities purchased | 11,000,000 | 0 | 29,000,000 | 15,000,000 | |
Available-for-sale securities sold | 26,000,000 | 35,000,000 | 241,000,000 | 237,000,000 | |
Net realized gains on AFS securities | $ 2,000,000 | 4,000,000 | $ 20,000,000 | 14,000,000 | |
Number of AFS securities | Investment | 184 | 184 | 224 | ||
Number of securities in unrealized loss position | Investment | 15 | 15 | 32 | ||
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | Investment | 12 | 12 | 15 | ||
Other than temporary impairment | $ 0 | $ 3,000,000 | |||
Investment fair value changes, net | 11,918,000 | (14,169,000) | (18,686,000) | (17,105,000) | |
Other than temporary impairment recognized in AOCI | 2,000,000 | 2,000,000 | |||
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Gains on Available-for-Sale Securities | |||||
Investment Holdings [Line Items] | |||||
Other than temporary impairment | 0 | 300,000 | |||
Investment fair value changes, net | 0 | $ 198,000 | 305,000 | $ 198,000 | |
Reclassification out of Accumulated Other Comprehensive Income | Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest | |||||
Investment Holdings [Line Items] | |||||
Investment fair value changes, net | 0 | ||||
Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 316,777,000 | 316,777,000 | $ 149,660,000 | ||
Interest Only Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 24,000,000 | 24,000,000 | 37,000,000 | ||
Residential | |||||
Investment Holdings [Line Items] | |||||
Marketable securities, less than five years (less than) | 1,000,000 | 1,000,000 | |||
Marketable securities, due from five to ten years | 1,000,000 | 1,000,000 | |||
Residential | AFS securities retained, at fair value | |||||
Investment Holdings [Line Items] | |||||
Securities pledged as collateral | 210,000,000 | 210,000,000 | |||
CRT securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 134,000,000 | 134,000,000 | 48,000,000 | ||
Sequoia securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 12,000,000 | 12,000,000 | 259,000,000 | ||
Other third party securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 98,000,000 | 98,000,000 | 89,000,000 | ||
Commercial mortgage backed securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 73,000,000 | 73,000,000 | 8,000,000 | ||
Trading securities | Residential Senior Securities | |||||
Investment Holdings [Line Items] | |||||
Unpaid principal balance | 0 | 0 | 217,000,000 | ||
Trading securities | Residential Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Unpaid principal balance | $ 332,000,000 | $ 332,000,000 | $ 168,000,000 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 595,641 | $ 829,245 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 71,290 | 279,251 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 63,469 | 210,993 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 7,821 | 68,258 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 161,234 | 165,064 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 363,117 | 384,930 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 177,468 | 224,624 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 185,649 | $ 160,306 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 595,641 | $ 829,245 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 71,290 | 279,251 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 63,469 | 210,993 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 7,821 | 68,258 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 161,234 | 165,064 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 363,117 | 384,930 |
Residential | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 719,395 | 973,227 |
Credit reserve | (47,613) | (48,869) |
Unamortized discount, net | (202,726) | (237,107) |
Amortized cost | 469,056 | 687,251 |
Gross unrealized gains | 129,704 | 147,001 |
Gross unrealized losses | (3,119) | (5,007) |
Carrying Value | 595,641 | 829,245 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 68,288 | 217,605 |
Credit reserve | (1,483) | (1,305) |
Unamortized discount, net | (6,116) | (22,079) |
Amortized cost | 60,689 | 194,221 |
Gross unrealized gains | 4,860 | 20,263 |
Gross unrealized losses | (2,080) | (3,491) |
Carrying Value | 63,469 | 210,993 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 9,372 | 75,591 |
Credit reserve | (641) | (5,101) |
Unamortized discount, net | (1,635) | (8,395) |
Amortized cost | 7,096 | 62,095 |
Gross unrealized gains | 725 | 6,249 |
Gross unrealized losses | 0 | (86) |
Carrying Value | 7,821 | 68,258 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 180,754 | 189,782 |
Credit reserve | (10,452) | (10,332) |
Unamortized discount, net | (59,146) | (71,670) |
Amortized cost | 111,156 | 107,780 |
Gross unrealized gains | 50,078 | 57,284 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 161,234 | 165,064 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 460,981 | 490,249 |
Credit reserve | (35,037) | (32,131) |
Unamortized discount, net | (135,829) | (134,963) |
Amortized cost | 290,115 | 323,155 |
Gross unrealized gains | 74,041 | 63,205 |
Gross unrealized losses | (1,039) | (1,430) |
Carrying Value | $ 363,117 | $ 384,930 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) - Residential - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | |
Credit Reserve | ||
Beginning balance | $ 44,943 | $ 48,869 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (329) | (3,397) |
Acquisitions | 2,136 | 7,381 |
Sales, calls, other | 0 | (4,382) |
Impairments | 0 | 305 |
Transfers to (release of) credit reserves, net | 863 | (1,163) |
Ending Balance | 47,613 | 47,613 |
Unamortized Discount, Net | ||
Beginning balance | 207,574 | 237,107 |
Amortization of net discount | (6,124) | (20,531) |
Realized credit losses | 0 | 0 |
Acquisitions | 2,982 | 9,018 |
Sales, calls, other | (843) | (24,031) |
Impairments | 0 | 0 |
Transfers to (release of) credit reserves, net | (863) | 1,163 |
Ending Balance | $ 202,726 | $ 202,726 |
Real Estate Securities - Comp84
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 3,117 | $ 87,718 |
Less Than 12 Consecutive Months Unrealized Losses | (127) | (1,972) |
Less Than 12 Consecutive Months Fair Value | 2,990 | 85,746 |
12 Consecutive Months or Longer Amortized Cost | 67,091 | 77,539 |
12 Consecutive Months or Longer Unrealized Losses | (2,992) | (3,035) |
12 Consecutive Months or Longer Fair Value | $ 64,099 | $ 74,504 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Details) - Prime | 9 Months Ended |
Sep. 30, 2016 | |
Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 8.00% |
Projected losses | 0.00% |
Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 20.00% |
Projected losses | 9.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Activity of the Credit Component of Other-than-Temporary Impairments | ||||
Balance at beginning of period | $ 28,198 | $ 32,696 | $ 28,277 | $ 33,849 |
Initial credit impairments | 0 | 226 | 291 | 226 |
Securities sold, or expected to sell | 0 | 0 | (261) | (348) |
