Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 20, 2017 | Jun. 30, 2016 | |
Document And Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2,016 | ||
Document Fiscal Period Focus | Q4 | ||
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 | 76,923,505 | ||
Entity Public Float | $ 1,040,561,774 | ||
Entity Current Reporting Status | Yes | ||
Entity Voluntary Filers | No | ||
Entity Well-known Seasoned Issuer | Yes |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Real estate securities, at fair value | [1] | $ 1,018,439 | $ 1,233,256 |
Mortgage servicing rights, at fair value | [1] | 118,526 | 191,976 |
Cash and cash equivalents | [1] | 212,844 | 220,229 |
Total earning assets | [1] | 5,240,560 | 5,976,911 |
Restricted cash | [1] | 8,623 | 5,567 |
Accrued interest receivable | [1] | 18,454 | 23,290 |
Derivative assets | [1] | 36,595 | 16,393 |
Other assets | [1] | 179,245 | 197,886 |
Total Assets | [1] | 5,483,477 | 6,220,047 |
Liabilities | |||
Short-term debt | [1] | 791,539 | 1,855,003 |
Accrued interest payable | [1] | 9,608 | 8,936 |
Derivative liabilities | [1] | 66,329 | 62,794 |
Accrued expenses and other liabilities | [1] | 72,428 | 69,897 |
Asset-backed securities issued (includes $773,462 and $996,820 at fair value), net | [1],[2] | 773,462 | 1,049,415 |
Long-term debt (includes $0 and $63,152 at fair value), net | [1],[2] | 2,620,683 | 2,027,737 |
Total liabilities | [1] | 4,334,049 | 5,073,782 |
Equity | |||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,834,663 and 78,162,765 issued and outstanding | [1] | 768 | 782 |
Additional paid-in capital | [1] | 1,676,486 | 1,695,956 |
Accumulated other comprehensive income | [1] | 71,853 | 91,993 |
Cumulative earnings | [1] | 1,149,935 | 1,018,683 |
Cumulative distributions to stockholders | [1] | (1,749,614) | (1,661,149) |
Total equity | [1] | 1,149,428 | 1,146,265 |
Total Liabilities and Equity | [1] | 5,483,477 | 6,220,047 |
Residential Loans Held For Sale | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 835,399 | 1,115,738 |
Residential Loans Held For Investment | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 3,052,652 | 2,813,065 |
Commercial Loans Held For Sale | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 2,700 | 39,141 |
Commercial loans, held-for-investment | |||
ASSETS | |||
Loan market valuation adjustment | [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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. | ||
[2] | At December 31, 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 $7,081 and $10,438, respectively, of deferred debt issuance costs. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Asset-backed securities, fair value | $ 773,462 | $ 996,820 |
Long-term debt at fair value | $ 0 | $ 63,152 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 180,000,000 | 180,000,000 |
Common stock, issued (in shares) | 76,834,663 | 78,162,765 |
Common stock, outstanding (in shares) | 76,834,663 | 78,162,765 |
Variable interest held by entity, assets | $ 798,317 | $ 1,195,574 |
Variable interest held by entity, liabilities | 773,980 | 1,050,861 |
Asset-backed securities issued, net | ||
Deferred debt issuance costs | 0 | 542 |
Long-term Debt | ||
Deferred debt issuance costs | 7,081 | 10,438 |
Commercial Loans Held For Sale | ||
Residential loans | 0 | 39,141 |
Commercial loans, held-for-investment | ||
Residential loans | $ 0 | $ 67,657 |
Consolidated Statements Of Inco
Consolidated Statements Of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Interest Income | |||
Residential loans | $ 137,804 | $ 114,715 | $ 68,949 |
Commercial loans | 30,496 | 46,933 | 47,567 |
Real estate securities | 76,873 | 97,448 | 125,482 |
Other interest income | 1,182 | 336 | 72 |
Total interest income | 246,355 | 259,432 | 242,070 |
Interest Expense | |||
Short-term debt | (22,287) | (30,572) | (25,990) |
Asset-backed securities issued | (14,735) | (21,469) | (31,227) |
Long-term debt | (51,506) | (43,842) | (30,246) |
Total interest expense | (88,528) | (95,883) | (87,463) |
Net Interest Income | 157,827 | 163,549 | 154,607 |
Reversal of (provision for) loan losses | 7,102 | 355 | (961) |
Net Interest Income after Provision | 164,929 | 163,904 | 153,646 |
Non-interest Income | |||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 |
Mortgage servicing rights income (loss), net | 14,353 | (3,922) | (4,261) |
Investment fair value changes, net | (28,574) | (21,357) | (10,202) |
Other income | 6,338 | 3,192 | 1,781 |
Realized gains, net | 28,009 | 36,369 | 15,478 |
Total non-interest income, net | 58,817 | 25,254 | 37,790 |
Operating expenses | (88,786) | (97,416) | (90,123) |
Net Income before Provision for Income Taxes | 134,960 | 91,742 | 101,313 |
(Provision for) benefit from income taxes | (3,708) | 10,346 | (744) |
Net Income | $ 131,252 | $ 102,088 | $ 100,569 |
Basic earnings per common share (in dollars per share) | $ 1.66 | $ 1.20 | $ 1.18 |
Diluted earnings per common share (in dollars per share) | 1.54 | 1.18 | 1.15 |
Regular dividends declared per common share (in dollars per share) | $ 1.12 | $ 1.12 | $ 1.12 |
Basic weighted average shares outstanding (in shares) | 76,747,047 | 82,945,103 | 82,837,369 |
Diluted weighted average shares outstanding (in shares) | 97,909,090 | 84,518,395 | 85,098,579 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 131,252 | $ 102,088 | $ 100,569 | |
Other comprehensive (loss) income: | ||||
Net unrealized (loss) gain on available-for-sale securities | [1] | (2,316) | (17,955) | 32,635 |
Reclassification of unrealized gain on available-for-sale securities to net income | (21,167) | (29,426) | (10,552) | |
Net unrealized gain (loss) on interest rate agreements | 3,271 | (1,409) | (30,325) | |
Reclassification of unrealized loss on interest rate agreements to net income | 72 | 95 | 164 | |
Total other comprehensive (loss) income | (20,140) | (48,695) | (8,078) | |
Total Comprehensive Income | 111,112 | 53,393 | 92,491 | |
Other comprehensive income (loss). before reclassification adjustments, tax benefit (provision) | $ 1,000 | $ (400) | $ (2,000) | |
[1] | Amounts are presented net of tax benefit (provision) of $1 million, $(0.4) million, and $(2) million for the years ended December 31, 2016, 2015, and 2014, respectively. |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | ||
Beginning balance (in shares) at Dec. 31, 2013 | 82,504,801 | |||||||
Balance at beginning of period at Dec. 31, 2013 | $ 1,245,783 | $ 825 | $ 1,760,899 | $ 148,766 | $ 806,298 | $ (1,471,005) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net income | 100,569 | 100,569 | ||||||
Other comprehensive income (loss) | (8,078) | (8,078) | ||||||
Dividend reinvestment & stock purchase plans (in shares) | 488,174 | |||||||
Dividend reinvestment & stock purchase plans | 9,017 | $ 5 | 9,012 | |||||
Employee stock purchase and incentive plans (in shares) | 450,166 | |||||||
Employee stock purchase and incentive plans | (7,148) | $ 4 | (7,152) | |||||
Non-cash equity award compensation | 11,271 | 11,271 | ||||||
Common dividends declared | (95,273) | (95,273) | ||||||
Ending balance (in shares) at Dec. 31, 2014 | 83,443,141 | |||||||
Balance at End of Period at Dec. 31, 2014 | 1,256,141 | $ 834 | 1,774,030 | 140,688 | 906,867 | (1,566,278) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Beginning balance, adjusted | 1,265,869 | $ 834 | 1,774,030 | 140,688 | 916,595 | (1,566,278) | ||
Cumulative effect adjustment - adoption of ASU 2014-13 | Accounting Standards Update 2014-13 | [1] | 9,728 | 9,728 | |||||
Net income | 102,088 | 102,088 | ||||||
Other comprehensive income (loss) | (48,695) | (48,695) | ||||||
Dividend reinvestment & stock purchase plans (in shares) | 418,508 | |||||||
Dividend reinvestment & stock purchase plans | 6,834 | $ 4 | 6,830 | |||||
Employee stock purchase and incentive plans (in shares) | 753,429 | |||||||
Employee stock purchase and incentive plans | (7,981) | $ 7 | (7,988) | |||||
Non-cash equity award compensation | 11,806 | 11,806 | ||||||
Share repurchases (in shares) | (6,452,313) | |||||||
Share repurchases | (88,785) | $ (63) | (88,722) | |||||
Common dividends declared | (94,871) | (94,871) | ||||||
Ending balance (in shares) at Dec. 31, 2015 | 78,162,765 | |||||||
Balance at End of Period at Dec. 31, 2015 | 1,146,265 | [2] | $ 782 | 1,695,956 | 91,993 | 1,018,683 | (1,661,149) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net income | 131,252 | 131,252 | ||||||
Other comprehensive income (loss) | (20,140) | (20,140) | ||||||
Employee stock purchase and incentive plans (in shares) | 614,952 | |||||||
Employee stock purchase and incentive plans | (7,025) | $ 5 | (7,030) | |||||
Non-cash equity award compensation | 12,648 | 12,648 | ||||||
Share repurchases (in shares) | (1,943,054) | |||||||
Share repurchases | (25,107) | $ (19) | (25,088) | |||||
Common dividends declared | (88,465) | (88,465) | ||||||
Ending balance (in shares) at Dec. 31, 2016 | 76,834,663 | |||||||
Balance at End of Period at Dec. 31, 2016 | $ 1,149,428 | [2] | $ 768 | $ 1,676,486 | $ 71,853 | $ 1,149,935 | $ (1,749,614) | |
[1] | On January 1, 2015, we adopted ASU 2014-13. See Note 3 for further discussion. | |||||||
[2] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |||
Cash Flows From Operating Activities: | |||||
Net income | $ 131,252 | $ 102,088 | $ 100,569 | ||
Adjustments to reconcile net income to net cash used in operating activities: | |||||
Amortization of premiums, discounts, and securities issuance costs, net | (26,487) | (34,089) | (34,133) | ||
Depreciation and amortization of non-financial assets | 1,140 | 824 | 513 | ||
Purchases of held-for-sale loans | (4,953,619) | (11,045,813) | (9,917,943) | ||
Proceeds from sales of held-for-sale loans | 4,192,671 | 9,761,010 | 8,126,249 | ||
Principal payments on held-for-sale loans | 80,033 | 80,299 | 30,233 | ||
Net settlements of derivatives | (7,301) | (59,406) | (33,220) | ||
(Reversal of) provision for loan losses | (7,102) | (355) | 961 | ||
Non-cash equity award compensation expense | 12,648 | 11,806 | 11,271 | ||
Market valuation adjustments | 12,917 | 51,975 | 298 | ||
Realized gains, net | (28,009) | (36,369) | (15,478) | ||
Net change in: | |||||
Accrued interest receivable and other assets | 42,572 | (88,173) | (57,685) | ||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | 3,632 | 5,993 | (2,768) | ||
Net cash used in operating activities | (545,653) | (1,250,210) | (1,791,133) | ||
Cash Flows From Investing Activities: | |||||
Purchases of loans held-for-investment | 0 | (22,219) | (87,454) | ||
Proceeds from sales of loans held-for-investment | 235,604 | 6,459 | 0 | ||
Principal payments on loans held-for-investment | 798,831 | 500,239 | 364,040 | ||
Purchases of real estate securities | (318,268) | (179,265) | (168,654) | ||
Proceeds from sales of real estate securities | 497,191 | 439,493 | 504,754 | ||
Principal payments on real estate securities | 80,055 | 138,630 | 174,241 | ||
Purchase of mortgage servicing rights | (15,338) | (32,388) | (46,113) | ||
Proceeds from sales of mortgage servicing rights | 58,642 | 17,235 | 0 | ||
Net change in restricted cash | (3,056) | (4,939) | (230) | ||
Net cash provided by investing activities | 1,333,661 | 863,245 | 740,584 | ||
Cash Flows From Financing Activities: | |||||
Proceeds from borrowings on short-term debt | 3,918,083 | 8,570,291 | 8,320,982 | ||
Repayments on short-term debt | (4,981,547) | (8,534,802) | (7,442,836) | ||
Repayments on asset-backed securities issued | (261,351) | (388,962) | (396,734) | ||
Deferred securities issuance costs | 0 | (33) | (6,934) | ||
Proceeds from issuance of long-term debt | 771,287 | 1,400,222 | 770,042 | ||
Repayments on long-term debt | (118,146) | (527,371) | (685) | ||
Net settlements of derivatives | (156) | (43) | (3,352) | ||
Net proceeds from issuance of common stock | 304 | 7,301 | 9,511 | ||
Net payments on repurchase of common stock | (28,073) | (85,820) | 0 | ||
Taxes paid on equity award distributions | (7,329) | (8,448) | (7,643) | ||
Dividends paid | (88,465) | (94,871) | (95,273) | ||
Net cash (used in) provided by financing activities | (795,393) | 337,464 | 1,147,078 | ||
Net (decrease) increase in cash and cash equivalents | (7,385) | (49,501) | 96,529 | ||
Cash and cash equivalents at beginning of period | 220,229 | [1] | 269,730 | 173,201 | |
Cash and cash equivalents at end of period | 212,844 | [1] | 220,229 | [1] | 269,730 |
Cash paid during the period for: | |||||
Interest | 87,164 | 86,849 | 81,350 | ||
Taxes | 1,303 | 165 | 1,407 | ||
Supplemental Noncash Information: | |||||
Real estate securities retained from loan securitizations | 9,127 | 244,177 | 150,387 | ||
Retention of mortgage servicing rights from loan securitizations and sales | 10,060 | 64,725 | 48,000 | ||
Transfers from loans held-for-sale to loans held-for-investment | 1,063,860 | 1,555,814 | 633,707 | ||
Transfers from loans held-for-investment to loans held-for-sale | 359,005 | 154,012 | 0 | ||
Transfers from residential loans to real estate owned | $ 11,632 | $ 8,500 | $ 6,844 | ||
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Organization
Organization | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, focuses on investing in mortgages 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. Our primary sources of income are net interest income from our investment portfolios and non-interest income from our mortgage banking activities. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities consists of the profit we seek to generate through the acquisition of loans and their subsequent sale or securitization. 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.” 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. Refer to Item 1 - Business in this Annual Report on Form 10-K for additional information on our business. |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at December 31, 2016 and December 31, 2015 , and for the years ended December 31, 2016 , 2015 , and 2014 . These consolidated financial statements have been 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”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at December 31, 2016 and results of operations for all periods presented have been made. 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 II, Item 7, Management’s Discussion and Analysis of Financial Condition and Results of Operations in this Annual Report on Form 10-K. 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 Note 18 and Note 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 in which we engaged (“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 and the assets of the entity were distributed to us. 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 13 for further discussion on ABS issued. 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 | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Fair Value Measurements Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement for assets is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. See Note 5 for further discussion on fair value measurements. Fair Value Option We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, MSRs, interest only (“IO”) securities, and certain mezzanine classified subordinate securities. We generally elect the fair value option for residential loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our MSRs, IO securities, and certain subordinate securities, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, upon the adoption of ASU 2014-13 in 2015, we elected the fair value option for the assets and liabilities of our consolidated Sequoia entities. See Note 5 for further discussion on the fair value option. Real Estate Loans Residential and Commercial Loans - Held-for-Sale at Fair Value Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential loans (and previously for commercial loans) that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential and Commercial Loans - Held-for-Sale at Lower of Cost or Market Loans held-for-sale at lower of cost or market include certain residential and commercial loans. These loans are recorded and subsequently reported at the lower of their initial carrying amount or current fair value. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a residential loan becoming greater than 90 days past due is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are non-recurring and are reported through our consolidated statements of income in Mortgage banking activities, net and Investment fair value changes, net, for residential and commercial loans, respectively. Residential Loans Held-for-Investment - At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI") when the loans were transferred to our FHLBC member subsidiary and pledged as collateral for borrowings made from the Federal Home Loan Bank of Chicago (“FHLBC”). As of December 31, 2016 , our current intention is to hold these loans for longer-term investment while they are financed by the FHLBC. In addition, on January 1, 2015, we adopted ASU 2014-13 and began to record loans held at consolidated Sequoia entities at fair value. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Commercial Loans Held-for-Investment - At Fair Value We elected the fair value option for certain senior commercial mortgage loans that we originated and bifurcated into a senior portion that was sold to a third party and a junior portion that we retained as an investment (during 2016, we disposed of all of our interests in these loans). As the initial transfer of the senior portions did not meet the criteria for sale treatment under GAAP, the loans in their entirety (the senior and junior portions) remained on our consolidated balance sheet, and we accounted for the transfer of the senior portion as a secured borrowing. Coupon interest was recognized as revenue when earned and deemed collectible. Changes in fair value were recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Commercial Loans Held-for-Investment - At Amortized Cost Commercial loans held-for-investment at amortized cost historically included certain commercial loans prior to their transfer to held-for-sale classification during 2016. Coupon interest was recognized as revenue when earned and deemed collectible or until a loan became more than 90 days past due or had been individually impaired, at which point the loan was placed on non-accrual status. Interest previously accrued for loans that had become greater than 90 days past due or individually impaired was reserved for in the allowance for loan losses. See Note 7 for further discussion on commercial loans. Residential Loans - Allowance for Loan Losses and Foreclosed Loans Upon the adoption of ASU 2014-13 on January 1, 2015, we reclassified all residential loans held at amortized cost to fair value and eliminated our allowance for loan losses for residential loans. See Note 6 for further discussion on the allowance for loan losses for residential loans. Commercial Loans - Allowance for Loan Losses For commercial loans historically classified as held-for-investment at amortized cost, we established and maintained a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we determined to be impaired at the reporting date. An individual loan was considered impaired when it was deemed probable that we would not be able to collect all amounts due according to the contractual terms of the loan. Where an individual commercial loan was impaired, we recorded an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan was collateral dependent, we reduced the carrying value to the estimated fair market value of the loan with a corresponding charge to provision for loan losses on our consolidated statements of income. For all commercial loans that were not individually impaired, we assessed the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Repurchase Reserves We sell and have sold residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (“the Agencies”), and (3) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase residential mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. With respect to MSRs we purchase, if the associated residential loan has been sold to one of the Agencies (which is typically the case), that Agency can require us, as the owner of the MSR, to repurchase the residential loan in the event of such a breach of representations and warranties even though we were not the party that sold the associated loan to that Agency. In January 2016, we discontinued the acquisition and aggregation of conforming loans for resale to the Agencies. We do not originate residential mortgage loans and 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 or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and MSRs are purchased and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income. See Note 15 for further discussion on the residential repurchase reserves. Real Estate Securities, at Fair Value Our securities primarily consist of residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of OTTI as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either - (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows - the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date as an impairment through market valuation adjustments on our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheets. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. See Note 8 for further discussion on real estate securities. MSRs We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in MSR income (loss), net on our consolidated statements of income. See Note 9 for further discussion on MSRs. Cash and Cash Equivalents Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions. Restricted Cash Restricted cash primarily includes cash held in association with borrowings from the Federal Home Loan Bank of Chicago, and cash associated with our risk sharing transactions with the Agencies, as well as principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. Accrued Interest Receivable Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. Derivative Financial Instruments Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through MSR income (loss), net if they are used to manage risks associated with our MSR investments, through Mortgage banking activities , net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Eurodollar Futures and Financial Futures Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. CMBX Credit Default Index Swaps CMBX credit default index swaps are derivative instruments that reference an index reflecting the performance of specified tranches from selected commercial mortgage-backed securities (“CMBS”) transactions. Transacting in CMBX credit default index swaps enables us to hedge certain financial risks we are exposed to as we originate senior commercial mortgage loans in anticipation of the sale of these loans into CMBS transactions. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. See Note 10 for further discussion on derivative financial instruments. Deferred Tax Assets and Liabilities Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. Other Assets and Other Liabilities Other assets primarily consists of margin receivable, pledged collateral, FHLBC stock, guarantee asset, and REO. Other liabilities primarily consists of accrued compensation, guarantee obligations, margin payable, and residential loan and MSR repurchase reserves. FHLBC Stock In accordance with its borrowing agreement with the FHLBC, our FHLB-member subsidiary is required to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. FHLBC stock is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLBC, carrying value, or cost, approximates fair value. Dividends received from FHLBC stock are recorded in other income, net in our consolidated statements of income. Margin Receivable and Payable Margin receivable and payable result from margin calls between us and our derivatives, master repurchase agreements, and warehouse facilities counterparties, whereby we or the counterparty were required to post collateral. Agency Risk-Sharing - Other Assets and Liabilities During 2014 and 2015, we entered into various risk-sharing arrangements with Fannie Mae and Freddie Mac. Under these arrangements, we committed to assume the first 1.00% or 2.25% (depending on the arrangement) of losses realized on reference pools of conforming residential mortgage loans that we acquired and then sold to the Agencies. As part of these risk sharing arrangements, during the 10 year term of our first Fannie Mae arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans, and for our Freddie Mac and our subsequent Fannie Mae arrangements, the Agencies charged us a reduced guarantee fee for the reference loans we delivered to them in exchange for mortgage backed securities, which we then sold. Under these arrangements we are required to pledge assets to the Agencies to collateralize our risk sharing commitments to them throughout the terms of the arrangements. These pledged assets are held by a third-party custodian for the benefit of the Agencies. To the extent approved losses are incurred, the custodian will transfer collateral to the Agencies. As a result of these transactions, we recorded “pledged collateral” in the other assets line item, and “guarantee obligations” in the other liabilities line item, on our consolidated balance sheets. In addition, for the first Fannie Mae transaction, we recorded a “guarantee asset” in the other assets line item on our consolidated balance sheets. The guarantee obligations represent our commitments to assume losses under these arrangements, which at inception were recorded at fair value based on the fair value of the guarantee asset in the case of the first Fannie Mae arrangement, and the additional proceeds received that were attributable to the reduced guarantee fees for the Freddie Mac and subsequent Fannie Mae arrangements. We amortize the guarantee obligations over the 10 year terms of the arrangements based primarily on changes in the outstanding unpaid principal balance of loans in the reference pools, with a portion of the liabilities treated as a credit reserve that is not amortized into income. In addition, each period we assess the need for a separate loss allowance related to these arrangements, based on our estimate of credit losses inherent in the reference pools of loans. Income from cash payments received under the first Fannie Mae risk sharing arrangement and income related to the amortization of the guarantee obligations of all three arrangements are recorded in other income, and market valuation changes of the guarantee asset are recorded in Investment fair value changes, net on our consolidated statements of income. Our consolidated balance sheets include assets of the special purpose entities ("SPEs") associated with these risk sharing arrangements |
Principles of Consolidation
Principles of Consolidation | 12 Months Ended |
Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs As of December 31, 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 December 31, 2016 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 791,636 $ — $ 791,636 Restricted cash 148 — 148 Accrued interest receivable 1,000 — 1,000 Other assets 5,533 — 5,533 Total Assets $ 798,317 $ — $ 798,317 Accrued interest payable $ 518 $ — $ 518 Asset-backed securities issued 773,462 — 773,462 Total Liabilities $ 773,980 $ — $ 773,980 Number of VIEs 20 — 20 December 31, 2015 Sequoia Commercial 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 We consolidate the assets and liabilities of certain Sequoia securitization entities, as we did not meet the GAAP sale criteria at the time we transferred financial assets to these entities. Our involvement in consolidated Sequoia entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia entities in accordance with GAAP. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 29 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. During the years ended December 31, 2016 and 2015 , we transferred residential loans to three and four Sequoia securitization entities sponsored by us, respectively, and accounted for these transfers as sales for financial reporting purposes. The following table presents information related to securitization transactions that occurred during the years ended December 31, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2016 2015 Principal balance of loans transferred $ 1,036,584 $ 1,375,532 Trading securities retained, at fair value 3,573 252,222 AFS securities retained, at fair value 5,554 7,852 MSRs recognized 6,451 8,202 The following table summarizes the cash flows during the years ended December 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2016 2015 Proceeds from new transfers $ 1,057,688 $ 1,139,052 MSR fees received 13,842 14,874 Funding of compensating interest (338 ) (363 ) Cash flows received on retained securities 30,191 43,460 The following table presents the key weighted average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during 2016 and 2015. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Year Ended December 31, 2016 Year Ended December 31, 2015 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rates 21 % N/A 15 % 14 % 10 % 8 % Discount rates 11 % N/A 6 % 11 % 3 % 6 % Credit loss assumptions N/A N/A 0.25 % N/A 0.12 % 0.24 % The following table presents additional information at December 31, 2016 and December 31, 2015 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) December 31, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 41,909 $ 258,697 Subordinate securities, classified as AFS 234,025 272,715 Mortgage servicing rights 58,800 56,984 Maximum loss exposure (1) $ 334,734 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 6,870,398 $ 7,318,167 Principal balance of loans 30+ days delinquent 21,427 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 December 31, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood December 31, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2016 $ 58,800 $ 26,618 $ 249,317 Expected life (in years) (2) 7 6 12 Prepayment speed assumption (annual CPR) (2) 11 % 8 % 12 % Decrease in fair value from: 10% adverse change $ 2,226 $ 1,075 $ 997 25% adverse change 5,284 2,569 2,494 Discount rate assumption (2) 11 % 8 % 6 % Decrease in fair value from: 100 basis point increase $ 2,088 $ 1,105 $ 19,574 200 basis point increase 4,032 2,128 36,574 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 19 $ 1,174 25% higher losses N/A 49 2,933 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 $27 million and $31 million of interest only securities at December 31, 2016 and December 31, 2015 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. Analysis of Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at December 31, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) December 31, 2016 Mortgage Backed Securities Senior $ 146,995 Re-REMIC 85,479 Subordinate 510,030 Total Investments in Third-Party Sponsored VIEs $ 742,504 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 | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities December 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 834,193 $ 834,193 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,206 1,365 1,433 1,635 Residential loans, held-for-investment At fair value 3,052,652 3,052,652 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 2,700 2,700 — — Commercial loans, held-for-investment At fair value — — 67,657 67,657 At amortized cost — — 295,849 300,824 Trading securities 445,687 445,687 404,011 404,011 Available-for-sale securities 572,752 572,752 829,245 829,245 MSRs 118,526 118,526 191,976 191,976 Cash and cash equivalents 212,844 212,844 220,229 220,229 Restricted cash 8,623 8,623 5,567 5,567 Accrued interest receivable 18,454 18,454 23,290 23,290 Derivative assets 36,595 36,595 16,393 16,393 REO (1) 5,533 5,560 4,896 5,282 Margin receivable (1) 68,038 68,038 83,191 83,191 FHLBC stock (1) 43,393 43,393 34,437 34,437 Guarantee asset (1) 4,092 4,092 5,697 5,697 Pledged collateral (1) 42,875 42,875 53,600 53,600 Liabilities Short-term debt $ 791,539 $ 791,539 $ 1,855,003 $ 1,855,003 Accrued interest payable 9,608 9,608 8,936 8,936 Margin payable 12,783 12,783 6,415 6,415 Guarantee obligation 21,668 22,181 22,704 22,702 Derivative liabilities 66,329 66,329 62,794 62,794 ABS issued, net (2) Fair value 773,462 773,462 996,820 996,820 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) 482,195 493,365 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,489 96,255 138,443 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 years ended December 31, 2016 and 2015 , we elected the fair value option for $5 million and $236 million of residential senior securities, $288 million and $164 million of subordinate securities, $4.85 billion and $10.21 billion of residential loans (principal balance), $38 million and $618 million of commercial loans (principal balance), and $25 million and $95 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 December 31, 2016 and December 31, 2015 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,886,845 $ — $ — $ 3,886,845 Trading securities 445,687 — — 445,687 Available-for-sale securities 572,752 — — 572,752 Derivative assets 36,595 8,300 24,980 3,315 MSRs 118,526 — — 118,526 Pledged collateral 42,875 42,875 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 4,092 — — 4,092 Liabilities Derivative liabilities $ 66,329 $ 5,609 $ 56,919 $ 3,801 ABS issued 773,462 — — 773,462 December 31, 2015 Carrying 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 years ended December 31, 2016 and December 31, 2015 . 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 4,747,564 37,625 292,875 34,520 25,362 — — — — Sales (3,813,538 ) (81,523 ) (244,219 ) (252,696 ) (62,440 ) — — — — Principal paydowns (806,081 ) (476 ) (17,827 ) (62,229 ) — — — (306 ) (208,215 ) Gains (losses) in net income, net (33,893 ) 2,791 10,847 48,399 (36,372 ) (1,605 ) 30,193 2,369 (8,275 ) Unrealized losses in OCI, net — — — (24,487 ) — — — — — Other settlements, net (2) (4,758 ) (65,215 ) — — — — (33,887 ) (65,215 ) (6,868 ) Ending balance - December 31, 2016 $ 3,886,845 $ — $ 445,687 $ 572,752 $ 118,526 $ 4,092 $ (486 ) $ — $ 773,462 Assets Liabilities (In Thousands) Residential Loans Commercial Loans Trading Securities AFS Securities MSRs Guarantee Asset Derivatives (1) Commercial Secured Borrowings ABS Issued Beginning balance - December 31, 2014 $ 1,677,984 $ 237,496 $ 111,606 $ 1,267,624 $ 139,293 $ 7,201 $ 1,119 $ 66,707 $ — Transfer to FVO (3) 1,370,699 — — — — — — — 1,302,216 Acquisitions 5,231,532 617,519 399,990 33,370 95,281 — — — — Sales (3,857,807 ) (754,636 ) (83,038 ) (366,373 ) (18,206 ) — — — (1,362 ) Principal paydowns (612,473 ) (780 ) (7,245 ) (131,387 ) — — — (593 ) (312,800 ) Gains (losses) in net income, net (6,071 ) 7,199 (17,302 ) 72,612 (24,392 ) (1,377 ) 60,823 (3,011 ) 8,366 Unrealized gains in OCI, net — — — (46,961 ) — — — — — Other settlements, net (2) (6,313 ) — — 360 — (127 ) (58,734 ) 49 400 Ending balance - December 31, 2015 $ 3,797,551 $ 106,798 $ 404,011 $ 829,245 $ 191,976 $ 5,697 $ 3,208 $ 63,152 $ 996,820 (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 and commercial loans, the reduction in 2016 represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes. (3) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See Note 3 for further discussion. The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2016 , 2015 , and 2014 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2016 , 2015 , and 2014 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2016 , 2015 , and 2014 Included in Net Income Included in Net Income Years Ended December 31, (In Thousands) 2016 2015 2014 Assets Residential loans at Redwood $ (17,370 ) $ (5,541 ) $ 16,512 Residential loans at consolidated Sequoia entities (14,391 ) 7,422 — Commercial loans — (2,620 ) 3,357 Trading securities 7,184 (13,391 ) (25,216 ) Available-for-sale securities (368 ) (246 ) (434 ) MSRs 42,964 (3,471 ) (15,239 ) Loan purchase commitments — 4,252 1,119 Other assets - Guarantee asset (1,605 ) (1,504 ) — Liabilities Loan purchase commitments $ (486 ) $ — $ — Commercial secured borrowing — 3,011 2,033 ABS issued 8,275 (8,366 ) — The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2016 and December 31, 2015 . This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2016 and December 31, 2015 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis Gain (Loss) for Year Ended December 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2016 Assets Residential loans, at lower of cost or fair value $ 867 $ — $ — $ 867 $ (17 ) Commercial loans, at lower of cost or fair value 2,700 — — 2,700 (300 ) REO 5,207 — — 5,207 (1,831 ) Gain (Loss) for Year Ended December 31, 2015 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2015 Assets Residential loans, at lower of cost or fair value $ 1,096 $ — $ — $ 1,096 $ 3 REO 2,395 — — 2,395 (764 ) Liabilities Guarantee obligation 4,414 — — 4,414 — The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2016 , 2015 , and 2014 . Table 5.6 – Market Valuation Gains and Losses, Net Years Ended December 31, (In Thousands) 2016 2015 2014 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 5,786 $ 3,712 $ 51,312 Residential loan purchase and forward sale commitments 25,613 50,234 13,891 Commercial loans, at fair value (1) 433 10,265 20,788 Sequoia securities 1,455 (15,261 ) (23,839 ) Risk management derivatives, net 3,158 (42,468 ) (31,167 ) Total mortgage banking activities, net (2) $ 36,445 $ 6,482 $ 30,985 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood (23,102 ) (6,337 ) (697 ) Trading securities 9,666 (2,019 ) (358 ) Valuation adjustments on commercial loans held-for-sale (307 ) — — Net investments in consolidated Sequoia entities (4,200 ) (1,192 ) (894 ) Risk sharing investments (1,151 ) (1,886 ) 104 Risk management derivatives, net (9,112 ) (9,677 ) (7,792 ) Impairments on AFS securities (368 ) (246 ) (565 ) Total investment fair value changes, net $ (28,574 ) $ (21,357 ) $ (10,202 ) MSR Income (Loss), Net MSRs $ (36,372 ) $ (24,392 ) $ (21,081 ) Risk management derivatives, net 15,584 (12,708 ) — Total MSR loss, net (3) $ (20,788 ) $ (37,100 ) $ (21,081 ) Total Market Valuation Gains (Losses), Net $ (12,917 ) $ (51,975 ) $ (298 ) (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 prior to the second quarter of 2015. See Note 2 for additional detail. Valuation Policy We maintain a policy that specifies the methodologies we use to value different types of financial instruments. Significant changes to the valuation methodologies are reviewed by members of senior management to confirm the changes are appropriate and reasonable. Valuations based on information from external sources are performed on an instrument-by-instrument basis with the resulting amounts analyzed individually against internal calculations as well as in the aggregate by product type classification. Initial valuations are performed by our portfolio management groups using the valuation processes described below. Our finance department then independently reviews all fair value estimates using available market, portfolio, and industry information to ensure they are reasonable. Finally, members of senior management review all fair value estimates, including an analysis of the methodology and valuation changes from prior reporting periods. Valuation Process We estimate fair values for financial assets or liabilities based on available inputs observed in the marketplace as well as unobservable inputs. We primarily use two pricing valuation techniques: market comparable pricing and discounted cash flow analysis. Market comparable pricing is used to determine the estimated fair value of certain instruments by incorporating known inputs and performance metrics, such as observed prepayment rates, delinquencies, severities, credit support, recent transaction prices, pending transactions, or prices of other similar instruments. Discounted cash flow analysis techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in an estimate of fair value. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. We also consider counterparty credit quality and risk as part of our fair value assessments. 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 December 31, 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 $ 2,871,120 Whole loan spread to TBA price $ 3.05 - $ 4.06 $ 3.94 Whole loan spread to swap rate 275 - 305 bps 304 bps Jumbo hybrid loans 50,974 Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate 135 - 275 bps 168 bps Jumbo loans committed to sell 173,114 Whole loan committed sales price $ 99.98 - $ 102.06 $ 100.61 Loans held by consolidated Sequoia entities (1) 791,636 Liability price N/A N/A Residential loans, at lower of cost or fair value 867 Loss severity 15 - 30 % 20 % Trading and AFS securities 1,018,439 Discount rate 4 - 12 % 7 % Prepayment rate (annual CPR) 1 - 57 % 20 % Default rate 0 - 35 % 2 % Loss severity 20 - 65 % 22 % Credit support 0 - 48 % 3 % MSRs 118,526 Discount rate 10 - 11 % 10 % Prepayment rate (annual CPR) 5 - 11 % 9 % Per loan annual cost to service $ 72 - $ 82 $ 77 Guarantee asset 4,092 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 10 - 10 % 10 % REO 5,207 Loss severity 1 - 100 % 24 % Liabilities Loan purchase commitments, net (2) 486 MSR multiple 0.9 - 5.4 x 3.6 x Pull-through rate 12 - 100 % 75 % Whole loan spread to TBA price $ 2.66 - $ 4.06 $ 3.98 Whole loan spread to swap rate - fixed rate 275 - 305 bps 305 bps Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate - hybrid 135 - 275 bps 163 bps ABS issued (1) 773,462 Discount rate 4 - 8 % 5 % Prepayment rate (annual CPR) 1 - 20 % 15 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support — - 34 % 9 % (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 whole loan sales and securitizations. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed TBA prices and indexed swap rates for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices for senior RMBS, indexed swap rates for subordinate RMBS, and credit support levels (Level 3). Other unobservable inputs also include assumed future prepayment rates. Observable inputs include benchmark interest rates, swap rates, and TBA prices. At December 31, 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. 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. 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 analysis 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 December 31, 2016 , we received dealer price indications on 67% of our securities, representing 78% 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 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 (the "Pull-through rate") (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. 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 market discount rates, assumed future prepayment rates of serviced loans, and the market cost of servicing. An increase in these unobservable inputs would generally reduce the estimated fair value of the MSRs. As part of our MSR valuation process, we received a valuation estimate from a third-party valuations firm. In the aggregate, our internal valuation of the MSRs were within 1% of the third-party valuation. FHLBC Stock Our Federal Home Loan Bank ("FHLB") member subsidiary is required to purchase Federal Home Loan Bank of Chicago ("FHLBC") stock under a borrowing agreement between our FHLB-member subsidiary and the FHLBC. Under this agreement, the stock is redeemable at face value, which represents the carrying value and fair value of the stock (Level 2). Guarantee Asset The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to a risk sharing arrangement with Fannie Mae. Significant inputs in the valuation analysis are Level 3, due to the nature of this asset and the lack of market quotes. The fair value of the guarantee asset is determined using a discounted cash flow model, for which significant unobservable inputs include assumed future prepayment rates and market discount rate (Level 3). An increase in prepayment rates or 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 assumed future prepayment rates, credit losses, and market 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). Convertible notes Convertible notes include unsecured convertible and exchangeable senior notes. Fair values are determined using quoted prices in generally 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 | 12 Months Ended |
