Redwood Trust (RWT) 8-K Results of Operations and Financial Condition

Exhibit 99.1

SUPPLEMENTAL FINANCIAL INFORMATION

QUARTER ENDED DECEMBER 31, 2004

This supplemental information package is designed to provide investors with information regarding Redwood Trust that is more detailed than can be found in our quarterly press release or SEC disclosures. If you have suggestions about how we could improve this supplemental financial information package, please call Nicole Klock at 415-380-2321 or email her at nicole.klock@redwoodtrust.com.

NON-GAAP MEASURES

A number of non-GAAP measures are presented in this supplemental information package, including Core Earnings, Core Equity, Core Return on Core Equity, and others. Non-GAAP measures are reconciled to our reported GAAP financials. Information is also provided on taxable income, which is our income as calculated for tax purposes.

GAAP attempts to present economic activity using a common format with a common set of rules for all companies. For this reason, GAAP is an important tool for investors. Each company, however, is different, and there are other measures of economic activity – ones that are more tailored to the individual circumstances of each business – that can also be useful for investors. In this supplement, we try to present a wide variety of information that might be useful to investors.

CORE EARNINGS

Core earnings is defined by Redwood management. We attempt to strip some of the elements out of GAAP that are temporary, one-time, or non-economic in nature or that relate to the past rather than the future, so that the underlying on-going “core” trend of earnings is more clear, at least in certain respects.

To calculate core earnings, we first attempt to adjust for events that are not likely to be repeated. For example, in accordance with GAAP, in the second quarter of 2004 we reported GAAP income of $5.2 million as a one-time recognition of the remaining tax NOLs we expect to benefit from in the future. This GAAP income item will not be repeated, so we excluded it from our core income calculation.

We also exclude realized gains (and losses) from asset sales and calls. We sell assets from time to time as part of our on-going portfolio management activities. These occasional sales can produce material gains and losses that could obscure the underlying trend of our long-term portfolio earnings, so we exclude them from core earnings. Similarly, we exclude gains from calls of residential credit-enhancement securities, as these are essentially sales of assets that produce a highly variable stream of income that may obscure some underlying income generation trends.

GAAP earnings includes mark-to-market income and expenses for certain of our assets and interest rate agreements. These are unrealized market value fluctuations – we exclude them from core earnings. Similarly, we have issued certain stock options that are “variable” and thus are marked-to-market for GAAP. When our stock price goes up, it is a GAAP expense. When our stock price goes down, GAAP income is created. We exclude all this from core earnings.

CORE EQUITY

GAAP equity includes mark-to-market adjustments for certain of our assets and interest rate agreements. This can be useful as a measure that approximates liquidation value (at least for those assets), but for other purposes GAAP equity is less useful, we believe. For instance, return on equity calculated using GAAP equity does not make much sense to us. When our assets that are marked-to-market through our balance sheet equity account appreciate (which is a good thing), our GAAP return on equity goes down because our equity base is larger but these particular mark-to-market gains are not recognized in GAAP income.

Core equity is defined by Redwood management. It is GAAP equity with mark-to-market gains and losses (“accumulated other comprehensive income”) excluded. It is, we believe, a better measure of the amount of capital we have to run our business.

CORE RETURN ON CORE EQUITY

Core return on core equity, or core ROE, is core earnings divided by core equity. This is return on equity with mark-to-market gains and losses and one-time events stripped out.

ADJUSTED CORE EQUITY

We have minimum dividend distribution requirements as a REIT. We thus have future payment obligations, but these are not recognized in GAAP accounting until dividends are declared. Cash that we have earned but that we must pay out as dividends is not cash that will be available to us to acquire long-term assets and build our business. So when we try to answer questions such as “how much equity per share do we have available to build our business and to generate dividends in the long-term?” we use adjusted core equity per share. Adjusted core equity is core equity less undistributed REIT taxable income that is still undeclared but that will need to be paid out.

TAXABLE INCOME

Taxable income is the pre-tax income we earn calculated using calculation methods appropriate for tax purposes. Taxable income differs significantly from GAAP. REIT taxable income is that portion of our taxable income that is subject to REIT tax rules. We must distribute at least 90% of this income as dividends to shareholders over time. As a REIT we are not subject to corporate income taxes on the REIT taxable income we distribute. The remainder of our taxable income (the non-REIT taxable income) is income we earn in taxable subsidiaries. We pay income tax on this income and we generally retain the after-tax income at the subsidiary level.