Securities with no outstanding principal at period end | 0 | (446) | (109) | (1,251) |
Balance at End of Period | $ 28,198 | $ 32,476 | $ 28,198 | $ 32,476 |
Real Estate Securities - Gross
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Gross realized gains | $ 1,990 | $ 4,053 | $ 22,395 | $ 14,315 |
Gross realized losses | 0 | 0 | (2,293) | 0 |
Total Realized Gains on Sales and Calls of AFS Securities, net | 1,990 | 5,548 | 21,312 | 16,170 |
Calls | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Gross realized gains | 0 | 1,607 | 1,210 | 1,967 |
Gross realized losses | $ 0 | $ (112) | $ 0 | $ (112) |
Mortgage Servicing Rights - Sch
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 | |
Servicing Assets at Fair Value [Line Items] | |||||||
Mortgage servicing rights, at fair value | [1] | $ 106,009 | $ 191,976 | ||||
Associated Principal | 13,917,172 | 18,266,472 | |||||
MSRs | |||||||
Servicing Assets at Fair Value [Line Items] | |||||||
Mortgage servicing rights, at fair value | 106,009 | $ 110,046 | 191,976 | $ 162,726 | $ 168,462 | $ 139,293 | |
MSRs | Conforming Loan | |||||||
Servicing Assets at Fair Value [Line Items] | |||||||
Mortgage servicing rights, at fair value | 69,578 | 133,838 | |||||
Associated Principal | 8,422,222 | 12,560,533 | |||||
MSRs | Jumbo Loan | |||||||
Servicing Assets at Fair Value [Line Items] | |||||||
Mortgage servicing rights, at fair value | 36,431 | 58,138 | |||||
Associated Principal | $ 5,494,950 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Act
Mortgage Servicing Rights - Activity for Residential First-Lien Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | ||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Balance at beginning of period | [1] | $ 191,976 | |||
Additions | 7,679 | $ 52,297 | |||
Changes in fair value due to: | |||||
Balance at End of Period | [1] | $ 106,009 | 106,009 | ||
MSRs | |||||
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Balance at beginning of period | 110,046 | $ 168,462 | 191,976 | 139,293 | |
Additions | 3,443 | 22,760 | 22,941 | 73,976 | |
Sales | (8,860) | 0 | (38,419) | (18,206) | |
Changes in fair value due to: | |||||
Changes in assumptions | 7,085 | (23,786) | (52,723) | (18,653) | |
Other changes | (5,705) | (4,710) | (17,766) | (13,684) | |
Balance at End of Period | $ 106,009 | $ 162,726 | $ 106,009 | $ 162,726 | |
[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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Det
Mortgage Servicing Rights - Details of Retention and Purchase of MSRs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | $ 7,679 | $ 52,297 | ||
MSRs | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | $ 3,443 | $ 22,760 | 22,941 | $ 73,976 |
Associated Principal | 548,281 | 2,605,523 | ||
MSRs | Jumbo Loan | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 1,992 | 4,247 | ||
Associated Principal | 331,737 | 659,471 | ||
MSRs | Jumbo Loan | From securitization | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 1,971 | 4,102 | ||
Associated Principal | 328,227 | 638,469 | ||
MSRs | Jumbo Loan | From loan sales | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 21 | 145 | ||
Associated Principal | 3,510 | 21,002 | ||
MSRs | Conforming Loan | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 1,451 | 18,694 | ||
Associated Principal | 216,544 | 1,946,052 | ||
MSRs | Conforming Loan | From loan sales | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 0 | 3,380 | ||
Associated Principal | 0 | 316,290 | ||
MSRs | Conforming Loan | From purchases | ||||
Mortgage Servicing Rights [Line Items] | ||||
MSRs recognized | 1,451 | 15,314 | ||
Associated Principal | $ 216,544 | $ 1,629,762 |
Mortgage Servicing Rights - Com
Mortgage Servicing Rights - Components of Mortgage Servicing Rights Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Transfers and Servicing [Abstract] | ||||
Income | $ 9,943 | $ 10,028 | $ 32,199 | $ 28,199 |
Cost of sub-servicer | (1,217) | (1,313) | (4,958) | (3,704) |
Net servicing income | 8,726 | 8,715 | 27,241 | 24,495 |
Market valuation changes of MSRs | 1,380 | (28,496) | (70,489) | (32,337) |
Market valuation changes in associated derivatives | (6,336) | 23,551 | 55,874 | 1,736 |
MSR provision for repurchases | 0 | (221) | 208 | (439) |
MSR Income (Loss), Net | $ 3,770 | $ 3,549 | $ 12,834 | $ (6,545) |
Derivative Financial Instrume92
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Fair Value | $ (63,237) | $ (46,401) |
Notional Amount | 4,993,201 | 6,483,976 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (100,117) | (62,794) |
Notional Amount | 2,340,300 | 3,083,315 |
Derivative Liabilities | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | (24,499) | (10,134) |
Notional Amount | 966,500 | 1,039,500 |
Derivative Liabilities | Interest rate swaps | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | (70,672) | (48,232) |
Notional Amount | 139,500 | 139,500 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (4,335) | (2,519) |
Notional Amount | 1,000,000 | 1,450,500 |
Derivative Liabilities | Futures | ||
Derivative [Line Items] | ||
Fair Value | (54) | (445) |
Notional Amount | 15,000 | 78,000 |
Derivative Liabilities | Loan purchase commitments | ||
Derivative [Line Items] | ||
Fair Value | (557) | (1,464) |
Notional Amount | 219,300 | 375,815 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 36,880 | 16,393 |
Notional Amount | 2,652,901 | 3,400,661 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 16,839 | 2,590 |
Notional Amount | 580,000 | 658,000 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 1,514 | 2,734 |
Notional Amount | 555,000 | 1,028,500 |
Derivative Assets | Futures | ||
Derivative [Line Items] | ||
Fair Value | 257 | 0 |
Notional Amount | 130,000 | 0 |
Derivative Assets | Swaptions | ||
Derivative [Line Items] | ||
Fair Value | 12,234 | 5,191 |
Notional Amount | 495,000 | 925,000 |
Derivative Assets | Credit default index swaps | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,207 |
Notional Amount | 0 | 25,000 |
Derivative Assets | Loan purchase commitments | ||
Derivative [Line Items] | ||
Fair Value | 6,036 | 4,671 |
Notional Amount | $ 892,901 | $ 764,161 |
Derivative Financial Instrume93
Derivative Financial Instruments - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2016USD ($)counterparty | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)counterparty | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | ||||
Derivative [Line Items] | |||||||||
Notional amount | $ 4,993,201 | $ 4,993,201 | $ 6,483,976 | ||||||
AOCI, interest rate agreements | $ 1,130,130 | [1] | $ 1,206,575 | $ 1,130,130 | [1] | $ 1,206,575 | 1,146,265 | [1] | $ 1,256,141 |
Number of counterparties | counterparty | 3 | 3 | |||||||
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | |||||||||
Derivative [Line Items] | |||||||||
AOCI, interest rate agreements | (47,363) | ||||||||
Mortgage Banking Activities, Net | |||||||||
Derivative [Line Items] | |||||||||
Market valuations gains and losses, net | $ 9,384 | 47 | $ 24,063 | 7,160 | |||||