Dec. 31, 2016 | |
Residential Loans | |
Mortgage Loans on Real Estate [Line Items] | |
Loans | Residential Loans We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at December 31, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - jumbo $ 834,193 $ — $ 834,193 At lower of cost or fair value - jumbo 1,206 — 1,206 Total held-for-sale 835,399 — 835,399 Held-for-investment At fair value - jumbo 2,261,016 791,636 3,052,652 Total Residential Loans $ 3,096,415 $ 791,636 $ 3,888,051 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 At 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 December 31, 2016 , we owned mortgage servicing rights associated with $2.32 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 sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At December 31, 2016 , we owned 1,114 loans held-for-sale at fair value with an aggregate unpaid principal balance of $0.83 billion and a fair value of $0.83 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 December 31, 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 years ended December 31, 2016 and 2015 , we purchased $4.85 billion and $10.21 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $4.04 billion and $9.04 billion (principal balance) of loans, respectively, for which we recorded net market valuation gain s of $6 million and $4 million , respectively, through Mortgage banking activities, net on our consolidated statements of income. At December 31, 2016 , loans held-for-sale with a market value of $534 million were pledged as collateral under short-term borrowing agreements. At Lower of Cost or Fair Value At December 31, 2016 and December 31, 2015 , we held seven and nine residential loans, respectively, 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 December 31, 2016 , one of these loans with an unpaid principal balance of $0.3 million was greater than 90 days delinquent and none of these loans were 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 December 31, 2016 , we owned 3,068 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.23 billion and a fair value of $2.26 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 December 31, 2016 , one of these loans was greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2015 , none of these loans were greater than 90 days delinquent or in foreclosure. During the years ended December 31, 2016 and 2015 , we transferred loans with a fair value of $1.06 billion and $1.50 billion , respectively, from held-for-sale to held-for-investment. During the years ended December 31, 2016 and 2015 , we transferred loans with a fair value of $56 million and $143 million , respectively, from held-for-investment to held-for-sale. During the year s ended December 31, 2016 and 2015 , we recorded net market valuation loss es of $23 million and $6 million , respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At December 31, 2016 , loans with a fair value of $2.25 billion were pledged as collateral under a borrowing agreement with the FHLBC. The outstanding loans held-for-investment at Redwood at December 31, 2016 were prime-quality, first lien loans, of which 89% were originated between 2014 and 2016, 5% were originated in 2013, and 6% 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 65% (at origination). At December 31, 2016 , these loans were comprised of 99.5% fixed-rate loans with a weighted average coupon of 4.10% , and the remainder were hybrid or ARM loans with a weighted average coupon of 3.83% . At Consolidated Sequoia Entities At December 31, 2016 , we owned 3,735 held-for-investment loans at consolidated Sequoia entities, with an aggregate unpaid principal balance of $887 million and a fair value of $792 million , as compared to 4,545 loans at December 31, 2015 with an aggregate unpaid 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 December 31, 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 $11 million and $32 million , respectively. During the years ended December 31, 2016 and 2015 , we recorded a net market valuation loss of $14 million and a net market valuation gain of $7 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Residential Loan Characteristics The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015 . Table 6.2 – Geographic Concentration of Residential Loans December 31, 2016 December 31, 2015 Geographic Concentration (by Principal) Held-for-Sale Held-for- Investment at Sequoia Held-for- Investment at FVO Held-for-Sale Held-for- Investment at Sequoia Held-for- Investment at FVO California 40 % 18 % 42 % 41 % 18 % 39 % Texas 9 % 6 % 10 % 9 % 6 % 11 % Washington 8 % 2 % 4 % 6 % 2 % 3 % Colorado 4 % 3 % 4 % 5 % 3 % 5 % Florida 3 % 14 % 5 % 4 % 14 % 4 % Virginia 2 % 3 % 3 % 3 % 3 % 4 % Georgia 2 % 5 % 1 % 3 % 5 % 1 % Massachusetts 2 % 2 % 4 % 2 % 2 % 4 % New York 2 % 8 % 4 % 1 % 8 % 5 % Other states (none greater than 5%) 28 % 39 % 23 % 26 % 39 % 24 % Total 100 % 100 % 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015 . Table 6.3 – Product Types and Characteristics of Residential Loans December 31, 2016 (In Thousands) Loan Balance Number of Loans Interest Rate (1) Maturity Date Total Principal 30-89 Days DQ 90+ Days DQ Held-for-Investment at Redwood (1) : Hybrid ARM loans $ 251 to $500 1 3.63 % to 3.63% 2044-07 - 2044-07 264 — — $ 501 to $750 4 2.88 % to 4.65% 2040-09 - 2045-10 2,722 — — $ 751 to $1,000 2 3.50 % to 4.00% 2045-09 - 2045-10 1,726 — — over $1,000 4 3.00 % to 4.20% 2040-10 - 2045-10 5,545 — — 11 10,257 — — Fixed loans $ — to $250 26 3.67 % to 5.08% 2039-04 - 2045-10 4,643 — 237 $ 251 to $500 633 2.80 % to 5.13% 2028-02 - 2046-12 278,560 264 — $ 501 to $750 1,306 2.75 % to 6.25% 2027-09 - 2046-12 807,714 2,803 — $ 751 to $1,000 690 2.75 % to 5.63% 2027-07 - 2046-12 597,002 — — over $1,000 402 2.80 % to 5.00% 2027-04 - 2047-01 535,621 1,232 — 3,057 2,223,540 4,299 237 Total HFI at Redwood: 3,068 $ 2,233,797 $ 4,299 $ 237 Held-for-Investment at Sequoia: ARM loans: $ — to $250 2,623 0.63 % to 5.60% 2019-02 - 2035-11 $ 297,646 $ 9,158 $ 7,410 $ 251 to $500 694 0.25 % to 5.75% 2019-12 - 2036-05 241,253 9,177 10,059 $ 501 to $750 203 0.88 % to 3.89% 2024-05 - 2035-09 121,919 5,812 5,069 $ 751 to $1,000 100 0.63 % to 3.00% 2022-01 - 2035-07 86,988 2,750 3,322 over $1,000 78 0.25 % to 3.75% 2027-03 - 2036-05 121,484 4,790 4,306 3,698 869,290 31,687 30,166 Hybrid ARM loans: $ — to $250 4 3.00 % to 3.00% 2033-09 - 2034-06 453 — — $ 251 to $500 18 2.63 % to 3.13% 2033-07 - 2034-12 6,516 — — $ 501 to $750 13 2.75 % to 3.13% 2033-07 - 2034-12 8,483 669 — $ 751 to $1,000 1 3.13 % to 3.13% 2033-08 - 2033-08 751 — — over $1,000 1 3.00 % to 3.00% 2033-09 - 2033-09 1,488 — — 37 17,691 669 — Total HFI at Sequoia: 3,735 $ 886,981 $ 32,356 $ 30,166 Held-for-Sale: ARM loans $ 61 to $396 6 1.88 % to 2.75% 2033-10 - 2032-11 $ 882 $ — $ 300 Hybrid ARM loans $ 2 to $1,947 173 2.50 % to 6.00% 2037-06 - 2047-01 144,174 — — Fixed loans $ 404 to $1,997 942 2.99 % to 6.25% 2026-12 - 2047-01 688,329 — — Total Held-for-Sale 1,121 $ 833,385 $ — $ 300 December 31, 2015 (In Thousands) Loan Balance Number of Loans Interest Rate (1) Maturity Date Total Principal 30-89 Days DQ 90+ Days DQ Held-for-Investment at Redwood (1) : ARM loans: $ 251 to $500 2 3.63 % to 3.75% 2044-07 - 2044-07 $ 563 $ — $ — $ 501 to $750 2 3.50 % to 3.50% 2045-09 - 2045-10 1,671 — — $ 751 to $1,000 1 3.63 % to 3.63% 2044-08 - 2044-08 1,267 — — 5 3,501 — — Hybrid ARM loans $ 251 to $500 7 2.88 % to 3.88% 2044-01 - 2044-09 2,963 — — $ 501 to $750 28 2.63 % to 4.90% 2040-09 - 2044-10 17,514 — — $ 751 to $1,000 15 2.75 % to 5.05% 2039-05 - 2044-11 12,994 — — over $1,000 6 2.88 % to 5.20% 2039-04 - 2044-12 8,797 — — 56 42,268 — — Fixed loans $ — to $250 29 3.64 % to 5.38% 2039-04 - 2045-10 5,295 242 — $ 251 to $500 484 3.13 % to 5.13% 2029-07 - 2045-12 212,732 913 — $ 501 to $750 959 2.94 % to 5.25% 2026-11 - 2045-12 595,863 3,213 — $ 751 to $1,000 552 2.90 % to 5.00% 2024-01 - 2045-12 480,557 989 — over $1,000 313 3.14 % to 5.00% 2027-04 - 2045-12 418,774 — — 2,337 1,713,221 5,357 — Total HFI at Redwood: 2,398 $ 1,758,990 $ 5,357 $ — Held-for-Investment at Sequoia: ARM loans: $ — to $250 3,133 0.38 % to 5.16% 2013-02 - 2035-11 $ 355,415 $ 10,661 $ 13,078 $ 251 to $500 858 — % to 5.63% 2013-12 - 2036-05 296,425 9,620 15,345 $ 501 to $750 269 0.63 % to 4.66% 2014-05 - 2035-09 161,273 4,578 7,209 $ 751 to $1,000 135 0.38 % to 2.38% 2019-02 - 2035-07 118,983 3,586 8,473 over $1,000 109 — % to 2.63% 2022-01 - 2036-05 169,492 1,341 14,718 4,504 1,101,588 29,786 58,823 Hybrid ARM loans: $ — to $250 3 2.75 % to 2.88% 2033-09 - 2034-06 317 — — $ 251 to $500 20 2.63 % to 2.88% 2033-07 - 2034-12 7,523 — — $ 501 to $750 15 2.63 % to 2.88% 2033-08 - 2034-12 9,874 542 — $ 751 to $1,000 2 2.75 % to 2.75% 2033-07 - 2033-08 1,547 — — over $1,000 1 2.75 % to 2.75% 2033-09 - 2033-09 1,566 — — 41 20,827 542 — Total HFI at Sequoia: 4,545 $ 1,122,415 $ 30,328 $ 58,823 Held-for-Sale: ARM loans $ 64 to $1,298 14 1.50 % to 4.00% 2032-11 - 2045-12 $ 5,258 $ — $ 415 Hybrid ARM loans $ 164 to $1,989 356 2.50 % to 4.25% 2037-06 - 2046-01 276,457 2,249 — Fixed loans $ 30 to $2,332 1,402 2.75 % to 5.25% 2025-09 - 2046-01 809,803 2,097 1,437 Total Held-for-Sale 1,772 $ 1,091,518 $ 4,346 $ 1,852 (1) Rate is net of servicing fee for consolidated loans for which we do not own the MSR. For borrowers whose current rate is less than the applicable servicing fee, the rate shown in the table above is zero . Allowance for Loan Losses on Residential Loans Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See Note 3 for further discussion. Prior to the adoption of ASU 2014-13, we established and maintained an allowance for loan losses for residential loans held-for-investment. The allowance included a component for pools of residential loans owned at Sequoia securitization entities that we collectively evaluated for impairment, and a component for loans individually evaluated for impairment that included restructured residential loans at Sequoia entities were determined to be troubled debt restructurings. Activity in the Allowance for Loan Losses on Residential Loans The following table summarizes the activity in the allowance for loan losses for the years ended December 31, 2016 , 2015 , and 2014 . Table 6.4 – Allowance for Loan Losses Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ — $ 21,338 $ 25,427 Charge-offs, net — — (4,966 ) Provision for loan losses — — 877 Other adjustments (1) — (21,338 ) — Balance at End of Period $ — $ — $ 21,338 (1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See Note 3 for further discussion. |
Commercial Loans
Commercial Loans | 12 Months Ended |
Dec. 31, 2016 | |
Commercial Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Loans | Commercial Loans We invest in commercial loans that we historically originated or acquired. In February 2016, we 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 second half of 2016, we sold all but one of our commercial loans. The following table summarizes the classifications and carrying value of commercial loans at December 31, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) December 31, 2016 December 31, 2015 Held-for-sale At fair value $ — $ 39,141 At lower of cost or fair value 2,700 — Held-for-investment At fair value — 67,657 At amortized cost — 295,849 Total Commercial Loans $ 2,700 $ 402,647 Of the held-for-investment commercial loans at amortized cost shown above at December 31, 2016 and December 31, 2015 , zero and $166 million , respectively, were financed through the Commercial Securitization entity, and zero and $135 million , respectively, 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 and derecognized 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 years ended December 31, 2016 and 2015 , we originated $38 million and $618 million (principal balance), respectively, of senior commercial loans for which we elected the fair value option and sold $76 million and $741 million (principal balance), respectively, of loans to third parties. During the years ended December 31, 2016 and 2015 , we recorded net market valuation gains of $0.4 million and $10 million , respectively, 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 December 31, 2016 , we held one commercial loan at the lower of cost or fair value with $3 million in outstanding principal balance, a carrying value of $3 million , and an estimated net fair value of $3 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 December 31, 2016 , had completed the sale of loans with a principal balance of $218 million , for which we recorded gains of $5 million through Realized gains, net on our consolidated statements of income. At December 31, 2016 , we held one loan with a carrying value of $3 million . 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 on our consolidated statements of income. During the fourth quarter of 2016, this loan's default was cured through a forbearance. In addition, during 2016, $16 million of lower of cost or fair value loans prepaid, resulting in yield maintenance fees of $2 million . Commercial Loans Held-for-Investment At Fair Value Commercial loans held-for-investment at fair value included senior mortgage loans for which we elected the fair value option and split into senior A-notes and junior B-notes. Although the A-notes for each of the loans were sold, the transfers did not qualify for sale accounting treatment and we treated the sales as secured borrowings. We carried the A-notes and associated secured commercial borrowings at the same fair values and the periodic valuation adjustments associated with these assets and liabilities offset through Investment fair value changes, net on our consolidated statements of income. As discussed above, in June 2016, we transferred all of our then outstanding commercial loans held-for-investment at fair value to held-for-sale at fair value. At Amortized Cost Commercial loans held-for-investment primarily included mezzanine loans 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 December 31, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) December 31, 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 December 31, 2016 and December 31, 2015 , we held zero and 59 , respectively, commercial loans held-for-investment at amortized cost. During the years ended December 31, 2016 and 2015 , we originated or acquired zero and $22 million , respectively, of commercial loans held-for-investment at amortized cost. During the years ended December 31, 2016 and December 31, 2015 , we received repayments of $70 million and $57 million , respectively, and in connection with certain loan prepayments, we received $5 million and $4 million , respectively, of yield maintenance fees. Allowance for Loan Losses on Commercial Loans For commercial loans classified as held-for-investment, we established and maintained an allowance for loan losses. The allowance included 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) December 31, 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 years ended December 31, 2016 , 2015 , and 2014 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 7,102 $ 7,457 $ 7,373 Charge-offs, net — — — (Reversal of) provision for loan losses (7,102 ) (355 ) 84 Balance at End of Period $ — $ 7,102 $ 7,457 At December 31, 2016 , we had no outstanding loans and 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 December 31, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) December 31, 2016 December 31, 2015 Principal balance $ — $ 307,047 Recorded investment — 302,951 Related allowance — 7,102 Commercial Loans Individually Evaluated for Impairment We did not have any loans individually evaluated for impairment for either of the years ended December 31, 2016 or 2015 . |
Real Estate Securities
Real Estate Securities | 12 Months Ended |
Dec. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities We invest in real estate securities. The following table presents the fair values of our real estate securities by type at December 31, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) December 31, 2016 December 31, 2015 Trading $ 445,687 $ 404,011 Available-for-sale 572,752 829,245 Total Real Estate Securities $ 1,018,439 $ 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 position and collateral type at December 31, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Position and Collateral Type (In Thousands) December 31, 2016 December 31, 2015 Senior Securities Prime $ 32,230 $ 248,570 Non-prime 4,837 5,781 Total Senior Securities 37,067 254,351 Subordinate Securities Prime mezzanine 243,451 136,140 Prime subordinate 165,169 13,520 Total Subordinate Securities 408,620 149,660 Total Trading Securities $ 445,687 $ 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 and commercial mortgage backed securities. At December 31, 2016 and 2015 , our senior trading securities included $37 million 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 $434 million and $168 million , respectively. At December 31, 2016 and December 31, 2015 , subordinate trading securities included $187 million and $48 million , respectively, of Agency residential mortgage credit risk transfer (or "CRT") securities, $15 million and $10 million , respectively, of Sequoia securities, $115 million and $83 million , respectively, of other third party residential securities, and $92 million and $8 million , respectively, of third-party commercial mortgage backed securities. During the year s ended December 31, 2016 and 2015 , we acquired $307 million and $383 million (principal balance), respectively, of senior and subordinate securities for which we elected the fair value option and classified as trading, and sold $241 million and $18 million , respectively, of such securities. During the year s ended December 31, 2016 and 2015 , we recorded net market valuation gains of $11 million and net market valuation losses of $17 million , respectively, on trading securities, included in Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. At December 31, 2016 , trading securities with a carrying value of $146 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 position and collateral type at December 31, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Position and Collateral Type (In Thousands) December 31, 2016 December 31, 2015 Senior Securities Prime $ 128,843 $ 210,993 Non-prime 7,703 68,258 Total Senior Securities 136,546 279,251 Re-REMIC Securities 85,479 165,064 Subordinate Securities Prime mezzanine 163,715 224,624 Prime subordinate 187,012 160,306 Total Subordinate Securities 350,727 384,930 Total AFS Securities $ 572,752 $ 829,245 At December 31, 2016 and December 31, 2015 , all of our available-for-sale securities were comprised of residential mortgage backed securities. At December 31, 2016 , AFS securities with a carrying value of $216 million were pledged as collateral under short-term borrowing agreements. See Note 12 for additional information on short-term debt. During the years ended December 31, 2016 and 2015 , we purchased $35 million and $33 million of AFS securities, respectively, and sold $253 million and $366 million of AFS securities, respectively, which resulted in net realized gains of $21 million and $34 million , respectively. In addition, during 2016 we exchanged our interests in four Re-REMICs, which together had a fair value of $77 million , for the senior securities underlying the Re-REMICs, and reclassified our interests from Re-REMIC to senior prime. 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 December 31, 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 December 31, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities December 31, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 139,736 $ 9,126 $ 95,608 $ 456,359 $ 700,829 Credit reserve (4,174 ) (640 ) (6,857 ) (35,802 ) (47,473 ) Unamortized discount, net (40,379 ) (1,498 ) (19,613 ) (136,622 ) (198,112 ) Amortized cost 95,183 6,988 69,138 283,935 455,244 Gross unrealized gains 35,589 715 16,341 68,032 120,677 Gross unrealized losses (1,929 ) — — (1,240 ) (3,169 ) Carrying Value $ 128,843 $ 7,703 $ 85,479 $ 350,727 $ 572,752 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 years ended December 31, 2016 and 2015 , 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 Year Ended December 31, 2016 Year Ended December 31, 2015 Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 48,869 $ 237,107 $ 70,067 $ 296,342 Amortization of net discount — (26,253 ) — (36,850 ) Realized credit losses (5,830 ) — (8,535 ) — Acquisitions 9,311 11,461 2,557 15,791 Sales, calls, other (4,968 ) (24,480 ) (7,296 ) (46,346 ) Impairments 368 — — 246 Transfers to (release of) credit reserves, net (277 ) 277 (7,924 ) 7,924 Ending Balance $ 47,473 $ 198,112 $ 48,869 $ 237,107 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 December 31, 2016 and December 31, 2015 . Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Amortized Cost Unrealized Losses Fair (In Thousands) December 31, 2016 $ 15,772 $ (330 ) $ 15,442 $ 60,035 $ (2,839 ) $ 57,196 December 31, 2015 87,718 (1,972 ) 85,746 77,539 (3,035 ) 74,504 At December 31, 2016 , after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 186 AFS securities, of which 19 were in an unrealized loss position and 10 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 December 31, 2016 . We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At December 31, 2016 , we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. For the year ended December 31, 2016 , other-than-temporary impairments related to our AFS securities were $3 million , of which $0.4 million were recognized through our consolidated statements of income and $3 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 December 31, 2016 . Table 8.7 – Significant Valuation Assumptions December 31, 2016 Range for Securities Prepayment rates 8 % - 15% Projected losses — % - 7% 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 December 31, 2016 , 2015 , and 2014 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 Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 28,277 $ 33,849 $ 37,149 Additions Initial credit impairments 346 246 261 Subsequent credit impairments 8 — 70 Reductions Securities sold, or expected to sell (261 ) (4,567 ) (922 ) Securities with no outstanding principal at period end (109 ) (1,251 ) (2,709 ) Balance at End of Period $ 28,261 $ 28,277 $ 33,849 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 year s ended December 31, 2016 , 2015 , and 2014 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Years Ended December 31, (In Thousands) 2016 2015 2014 Gross realized gains - sales $ 23,598 $ 34,922 $ 15,030 Gross realized gains - calls 1,210 2,167 1,600 Gross realized losses - sales (2,293 ) (608 ) (2,713 ) Gross realized losses - calls — (112 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 22,515 $ 36,369 $ 13,917 |
Mortgage Servicing Rights
Mortgage Servicing Rights | 12 Months Ended |
Dec. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Mortgage Servicing Rights | Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of December 31, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans December 31, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 58,523 $ 4,989,720 $ 133,838 $ 12,560,533 Jumbo Loans 60,003 5,467,169 58,138 5,705,939 Total Mortgage Servicing Rights $ 118,526 $ 10,456,889 $ 191,976 $ 18,266,472 The following table presents activity for MSRs for the years ended December 31, 2016 , 2015 , and 2014 . Table 9.2 – Activity for MSRs Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 191,976 $ 139,293 $ 64,824 Additions 25,362 95,281 95,550 Sales (62,440 ) (18,206 ) — Changes in fair value due to: Changes in assumptions (1) (14,512 ) (5,453 ) (12,467 ) Other changes (2) (21,860 ) (18,939 ) (8,614 ) Balance at End of Period $ 118,526 $ 191,976 $ 139,293 (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 years ended December 31, 2016 and 2015 . Table 9.3 – MSR Additions Years Ended December 31, (In Thousands) 2016 2015 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 6,451 $ 939,861 $ 8,202 $ 882,860 From loan sales 177 26,844 352 33,022 Total jumbo MSR additions 6,628 966,705 8,554 915,882 Conforming MSR additions: From loan sales 3,380 316,290 55,954 5,251,537 From purchases 15,354 1,643,577 30,773 2,952,345 Total conforming MSR additions 18,734 1,959,867 86,727 8,203,882 Total MSR Additions $ 25,362 $ 2,926,572 $ 95,281 $ 9,119,764 The following table presents the components of our MSR income for the ended December 31, 2016 , 2015 , and 2014 . Table 9.4 – Components of MSR Income (Loss), net Years Ended December 31, (In Thousands) 2016 2015 2014 Servicing income Income $ 41,152 $ 38,964 $ 19,362 Cost of sub-servicer (6,281 ) (5,079 ) (1,834 ) Net servicing income 34,871 33,885 17,528 Market valuation changes of MSRs (36,372 ) (24,392 ) (21,081 ) Market valuation changes of associated derivatives (1) 15,584 (12,708 ) — MSR reversal of (provision for) repurchases 270 (707 ) (708 ) MSR Income (Loss), Net $ 14,353 $ (3,922 ) $ (4,261 ) (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 | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at December 31, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments December 31, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 19,859 $ 1,009,000 $ 2,590 $ 658,000 TBAs 8,300 850,000 2,734 1,028,500 Swaptions 5,121 345,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 3,315 352,981 4,671 764,161 Total Assets $ 36,595 $ 2,556,981 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (44,822 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (12,097 ) 1,101,500 (10,134 ) 1,039,500 TBAs (4,681 ) 510,000 (2,519 ) 1,450,500 Futures (928 ) 87,500 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (3,801 ) 584,862 (1,464 ) 375,815 Total Liabilities $ (66,329 ) $ 2,423,362 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (29,734 ) $ 4,980,343 $ (46,401 ) $ 6,483,976 Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At December 31, 2016 , we were party to swaps and swaptions with an aggregate notional amount of $2.46 billion , TBA agreements sold with an aggregate notional amount of $1.36 billion , and financial futures contracts with an aggregate notional amount of $88 million . At December 31, 2015 , we were party to swaps and swaptions with an aggregate notional amount of $2.62 billion , TBA agreements sold with an aggregate notional amount of $2.48 billion , and financial futures contracts with an aggregate notional amount of $78 million . For the years ended December 31, 2016 , 2015 , and 2014 , risk management derivatives had net market valuation gains of $10 million and net market valuation losses of $65 million and $39 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 $26 million , $50 million , and $14 million for the years ended December 31, 2016 , 2015 , and 2014 , respectively, and 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 years ended December 31, 2016 , 2015 , and 2014 , changes in the values of designated cash flow hedges were positive $3 million , negative $1 million , and negative $30 million , respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $44 million and $47 million at December 31, 2016 and December 31, 2015 , respectively. Accumulated other comprehensive loss of less than $0.1 million will be amortized into interest expense, a component of our consolidated income statements, over the remaining life of the hedge liabilities. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the years ended December 31, 2016 , 2015 , and 2014 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Years Ended December 31, (In Thousands) 2016 2015 2014 Net interest expense on cash flows hedges $ (5,317 ) $ (5,883 ) $ (5,951 ) Realized net losses reclassified from other comprehensive income (72 ) (95 ) (164 ) Total Interest Expense $ (5,389 ) $ (5,978 ) $ (6,115 ) Derivative Counterparty Credit Risk We incur credit risk to the extent that counterparties to our derivative financial instruments do not perform their obligations under specified contractual agreements. If a derivative counterparty does not perform, we may not receive the proceeds to which we may be entitled under these agreements. Each of our derivative counterparties that is not a clearinghouse must maintain compliance with International Swaps and Derivatives Association (“ISDA”) agreements or other similar agreements (or receive a waiver of non-compliance after a specific assessment) in order to conduct derivative transactions with us. Additionally, we review non-clearinghouse derivative counterparty credit standings, and in the case of a deterioration of creditworthiness, appropriate remedial action is taken. To further mitigate counterparty risk, we exit derivatives contracts with counterparties that (i) do not maintain compliance with (or obtain a waiver from) the terms of their ISDA or other agreements with us; or (ii) do not meet internally established guidelines regarding creditworthiness. Our ISDA and similar agreements currently require full bilateral collateralization of unrealized loss exposures with our derivative counterparties. Through a margin posting process, our positions are revalued with counterparties each business day and cash margin is generally transferred to either us or our derivative counterparties as collateral based upon the directional changes in fair value of the positions. We also attempt to transact with several different counterparties in order to reduce our specific counterparty exposure. With respect to certain of our derivatives, clearing and settlement is through one or more clearinghouses, which may be substituted as a counterparty. Clearing and settlement of derivative transactions through a clearinghouse is also intended to reduce specific counterparty exposure. We consider counterparty risk as part of our fair value assessments of all derivative financial instruments. At December 31, 2016 , we assessed this risk as remote and did not record a specific valuation adjustment. At December 31, 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 | 12 Months Ended |
Dec. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at December 31, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) December 31, 2016 December 31, 2015 Margin receivable $ 68,038 $ 83,191 FHLBC stock 43,393 34,437 Pledged collateral 42,875 53,600 REO 5,533 4,896 Guarantee asset 4,092 5,697 Fixed assets and leasehold improvements (1) 2,750 4,117 Prepaid expenses 1,639 3,640 Investment receivable 1,068 3,870 Other 9,857 4,438 Total Other Assets $ 179,245 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $5 million and accumulated depreciation of $3 million at December 31, 2016 . Accrued expenses and other liabilities at December 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) December 31, 2016 December 31, 2015 Guarantee obligations $ 21,668 $ 22,704 Accrued compensation 18,830 17,527 Margin payable 12,783 6,415 Residential loan and MSR repurchase reserve 5,432 6,403 Accrued operating expenses 4,493 1,845 Restructuring liabilities 2,297 — Legal reserve 2,000 2,000 Current accounts payable 1,151 4,764 Deferred tax liability 898 — Other 2,876 8,239 Total Other Liabilities $ 72,428 $ 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. FHLB Stock In accordance with our FHLB-member subsidiary's borrowing agreement with the FHLBC, our subsidiary is required to purchase and hold stock in the FHLBC. See Note 14 for additional detail. 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 3 and 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 December 31, 2016 , was $6 million , which includes the net effect of $12 million related to transfers into REO during the year ended December 31, 2016 , offset by $13 million of REO liquidations and $2 million of unrealized gains resulting from market valuation adjustments. At both December 31, 2016 and December 31, 2015 , there were 23 REO properties recorded on our consolidated balance sheets, all of which were owned at consolidated Sequoia entities. Legal and Repurchase Reserves 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 $10 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. We currently expect the remaining liabilities to be substantially settled during the next seven months in accordance with the terms of outstanding contracts and employment agreements. 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 year ended December 31, 2016 . Table 11.3 – Activities of Restructuring Liabilities Year Ended December 31, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ — $ — $ — Costs incurred and expensed 8,746 1,655 10,401 Costs paid/settled (3,019 ) (1,599 ) (4,618 ) Other costs (1) (3,486 ) — (3,486 ) Ending Balance $ 2,241 $ 56 $ 2,297 (1) Amount represents equity compensation expense recorded during the year ended December 31, 2016 related to equity awards that were accelerated, and have been distributed or will be distributed in future periods. |
Short-Term Debt
Short-Term Debt | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | Short-Term Debt We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At December 31, 2016 , we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. For additional information about these financial covenants and our short-term debt, see Part II, Item 7 of this Annual Report on Form 10-K under the heading “ Risks Relating to Debt Incurred Under Short- and Long-Term Borrowing 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 December 31, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities December 31, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 485,544 $ 1,325,000 2.40 % 1/2017-12/2017 206 Real estate securities repo 7 305,995 — 1.91 % 1/2017-3/2017 24 Total 11 $ 791,539 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 December 31, 2016 , all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. The fair value of held-for-sale residential loans, commercial loans, and real estate securities pledged as collateral was $534 million , zero , and $363 million , respectively, at December 31, 2016 and $1.07 billion , $152 million , and $827 million , respectively, at December 31, 2015 . For the years ended December 31, 2016 and 2015 , the average balance of short-term debt was $1.09 billion and $1.67 billion , respectively. At December 31, 2016 and December 31, 2015 , accrued interest payable on short-term debt was $3 million and $2 million , respectively. We also maintain a $10 million committed line of credit with a financial institution that is secured by certain mortgage-backed securities with a fair market value of $8 million at December 31, 2016 . At both December 31, 2016 and December 31, 2015 , we had no outstanding borrowings on this facility. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at December 31, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities December 31, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for sale residential loans $ 109,152 $ 67,038 $ 309,354 $ 485,544 Real estate securities 235,945 70,050 — 305,995 Total Short-Term Debt $ 345,097 $ 137,088 $ 309,354 $ 791,539 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia entities. We consolidated certain Sequoia securitizations issued prior to 2012 that we determined were VIEs and for which we determined we were the primary beneficiary. ABS were also issued by the Commercial Securitization and the Residential Resecuritization, which we also consolidated. During the second quarter of 2016, the debt of the Commercial Securitization was repaid and during the fourth quarter of 2015, the debt of the Residential Resecuritization was repaid. Each consolidated 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 December 31, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued December 31, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 880,517 $ — $ 880,517 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 3,774 — 3,774 4,672 — 4,672 Market valuation adjustments (110,829 ) — (110,829 ) (116,637 ) — (116,637 ) Total ABS issued 773,462 — 773,462 996,820 53,137 1,049,957 Deferred debt issuance costs — — — — (542 ) (542 ) ABS Issued, Net (1) $ 773,462 $ — $ 773,462 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.15% to 1.95% — % 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 December 31, 2016 , all of the ABS issued and outstanding had contractual maturities beyond five years . Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were $0.4 million , $1 million , and $2 million for the years ended December 31, 2016 , 2015 , and 2014 , respectively. The following table summarizes the accrued interest payable on ABS issued at December 31, 2016 and December 31, 2015 . Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) December 31, 2016 December 31, 2015 Sequoia $ 518 $ 555 Commercial Securitization — 249 Total Accrued Interest Payable on ABS Issued $ 518 $ 804 The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at December 31, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued December 31, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 791,636 $ — $ 791,636 $ 1,021,870 $ — $ 1,021,870 Commercial loans — — — — 166,016 166,016 Restricted cash 148 — 148 228 137 365 Accrued interest receivable 1,000 — 1,000 1,131 1,297 2,428 REO 5,533 — 5,533 4,895 — 4,895 Total Collateral for ABS Issued $ 798,317 $ — $ 798,317 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt
Long-Term Debt | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt FHLBC Borrowings In July 2014, our FHLB-member subsidiary entered into a borrowing agreement with the Federal Home Loan Bank of Chicago. At December 31, 2016 , under this agreement, our subsidiary could incur borrowings up to $2.00 billion , also referred to as “advances,” from the FHLBC secured by eligible collateral, including residential mortgage loans. During the year ended December 31, 2016 , our FHLB-member subsidiary borrowed an additional $519 million under this agreement. Under a final rule published by the Federal Housing Finance Agency in January 2016, our FHLB-member subsidiary will remain an FHLB member through the five -year transition period for captive insurance companies. Our FHLB-member subsidiary's existing $2.00 billion of FHLB debt, which matures beyond this transition period, is permitted to remain outstanding until its 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 December 31, 2016 , $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 0.64% 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 $2.25 billion at December 31, 2016 . This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At December 31, 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 December 31, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) December 31, 2016 2024 $ 470,171 2025 887,639 2026 642,189 Total FHLBC Borrowings $ 1,999,999 For additional information about our FHLBC borrowings, see Part II, Item 7 of this Annual Report on Form 10-K under the heading “ Risks Relating to Debt Incurred under Short- and Long-Term Borrowing Facilities. ” Commercial Secured Borrowings Commercial secured borrowings resulted 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. During the third quarter of 2016, we sold our retained interests in the senior loans that we previously transferred, and we derecognized the secured borrowings and the associated senior portions of the loans 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 is approximately 6.6% per annum. At December 31, 2016 , these notes were exchangeable at the option of the holder at an exchange rate of 46.1798 common shares per $1,000 principal amount of exchangeable senior notes (equivalent to an exchange price of $21.65 per common share). Upon exchange of these notes by a holder, the holder will receive shares of our common stock. During the year ended December 31, 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 December 31, 2016 , the outstanding principal amount of these notes was $201 million . At December 31, 2016 , the accrued interest payable balance on this debt was $2 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 is approximately 5.4% per annum. At December 31, 2016 , the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $2 million . At December 31, 2016 , these notes were convertible at the option of the holder at a conversion rate of 41.1320 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $24.31 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. Trust Preferred Securities and Subordinated Notes At December 31, 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 is approximately 6.9% per annum. At both December 31, 2016 and December 31, 2015 , the accrued interest payable balance on our trust preferred securities and subordinated notes was $1 million . Under the terms of this debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this debt. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At December 31, 2016 , we were obligated under four non-cancelable operating leases with expiration dates through 2021 for $5 million of cumulative lease payments. Our operating lease expense was $3 million for each of the years ended December 31, 2016 , 2015 , and 2014 . The following table presents our future lease commitments at December 31, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) December 31, 2016 2017 $ 2,301 2018 1,268 2019 642 2020 581 2021 48 2022 and thereafter — Total Lease Commitments $ 4,840 Leasehold improvements for our offices are amortized into expense over the lease term. There were less than $1 million of unamortized leasehold improvements at December 31, 2016 . For each of the years ended December 31, 2016 , 2015 , and 2014 , we recognized less than $0.1 million of leasehold amortization expense. Loss Contingencies — Risk Sharing At December 31, 2016 , we had sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion , subject to our risk sharing arrangements with the Agencies. At December 31, 2016 , the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was fully collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At December 31, 2016 , we had incurred losses of less than $0.1 million under these arrangements. For the year ended December 31, 2016 , other income related to these arrangements was $5 million and we recorded net market valuation losses of $1 million . All of the loans in the reference pools subject to these risk sharing arrangements were originated in 2014 and 2015, and at December 31, 2016 , the loans had an unpaid principal balance of $2.42 billion and a weighted average FICO score of 757 (at origination) and LTV of 77% (at origination). At December 31, 2016 , $14 million of the loans were 30 days or more delinquent, $2 million were 90 days or more delinquent, and $1 million were in foreclosure. At December 31, 2016 , the carrying value of our guarantee obligation was $22 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 December 31, 2016 and December 31, 2015 , assets of such SPEs totaled $49 million and $63 million , respectively, and liabilities of such SPEs totaled $22 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 December 31, 2016 and December 31, 2015 , our repurchase reserve associated with our residential loans and MSRs was $5 million and $6 million , respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received 59 repurchase requests during the year ended December 31, 2016 and 79 during the year ended December 31, 2015 . During the years ended December 31, 2016 , 2015 , and 2014 , we repurchased one loan, zero loans, and one loan, respectively. During the year ended December 31, 2016 , we recorded a reversal of repurchase provision of $1 million that was 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 . During the years ended December 31, 2015 and 2014 we recorded repurchase provisions of $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 zero and $0.1 million , 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 December 31, 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 Seattle 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 December 31, 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 those 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 December 31, 2016 , the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described above was $2 million . We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity
Equity | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Years Ended December 31, 2016 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) (1) (2,316 ) 3,271 (17,955 ) (1,409 ) Amounts reclassified from other (21,167 ) 72 (29,426 ) 95 Net current-period other comprehensive income (loss) (23,483 ) 3,343 (47,381 ) (1,314 ) Balance at End of Period $ 115,873 $ (44,020 ) $ 139,356 $ (47,363 ) (1) Amounts presented for unrealized gains (losses) on available-for-sale securities are net of tax benefit (provision) of $1 million and $(0.4) million for the years ended December 31, 2016 and 2015 , respectively. The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2016 and 2015 . Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Years Ended December 31, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ 368 $ 246 Gain on sale of AFS securities Realized gains, net (21,535 ) (29,672 ) $ (21,167 ) $ (29,426 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 72 $ 95 $ 72 $ 95 (1) For the year ended December 31, 2016 , other-than-temporary impairments were $3 million , of which $0.4 million were recognized through the consolidated statements of income and $3 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the year ended December 31, 2015 , other-than-temporary impairments were $0.4 million , of which $0.2 million were recognized through our consolidated statements of income, and $0.2 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 years ended December 31, 2016 , 2015 , and 2014 . Table 16.3 – Basic and Diluted Earnings per Common Share Years Ended December 31, (In Thousands, except Share Data) 2016 2015 2014 Basic Earnings per Common Share: Net income attributable to Redwood $ 131,252 $ 102,088 $ 100,569 Less: Dividends and undistributed earnings allocated to participating securities (3,742 ) (2,806 ) (2,612 ) Net income allocated to common shareholders $ 127,510 $ 99,282 $ 97,957 Basic weighted average common shares outstanding 76,747,047 82,945,103 82,837,369 Basic Earnings per Common Share $ 1.66 $ 1.20 $ 1.18 Diluted Earnings per Common Share: Net income attributable to Redwood $ 131,252 $ 102,088 $ 100,569 Less: Dividends and undistributed earnings allocated to participating securities (4,035 ) (2,677 ) (2,524 ) Add back: Interest expense on convertible notes for the period, net of tax 23,862 — — Net income allocated to common shareholders $ 151,079 $ 99,411 $ 98,045 Weighted average common shares outstanding 76,747,047 82,945,103 82,837,369 Net effect of dilutive equity awards 28,435 1,573,292 2,261,210 Net effect of assumed convertible notes conversion to common shares 21,133,608 — — Diluted weighted average common shares outstanding 97,909,090 84,518,395 85,098,579 Diluted Earnings per Common Share $ 1.54 $ 1.18 $ 1.15 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 year ended December 31, 2016 , 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 the year ended December 31, 2016 , no common shares related to the assumed conversion of our convertible notes were antidilutive and excluded from the calculation of diluted earnings per share. For the years ended December 31, 2015 and 2014 , 21,292,309 and 12,811,041 common shares, respectively, related to the assumed conversion of the convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the years ended December 31, 2016 , 2015 , and 2014 , the number of outstanding equity awards that were antidilutive totaled zero , 103,253 , and 59,230 , respectively. Stock Repurchases In August 2015, our Board of Directors authorized the repurchase of up to $100 million of our common stock. During the first quarter of 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 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 authorization replaced all previous share repurchase plans and has no expiration date. This repurchase authorization does not obligate us to acquire any specific number of shares or securities. Under this 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 year ended December 31, 2016 , we repurchased 1,103,924 shares pursuant to this authorization for $14 million . At December 31, 2016 , approximately $86 million of this current authorization remained available for the repurchase of shares of our common stock. |
Equity Compensation Plans
Equity Compensation Plans | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At December 31, 2016 and December 31, 2015 , 1,787,974 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 $18 million at December 31, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Year Ended December 31, 2016 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 2,393 $ 14,392 $ 6,823 $ — $ 23,608 Equity grants 1,754 7,416 2,576 124 11,870 Equity grant forfeitures (1,380 ) (1,167 ) (2,209 ) — (4,756 ) Equity compensation expense (676 ) (9,135 ) (2,641 ) (124 ) (12,576 ) Unrecognized Compensation Cost at End of Period $ 2,091 $ 11,506 $ 4,549 $ — $ 18,146 At December 31, 2016 , the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock The following table summarizes the activities related to restricted stock for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.2 – Restricted Stock Activities Years Ended December 31, 2016 2015 2014 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 187,180 $ 18.22 109,464 $ 15.97 166,941 $ 15.01 Granted 144,056 11.89 141,069 19.03 2,574 19.42 Vested (50,107 ) 17.28 (42,675 ) 14.87 (44,209 ) 13.44 Forfeited (76,614 ) 18.01 (20,678 ) 18.74 (15,842 ) 13.45 Outstanding at End of Period 204,515 $ 14.27 187,180 $ 18.22 109,464 $ 15.97 The expenses recorded for restricted stock awards were $1 million for both the years ended December 31, 2016 and December 31, 2015 , and less than $1 million for the year ended December 31, 2014 . As of December 31, 2016 , there was $2 million of unrecognized compensation cost related to unvested restricted stock. This cost will be recognized over a weighted average period of less than two years. Restrictions on shares of restricted stock outstanding lapse through 2020 . Deferred Stock Units (“DSUs”) The following table summarizes the activities related to DSUs for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.3 – Deferred Stock Units Activities Years Ended December 31, 2016 2015 2014 Units Weighted Units Weighted Units Weighted Outstanding at beginning of period 2,407,154 $ 16.45 2,168,824 $ 16.20 2,266,473 $ 15.41 Granted 565,061 13.33 583,958 16.11 350,769 19.62 Distributions (1,060,459 ) 14.64 (335,461 ) 14.20 (440,548 ) 14.82 Forfeitures (62,894 ) 18.66 (10,167 ) 16.60 (7,870 ) 19.06 Balance at End of Period 1,848,862 $ 16.46 2,407,154 $ 16.45 2,168,824 $ 16.20 We generally grant DSUs annually, as part of our compensation process. In addition, DSUs are granted from time to time in connection with hiring and promotions and in lieu of the payment in cash of a portion of annual bonus earned. At December 31, 2016 , 2015 , and 2014 , the number of outstanding DSUs that were unvested was 908,963 , 1,043,606 , and 880,962 , respectively. The weighted average grant-date fair value of these unvested DSUs was $14.96 , $17.22 , and $17.20 , at December 31, 2016 , 2015 , and 2014 , respectively. Unvested DSUs at December 31, 2016 will vest through 2020 . Expenses related to DSUs were $9 million , $7 million , and $6 million for the years ended December 31, 2016 , 2015 , and 2014 , respectively. 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. At December 31, 2016 , there was $12 million of unrecognized compensation cost related to unvested DSUs. This cost will be recognized over a weighted average period of less than two years. At December 31, 2016 , 2015 , and 2014 , the number of outstanding DSUs that had vested was 939,899 , 1,363,548 , and 1,287,862 , respectively. Performance Stock Units (“PSUs”) At December 31, 2016 and December 31, 2015 , the target number of PSUs that were unvested was 642,879 and 849,021 , respectively. During 2016 , 2015 , and 2014 , 194,484 , 356,762 , and 268,510 target number of PSUs were granted, respectively, with per unit grant date fair values of $13.24 , $9.46 , and $14.99 , respectively. During the year ended December 31, 2016 , there were 208,330 target number of PSUs forfeited due to employee departures. During the years ended December 31, 2015 and 2014 , no PSUs were forfeited. With respect to the PSUs granted in 2016 , vesting will generally occur at the end of three years from their grant date based on four different two -year total shareholder return (“TSR”) performance measurement periods and continued employment through December 13, 2019. For purposes of measuring TSR over a three -year vesting period, the PSUs granted in 2016 are divided into four tranches with staggered two -year performance measurement periods beginning on: the grant date; the three month anniversary of the grant date; the six month anniversary of the grant date; and the nine month anniversary of the grant date, respectively. Performance-based vesting of each tranche is based on TSR over the respective two -year performance measurement period. TSR for the PSUs granted in 2016 is defined as the percentage by which our common stock “per share price” has increased or decreased as of the last day of each two -year performance measurement period relative to the first day of such performance measurement period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock (“ Two -Year TSR”). The PSUs earned for each of the four two -year periods will vest and be distributed in December 2019. The number of underlying common shares of our common stock that will vest will vary between 0% (if the Two -Year TSR for a tranche is zero or negative) and 200% (if the Two -Year TSR for a tranche is greater than or equal to 72% ) of the target number of PSUs originally granted in each tranche, adjusted upward (if vesting is greater than 0% ) to reflect the value of dividends paid during the three -year vesting period. With respect to the PSUs granted in 2015 and 2014 , vesting will generally occur at the end of three years from their grant date, with the level of vesting at that time contingent on TSR. TSR for the PSUs granted in 2015 and 2014 is defined as the percentage by which our common stock “per share price” has increased or decreased as of the last day of the three -year vesting period relative to the first day of such vesting period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock (“ Three -Year TSR”). The number of underlying shares of our common stock that will vest in future years will vary between 0% (if Three -Year TSR is zero or 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. The grant date fair values of the 2016 PSUs were determined through Monte-Carlo simulations using the following assumptions: our common stock closing price at the grant date, the average closing price of our common stock price for the 60 trading days prior to the grant date and the range of performance-based vesting based on TSR over four separate two -year performance periods. For the 2016 PSU grant, an implied volatility assumption of 29% (based on historical volatility), a risk free rate of 1.57% (the three -year Treasury rate on the grant date), and a 0% dividend yield (the mathematical equivalent to reinvesting the dividends over the three -year performance period as is consistent with the terms of the PSUs), were used. The grant date fair values of 2015 and 2014 PSUs were determined through Monte-Carlo simulations using the following assumptions: our common stock closing price at the grant date, the average closing price of our common stock price for the 40 trading days prior to the grant date and the range of performance-based vesting based on TSR over three years from the grant date. For the 2015 PSU grant, an implied volatility assumption of 26% (based on historical volatility), a risk free rate of 1.35% (the three -year Treasury rate on the grant date), and a 0% dividend yield (the mathematical equivalent to reinvesting the dividends over the three -year performance period as is consistent with the terms of the PSUs) were used. For the 2014 PSU grant, an implied volatility assumption of 24% , a risk free rate of 1.06% , and a 0% dividend yield were used. Expenses related to PSUs were $3 million for each of the years ended December 31, 2016 , 2015 , and 2014 , respectively. 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. As of December 31, 2016 , there was $5 million of unrecognized compensation cost related to unvested PSUs. With respect to the PSUs granted in 2013, the three -year performance period ended during the fourth quarter of 2016, resulting in the vesting of zero shares of our underlying common stock. With respect to the PSUs granted in 2012, the three -year performance period ended during the fourth quarter of 2015, resulting in the vesting of 57,049 shares of our underlying common stock. With respect to the PSUs granted in 2011, the three -year performance period ended during the fourth quarter of 2014, resulting in the vesting of 701,440 shares of our underlying common stock. The distribution of these underlying shares of common stock occurred in May 2015 and December 2015, respectively, in accordance with the terms of the PSUs and our Executive Deferred Compensation Plan. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 450,000 shares of common stock to be purchased in aggregate for all employees. As of December 31, 2016 , 337,271 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at December 31, 2016 . The following table summarizes the activities related to the ESPP for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.4 – Employee Stock Purchase Plan Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 18 $ 3 $ 3 Employee purchases 290 475 494 Cost of common stock issued (305 ) (460 ) (494 ) Balance at End of Period $ 3 $ 18 $ 3 Executive Deferred Compensation Plan The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.5 – EDCP Cash Accounts Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 2,095 $ 2,049 $ 1,882 New deferrals 558 600 575 Accrued interest 53 61 70 Withdrawals (618 ) (615 ) (478 ) Balance at End of Period $ 2,088 $ 2,095 $ 2,049 |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 12 Months Ended |
Dec. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2016 , 2015 , and 2014 . Table 18.1 – Mortgage Banking Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Residential Mortgage Banking Activities, Net: Changes in fair value of: Residential loans, at fair value (1) $ 31,399 $ 53,946 $ 65,202 Sequoia securities 1,455 (15,261 ) (23,839 ) Risk management derivatives (2) 5,696 (34,457 ) (23,277 ) Other income (expense), net (3) 2,203 4,040 3,468 Total residential mortgage banking activities, net: 40,753 8,268 21,554 Commercial Mortgage Banking Activities, Net: Changes in fair value of: Commercial loans, at fair value 433 10,265 20,789 Risk management derivatives (2) (2,538 ) (8,011 ) (7,890 ) Other fee income 43 450 541 Total commercial mortgage banking activities, net: (2,062 ) 2,704 13,440 Mortgage Banking Activities, Net $ 38,691 $ 10,972 $ 34,994 (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. |
Investment Fair Value Changes,
Investment Fair Value Changes, Net | 12 Months Ended |
Dec. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment 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 years ended December 31, 2016 , 2015 and 2014 . Table 19.1 – Investment Fair Value Changes Years Ended December 31, (In Thousands) 2016 2015 2014 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment, at Redwood $ (23,102 ) $ (6,337 ) $ (697 ) Trading securities 9,666 (2,019 ) (358 ) Net investments in consolidated Sequoia entities (4,200 ) (1,192 ) (894 ) Risk sharing investments (1,151 ) (1,886 ) 104 Risk management derivatives (9,112 ) (9,677 ) (7,792 ) Valuation adjustments on commercial loans held-for-sale (307 ) — — Impairments on AFS securities (368 ) (246 ) (565 ) Investment Fair Value Changes, Net $ (28,574 ) $ (21,357 ) $ (10,202 ) |
Operating Expenses
Operating Expenses | 12 Months Ended |
Dec. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Operating Expenses | Operating Expenses Components of our operating expenses for the years ended December 31, 2016 , 2015 and 2014 are presented in the following table. Table 20.1 – Components of Operating Expenses Years Ended December 31, (In Thousands) 2016 2015 2014 Fixed compensation expense $ 24,332 $ 35,093 $ 29,057 Variable compensation expense 16,581 12,606 14,863 Equity compensation expense 9,093 11,921 9,750 Total compensation expense 50,006 59,620 53,670 Systems and consulting 9,037 10,212 11,654 Loan acquisition costs (1) 5,744 10,326 8,207 Office costs 4,550 5,270 5,011 Accounting and legal 3,658 4,837 5,244 Corporate costs 2,106 2,049 2,237 Other operating expenses 3,284 5,102 4,100 Operating expenses before restructuring charges 78,385 97,416 90,123 Restructuring charges (2) 10,401 — — Total Operating Expenses $ 88,786 $ 97,416 $ 90,123 (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 year ended December 31, 2016 , restructuring charges included $5 million of fixed compensation expense and $3 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 | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes Components of our net deferred tax assets at December 31, 2016 and 2015 are presented in the following table. Table 21.1 – Deferred Tax Assets (Liabilities) (In Thousands) December 31, 2016 December 31, 2015 Deferred Tax Assets Net operating loss carryforward – state $ 89,350 $ 95,972 Net capital loss carryforward – state 15,346 22,603 Net operating loss carryforward – federal 9,537 32,929 Net capital loss carryforward – federal 2,283 7,971 Real estate assets 5,601 5,144 Interest rate agreements — 1,472 Allowances and accruals 3,059 3,458 Other 2,192 513 Total Deferred Tax Assets 127,368 170,062 Deferred Tax Liabilities Mortgage Servicing Rights (22,531 ) (50,630 ) Interest rate agreements (2,167 ) — Tax effect of unrealized gains – OCI (1,636 ) (2,638 ) Total Deferred Tax Liabilities (26,334 ) (53,268 ) Valuation allowance (101,932 ) (116,794 ) Total Deferred Tax Asset (Liability), net of Valuation Allowance $ (898 ) $ — The deferred tax assets and liabilities reported above, with the exception of the state net operating loss and capital loss carryforwards, relate solely to our TRS. For state purposes, the REIT files a unitary combined return with its TRS. Because the REIT may have state taxable income apportioned to it from the activity of its TRS, we report the entire combined unitary state net operating loss and capital loss carryforwards as deferred tax assets, including the carryforwards allocated to the REIT. Realization of our deferred tax assets ("DTAs") at December 31, 2016 , is dependent on many factors, including generating sufficient taxable income prior to the expiration of NOL carryforwards and generating sufficient capital gains in future periods prior to the expiration of capital loss carryforwards. We determine the extent to which realization of the deferred assets is not assured and establish a valuation allowance accordingly. As a result of GAAP income generated at our TRS in 2016, we are reporting net federal ordinary and capital deferred tax liabilities ("DTLs") at December 31, 2016 and consequently no valuation allowance is recorded against any federal DTA. This is compared to the year ended December 31, 2015, where we reported net federal ordinary and capital DTAs, for which we recorded a full valuation allowance. Consistent with prior periods, at December 31, 2016 , we continued to maintain a valuation allowance against our net state DTAs as we remain uncertain about our ability to generate sufficient income in future periods needed to utilize net state DTAs beyond the reversal of our state DTLs. Our estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. We assessed our tax positions for all open tax years (i.e., Federal, 2013 to 2016 , and State, 2012 to 2016 ) and, at December 31, 2016 and 2015 , concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. The following table summarizes the provision for income taxes for the years ended December 31, 2016 , 2015 , and 2014 . Table 21.2 – Provision for Income Taxes Years Ended December 31, (In Thousands) 2016 2015 2014 Current Provision for Income Taxes Federal $ 1,477 $ 144 $ 24 State 331 167 17 Total Current Provision for Income Taxes 1,808 311 41 Deferred Provision for Income Taxes Federal 1,910 (10,198 ) 703 State (10 ) (459 ) — Total Deferred Provision for (Benefit from) Income Taxes 1,900 (10,657 ) 703 Total Provision for Income Taxes $ 3,708 $ (10,346 ) $ 744 At December 31, 2016 , our federal NOL carryforward at the REIT was $59 million , which will expire in 2029 . In order to utilize NOLs at the REIT, taxable income must exceed dividend distributions. At December 31, 2016 , our taxable REIT subsidiaries had federal NOLs of $28 million , which will expire in 2035 . Redwood and its taxable subsidiaries accumulated an estimated state NOL of $1.25 billion at December 31, 2016 . These NOLs expire beginning in 2029 . If certain substantial changes in the Company’s ownership occur, there could be an annual limitation on the amount of the carryforwards that can be utilized. For the years ended December 31, 2016 , 2015 , and 2014 , we recognized a provision for income taxes of $4 million , a benefit from income taxes of $10 million , and a provision for income taxes of $1 million , respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at December 31, 2016 , 2015 , and 2014 . Table 21.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate December 31, 2016 December 31, 2015 December 31, 2014 Federal statutory rate 34.0 % 34.0 % 34.0 % State statutory rate, net of Federal tax effect 7.2 % 7.2 % 7.2 % Differences in taxable (loss) income from GAAP income (1.0 )% (20.3 )% (14.5 )% Change in valuation allowance (11.2 )% 6.1 % (0.1 )% Dividends paid deduction (26.3 )% (38.3 )% (25.9 )% Effective Tax Rate 2.7 % (11.3 )% 0.7 % We believe that we have met all requirements for qualification as a REIT for federal income tax purposes. Many requirements for qualification as a REIT are complex and require analysis of particular facts and circumstances. Often there is only limited judicial or administrative interpretive guidance and as such there can be no assurance that the Internal Revenue Service or courts would agree with our various tax positions. If we did not meet the requirements for statutory relief, we could be subject to a 100% prohibited transaction tax for certain transactions, be required to distribute additional dividends, or be subject to federal income tax at regular corporate rates. We could also potentially lose our REIT status. Any of these outcomes could have a material adverse impact on our consolidated financial statements. |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2016 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Mortgage Banking, Residential Investments, and Commercial. Beginning in the first quarter of 2016, we renamed our former "Commercial mortgage banking and investments" segment to our "Commercial" segment, as a result of our announcement to discontinue the origination of commercial loans. Our segments are based on our organizational and management structure, which aligns with how our results are monitored and performance is assessed. The accounting policies of the reportable segments are the same as those described in Note 3 — Summary of Significant Accounting Policies . For a full description of our segments, see Item 1 —Business in this Annual Report on Form 10-K. Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain expenses not directly assigned or allocated to one of the three primary segments, as well as activity from certain consolidated Sequoia entities consolidated for GAAP financial reporting purposes, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated expenses primarily include interest expense associated with certain long-term debt, indirect operating expenses, and other expense. The following tables present financial information by segment for the years ended December 31, 2016 , 2015 , and 2014 . Table 22.1 – Business Segment Financial Information Year Ended December 31, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 33,661 $ 160,174 $ 32,780 $ 19,740 $ 246,355 Interest expense (14,191 ) (18,394 ) (5,001 ) (50,942 ) (88,528 ) Net interest income (loss) 19,470 141,780 27,779 (31,202 ) 157,827 Reversal of provision for loan losses — — 7,102 — 7,102 Non-interest income Mortgage banking activities, net 40,753 — (2,062 ) — 38,691 MSR income (loss), net — 14,353 — — 14,353 Investment fair value changes, net — (26,945 ) 2,578 (4,207 ) (28,574 ) Other income — 6,070 268 — 6,338 Realized gains, net — 22,516 5,201 292 28,009 Total non-interest income, net 40,753 15,994 5,985 (3,915 ) 58,817 Direct operating expenses (1) (23,252 ) (9,042 ) (2,731 ) (53,761 ) (88,786 ) Provision for income taxes (1,860 ) (1,848 ) — — (3,708 ) Segment Contribution $ 35,111 $ 146,884 $ 38,135 $ (88,878 ) Net Income $ 131,252 Non-cash amortization income (expense) $ (130 ) $ 29,830 $ (24 ) $ (3,972 ) $ 25,704 Year Ended December 31, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 52,260 $ 135,395 $ 46,933 $ 24,844 $ 259,432 Interest expense (17,207 ) (11,204 ) (13,809 ) (53,663 ) (95,883 ) Net interest income (loss) 35,053 124,191 33,124 (28,819 ) 163,549 Reversal of provision for loan losses — — 355 — 355 Non-interest income Mortgage banking activities, net 8,268 — 2,704 — 10,972 MSR income (loss), net — (3,922 ) — — (3,922 ) Investment fair value changes, net — (20,089 ) — (1,268 ) (21,357 ) Other income — 3,192 — — 3,192 Realized gains, net — 36,369 — — 36,369 Total non-interest income, net 8,268 15,550 2,704 (1,268 ) 25,254 Direct operating expenses (43,182 ) (4,346 ) (11,331 ) (38,557 ) (97,416 ) Benefit from income taxes 4,169 847 1,452 3,878 10,346 Segment Contribution $ 4,308 $ 136,242 $ 26,304 $ (64,766 ) Net Income $ 102,088 Non-cash amortization income (expense) $ (186 ) $ 36,850 $ (267 ) $ (3,994 ) $ 32,403 Hedging allocations 1,120 (1,070 ) — (50 ) — Year Ended December 31, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 58,272 $ 110,433 $ 47,567 $ 25,798 $ 242,070 Interest expense (12,776 ) (11,848 ) (15,836 ) (47,003 ) (87,463 ) Net interest income (loss) 45,496 98,585 31,731 (21,205 ) 154,607 Provision for loan losses — — (84 ) (877 ) (961 ) Non-interest income Mortgage banking activities, net 21,554 — 13,440 — 34,994 MSR income (loss), net — (4,261 ) — — (4,261 ) Investment fair value changes, net — (9,178 ) — (1,024 ) (10,202 ) Other income — 181 — 1,600 1,781 Realized gains, net — 13,777 — 1,701 15,478 Total non-interest income, net 21,554 519 13,440 2,277 37,790 Direct operating expenses (37,664 ) (3,681 ) (11,324 ) (37,454 ) (90,123 ) (Provision for) benefit from income taxes (1,774 ) 1,340 (234 ) (76 ) (744 ) Segment Contribution $ 27,612 $ 96,763 $ 33,529 $ (57,335 ) Net Income $ 100,569 Non-cash amortization income (expense) $ (181 ) $ 42,784 $ (673 ) $ (8,232 ) $ 33,698 (1) For the year ended December 31, 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 table presents the components of Corporate/Other for the years ended December 31, 2016 , 2015 , and 2014 . Table 22.2 – Components of Corporate/Other Years Ended December 31, 2016 2015 2014 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 19,537 $ 203 $ 19,740 $ 24,814 $ 30 $ 24,844 $ 25,786 $ 12 $ 25,798 Interest expense (13,103 ) (37,839 ) (50,942 ) (15,646 ) (38,017 ) (53,663 ) (20,844 ) (26,159 ) (47,003 ) Net interest income (loss) 6,434 (37,636 ) (31,202 ) 9,168 (37,987 ) (28,819 ) 4,942 (26,147 ) (21,205 ) Provision for loan losses — — — — — — (877 ) — (877 ) Non-interest income Investment fair value changes, net (4,200 ) (7 ) (4,207 ) (1,192 ) (76 ) (1,268 ) (894 ) (130 ) (1,024 ) Other income — — — — — — — 1,600 1,600 Realized gains, net — 292 292 — — — 1,701 — 1,701 Total non-interest income (loss), net (4,200 ) 285 (3,915 ) (1,192 ) (76 ) (1,268 ) 807 1,470 2,277 Direct operating expenses — (53,761 ) (53,761 ) — (38,557 ) (38,557 ) (165 ) (37,289 ) (37,454 ) (Provision for) benefit from income taxes — — — — 3,878 3,878 — (76 ) (76 ) Total $ 2,234 $ (91,112 ) $ (88,878 ) $ 7,976 $ (72,742 ) $ (64,766 ) $ 4,707 $ (62,042 ) $ (57,335 ) (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 December 31, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total December 31, 2016 Residential loans $ 835,399 $ 2,261,016 $ — $ 791,636 $ 3,888,051 Commercial loans — — 2,700 — 2,700 Real estate securities — 926,669 91,770 — 1,018,439 Mortgage servicing rights — 118,526 — — 118,526 Total assets 866,356 3,518,518 97,017 1,001,586 5,483,477 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 |
Quarterly Financial Data - Unau
Quarterly Financial Data - Unaudited | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Data - Unaudited | Quarterly Financial Data - Unaudited Three Months Ended (In Thousands, except Share Data) December 31, September 30, June 30, March 31, 2016 Operating results: Interest income (1) $ 56,334 $ 60,906 $ 66,787 $ 62,328 Interest expense (20,537 ) (21,597 ) (22,444 ) (23,950 ) Net interest income 35,797 39,309 44,343 38,378 Reversal of (provision for) loan losses (2) — 859 6,532 (289 ) Non-interest income (3) 9,763 33,712 10,888 4,454 Operating expenses (4) (17,824 ) (20,355 ) (20,155 ) (30,452 ) Net income 25,355 52,553 41,281 12,063 Per share data: Net income – basic $ 0.32 $ 0.67 $ 0.52 $ 0.15 Net income – diluted 0.31 0.58 0.48 0.15 Regular dividends declared per common share 0.28 0.28 0.28 0.28 2015 Operating results: Interest income (5) $ 68,829 $ 63,484 $ 63,373 $ 63,746 Interest expense (25,039 ) (23,875 ) (23,008 ) (23,961 ) Net interest income 43,790 39,609 40,365 39,785 Non-interest income 19,593 (3,412 ) 14,104 (5,031 ) Operating expenses (22,638 ) (24,497 ) (25,218 ) (25,063 ) Net income 41,059 19,164 27,064 14,801 Per share data: Net income – basic $ 0.49 $ 0.22 $ 0.31 $ 0.17 Net income – diluted 0.46 0.22 0.31 0.16 Regular dividends declared per common share 0.28 0.28 0.28 0.28 (1) Interest income for the three-month periods ended December 31, 2016, September 30, 2016, and June 30, 2016, included $1 million , $1 million , and $5 million , respectively, of yield maintenance fees from commercial loans that prepaid during the quarters. (2) During the second quarter of 2016, we recorded a reversal of provision for loan losses of $7 million as a result of the transfer of most of our commercial mezzanine loans from held-for-investment to held-for sale. (3) Non-interest income for the three-month periods ended December 31, 2016 and September 30, 2016 included $1 million and $5 million , respectively, of realized gains from the sale of the majority of our commercial mezzanine loan portfolio. (4) During the first quarter of 2016, we recorded restructuring charges totaling $10 million associated with the restructuring of our conforming and commercial mortgage banking operations. (5) Interest income for both three-month periods ended December 31, 2015 and June 30, 2015 included $2 million of yield maintenance fees from commercial loans that prepaid during the quarters. |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The consolidated financial statements presented herein are at December 31, 2016 and December 31, 2015 , and for the years ended December 31, 2016 , 2015 , and 2014 . These consolidated financial statements have been 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”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at December 31, 2016 and results of operations for all periods presented have been made. 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 II, Item 7, Management’s Discussion and Analysis of Financial Condition and Results of Operations in this Annual Report on Form 10-K. 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 Note 18 and Note 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 in which we engaged (“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 and the assets of the entity were distributed to us. 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 13 for further discussion on ABS issued. |
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. |
Fair Value Measurements | Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement for assets is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. |
Fair Value Option | We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, MSRs, interest only (“IO”) securities, and certain mezzanine classified subordinate securities. We generally elect the fair value option for residential loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our MSRs, IO securities, and certain subordinate securities, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, upon the adoption of ASU 2014-13 in 2015, we elected the fair value option for the assets and liabilities of our consolidated Sequoia entities. |