REDWOOD EARNING ASSETS

Redwood’s real earning assets in an economic sense (real assets that are sitting in our custodial account) totaled approximately $1.1 billion at the end of the fourth quarter. Included in this amount are securities we have acquired from securitizations we have sponsored with a cost basis of approximately $180 million. All of the $24 billion of assets and asset-backed securities liabilities of the securitization entities we have sponsored are shown on our consolidated GAAP balance sheet, even though we do not own these assets and we are not responsible for the payment of these liabilities. For some analytical tasks (such as determining how much financial leverage Redwood carries on its balance sheet) we believe it makes more sense to consider the assets Redwood actually owns and the debt Redwood actually owes rather than including all GAAP assets and liabilities consolidated from securitization entities that are independent of Redwood.

REDWOOD DEBT

Redwood’s real economic debt — the money we have to pay back to a lender — was $203 million at the end of the fourth quarter of 2004. Our GAAP balance sheet shows liabilities of $24 billion because all of the assets and liabilities of the independent securitization entities we have sponsored are consolidated.

LEVERAGE RATIOS

Because of the consolidation of independent securitization entities, it appears from our GAAP financial statements that Redwood is highly leveraged, with liabilities greater than twenty-seven times equity. In fact, Redwood has $203 million of true debt and $864 million of GAAP equity supporting $0.9 billion of earning assets and $1.1 billion of total assets (as of December 31, 2004). We only use debt to finance on a temporary basis the accumulation of assets prior to sale to a securitization entity. Our permanent asset portfolio, the assets we have acquired or created to own on a long-term basis, is financed entirely with equity capital.

PROFITABILITY RATIOS

Many financial institution analysts use asset-based profitability ratios such as interest rate spread and interest rate margin in their work analyzing financial institutions. Because of our consolidation of securitization entities for GAAP, we believe equity-based profitability ratios are more appropriate for Redwood. Net interest income as a percentage of equity is a useful measure, we believe. For operating expenses, we believe a useful measure is the efficiency ratio, or operating expenses as a percentage of net interest income.