Loan Purchase and Forward Sales Commitments | Mortgage Banking Activities, Net | |||||||||
Derivative [Line Items] | |||||||||
Market valuations gains and losses, net | 12,021 | 25,173 | 35,508 | 44,482 | |||||
Interest rate swaps | Cash Flow Hedging | |||||||||
Derivative [Line Items] | |||||||||
Notional amount | 140,000 | 140,000 | |||||||
Derivative gain (loss) | 1,000 | (12,000) | (23,000) | (5,000) | |||||
Unsecuritized Residential and Commercial Loans | |||||||||
Derivative [Line Items] | |||||||||
Derivative gain (loss) | (5,000) | $ (29,000) | (11,000) | $ (58,000) | |||||
Unsecuritized Residential and Commercial Loans | Interest rate contract | |||||||||
Derivative [Line Items] | |||||||||
Notional amount | 2,040,000 | 2,040,000 | 2,620,000 | ||||||
Unsecuritized Residential and Commercial Loans | TBAs | |||||||||
Derivative [Line Items] | |||||||||
Notional amount | 1,560,000 | 1,560,000 | 2,480,000 | ||||||
Unsecuritized Residential and Commercial Loans | Futures | |||||||||
Derivative [Line Items] | |||||||||
Notional amount | $ 145,000 | $ 145,000 | $ 78,000 | ||||||
[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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Derivative Financial Instrume94
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Derivative [Line Items] | ||||
Total Interest Expense | $ (21,597) | $ (23,875) | $ (67,991) | $ (70,844) |
Cash Flow Hedging | Interest rate contract | ||||
Derivative [Line Items] | ||||
Net interest expense on cash flows hedges | (1,314) | (1,466) | (4,049) | (4,425) |
Realized net losses reclassified from other comprehensive income | (18) | (19) | (55) | (77) |
Total Interest Expense | $ (1,332) | $ (1,485) | $ (4,104) | $ (4,502) |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Margin receivable | $ 96,650 | $ 83,191 | |
Pledged collateral | 43,802 | 53,600 | |
FHLBC stock | 43,393 | 34,437 | |
REO | 6,245 | 4,896 | |
Guarantee asset | 3,627 | 5,697 | |
Fixed assets and leasehold improvements | 2,850 | 4,117 | |
Prepaid expenses | 2,017 | 3,640 | |
Investment receivable | 1,525 | 3,870 | |
Other | 7,677 | 4,438 | |
Total Other Assets | [1] | 207,786 | $ 197,886 |
Fixed assets | 5,000 | ||
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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities 96
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Guarantee obligations | $ 23,011 | $ 22,704 | |
Margin payable | 13,313 | 6,415 | |
Accrued compensation | 12,674 | 17,527 | |
Residential loan and MSR repurchase reserve | 6,617 | 6,403 | |
Accrued operating expenses | 5,958 | 1,845 | |
Restructuring liabilities | 3,667 | $ 4,159 | 0 |
Legal reserve | 2,000 | 2,000 | |
Current accounts payable | 1,292 | 4,764 | |
Other | 1,176 | 8,239 | |
Total Other Liabilities | $ 69,708 | $ 69,897 |
Other Assets and Liabilities 97
Other Assets and Liabilities - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016USD ($)Location | Mar. 31, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)Location | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($)Location | |
Other Assets and Other Liabilities [Line Items] | ||||||
Real estate owned (REO) | $ 6,245 | $ 6,245 | $ 4,896 | |||
Amount related to transfers into REO | 8,000 | |||||
REO liquidations | 9,000 | |||||
Unrealized loss resulting from market valuation adjustments on REO | 2,000 | |||||
Restructuring charges | 4 | $ 11,000 | $ 0 | 10,545 | $ 0 | |
Adjustments in restructuring | 0 | 3,486 | ||||
Termination Benefits | ||||||
Other Assets and Other Liabilities [Line Items] | ||||||
Restructuring charges | 0 | 9,000 | 8,793 | |||
Adjustments in restructuring | 0 | (3,000) | 3,486 | |||
Contract Termination Costs | ||||||
Other Assets and Other Liabilities [Line Items] | ||||||
Restructuring charges | 4 | $ 2,000 | 1,752 | |||
Adjustments in restructuring | $ 0 | $ 0 | ||||
Sequoia Entities | ||||||
Other Assets and Other Liabilities [Line Items] | ||||||
Number of REO properties recorded on balance sheet | Location | 24 | 24 | 23 |
Other Assets and Liabilities 98
Other Assets and Liabilities - Restructuring Accruals (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Restructuring Reserve [Roll Forward] | |||||
Restructuring reserve, beginning balance | $ 4,159 | $ 0 | $ 0 | ||
Costs incurred and expensed | 4 | 11,000 | $ 0 | 10,545 | $ 0 |
Costs paid/settled | (496) | (3,392) | |||
Adjustments | 0 | (3,486) | |||
Restructuring reserve, ending balance | 3,667 | 3,667 | |||
Termination Benefits | |||||
Restructuring Reserve [Roll Forward] | |||||
Restructuring reserve, beginning balance | 3,387 | 0 | 0 | ||
Costs incurred and expensed | 0 | 9,000 | 8,793 | ||
Costs paid/settled | (34) | (1,954) | |||
Adjustments | 0 | 3,000 | (3,486) | ||
Restructuring reserve, ending balance | 3,353 | 3,353 | |||
Contract Termination Costs | |||||
Restructuring Reserve [Roll Forward] | |||||
Restructuring reserve, beginning balance | 772 | 0 | 0 | ||
Costs incurred and expensed | 4 | $ 2,000 | 1,752 | ||
Costs paid/settled | (462) | (1,438) | |||
Adjustments | 0 | 0 | |||
Restructuring reserve, ending balance | $ 314 | $ 314 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2016USD ($)Facility | Dec. 31, 2015USD ($)Facility | ||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 12 | 16 | |
Outstanding Balance | [1] | $ 1,117,405,000 | $ 1,855,003,000 |
Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 4 | ||
Outstanding Balance | $ 837,846,000 | ||
Limit | $ 1,325,000,000 | ||
Weighted Average Interest Rate (as a percent) | 2.07% | ||
Weighted Average Days Until Maturity (in days) | 145 days | ||
Commercial loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 1 | 2 | |
Outstanding Balance | $ 0 | $ 73,718,000 | |
Limit | $ 150,000,000 | $ 300,000,000 | |
Weighted Average Interest Rate (as a percent) | 4.13% | ||
Weighted Average Days Until Maturity (in days) | 265 days | ||
Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 7 | 9 | |
Outstanding Balance | $ 279,559,000 | $ 693,641,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate (as a percent) | 1.79% | 1.47% | |
Weighted Average Days Until Maturity (in days) | 26 days | 24 days | |
Held-for-sale residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 4 | ||
Outstanding Balance | $ 950,022,000 | ||
Limit | $ 1,400,000,000 | ||
Weighted Average Interest Rate (as a percent) | 1.90% | ||
Weighted Average Days Until Maturity (in days) | 182 days | ||
FHLBC | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 1 | ||
Outstanding Balance | $ 137,622,000 | ||
Limit | $ 0 | ||
Weighted Average Interest Rate (as a percent) | 0.21% | ||
Weighted Average Days Until Maturity (in days) | 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Average balance of short-term debt | $ 1,070,000,000 | $ 1,150,000,000 | |
Accrued interest payable on short-term debt | 3,000,000 | 3,000,000 | $ 2,000,000 |
Committed line of credit | 10,000,000 | 10,000,000 | |
Fair value of mortgage backed securities securing loan (in excess) | 10,000,000 | 10,000,000 | |