Real Estate Loans | Residential and Commercial Loans - Held-for-Sale at Fair Value Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential loans (and previously for commercial loans) that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential and Commercial Loans - Held-for-Sale at Lower of Cost or Market Loans held-for-sale at lower of cost or market include certain residential and commercial loans. These loans are recorded and subsequently reported at the lower of their initial carrying amount or current fair value. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a residential loan becoming greater than 90 days past due is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are non-recurring and are reported through our consolidated statements of income in Mortgage banking activities, net and Investment fair value changes, net, for residential and commercial loans, respectively. Residential Loans Held-for-Investment - At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI") when the loans were transferred to our FHLBC member subsidiary and pledged as collateral for borrowings made from the Federal Home Loan Bank of Chicago (“FHLBC”). As of December 31, 2016 , our current intention is to hold these loans for longer-term investment while they are financed by the FHLBC. In addition, on January 1, 2015, we adopted ASU 2014-13 and began to record loans held at consolidated Sequoia entities at fair value. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Commercial Loans Held-for-Investment - At Fair Value We elected the fair value option for certain senior commercial mortgage loans that we originated and bifurcated into a senior portion that was sold to a third party and a junior portion that we retained as an investment (during 2016, we disposed of all of our interests in these loans). As the initial transfer of the senior portions did not meet the criteria for sale treatment under GAAP, the loans in their entirety (the senior and junior portions) remained on our consolidated balance sheet, and we accounted for the transfer of the senior portion as a secured borrowing. Coupon interest was recognized as revenue when earned and deemed collectible. Changes in fair value were recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Commercial Loans Held-for-Investment - At Amortized Cost Commercial loans held-for-investment at amortized cost historically included certain commercial loans prior to their transfer to held-for-sale classification during 2016. Coupon interest was recognized as revenue when earned and deemed collectible or until a loan became more than 90 days past due or had been individually impaired, at which point the loan was placed on non-accrual status. Interest previously accrued for loans that had become greater than 90 days past due or individually impaired was reserved for in the allowance for loan losses. See Note 7 for further discussion on commercial loans. Residential Loans - Allowance for Loan Losses and Foreclosed Loans Upon the adoption of ASU 2014-13 on January 1, 2015, we reclassified all residential loans held at amortized cost to fair value and eliminated our allowance for loan losses for residential loans. See Note 6 for further discussion on the allowance for loan losses for residential loans. Commercial Loans - Allowance for Loan Losses For commercial loans historically classified as held-for-investment at amortized cost, we established and maintained a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we determined to be impaired at the reporting date. An individual loan was considered impaired when it was deemed probable that we would not be able to collect all amounts due according to the contractual terms of the loan. Where an individual commercial loan was impaired, we recorded an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan was collateral dependent, we reduced the carrying value to the estimated fair market value of the loan with a corresponding charge to provision for loan losses on our consolidated statements of income. For all commercial loans that were not individually impaired, we assessed the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Repurchase Reserves We sell and have sold residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (“the Agencies”), and (3) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase residential mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. With respect to MSRs we purchase, if the associated residential loan has been sold to one of the Agencies (which is typically the case), that Agency can require us, as the owner of the MSR, to repurchase the residential loan in the event of such a breach of representations and warranties even though we were not the party that sold the associated loan to that Agency. In January 2016, we discontinued the acquisition and aggregation of conforming loans for resale to the Agencies. We do not originate residential mortgage loans and 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 or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and MSRs are purchased and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of Mortgage banking activities, net and MSR income (loss), net on our consolidated statements of income. |
Real Estate Securities, at Fair Value | Our securities primarily consist of residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of OTTI as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either - (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows - the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date as an impairment through market valuation adjustments on our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheets. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. |
MSRs | We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in MSR income (loss), net on our consolidated statements of income. |
Cash and Cash Equivalents | Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions |
Restricted Cash | Restricted cash primarily includes cash held in association with borrowings from the Federal Home Loan Bank of Chicago, and cash associated with our risk sharing transactions with the Agencies, as well as principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. |
Accrued Interest Receivable | Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. |
Derivative Financial Instruments | Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through MSR income (loss), net if they are used to manage risks associated with our MSR investments, through Mortgage banking activities , net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Eurodollar Futures and Financial Futures Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. CMBX Credit Default Index Swaps CMBX credit default index swaps are derivative instruments that reference an index reflecting the performance of specified tranches from selected commercial mortgage-backed securities (“CMBS”) transactions. Transacting in CMBX credit default index swaps enables us to hedge certain financial risks we are exposed to as we originate senior commercial mortgage loans in anticipation of the sale of these loans into CMBS transactions. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. |
Deferred Tax Assets and Liabilities | Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. |
Other Assets and Other Liabilities | Other assets primarily consists of margin receivable, pledged collateral, FHLBC stock, guarantee asset, and REO. Other liabilities primarily consists of accrued compensation, guarantee obligations, margin payable, and residential loan and MSR repurchase reserves. FHLBC Stock In accordance with its borrowing agreement with the FHLBC, our FHLB-member subsidiary is required to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. FHLBC stock is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLBC, carrying value, or cost, approximates fair value. Dividends received from FHLBC stock are recorded in other income, net in our consolidated statements of income. Margin Receivable and Payable Margin receivable and payable result from margin calls between us and our derivatives, master repurchase agreements, and warehouse facilities counterparties, whereby we or the counterparty were required to post collateral. Agency Risk-Sharing - Other Assets and Liabilities During 2014 and 2015, we entered into various risk-sharing arrangements with Fannie Mae and Freddie Mac. Under these arrangements, we committed to assume the first 1.00% or 2.25% (depending on the arrangement) of losses realized on reference pools of conforming residential mortgage loans that we acquired and then sold to the Agencies. As part of these risk sharing arrangements, during the 10 year term of our first Fannie Mae arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans, and for our Freddie Mac and our subsequent Fannie Mae arrangements, the Agencies charged us a reduced guarantee fee for the reference loans we delivered to them in exchange for mortgage backed securities, which we then sold. Under these arrangements we are required to pledge assets to the Agencies to collateralize our risk sharing commitments to them throughout the terms of the arrangements. These pledged assets are held by a third-party custodian for the benefit of the Agencies. To the extent approved losses are incurred, the custodian will transfer collateral to the Agencies. As a result of these transactions, we recorded “pledged collateral” in the other assets line item, and “guarantee obligations” in the other liabilities line item, on our consolidated balance sheets. In addition, for the first Fannie Mae transaction, we recorded a “guarantee asset” in the other assets line item on our consolidated balance sheets. The guarantee obligations represent our commitments to assume losses under these arrangements, which at inception were recorded at fair value based on the fair value of the guarantee asset in the case of the first Fannie Mae arrangement, and the additional proceeds received that were attributable to the reduced guarantee fees for the Freddie Mac and subsequent Fannie Mae arrangements. We amortize the guarantee obligations over the 10 year terms of the arrangements based primarily on changes in the outstanding unpaid principal balance of loans in the reference pools, with a portion of the liabilities treated as a credit reserve that is not amortized into income. In addition, each period we assess the need for a separate loss allowance related to these arrangements, based on our estimate of credit losses inherent in the reference pools of loans. Income from cash payments received under the first Fannie Mae risk sharing arrangement and income related to the amortization of the guarantee obligations of all three arrangements are recorded in other income, and market valuation changes of the guarantee asset are recorded in Investment fair value changes, net on our consolidated statements of income. Our consolidated balance sheets include assets of the 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 and liabilities of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2016 and December 31, 2015 , assets of such SPEs totaled $49 million and $63 million , respectively, and liabilities of such SPEs totaled $22 million and $25 million , respectively. See Note 15 for further discussion on loss contingencies — risk sharing. REO REO property acquired through, or in lieu of, foreclosure is initially recorded at fair value, and subsequently reported at the lower of its carrying amount or fair value (less estimated cost to sell). Changes in the fair value of an REO property that has a fair value at or below its carrying amount are recorded in our consolidated statements of income as a component of other market valuation adjustments. |
Short-Term Debt | Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings may be unsecured or collateralized by cash, loans, or securities. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. |
Accrued Interest Payable | Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible and exchangeable debt. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. |
Asset-Backed Securities Issued | ABS issued represents asset-backed securities issued by bankruptcy-remote entities consolidated by Redwood. These include certain Sequoia entities, the Residential Resecuritization and the Commercial Securitization. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. ABS issued are generally carried at their unpaid principal balances net of any unamortized discount or premium and net of any unamortized deferred issuance costs. Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for the ABS issued under our consolidated Sequoia entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. |
Long-Term Debt | FHLBC Borrowings FHLBC borrowings include amounts borrowed by our FHLB-member subsidiary, also referred to as “advances,” from the Federal Home Loan Bank of Chicago that are secured by eligible collateral, including, but not limited to, residential mortgage loans and residential mortgage-backed securities. FHLBC borrowings are carried at their unpaid principal balance and interest on advances is paid every 13 weeks from when each respective advance is made. If the value (as determined by the FHLBC) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the FHLBC may foreclose upon the collateral and pursue any outstanding debt amount from us. Commercial Secured Borrowings Commercial secured borrowings represent liabilities recognized in association with cash received 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 elected the fair value option for these secured borrowings and they are held at their estimated fair value on our consolidated balance sheets. These amounts do not represent legal obligations of Redwood and we are not required to make interest payments on these borrowings. Convertible Notes Convertible notes include unsecured convertible and exchangeable debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. If converted or exchanged by a holder, the holder of the notes would receive shares of our common stock. Trust Preferred Securities and Subordinated Notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs. This long-term debt is unsecured and interest is paid quarterly until it is redeemed in whole or matures at a future date. Deferred Securities Issuance Costs Securities issuance costs are expenses associated with the issuance of long-term debt, and certain ABS issued. These expenses typically include underwriting, rating agency, legal, accounting, and other fees. ABS issuance costs associated with liabilities reported at cost are deferred. Deferred securities issuance costs are included in the carrying value of the related securities issued and are amortized as an adjustment to interest expense using the interest method, based upon the actual and estimated repayment schedules of the related securities issued. |
Equity | Accumulated Other Comprehensive Income (Loss) Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of Accumulated other comprehensive income on our consolidated statements of changes in stockholders' equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. Earnings per Common Share Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion or exchange of convertible or exchangeable debt into common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible or exchangeable debt to net income and adding the shares issued in an assumed conversion or exchange to the diluted weighted average share count. The two-class method is an earnings allocation formula under which EPS is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. GAAP defines vested and unvested share-based payment awards containing nonforfeitable rights to dividends or dividend equivalents as participating securities that are included in computing EPS under the two-class method. |
Incentive Plans | In May 2014, our shareholders approved the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which replaced the 2002 Redwood Trust, Inc. Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three - or four -year period. Awards made under the Incentive Plan to officers and other employees in lieu of the payment in cash of a portion of annual bonuses earned generally vest immediately, but are subject to a three -year mandatory holding period. Deferred stock units and restricted stock have attached dividend equivalent rights, resulting in the payment of dividend equivalents each time we pay a common stock dividend. Non-employee directors are also provided annual awards under the Incentive Plan that generally vest immediately. The cost of the awards is amortized over the vesting period on a straight-line basis. Upon adoption of ASU 2016-09, we elected to begin accounting for forfeitures on employee equity awards as they occur. Employee Stock Purchase Plan In May 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. Executive Deferred Compensation Plan In November 2013, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to allow non-employee directors to defer certain cash payments and dividends into DSUs. The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. 401(k) Plan We offer a tax-qualified 401(k) Plan to all employees for retirement savings. Under this Plan, employees are allowed to defer and invest up to 100% of their cash earnings, subject to the maximum 401(k) Plan contribution limit set forth by the Internal Revenue Service. We match some employee contributions to encourage participation and to provide a retirement planning benefit to employees. Plan matching contributions made by the Company for the years ended December 31, 2016 , 2015 , and 2014 were $0.6 million , $0.8 million , and $0.6 million , respectively. Vesting of the 401(k) Plan matching contributions is based on the employee’s tenure at the Company, and over time an employee becomes increasingly vested in matching contributions. |
Taxes | We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with GAAP guidance on accounting for uncertain tax positions. We classify interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in our consolidated statements of income. |
Recent Accounting Pronouncements | Newly Adopted Accounting Standards Updates ("ASUs") 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 of the related liabilities on our consolidated balance sheets for all periods presented. At December 31, 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 $7 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 provides simplifications of 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 November 2016, the FASB issued ASU 2016-18, "Statement of Cash Flows (Topic 230): Restricted Cash." This new guidance amends previous guidance on how to classify and present changes in restricted cash on 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 will modify the presentation of our cash flow statement as required. 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 do not expect it will have a material impact 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 these new accounting standards, we do not expect that their 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 December 31, 2016 and December 31, 2015 . Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount December 31, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,980 $ — $ 24,980 $ (7,736 ) $ (4,784 ) $ 12,460 TBAs 8,300 — 8,300 (3,936 ) (4,364 ) — Total Assets $ 33,280 $ — $ 33,280 $ (11,672 ) $ (9,148 ) $ 12,460 Liabilities (2) Interest rate agreements $ (56,919 ) $ — $ (56,919 ) $ 7,736 $ 49,183 $ — TBAs (4,681 ) — (4,681 ) 3,936 — (745 ) Futures (928 ) — (928 ) — 928 — Loan warehouse debt (485,544 ) — (485,544 ) 485,544 — — Security repurchase agreements (305,995 ) — (305,995 ) 305,995 — — Total Liabilities $ (854,067 ) $ — $ (854,067 ) $ 803,211 $ 50,111 $ (745 ) 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, credit default index swaps, 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. |
Summary of Significant Accoun32
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at December 31, 2016 and December 31, 2015 . Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount December 31, 2016 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,980 $ — $ 24,980 $ (7,736 ) $ (4,784 ) $ 12,460 TBAs 8,300 — 8,300 (3,936 ) (4,364 ) — Total Assets $ 33,280 $ — $ 33,280 $ (11,672 ) $ (9,148 ) $ 12,460 Liabilities (2) Interest rate agreements $ (56,919 ) $ — $ (56,919 ) $ 7,736 $ 49,183 $ — TBAs (4,681 ) — (4,681 ) 3,936 — (745 ) Futures (928 ) — (928 ) — 928 — Loan warehouse debt (485,544 ) — (485,544 ) 485,544 — — Security repurchase agreements (305,995 ) — (305,995 ) 305,995 — — Total Liabilities $ (854,067 ) $ — $ (854,067 ) $ 803,211 $ 50,111 $ (745 ) 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, credit default index swaps, 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) | 12 Months Ended |
Dec. 31, 2016 | |
Variable Interest Entity [Line Items] | |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the years ended December 31, 2016 and 2015 . Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2016 2015 Principal balance of loans transferred $ 1,036,584 $ 1,375,532 Trading securities retained, at fair value 3,573 252,222 AFS securities retained, at fair value 5,554 7,852 MSRs recognized 6,451 8,202 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the years ended December 31, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2016 2015 Proceeds from new transfers $ 1,057,688 $ 1,139,052 MSR fees received 13,842 14,874 Funding of compensating interest (338 ) (363 ) Cash flows received on retained securities 30,191 43,460 |
MSR Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during 2016 and 2015. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Year Ended December 31, 2016 Year Ended December 31, 2015 At Date of Securitization MSRs Senior Securities Subordinate Securities MSRs Senior Securities Subordinate Securities Prepayment rates 21 % N/A 15 % 14 % 10 % 8 % Discount rates 11 % N/A 6 % 11 % 3 % 6 % Credit loss assumptions N/A N/A 0.25 % N/A 0.12 % 0.24 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at December 31, 2016 and December 31, 2015 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) December 31, 2016 December 31, 2015 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 41,909 $ 258,697 Subordinate securities, classified as AFS 234,025 272,715 Mortgage servicing rights 58,800 56,984 Maximum loss exposure (1) $ 334,734 $ 588,396 Assets transferred: Principal balance of loans outstanding $ 6,870,398 $ 7,318,167 Principal balance of loans 30+ days delinquent 21,427 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 December 31, 2016 and December 31, 2015 . Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood December 31, 2016 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2016 $ 58,800 $ 26,618 $ 249,317 Expected life (in years) (2) 7 6 12 Prepayment speed assumption (annual CPR) (2) 11 % 8 % 12 % Decrease in fair value from: 10% adverse change $ 2,226 $ 1,075 $ 997 25% adverse change 5,284 2,569 2,494 Discount rate assumption (2) 11 % 8 % 6 % Decrease in fair value from: 100 basis point increase $ 2,088 $ 1,105 $ 19,574 200 basis point increase 4,032 2,128 36,574 Credit loss assumption (2) N/A 0.25 % 0.25 % Decrease in fair value from: 10% higher losses N/A $ 19 $ 1,174 25% higher losses N/A 49 2,933 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 $27 million and $31 million of interest only securities at December 31, 2016 and December 31, 2015 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Loan Transfers Accounted for as Secured Borrowings | The following table presents a summary of our interests in third-party VIEs at December 31, 2016 , grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary (Dollars in Thousands) December 31, 2016 Mortgage Backed Securities Senior $ 146,995 Re-REMIC 85,479 Subordinate 510,030 Total Investments in Third-Party Sponsored VIEs $ 742,504 |
Variable Interest Entity, Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. Table 4.1 – Assets and Liabilities of Consolidated VIEs December 31, 2016 Sequoia Entities Commercial Securitization Total (Dollars in Thousands) Residential loans, held-for-investment $ 791,636 $ — $ 791,636 Restricted cash 148 — 148 Accrued interest receivable 1,000 — 1,000 Other assets 5,533 — 5,533 Total Assets $ 798,317 $ — $ 798,317 Accrued interest payable $ 518 $ — $ 518 Asset-backed securities issued 773,462 — 773,462 Total Liabilities $ 773,980 $ — $ 773,980 Number of VIEs 20 — 20 December 31, 2015 Sequoia Commercial 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 |
Fair Value of Financial Instr34
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Estimated Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2016 and December 31, 2015 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities December 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale At fair value $ 834,193 $ 834,193 $ 1,114,305 $ 1,114,305 At lower of cost or fair value 1,206 1,365 1,433 1,635 Residential loans, held-for-investment At fair value 3,052,652 3,052,652 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 2,700 2,700 — — Commercial loans, held-for-investment At fair value — — 67,657 67,657 At amortized cost — — 295,849 300,824 Trading securities 445,687 445,687 404,011 404,011 Available-for-sale securities 572,752 572,752 829,245 829,245 MSRs 118,526 118,526 191,976 191,976 Cash and cash equivalents 212,844 212,844 220,229 220,229 Restricted cash 8,623 8,623 5,567 5,567 Accrued interest receivable 18,454 18,454 23,290 23,290 Derivative assets 36,595 36,595 16,393 16,393 REO (1) 5,533 5,560 4,896 5,282 Margin receivable (1) 68,038 68,038 83,191 83,191 FHLBC stock (1) 43,393 43,393 34,437 34,437 Guarantee asset (1) 4,092 4,092 5,697 5,697 Pledged collateral (1) 42,875 42,875 53,600 53,600 Liabilities Short-term debt $ 791,539 $ 791,539 $ 1,855,003 $ 1,855,003 Accrued interest payable 9,608 9,608 8,936 8,936 Margin payable 12,783 12,783 6,415 6,415 Guarantee obligation 21,668 22,181 22,704 22,702 Derivative liabilities 66,329 66,329 62,794 62,794 ABS issued, net (2) Fair value 773,462 773,462 996,820 996,820 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) 482,195 493,365 483,119 461,053 Trust preferred securities and subordinated notes, net (2) 138,489 96,255 138,443 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 December 31, 2016 and December 31, 2015 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis December 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 3,886,845 $ — $ — $ 3,886,845 Trading securities 445,687 — — 445,687 Available-for-sale securities 572,752 — — 572,752 Derivative assets 36,595 8,300 24,980 3,315 MSRs 118,526 — — 118,526 Pledged collateral 42,875 42,875 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 4,092 — — 4,092 Liabilities Derivative liabilities $ 66,329 $ 5,609 $ 56,919 $ 3,801 ABS issued 773,462 — — 773,462 December 31, 2015 Carrying 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 years ended December 31, 2016 and December 31, 2015 . 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 4,747,564 37,625 292,875 34,520 25,362 — — — — Sales (3,813,538 ) (81,523 ) (244,219 ) (252,696 ) (62,440 ) — — — — Principal paydowns (806,081 ) (476 ) (17,827 ) (62,229 ) — — — (306 ) (208,215 ) Gains (losses) in net income, net (33,893 ) 2,791 10,847 48,399 (36,372 ) (1,605 ) 30,193 2,369 (8,275 ) Unrealized losses in OCI, net — — — (24,487 ) — — — — — Other settlements, net (2) (4,758 ) (65,215 ) — — — — (33,887 ) (65,215 ) (6,868 ) Ending balance - December 31, 2016 $ 3,886,845 $ — $ 445,687 $ 572,752 $ 118,526 $ 4,092 $ (486 ) $ — $ 773,462 Assets Liabilities (In Thousands) Residential Loans Commercial Loans Trading Securities AFS Securities MSRs Guarantee Asset Derivatives (1) Commercial Secured Borrowings ABS Issued Beginning balance - December 31, 2014 $ 1,677,984 $ 237,496 $ 111,606 $ 1,267,624 $ 139,293 $ 7,201 $ 1,119 $ 66,707 $ — Transfer to FVO (3) 1,370,699 — — — — — — — 1,302,216 Acquisitions 5,231,532 617,519 399,990 33,370 95,281 — — — — Sales (3,857,807 ) (754,636 ) (83,038 ) (366,373 ) (18,206 ) — — — (1,362 ) Principal paydowns (612,473 ) (780 ) (7,245 ) (131,387 ) — — — (593 ) (312,800 ) Gains (losses) in net income, net (6,071 ) 7,199 (17,302 ) 72,612 (24,392 ) (1,377 ) 60,823 (3,011 ) 8,366 Unrealized gains in OCI, net — — — (46,961 ) — — — — — Other settlements, net (2) (6,313 ) — — 360 — (127 ) (58,734 ) 49 400 Ending balance - December 31, 2015 $ 3,797,551 $ 106,798 $ 404,011 $ 829,245 $ 191,976 $ 5,697 $ 3,208 $ 63,152 $ 996,820 (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 and commercial loans, the reduction in 2016 represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes. (3) Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See Note 3 for further discussion. |
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2016 , 2015 , and 2014 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2016 , 2015 , and 2014 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2016 , 2015 , and 2014 Included in Net Income Included in Net Income Years Ended December 31, (In Thousands) 2016 2015 2014 Assets Residential loans at Redwood $ (17,370 ) $ (5,541 ) $ 16,512 Residential loans at consolidated Sequoia entities (14,391 ) 7,422 — Commercial loans — (2,620 ) 3,357 Trading securities 7,184 (13,391 ) (25,216 ) Available-for-sale securities (368 ) (246 ) (434 ) MSRs 42,964 (3,471 ) (15,239 ) Loan purchase commitments — 4,252 1,119 Other assets - Guarantee asset (1,605 ) (1,504 ) — Liabilities Loan purchase commitments $ (486 ) $ — $ — Commercial secured borrowing — 3,011 2,033 ABS issued 8,275 (8,366 ) — |
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 December 31, 2016 and December 31, 2015 . This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2016 and December 31, 2015 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis Gain (Loss) for Year Ended December 31, 2016 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2016 Assets Residential loans, at lower of cost or fair value $ 867 $ — $ — $ 867 $ (17 ) Commercial loans, at lower of cost or fair value 2,700 — — 2,700 (300 ) REO 5,207 — — 5,207 (1,831 ) Gain (Loss) for Year Ended December 31, 2015 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2015 Assets Residential loans, at lower of cost or fair value $ 1,096 $ — $ — $ 1,096 $ 3 REO 2,395 — — 2,395 (764 ) Liabilities Guarantee obligation 4,414 — — 4,414 — |
Market Valuation Adjustments | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2016 , 2015 , and 2014 . Table 5.6 – Market Valuation Gains and Losses, Net Years Ended December 31, (In Thousands) 2016 2015 2014 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 5,786 $ 3,712 $ 51,312 Residential loan purchase and forward sale commitments 25,613 50,234 13,891 Commercial loans, at fair value (1) 433 10,265 20,788 Sequoia securities 1,455 (15,261 ) (23,839 ) Risk management derivatives, net 3,158 (42,468 ) (31,167 ) Total mortgage banking activities, net (2) $ 36,445 $ 6,482 $ 30,985 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood (23,102 ) (6,337 ) (697 ) Trading securities 9,666 (2,019 ) (358 ) Valuation adjustments on commercial loans held-for-sale (307 ) — — Net investments in consolidated Sequoia entities (4,200 ) (1,192 ) (894 ) Risk sharing investments (1,151 ) (1,886 ) 104 Risk management derivatives, net (9,112 ) (9,677 ) (7,792 ) Impairments on AFS securities (368 ) (246 ) (565 ) Total investment fair value changes, net $ (28,574 ) $ (21,357 ) $ (10,202 ) MSR Income (Loss), Net MSRs $ (36,372 ) $ (24,392 ) $ (21,081 ) Risk management derivatives, net 15,584 (12,708 ) — Total MSR loss, net (3) $ (20,788 ) $ (37,100 ) $ (21,081 ) Total Market Valuation Gains (Losses), Net $ (12,917 ) $ (51,975 ) $ (298 ) (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 prior to the second 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 December 31, 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 $ 2,871,120 Whole loan spread to TBA price $ 3.05 - $ 4.06 $ 3.94 Whole loan spread to swap rate 275 - 305 bps 304 bps Jumbo hybrid loans 50,974 Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate 135 - 275 bps 168 bps Jumbo loans committed to sell 173,114 Whole loan committed sales price $ 99.98 - $ 102.06 $ 100.61 Loans held by consolidated Sequoia entities (1) 791,636 Liability price N/A N/A Residential loans, at lower of cost or fair value 867 Loss severity 15 - 30 % 20 % Trading and AFS securities 1,018,439 Discount rate 4 - 12 % 7 % Prepayment rate (annual CPR) 1 - 57 % 20 % Default rate 0 - 35 % 2 % Loss severity 20 - 65 % 22 % Credit support 0 - 48 % 3 % MSRs 118,526 Discount rate 10 - 11 % 10 % Prepayment rate (annual CPR) 5 - 11 % 9 % Per loan annual cost to service $ 72 - $ 82 $ 77 Guarantee asset 4,092 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 10 - 10 % 10 % REO 5,207 Loss severity 1 - 100 % 24 % Liabilities Loan purchase commitments, net (2) 486 MSR multiple 0.9 - 5.4 x 3.6 x Pull-through rate 12 - 100 % 75 % Whole loan spread to TBA price $ 2.66 - $ 4.06 $ 3.98 Whole loan spread to swap rate - fixed rate 275 - 305 bps 305 bps Prepayment rate (annual CPR) 15 - 15 % 15 % Whole loan spread to swap rate - hybrid 135 - 275 bps 163 bps ABS issued (1) 773,462 Discount rate 4 - 8 % 5 % Prepayment rate (annual CPR) 1 - 20 % 15 % Default rate 1 - 12 % 7 % Loss severity 20 - 32 % 27 % Credit support — - 34 % 9 % (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) - Residential Loans | 12 Months Ended |
Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | |
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at December 31, 2016 and December 31, 2015 . Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2016 (In Thousands) Redwood Sequoia Total Held-for-sale At fair value - jumbo $ 834,193 $ — $ 834,193 At lower of cost or fair value - jumbo 1,206 — 1,206 Total held-for-sale 835,399 — 835,399 Held-for-investment At fair value - jumbo 2,261,016 791,636 3,052,652 Total Residential Loans $ 3,096,415 $ 791,636 $ 3,888,051 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 At 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 |
Geographic Concentration of Loans Recorded on Consolidated Balance Sheet | The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015 . Table 6.2 – Geographic Concentration of Residential Loans December 31, 2016 December 31, 2015 Geographic Concentration (by Principal) Held-for-Sale Held-for- Investment at Sequoia Held-for- Investment at FVO Held-for-Sale Held-for- Investment at Sequoia Held-for- Investment at FVO California 40 % 18 % 42 % 41 % 18 % 39 % Texas 9 % 6 % 10 % 9 % 6 % 11 % Washington 8 % 2 % 4 % 6 % 2 % 3 % Colorado 4 % 3 % 4 % 5 % 3 % 5 % Florida 3 % 14 % 5 % 4 % 14 % 4 % Virginia 2 % 3 % 3 % 3 % 3 % 4 % Georgia 2 % 5 % 1 % 3 % 5 % 1 % Massachusetts 2 % 2 % 4 % 2 % 2 % 4 % New York 2 % 8 % 4 % 1 % 8 % 5 % Other states (none greater than 5%) 28 % 39 % 23 % 26 % 39 % 24 % Total 100 % 100 % 100 % 100 % 100 % 100 % |
Loan Product Type and Accompanying Loan Characteristics of Loans | T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2016 and 2015 . Table 6.3 – Product Types and Characteristics of Residential Loans December 31, 2016 (In Thousands) Loan Balance Number of Loans Interest Rate (1) Maturity Date Total Principal 30-89 Days DQ 90+ Days DQ Held-for-Investment at Redwood (1) : Hybrid ARM loans $ 251 to $500 1 3.63 % to 3.63% 2044-07 - 2044-07 264 — — $ 501 to $750 4 2.88 % to 4.65% 2040-09 - 2045-10 2,722 — — $ 751 to $1,000 2 3.50 % to 4.00% 2045-09 - 2045-10 1,726 — — over $1,000 4 3.00 % to 4.20% 2040-10 - 2045-10 5,545 — — 11 10,257 — — Fixed loans $ — to $250 26 3.67 % to 5.08% 2039-04 - 2045-10 4,643 — 237 $ 251 to $500 633 2.80 % to 5.13% 2028-02 - 2046-12 278,560 264 — $ 501 to $750 1,306 2.75 % to 6.25% 2027-09 - 2046-12 807,714 2,803 — $ 751 to $1,000 690 2.75 % to 5.63% 2027-07 - 2046-12 597,002 — — over $1,000 402 2.80 % to 5.00% 2027-04 - 2047-01 535,621 1,232 — 3,057 2,223,540 4,299 237 Total HFI at Redwood: 3,068 $ 2,233,797 $ 4,299 $ 237 Held-for-Investment at Sequoia: ARM loans: $ — to $250 2,623 0.63 % to 5.60% 2019-02 - 2035-11 $ 297,646 $ 9,158 $ 7,410 $ 251 to $500 694 0.25 % to 5.75% 2019-12 - 2036-05 241,253 9,177 10,059 $ 501 to $750 203 0.88 % to 3.89% 2024-05 - 2035-09 121,919 5,812 5,069 $ 751 to $1,000 100 0.63 % to 3.00% 2022-01 - 2035-07 86,988 2,750 3,322 over $1,000 78 0.25 % to 3.75% 2027-03 - 2036-05 121,484 4,790 4,306 3,698 869,290 31,687 30,166 Hybrid ARM loans: $ — to $250 4 3.00 % to 3.00% 2033-09 - 2034-06 453 — — $ 251 to $500 18 2.63 % to 3.13% 2033-07 - 2034-12 6,516 — — $ 501 to $750 13 2.75 % to 3.13% 2033-07 - 2034-12 8,483 669 — $ 751 to $1,000 1 3.13 % to 3.13% 2033-08 - 2033-08 751 — — over $1,000 1 3.00 % to 3.00% 2033-09 - 2033-09 1,488 — — 37 17,691 669 — Total HFI at Sequoia: 3,735 $ 886,981 $ 32,356 $ 30,166 Held-for-Sale: ARM loans $ 61 to $396 6 1.88 % to 2.75% 2033-10 - 2032-11 $ 882 $ — $ 300 Hybrid ARM loans $ 2 to $1,947 173 2.50 % to 6.00% 2037-06 - 2047-01 144,174 — — Fixed loans $ 404 to $1,997 942 2.99 % to 6.25% 2026-12 - 2047-01 688,329 — — Total Held-for-Sale 1,121 $ 833,385 $ — $ 300 December 31, 2015 (In Thousands) Loan Balance Number of Loans Interest Rate (1) Maturity Date Total Principal 30-89 Days DQ 90+ Days DQ Held-for-Investment at Redwood (1) : ARM loans: $ 251 to $500 2 3.63 % to 3.75% 2044-07 - 2044-07 $ 563 $ — $ — $ 501 to $750 2 3.50 % to 3.50% 2045-09 - 2045-10 1,671 — — $ 751 to $1,000 1 3.63 % to 3.63% 2044-08 - 2044-08 1,267 — — 5 3,501 — — Hybrid ARM loans $ 251 to $500 7 2.88 % to 3.88% 2044-01 - 2044-09 2,963 — — $ 501 to $750 28 2.63 % to 4.90% 2040-09 - 2044-10 17,514 — — $ 751 to $1,000 15 2.75 % to 5.05% 2039-05 - 2044-11 12,994 — — over $1,000 6 2.88 % to 5.20% 2039-04 - 2044-12 8,797 — — 56 42,268 — — Fixed loans $ — to $250 29 3.64 % to 5.38% 2039-04 - 2045-10 5,295 242 — $ 251 to $500 484 3.13 % to 5.13% 2029-07 - 2045-12 212,732 913 — $ 501 to $750 959 2.94 % to 5.25% 2026-11 - 2045-12 595,863 3,213 — $ 751 to $1,000 552 2.90 % to 5.00% 2024-01 - 2045-12 480,557 989 — over $1,000 313 3.14 % to 5.00% 2027-04 - 2045-12 418,774 — — 2,337 1,713,221 5,357 — Total HFI at Redwood: 2,398 $ 1,758,990 $ 5,357 $ — Held-for-Investment at Sequoia: ARM loans: $ — to $250 3,133 0.38 % to 5.16% 2013-02 - 2035-11 $ 355,415 $ 10,661 $ 13,078 $ 251 to $500 858 — % to 5.63% 2013-12 - 2036-05 296,425 9,620 15,345 $ 501 to $750 269 0.63 % to 4.66% 2014-05 - 2035-09 161,273 4,578 7,209 $ 751 to $1,000 135 0.38 % to 2.38% 2019-02 - 2035-07 118,983 3,586 8,473 over $1,000 109 — % to 2.63% 2022-01 - 2036-05 169,492 1,341 14,718 4,504 1,101,588 29,786 58,823 Hybrid ARM loans: $ — to $250 3 2.75 % to 2.88% 2033-09 - 2034-06 317 — — $ 251 to $500 20 2.63 % to 2.88% 2033-07 - 2034-12 7,523 — — $ 501 to $750 15 2.63 % to 2.88% 2033-08 - 2034-12 9,874 542 — $ 751 to $1,000 2 2.75 % to 2.75% 2033-07 - 2033-08 1,547 — — over $1,000 1 2.75 % to 2.75% 2033-09 - 2033-09 1,566 — — 41 20,827 542 — Total HFI at Sequoia: 4,545 $ 1,122,415 $ 30,328 $ 58,823 Held-for-Sale: ARM loans $ 64 to $1,298 14 1.50 % to 4.00% 2032-11 - 2045-12 $ 5,258 $ — $ 415 Hybrid ARM loans $ 164 to $1,989 356 2.50 % to 4.25% 2037-06 - 2046-01 276,457 2,249 — Fixed loans $ 30 to $2,332 1,402 2.75 % to 5.25% 2025-09 - 2046-01 809,803 2,097 1,437 Total Held-for-Sale 1,772 $ 1,091,518 $ 4,346 $ 1,852 (1) Rate is net of servicing fee for consolidated loans for which we do not own the MSR. For borrowers whose current rate is less than the applicable servicing fee, the rate shown in the table above is zero . |
Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for loan losses for the years ended December 31, 2016 , 2015 , and 2014 . Table 6.4 – Allowance for Loan Losses Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ — $ 21,338 $ 25,427 Charge-offs, net — — (4,966 ) Provision for loan losses — — 877 Other adjustments (1) — (21,338 ) — Balance at End of Period $ — $ — $ 21,338 (1) Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See Note 3 for further discussion. |
Commercial Loans (Tables)
Commercial Loans (Tables) - Commercial Loans | 12 Months Ended |
Dec. 31, 2016 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Summary of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying value of commercial loans at December 31, 2016 and December 31, 2015 . Table 7.1 – Classifications and Carrying Value of Commercial Loans (In Thousands) December 31, 2016 December 31, 2015 Held-for-sale At fair value $ — $ 39,141 At lower of cost or fair value 2,700 — Held-for-investment At fair value — 67,657 At amortized cost — 295,849 Total Commercial Loans $ 2,700 $ 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 December 31, 2016 and December 31, 2015 . Table 7.2 – Carrying Value for Commercial Loans Held-for-Investment at Amortized Cost (In Thousands) December 31, 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 |
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) December 31, 2016 December 31, 2015 Pass $ — $ 272,768 Watch list — 34,279 Workout — — Total Commercial Loans Held-for-Investment $ — $ 307,047 |