Table 1: GAAP Earnings (all $ in thousands, except per share data)
Table 1
GAAP Earnings
(all $ in thousands, except per share data)	Q4:2004			Q3:2004			Q2:2004			Q1:2004			Q4:2003			Q3:2003			Q2:2003			Q1:2003			2004			2003
Interest income (Redwood and consolidated trusts)		204,834			171,804			144,865			130,158			111,071			88,905			68,659			63,397			651,661			332,032
Discount amortization income		9,146			9,012			9,077			8,836			10,407			11,574			10,110			5,661			36,071			37,752
Premium amortization expense		(7,105	)		802			(14,463	)		(11,646	)		(9,948	)		(8,858	)		(5,180	)		(6,177	)		(32,412	)		(30,163	)
Provision for credit losses		(1,697	)		(1,528	)		(1,500	)		(2,511	)		(3,268	)		(1,458	)		(2,163	)		(1,756	)		(7,236	)		(8,645	)
Total GAAP Interest Income		205,178			180,090			137,979			124,837			108,262			90,163			71,426			61,125			648,084			330,976
Interest expense on Redwood Trust’s debt		(2,560	)		(2,312	)		(2,490	)		(2,571	)		(1,788	)		(1,671	)		(1,639	)		(1,940	)		(9,933	)		(7,038	)
ABS expenses consolidated from trusts		(143,078	)		(108,237	)		(78,809	)		(69,069	)		(67,552	)		(46,479	)		(36,769	)		(32,414	)		(399,193	)		(183,214	)
ABS issuance expense amortization		(4,783	)		(4,197	)		(4,305	)		(3,543	)		(4,333	)		(4,991	)		(1,702	)		(1,779	)		(16,828	)		(12,805	)
ABS interest agreement expense		606			(2,888	)		(5,988	)		(4,965	)		(2,358	)		(2,855	)		(1,873	)		(1,089	)		(13,235	)		(8,175	)
ABS issuance premium amortization income		2,644			2,823			1,233			571			7,437			464			181			289			7,271			8,371
Total consolidated ABS expense		(144,611	)		(112,499	)		(87,869	)		(77,006	)		(66,806	)		(53,861	)		(40,163	)		(34,993	)		(421,985	)		(195,823	)
GAAP net interest income		58,007			65,279			47,620			45,260			39,668			34,631			29,624			24,192			216,166			128,115
Fixed compensation expense		(2,009	)		(1,959	)		(1,842	)		(2,230	)		(1,641	)		(1,515	)		(1,394	)		(1,398	)		(8,040	)		(5,948	)
Variable compensation expense		(2,908	)		(3,443	)		(4,722	)		(4,022	)		(3,575	)		(4,643	)		(4,658	)		(3,810	)		(15,095	)		(16,686	)
Fair value of stock options granted		(299	)		(133	)		(547	)		(310	)		(388	)		—			—			—			(1,289	)		(388	)
Other operating expense		(2,565	)		(2,512	)		(1,781	)		(1,735	)		(2,076	)		(2,427	)		(1,251	)		(1,264	)		(8,593	)		(7,018	)
Operating expenses		(7,781	)		(8,047	)		(8,892	)		(8,297	)		(7,680	)		(8,585	)		(7,303	)		(6,472	)		(33,017	)		(30,040	)
Excise taxes		165			(301	)		(190	)		(300	)		(341	)		—			—			(862	)		(626	)		(1,203	)
Variable stock option market value change		3			(213	)		621			(1,429	)		(2,701	)		(513	)		(1,490	)		(948	)		(1,018	)		(5,652	)
Total GAAP operating expenses		(7,613	)		(8,561	)		(8,461	)		(10,026	)		(10,722	)		(9,098	)		(8,793	)		(8,282	)		(34,661	)		(36,895	)
Realized gains on calls of residential CES		11,205			20,472			15,246			11,816			47,562			3,800			4,345			853			58,739			56,560
Realized gains on asset sales		—			489			971			6,180			46			130			(27	)		721			7,640			870
Loss on repurchase of ABS issued		—			—			—			—			(2,160	)		—			—			—			—			(2,160	)
Valuation write-downs for EITF 99-20		(1,573	)		(422	)		(3,846	)		(558	)		(2,818	)		(3,261	)		(915	)		(652	)		(6,399	)		(7,646	)
Interest rate agreements valuation adjustments		(411	)		47			(113	)		(1	)		19			(1	)		(462	)		(4	)		(478	)		(448	)
Valuation adjustments on real estate loans		(375	)		—			—			—			(500	)		—			—			—			(375	)		(500	)
Net gains and valuation adjustments		8,846			20,586			12,258			17,437			42,149			668			2,941			918			59,127			46,676
Dividends on and earnings allocated to preferred stock		—			—			—			—			—			—			—			(813	)		—			(696	)
Deferred tax benefit (one time Q2:2004)		—			—			5,180			—			—			—			—			—			5,180			—
Provision for income taxes		(4,826	)		(4,962	)		(1,509	)		(1,880	)		(1,162	)		(1,565	)		(1,560	)		(1,215	)		(13,177	)		(5,502	)
GAAP Net Income(1)		54,414			72,342			55,088			50,791			69,933			24,636			22,212			14,800			232,635			131,698
Diluted shares for GAAP (000)		24,491			22,728			21,325			20,399			19,801			19,018			18,433			17,886			22,229			18,812
GAAP earnings per share	$	2.22		$	3.18		$	2.58		$	2.49		$	3.53		$	1.30		$	1.21		$	0.87		$	10.47		$	7.04

(1) The first quarter 2003 and the total 2003 GAAP earnings are lower than previously reported due to the adoption of EITF 03-6 (Participating Securities and the Two-Class Method under FASB Statement No. 128), which allocates undistributed earnings between the common and preferred stock based upon their respective contractual rights to share in such earnings as if the earnings were distributed. EITF 03-6 had the effect of lowering GAAP earnings by $15,000 for 2003. EITF 03-6 also lowered GAAP earnings per share (diluted) by $0.05 per share.