Committed line of credit with financial institutions, outstanding | 0 | 0 | 0 |
Residential loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 941,000,000 | 941,000,000 | 1,070,000,000 |
Commercial Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 0 | 0 | 152,000,000 |
Residential | |||
Short-term Debt [Line Items] | |||
Securities pledged as collateral | $ 336,000,000 | $ 336,000,000 | $ 827,000,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 1,117,405 | $ 1,855,003 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 210,228 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 503,662 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 403,515 | ||
Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 837,846 | ||
Held-for-sale residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Held-for-sale residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 434,331 | ||
Held-for-sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 403,515 | ||
Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 279,559 | ||
Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 210,228 | ||
Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 69,331 | ||
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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu102
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) $ in Thousands | Sep. 30, 2016USD ($)series | Dec. 31, 2015USD ($)series | |
Debt Instrument [Line Items] | |||
Total FHLBC Borrowings | [1],[2] | $ 2,619,873 | $ 2,027,737 |
Asset-backed securities issued | |||
Debt Instrument [Line Items] | |||
Principal value | 819,868 | 1,049,957 | |
Market valuation adjustments | (120,080) | (116,637) | |
Deferred debt issuance costs | 0 | (542) | |
Total FHLBC Borrowings | 819,868 | 1,049,415 | |
Asset-backed securities issued | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Principal value | 935,565 | 1,161,922 | |
Asset-backed securities issued | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 4,383 | 4,672 | |
Asset-backed securities issued | Sequoia Entities | |||
Debt Instrument [Line Items] | |||
Principal value | 819,868 | 996,820 | |
Market valuation adjustments | (120,080) | (116,637) | |
Deferred debt issuance costs | 0 | 0 | |
Total FHLBC Borrowings | $ 819,868 | $ 996,820 | |
Number of series | series | 20 | 21 | |
Asset-backed securities issued | Sequoia Entities | Minimum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series (as a percent) | 0.14% | 0.41% | |
Asset-backed securities issued | Sequoia Entities | Maximum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series (as a percent) | 1.94% | 2.21% | |
Asset-backed securities issued | Sequoia Entities | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Principal value | $ 935,565 | $ 1,108,785 | |
Asset-backed securities issued | Sequoia Entities | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Principal value | 4,383 | 4,672 | |
Asset-backed securities issued | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Principal value | 0 | 53,137 | |
Market valuation adjustments | 0 | 0 | |
Deferred debt issuance costs | 0 | (542) | |
Total FHLBC Borrowings | $ 0 | $ 52,595 | |
Weighted average interest rates, by series (as a percent) | 0.00% | 5.62% | |
Number of series | series | 0 | 1 | |
Asset-backed securities issued | Commercial Securitization | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Principal value | $ 0 | $ 53,137 | |
Asset-backed securities issued | Commercial Securitization | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Principal value | $ 0 | $ 0 | |
[1] | At September 30, 2016 and December 31, 2015, Asset-backed securities issued, net included $0 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $7,891 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu103
Asset-Backed Securities Issued - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2016 | |
Asset-backed securities issued | Contractual maturities of over five years | |
Debt Instrument [Line Items] | |
Contractual maturities of ABS (in years) | 5 years |
Asset-Backed Securities Issu104
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Accrued interest payable | [1] | $ 15,518 | $ 8,936 |
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 523 | 804 | |
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | Sequoia Entities | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 523 | 555 | |
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | $ 0 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu105
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 847,399 | $ 1,195,574 |
Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 839,976 | 1,021,870 |
Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 166,016 |
Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 148 | 365 |
Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,030 | 2,428 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 6,245 | 4,895 |
Sequoia Entities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 847,399 | 1,028,124 |
Sequoia Entities | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 839,976 | 1,021,870 |
Sequoia Entities | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Sequoia Entities | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 148 | 228 |
Sequoia Entities | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,030 | 1,131 |
Sequoia Entities | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 6,245 | 4,895 |
Commercial Securitization | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 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 | 0 | 166,016 |
Commercial Securitization | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 137 |
Commercial Securitization | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 1,297 |
Commercial Securitization | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 0 | $ 0 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Nov. 30, 2014 | Mar. 31, 2013 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2013 | ||
Debt Instrument [Line Items] | |||||||||
Transition period for subsidiary to be a FHLB-member (in years) | 5 years | ||||||||
Existing debt | $ 0 | $ 0 | $ 0 | ||||||
Federal home loan bank stock | 43,393,000 | 43,393,000 | 34,437,000 | ||||||
Accrued interest payable | 3,000,000 | 3,000,000 | 2,000,000 | ||||||
Notional amount | 4,993,201,000 | 4,993,201,000 | 6,483,976,000 | ||||||
Accrued interest payable balance on long-term debt (less than) | [1] | 15,518,000 | 15,518,000 | 8,936,000 | |||||
Secured Debt | |||||||||
Debt Instrument [Line Items] | |||||||||
Commercial mortgage loans | 0 | 0 | 63,000,000 | ||||||
Convertible Debt | Exchangeable Senior Notes | |||||||||
Debt Instrument [Line Items] | |||||||||
Convertible notes | $ 205,000,000 | $ 201,000,000 | $ 201,000,000 | ||||||
Debt Instrument interest rate (as a percent) | 5.625% | ||||||||
Debt instrument maturity year | 2,019 | ||||||||
Debt instrument redemption date | Nov. 15, 2019 | ||||||||