Summary of Activity in Allowance for Loans Losses | The following table summarizes the activity in the allowance for commercial loan losses for the years ended December 31, 2016 , 2015 , and 2014 . Table 7.4 – Activity in the Allowance for Commercial Loan Losses Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 7,102 $ 7,457 $ 7,373 Charge-offs, net — — — (Reversal of) provision for loan losses (7,102 ) (355 ) 84 Balance at End of Period $ — $ 7,102 $ 7,457 |
Loans Evaluated for Impairment | The following table summarizes the balances for loans collectively evaluated for impairment at December 31, 2016 and December 31, 2015 . Table 7.5 – Loans Collectively Evaluated for Impairment Review (In Thousands) December 31, 2016 December 31, 2015 Principal balance $ — $ 307,047 Recorded investment — 302,951 Related allowance — 7,102 |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities by Collateral Type and Entity | The following table presents the fair values of our real estate securities by type at December 31, 2016 and December 31, 2015 . Table 8.1 – Fair Values of Real Estate Securities by Type (In Thousands) December 31, 2016 December 31, 2015 Trading $ 445,687 $ 404,011 Available-for-sale 572,752 829,245 Total Real Estate Securities $ 1,018,439 $ 1,233,256 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at December 31, 2016 and December 31, 2015 . Table 8.2 – Trading Securities by Position and Collateral Type (In Thousands) December 31, 2016 December 31, 2015 Senior Securities Prime $ 32,230 $ 248,570 Non-prime 4,837 5,781 Total Senior Securities 37,067 254,351 Subordinate Securities Prime mezzanine 243,451 136,140 Prime subordinate 165,169 13,520 Total Subordinate Securities 408,620 149,660 Total Trading Securities $ 445,687 $ 404,011 |
Available for Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by position and collateral type at December 31, 2016 and December 31, 2015 . Table 8.3 – Available-for-Sale Securities by Position and Collateral Type (In Thousands) December 31, 2016 December 31, 2015 Senior Securities Prime $ 128,843 $ 210,993 Non-prime 7,703 68,258 Total Senior Securities 136,546 279,251 Re-REMIC Securities 85,479 165,064 Subordinate Securities Prime mezzanine 163,715 224,624 Prime subordinate 187,012 160,306 Total Subordinate Securities 350,727 384,930 Total AFS Securities $ 572,752 $ 829,245 |
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at December 31, 2016 and December 31, 2015 . Table 8.4 – Carrying Value of AFS Securities December 31, 2016 Senior (In Thousands) Prime Non-prime Re-REMIC Subordinate Total Principal balance $ 139,736 $ 9,126 $ 95,608 $ 456,359 $ 700,829 Credit reserve (4,174 ) (640 ) (6,857 ) (35,802 ) (47,473 ) Unamortized discount, net (40,379 ) (1,498 ) (19,613 ) (136,622 ) (198,112 ) Amortized cost 95,183 6,988 69,138 283,935 455,244 Gross unrealized gains 35,589 715 16,341 68,032 120,677 Gross unrealized losses (1,929 ) — — (1,240 ) (3,169 ) Carrying Value $ 128,843 $ 7,703 $ 85,479 $ 350,727 $ 572,752 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 years ended December 31, 2016 and 2015 , 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 Year Ended December 31, 2016 Year Ended December 31, 2015 Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 48,869 $ 237,107 $ 70,067 $ 296,342 Amortization of net discount — (26,253 ) — (36,850 ) Realized credit losses (5,830 ) — (8,535 ) — Acquisitions 9,311 11,461 2,557 15,791 Sales, calls, other (4,968 ) (24,480 ) (7,296 ) (46,346 ) Impairments 368 — — 246 Transfers to (release of) credit reserves, net (277 ) 277 (7,924 ) 7,924 Ending Balance $ 47,473 $ 198,112 $ 48,869 $ 237,107 |
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2016 and December 31, 2015 . Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Amortized Cost Unrealized Losses Fair (In Thousands) December 31, 2016 $ 15,772 $ (330 ) $ 15,442 $ 60,035 $ (2,839 ) $ 57,196 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 December 31, 2016 . Table 8.7 – Significant Valuation Assumptions December 31, 2016 Range for Securities Prepayment rates 8 % - 15% Projected losses — % - 7% |
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 December 31, 2016 , 2015 , and 2014 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 Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 28,277 $ 33,849 $ 37,149 Additions Initial credit impairments 346 246 261 Subsequent credit impairments 8 — 70 Reductions Securities sold, or expected to sell (261 ) (4,567 ) (922 ) Securities with no outstanding principal at period end (109 ) (1,251 ) (2,709 ) Balance at End of Period $ 28,261 $ 28,277 $ 33,849 |
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the year s ended December 31, 2016 , 2015 , and 2014 . Table 8.9 – Gross Realized Gains and Losses on AFS Securities Years Ended December 31, (In Thousands) 2016 2015 2014 Gross realized gains - sales $ 23,598 $ 34,922 $ 15,030 Gross realized gains - calls 1,210 2,167 1,600 Gross realized losses - sales (2,293 ) (608 ) (2,713 ) Gross realized losses - calls — (112 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 22,515 $ 36,369 $ 13,917 |
Mortgage Servicing Rights (Tabl
Mortgage Servicing Rights (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Transfers and Servicing [Abstract] | |
Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans | The following table presents the fair value of MSRs and the aggregate principal amounts of associated loans as of December 31, 2016 and December 31, 2015 . Table 9.1 – Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans December 31, 2016 December 31, 2015 (In Thousands) MSR Fair Value Associated Principal MSR Fair Value Associated Principal Mortgage Servicing Rights Conforming Loans $ 58,523 $ 4,989,720 $ 133,838 $ 12,560,533 Jumbo Loans 60,003 5,467,169 58,138 5,705,939 Total Mortgage Servicing Rights $ 118,526 $ 10,456,889 $ 191,976 $ 18,266,472 |
Activity for Residential First-Lien Mortgage Servicing Rights | The following table presents activity for MSRs for the years ended December 31, 2016 , 2015 , and 2014 . Table 9.2 – Activity for MSRs Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 191,976 $ 139,293 $ 64,824 Additions 25,362 95,281 95,550 Sales (62,440 ) (18,206 ) — Changes in fair value due to: Changes in assumptions (1) (14,512 ) (5,453 ) (12,467 ) Other changes (2) (21,860 ) (18,939 ) (8,614 ) Balance at End of Period $ 118,526 $ 191,976 $ 139,293 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to receipt of expected cash flows. |
Details of Retention and Purchase of MSRs | The following table details the retention and purchase of MSRs during the years ended December 31, 2016 and 2015 . Table 9.3 – MSR Additions Years Ended December 31, (In Thousands) 2016 2015 MSR Fair Value Associated Principal MSR Fair Value Associated Principal Jumbo MSR additions: From securitization $ 6,451 $ 939,861 $ 8,202 $ 882,860 From loan sales 177 26,844 352 33,022 Total jumbo MSR additions 6,628 966,705 8,554 915,882 Conforming MSR additions: From loan sales 3,380 316,290 55,954 5,251,537 From purchases 15,354 1,643,577 30,773 2,952,345 Total conforming MSR additions 18,734 1,959,867 86,727 8,203,882 Total MSR Additions $ 25,362 $ 2,926,572 $ 95,281 $ 9,119,764 |
Income from Mortgage Servicing Rights, Net | The following table presents the components of our MSR income for the ended December 31, 2016 , 2015 , and 2014 . Table 9.4 – Components of MSR Income (Loss), net Years Ended December 31, (In Thousands) 2016 2015 2014 Servicing income Income $ 41,152 $ 38,964 $ 19,362 Cost of sub-servicer (6,281 ) (5,079 ) (1,834 ) Net servicing income 34,871 33,885 17,528 Market valuation changes of MSRs (36,372 ) (24,392 ) (21,081 ) Market valuation changes of associated derivatives (1) 15,584 (12,708 ) — MSR reversal of (provision for) repurchases 270 (707 ) (708 ) MSR Income (Loss), Net $ 14,353 $ (3,922 ) $ (4,261 ) (1) In the second quarter of 2015, we began to identify specific derivatives used to hedge the exposure of our MSRs to changes in market interest rates. See Note 2 for additional detail. |
Derivative Financial Instrume39
Derivative Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at December 31, 2016 and December 31, 2015 . Table 10.1 – Fair Value and Notional Amount of Derivative Financial Instruments December 31, 2016 December 31, 2015 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 19,859 $ 1,009,000 $ 2,590 $ 658,000 TBAs 8,300 850,000 2,734 1,028,500 Swaptions 5,121 345,000 5,191 925,000 Credit default index swaps — — 1,207 25,000 Assets - Other Derivatives Loan purchase commitments 3,315 352,981 4,671 764,161 Total Assets $ 36,595 $ 2,556,981 $ 16,393 $ 3,400,661 Liabilities - Cash Flow Hedges Interest rate swaps $ (44,822 ) $ 139,500 $ (48,232 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps (12,097 ) 1,101,500 (10,134 ) 1,039,500 TBAs (4,681 ) 510,000 (2,519 ) 1,450,500 Futures (928 ) 87,500 (445 ) 78,000 Liabilities - Other Derivatives Loan purchase commitments (3,801 ) 584,862 (1,464 ) 375,815 Total Liabilities $ (66,329 ) $ 2,423,362 $ (62,794 ) $ 3,083,315 Total Derivative Financial Instruments, Net $ (29,734 ) $ 4,980,343 $ (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 years ended December 31, 2016 , 2015 , and 2014 . Table 10.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Years Ended December 31, (In Thousands) 2016 2015 2014 Net interest expense on cash flows hedges $ (5,317 ) $ (5,883 ) $ (5,951 ) Realized net losses reclassified from other comprehensive income (72 ) (95 ) (164 ) Total Interest Expense $ (5,389 ) $ (5,978 ) $ (6,115 ) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Other Assets | Other assets at December 31, 2016 and December 31, 2015 , are summarized in the following table. Table 11.1 – Components of Other Assets (In Thousands) December 31, 2016 December 31, 2015 Margin receivable $ 68,038 $ 83,191 FHLBC stock 43,393 34,437 Pledged collateral 42,875 53,600 REO 5,533 4,896 Guarantee asset 4,092 5,697 Fixed assets and leasehold improvements (1) 2,750 4,117 Prepaid expenses 1,639 3,640 Investment receivable 1,068 3,870 Other 9,857 4,438 Total Other Assets $ 179,245 $ 197,886 (1) Fixed assets and leasehold improvements have a basis of $5 million and accumulated depreciation of $3 million at December 31, 2016 . |
Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at December 31, 2016 and December 31, 2015 are summarized in the following table. Table 11.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) December 31, 2016 December 31, 2015 Guarantee obligations $ 21,668 $ 22,704 Accrued compensation 18,830 17,527 Margin payable 12,783 6,415 Residential loan and MSR repurchase reserve 5,432 6,403 Accrued operating expenses 4,493 1,845 Restructuring liabilities 2,297 — Legal reserve 2,000 2,000 Current accounts payable 1,151 4,764 Deferred tax liability 898 — Other 2,876 8,239 Total Other Liabilities $ 72,428 $ 69,897 |
Schedule of Activities of Restructuring Liabilities | The following table presents our restructuring activities and the associated liabilities during the year ended December 31, 2016 . Table 11.3 – Activities of Restructuring Liabilities Year Ended December 31, 2016 (In Thousands) Termination Benefits Contract Termination Costs Total Restructuring Liabilities Beginning balance $ — $ — $ — Costs incurred and expensed 8,746 1,655 10,401 Costs paid/settled (3,019 ) (1,599 ) (4,618 ) Other costs (1) (3,486 ) — (3,486 ) Ending Balance $ 2,241 $ 56 $ 2,297 (1) Amount represents equity compensation expense recorded during the year ended December 31, 2016 related to equity awards that were accelerated, and have been distributed or will be distributed in future periods. |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt | The table below summarizes the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information of the short-term debt at December 31, 2016 and December 31, 2015 . Table 12.1 – Short-Term Debt Facilities December 31, 2016 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 485,544 $ 1,325,000 2.40 % 1/2017-12/2017 206 Real estate securities repo 7 305,995 — 1.91 % 1/2017-3/2017 24 Total 11 $ 791,539 December 31, 2015 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Residential loan warehouse 4 $ 950,022 $ 1,400,000 1.90 % 2/2016-12/2016 182 FHLBC (1) 1 137,622 — 0.21 % 7/2016-11/2016 204 Commercial loan warehouse 2 73,718 300,000 4.13 % 4/2016-10/2016 265 Real estate securities repo 9 693,641 — 1.47 % 1/2016-3/2016 24 Total 16 $ 1,855,003 (1) Amount represents the portion of our borrowings from the FHLBC that were due within 12 months at December 31, 2015. See Note 14 for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC. |
Remaining Maturities of Short Term Debt | The following table presents the remaining maturities of short-term debt by the type of collateral securing the debt at December 31, 2016 . Table 12.2 – Short-Term Debt by Collateral Type and Remaining Maturities December 31, 2016 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for sale residential loans $ 109,152 $ 67,038 $ 309,354 $ 485,544 Real estate securities 235,945 70,050 — 305,995 Total Short-Term Debt $ 345,097 $ 137,088 $ 309,354 $ 791,539 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | The carrying values of ABS issued by consolidated securitization entities we sponsored at December 31, 2016 and December 31, 2015 , along with other selected information, are summarized in the following table. Table 13.1 – Asset-Backed Securities Issued December 31, 2016 December 31, 2015 (Dollars in Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Certificates with principal balance $ 880,517 $ — $ 880,517 $ 1,108,785 $ 53,137 $ 1,161,922 Interest-only certificates 3,774 — 3,774 4,672 — 4,672 Market valuation adjustments (110,829 ) — (110,829 ) (116,637 ) — (116,637 ) Total ABS issued 773,462 — 773,462 996,820 53,137 1,049,957 Deferred debt issuance costs — — — — (542 ) (542 ) ABS Issued, Net (1) $ 773,462 $ — $ 773,462 $ 996,820 $ 52,595 $ 1,049,415 Range of weighted average interest rates, by series 0.15% to 1.95% — % 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. |
Summary of Accrued Interest Payable on ABS Issued | The following table summarizes the accrued interest payable on ABS issued at December 31, 2016 and December 31, 2015 . Interest due on consolidated ABS issued is payable monthly. Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) December 31, 2016 December 31, 2015 Sequoia $ 518 $ 555 Commercial Securitization — 249 Total Accrued Interest Payable on ABS Issued $ 518 $ 804 |
Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at December 31, 2016 and December 31, 2015 . Table 13.3 – Collateral for Asset-Backed Securities Issued December 31, 2016 December 31, 2015 (In Thousands) Sequoia Commercial Securitization Total Sequoia Commercial Securitization Total Residential loans $ 791,636 $ — $ 791,636 $ 1,021,870 $ — $ 1,021,870 Commercial loans — — — — 166,016 166,016 Restricted cash 148 — 148 228 137 365 Accrued interest receivable 1,000 — 1,000 1,131 1,297 2,428 REO 5,533 — 5,533 4,895 — 4,895 Total Collateral for ABS Issued $ 798,317 $ — $ 798,317 $ 1,028,124 $ 167,450 $ 1,195,574 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt | The following table presents maturities of our FHLBC borrowings by year at December 31, 2016 . Table 14.1 – Maturities of FHLBC Borrowings by Year (In Thousands) December 31, 2016 2024 $ 470,171 2025 887,639 2026 642,189 Total FHLBC Borrowings $ 1,999,999 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments | The following table presents our future lease commitments at December 31, 2016 . Table 15.1 – Future Lease Commitments by Year (In Thousands) December 31, 2016 2017 $ 2,301 2018 1,268 2019 642 2020 581 2021 48 2022 and thereafter — Total Lease Commitments $ 4,840 |
Equity (Tables)
Equity (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income (Loss) by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2016 and 2015 . Table 16.1 – Changes in Accumulated Other Comprehensive Income by Component Years Ended December 31, 2016 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) (1) (2,316 ) 3,271 (17,955 ) (1,409 ) Amounts reclassified from other (21,167 ) 72 (29,426 ) 95 Net current-period other comprehensive income (loss) (23,483 ) 3,343 (47,381 ) (1,314 ) Balance at End of Period $ 115,873 $ (44,020 ) $ 139,356 $ (47,363 ) (1) Amounts presented for unrealized gains (losses) on available-for-sale securities are net of tax benefit (provision) of $1 million and $(0.4) million for the years ended December 31, 2016 and 2015 , respectively. |
Reclassifications out of Accumulated Other Comprehensive Income (Loss) | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2016 and 2015 . Table 16.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Years Ended December 31, (In Thousands) Income Statement 2016 2015 Net Realized (Gain) Loss on AFS Securities Other than temporary impairment (1) Investment fair value changes, net $ 368 $ 246 Gain on sale of AFS securities Realized gains, net (21,535 ) (29,672 ) $ (21,167 ) $ (29,426 ) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 72 $ 95 $ 72 $ 95 (1) For the year ended December 31, 2016 , other-than-temporary impairments were $3 million , of which $0.4 million were recognized through the consolidated statements of income and $3 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the year ended December 31, 2015 , other-than-temporary impairments were $0.4 million , of which $0.2 million were recognized through our consolidated statements of income, and $0.2 million were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. |
Basic and Diluted Earnings (Loss) Per Common Share | The following table provides the basic and diluted earnings per common share computations for the years ended December 31, 2016 , 2015 , and 2014 . Table 16.3 – Basic and Diluted Earnings per Common Share Years Ended December 31, (In Thousands, except Share Data) 2016 2015 2014 Basic Earnings per Common Share: Net income attributable to Redwood $ 131,252 $ 102,088 $ 100,569 Less: Dividends and undistributed earnings allocated to participating securities (3,742 ) (2,806 ) (2,612 ) Net income allocated to common shareholders $ 127,510 $ 99,282 $ 97,957 Basic weighted average common shares outstanding 76,747,047 82,945,103 82,837,369 Basic Earnings per Common Share $ 1.66 $ 1.20 $ 1.18 Diluted Earnings per Common Share: Net income attributable to Redwood $ 131,252 $ 102,088 $ 100,569 Less: Dividends and undistributed earnings allocated to participating securities (4,035 ) (2,677 ) (2,524 ) Add back: Interest expense on convertible notes for the period, net of tax 23,862 — — Net income allocated to common shareholders $ 151,079 $ 99,411 $ 98,045 Weighted average common shares outstanding 76,747,047 82,945,103 82,837,369 Net effect of dilutive equity awards 28,435 1,573,292 2,261,210 Net effect of assumed convertible notes conversion to common shares 21,133,608 — — Diluted weighted average common shares outstanding 97,909,090 84,518,395 85,098,579 Diluted Earnings per Common Share $ 1.54 $ 1.18 $ 1.15 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Compensation Plans | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $18 million at December 31, 2016 , as shown in the following table. Table 17.1 – Activities of Equity Compensation Costs by Award Type Year Ended December 31, 2016 (In Thousands) Restricted Stock Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 2,393 $ 14,392 $ 6,823 $ — $ 23,608 Equity grants 1,754 7,416 2,576 124 11,870 Equity grant forfeitures (1,380 ) (1,167 ) (2,209 ) — (4,756 ) Equity compensation expense (676 ) (9,135 ) (2,641 ) (124 ) (12,576 ) Unrecognized Compensation Cost at End of Period $ 2,091 $ 11,506 $ 4,549 $ — $ 18,146 |
Restricted Stock Outstanding | The following table summarizes the activities related to restricted stock for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.2 – Restricted Stock Activities Years Ended December 31, 2016 2015 2014 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 187,180 $ 18.22 109,464 $ 15.97 166,941 $ 15.01 Granted 144,056 11.89 141,069 19.03 2,574 19.42 Vested (50,107 ) 17.28 (42,675 ) 14.87 (44,209 ) 13.44 Forfeited (76,614 ) 18.01 (20,678 ) 18.74 (15,842 ) 13.45 Outstanding at End of Period 204,515 $ 14.27 187,180 $ 18.22 109,464 $ 15.97 |
Deferred Stock Units Activity | The following table summarizes the activities related to DSUs for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.3 – Deferred Stock Units Activities Years Ended December 31, 2016 2015 2014 Units Weighted Units Weighted Units Weighted Outstanding at beginning of period 2,407,154 $ 16.45 2,168,824 $ 16.20 2,266,473 $ 15.41 Granted 565,061 13.33 583,958 16.11 350,769 19.62 Distributions (1,060,459 ) 14.64 (335,461 ) 14.20 (440,548 ) 14.82 Forfeitures (62,894 ) 18.66 (10,167 ) 16.60 (7,870 ) 19.06 Balance at End of Period 1,848,862 $ 16.46 2,407,154 $ 16.45 2,168,824 $ 16.20 |
Summary of Activity Related to ESPP | The following table summarizes the activities related to the ESPP for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.4 – Employee Stock Purchase Plan Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 18 $ 3 $ 3 Employee purchases 290 475 494 Cost of common stock issued (305 ) (460 ) (494 ) Balance at End of Period $ 3 $ 18 $ 3 |
Summary of Activity Related to Executive Deferred Compensation Plan | The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2016 , 2015 , and 2014 . Table 17.5 – EDCP Cash Accounts Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Balance at beginning of period $ 2,095 $ 2,049 $ 1,882 New deferrals 558 600 575 Accrued interest 53 61 70 Withdrawals (618 ) (615 ) (478 ) Balance at End of Period $ 2,088 $ 2,095 $ 2,049 |
Mortgage Banking Activities, 47
Mortgage Banking Activities, Net (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Mortgage Banking Activities, Net | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2016 , 2015 , and 2014 . Table 18.1 – Mortgage Banking Activities Years Ended December 31, (In Thousands) 2016 2015 2014 Residential Mortgage Banking Activities, Net: Changes in fair value of: Residential loans, at fair value (1) $ 31,399 $ 53,946 $ 65,202 Sequoia securities 1,455 (15,261 ) (23,839 ) Risk management derivatives (2) 5,696 (34,457 ) (23,277 ) Other income (expense), net (3) 2,203 4,040 3,468 Total residential mortgage banking activities, net: 40,753 8,268 21,554 Commercial Mortgage Banking Activities, Net: Changes in fair value of: Commercial loans, at fair value 433 10,265 20,789 Risk management derivatives (2) (2,538 ) (8,011 ) (7,890 ) Other fee income 43 450 541 Total commercial mortgage banking activities, net: (2,062 ) 2,704 13,440 Mortgage Banking Activities, Net $ 38,691 $ 10,972 $ 34,994 (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. |
Investment Fair Value Changes48
Investment Fair Value Changes, Net (Tables) | 12 Months Ended |
Dec. 31, 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 years ended December 31, 2016 , 2015 and 2014 . Table 19.1 – Investment Fair Value Changes Years Ended December 31, (In Thousands) 2016 2015 2014 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment, at Redwood $ (23,102 ) $ (6,337 ) $ (697 ) Trading securities 9,666 (2,019 ) (358 ) Net investments in consolidated Sequoia entities (4,200 ) (1,192 ) (894 ) Risk sharing investments (1,151 ) (1,886 ) 104 Risk management derivatives (9,112 ) (9,677 ) (7,792 ) Valuation adjustments on commercial loans held-for-sale (307 ) — — Impairments on AFS securities (368 ) (246 ) (565 ) Investment Fair Value Changes, Net $ (28,574 ) $ (21,357 ) $ (10,202 ) |
Operating Expenses (Tables)
Operating Expenses (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of our operating expenses for the years ended December 31, 2016 , 2015 and 2014 are presented in the following table. Table 20.1 – Components of Operating Expenses Years Ended December 31, (In Thousands) 2016 2015 2014 Fixed compensation expense $ 24,332 $ 35,093 $ 29,057 Variable compensation expense 16,581 12,606 14,863 Equity compensation expense 9,093 11,921 9,750 Total compensation expense 50,006 59,620 53,670 Systems and consulting 9,037 10,212 11,654 Loan acquisition costs (1) 5,744 10,326 8,207 Office costs 4,550 5,270 5,011 Accounting and legal 3,658 4,837 5,244 Corporate costs 2,106 2,049 2,237 Other operating expenses 3,284 5,102 4,100 Operating expenses before restructuring charges 78,385 97,416 90,123 Restructuring charges (2) 10,401 — — Total Operating Expenses $ 88,786 $ 97,416 $ 90,123 (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 year ended December 31, 2016 , restructuring charges included $5 million of fixed compensation expense and $3 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) | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Components of Net Deferred Tax Assets | Components of our net deferred tax assets at December 31, 2016 and 2015 are presented in the following table. Table 21.1 – Deferred Tax Assets (Liabilities) (In Thousands) December 31, 2016 December 31, 2015 Deferred Tax Assets Net operating loss carryforward – state $ 89,350 $ 95,972 Net capital loss carryforward – state 15,346 22,603 Net operating loss carryforward – federal 9,537 32,929 Net capital loss carryforward – federal 2,283 7,971 Real estate assets 5,601 5,144 Interest rate agreements — 1,472 Allowances and accruals 3,059 3,458 Other 2,192 513 Total Deferred Tax Assets 127,368 170,062 Deferred Tax Liabilities Mortgage Servicing Rights (22,531 ) (50,630 ) Interest rate agreements (2,167 ) — Tax effect of unrealized gains – OCI (1,636 ) (2,638 ) Total Deferred Tax Liabilities (26,334 ) (53,268 ) Valuation allowance (101,932 ) (116,794 ) Total Deferred Tax Asset (Liability), net of Valuation Allowance $ (898 ) $ — |
Provision for Income Taxes | The following table summarizes the provision for income taxes for the years ended December 31, 2016 , 2015 , and 2014 . Table 21.2 – Provision for Income Taxes Years Ended December 31, (In Thousands) 2016 2015 2014 Current Provision for Income Taxes Federal $ 1,477 $ 144 $ 24 State 331 167 17 Total Current Provision for Income Taxes 1,808 311 41 Deferred Provision for Income Taxes Federal 1,910 (10,198 ) 703 State (10 ) (459 ) — Total Deferred Provision for (Benefit from) Income Taxes 1,900 (10,657 ) 703 Total Provision for Income Taxes $ 3,708 $ (10,346 ) $ 744 |
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 December 31, 2016 , 2015 , and 2014 . Table 21.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate December 31, 2016 December 31, 2015 December 31, 2014 Federal statutory rate 34.0 % 34.0 % 34.0 % State statutory rate, net of Federal tax effect 7.2 % 7.2 % 7.2 % Differences in taxable (loss) income from GAAP income (1.0 )% (20.3 )% (14.5 )% Change in valuation allowance (11.2 )% 6.1 % (0.1 )% Dividends paid deduction (26.3 )% (38.3 )% (25.9 )% Effective Tax Rate 2.7 % (11.3 )% 0.7 % |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Segment Reporting Information [Line Items] | |
Financial Information by Segment | The following tables present financial information by segment for the years ended December 31, 2016 , 2015 , and 2014 . Table 22.1 – Business Segment Financial Information Year Ended December 31, 2016 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total Interest income $ 33,661 $ 160,174 $ 32,780 $ 19,740 $ 246,355 Interest expense (14,191 ) (18,394 ) (5,001 ) (50,942 ) (88,528 ) Net interest income (loss) 19,470 141,780 27,779 (31,202 ) 157,827 Reversal of provision for loan losses — — 7,102 — 7,102 Non-interest income Mortgage banking activities, net 40,753 — (2,062 ) — 38,691 MSR income (loss), net — 14,353 — — 14,353 Investment fair value changes, net — (26,945 ) 2,578 (4,207 ) (28,574 ) Other income — 6,070 268 — 6,338 Realized gains, net — 22,516 5,201 292 28,009 Total non-interest income, net 40,753 15,994 5,985 (3,915 ) 58,817 Direct operating expenses (1) (23,252 ) (9,042 ) (2,731 ) (53,761 ) (88,786 ) Provision for income taxes (1,860 ) (1,848 ) — — (3,708 ) Segment Contribution $ 35,111 $ 146,884 $ 38,135 $ (88,878 ) Net Income $ 131,252 Non-cash amortization income (expense) $ (130 ) $ 29,830 $ (24 ) $ (3,972 ) $ 25,704 Year Ended December 31, 2015 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 52,260 $ 135,395 $ 46,933 $ 24,844 $ 259,432 Interest expense (17,207 ) (11,204 ) (13,809 ) (53,663 ) (95,883 ) Net interest income (loss) 35,053 124,191 33,124 (28,819 ) 163,549 Reversal of provision for loan losses — — 355 — 355 Non-interest income Mortgage banking activities, net 8,268 — 2,704 — 10,972 MSR income (loss), net — (3,922 ) — — (3,922 ) Investment fair value changes, net — (20,089 ) — (1,268 ) (21,357 ) Other income — 3,192 — — 3,192 Realized gains, net — 36,369 — — 36,369 Total non-interest income, net 8,268 15,550 2,704 (1,268 ) 25,254 Direct operating expenses (43,182 ) (4,346 ) (11,331 ) (38,557 ) (97,416 ) Benefit from income taxes 4,169 847 1,452 3,878 10,346 Segment Contribution $ 4,308 $ 136,242 $ 26,304 $ (64,766 ) Net Income $ 102,088 Non-cash amortization income (expense) $ (186 ) $ 36,850 $ (267 ) $ (3,994 ) $ 32,403 Hedging allocations 1,120 (1,070 ) — (50 ) — Year Ended December 31, 2014 (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Total Interest income $ 58,272 $ 110,433 $ 47,567 $ 25,798 $ 242,070 Interest expense (12,776 ) (11,848 ) (15,836 ) (47,003 ) (87,463 ) Net interest income (loss) 45,496 98,585 31,731 (21,205 ) 154,607 Provision for loan losses — — (84 ) (877 ) (961 ) Non-interest income Mortgage banking activities, net 21,554 — 13,440 — 34,994 MSR income (loss), net — (4,261 ) — — (4,261 ) Investment fair value changes, net — (9,178 ) — (1,024 ) (10,202 ) Other income — 181 — 1,600 1,781 Realized gains, net — 13,777 — 1,701 15,478 Total non-interest income, net 21,554 519 13,440 2,277 37,790 Direct operating expenses (37,664 ) (3,681 ) (11,324 ) (37,454 ) (90,123 ) (Provision for) benefit from income taxes (1,774 ) 1,340 (234 ) (76 ) (744 ) Segment Contribution $ 27,612 $ 96,763 $ 33,529 $ (57,335 ) Net Income $ 100,569 Non-cash amortization income (expense) $ (181 ) $ 42,784 $ (673 ) $ (8,232 ) $ 33,698 (1) For the year ended December 31, 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. |
Supplemental Balance Sheet | The following table presents supplemental information by segment at December 31, 2016 and December 31, 2015 . Table 22.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Residential Investments Commercial Corporate/ Other Total December 31, 2016 Residential loans $ 835,399 $ 2,261,016 $ — $ 791,636 $ 3,888,051 Commercial loans — — 2,700 — 2,700 Real estate securities — 926,669 91,770 — 1,018,439 Mortgage servicing rights — 118,526 — — 118,526 Total assets 866,356 3,518,518 97,017 1,001,586 5,483,477 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 |
Corporate and Other | |
Segment Reporting Information [Line Items] | |
Financial Information by Segment | The following table presents the components of Corporate/Other for the years ended December 31, 2016 , 2015 , and 2014 . Table 22.2 – Components of Corporate/Other Years Ended December 31, 2016 2015 2014 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 19,537 $ 203 $ 19,740 $ 24,814 $ 30 $ 24,844 $ 25,786 $ 12 $ 25,798 Interest expense (13,103 ) (37,839 ) (50,942 ) (15,646 ) (38,017 ) (53,663 ) (20,844 ) (26,159 ) (47,003 ) Net interest income (loss) 6,434 (37,636 ) (31,202 ) 9,168 (37,987 ) (28,819 ) 4,942 (26,147 ) (21,205 ) Provision for loan losses — — — — — — (877 ) — (877 ) Non-interest income Investment fair value changes, net (4,200 ) (7 ) (4,207 ) (1,192 ) (76 ) (1,268 ) (894 ) (130 ) (1,024 ) Other income — — — — — — — 1,600 1,600 Realized gains, net — 292 292 — — — 1,701 — 1,701 Total non-interest income (loss), net (4,200 ) 285 (3,915 ) (1,192 ) (76 ) (1,268 ) 807 1,470 2,277 Direct operating expenses — (53,761 ) (53,761 ) — (38,557 ) (38,557 ) (165 ) (37,289 ) (37,454 ) (Provision for) benefit from income taxes — — — — 3,878 3,878 — (76 ) (76 ) Total $ 2,234 $ (91,112 ) $ (88,878 ) $ 7,976 $ (72,742 ) $ (64,766 ) $ 4,707 $ (62,042 ) $ (57,335 ) (1) Legacy consolidated VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
Quarterly Financial Data - Un52
Quarterly Financial Data - Unaudited (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Data | Three Months Ended (In Thousands, except Share Data) December 31, September 30, June 30, March 31, 2016 Operating results: Interest income (1) $ 56,334 $ 60,906 $ 66,787 $ 62,328 Interest expense (20,537 ) (21,597 ) (22,444 ) (23,950 ) Net interest income 35,797 39,309 44,343 38,378 Reversal of (provision for) loan losses (2) — 859 6,532 (289 ) Non-interest income (3) 9,763 33,712 10,888 4,454 Operating expenses (4) (17,824 ) (20,355 ) (20,155 ) (30,452 ) Net income 25,355 52,553 41,281 12,063 Per share data: Net income – basic $ 0.32 $ 0.67 $ 0.52 $ 0.15 Net income – diluted 0.31 0.58 0.48 0.15 Regular dividends declared per common share 0.28 0.28 0.28 0.28 2015 Operating results: Interest income (5) $ 68,829 $ 63,484 $ 63,373 $ 63,746 Interest expense (25,039 ) (23,875 ) (23,008 ) (23,961 ) Net interest income 43,790 39,609 40,365 39,785 Non-interest income 19,593 (3,412 ) 14,104 (5,031 ) Operating expenses (22,638 ) (24,497 ) (25,218 ) (25,063 ) Net income 41,059 19,164 27,064 14,801 Per share data: Net income – basic $ 0.49 $ 0.22 $ 0.31 $ 0.17 Net income – diluted 0.46 0.22 0.31 0.16 Regular dividends declared per common share 0.28 0.28 0.28 0.28 (1) Interest income for the three-month periods ended December 31, 2016, September 30, 2016, and June 30, 2016, included $1 million , $1 million , and $5 million , respectively, of yield maintenance fees from commercial loans that prepaid during the quarters. (2) During the second quarter of 2016, we recorded a reversal of provision for loan losses of $7 million as a result of the transfer of most of our commercial mezzanine loans from held-for-investment to held-for sale. (3) Non-interest income for the three-month periods ended December 31, 2016 and September 30, 2016 included $1 million and $5 million , respectively, of realized gains from the sale of the majority of our commercial mezzanine loan portfolio. (4) During the first quarter of 2016, we recorded restructuring charges totaling $10 million associated with the restructuring of our conforming and commercial mortgage banking operations. (5) Interest income for both three-month periods ended December 31, 2015 and June 30, 2015 included $2 million of yield maintenance fees from commercial loans that prepaid during the quarters. |
Organization (Details)
Organization (Details) | 12 Months Ended |
Dec. 31, 2016Segment | |
Accounting Policies [Abstract] | |
Number of operating segments | 3 |
Summary of Significant Accoun54
Summary of Significant Accounting Policies - Additional Information (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Significant Accounting Policies [Line Items] | |||
Risk-sharing arrangement term | 10 years | ||
Special Purpose Entities, assets | $ 49,000,000 | $ 63,000,000 | |
Special Purpose Entities, liabilities | $ 22,000,000 | 25,000,000 | |
Incentive Plan, mandatory holding period before awards vest | 3 years | ||
Employee Stock Purchase Plan, percentage of common stock fair value that employees can purchase | 85.00% | ||
Employees maximum 401(k) contribution | 100.00% | ||
Employer matching contributions | $ 600,000 | 800,000 | $ 600,000 |
Asset-backed securities issued, net | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 0 | 542,000 | |
Asset-backed securities issued, net | Accounting Standards Update 2015-03 | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 0 | 542,000 | |
Long-term Debt | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | 7,081,000 | 10,438,000 | |
Long-term Debt | Accounting Standards Update 2015-03 | |||
Significant Accounting Policies [Line Items] | |||
Deferred debt issuance costs | $ (7,000,000) | $ 10,000,000 | |
Minimum | |||
Significant Accounting Policies [Line Items] | |||
Percentage of losses assumed on pool of loans sold | 1.00% | ||
Incentive Plan, awards vesting period (in years) | 3 years | ||
Maximum | |||
Significant Accounting Policies [Line Items] | |||
Percentage of losses assumed on pool of loans sold | 2.25% | ||
Incentive Plan, awards vesting period (in years) | 4 years |
Summary of Significant Accoun55
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | $ 33,280 | $ 11,722 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | [1] | 36,595 | 16,393 |
Total Net Amounts of Assets Presented in Consolidated Balance Sheet | 33,280 | 11,722 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (11,672) | (7,549) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (9,148) | (2,930) | |
Net Amount | 12,460 | 1,243 | |
Gross Amounts of Recognized Liabilities | (854,067) | (1,778,711) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | [1] | (66,329) | (62,794) |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | (854,067) | (1,778,711) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 803,211 | 1,724,930 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 50,111 | 53,167 | |
Net Amount | (745) | (614) | |
Interest rate agreements | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 24,980 | 7,781 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 24,980 | 7,781 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (7,736) | (5,651) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,784) | (1,917) | |
Net Amount | 12,460 | 213 | |
Gross Amounts of Recognized Liabilities - Derivatives | (56,919) | (58,366) | |
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (56,919) | (58,366) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 7,736 | 5,651 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 49,183 | 52,715 | |
Net Amount - Derivatives | 0 | 0 | |
Credit default index swaps | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 1,207 | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,207 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (720) | ||
Net Amount | 487 | ||
TBAs | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Assets | 8,300 | 2,734 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 8,300 | 2,734 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (3,936) | (1,898) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,364) | (293) | |
Net Amount | 0 | 543 | |
Gross Amounts of Recognized Liabilities - Derivatives | (4,681) | (2,519) | |
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (4,681) | (2,519) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 3,936 | 1,898 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 0 | 7 | |
Net Amount - Derivatives | (745) | (614) | |
Futures | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Liabilities - Derivatives | (928) | (445) | |
Gross Amounts Offset in Consolidated Balance Sheet - Derivatives | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Derivatives | (928) | (445) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Derivatives | 0 | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Derivatives | 928 | 445 | |
Net Amount - Derivatives | 0 | 0 | |
Loan warehouse debt | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Liabilities - Other | (485,544) | (1,023,740) | |
Gross Amounts Offset in Consolidated Balance Sheet - Other | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Other | (485,544) | (1,023,740) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Other | 485,544 | 1,023,740 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Other | 0 | 0 | |
Security repurchase agreements | |||
Offsetting Asset and Liabilities [Line Items] | |||
Gross Amounts of Recognized Liabilities - Other | (305,995) | (693,641) | |
Gross Amounts Offset in Consolidated Balance Sheet - Other | 0 | 0 | |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet - Other | (305,995) | (693,641) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments - Other | 305,995 | 693,641 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged - Other | 0 | 0 | |
Net Amount - Other | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($)Investment | Dec. 31, 2015USD ($)Investment | |
Variable Interest Entity [Line Items] | ||
Assets | $ 798,317 | $ 1,195,574 |
Liabilities | $ 773,980 | $ 1,050,861 |
Number of VIEs | Investment | 20 | 22 |
Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 791,636 | $ 1,021,870 |
Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 148 | 365 |
Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,000 | 2,428 |
Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,533 | 4,895 |
Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 518 | 804 |
Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 773,462 | 1,049,957 |
Sequoia Entities | ||
Variable Interest Entity [Line Items] | ||
Assets | 798,317 | 1,028,124 |
Liabilities | $ 773,980 | $ 997,475 |
Number of VIEs | Investment | 20 | 21 |
Sequoia Entities | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 791,636 | $ 1,021,870 |