Table 2: Core Earnings (all $ in thousands, except per share data)
Table 2
Core Earnings
(all $ in thousands, except per share data)	Q4:2004			Q3:2004			Q2:2004			Q1:2004			Q4:2003			Q3:2003			Q2:2003			Q1:2003			2004			2003
GAAP income items not included in CORE
Variable stock option market value change		3			(213	)		621			(1,429	)		(2,701	)		(513	)		(1,490	)		(948	)		(1,018	)		(5,652	)
Realized gains on calls of residential CES		11,205			20,472			15,246			11,816			47,562			3,800			4,345			853			58,739			56,560
Realized gains on asset sales		—			489			971			6,180			46			130			(24	)		722			7,640			870
Loss on repurchase of ABS issued		—			—			—			—			(2,160	)		—			—			—			—			(2,160	)
Valuation write-downs for EITF 99-20		(1,573	)		(422	)		(3,846	)		(558	)		(2,818	)		(3,261	)		(915	)		(652	)		(6,399	)		(7,646	)
Interest rate agreements valuation adjustments		(411	)		47			(113	)		(1	)		19			(1	)		(462	)		(4	)		(478	)		(448	)
Commercial real estate valuation adjustments		(375	)		—			—			—			(500	)		—			(3	)		(1	)		(375	)		(500	)
Net gains and valuation adjustments		8,846			20,586			12,258			17,437			42,149			668			2,941			918			59,127			46,676
Deferred tax benefit (one time Q2:2004)		—			—			5,180			—			—			—			—			—			5,180			—
Total GAAP / CORE differences		8,849			20,373			18,059			16,008			39,448			155			1,451			(30	)		63,289			41,024
Core earnings		45,565			51,969			37,029			34,783			30,485			24,481			20,761			14,830			169,346			90,557
GAAP / CORE differences		8,849			20,373			18,059			16,008			39,448			155			1,451			(30	)		63,289			41,024
GAAP Net Income		54,414			72,342			55,088			50,791			69,933			24,636			22,212			14,800			232,635			131,581
Per Share Analysis
Variable stock option market value change	$	0.00		($	0.01	)	$	0.03		($	0.07	)	($	0.14	)	($	0.03	)	($	0.08	)	($	0.05	)	($	0.05	)	($	0.30	)
Realized gains on calls of residential CES		0.46			0.90			0.71			0.58			2.40			0.20			0.24			0.05			2.64			3.01
Realized gains on asset sales		0.00			0.02			0.05			0.30			0.00			0.01			(0.00	)		0.04			0.34			0.05
Loss on repurchase of ABS issued		0.00			0.00			0.00			0.00			(0.11	)		0.00			0.00			0.00			0.00			(0.11	)
Valuation write-downs for EITF 99-20		(0.06	)		(0.02	)		(0.18	)		(0.03	)		(0.14	)		(0.17	)		(0.05	)		(0.04	)		(0.29	)		(0.41	)
Interest rate agreements valuation adjustments		(0.02	)		0.00			(0.01	)		(0.00	)		0.00			(0.00	)		(0.03	)		(0.00	)		(0.02	)		(0.02	)
Commercial real estate valuation adjustements		(0.02	)		0.00			(0.01	)		0.00			(0.02	)		0.00			(0.00	)		(0.00	)		(0.02	)		(0.03	)
Deferred tax benefit (one time Q2:2004)		0.00			0.00			0.24			0.00			0.00			0.00			0.00			0.00			0.24			0.00
GAAP / CORE differences per share	$	0.36		$	0.89		$	0.84		$	0.78		$	1.99		$	0.01		$	0.08		($	0.00	)	$	2.85		$	2.18
CORE earnings per share	$	1.86		$	2.29		$	1.74		$	1.71		$	1.54		$	1.29		$	1.13		$	0.87		$	7.62		$	4.88
GAAP / CORE differences per share		0.36			0.89			0.84			0.78			1.99			0.01			0.08			(0.00	)		2.85			2.16
GAAP earnings per share	$	2.22		$	3.18		$	2.58		$	2.49		$	3.53		$	1.30		$	1.21		$	0.87		$	10.47		$	7.04
Diluted shares outstanding (000)		24,491			22,728			21,325			20,399			19,801			19,018			18,433			17,886			22,229			18,812