Net proceeds from issuance of convertible debt | $ 198,000,000 | ||||||||
Interest expense yield (as a percent) | 6.60% | ||||||||
Convertible senior notes conversion per share (in dollars per share) | $ 21.65 | $ 21.65 | |||||||
Amount of debt repurchased | $ 4,000,000 | $ 4,000,000 | |||||||
Accrued interest payable | 5,000,000 | 5,000,000 | |||||||
Unamortized debt issuance costs | $ 4,000,000 | $ 4,000,000 | |||||||
Convertible senior notes conversion rate | 0.0461798 | ||||||||
Convertible Debt | Exchangeable Senior Notes | Gain (loss) on investments | |||||||||
Debt Instrument [Line Items] | |||||||||
Gain on extinguishment of debt | $ 300,000 | ||||||||
Convertible Debt | Convertible Senior Notes Due 2018 | |||||||||
Debt Instrument [Line Items] | |||||||||
Convertible notes | $ 288,000,000 | ||||||||
Debt Instrument interest rate (as a percent) | 4.625% | ||||||||
Net proceeds from issuance of convertible debt | $ 279,000,000 | ||||||||
Interest expense yield (as a percent) | 5.40% | ||||||||
Convertible senior notes conversion per share (in dollars per share) | $ 24.31 | $ 24.31 | |||||||
Accrued interest payable | $ 7,000,000 | $ 7,000,000 | |||||||
Unamortized debt issuance costs | 3,000,000 | $ 3,000,000 | |||||||
Convertible senior notes conversion rate | 0.041132 | ||||||||
Trust Preferred Securities And Subordinated Notes [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Accrued interest payable balance on long-term debt (less than) | 1,000,000 | $ 1,000,000 | 1,000,000 | ||||||
Trust Preferred Securities And Subordinated Notes [Member] | Interest rate swaps | |||||||||
Debt Instrument [Line Items] | |||||||||
Notional amount | $ 140,000,000 | ||||||||
Trust Preferred Securities And Subordinated Notes [Member] | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate (as a percent) | 2.25% | ||||||||
Trust Preferred Securities | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument face amount | 100,000,000 | $ 100,000,000 | |||||||
Percentage of yield of debt securities (as a percent) | 6.90% | ||||||||
Subordinated Notes | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument face amount | $ 40,000,000 | $ 40,000,000 | |||||||
Percentage of yield of debt securities (as a percent) | 6.87% | 6.89% | 6.87% | 6.86% | |||||
FHLB Chicago | |||||||||
Debt Instrument [Line Items] | |||||||||
Federal home loan bank advances, reset period of basis margin (in days) | 91 days | ||||||||
FHLB Chicago | Held-for-sale residential loans | |||||||||
Debt Instrument [Line Items] | |||||||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 2,270,000,000 | $ 2,270,000,000 | |||||||
FHLB Member Subsidiary | FHLB Chicago | |||||||||
Debt Instrument [Line Items] | |||||||||
Maximum borrowing limit | 2,000,000,000 | 2,000,000,000 | |||||||
Additional borrowings from FHLBC | 0 | 519,000,000 | |||||||
Existing debt | 2,000,000,000 | 2,000,000,000 | |||||||
Federal home loan bank advances outstanding | $ 2,000,000,000 | $ 2,000,000,000 | $ 1,480,000,000 | ||||||
Weighted average interest rate | 0.57% | 0.57% | 0.46% | ||||||
Weighted average maturity | 9 years | 9 years | |||||||
Outstanding advances classified as long-term debt | $ 1,340,000,000 | ||||||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 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 | Sep. 30, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Total FHLBC Borrowings | [1],[2] | $ 2,619,873 | $ 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 September 30, 2016 and December 31, 2015, Asset-backed securities issued, net included $0 and $542, respectively, of deferred debt issuance costs, and long-term debt, net included $7,891 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Commitments and Contingencies -
Commitments and Contingencies - Future Lease Commitments (Details) $ in Thousands | Sep. 30, 2016USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
2016 (6 months) | $ 571 |
2,017 | 2,301 |
2,018 | 1,268 |
2,019 | 642 |
2,020 | 581 |
2021 and thereafter | 48 |
Total | $ 5,411 |
Commitments and Contingencie109
Commitments and Contingencies - Additional Information (Details) | Jul. 15, 2010Plaintiff | Sep. 30, 2016USD ($)lease | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($)loanleaserepurchase_request | Sep. 30, 2015USD ($) | Dec. 31, 2015USD ($) |
Loss Contingencies [Line Items] | ||||||
Number of noncancelable leases | lease | 5 | 5 | ||||
Operating lease expiration dates | 2,021 | |||||
Future lease commitments with expiration date | $ 5,411,000 | $ 5,411,000 | ||||
Operating lease expense | 2,000,000 | $ 2,000,000 | ||||
Guarantee obligations | 23,011,000 | 23,011,000 | $ 22,704,000 | |||
Guarantee obligations, credit reserve | 10,000,000 | 10,000,000 | ||||
Special Purpose Entities (SPEs) assets | 50,000,000 | 50,000,000 | 63,000,000 | |||
Special Purpose Entities (SPEs) liabilities | 23,000,000 | 23,000,000 | 25,000,000 | |||
Residential repurchase reserve | 6,617,000 | $ 6,617,000 | 6,403,000 | |||
Number of residential repurchase requests | repurchase_request | 53 | |||||
Number of loans repurchased | loan | 1 | |||||
Residential repurchase provisions recorded | $ 300,000 | 2,000,000 | ||||
MSR income (loss) charge-offs | 100,000 | 0 | ||||
Aggregate amount of loss contingency reserves | 2,000,000 | 2,000,000 | 2,000,000 | |||
Schwab | ||||||
Loss Contingencies [Line Items] | ||||||
Number of other named defendants along with SRF | Plaintiff | 26 | |||||
Residential Loans | ||||||
Loss Contingencies [Line Items] | ||||||
Loan Principal | 1,160,000,000 | 1,160,000,000 | $ 1,090,000,000 | |||
Loans held-for-investment, in foreclosure | 1,000,000 | 1,000,000 | ||||
Other income | ||||||
Loss Contingencies [Line Items] | ||||||
Other income related to risk sharing agreement | 1,000,000 | $ 200,000 | 3,000,000 | 2,000,000 | ||
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) | 15,221 | $ (1,000,000) | (1,000,000) | $ (2,000,000) | ||
Guarantee Obligations | ||||||
Loss Contingencies [Line Items] | ||||||
Original unpaid balance of loans subject to risk sharing agreements | 3,190,000,000 | 3,190,000,000 | ||||
Potential future payments on loans | 44,000,000 | 44,000,000 | ||||
Loan Principal | $ 2,610,000,000 | $ 2,610,000,000 | ||||
Weighted average original Fair Isaac Corporation (FICO) score | 766 | 766 | ||||
Weighted average original loan-to-value (LTV) (percent) | 74.00% | 74.00% | ||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||
Loss Contingencies [Line Items] | ||||||
Balance of loans 90 days or more delinquent | $ 1,000,000 | $ 1,000,000 | ||||
Residential | Sequoia Entities | FHLB Seattle | ||||||
Loss Contingencies [Line Items] | ||||||
Statutory interest rate per annum (as a percent) | 8.00% | 8.00% | ||||
Principal value | $ 133,000,000 | $ 133,000,000 | ||||
Debt instrument principal payment amount | 122,000,000 | |||||
Debt instrument interest payment amount | 11,000,000 | |||||
Residential | Sequoia Entities | Schwab | ||||||
Loss Contingencies [Line Items] | ||||||
Principal value | 15,000,000 | 15,000,000 | ||||