Sequoia Entities | Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Sequoia Entities | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 148 | 228 |
Sequoia Entities | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,000 | 1,131 |
Sequoia Entities | Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 5,533 | 4,895 |
Sequoia Entities | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 518 | 555 |
Sequoia Entities | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 100 | |
Sequoia Entities | Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 773,462 | 996,820 |
Commercial Securitization | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 167,450 |
Liabilities | $ 0 | $ 53,386 |
Number of VIEs | Investment | 0 | 1 |
Commercial Securitization | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 0 | $ 0 |
Commercial Securitization | Commercial loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,016 | |
Commercial Securitization | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 137 |
Commercial Securitization | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 1,297 |
Commercial Securitization | Other assets | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Commercial Securitization | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 249 |
Commercial Securitization | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | |
Commercial Securitization | Asset-backed securities issued, net | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 0 | $ 53,137 |
Principles of Consolidation -57
Principles of Consolidation - Additional Information (Details) - Entity | 12 Months Ended | 48 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2016 | |
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Number of securitization entities to which asset transferred | 3 | 4 | 29 |
Principles of Consolidation - S
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Variable Interest Entity [Line Items] | |||
MSRs recognized | $ 10,060 | $ 64,725 | $ 48,000 |
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Principal balance of loans transferred | 1,036,584 | 1,375,532 | |
MSRs recognized | 6,451 | 8,202 | |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | |||
Variable Interest Entity [Line Items] | |||
Securities retained, at fair value | 3,573 | 252,222 | |
Variable Interest Entity, Not Primary Beneficiary | AFS Securities | |||
Variable Interest Entity [Line Items] | |||
Securities retained, at fair value | $ 5,554 | $ 7,852 |
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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Variable Interest Entity [Line Items] | ||
Proceeds from new transfers | $ 1,057,688 | $ 1,139,052 |
MSR fees received | 13,842 | 14,874 |
Funding of compensating interest | (338) | (363) |
Cash flows received on retained securities | $ 30,191 | $ 43,460 |
Principles of Consolidation -60
Principles of Consolidation - Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
MSRs | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 21.00% | 14.00% |
Discount rates | 11.00% | 11.00% |
Senior Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 10.00% | |
Discount rates | 3.00% | |
Credit loss assumptions | 0.12% | |
Subordinate Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 15.00% | 8.00% |
Discount rates | 6.00% | 6.00% |
Credit loss assumptions | 0.25% | 0.24% |
Principles of Consolidation -61
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 334,734 | $ 588,396 |
Principal balance of loans outstanding | 6,870,398 | 7,318,167 |
Principal balance of loans 30 days delinquent | 21,427 | 18,300 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 41,909 | 258,697 |
Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 234,025 | 272,715 |
MSRs | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 58,800 | $ 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) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
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 | $ 58,800 | $ 56,984 |
Expected life (in years) | 7 years | 7 years |
Prepayment speed assumption (annual CPR) (as a percent) | 11.00% | 11.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,226 | $ 2,868 |
25% adverse change | $ 5,284 | $ 6,119 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 2,088 | $ 2,711 |
200 basis point increase | $ 4,032 | $ 4,745 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Decrease in fair value from: | ||
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
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 | $ 26,618 | $ 248,570 |
Expected life (in years) | 6 years | 5 years |
Prepayment speed assumption (annual CPR) (as a percent) | 8.00% | 10.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,075 | $ 2,042 |
25% adverse change | $ 2,569 | $ 4,810 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 8.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 1,105 | $ 10,029 |
200 basis point increase | $ 2,128 | $ 19,365 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Credit loss assumption (as a percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 19 | $ 35 |
25% higher losses | $ 49 | $ 86 |
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
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 | $ 249,317 | $ 282,842 |
Expected life (in years) | 12 years | 12 years |
Prepayment speed assumption (annual CPR) (as a percent) | 12.00% | 12.00% |
Decrease in fair value from: | ||
10% adverse change | $ 997 | $ 901 |
25% adverse change | $ 2,494 | $ 2,278 |
Impact of adverse change in prepayment speed (as a percent) | 25.00% | 25.00% |
Discount rate assumption (as a percent) | 6.00% | 6.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 19,574 | $ 21,981 |
200 basis point increase | $ 36,574 | $ 41,156 |
Impact on discount rate of basis point increase (as a percent) | 1.00% | 1.00% |
Credit loss assumption (as a percent) | 0.25% | 0.25% |
Decrease in fair value from: | ||
10% higher losses | $ 1,174 | $ 1,244 |
25% higher losses | $ 2,933 | $ 3,129 |
Impact of adverse change in expected credit losses (as a percent) | 25.00% | 25.00% |
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 | $ 27,000 | $ 31,000 |
Principles of Consolidation -63
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - Real estate securities $ in Thousands | Dec. 31, 2016USD ($) |
Variable Interest Entity [Line Items] | |
Assets | $ 742,504 |
Senior Securities | |
Variable Interest Entity [Line Items] | |
Assets | 146,995 |
Re-REMIC | |
Variable Interest Entity [Line Items] | |
Assets | 85,479 |
Subordinate Securities | |
Variable Interest Entity [Line Items] | |
Assets | $ 510,030 |
Fair Value of Financial Instr64
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Assets | |||
Trading securities | $ 445,687 | $ 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
MSR Fair Value | [1] | 118,526 | 191,976 |
Derivative assets | [1] | 36,595 | 16,393 |
Pledged collateral | 42,875 | 53,600 | |
Liabilities | |||
Derivative liabilities | [1] | 66,329 | 62,794 |
Commercial Loans At Lower Of Cost Or Market | |||
Assets | |||
Loans, held-for-sale | 3,000 | ||
Carrying Value | |||
Assets | |||
Trading securities | 445,687 | 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
MSR Fair Value | 118,526 | 191,976 | |
Cash and cash equivalents | 212,844 | 220,229 | |
Restricted cash | 8,623 | 5,567 | |
Accrued interest receivable | 18,454 | 23,290 | |
Derivative assets | 36,595 | 16,393 | |
REO | 5,533 | 4,896 | |
Margin receivable | 68,038 | 83,191 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 4,092 | 5,697 | |
Pledged collateral | 42,875 | 53,600 | |
Liabilities | |||
Short-term debt | 791,539 | 1,855,003 | |
Accrued interest payable | 9,608 | 8,936 | |
Available-for-sale securities | 12,783 | 6,415 | |
Guarantee obligation | 21,668 | 22,704 | |
Derivative liabilities | 66,329 | 62,794 | |
ABS issued, Fair value | 773,462 | 996,820 | |
ABS issued, Amortized cost | 0 | 52,595 | |
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |
Commercial secured borrowings | 0 | 63,152 | |
Convertible notes, net | 482,195 | 483,119 | |
Trust preferred securities and subordinated notes, net | 138,489 | 138,443 | |
Carrying Value | Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans, held-for-investment | 0 | 67,657 | |
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans, held-for-investment | 0 | 295,849 | |
Fair Value | |||
Assets | |||
Trading securities | 445,687 | 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
MSR Fair Value | 118,526 | 191,976 | |
Cash and cash equivalents | 212,844 | 220,229 | |
Restricted cash | 8,623 | 5,567 | |
Accrued interest receivable | 18,454 | 23,290 | |
Derivative assets | 36,595 | 16,393 | |
REO | 5,560 | 5,282 | |
Margin receivable | 68,038 | 83,191 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 4,092 | 5,697 | |
Pledged collateral | 42,875 | 53,600 | |
Liabilities | |||
Short-term debt | 791,539 | 1,855,003 | |
Accrued interest payable | 9,608 | 8,936 | |
Available-for-sale securities | 12,783 | 6,415 | |
Guarantee obligation | 22,181 | 22,702 | |
Derivative liabilities | 66,329 | 62,794 | |
ABS issued, Fair value | 773,462 | 996,820 | |
ABS issued, Amortized cost | 0 | 53,137 | |
FHLBC long-term borrowings | 1,999,999 | 1,343,023 | |
Commercial secured borrowings | 0 | 63,152 | |
Convertible notes, net | 493,365 | 461,053 | |
Trust preferred securities and subordinated notes, net | 96,255 | 83,700 | |
Fair Value | Commercial Loans At Lower Of Cost Or Market | |||
Assets | |||
Loans, held-for-sale | 3,000 | ||
Fair Value | Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans, held-for-investment | 0 | 67,657 | |
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans, held-for-investment | 0 | 300,824 | |
Residential Loans | Carrying Value | Residential Loans | |||
Assets | |||
Loans, held-for-sale | 834,193 | 1,114,305 | |
Residential Loans | Carrying Value | Residential loans, at lower of cost or fair value | |||
Assets | |||
Loans, held-for-sale | 1,206 | 1,433 | |
Residential Loans | Carrying Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans, held-for-investment | 3,052,652 | 2,813,065 | |
Residential Loans | Fair Value | Residential Loans | |||
Assets | |||
Loans, held-for-sale | 834,193 | 1,114,305 | |
Residential Loans | Fair Value | Residential loans, at lower of cost or fair value | |||
Assets | |||
Loans, held-for-sale | 1,365 | 1,635 | |
Residential Loans | Fair Value | Residential Loans Held For Investment at Fair Value | |||
Assets | |||
Loans, held-for-investment | 3,052,652 | 2,813,065 | |
Commercial loans | Commercial Loans Held For Sale | |||
Assets | |||
Loans, held-for-sale | 39,141 | ||
Commercial loans | Commercial Loans At Lower Of Cost Or Market | |||
Assets | |||
Loans, held-for-sale | 2,700 | 0 | |
Commercial loans | Commercial Loans Held-for-Investment, at Fair Value | |||
Assets | |||
Loans, held-for-investment | 0 | 67,657 | |
Commercial loans | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Assets | |||
Loans, held-for-investment | 0 | 295,849 | |
Commercial loans | Carrying Value | Commercial Loans Held For Sale | |||
Assets | |||
Loans, held-for-sale | 0 | 39,141 | |
Commercial loans | Carrying Value | Commercial Loans At Lower Of Cost Or Market | |||
Assets | |||
Loans, held-for-sale | 0 | ||
Commercial loans | Fair Value | Commercial Loans Held For Sale | |||
Assets | |||
Loans, held-for-sale | 0 | 39,141 | |
Commercial loans | Fair Value | Commercial Loans At Lower Of Cost Or Market | |||
Assets | |||
Loans, held-for-sale | $ 2,700 | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr65
Fair Value of Financial Instruments - Additional Information (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Real estate securities | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Dealer marks of securities | 67.00% | |
Percentage of carrying value for which dealer quotes were received on securities | 78.00% | |
Percentage difference of internal valuation than dealer marks | 1.00% | |
Residential Senior Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 5 | $ 236 |
Residential Subordinate Securities | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 288 | 164 |
Residential loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 4,850 | 10,210 |
Commercial loans | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 38 | 618 |
MSRs | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 25 | $ 95 |
MSRs | Maximum | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Percentage difference of internal valuation than dealer marks | 1.00% |
Fair Value of Financial Instr66
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Assets | |||
Trading securities | $ 445,687 | $ 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
Derivative assets | [1] | 36,595 | 16,393 |
MSR Fair Value | [1] | 118,526 | 191,976 |
Pledged collateral | 42,875 | 53,600 | |
Liabilities | |||
Derivative liabilities | [1] | 66,329 | 62,794 |
Commercial secured borrowings | 0 | 63,152 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Trading securities | 445,687 | 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
Derivative assets | 36,595 | 16,393 | |
MSR Fair Value | 118,526 | 191,976 | |
Pledged collateral | 42,875 | 53,600 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 4,092 | 5,697 | |
Liabilities | |||
Derivative liabilities | 66,329 | 62,794 | |
Commercial secured borrowings | 63,152 | ||
ABS issued | 773,462 | 996,820 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 3,886,845 | 3,927,370 | |
Fair Value, Measurements, Recurring | Commercial loans, at fair value | |||
Assets | |||
Residential loans | 106,798 | ||
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Derivative assets | 8,300 | 2,734 | |
MSR Fair Value | 0 | 0 | |
Pledged collateral | 42,875 | 53,600 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Derivative liabilities | 5,609 | 2,963 | |
Commercial secured borrowings | 0 | ||
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Commercial loans, at fair value | |||
Assets | |||
Residential loans | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Derivative assets | 24,980 | 8,988 | |
MSR Fair Value | 0 | 0 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 43,393 | 34,437 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Derivative liabilities | 56,919 | 58,368 | |
Commercial secured borrowings | 0 | ||
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 129,819 | |
Fair Value, Measurements, Recurring | Level 2 | Commercial loans, at fair value | |||
Assets | |||
Residential loans | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Trading securities | 445,687 | 404,011 | |
Available-for-sale securities | 572,752 | 829,245 | |
Derivative assets | 3,315 | 4,671 | |
MSR Fair Value | 118,526 | 191,976 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 4,092 | 5,697 | |
Liabilities | |||
Derivative liabilities | 3,801 | 1,463 | |
Commercial secured borrowings | 63,152 | ||
ABS issued | 773,462 | 996,820 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Residential loans | $ 3,886,845 | 3,797,551 | |
Fair Value, Measurements, Recurring | Level 3 | Commercial loans, at fair value | |||
Assets | |||
Residential loans | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr67
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Commercial Secured Borrowings | ||
Assets | ||
Transfer to FVO | $ 0 | |
Liabilities | ||
Beginning balance | $ 63,152 | 66,707 |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | (306) | (593) |
Gains (losses) in net income, net | 2,369 | (3,011) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (65,215) | 49 |
Ending Balance | 0 | 63,152 |
Asset-backed securities issued, net | ||
Assets | ||
Transfer to FVO | 1,302,216 | |
Liabilities | ||
Beginning balance | 996,820 | 0 |
Acquisitions | 0 | 0 |
Sales | 0 | (1,362) |
Principal paydowns | (208,215) | (312,800) |
Gains (losses) in net income, net | (8,275) | 8,366 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (6,868) | 400 |
Ending Balance | 773,462 | 996,820 |
Residential Loans | ||
Assets | ||
Beginning balance | 3,797,551 | 1,677,984 |
Transfer to FVO | 1,370,699 | |
Acquisitions | 4,747,564 | 5,231,532 |
Sales | (3,813,538) | (3,857,807) |
Principal paydowns | (806,081) | (612,473) |
Gains (losses) in net income, net | (33,893) | (6,071) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (4,758) | (6,313) |
Ending Balance | 3,886,845 | 3,797,551 |
Commercial loans | ||
Assets | ||
Beginning balance | 106,798 | 237,496 |
Transfer to FVO | 0 | |
Acquisitions | 37,625 | 617,519 |
Sales | (81,523) | (754,636) |
Principal paydowns | (476) | (780) |
Gains (losses) in net income, net | 2,791 | 7,199 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (65,215) | 0 |
Ending Balance | 0 | 106,798 |
Trading Securities | ||
Assets | ||
Beginning balance | 404,011 | 111,606 |
Transfer to FVO | 0 | |
Acquisitions | 292,875 | 399,990 |
Sales | (244,219) | (83,038) |
Principal paydowns | (17,827) | (7,245) |
Gains (losses) in net income, net | 10,847 | (17,302) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 445,687 | 404,011 |
AFS Securities | ||
Assets | ||
Beginning balance | 829,245 | 1,267,624 |
Transfer to FVO | 0 | |
Acquisitions | 34,520 | 33,370 |
Sales | (252,696) | (366,373) |
Principal paydowns | (62,229) | (131,387) |
Gains (losses) in net income, net | 48,399 | 72,612 |
Unrealized gains in OCI, net | (24,487) | (46,961) |
Other settlements, net | 0 | 360 |
Ending Balance | 572,752 | 829,245 |
MSRs | ||
Assets | ||
Beginning balance | 191,976 | 139,293 |
Transfer to FVO | 0 | |
Acquisitions | 25,362 | 95,281 |
Sales | (62,440) | (18,206) |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | (36,372) | (24,392) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 118,526 | 191,976 |
Guarantee Asset | ||
Assets | ||
Beginning balance | 5,697 | 7,201 |
Transfer to FVO | 0 | |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | (1,605) | (1,377) |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | 0 | (127) |
Ending Balance | 4,092 | 5,697 |
Derivatives | ||
Assets | ||
Beginning balance | 3,208 | 1,119 |
Transfer to FVO | 0 | |
Acquisitions | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Gains (losses) in net income, net | 30,193 | 60,823 |
Unrealized gains in OCI, net | 0 | 0 |
Other settlements, net | (33,887) | (58,734) |
Ending Balance | $ (486) | $ 3,208 |
Fair Value of Financial Instr68
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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Loan purchase commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | $ (486) | $ 0 | $ 0 |
Asset-backed securities issued, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | 8,275 | (8,366) | 0 |
Commercial Secured Borrowings | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | 0 | 3,011 | 2,033 |
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 gain (loss) attributable to Level 3 asset | (17,370) | (5,541) | 16,512 |
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 gain (loss) attributable to Level 3 asset | (14,391) | 7,422 | 0 |
Commercial loans, at fair value | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 0 | (2,620) | 3,357 |
Trading Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 7,184 | (13,391) | (25,216) |
AFS Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (368) | (246) | (434) |
MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 42,964 | (3,471) | (15,239) |
Loan purchase commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 0 | 4,252 | 1,119 |
Guarantee Asset | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | $ (1,605) | $ (1,504) | $ 0 |
Fair Value of Financial Instr69
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | $ 4,414 | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 0 | |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 0 | |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 0 | |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Guarantee obligation | 4,414 | |
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 | $ 867 | 1,096 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (17) | 3 |
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 | 867 | 1,096 |
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 | |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (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 | |
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 | |
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 | |
REO | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
REO | 5,207 | 2,395 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (1,831) | (764) |
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 | $ 5,207 | $ 2,395 |
Fair Value of Financial Instr70
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | $ 14,353 | $ (3,922) | $ (4,261) |
Total Market Valuation Gains (Losses), Net | (12,917) | (51,975) | (298) |
Mortgage Banking Activities, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 36,445 | 6,482 | 30,985 |
Mortgage Banking Activities, Net | Residential Loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 5,786 | 3,712 | 51,312 |
Mortgage Banking Activities, Net | Residential loan purchase and forward sale commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 25,613 | 50,234 | 13,891 |
Mortgage Banking Activities, Net | Commercial loans, at fair value | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 433 | 10,265 | 20,788 |
Mortgage Banking Activities, Net | Net investments in consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 1,455 | (15,261) | (23,839) |
Mortgage Banking Activities, Net | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 3,158 | (42,468) | (31,167) |
Investment Fair Value Changes, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Investment Fair Value Changes, Net | Net investments in consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (4,200) | (1,192) | (894) |
Investment Fair Value Changes, Net | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (9,112) | (9,677) | (7,792) |
Investment Fair Value Changes, Net | Residential loans, held-for-investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (23,102) | (6,337) | (697) |
Investment Fair Value Changes, Net | Trading securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 9,666 | (2,019) | (358) |
Investment Fair Value Changes, Net | Valuation adjustments on commercial loans held-for-sale | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (307) | 0 | 0 |
Investment Fair Value Changes, Net | Risk sharing investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (1,151) | (1,886) | 104 |
Investment Fair Value Changes, Net | Impairments on AFS securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (368) | (246) | (565) |
MSR Income (Loss), Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | (20,788) | (37,100) | (21,081) |
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 | 15,584 | (12,708) | 0 |
MSR Income (Loss), Net | MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage servicing rights income (loss), net | $ (36,372) | $ (24,392) | $ (21,081) |
Fair Value of Financial Instr71
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) | 12 Months Ended |
Dec. 31, 2016USD ($)$ / loan | |
Loan purchase commitments | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 486,000 |
Loan purchase commitments | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 2.66 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 2.75% |
Whole loan spread to swap rate - hybrid, percent | 1.35% |
MSR multiple | 0.9 |
Pull-through rate, percent | 12.00% |
Loan purchase commitments | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 4.06 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 3.05% |
Whole loan spread to swap rate - hybrid, percent | 2.75% |
MSR multiple | 5.4 |
Pull-through rate, percent | 100.00% |
Loan purchase commitments | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.98 |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 3.05% |
Whole loan spread to swap rate - hybrid, percent | 1.63% |
MSR multiple | 3.6 |
Pull-through rate, percent | 75.00% |
Asset-backed securities issued, net | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 773,462,000 |
Asset-backed securities issued, net | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 1.00% |
Loss severity, percent | 20.00% |
Discount rate, percent | 4.00% |
Credit support, percent | 0.00% |
Default rate, percent | 1.00% |
Asset-backed securities issued, net | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 20.00% |
Loss severity, percent | 32.00% |
Discount rate, percent | 8.00% |
Credit support, percent | 34.00% |
Default rate, percent | 12.00% |
Asset-backed securities issued, net | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Loss severity, percent | 27.00% |
Discount rate, percent | 5.00% |
Credit support, percent | 9.00% |
Default rate, percent | 7.00% |
Jumbo fixed rate loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 2,871,120,000 |
Jumbo fixed rate loans | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.05 |
Whole loan spread to swap rate, percent | 2.75% |
Jumbo fixed rate loans | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 4.06 |
Whole loan spread to swap rate, percent | 3.05% |
Jumbo fixed rate loans | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan spread to TBA price (in dollars per loan) | $ / loan | 3.94 |
Whole loan spread to swap rate, percent | 3.04% |
Jumbo hybrid loans | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 50,974,000 |
Jumbo hybrid loans | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 1.35% |
Jumbo hybrid loans | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 2.75% |
Jumbo hybrid loans | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 15.00% |
Whole loan spread to swap rate, percent | 1.68% |
Jumbo loans committed to sell | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 173,114,000 |
Jumbo loans committed to sell | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 99.98 |
Jumbo loans committed to sell | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 102.06 |
Jumbo loans committed to sell | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Whole loan committed sales price (in dollars per loan) | $ / loan | 100.61 |
Loans held by consolidated Sequoia entities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 791,636,000 |
Residential loans, at lower of cost or fair value | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 867,000 |
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 | 20.00% |
Trading and AFS securities | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 1,018,439,000 |
Trading and AFS securities | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 1.00% |
Loss severity, percent | 20.00% |
Discount rate, percent | 4.00% |
Credit support, percent | 0.00% |
Default rate, percent | 0.00% |
Trading and AFS securities | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 57.00% |
Loss severity, percent | 65.00% |
Discount rate, percent | 12.00% |
Credit support, percent | 48.00% |
Default rate, percent | 35.00% |
Trading and AFS securities | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 20.00% |
Loss severity, percent | 22.00% |
Discount rate, percent | 7.00% |
Credit support, percent | 3.00% |
Default rate, percent | 2.00% |
MSRs | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 118,526,000 |
MSRs | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 5.00% |
Discount rate, percent | 10.00% |
Per loan annual cost to service (in dollars per loan) | $ 72 |
MSRs | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 11.00% |
Discount rate, percent | 11.00% |
Per loan annual cost to service (in dollars per loan) | $ 82 |
MSRs | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 9.00% |
Discount rate, percent | 10.00% |
Per loan annual cost to service (in dollars per loan) | $ 77 |
Guarantee asset | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 4,092,000 |
Guarantee asset | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
Guarantee asset | Maximum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
Guarantee asset | Weighted Average | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Prepayment rate, percent | 10.00% |
Discount rate, percent | 11.00% |
REO | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Fair Value | $ 5,207,000 |
REO | Minimum | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |
Loss severity, percent | 1.00% |
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 | 24.00% |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | [1] | $ 835,399 | $ 1,115,738 |
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 830,000 | 1,110,000 | |
Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 1,000 | 1,000 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 1,790,000 | ||
Sequoia Entities | Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 792,000 | 1,020,000 | |
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 3,888,051 | 3,928,803 | |
Residential Loans | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 835,399 | 1,115,738 | |
Residential Loans | Residential Loans | Conforming Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 129,819 | ||
Residential Loans | Residential Loans | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 834,193 | 984,486 | |
Residential Loans | Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 1,206 | 1,433 | |
Residential Loans | Residential Loans Held For Investment at Fair Value | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 3,052,652 | 2,813,065 | |
Residential Loans | Redwood | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 3,096,415 | 2,906,933 | |
Residential Loans | Redwood | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 835,399 | 1,115,738 | |
Residential Loans | Redwood | Residential Loans | Conforming Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 129,819 | ||
Residential Loans | Redwood | Residential Loans | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 834,193 | 984,486 | |
Residential Loans | Redwood | Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 1,206 | 1,433 | |
Residential Loans | Redwood | Residential Loans Held For Investment at Fair Value | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 2,261,016 | 1,791,195 | |
Residential Loans | Sequoia Entities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 791,636 | 1,021,870 | |
Residential Loans | Sequoia Entities | Residential Loans Held For Sale | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 0 | 0 | |
Residential Loans | Sequoia Entities | Residential Loans | Conforming Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 0 | ||
Residential Loans | Sequoia Entities | Residential Loans | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 0 | 0 | |
Residential Loans | Sequoia Entities | Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | 0 | 0 | |
Residential Loans | Sequoia Entities | Residential Loans Held For Investment at Fair Value | Jumbo Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | $ 791,636 | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016USD ($)loan | Dec. 31, 2015USD ($)loan | Dec. 31, 2014USD ($) | |
Mortgage Loans on Real Estate [Line Items] | |||
Trading | $ 445,687 | $ 404,011 | |
Transfers from loans held-for-sale to loans held-for-investment | 1,063,860 | 1,555,814 | $ 633,707 |
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005 | $ 154,012 | $ 0 |
Fixed Rate Residential Mortgage | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average rate on loans | 4.10% | ||
Held-for sale residential loans | FHLB Chicago | |||
Mortgage Loans on Real Estate [Line Items] | |||
Residential mortgage loans securing FHLB advances | $ 2,250,000 | ||
Residential Loans | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 1,114 | 1,763 | |
Principal value | $ 830,000 | $ 1,090,000 | |
Loan market valuation adjustment | 830,000 | 1,110,000 | |
Principal value | 4,850,000 | 10,210,000 | |
Principal balance of loans sold during period | 4,040,000 | 9,040,000 | |
Valuation adjustments | 6,000 | 4,000 | |
Loan pledged as collateral | 534,000 | ||
Loans held as assets amount in foreclosure | $ 1,000 | ||
Residential Loans | Financing Receivables, Equal to Greater than 90 Days Past Due | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | $ 1,000 | ||
Number of loans past due | loan | 0 | 1 | |
Number of loans in foreclosure | loan | 1 | ||
Residential Loans | Financing Receivables, Receivables In Foreclosure | |||
Mortgage Loans on Real Estate [Line Items] | |||
Loan market valuation adjustment | $ 1,000 | ||
Residential loans, at lower of cost or fair value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 7 | 9 | |
Principal value | $ 2,000 | $ 2,000 | |
Loan market valuation adjustment | $ 1,000 | $ 1,000 | |
Number of loans in foreclosure | loan | 0 | 1 | |
Loans held as assets, 90 days or more past due | $ 300 | $ 400 | |
Loans held as assets amount in foreclosure | $ 100 | ||
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 | |
Residential Loans Held For Investment at Fair Value | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 3,068 | 2,398 | |
Principal value | $ 2,233,797 | $ 1,758,990 | |
Loan market valuation adjustment | $ 1,790,000 | ||
Number of loans past due | loan | 1 | 0 | |
Number of loans in foreclosure | loan | 0 | 0 | |
Valuation adjustments | $ (23,000) | $ (6,000) | |
Transfers from loans held-for-sale to loans held-for-investment | 1,060,000 | 1,500,000 | |
Transfers from loans held-for-investment to loans held-for-sale | $ 56,000 | $ 143,000 | |
FICO credit score | 773 | ||
Loan to value ratio | 65.00% | ||
Percentage of loans with fixed interest rate | 99.50% | ||
Residential Loans Held For Investment at Fair Value | Hybrid Residential Mortgages | |||
Mortgage Loans on Real Estate [Line Items] | |||
Weighted average rate on loans | 3.83% | ||
Residential Loans Held For Investment at Fair Value | Originated In 2014 and 2016 | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 89.00% | ||
Residential Loans Held For Investment at Fair Value | Originated During 2013 | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 5.00% | ||
Residential Loans Held For Investment at Fair Value | Originated In 2012 And Prior Years | |||
Mortgage Loans on Real Estate [Line Items] | |||
Percentage of loan portfolio | 6.00% | ||
Residential Loans Held For Investment at Fair Value | Sequoia Entities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 3,735 | 4,545 | |
Principal value | $ 887,000 | $ 1,120,000 | |
Loan market valuation adjustment | 792,000 | 1,020,000 | |
Loans held as assets, 90 days or more past due | 19,000 | 27,000 | |
Loans held as assets amount in foreclosure | $ 11,000 | 32,000 | |
FICO credit score | 728 | ||
Loan to value ratio | 66.00% | ||
Valuation adjustments | $ (14,000) | $ 7,000 | |
MSRs | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage servicing rights | $ 2,320,000 |
Residential Loans - Geographic
Residential Loans - Geographic Concentration of Residential Loans Recorded on Consolidated Balance Sheet (Details) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Residential Loans Held For Sale | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential Loans Held For Sale | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 40.00% | 41.00% |
Residential Loans Held For Sale | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 9.00% | 9.00% |
Residential Loans Held For Sale | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 6.00% |
Residential Loans Held For Sale | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Sale | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Residential Loans Held For Sale | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 3.00% |
Residential Loans Held For Sale | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 3.00% |
Residential Loans Held For Sale | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential Loans Held For Sale | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 1.00% |
Residential Loans Held For Sale | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 28.00% | 26.00% |
Residential loans, held-for-investment | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential loans, held-for-investment | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 18.00% | 18.00% |
Residential loans, held-for-investment | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 6.00% | 6.00% |
Residential loans, held-for-investment | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential loans, held-for-investment | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Residential loans, held-for-investment | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
Residential loans, held-for-investment | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Residential loans, held-for-investment | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 5.00% |
Residential loans, held-for-investment | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Residential loans, held-for-investment | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 8.00% | 8.00% |
Residential loans, held-for-investment | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 39.00% | 39.00% |
Residential Loans Held For Investment at Fair Value | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Residential Loans Held For Investment at Fair Value | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 42.00% | 39.00% |
Residential Loans Held For Investment at Fair Value | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 11.00% |
Residential Loans Held For Investment at Fair Value | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 3.00% |
Residential Loans Held For Investment at Fair Value | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | Virginia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | Georgia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 1.00% |
Residential Loans Held For Investment at Fair Value | Massachusetts | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 4.00% |
Residential Loans Held For Investment at Fair Value | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 23.00% | 24.00% |
Residential Loans - Geographi75
Residential Loans - Geographic Concentration of Residential Loans Recorded on Consolidated Balance Sheet (Footnotes) (Details) - Other states (none greater than 5%) | Dec. 31, 2016 | Dec. 31, 2015 |
Residential Loans Held For Sale | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential loans, held-for-investment | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential Loans Held For Investment at Fair Value | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage per other state | 5.00% | 5.00% |
Residential Loans - Loan Produc
Residential Loans - Loan Product Type and Accompanying Loan Characteristics of Residential Loans (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016USD ($)loan | Dec. 31, 2015USD ($)loan | |
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.00% | |
Residential Loans Held For Investment at Fair Value | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,068 | 2,398 |
Principal value | $ 2,233,797 | $ 1,758,990 |
30-89 Days DQ | 4,299 | 5,357 |
90+ Days DQ | $ 237 | $ 0 |
Residential Loans Held For Investment at Fair Value | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 5 | |
Principal value | $ 3,501 | |
30-89 Days DQ | 0 | |
90+ Days DQ | 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 2 | |
Principal value | $ 563 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.75% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of loans | loan | 2 | |
Principal value | $ 1,671 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of loans | loan | 1 | |
Principal value | $ 1,267 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 11 | 56 |
Principal value | $ 10,257 | $ 42,268 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | 0 | 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 1 | |
Principal value | $ 264 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 251 | |
Loan Balance, maximum | $ 500 | |
Number of loans | loan | 7 | |
Principal value | $ 2,963 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.88% | |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 4 | 28 |
Principal value | $ 2,722 | $ 17,514 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | 2.63% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.65% | 4.90% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 2 | 15 |
Principal value | $ 1,726 | $ 12,994 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | 2.75% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | 5.05% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 4 | 6 |
Principal value | $ 5,545 | $ 8,797 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.88% |