Table 3: GAAP / TAX Differences (all $ in thousands, except per share data)
Table 3
GAAP/TAX Differences
(all $ in thousands, except per share data)
	Estimated			Estimated			Estimated			Estimated			Estimated			Actual
	Q4:2004			Q3:2004			Q2:2004			Q1:2004			2004			2003
GAAP net income	$	54,414		$	72,342		$	55,088		$	50,791		$	232,635		$	131,698
Interest income and expense differences		(6,209	)		(23,527	)		5,208			(1,150	)		(25,678	)		22,324
Provision for credit losses — GAAP		1,697			1,528			1,500			2,511			7,236			8,646
Tax deductions for realized credit losses		(247	)		(127	)		(506	)		(4	)		(884	)		(825	)
Long-term compensation differences		(2,506	)		402			2,428			2,904			3,228			7,522
Stock option exercise deduction differences		(3,094	)		(745	)		(109	)		(12,073	)		(16,021	)		(2,483	)
Depreciation of fixed asset differences		(169	)		(589	)		46			(6	)		(718	)		(686	)
Other operating expense differences		(2,165	)		(34	)		5			(16	)		(2,210	)		885
Sale of assets to third parties differences		1,859			(576	)		(536	)		(566	)		181			(69	)
Call income of residential CES differences		(2,873	)		(3,961	)		(2,157	)		(1,899	)		(10,890	)		(8,402	)
Tax gain on securitizations		10,139			11,153			10,303			—			31,595			—
Tax gain on intercompany sales and transfers		3,074			28			(71	)		7,546			10,577			2,823
GAAP market valuation write downs (EITF 99-20)		1,572			422			3,846			558			6,398			7,646
Interest rate agreements differences		(723	)		(278	)		502			50			(449	)		(229	)
Provision for excise tax — GAAP		(165	)		301			190			300			626			1,203
Provision for income tax differences		4,827			2,834			(3,672	)		1,881			5,870			5,502
Preferred dividend — GAAP		—			—			—			—			—			696
Total taxable income (pre-tax)	$	59,431		$	59,173		$	72,065		$	50,827		$	241,496		$	176,251
Earnings from taxable subsidiaries		(9,045	)		(10,143	)		(11,721	)		(8,337	)		(39,246	)		(7,861	)
REIT taxable income (pre-tax)	$	50,386		$	49,030		$	60,344		$	42,490			202,250		$	168,390
Common shares outstanding at period end (000)		24,154			23,346			21,511			19,796			24,154			19,063
Total taxable income per share	$	2.46		$	2.53		$	3.35		$	2.57		$	10.91		$	9.64
REIT taxable income per share		2.09			2.10			2.81			2.15			9.15			9.21

Table 4: Taxable Income Estimates (all $ in thousands, except per share data)