Principal balance of securities | 14,000,000 | 14,000,000 | ||||
Debt instrument interest amount | $ 1,000,000 | $ 1,000,000 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Beginning balance | $ 1,146,265 | [1] | $ 1,256,141 | |||
Total other comprehensive income (loss) | $ 8,384 | $ (20,973) | (37,278) | (20,967) | ||
Ending balance | 1,130,130 | [1] | 1,206,575 | 1,130,130 | [1] | 1,206,575 |
Net Unrealized Gains on Available-for-Sale Securities | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Beginning balance | 116,849 | 179,659 | 139,356 | 186,737 | ||
Other comprehensive income (loss) before reclassifications | 9,038 | (5,673) | 5,195 | (5,701) | ||
Amounts reclassified from other accumulated comprehensive income | (1,319) | (3,270) | (19,983) | (10,320) | ||
Total other comprehensive income (loss) | 7,719 | (8,943) | (14,788) | (16,021) | ||
Ending balance | 124,568 | 170,716 | 124,568 | 170,716 | ||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Beginning balance | (70,518) | (38,965) | (47,363) | (46,049) | ||
Other comprehensive income (loss) before reclassifications | 647 | (12,049) | (22,545) | (5,023) | ||
Amounts reclassified from other accumulated comprehensive income | 18 | 19 | 55 | 77 | ||
Total other comprehensive income (loss) | 665 | (12,030) | (22,490) | (4,946) | ||
Ending balance | $ (69,853) | $ (50,995) | $ (69,853) | $ (50,995) | ||
[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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | $ 11,918 | $ (14,169) | $ (18,686) | $ (17,105) |
Realized gains (losses), net | 6,615 | 5,548 | 26,037 | 16,170 |
Total interest expense | 21,597 | 23,875 | 67,991 | 70,844 |
Net Income before Provision for Income Taxes | 53,525 | 11,760 | 107,224 | 50,757 |
Other than temporary impairment recognized in AOCI | 2,000 | 2,000 | ||
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] | ||||
Investment fair value changes, net | 0 | 198 | 305 | 198 |
Realized gains (losses), net | (1,319) | (3,468) | (20,288) | (10,518) |
Net Income before Provision for Income Taxes | (1,319) | (3,270) | (19,983) | (10,320) |
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] | ||||
Net Income before Provision for Income Taxes | 18 | 19 | 55 | 77 |
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | Interest rate contract | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Total interest expense | $ 18 | $ 19 | $ 55 | $ 77 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Equity [Abstract] | ||||
Net income attributable to Redwood | $ 52,553 | $ 19,164 | $ 105,897 | $ 61,029 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,485) | (553) | (3,040) | (1,928) |
Net income allocated to common shareholders | $ 51,068 | $ 18,611 | $ 102,857 | $ 59,101 |
Basic weighted average common shares outstanding (shares) | 76,680,183 | 83,787,533 | 76,827,026 | 83,696,461 |
Basic earnings per common share (usd per share) | $ 0.67 | $ 0.22 | $ 1.34 | $ 0.71 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (1,439) | $ (553) | $ (3,226) | $ (1,928) |
Add back: Interest expense on convertible notes for the period, net of tax | 6,115 | 0 | 18,263 | 0 |
Net income allocated to common shareholders | $ 57,229 | $ 18,611 | $ 120,934 | $ 59,101 |
Net effect of dilutive equity awards (in shares) | 54,696 | 1,287,171 | 18,665 | 1,642,535 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 21,096,738 | 0 | 21,145,987 | 0 |
Diluted weighted average common shares outstanding (shares) | 97,831,617 | 85,074,704 | 97,991,678 | 85,338,996 |
Diluted earnings per common share (usd per share) | $ 0.58 | $ 0.22 | $ 1.23 | $ 0.69 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Feb. 28, 2016 | Aug. 31, 2015 | |
Stockholders Equity Note [Line Items] | ||||||
Shares repurchased pursuant to authorization | 1,078,743 | |||||
Shares repurchased, value | $ 24,764,000 | $ 35,376,000 | ||||
Share Repurchase Plan, August 2015 | ||||||
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 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||||
Shares repurchased pursuant to authorization | 259,005 | 2,451,523 | 2,451,523 | |||
Shares repurchased, value | $ 3,000,000 | 14,000,000 | ||||
Available authorization remaining for repurchase | $ 86,000,000 | $ 86,000,000 | ||||
Convertible notes | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 0 | 21,292,309 | 0 | 21,292,309 | ||
Equity awards | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 6,623 | 163,296 | 6,565 | 180,897 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2016USD ($)executive | Sep. 30, 2016USD ($)shares | 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 | 1,764,135 | 1,665,032 | |
Unrecognized compensation cost | $ | $ 14,799 | $ 23,608 | |
Equity compensation expense | $ | $ 10,600 | ||
Total stockholder return, measurement period (in days) | 40 days | ||
Share-based compensation, vesting period | 3 years | ||
Number of shares purchased by employees | 329,736 | 310,040 | |
Restricted Stock | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 207,543 | 187,180 | |
Number of stock awards granted | 144,056 | ||
Number of stock awards vested | 49,077 | ||
Number of stock awards forfeited | 74,616 | ||
Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 2,033,395 | 2,407,154 | |
Number of stock awards granted | 377,040 | ||
Number of stock awards vested | 1,247,119 | 1,363,548 | |
Number of stock awards forfeited | 62,955 | ||
Number of stock awards distributed | 687,844 | ||
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 (in shares) | 656,725 | 849,021 | |
Equity compensation expense | $ | $ 600 | ||
Number of executives departed | executive | 2 | ||
Share-based compensation, vesting period | 3 years | ||
Share-based compensation, vesting year | 2016 and in future years | ||
Minimum | Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Equity awards, vesting percentage | 0.00% | ||
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% |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Mar. 31, 2016 | Sep. 30, 2016 | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | $ 23,608 | $ 23,608 |
Equity grants | 6,518 | |
Equity grant forfeitures | (4,727) | |
Equity compensation (expense) income | (10,600) | |
Unrecognized Compensation Cost at End of Period | 14,799 | |
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 | 2,393 |
Equity grants | 1,753 | |
Equity grant forfeitures | (1,351) | |
Equity compensation (expense) income | (451) | |
Unrecognized Compensation Cost at End of Period | 2,344 | |
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 | 14,392 |
Equity grants | 4,641 | |
Equity grant forfeitures | (1,167) | |
Equity compensation (expense) income | (7,922) | |
Unrecognized Compensation Cost at End of Period | 9,944 | |
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 | 6,823 |
Equity grants | 0 | |
Equity grant forfeitures | (2,209) | |
Equity compensation (expense) income | (2,134) | |
Unrecognized Compensation Cost at End of Period | 2,480 | |