Residential Loans Held For Investment at Fair Value | Hybrid ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.20% | 5.20% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,057 | 2,337 |
Principal value | $ 2,223,540 | $ 1,713,221 |
30-89 Days DQ | 4,299 | 5,357 |
90+ Days DQ | 237 | 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 26 | 29 |
Principal value | $ 4,643 | $ 5,295 |
30-89 Days DQ | 0 | 242 |
90+ Days DQ | $ 237 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.67% | 3.64% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.08% | 5.38% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 633 | 484 |
Principal value | $ 278,560 | $ 212,732 |
30-89 Days DQ | 264 | 913 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.80% | 3.13% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.13% | 5.13% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 1,306 | 959 |
Principal value | $ 807,714 | $ 595,863 |
30-89 Days DQ | 2,803 | 3,213 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.94% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.25% | 5.25% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 690 | 552 |
Principal value | $ 597,002 | $ 480,557 |
30-89 Days DQ | 0 | 989 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.90% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.63% | 5.00% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 402 | 313 |
Principal value | $ 535,621 | $ 418,774 |
30-89 Days DQ | 1,232 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.80% | 3.14% |
Residential Loans Held For Investment at Fair Value | Fixed Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.00% | 5.00% |
Residential loans, held-for-investment | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,735 | 4,545 |
Principal value | $ 886,981 | $ 1,122,415 |
30-89 Days DQ | 32,356 | 30,328 |
90+ Days DQ | $ 30,166 | $ 58,823 |
Residential loans, held-for-investment | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 3,698 | 4,504 |
Principal value | $ 869,290 | $ 1,101,588 |
30-89 Days DQ | 31,687 | 29,786 |
90+ Days DQ | 30,166 | 58,823 |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 2,623 | 3,133 |
Principal value | $ 297,646 | $ 355,415 |
30-89 Days DQ | 9,158 | 10,661 |
90+ Days DQ | $ 7,410 | $ 13,078 |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.63% | 0.38% |
Residential loans, held-for-investment | ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.60% | 5.16% |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 694 | 858 |
Principal value | $ 241,253 | $ 296,425 |
30-89 Days DQ | 9,177 | 9,620 |
90+ Days DQ | $ 10,059 | $ 15,345 |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 0.00% |
Residential loans, held-for-investment | ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.75% | 5.63% |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 203 | 269 |
Principal value | $ 121,919 | $ 161,273 |
30-89 Days DQ | 5,812 | 4,578 |
90+ Days DQ | $ 5,069 | $ 7,209 |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.88% | 0.63% |
Residential loans, held-for-investment | ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.89% | 4.66% |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 100 | 135 |
Principal value | $ 86,988 | $ 118,983 |
30-89 Days DQ | 2,750 | 3,586 |
90+ Days DQ | $ 3,322 | $ 8,473 |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.63% | 0.38% |
Residential loans, held-for-investment | ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.38% |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 78 | 109 |
Principal value | $ 121,484 | $ 169,492 |
30-89 Days DQ | 4,790 | 1,341 |
90+ Days DQ | $ 4,306 | $ 14,718 |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 0.00% |
Residential loans, held-for-investment | ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.75% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 37 | 41 |
Principal value | $ 17,691 | $ 20,827 |
30-89 Days DQ | 669 | 542 |
90+ Days DQ | 0 | 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of loans | loan | 4 | 3 |
Principal value | $ 453 | $ 317 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | $0 to $250 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of loans | loan | 18 | 20 |
Principal value | $ 6,516 | $ 7,523 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | $251 to $500 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of loans | loan | 13 | 15 |
Principal value | $ 8,483 | $ 9,874 |
30-89 Days DQ | 669 | 542 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.63% |
Residential loans, held-for-investment | Hybrid ARM Loans | $501 to $750 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.88% |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 1 | 2 |
Principal value | $ 751 | $ 1,547 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | $751 to $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of loans | loan | 1 | 1 |
Principal value | $ 1,488 | $ 1,566 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential loans, held-for-investment | Hybrid ARM Loans | Over $1,000 | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 2.75% |
Residential Loans Held For Sale | ||
Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,121 | 1,772 |
Principal value | $ 833,385 | $ 1,091,518 |
30-89 Days DQ | 0 | 4,346 |
90+ Days DQ | 300 | 1,852 |
Residential Loans Held For Sale | ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 61 | 64 |
Loan Balance, maximum | $ 396 | $ 1,298 |
Number of loans | loan | 6 | 14 |
Principal value | $ 882 | $ 5,258 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 300 | $ 415 |
Residential Loans Held For Sale | ARM Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 1.88% | 1.50% |
Residential Loans Held For Sale | ARM Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 4.00% |
Residential Loans Held For Sale | Hybrid ARM Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 2 | $ 164 |
Loan Balance, maximum | $ 1,947 | $ 1,989 |
Number of loans | loan | 173 | 356 |
Principal value | $ 144,174 | $ 276,457 |
30-89 Days DQ | 0 | 2,249 |
90+ Days DQ | $ 0 | $ 0 |
Residential Loans Held For Sale | Hybrid ARM Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.50% | 2.50% |
Residential Loans Held For Sale | Hybrid ARM Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.00% | 4.25% |
Residential Loans Held For Sale | Fixed Loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 404 | $ 30 |
Loan Balance, maximum | $ 1,997 | $ 2,332 |
Number of loans | loan | 942 | 1,402 |
Principal value | $ 688,329 | $ 809,803 |
30-89 Days DQ | 0 | 2,097 |
90+ Days DQ | $ 0 | $ 1,437 |
Residential Loans Held For Sale | Fixed Loans | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.99% | 2.75% |
Residential Loans Held For Sale | Fixed Loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.25% | 5.25% |
Residential Loans - Loan Prod77
Residential Loans - Loan Product Type and Accompanying Loan Characteristics of Residential Loans (Footnotes) (Details) | 12 Months Ended |
Dec. 31, 2015 | |
Receivables [Abstract] | |
Interest rate for borrowers whose current rate is less than applicable servicing fee | 0.00% |
Residential Loans - Summary o78
Residential Loans - Summary of Activity in Allowance for Losses on Residential Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Reversal of provision for loan losses | $ 0 | $ 859 | $ 6,532 | $ (289) | $ 7,102 | $ 355 | $ (961) |
Held-for sale residential loans | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Balance at beginning of period | $ 0 | 0 | 21,338 | 25,427 | |||
Charge-offs, net | 0 | 0 | (4,966) | ||||
Reversal of provision for loan losses | 0 | 0 | 877 | ||||
Other adjustments | 0 | (21,338) | 0 | ||||
Balance at End of Period | $ 0 | $ 0 | $ 0 | $ 21,338 |
Commercial Loans - Summary of C
Commercial Loans - Summary of Classifications and Carrying Value of Commercial Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Commercial Loans Held For Sale | |||
Commercial Loans [Line Items] | |||
Carrying Value | [1] | $ 2,700 | $ 39,141 |
Commercial Loans At Lower Of Cost Or Market | |||
Commercial Loans [Line Items] | |||
Loans, at lower of cost or fair value | 3,000 | ||
Carrying Value | 3,000 | ||
Commercial Loans Held-for-Investment, at Amortized Cost | |||
Commercial Loans [Line Items] | |||
Carrying Value | 0 | 295,849 | |
Commercial loans | |||
Commercial Loans [Line Items] | |||
Carrying Value | 2,700 | 402,647 | |
Commercial loans | Commercial Loans Held For Sale | |||
Commercial Loans [Line Items] | |||
Loans, at lower of cost or fair value | 39,141 | ||
Commercial loans | Commercial Loans At Lower Of Cost Or Market | |||
Commercial Loans [Line Items] | |||
Loans, at lower of cost or fair value | 2,700 | 0 | |
Commercial loans | Commercial Loans Held-for-Investment, at Fair Value | |||
Commercial Loans [Line Items] | |||
Loans, held-for-investment | 0 | 67,657 | |
Commercial loans | Commercial Loans Held-for-Investment, at Amortized Cost | |||
Commercial Loans [Line Items] | |||
Loans, held-for-investment | $ 0 | $ 295,849 | |
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Commercial Loans - Additional I
Commercial Loans - Additional Information (Details) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||||||
Jun. 30, 2016USD ($) | Dec. 31, 2016USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2016USD ($)loan | Dec. 31, 2015USD ($)loan | Dec. 31, 2014USD ($) | ||
Commercial Loans [Line Items] | ||||||||||
Transfers from loans held-for-investment to loans held-for-sale | $ 359,005,000 | $ 154,012,000 | $ 0 | |||||||
Senior commercial loans, held for sale | 4,953,619,000 | 11,045,813,000 | 9,917,943,000 | |||||||
Sale of loan for third party, held for sale | 4,192,671,000 | 9,761,010,000 | 8,126,249,000 | |||||||
Investment fair value changes, net | (28,574,000) | (21,357,000) | $ (10,202,000) | |||||||
Yield maintenance fees received | $ 1,000,000 | $ 1,000,000 | $ 5,000,000 | $ 2,000,000 | $ 2,000,000 | 2,000,000 | ||||
Commercial Loans Held-for-Investment, at Amortized Cost | ||||||||||
Commercial Loans [Line Items] | ||||||||||
Commercial loans financed through Commercial Securitization entity | 0 | 166,000,000 | 0 | 166,000,000 | ||||||
Loan pledged as collateral | 0 | 135,000,000 | $ 0 | $ 135,000,000 | ||||||
Number of loans | loan | 0 | 59 | ||||||||
Carrying value | 0 | 295,849,000 | $ 0 | $ 295,849,000 | ||||||
Yield maintenance fees received | 5,000,000 | 4,000,000 | ||||||||
Senior commercial loans, held for Investment | 0 | 22,000,000 | ||||||||
Repayments received | 70,000,000 | 57,000,000 | ||||||||
Commercial loans, held-for-investment | ||||||||||
Commercial Loans [Line Items] | ||||||||||
Transferred commercial mezzanine loans, unpaid principal balance | $ 67,000,000 | |||||||||
Transfers from loans held-for-investment to loans held-for-sale | 70,000,000 | |||||||||
Carrying value | [1] | 0 | 363,506,000 | 0 | $ 363,506,000 | |||||
Commercial Loans Held For Sale | ||||||||||
Commercial Loans [Line Items] | ||||||||||
Number of loans | loan | 4 | |||||||||
Carrying value | [1] | 2,700,000 | 39,141,000 | 2,700,000 | $ 39,141,000 | |||||
Principal value | $ 39,000,000 | 39,000,000 | ||||||||
Senior commercial loans, held for sale | 38,000,000 | 618,000,000 | ||||||||
Sale of loan for third party, held for sale | 76,000,000 | 741,000,000 | ||||||||
Valuation adjustments | $ 400,000 | $ 10,000,000 | ||||||||
Commercial Loans At Lower Of Cost Or Market | ||||||||||
Commercial Loans [Line Items] | ||||||||||
Transferred commercial mezzanine loans, unpaid principal balance | 237,000,000 | |||||||||
Transfers from loans held-for-investment to loans held-for-sale | 233,000,000 | |||||||||
Number of loans | loan | 1 | |||||||||
Carrying value | 3,000,000 | $ 3,000,000 | ||||||||
Principal value | 3,000,000 | 3,000,000 | ||||||||
Valuation adjustments | $ 4,000,000 | |||||||||
Loans, at lower of cost or fair value | 3,000,000 | 3,000,000 | ||||||||
Net purchase discount | 4,000,000 | 4,000,000 | ||||||||
Principal balance of loans sold during period | 218,000,000 | |||||||||
Realized gains, net | 1,000,000 | 5,000,000 | ||||||||
Investment fair value changes, net | $ (300,000) | |||||||||
Yield maintenance fees received | 16,000,000 | |||||||||
Commercial Loans At Lower Of Cost Or Market | Fair Value | ||||||||||
Commercial Loans [Line Items] | ||||||||||
Loans, at lower of cost or fair value | $ 3,000,000 | $ 3,000,000 | ||||||||
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Commercial Loans - For-Investme
Commercial Loans - For-Investment at Amortized Cost (Details) - Commercial Loans Held-for-Investment, at Amortized Cost - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Commercial Loans [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 | Dec. 31, 2016 | Dec. 31, 2015 |
Commercial Loans [Line Items] | ||
Commercial loans held for investment | $ 0 | $ 307,047 |
Pass | ||
Commercial Loans [Line Items] | ||
Commercial loans held for investment | 0 | 272,768 |
Watch list | ||
Commercial Loans [Line Items] | ||
Commercial loans held for investment | 0 | 34,279 |
Workout | ||
Commercial Loans [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 | 12 Months Ended | |||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Reversal of provision for loan losses | $ 0 | $ 859 | $ 6,532 | $ (289) | $ 7,102 | $ 355 | $ (961) |
Commercial loans | |||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||
Balance at beginning of period | $ 7,102 | 7,102 | 7,457 | 7,373 | |||
Charge-offs, net | 0 | 0 | 0 | ||||
Reversal of provision for loan losses | (7,102) | (355) | 84 | ||||
Balance at End of Period | $ 0 | $ 0 | $ 7,102 | $ 7,457 |
Commercial Loans - Collectively
Commercial Loans - Collectively Evaluated for Impairment (Details) - Commercial loans - USD ($) $ in Thousands | Dec. 31, 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 by Collateral Type and Entity (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 445,687 | $ 404,011 | |
Available-for-sale | 572,752 | 829,245 | |
Total Real Estate Securities | [1] | $ 1,018,439 | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 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 | Dec. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Trading securities | $ 445,687 | $ 404,011 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 37,067 | 254,351 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 32,230 | 248,570 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Trading securities | 4,837 | 5,781 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 408,620 | 149,660 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 243,451 | 136,140 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 165,169 | $ 13,520 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) | 12 Months Ended | |
Dec. 31, 2016USD ($)Investment | Dec. 31, 2015USD ($)Investment | |
Investment Holdings [Line Items] | ||
Trading securities | $ 445,687,000 | $ 404,011,000 |
Trading securities acquired | 307,000,000 | 383,000,000 |
Trading securities sold | 241,000,000 | 18,000,000 |
Change in trading securities | 11,000,000 | (17,000,000) |
Trading securities pledged as collateral | 146,000,000 | |
AFS securities acquired | 35,000,000 | 33,000,000 |
AFS securities sold | 253,000,000 | 366,000,000 |
AFS net realized gains | $ 21,000,000 | $ 34,000,000 |
Number of AFS securities | Investment | 186 | 224 |
Number of securities in unrealized loss position | Investment | 19 | 32 |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | Investment | 10 | 15 |
Other than temporary impairments | $ 3,000,000 | $ 400,000 |
Other than temporary impairment losses, income statement | 400,000 | 200,000 |
Accumulated other comprehensive income, other-than-temporary impairments | 3,000,000 | 200,000 |
Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | 3,169,000 | 5,007,000 |
Residential | ||
Investment Holdings [Line Items] | ||
Marketable securities, less than five years | 1,000,000 | |
Marketable securities, due from five to ten years | 1,000,000 | |
Interest Only Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 37,000,000 | 37,000,000 |
Residential Senior and Subordinate Securities | Trading securities | ||
Investment Holdings [Line Items] | ||
Unpaid principal balance | 0 | 217,000,000 |
Residential Subordinate Securities | Trading securities | ||
Investment Holdings [Line Items] | ||
Unpaid principal balance | 434,000,000 | 168,000,000 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 408,620,000 | 149,660,000 |
Subordinate Securities | Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | 1,240,000 | 1,430,000 |
Subordinate Securities | Credit Risk Transfer (CRT) Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 187,000,000 | 48,000,000 |
Subordinate Securities | Sequoia Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 15,000,000 | 10,000,000 |
Subordinate Securities | Other Third Party Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 115,000,000 | 83,000,000 |
Subordinate Securities | Commercial Mortgage Backed Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 92,000,000 | 8,000,000 |
AFS Securities | Residential | ||
Investment Holdings [Line Items] | ||
Securities pledged as collateral | $ 216,000,000 | |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Number of AFS securities | Investment | 4 | |
Trading securities, fair value | $ 77,000,000 | |
Re-REMIC | Residential | ||
Investment Holdings [Line Items] | ||
Gross unrealized losses | $ 0 | $ 0 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 572,752 | $ 829,245 |
Senior Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 136,546 | 279,251 |
Senior Securities | Prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 128,843 | 210,993 |
Senior Securities | Non-prime | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 7,703 | 68,258 |
Re-REMIC | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 85,479 | 165,064 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 350,727 | 384,930 |
Subordinate Securities | Prime mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | 163,715 | 224,624 |
Subordinate Securities | Prime subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale securities | $ 187,012 | $ 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 | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | $ 572,752 | $ 829,245 |
Senior Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 136,546 | 279,251 |
Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 128,843 | 210,993 |
Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 7,703 | 68,258 |
Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 85,479 | 165,064 |
Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Carrying Value | 350,727 | 384,930 |
Residential | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 700,829 | 973,227 |
Credit reserve | (47,473) | (48,869) |
Unamortized discount, net | (198,112) | (237,107) |
Amortized cost | 455,244 | 687,251 |
Gross unrealized gains | 120,677 | 147,001 |
Gross unrealized losses | (3,169) | (5,007) |
Carrying Value | 572,752 | 829,245 |
Residential | Senior Securities | Prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 139,736 | 217,605 |
Credit reserve | (4,174) | (1,305) |
Unamortized discount, net | (40,379) | (22,079) |
Amortized cost | 95,183 | 194,221 |
Gross unrealized gains | 35,589 | 20,263 |
Gross unrealized losses | (1,929) | (3,491) |
Carrying Value | 128,843 | 210,993 |
Residential | Senior Securities | Non-prime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 9,126 | 75,591 |
Credit reserve | (640) | (5,101) |
Unamortized discount, net | (1,498) | (8,395) |
Amortized cost | 6,988 | 62,095 |
Gross unrealized gains | 715 | 6,249 |
Gross unrealized losses | 0 | (86) |
Carrying Value | 7,703 | 68,258 |
Residential | Re-REMIC | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 95,608 | 189,782 |
Credit reserve | (6,857) | (10,332) |
Unamortized discount, net | (19,613) | (71,670) |
Amortized cost | 69,138 | 107,780 |
Gross unrealized gains | 16,341 | 57,284 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 85,479 | 165,064 |
Residential | Subordinate Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal balance | 456,359 | 490,249 |
Credit reserve | (35,802) | (32,131) |
Unamortized discount, net | (136,622) | (134,963) |
Amortized cost | 283,935 | 323,155 |
Gross unrealized gains | 68,032 | 63,205 |
Gross unrealized losses | (1,240) | (1,430) |
Carrying Value | $ 350,727 | $ 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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Credit Reserve | ||
Beginning balance | $ 48,869 | $ 70,067 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (5,830) | (8,535) |
Acquisitions | 9,311 | 2,557 |
Sales, calls, other | (4,968) | (7,296) |
Impairments | 368 | 0 |
Transfers to (release of) credit reserves, net | (277) | (7,924) |
Ending Balance | 47,473 | 48,869 |
Available For Sale Securities Credit Reserve [Roll Forward] | ||
Beginning balance | 237,107 | 296,342 |
Amortization of net discount | (26,253) | (36,850) |
Realized credit losses | 0 | 0 |
Acquisitions | 11,461 | 15,791 |
Sales, calls, other | (24,480) | (46,346) |
Impairments | 0 | 246 |
Transfers to (release of) credit reserves, net | 277 | 7,924 |
Ending Balance | $ 198,112 | $ 237,107 |
Real Estate Securities - Comp91
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 15,772 | $ 87,718 |
Less Than 12 Consecutive Months Gross Unrealized Losses | (330) | (1,972) |
Less Than 12 Consecutive Months Fair Value | 15,442 | 85,746 |
12 Consecutive Months or Longer Amortized Cost | 60,035 | 77,539 |
12 Consecutive Months or Longer Gross Unrealized Losses | (2,839) | (3,035) |
12 Consecutive Months or Longer Fair Value | $ 57,196 | $ 74,504 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Details) - Prime | 12 Months Ended |
Dec. 31, 2016 | |
Minimum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 8.00% |
Projected default rate | 0.00% |
Maximum | |
Schedule of Available-for-sale Securities [Line Items] | |
Prepayment rates | 15.00% |
Projected default rate | 7.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Balance at beginning of period | $ 28,277 | $ 33,849 | $ 37,149 |
Initial credit impairments | 346 | 246 | 261 |
Subsequent credit impairments | 8 | 0 | 70 |
Securities sold, or expected to sell | (261) | (4,567) | (922) |
Securities with no outstanding principal at period end | (109) | (1,251) | (2,709) |
Balance at End of Period | $ 28,261 | $ 28,277 | $ 33,849 |
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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Gross realized gains | $ 23,598 | $ 34,922 | $ 15,030 |
Gross realized losses | (2,293) | (608) | (2,713) |
Total Realized Gains on Sales and Calls of AFS Securities, net | 22,515 | 36,369 | 13,917 |
Call Option | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Gross realized gains | 1,210 | 2,167 | 1,600 |
Gross realized losses | $ 0 | $ (112) | $ 0 |
Mortgage Servicing Rights - Sch
Mortgage Servicing Rights - Schedule of Fair Value of MSRs and Aggregate Principal Amounts of Associated Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | [1] | $ 118,526 | $ 191,976 | ||
MSRs | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 118,526 | 191,976 | $ 139,293 | $ 64,824 | |
Associated Principal | 10,456,889 | 18,266,472 | |||
MSRs | Conforming Loans | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 58,523 | 133,838 | |||
Associated Principal | 4,989,720 | 12,560,533 | |||
MSRs | Jumbo Loans | |||||
Servicing Assets at Fair Value [Line Items] | |||||
MSR Fair Value | 60,003 | 58,138 | |||
Associated Principal | $ 5,467,169 | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 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 | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | [1] | $ 191,976 | ||
Additions | 10,060 | $ 64,725 | $ 48,000 | |
Balance at End of Period | [1] | 118,526 | 191,976 | |
MSRs | ||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | 191,976 | 139,293 | 64,824 | |
Additions | 25,362 | 95,281 | 95,550 | |
Sales | (62,440) | (18,206) | 0 | |
Changes in fair value due to: Changes in assumptions | (14,512) | (5,453) | (12,467) | |
Changes in fair value due to: Other changes | (21,860) | (18,939) | (8,614) | |
Balance at End of Period | $ 118,526 | $ 191,976 | $ 139,293 | |
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Mortgage Servicing Rights - Sum
Mortgage Servicing Rights - Summary of Retention and Purchase of MSRs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | $ 10,060 | $ 64,725 | $ 48,000 |
MSRs | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 25,362 | 95,281 | $ 95,550 |
Associated Principal | 2,926,572 | 9,119,764 | |
MSRs | Jumbo Loans | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 6,628 | 8,554 | |
Associated Principal | 966,705 | 915,882 | |
MSRs | Jumbo Loans | Securitizations | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 6,451 | 8,202 | |
Associated Principal | 939,861 | 882,860 | |
MSRs | Jumbo Loans | Loan Sales | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 177 | 352 | |
Associated Principal | 26,844 | 33,022 | |
MSRs | Conforming Loans | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 18,734 | 86,727 | |
Associated Principal | 1,959,867 | 8,203,882 | |
MSRs | Conforming Loans | Loan Sales | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 3,380 | 55,954 | |
Associated Principal | 316,290 | 5,251,537 | |
MSRs | Conforming Loans | Loan Purchases | |||
Mortgage Servicing Rights [Line Items] | |||
MSR Fair Value | 15,354 | 30,773 | |
Associated Principal | $ 1,643,577 | $ 2,952,345 |
Mortgage Servicing Rights - Inc
Mortgage Servicing Rights - Income from Mortgage Servicing Rights, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Transfers and Servicing [Abstract] | |||
Income | $ 41,152 | $ 38,964 | $ 19,362 |
Cost of sub-servicer | (6,281) | (5,079) | (1,834) |
Net servicing income | 34,871 | 33,885 | 17,528 |
Market valuation changes of MSRs | (36,372) | (24,392) | (21,081) |
Market valuation changes of associated derivatives | 15,584 | (12,708) | 0 |
MSR reversal of (provision for) repurchases | 270 | (707) | (708) |
MSR Income (Loss), Net | $ 14,353 | $ (3,922) | $ (4,261) |
Derivative Financial Instrume99
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Fair Value | $ (29,734) | $ (46,401) |
Notional Amount | 4,980,343 | 6,483,976 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (66,329) | (62,794) |
Notional Amount | 2,423,362 | 3,083,315 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 36,595 | 16,393 |
Notional Amount | 2,556,981 | 3,400,661 |
Interest rate agreements | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Notional Amount | 140,000 | |
Interest rate agreements | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (12,097) | (10,134) |
Notional Amount | 1,101,500 | 1,039,500 |
Interest rate agreements | Derivative Liabilities | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | (44,822) | (48,232) |
Notional Amount | 139,500 | 139,500 |
Interest rate agreements | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 19,859 | 2,590 |
Notional Amount | 1,009,000 | 658,000 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 1,360,000 | 2,480,000 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (4,681) | (2,519) |
Notional Amount | 510,000 | 1,450,500 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 8,300 | 2,734 |
Notional Amount | 850,000 | 1,028,500 |
Futures | ||
Derivative [Line Items] | ||
Notional Amount | 88,000 | 78,000 |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (928) | (445) |
Notional Amount | 87,500 | 78,000 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 5,121 | 5,191 |
Notional Amount | 345,000 | 925,000 |
Credit default index swaps | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,207 |
Notional Amount | 0 | 25,000 |
Loan purchase commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (3,801) | (1,464) |
Notional Amount | 584,862 | 375,815 |
Loan purchase commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 3,315 | 4,671 |
Notional Amount | $ 352,981 | $ 764,161 |
Derivative Financial Instrum100
Derivative Financial Instruments - Additional Information (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016USD ($)counterparty | Dec. 31, 2015USD ($) | Dec. 31, 2014USD ($) | ||
Derivative [Line Items] | ||||
Notional Amount | $ 4,980,343 | $ 6,483,976 | ||
Accumulated other comprehensive income | [1] | $ 71,853 | 91,993 | |
Number of counterparties | counterparty | 3 | |||
Maximum | ||||
Derivative [Line Items] | ||||
Realized net losses reclassified from other comprehensive income (less than) | $ 1,000 | 1,000 | $ 1,000 | |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | ||||
Derivative [Line Items] | ||||
Accumulated other comprehensive income | (44,000) | (47,000) | ||
Residential loan purchase and forward sale commitments | Mortgage Banking And Investment Activities | ||||
Derivative [Line Items] | ||||
Changes in fair value of assets | 26,000 | 50,000 | 14,000 | |
Interest Rate Contract | ||||
Derivative [Line Items] | ||||
Notional Amount | 2,460,000 | 2,620,000 | ||
Interest Rate Contract | Cash Flow Hedging | ||||
Derivative [Line Items] | ||||
Realized net losses reclassified from other comprehensive income (less than) | 72 | 95 | 164 | |
TBAs | ||||
Derivative [Line Items] | ||||
Notional Amount | 1,360,000 | 2,480,000 | ||
Futures | ||||
Derivative [Line Items] | ||||
Notional Amount | 88,000 | 78,000 | ||
Residential and Commercial Loans | ||||
Derivative [Line Items] | ||||
Valuation adjustments on derivatives | 10,000 | (65,000) | (39,000) | |
Interest rate agreements | Maximum | ||||
Derivative [Line Items] | ||||
Accumulated other comprehensive loss that will be amortized into interest expense | (100) | |||
Interest rate agreements | Cash Flow Hedging | ||||
Derivative [Line Items] | ||||
Notional Amount | 140,000 | |||
Valuation adjustments on derivatives | $ 3,000 | $ (1,000) | $ (30,000) | |
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Derivative Financial Instrum101
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||||||||||
Total interest expense | $ (20,537) | $ (21,597) | $ (22,444) | $ (23,950) | $ (25,039) | $ (23,875) | $ (23,008) | $ (23,961) | $ (88,528) | $ (95,883) | $ (87,463) |
Cash Flow Hedging | Interest Rate Contract | |||||||||||
Derivative [Line Items] | |||||||||||
Net interest expense on cash flows hedges | (5,317) | (5,883) | (5,951) | ||||||||
Realized net losses reclassified from other comprehensive income | (72) | (95) | (164) | ||||||||
Total interest expense | $ (5,389) | $ (5,978) | $ (6,115) |
Other Assets and Liabilities -
Other Assets and Liabilities - Summary of Other Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Margin receivable | $ 68,038 | $ 83,191 | |
FHLBC stock | 43,393 | 34,437 | |
Pledged collateral | 42,875 | 53,600 | |
REO | 5,533 | 4,896 | |
Guarantee asset | 4,092 | 5,697 | |
Fixed assets and leasehold improvements | 2,750 | 4,117 | |
Prepaid expenses | 1,639 | 3,640 | |
Investment receivable | 1,068 | 3,870 | |
Other | 9,857 | 4,438 | |
Total Other Assets | [1] | 179,245 | $ 197,886 |
Fixed assets basis | 5,000 | ||
Fixed assets, accumulated depreciation | $ 3,000 | ||
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities103
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Guarantee obligations | $ 21,668 | $ 22,704 |
Accrued compensation | 18,830 | 17,527 |
Margin payable | 12,783 | 6,415 |
Residential loan and MSR repurchase reserve | 5,432 | 6,403 |
Accrued operating expenses | 4,493 | 1,845 |
Restructuring liabilities | 2,297 | 0 |
Legal reserve | 2,000 | 2,000 |
Current accounts payable | 1,151 | 4,764 |
Deferred tax liability | 898 | 0 |
Other | 2,876 | 8,239 |
Total Other Liabilities | $ 72,428 | $ 69,897 |
Other Assets and Liabilities104
Other Assets and Liabilities - Additional Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016USD ($) | Dec. 31, 2016USD ($)Location | Dec. 31, 2015USD ($)Location | Dec. 31, 2014USD ($) | |
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 5,533 | $ 4,896 | ||
Amount related to transfers into REO | 12,000 | |||
REO liquidations | 13,000 | |||
Unrealized gain on REO from market value adjustments | 2,000 | |||
Costs incurred and expensed | $ 10,401 | 10,401 | $ 0 | $ 0 |
Other costs | (3,486) | |||
Termination Benefits | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Costs incurred and expensed | 9,000 | 8,746 | ||
Other costs | (3,000) | (3,486) | ||
Contract Termination Costs | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Costs incurred and expensed | $ 2,000 | 1,655 | ||
Other costs | $ 0 | |||
Sequoia Entities | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Number of REO properties recorded on balance sheet | Location | 23 | 23 |
Other Assets and Liabilities105
Other Assets and Liabilities - Restructuring Accrual (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | $ 0 | $ 0 | ||
Costs incurred and expensed | 10,401 | 10,401 | $ 0 | $ 0 |
Costs paid/settled | (4,618) | |||
Other costs | (3,486) | |||
Ending Balance | 2,297 | 0 | ||
Termination Benefits | ||||
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | 0 | 0 | ||
Costs incurred and expensed | 9,000 | 8,746 | ||
Costs paid/settled | (3,019) | |||
Other costs | (3,000) | (3,486) | ||
Ending Balance | 2,241 | 0 | ||
Contract Termination Costs | ||||
Restructuring Reserve [Roll Forward] | ||||
Beginning balance | 0 | 0 | ||
Costs incurred and expensed | $ 2,000 | 1,655 | ||
Costs paid/settled | (1,599) | |||
Other costs | 0 | |||
Ending Balance | $ 56 | $ 0 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 12 Months Ended | ||
Dec. 31, 2016USD ($)Facility | Dec. 31, 2015USD ($)Facility | ||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 11 | 16 | |
Outstanding Balance | [1] | $ 791,539,000 | $ 1,855,003,000 |
Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 4 | 4 | |
Outstanding Balance | $ 485,544,000 | $ 950,022,000 | |
Limit | $ 1,325,000,000 | $ 1,400,000,000 | |
Weighted Average Interest Rate | 2.40% | 1.90% | |
Weighted Average Days Until Maturity | 206 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 | 0.21% | ||
Weighted Average Days Until Maturity | 204 days | ||
Commercial loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 2 | ||
Outstanding Balance | $ 73,718,000 | ||
Limit | $ 300,000,000 | ||
Weighted Average Interest Rate | 4.13% | ||
Weighted Average Days Until Maturity | 265 days | ||
Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | Facility | 7 | 9 | |
Outstanding Balance | $ 305,995,000 | $ 693,641,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate | 1.91% | 1.47% | |
Weighted Average Days Until Maturity | 24 days | 24 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | ||
Average balance of short-term debt | $ 1,090,000,000 | $ 1,670,000,000 |
Accrued interest payable on short-term debt | 3,000,000 | 2,000,000 |
Committed line of credit | 10,000,000 | |
Collateral at fair value | 8,000,000 | |
Committed line of credit with financial institutions, outstanding | 0 | 0 |
Residential loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 1,070,000,000 | |
Commercial loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 0 | 152,000,000 |
Residential | ||
Short-term Debt [Line Items] | ||
Securities pledged as collateral | 363,000,000 | $ 827,000,000 |
Residential Loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | $ 534,000,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 791,539 | $ 1,855,003 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 345,097 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 137,088 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 309,354 | ||
Held-for sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 485,544 | ||
Held-for sale residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 109,152 | ||
Held-for sale residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 67,038 | ||
Held-for sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 309,354 | ||
Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 305,995 | ||
Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 235,945 | ||
Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 70,050 | ||
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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu109
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) $ in Thousands | Dec. 31, 2016USD ($)series | Dec. 31, 2015USD ($)series | |
Debt Instrument [Line Items] | |||
Total | [1],[2] | $ 2,620,683 | $ 2,027,737 |
Asset-backed securities issued, net | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 773,462 | 1,049,957 | |
Market valuation adjustments | (110,829) | (116,637) | |
Deferred debt issuance costs | 0 | (542) | |
Total | 773,462 | 1,049,415 | |
Asset-backed securities issued, net | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 880,517 | 1,161,922 | |
Asset-backed securities issued, net | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 3,774 | 4,672 | |
Asset-backed securities issued, net | Sequoia Entities | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 773,462 | 996,820 | |
Market valuation adjustments | (110,829) | (116,637) | |
Deferred debt issuance costs | 0 | 0 | |
Total | $ 773,462 | $ 996,820 | |
Number of series | series | 20 | 21 | |
Asset-backed securities issued, net | Sequoia Entities | Minimum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 0.14% | 0.15% | |
Asset-backed securities issued, net | Sequoia Entities | Maximum | |||
Debt Instrument [Line Items] | |||
Weighted average interest rates, by series | 2.21% | 1.95% | |
Asset-backed securities issued, net | Sequoia Entities | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | $ 880,517 | $ 1,108,785 | |
Asset-backed securities issued, net | Sequoia Entities | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 3,774 | 4,672 | |
Asset-backed securities issued, net | Commercial Securitization | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | 0 | 53,137 | |
Market valuation adjustments | 0 | 0 | |
Deferred debt issuance costs | 0 | (542) | |
Total | $ 0 | $ 52,595 | |
Weighted average interest rates, by series | 0.00% | 5.62% | |
Number of series | series | 0 | 1 | |
Asset-backed securities issued, net | Commercial Securitization | Certificates with principal balance | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | $ 0 | $ 53,137 | |
Asset-backed securities issued, net | Commercial Securitization | Interest-only certificates | |||
Debt Instrument [Line Items] | |||
Long-term debt, gross | $ 0 | $ 0 | |
[1] | At December 31, 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 $7,081 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu110
Asset-Backed Securities Issued - Additional Information (Details) - Asset-backed securities issued, net - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Debt Instrument [Line Items] | |||
Amortization of deferred ABS issuance costs | $ 0.4 | $ 1 | $ 2 |
Contractual maturities of over five years | |||
Debt Instrument [Line Items] | |||
Contractual maturities of ABS (in years) | 5 years |
Asset-Backed Securities Issu111
Asset-Backed Securities Issued - Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Accrued interest payable | [1] | $ 9,608 | $ 8,936 |
Asset-backed securities issued, net | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 518 | 804 | |
Asset-backed securities issued, net | Variable Interest Entity, Primary Beneficiary | Sequoia Entities | |||
Debt Instrument [Line Items] | |||
Accrued interest payable | 518 | 555 | |
Asset-backed securities issued, net | 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issu112
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 798,317 | $ 1,195,574 |
Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 791,636 | 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 | 1,000 | 2,428 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,533 | 4,895 |
Sequoia Entities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 798,317 | 1,028,124 |
Sequoia Entities | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 791,636 | 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 | 1,000 | 1,131 |
Sequoia Entities | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 5,533 | 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 | 12 Months Ended | |||
Nov. 30, 2014 | Mar. 31, 2013 | Dec. 31, 2016 | Dec. 31, 2015 | ||
Debt Instrument [Line Items] | |||||
FHLB transition period | 5 years | ||||
Committed line of credit with financial institutions, outstanding | $ 0 | $ 0 | |||
Federal home loan bank stock | 43,393,000 | 34,437,000 | |||
Accrued interest payable | 3,000,000 | 2,000,000 | |||
Notional Amount | 4,980,343,000 | 6,483,976,000 | |||
Accrued interest payable (less than) | [1] | 9,608,000 | 8,936,000 | ||
Convertible notes | Exchangeable senior notes due 2019 | |||||