Table 4
Taxable Income Estimates
(all $ in thousands, except per share data)
	Estimated			Estimated			Estimated			Estimated			Estimated			Actual
	Q4:2004			Q3:2004			Q2:2004			Q1:2004			2004			2003
Taxable income in taxable subs (pre-tax)	$	9,045		$	10,143		$	11,721		$	8,337		$	39,246		$	7,861
REIT taxable income (pre-tax)		50,386			49,030			60,344			42,490			202,250			168,390
Total taxable income (pre-tax)	$	59,431		$	59,173		$	72,065		$	50,827		$	241,496		$	176,251
Income in taxable subs (pre-tax)	$	9,045		$	10,143		$	11,721		$	8,337		$	39,246		$	7,861
Income tax for taxable subs (actual tax due)		(3,571	)		(4,574	)		(1,600	)		(1,150	)		(10,895	)		(873	)
After-tax income in taxable subs	$	5,474		$	5,569		$	10,121		$	7,187		$	28,351		$	6,988
Ordinary REIT taxable income	$	40,015		$	33,527		$	46,931		$	27,635		$	148,108		$	123,045
Capital gain REIT taxable income		10,371			15,503			13,413			14,855			54,142			45,345
REIT taxable income (pre-tax)	$	50,386		$	49,030		$	60,344		$	42,490		$	202,250		$	168,390
REIT taxable income (pre-tax)	$	50,386		$	49,030		$	60,344		$	42,490		$	202,250		$	168,390
Excise taxes due to deferrals		165			(301	)		(190	)		(300	)		(626	)		(1,305	)
Income taxes due to earnings retention (actual tax due)		(2,722	)		(1,537	)		(2,151	)		(1,267	)		(7,677	)		(5,619	)
REIT taxable income (after-tax)	$	47,829		$	47,192		$	58,003		$	40,923		$	193,947		$	161,466
After-tax income in taxable subs	$	5,474		$	5,569		$	10,121		$	7,187		$	28,351		$	6,988
REIT taxable income (after-tax)		47,829			47,192			58,003			40,923			193,947			161,466
Total taxable income (after-tax)	$	53,303		$	52,761		$	68,124		$	48,110		$	222,298		$	168,454
Regular dividend per share	$	0.67		$	0.67		$	0.67		$	0.67		$	2.68		$	3.36
Special dividend per share		5.50			—			—			0.50			6.00			4.75
Total dividends per share		6.17			0.67			0.67			1.17			8.68			8.11
Shares at period end (000)		24,154			23,346			21,511			19,796			24,154			19,063
Dividends declared	$	146,707		$	15,642		$	14,412		$	23,162		$	199,923		$	137,436
Dividend deduction on stock issued through DRIP		1,048			844			712			655			3,259			1,161
Total dividend deductions	$	147,755		$	16,486		$	15,124		$	23,817		$	203,182		$	138,597
Taxable income (after-tax) retained in tax subs	$	5,474		$	5,569		$	10,121		$	7,187		$	28,351		$	6,988
Taxable income (after-tax) retained in REIT — (1)		1,445			1,515			2,352			1,197			6,509			5,381
Total retained taxable earnings (after-tax)	$	6,919		$	7,084		$	12,473		$	8,384		$	34,860		$	12,369
Per share outstanding at quarter end
REIT taxable income (pre-tax)	$	2.09		$	2.10		$	2.81		$	2.15		$	9.15		$	9.21
Total taxable income (pre-tax)		2.46			2.53			3.35			2.57			10.91			9.64
Total retained taxable earnings (after-tax)		0.29			0.30			0.58			0.42			1.59			0.65

The estimated taxable income amounts and the associated income tax provision numbers are based on taxable income for each of the four quarters of 2004. The twelve month tax provision amounts are consistent with the current provision per the twelve month GAAP financials.

(1) REIT retained taxable income equals 10% of ordinary REIT taxable income less income and excise taxes.

Table 5: Retention and Distribution of Taxable Income (all $ in thousands, except per share data)

Table 5
Retention and Distribution of Taxable Income
(all $ in thousands, except per share data)	Estimated			Estimated			Estimated			Estimated			Estimated			Actual
	12/31/2004			9/30/2004			6/30/2004			3/31/2004			2004			2003
Undistributed REIT taxable income (pre-tax): begin	$	138,981		$	109,790		$	69,263		$	53,354		$	53,354		$	35,865
REIT taxable income (pre-tax)		50,386			49,030			60,344			42,490			202,250			168,390
Permanently retained (pre-tax)		(4,002	)		(3,353	)		(4,693	)		(2,764	)		(14,811	)		(12,305	)
Dividend of 2002 income		—			—			—			—			—			(35,865	)
Dividend of 2003 income		—			(14,413	)		(15,124	)		(23,817	)		(53,354	)		(102,732	)
Dividend of 2004 income		(147,755	)		(2,073	)		—			—			(149,828	)		—
Undistributed REIT taxable income (pre-tax): end	$	37,611		$	138,981		$	109,790		$	69,263		$	37,611		$	53,354
Shares outstanding at period end		24,154			23,346			21,511			19,796			24,154			19,063
Undistributed REIT taxable income (pre-tax) per share outstanding	$	1.56		$	5.95		$	5.10		$	3.50		$	1.56		$	2.80
Undistributed REIT taxable income (pre-tax)
From 2002’s income	$	0		$	0		$	0		$	0		$	0		$	0
From 2003’s income		—			—			14,413			29,537			—			53,354
From 2004’s income		37,611			138,982			95,377			39,727			37,611			—
Total	$	37,611		$	138,982		$	109,790		$	69,263		$	37,611		$	53,354

Table 6: Assets (all $ in millions)