Employee Stock Purchase Plan | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized compensation cost at beginning of period | $ 0 | 0 |
Equity grants | 124 | |
Equity grant forfeitures | 0 | |
Equity compensation (expense) income | (93) | |
Unrecognized Compensation Cost at End of Period | $ 31 |
Mortgage Banking Activities,116
Mortgage Banking Activities, Net - Components of Mortgage Banking Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Mortgage Loans on Real Estate [Line Items] | ||||
Mortgage banking activities, net | $ 9,766 | $ 1,333 | $ 24,712 | $ 10,706 |
Residential Mortgage Banking Activities | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Other income (expense), net / other fee income | 382 | 1,177 | 606 | 3,209 |
Mortgage banking activities, net | 9,766 | 331 | 26,774 | 7,383 |
Residential Mortgage Banking Activities | Residential loans, at fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 12,671 | 36,183 | 47,456 | 54,375 |
Residential Mortgage Banking Activities | Sequoia securities | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 0 | 0 | 1,455 | (14,359) |
Residential Mortgage Banking Activities | Risk management derivatives, net | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | (3,287) | (37,029) | (22,743) | (35,842) |
Commercial Mortgage Banking Activities | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Other income (expense), net / other fee income | 0 | 109 | 43 | 336 |
Mortgage banking activities, net | 0 | 1,002 | (2,062) | 3,323 |
Commercial Mortgage Banking Activities | Risk management derivatives, net | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | 0 | (3,081) | (2,538) | (7,832) |
Commercial Mortgage Banking Activities | Commercial loans, at fair value | ||||
Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | $ 0 | $ 3,974 | $ 433 | $ 10,819 |
Investments Fair Value Chang117
Investments Fair Value Changes, Net - Components of Investment Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Investment Holdings [Line Items] | ||||
Investment Fair Value Changes, Net | $ 11,918 | $ (14,169) | $ (18,686) | $ (17,105) |
Investment Fair Value Changes, Net | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 11,918 | (14,169) | (18,686) | (17,105) |
Changes in fair value of risk management derivatives | 4,222 | (12,638) | (41,188) | (16,386) |
Investment Fair Value Changes, Net | 11,918 | (14,169) | (18,686) | (17,105) |
Investment Fair Value Changes, Net | Residential loans held-for-investment at Redwood | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (655) | 9,077 | 22,161 | 5,170 |
Investment Fair Value Changes, Net | Trading securities retained, at fair value | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 8,898 | (8,784) | 3,728 | (1,587) |
Investment Fair Value Changes, Net | Net investments in consolidated Sequoia entities | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (255) | (500) | (2,086) | (2,277) |
Investment Fair Value Changes, Net | Risk sharing investments | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 15 | (1,098) | (689) | (1,799) |
Investment Fair Value Changes, Net | Commercial Loans | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (307) | 0 | (307) | 0 |
Investment Fair Value Changes, Net | Impairments on AFS securities | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | $ 0 | $ (226) | $ (305) | $ (226) |
Operating Expenses - Components
Operating Expenses - Components of Operating Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Other Income and Expenses [Abstract] | |||||
Fixed compensation expense | $ 5,253 | $ 8,642 | $ 19,022 | $ 27,083 | |
Variable compensation expense | 5,802 | 3,567 | 11,824 | 11,135 | |
Equity compensation expense | 2,031 | 2,835 | 7,117 | 9,112 | |
Total compensation expense | 13,086 | 15,044 | 37,963 | 47,330 | |
Systems and consulting | 2,692 | 2,355 | 7,274 | 6,718 | |
Loan acquisition costs | 1,393 | 2,995 | 4,680 | 7,864 | |
Office costs | 1,056 | 1,314 | 3,501 | 3,912 | |
Accounting and legal | 721 | 1,047 | 3,043 | 3,754 | |
Corporate costs | 478 | 484 | 1,589 | 1,521 | |
Other operating expenses | 925 | 1,258 | 2,367 | 3,679 | |
Operating expenses before restructuring charges | 20,351 | 24,497 | 60,417 | 74,778 | |
Restructuring charges | 4 | $ 11,000 | 0 | 10,545 | 0 |
Total Operating Expenses | $ 20,355 | $ 24,497 | $ 70,962 | $ 74,778 |
Operating Expenses - Additional
Operating Expenses - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring charges | $ 4 | $ 11,000 | $ 0 | $ 10,545 | $ 0 |
Fixed compensation | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring charges | 5,000 | ||||
Equity compensation | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring charges | 4,000 | ||||
Contract Termination Costs | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring charges | $ 4 | $ 2,000 | $ 1,752 |
Taxes - Additional Information
Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Income Tax Disclosure [Abstract] | ||||
(Provision for) benefit from income taxes | $ (972) | $ 7,404 | $ (1,327) | $ 10,272 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 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 | (21.70%) | (36.50%) |
Change in valuation allowance | 6.60% | 20.90% |
Dividends paid deduction | (24.90%) | (45.80%) |
Effective Tax Rate | 1.20% | (20.20%) |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2016Segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 60,906 | $ 63,484 | $ 190,021 | $ 190,603 |
Interest expense | (21,597) | (23,875) | (67,991) | (70,844) |
Net Interest Income | 39,309 | 39,609 | 122,030 | 119,759 |
Reversal of provision for loan losses | 859 | 60 | 7,102 | 115 |
Mortgage banking activities, net | 9,766 | 1,333 | 24,712 | 10,706 |
MSR income (loss), net | 3,770 | 3,549 | 12,834 | (6,545) |
Investment fair value changes, net | 11,918 | (14,169) | (18,686) | (17,105) |
Other income | 1,643 | 327 | 4,157 | 2,435 |
Realized gains, net | 6,615 | 5,548 | 26,037 | 16,170 |
Total non-interest income (loss), net | 33,712 | (3,412) | 49,054 | 5,661 |
Direct operating expenses | (20,355) | (24,497) | (70,962) | (74,778) |
(Provision for) benefit from income taxes | (972) | 7,404 | (1,327) | 10,272 |
Net Income | 52,553 | 19,164 | 105,897 | 61,029 |
Non-cash amortization income (expense) | 5,112 | 8,002 | 17,427 | 24,970 |
Hedging allocations | 0 | 0 | ||
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 8,831 | 12,115 | 24,610 | 37,886 |
Interest expense | (3,826) | (4,313) | (10,719) | (11,389) |
Net Interest Income | 5,005 | 7,802 | 13,891 | 26,497 |
Reversal of provision for loan losses | 0 | 0 | 0 | 0 |
Mortgage banking activities, net | 9,766 | 331 | 26,774 | 7,383 |
MSR income (loss), net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 0 | 0 | 0 | 0 |
Other income | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest income (loss), net | 9,766 | 331 | 26,774 | 7,383 |
Direct operating expenses | (5,807) | (11,278) | (17,175) | (33,214) |
(Provision for) benefit from income taxes | (240) | 2,690 | (240) | 3,562 |