Debt Instrument [Line Items] | |||||
Convertible notes | $ 205,000,000 | $ 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 debt, conversion ratio | 0.0461798 | ||||
Convertible senior notes conversion per share (in dollars per share) | $ 21.65 | ||||
Repurchased debt instrument, face amount | $ 4,235,000 | ||||
Accrued interest payable | 2,000,000 | ||||
Unamortized deferred issuance costs | (4,000,000) | ||||
Convertible notes | Exchangeable senior notes due 2019 | Gain (Loss) on Investments | |||||
Debt Instrument [Line Items] | |||||
Gain (loss) on extinguishment of debt | $ 300,000 | ||||
Convertible notes | 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 debt, conversion ratio | 0.041132 | ||||
Convertible senior notes conversion per share (in dollars per share) | $ 24.31 | ||||
Accrued interest payable | $ 4,000,000 | ||||
Unamortized deferred issuance costs | (2,000,000) | ||||
Trust Preferred Securities | |||||
Debt Instrument [Line Items] | |||||
Debt instrument face amount | $ 99,500,000 | ||||
Interest expense yield on trust preferred securities and subordinated notes | 6.90% | ||||
Subordinated Notes | |||||
Debt Instrument [Line Items] | |||||
Debt instrument face amount | $ 40,000,000 | ||||
Trust Preferred Securities and Subordinated Notes | |||||
Debt Instrument [Line Items] | |||||
Accrued interest payable (less than) | 1,000,000 | 1,000,000 | |||
Trust Preferred Securities and Subordinated Notes | Interest rate agreements | |||||
Debt Instrument [Line Items] | |||||
Notional Amount | $ 140,000,000 | ||||
Trust Preferred Securities and Subordinated Notes | London Interbank Offered Rate (LIBOR) | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate (as a percent) | 2.25% | ||||
FHLB Chicago | Held-for sale residential loans | |||||
Debt Instrument [Line Items] | |||||
Residential mortgage loans securing FHLB advances | $ 2,250,000,000 | ||||
Subsidiaries | FHLB Chicago | |||||
Debt Instrument [Line Items] | |||||
Maximum borrowing capacity | 2,000,000,000 | ||||
Additional borrowings from FHLB | 519,000,000 | ||||
Committed line of credit with financial institutions, outstanding | 2,000,000,000 | ||||
Outstanding FHLB advances | $ 2,000,000,000 | $ 1,480,000,000 | |||
Weighted average interest rate (as a percent) | 0.64% | 0.46% | |||
Weighted average maturity (in years) | 9 years | 9 years | |||
FHLB advances, long-term | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Long-Term Debt - Debt maturitie
Long-Term Debt - Debt maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Total | [1],[2] | $ 2,620,683 | $ 2,027,737 |
FHLB Chicago | Subsidiaries | |||
Debt Instrument [Line Items] | |||
2,024 | 470,171 | ||
2,025 | 887,639 | ||
2,026 | 642,189 | ||
Total | $ 1,999,999 | ||
[1] | At December 31, 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 $7,081 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Commitments and Contingencies -
Commitments and Contingencies - Future Lease Commitments (Details) $ in Thousands | Dec. 31, 2016USD ($) |
Leases [Abstract] | |
2,017 | $ 2,301 |
2,018 | 1,268 |
2,019 | 642 |
2,020 | 581 |
2,021 | 48 |
2022 and thereafter | 0 |
Total | $ 4,840 |
Commitments and Contingencie116
Commitments and Contingencies - Additional Information (Details) | Jul. 15, 2010Plaintiff | Dec. 31, 2016USD ($)loanleaserepurchase_request | Dec. 31, 2015USD ($)loanrepurchase_request | Dec. 31, 2014USD ($)loan |
Loss Contingencies [Line Items] | ||||
Number of non-cancelable leases | lease | 4 | |||
Lease expiration year | 2,021 | |||
Future lease commitments with expiration date | $ 4,840,000 | |||
Operating lease expense | 3,000,000 | |||
Unamortized leasehold improvements (less than) | 1,000,000 | |||
Leasehold amortization expense (less than) | 0 | $ 100,000 | $ 100,000 | |
Residential loan and MSR repurchase reserve | $ 5,432,000 | $ 6,403,000 | ||
Residential loans repurchase requests | repurchase_request | 59 | 79 | ||
Residential loans, number of loans repurchased | loan | 1 | 0 | 1 | |
Residential loans repurchased during period | $ 100,000 | $ 0 | $ 100,000 | |
Residential loans repurchase provision | 1,000,000 | 3,000,000 | $ (2,000,000) | |
Aggregate amount of loss contingency reserves | 2,000,000 | 2,000,000 | ||
Guarantee obligations | 21,668,000 | 22,704,000 | ||
Guarantee Obligation, Credit Reserve | 10,000,000 | |||
Special Purpose Entities, assets | 49,000,000 | 63,000,000 | ||
Special Purpose Entities, liabilities | 22,000,000 | 25,000,000 | ||
Schwab | ||||
Loss Contingencies [Line Items] | ||||
Number of other named defendants along with SRF | Plaintiff | 26 | |||
Residential loans, at lower of cost or fair value | ||||
Loss Contingencies [Line Items] | ||||
Principal amount outstanding on loans securitized | 2,000,000 | 2,000,000 | ||
Loans held as assets amount in foreclosure | $ 100,000 | |||
Other Income | ||||
Loss Contingencies [Line Items] | ||||
Fee income from risk sharing agreement | 5,000,000 | |||
Mortgage Banking And Investment Activities | ||||
Loss Contingencies [Line Items] | ||||
Market valuation changes in fair value of guarantee asset | (1,000,000) | |||
Guarantee Obligations | ||||
Loss Contingencies [Line Items] | ||||
Original principal balance of loans sold subject to risk sharing agreement | 3,190,000,000 | |||
Potential future payments on risk sharing agreements | 44,000,000 | |||
Loss contingency accrual (less than) | 100,000 | |||
Principal amount outstanding on loans securitized | $ 2,420,000,000 | |||
FICO credit score | 757 | |||
Loan to value ratio | 77.00% | |||
Guarantee Obligations | Financing Receivables, Equal To Greater Than 30 Days Past Due [Member] | ||||
Loss Contingencies [Line Items] | ||||
Loans past due | $ 14,000,000 | |||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
Loss Contingencies [Line Items] | ||||
Loans past due | $ 2,000,000 | |||
Residential | Sequoia Entities | FHLB Seattle | ||||
Loss Contingencies [Line Items] | ||||
Statutory interest rate per annum | 8.00% | |||
Original principal amount of securities | $ 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] | ||||
Original principal amount of securities | 15,000,000 | |||
Principal balance of securities | 14,000,000 | |||
Debt instrument interest amount | $ 1,000,000 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||
Balance at beginning of period | $ 1,146,265 | [1] | $ 1,256,141 | $ 1,245,783 | |
Total other comprehensive (loss) income | (20,140) | (48,695) | (8,078) | ||
Balance at End of Period | 1,149,428 | [1] | 1,146,265 | [1] | 1,256,141 |
Other comprehensive income (loss). before reclassification adjustments, tax benefit (provision) | 1,000 | (400) | (2,000) | ||
Net Unrealized Gains on Available-for-Sale Securities | |||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||
Balance at beginning of period | 139,356 | 186,737 | |||
Other comprehensive income (loss) before reclassifications | (2,316) | (17,955) | |||
Amounts reclassified from other accumulated comprehensive income | (21,167) | (29,426) | |||
Total other comprehensive (loss) income | (23,483) | (47,381) | |||
Balance at End of Period | 115,873 | 139,356 | 186,737 | ||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||||
Balance at beginning of period | (47,363) | (46,049) | |||
Other comprehensive income (loss) before reclassifications | 3,271 | (1,409) | |||
Amounts reclassified from other accumulated comprehensive income | 72 | 95 | |||
Total other comprehensive (loss) income | 3,343 | (1,314) | |||
Balance at End of Period | $ (44,020) | $ (47,363) | $ (46,049) | ||
[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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 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 | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Investment fair value changes, net | $ (28,574) | $ (21,357) | $ (10,202) | ||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | ||||||||
Interest expense | $ 20,537 | $ 21,597 | $ 22,444 | $ 23,950 | $ 25,039 | $ 23,875 | $ 23,008 | $ 23,961 | 88,528 | 95,883 | 87,463 |
Net income before provision for income taxes | 134,960 | 91,742 | $ 101,313 | ||||||||
Other than temporary impairments | 3,000 | 400 | |||||||||
Other than temporary impairment losses, income statement | 400 | 200 | |||||||||
Accumulated other comprehensive income, other-than-temporary impairments | 3,000 | 200 | |||||||||
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 | 368 | 246 | |||||||||
Realized gains, net | (21,535) | (29,672) | |||||||||
Net income before provision for income taxes | (21,167) | (29,426) | |||||||||
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] | |||||||||||
Interest expense | 72 | 95 | |||||||||
Net income before provision for income taxes | $ 72 | $ 95 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |||||||||||
Net income attributable to Redwood | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | $ 131,252 | $ 102,088 | $ 100,569 |
Less: Dividends and undistributed earnings allocated to participating securities | (3,742) | (2,806) | (2,612) | ||||||||
Net income allocated to common shareholders | $ 127,510 | $ 99,282 | $ 97,957 | ||||||||
Basic weighted average common shares outstanding (in shares) | 76,747,047 | 82,945,103 | 82,837,369 | ||||||||
Basic earnings per common share (in dollars per share) | $ 0.32 | $ 0.67 | $ 0.52 | $ 0.15 | $ 0.49 | $ 0.22 | $ 0.31 | $ 0.17 | $ 1.66 | $ 1.20 | $ 1.18 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (4,035) | $ (2,677) | $ (2,524) | ||||||||
Add back: Interest expense on convertible notes | 23,862 | 0 | 0 | ||||||||
Net income allocated to common shareholders | $ 151,079 | $ 99,411 | $ 98,045 | ||||||||
Net effect of dilutive equity awards (in shares) | 28,435 | 1,573,292 | 2,261,210 | ||||||||
Net effect of assumed convertible notes conversion to common shares (in shares) | 21,133,608 | 0 | 0 | ||||||||
Diluted weighted average shares outstanding (in shares) | 97,909,090 | 84,518,395 | 85,098,579 | ||||||||
Diluted earnings per common share (in dollars per share) | $ 0.31 | $ 0.58 | $ 0.48 | $ 0.15 | $ 0.46 | $ 0.22 | $ 0.31 | $ 0.16 | $ 1.54 | $ 1.18 | $ 1.15 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Feb. 29, 2016 | Aug. 31, 2015 | |
Stockholders Equity Note [Line Items] | ||||||
Stock Repurchased During Period, Value | $ 25,107,000 | $ 88,785,000 | ||||
Share Repurchase Plan, August 2015 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 100,000,000 | |||||
Share repurchased during period (in shares) | 839,130 | |||||
Stock Repurchased During Period, Value | $ 11,000,000 | |||||
Share Repurchase Plan, February 2016 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 100,000,000 | |||||
Share repurchased during period (in shares) | 1,103,924 | |||||
Stock Repurchased During Period, Value | $ 14,000,000 | |||||
Stock repurchase program, remaining authorized repurchase amount | $ 86,000,000 | |||||
Convertible debt securities | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 0 | 21,292,309 | 12,811,041 | |||
Equity awards | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 0 | 103,253 | 59,230 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2016USD ($)$ / sharesshares | Mar. 31, 2016USD ($)executive | Dec. 31, 2015USD ($)$ / sharesshares | Dec. 31, 2014$ / sharesshares | Dec. 31, 2016USD ($)tranchemeasurement_period$ / sharesshares | Dec. 31, 2015USD ($)$ / sharesshares | Dec. 31, 2014USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 1,787,974 | 1,665,032 | 1,787,974 | 1,665,032 | |||
Unrecognized compensation cost | $ | $ 18,146 | $ 23,608 | $ 18,146 | $ 23,608 | |||
Equity compensation cost (less than for 2014) | $ | 9,093 | 11,921 | $ 9,750 | ||||
Share-based compensation expense including restructuring | $ | $ 12,576 | ||||||
Number of shares purchased by employees (in shares) | 337,271 | ||||||
Restricted Stock | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | 2,000 | $ 2,000 | |||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Equity compensation cost (less than for 2014) | $ | $ 1,000 | $ 1,000 | |||||
Number of stock awards granted (in shares) | 144,056 | 141,069 | 2,574 | ||||
Number of stock awards forfeited (in shares) | 76,614 | 20,678 | 15,842 | ||||
Number of stock awards vested (in shares) | 50,107 | 42,675 | 44,209 | ||||
Deferred Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | $ 12,000 | $ 12,000 | |||||
Equity compensation cost (less than for 2014) | $ | $ 9,000 | $ 7,000 | $ 6,000 | ||||
Unvested outstanding stock awards (in units) | 908,963 | 1,043,606 | 880,962 | 908,963 | 1,043,606 | 880,962 | |
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 14.96 | $ 17.22 | $ 17.20 | $ 14.96 | $ 17.22 | $ 17.20 | |
Share-based compensation expense including restructuring | $ | $ 3,000 | ||||||
Number of executives departing | executive | 2 | ||||||
Number of stock awards vested (in units) | 939,899 | 1,363,548 | 1,287,862 | 939,899 | 1,363,548 | 1,287,862 | |
Number of stock awards granted (in shares) | 565,061 | 583,958 | 350,769 | ||||
Number of stock awards forfeited (in shares) | 62,894 | 10,167 | 7,870 | ||||
Performance Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Unrecognized compensation cost | $ | $ 5,000 | $ 5,000 | |||||
Equity compensation cost (less than for 2014) | $ | $ 3,000 | $ 3,000 | $ 3,000 | ||||
Unvested outstanding stock awards (in units) | 642,879 | 849,021 | 642,879 | 849,021 | |||
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 13.24 | $ 9.46 | $ 14.99 | $ 13.24 | $ 9.46 | $ 14.99 | |
Share-based compensation expense including restructuring | $ | $ 600 | ||||||
Number of executives departing | executive | 2 | ||||||
Number of stock awards granted (in shares) | 194,484 | 356,762 | 268,510 | ||||
Number of stock awards forfeited (in shares) | 208,330 | 0 | 0 | ||||
Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Number of measurement periods | measurement_period | 4 | ||||||
TSR performance period (in years) | 2 years | ||||||
Number of vesting tranches | tranche | 4 | ||||||
Grant date fair value assumptions, average closing stock price of common stock, measurement period (in days) | 60 days | ||||||
Grant date fair value assumptions, volatility rate | 29.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.57% | ||||||
Grant date fair value assumptions, dividend rate, risk-free rate, treasury rate measurement period (in years) | 3 years | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Grant date fair value assumptions, average closing stock price of common stock, measurement period (in days) | 40 days | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2015 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Grant date fair value assumptions, volatility rate | 26.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.35% | ||||||
Grant date fair value assumptions, dividend rate, risk-free rate, treasury rate measurement period (in years) | 3 years | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Grant date fair value assumptions, volatility rate | 24.00% | ||||||
Grant date fair value assumptions, risk-free rate | 1.06% | ||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2013 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 0 | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2012 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 57,049 | ||||||
Performance Stock Units | Performance Share Units (PSUs), 2011 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
TSR performance period (in years) | 3 years | ||||||
Number of stock awards vested (in shares) | 701,440 | ||||||
Maximum | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Share-based compensation, vesting period (in years) | 4 years | ||||||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 450,000 | 450,000 | |||||
Maximum | Deferred Stock Units | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 200.00% | ||||||
Award vesting rights, total share return, percentage | 72.00% | ||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 200.00% | ||||||
Award vesting rights, total share return, percentage | 125.00% | ||||||
Minimum | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 0.00% | ||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2015 And 2014 | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Equity awards, vesting percentage | 0.00% |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 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 | 11,870 | |
Equity grant forfeitures | (4,756) | |
Equity compensation expense | (12,576) | |
Unrecognized Compensation Cost at End of Period | 18,146 | |
Restricted Stock | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Unrecognized Compensation Cost at End of Period | 2,000 | |
Deferred Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation expense | (3,000) | |
Unrecognized Compensation Cost at End of Period | 12,000 | |
Performance Stock Units | ||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | ||
Equity compensation expense | (600) | |
Unrecognized Compensation Cost at End of Period | 5,000 | |
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 | 1,754 | |
Equity grant forfeitures | (1,380) | |
Equity compensation expense | (676) | |
Unrecognized Compensation Cost at End of Period | 2,091 | |
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 | 7,416 | |
Equity grant forfeitures | (1,167) | |
Equity compensation expense | (9,135) | |
Unrecognized Compensation Cost at End of Period | 11,506 | |
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 | 2,576 | |
Equity grant forfeitures | (2,209) | |
Equity compensation expense | (2,641) | |
Unrecognized Compensation Cost at End of Period | 4,549 | |
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 | (124) | |
Unrecognized Compensation Cost at End of Period | $ 0 |
Equity Compensation Plans - Res
Equity Compensation Plans - Restricted Stock Outstanding (Details) - Restricted Stock - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Shares | |||
Outstanding at beginning of period (in shares) | 187,180 | 109,464 | 166,941 |
Granted (in shares) | 144,056 | 141,069 | 2,574 |
Vested (in shares) | (50,107) | (42,675) | (44,209) |
Forfeited (in shares) | (76,614) | (20,678) | (15,842) |
Balance at End of Period (in shares) | 204,515 | 187,180 | 109,464 |
Weighted Average Grant Date Fair Market Value | |||
Outstanding at beginning of period (in dollars per share) | $ 18.22 | $ 15.97 | $ 15.01 |
Granted (in dollars per share) | 11.89 | 19.03 | 19.42 |
Vested (in dollars per share) | 17.28 | 14.87 | 13.44 |
Forfeited (in dollars per share) | 18.01 | 18.74 | 13.45 |
Balance at End of Period (in dollars per share) | $ 14.27 | $ 18.22 | $ 15.97 |
Equity Compensation Plans - Def
Equity Compensation Plans - Deferred Stock Units Activity (Details) - Deferred Stock Units - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Units | |||
Outstanding at beginning of period (in shares) | 2,407,154 | 2,168,824 | 2,266,473 |
Granted (in shares) | 565,061 | 583,958 | 350,769 |
Distributions (in shares) | (1,060,459) | (335,461) | (440,548) |
Forfeited (in shares) | (62,894) | (10,167) | (7,870) |
Balance at End of Period (in shares) | 1,848,862 | 2,407,154 | 2,168,824 |
Weighted Average Grant Date Fair Market Value | |||
Outstanding at beginning of period (in dollars per share) | $ 16.45 | $ 16.20 | $ 15.41 |
Granted (in dollars per share) | 13.33 | 16.11 | 19.62 |
Vested (in dollars per share) | 14.64 | 14.20 | 14.82 |
Forfeited (in dollars per share) | 18.66 | 16.60 | 19.06 |
Balance at End of Period (in dollars per share) | $ 16.46 | $ 16.45 | $ 16.20 |
Equity Compensation Plans - Sum
Equity Compensation Plans - Summary of Activity Related to ESPP (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Employee Stock Purchase Plan (ESPP) Activity [Roll Forward] | |||
Balance at beginning of period | $ 18 | $ 3 | $ 3 |
Employee purchases | 290 | 475 | 494 |
Cost of common stock issued | (305) | (460) | (494) |
Balance at End of Period | $ 3 | $ 18 | $ 3 |
Equity Compensation Plans - 126
Equity Compensation Plans - Summary of Activity Related to Executive Deferred Compensation Plan (Details) - Executive Deferred Compensation Plan - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Deferred Compensation Cash-based Arrangements, Liability, Current and Noncurrent [Roll Forward] | |||
Balance at beginning of period | $ 2,095 | $ 2,049 | $ 1,882 |
New deferrals | 558 | 600 | 575 |
Accrued interest | 53 | 61 | 70 |
Withdrawals | (618) | (615) | (478) |
Balance at End of Period | $ 2,088 | $ 2,095 | $ 2,049 |
Mortgage Banking Activities,127
Mortgage Banking Activities, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage banking activities, net | $ 38,691 | $ 10,972 | $ 34,994 |
Investment Fair Value Changes, Net | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Changes in fair value of risk management derivatives | (9,112) | (9,677) | (7,792) |
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 |
Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Other income | 2,203 | 4,040 | 3,468 |
Mortgage banking activities, net | 40,753 | 8,268 | 21,554 |
Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Other income | 43 | 450 | 541 |
Mortgage banking activities, net | (2,062) | 2,704 | 13,440 |
Residential loans at fair value | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | 31,399 | 53,946 | 65,202 |
Sequoia Entities | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | 1,455 | (15,261) | (23,839) |
Risk management derivatives, net | Investment Fair Value Changes, Net | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | (9,112) | (9,677) | (7,792) |
Risk management derivatives, net | Residential Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | 5,696 | (34,457) | (23,277) |
Risk management derivatives, net | Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | (2,538) | (8,011) | (7,890) |
Commercial loans, at fair value | Commercial Mortgage Banking Activities | |||
Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | $ 433 | $ 10,265 | $ 20,789 |
Investment Fair Value Change128
Investment Fair Value Changes, Net - Components of Investment Activities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Investment Holdings [Line Items] | |||
Investment Fair Value Changes, Net | $ (28,574) | $ (21,357) | $ (10,202) |
Investment Fair Value Changes, Net | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (28,574) | (21,357) | (10,202) |
Changes in fair value of risk management derivatives | (9,112) | (9,677) | (7,792) |
Investment Fair Value Changes, Net | (28,574) | (21,357) | (10,202) |
Investment Fair Value Changes, Net | Residential loans held-for-investment, at Redwood | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (23,102) | (6,337) | (697) |
Investment Fair Value Changes, Net | Trading securities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | 9,666 | (2,019) | (358) |
Investment Fair Value Changes, Net | Net investments in consolidated Sequoia entities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (4,200) | (1,192) | (894) |
Investment Fair Value Changes, Net | Risk sharing investments | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (1,151) | (1,886) | 104 |
Investment Fair Value Changes, Net | Commercial loans | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | (307) | 0 | 0 |
Investment Fair Value Changes, Net | Impairments on AFS securities | |||
Investment Holdings [Line Items] | |||
Changes in fair value of assets | $ (368) | $ (246) | $ (565) |
Operating Expenses - Components
Operating Expenses - Components of Operating Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Other Income and Expenses [Abstract] | |||||||||||
Fixed compensation expense | $ 24,332 | $ 35,093 | $ 29,057 | ||||||||
Variable compensation expense | 16,581 | 12,606 | 14,863 | ||||||||
Equity compensation expense | 9,093 | 11,921 | 9,750 | ||||||||
Total compensation expense | 50,006 | 59,620 | 53,670 | ||||||||
Systems and consulting | 9,037 | 10,212 | 11,654 | ||||||||
Loan acquisition costs | 5,744 | 10,326 | 8,207 | ||||||||
Office costs | 4,550 | 5,270 | 5,011 | ||||||||
Accounting and legal | 3,658 | 4,837 | 5,244 | ||||||||
Corporate costs | 2,106 | 2,049 | 2,237 | ||||||||
Other operating expenses | 3,284 | 5,102 | 4,100 | ||||||||
Operating expenses before restructuring charges | 78,385 | 97,416 | 90,123 | ||||||||
Costs incurred and expensed | $ 10,401 | 10,401 | 0 | 0 | |||||||
Total Operating Expenses | $ 17,824 | $ 20,355 | $ 20,155 | 30,452 | $ 22,638 | $ 24,497 | $ 25,218 | $ 25,063 | 88,786 | 97,416 | 90,123 |
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 10,401 | 10,401 | $ 0 | $ 0 | |||||||
Fixed Compensation Expense | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 5,000 | ||||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 5,000 | ||||||||||
Equity Compensation Expense | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 3,000 | ||||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | 3,000 | ||||||||||
Contract Termination Costs | |||||||||||
Other Income and Expenses [Abstract] | |||||||||||
Costs incurred and expensed | 2,000 | 1,655 | |||||||||
Restructuring Cost and Reserve [Line Items] | |||||||||||
Costs incurred and expensed | $ 2,000 | $ 1,655 |
Taxes - Components of Net Defer
Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Deferred Tax Assets | ||
Net operating loss carryforward – state | $ 89,350 | $ 95,972 |
Net capital loss carryforward – state | 15,346 | 22,603 |
Net operating loss carryforward – federal | 9,537 | 32,929 |
Net capital loss carryforward – federal | 2,283 | 7,971 |
Real estate assets | 5,601 | 5,144 |
Interest rate agreements | 0 | 1,472 |
Allowances and accruals | 3,059 | 3,458 |
Other | 2,192 | 513 |
Total Deferred Tax Assets | 127,368 | 170,062 |
Deferred Tax Liabilities | ||
Mortgage Servicing Rights | (22,531) | (50,630) |
Interest rate agreements | (2,167) | 0 |
Tax effect of unrealized gains – OCI | (1,636) | (2,638) |
Total Deferred Tax Liabilities | (26,334) | (53,268) |
Valuation allowance | (101,932) | (116,794) |
Total Deferred Tax Asset (Liability), net of Valuation Allowance | $ (898) | $ 0 |
Taxes - Provision for (Benefit
Taxes - Provision for (Benefit from) Income Taxes (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Current Provision for Income Taxes | |||
Federal | $ 1,477 | $ 144 | $ 24 |
State | 331 | 167 | 17 |
Total Current Provision for Income Taxes | 1,808 | 311 | 41 |
Deferred Provision for Income Taxes | |||
Federal | 1,910 | (10,198) | 703 |
State | (10) | (459) | 0 |
Total Deferred Provision for (Benefit from) Income Taxes | 1,900 | (10,657) | 703 |
Total Provision for Income Taxes | $ 3,708 | $ (10,346) | $ 744 |
Taxes - Additional Information
Taxes - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Taxes [Line Items] | |||
(Provision for) benefit from income taxes | $ (3,708) | $ 10,346 | $ (744) |
Percentage prohibited transaction tax for not meeting the requirements of statutory relief | 100.00% | ||
Federal | |||
Income Taxes [Line Items] | |||
Estimated operating loss carry forwards | $ (59,000) | ||
NOL carry forwards | $ 28,000 | ||
NOL carry forwards, expiring year | 2,029 | 2,035 | |
State and Local Jurisdiction | |||
Income Taxes [Line Items] | |||
NOL carry forwards | $ 1,250,000 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Abstract] | |||
Federal statutory rate | 34.00% | 34.00% | 34.00% |
State statutory rate, net of Federal tax effect | 7.20% | 7.20% | 7.20% |
Differences in taxable (loss) income from GAAP income | (1.00%) | (20.30%) | (14.50%) |
Change in valuation allowance | (11.20%) | 6.10% | (0.10%) |
Dividends paid deduction | (26.30%) | (38.30%) | (25.90%) |
Effective Tax Rate | 2.70% | (11.30%) | 0.70% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 12 Months Ended |
Dec. 31, 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 | 12 Months Ended | ||||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Segment Reporting Information [Line Items] | ||||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 | |
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) | |
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 | |
Reversal of provision for loan losses | 0 | 859 | 6,532 | (289) | 7,102 | 355 | (961) | |||||
Non-interest income | ||||||||||||
Mortgage banking activities, net | 38,691 | 10,972 | 34,994 | |||||||||
MSR income (loss), net | 14,353 | (3,922) | (4,261) | |||||||||
Investment fair value changes, net | (28,574) | (21,357) | (10,202) | |||||||||
Other income | 6,338 | 3,192 | 1,781 | |||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | |||||||||
Total non-interest income, net | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 | |
Direct operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) | |
(Provision for) benefit from income taxes | (3,708) | 10,346 | (744) | |||||||||
Net Income | 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | 131,252 | 102,088 | 100,569 | |
Supplemental Disclosures | ||||||||||||
Non-cash amortization income (expense) | 25,704 | 32,403 | 33,698 | |||||||||
Hedging allocations | 0 | |||||||||||
Real estate securities | [1] | 1,018,439 | 1,233,256 | 1,018,439 | 1,233,256 | |||||||
MSR Fair Value | [1] | 118,526 | 191,976 | 118,526 | 191,976 | |||||||
Total assets | [1] | 5,483,477 | 6,220,047 | 5,483,477 | 6,220,047 | |||||||
Residential Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 3,888,051 | 3,928,803 | 3,888,051 | 3,928,803 | ||||||||
Commercial Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 2,700 | 402,647 | 2,700 | 402,647 | ||||||||
Operating Segments | Residential Mortgage Banking | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Interest income | 33,661 | 52,260 | 58,272 | |||||||||
Interest expense | (14,191) | (17,207) | (12,776) | |||||||||
Net Interest Income | 19,470 | 35,053 | 45,496 | |||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | |||||||||
Non-interest income | ||||||||||||
Mortgage banking activities, net | 40,753 | 8,268 | 21,554 | |||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||
Investment fair value changes, net | 0 | 0 | 0 | |||||||||
Other income | 0 | 0 | 0 | |||||||||
Realized gains, net | 0 | 0 | 0 | |||||||||
Total non-interest income, net | 40,753 | 8,268 | 21,554 | |||||||||
Direct operating expenses | (23,252) | (43,182) | (37,664) | |||||||||
(Provision for) benefit from income taxes | (1,860) | 4,169 | (1,774) | |||||||||
Net Income | 35,111 | 4,308 | 27,612 | |||||||||
Supplemental Disclosures | ||||||||||||
Non-cash amortization income (expense) | (130) | (186) | (181) | |||||||||
Hedging allocations | 1,120 | |||||||||||
Real estate securities | 0 | 197,007 | 0 | 197,007 | ||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||
Total assets | 866,356 | 1,347,492 | 866,356 | 1,347,492 | ||||||||
Operating Segments | Residential Mortgage Banking | Residential Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 835,399 | 1,115,738 | 835,399 | 1,115,738 | ||||||||
Operating Segments | Residential Mortgage Banking | Commercial Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||
Operating Segments | Residential Investments | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Interest income | 160,174 | 135,395 | 110,433 | |||||||||
Interest expense | (18,394) | (11,204) | (11,848) | |||||||||
Net Interest Income | 141,780 | 124,191 | 98,585 | |||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | |||||||||
Non-interest income | ||||||||||||
Mortgage banking activities, net | 0 | 0 | 0 | |||||||||
MSR income (loss), net | 14,353 | (3,922) | (4,261) | |||||||||
Investment fair value changes, net | (26,945) | (20,089) | (9,178) | |||||||||
Other income | 6,070 | 3,192 | 181 | |||||||||
Realized gains, net | 22,516 | 36,369 | 13,777 | |||||||||
Total non-interest income, net | 15,994 | 15,550 | 519 | |||||||||
Direct operating expenses | (9,042) | (4,346) | (3,681) | |||||||||
(Provision for) benefit from income taxes | (1,848) | 847 | 1,340 | |||||||||
Net Income | 146,884 | 136,242 | 96,763 | |||||||||
Supplemental Disclosures | ||||||||||||
Non-cash amortization income (expense) | 29,830 | 36,850 | 42,784 | |||||||||
Hedging allocations | (1,070) | |||||||||||
Real estate securities | 926,669 | 1,028,171 | 926,669 | 1,028,171 | ||||||||
MSR Fair Value | 118,526 | 191,976 | 118,526 | 191,976 | ||||||||
Total assets | 3,518,518 | 3,140,604 | 3,518,518 | 3,140,604 | ||||||||
Operating Segments | Residential Investments | Residential Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 2,261,016 | 1,791,195 | 2,261,016 | 1,791,195 | ||||||||
Operating Segments | Residential Investments | Commercial Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||
Operating Segments | Commercial | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Interest income | 32,780 | 46,933 | 47,567 | |||||||||
Interest expense | (5,001) | (13,809) | (15,836) | |||||||||
Net Interest Income | 27,779 | 33,124 | 31,731 | |||||||||
Reversal of provision for loan losses | 7,102 | 355 | (84) | |||||||||
Non-interest income | ||||||||||||
Mortgage banking activities, net | (2,062) | 2,704 | 13,440 | |||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||
Investment fair value changes, net | 2,578 | 0 | 0 | |||||||||
Other income | 268 | 0 | 0 | |||||||||
Realized gains, net | 5,201 | 0 | 0 | |||||||||
Total non-interest income, net | 5,985 | 2,704 | 13,440 | |||||||||
Direct operating expenses | (2,731) | (11,331) | (11,324) | |||||||||
(Provision for) benefit from income taxes | 0 | 1,452 | (234) | |||||||||
Net Income | 38,135 | 26,304 | 33,529 | |||||||||
Supplemental Disclosures | ||||||||||||
Non-cash amortization income (expense) | (24) | (267) | (673) | |||||||||
Hedging allocations | 0 | |||||||||||
Real estate securities | 91,770 | 8,078 | 91,770 | 8,078 | ||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||
Total assets | 97,017 | 415,716 | 97,017 | 415,716 | ||||||||
Operating Segments | Commercial | Residential Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 0 | 0 | 0 | 0 | ||||||||
Operating Segments | Commercial | Commercial Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 2,700 | 402,647 | 2,700 | 402,647 | ||||||||
Corporate/ Other | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Interest income | 19,740 | 24,844 | 25,798 | |||||||||
Interest expense | (50,942) | (53,663) | (47,003) | |||||||||
Net Interest Income | (31,202) | (28,819) | (21,205) | |||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | |||||||||
Non-interest income | ||||||||||||
Mortgage banking activities, net | 0 | 0 | 0 | |||||||||
MSR income (loss), net | 0 | 0 | 0 | |||||||||
Investment fair value changes, net | (4,207) | (1,268) | (1,024) | |||||||||
Other income | 0 | 0 | 1,600 | |||||||||
Realized gains, net | 292 | 0 | 1,701 | |||||||||
Total non-interest income, net | (3,915) | (1,268) | 2,277 | |||||||||
Direct operating expenses | (53,761) | (38,557) | (37,454) | |||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | |||||||||
Net Income | (88,878) | (64,766) | (57,335) | |||||||||
Supplemental Disclosures | ||||||||||||
Non-cash amortization income (expense) | (3,972) | (3,994) | $ (8,232) | |||||||||
Hedging allocations | (50) | |||||||||||
Real estate securities | 0 | 0 | 0 | 0 | ||||||||
MSR Fair Value | 0 | 0 | 0 | 0 | ||||||||
Total assets | 1,001,586 | 1,316,235 | 1,001,586 | 1,316,235 | ||||||||
Corporate/ Other | Residential Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | 791,636 | 1,021,870 | 791,636 | 1,021,870 | ||||||||
Corporate/ Other | Commercial Loans | ||||||||||||
Supplemental Disclosures | ||||||||||||
Loan market valuation adjustment | $ 0 | $ 0 | $ 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 December 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $798,317 and $1,195,574, respectively. At December 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $773,980 and $1,050,861, respectively. See Note 4 for further discussion. |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Segment Reporting Information [Line Items] | |||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 |
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) |
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 |
Reversal of provision for loan losses | 0 | 859 | 6,532 | (289) | 7,102 | 355 | (961) | ||||
Investment fair value changes, net | (28,574) | (21,357) | (10,202) | ||||||||
Realized gains, net | 28,009 | 36,369 | 15,478 | ||||||||
Total non-interest income, net | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 |
Direct operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) |
(Provision for) benefit from income taxes | (3,708) | 10,346 | (744) | ||||||||
Net Income | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | 131,252 | 102,088 | 100,569 |
Corporate/ Other | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 19,740 | 24,844 | 25,798 | ||||||||
Interest expense | (50,942) | (53,663) | (47,003) | ||||||||
Net Interest Income | (31,202) | (28,819) | (21,205) | ||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | ||||||||
Investment fair value changes, net | (4,207) | (1,268) | (1,024) | ||||||||
Other income | 0 | 0 | 1,600 | ||||||||
Realized gains, net | 292 | 0 | 1,701 | ||||||||
Total non-interest income, net | (3,915) | (1,268) | 2,277 | ||||||||
Direct operating expenses | (53,761) | (38,557) | (37,454) | ||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | ||||||||
Net Income | (88,878) | (64,766) | (57,335) | ||||||||
Corporate/ Other | Legacy Consolidated VIEs | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 19,537 | 24,814 | 25,786 | ||||||||
Interest expense | (13,103) | (15,646) | (20,844) | ||||||||
Net Interest Income | 6,434 | 9,168 | 4,942 | ||||||||
Reversal of provision for loan losses | 0 | 0 | (877) | ||||||||
Investment fair value changes, net | (4,200) | (1,192) | (894) | ||||||||
Other income | 0 | 0 | 0 | ||||||||
Realized gains, net | 0 | 0 | 1,701 | ||||||||
Total non-interest income, net | (4,200) | (1,192) | 807 | ||||||||
Direct operating expenses | 0 | 0 | (165) | ||||||||
(Provision for) benefit from income taxes | 0 | 0 | 0 | ||||||||
Net Income | 2,234 | 7,976 | 4,707 | ||||||||
Corporate/ Other | Other | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Interest income | 203 | 30 | 12 | ||||||||
Interest expense | (37,839) | (38,017) | (26,159) | ||||||||
Net Interest Income | (37,636) | (37,987) | (26,147) | ||||||||
Reversal of provision for loan losses | 0 | 0 | 0 | ||||||||
Investment fair value changes, net | (7) | (76) | (130) | ||||||||
Other income | 0 | 0 | 1,600 | ||||||||
Realized gains, net | 292 | 0 | 0 | ||||||||
Total non-interest income, net | 285 | (76) | 1,470 | ||||||||
Direct operating expenses | (53,761) | (38,557) | (37,289) | ||||||||
(Provision for) benefit from income taxes | 0 | 3,878 | (76) | ||||||||
Net Income | $ (91,112) | $ (72,742) | $ (62,042) |
Quarterly Financial Data - U137
Quarterly Financial Data - Unaudited (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Operating results: | |||||||||||
Interest income | $ 56,334 | $ 60,906 | $ 66,787 | $ 62,328 | $ 68,829 | $ 63,484 | $ 63,373 | $ 63,746 | $ 246,355 | $ 259,432 | $ 242,070 |
Interest expense | (20,537) | (21,597) | (22,444) | (23,950) | (25,039) | (23,875) | (23,008) | (23,961) | (88,528) | (95,883) | (87,463) |
Net Interest Income | 35,797 | 39,309 | 44,343 | 38,378 | 43,790 | 39,609 | 40,365 | 39,785 | 157,827 | 163,549 | 154,607 |
Non-interest income | 9,763 | 33,712 | 10,888 | 4,454 | 19,593 | (3,412) | 14,104 | (5,031) | 58,817 | 25,254 | 37,790 |
Operating expenses | (17,824) | (20,355) | (20,155) | (30,452) | (22,638) | (24,497) | (25,218) | (25,063) | (88,786) | (97,416) | (90,123) |
Net Income | $ 25,355 | $ 52,553 | $ 41,281 | $ 12,063 | $ 41,059 | $ 19,164 | $ 27,064 | $ 14,801 | $ 131,252 | $ 102,088 | $ 100,569 |
Per share data: | |||||||||||
Basic earnings per common share (in dollars per share) | $ 0.32 | $ 0.67 | $ 0.52 | $ 0.15 | $ 0.49 | $ 0.22 | $ 0.31 | $ 0.17 | $ 1.66 | $ 1.20 | $ 1.18 |
Diluted earnings per common share (in dollars per share) | 0.31 | 0.58 | 0.48 | 0.15 | 0.46 | 0.22 | 0.31 | 0.16 | 1.54 | 1.18 | 1.15 |
Regular dividends declared per common share (in dollars per share) | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 0.28 | $ 1.12 | $ 1.12 | $ 1.12 |
Yield maintenance fees received | $ 1,000 | $ 1,000 | $ 5,000 | $ 2,000 | $ 2,000 | $ 2,000 | |||||
Reversal of provision for loan losses | 0 | 859 | $ 6,532 | $ (289) | 7,102 | $ 355 | $ (961) | ||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||||||
Costs incurred and expensed | $ 10,401 | 10,401 | $ 0 | $ 0 | |||||||
Commercial Loans At Lower Of Cost Or Market | |||||||||||
Per share data: | |||||||||||
Yield maintenance fees received | $ 16,000 | ||||||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||||||
Realized gains, net | $ 1,000 | $ 5,000 |