Net Income | 8,724 | (455) | 23,250 | 4,228 |
Non-cash amortization income (expense) | (28) | (45) | (102) | (135) |
Hedging allocations | (1,683) | 1,120 | ||
Operating Segments | Residential Investments | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 39,981 | 34,074 | 120,812 | 98,335 |
Interest expense | (4,471) | (2,660) | (14,076) | (8,137) |
Net Interest Income | 35,510 | 31,414 | 106,736 | 90,198 |
Reversal of provision for loan losses | 0 | 0 | 0 | 0 |
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
MSR income (loss), net | 3,770 | 3,549 | 12,834 | (6,545) |
Investment fair value changes, net | 11,973 | (13,622) | (16,913) | (14,745) |
Other income | 1,643 | 327 | 4,130 | 2,435 |
Realized gains, net | 1,991 | 5,548 | 21,312 | 16,170 |
Total non-interest income (loss), net | 19,377 | (4,198) | 21,363 | (2,685) |
Direct operating expenses | (2,498) | (1,311) | (6,517) | (3,600) |
(Provision for) benefit from income taxes | (732) | 4,082 | (1,087) | 3,824 |
Net Income | 51,657 | 29,987 | 120,495 | 87,737 |
Non-cash amortization income (expense) | 6,124 | 9,115 | 20,531 | 28,277 |
Hedging allocations | 1,683 | (1,070) | ||
Operating Segments | Commercial | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 7,195 | 11,191 | 29,927 | 34,784 |
Interest expense | (542) | (3,502) | (5,001) | (10,488) |
Net Interest Income | 6,653 | 7,689 | 24,926 | 24,296 |
Reversal of provision for loan losses | 859 | 60 | 7,102 | 115 |
Mortgage banking activities, net | 0 | 1,002 | (2,062) | 3,323 |
MSR income (loss), net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 203 | 0 | 408 | 0 |
Other income | 0 | 0 | 27 | 0 |
Realized gains, net | 4,624 | 0 | 4,433 | 0 |
Total non-interest income (loss), net | 4,827 | 1,002 | 2,806 | 3,323 |
Direct operating expenses | (253) | (3,136) | (2,524) | (9,638) |
(Provision for) benefit from income taxes | 0 | (389) | 0 | 321 |
Net Income | 12,086 | 5,226 | 32,310 | 18,417 |
Non-cash amortization income (expense) | (1) | (61) | (24) | (188) |
Hedging allocations | 0 | 0 | ||
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,899 | 6,104 | 14,672 | 19,598 |
Interest expense | (12,758) | (13,400) | (38,195) | (40,830) |
Net Interest Income | (7,859) | (7,296) | (23,523) | (21,232) |
Reversal of provision for loan losses | 0 | 0 | 0 | 0 |
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
MSR income (loss), net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (258) | (547) | (2,181) | (2,360) |
Other income | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 292 | 0 |
Total non-interest income (loss), net | (258) | (547) | (1,889) | (2,360) |
Direct operating expenses | (11,797) | (8,772) | (44,746) | (28,326) |
(Provision for) benefit from income taxes | 0 | 1,021 | 0 | 2,565 |
Net Income | (19,914) | (15,594) | (70,158) | (49,353) |
Non-cash amortization income (expense) | $ (983) | (1,007) | $ (2,978) | (2,984) |
Hedging allocations | $ 0 | $ (50) |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 60,906 | $ 63,484 | $ 190,021 | $ 190,603 |
Interest expense | (21,597) | (23,875) | (67,991) | (70,844) |
Net Interest Income | 39,309 | 39,609 | 122,030 | 119,759 |
Investment fair value changes, net | 11,918 | (14,169) | (18,686) | (17,105) |
Realized gains, net | 6,615 | 5,548 | 26,037 | 16,170 |
Total non-interest income (loss), net | 33,712 | (3,412) | 49,054 | 5,661 |
Direct operating expenses | (20,355) | (24,497) | (70,962) | (74,778) |
Provision for income taxes | (972) | 7,404 | (1,327) | 10,272 |
Net Income | 52,553 | 19,164 | 105,897 | 61,029 |
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,899 | 6,104 | 14,672 | 19,598 |
Interest expense | (12,758) | (13,400) | (38,195) | (40,830) |
Net Interest Income | (7,859) | (7,296) | (23,523) | (21,232) |
Investment fair value changes, net | (258) | (547) | (2,181) | (2,360) |
Realized gains, net | 0 | 0 | 292 | 0 |
Total non-interest income (loss), net | (258) | (547) | (1,889) | (2,360) |
Direct operating expenses | (11,797) | (8,772) | (44,746) | (28,326) |
Provision for income taxes | 0 | 1,021 | 0 | 2,565 |
Net Income | (19,914) | (15,594) | (70,158) | (49,353) |
Corporate/Other | Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,837 | 6,098 | 14,525 | 19,578 |
Interest expense | (3,274) | (3,842) | (9,842) | (12,372) |
Net Interest Income | 1,563 | 2,256 | 4,683 | 7,206 |
Investment fair value changes, net | (255) | (501) | (2,086) | (2,277) |
Realized gains, net | 0 | 0 | ||
Total non-interest income (loss), net | (255) | (501) | (2,086) | (2,277) |
Direct operating expenses | 0 | 0 | 0 | 0 |
Provision for income taxes | 0 | 0 | 0 | 0 |
Net Income | 1,308 | 1,755 | 2,597 | 4,929 |
Corporate/Other | Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 62 | 6 | 147 | 20 |
Interest expense | (9,484) | (9,558) | (28,353) | (28,458) |
Net Interest Income | (9,422) | (9,552) | (28,206) | (28,438) |
Investment fair value changes, net | (3) | (46) | (95) | (83) |
Realized gains, net | 292 | 0 | ||
Total non-interest income (loss), net | (3) | (46) | 197 | (83) |
Direct operating expenses | (11,797) | (8,772) | (44,746) | (28,326) |
Provision for income taxes | 0 | 1,021 | 0 | 2,565 |
Net Income | $ (21,222) | $ (17,349) | $ (72,755) | $ (54,282) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Segment Reporting Information [Line Items] | |||
Residential loans | $ 4,311,164 | $ 3,928,803 | |
Commercial loans | 30,400 | 402,647 | |
Real estate securities | [1] | 936,910 | 1,233,256 |
Mortgage servicing rights, at fair value | [1] | 106,009 | 191,976 |
Total assets | [1] | 5,872,619 | 6,220,047 |
Operating Segments | Residential Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 1,188,514 | 1,115,738 | |
Commercial loans | 0 | 0 | |
Real estate securities | 0 | 197,007 | |
Mortgage servicing rights, at fair value | 0 | 0 | |
Total assets | 1,215,240 | 1,347,492 | |
Operating Segments | Residential Investments | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 2,282,674 | 1,791,195 | |
Commercial loans | 0 | 0 | |
Real estate securities | 864,300 | 1,028,171 | |
Mortgage servicing rights, at fair value | 106,009 | 191,976 | |
Total assets | 3,470,013 | 3,140,604 | |
Operating Segments | Commercial | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 0 | 0 | |
Commercial loans | 30,400 | 402,647 | |
Real estate securities | 72,610 | 8,078 | |
Mortgage servicing rights, at fair value | 0 | 0 | |
Total assets | 103,507 | 415,716 | |
Corporate/Other | |||
Segment Reporting Information [Line Items] | |||
Residential loans | 839,976 | 1,021,870 | |
Commercial loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
Mortgage servicing rights, at fair value | 0 | 0 | |
Total assets | $ 1,083,859 | $ 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 September 30, 2016 and December 31, 2015, assets of consolidated VIEs totaled $847,399 and $1,195,574, respectively. At September 30, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $820,391 and $1,050,861, respectively. See Note 4 for further discussion. |