Table 6
Assets
(all $ in millions)
	Q4:2004			Q3:2004			Q2:2004			Q1:2004			Q4:2003			Q3:2003			Q2:2003			Q1:2003
Residential loans owned by Redwood	$	193		$	259		$	161		$	97		$	43		$	406		$	218		$	454
Residential loans consolidated from entities		22,015			21,299			19,755			17,989			16,196			13,407			9,030			6,867
Total GAAP residential loans		22,208			21,558			19,916			18,086			16,239			13,813			9,248			7,321
HELOC loans owned by Redwood		—			—			—			—			—			—			—			—
HELOC loans consolidated from entities		296			317			327			—			—			—			—			—
Total GAAP HELOC loans		296			317			327			—			—			—			—			—
Commercial loans owned by Redwood		32			21			25			14			14			15			25			22
Commercial loans consolidated from entities		22			12			8			8			9			9			10			9
Total GAAP commercial loans		54			33			33			22			23			24			35			31
Residential CES owned by Redwood		351			327			312			256			251			204			203			214
Residential CES consolidated from entities		211			170			131			119			128			169			190			159
Total GAAP residential CES		562			497			443			375			379			373			393			373
Other securities owned by Redwood		129			170			215			239			167			125			104			89
Other securities consolidated from entities		1,266			1,069			881			698			678			480			491			277
Total GAAP other securities		1,395			1,239			1,096			937			845			605			595			366
Cash owned by Redwood		57			76			38			58			58			32			37			43
Restricted cash consolidated from entities		36			45			20			14			22			14			18			12
Accrued interest receivable		72			62			49			44			40			33			24			22
Principal receivable		3			1			12			—			13			2			1			1
Interest rate agreements		16			10			17			1			2			—			—			—
Deferred tax asset		11			9			5			—			—			—			—			—
Deferred asset-backed security issuance costs		61			58			53			47			44			36			29			22
Other assets		7			7			7			6			5			5			5			2
Total GAAP assets	$	24,778		$	23,912		$	22,016		$	19,590		$	17,670		$	14,937		$	10,385		$	8,193
Residential loans owned by Redwood	$	193		$	259		$	161		$	97		$	43		$	406		$	218		$	454
HELOC loans owned by Redwood		—			—			—			—			—			—			—			—
Commercial loans owned by Redwood		32			21			25			14			14			15			25			22
Residential CES owned by Redwood		351			327			312			256			251			204			203			214
Other securities owned by Redwood		129			170			215			239			167			125			104			89
Cash owned by Redwood		57			76			38			58			58			32			37			43
Assets of securitizations for GAAP		23,810			22,867			21,102			18,814			17,011			14,065			9,721			7,312
ABS liabilities of entities for GAAP		(23,630	)		(22,680	)		(20,923	)		(18,630	)		(16,826	)		(13,818	)		(9,571	)		(7,192	)
Redwood earning assets — GAAP basis	$	942		$	1,040		$	930		$	848		$	718		$	1,029		$	737		$	942

Table 7: Liabilities (all $ in millions)

Table 7
Liabilities
(all $ in millions)
	Q4:2004			Q3:2004			Q2:2004			Q1:2004			Q4:2003			Q3:2003			Q2:2003			Q1:2003
Redwood Trust debt: short-term	$	203		$	246		$	270		$	278		$	236		$	500		$	218		$	476
Redwood Trust debt: long-term		—			—			—			—			—			—			—			—
Total Redwood Trust debt	$	203		$	246		$	270		$	278		$	236		$	500		$	218		$	476
ABS issued, consolidated from entities		23,383			22,449			20,724			18,458			16,661			13,743			9,554			7,188
Unamortized IO issuance premium		210			185			161			162			153			66			13			—
Unamortized ABS issuance premium		37			46			38			10			12			9			4			4
ABS obligations of entities	$	23,630		$	22,680		$	20,923		$	18,630		$	16,826		$	13,818		$	9,571		$	7,192
Accrued interest payable		35			29			22			18			17			10			7			5
Interest rate agreements		1			7			1			12			4			4			8			4
Accrued expenses and other liabilities		29			32			28			21			22			27			22			20
Dividends payable		16			16			14			23			12			12			12			11
Total GAAP liabilities	$	23,914		$	23,010		$	21,258		$	18,982		$	17,117		$	14,371		$	9,838		$	7,708
Preferred Stock		—			—			—			—			—			—			—			27
Common stock		773			727			625			549			518			489			465			428
Accumulated other comprehensive income		105			97			111			79			82			91			109			68
Cumulative GAAP earnings		482			427			355			299			249			179			154			132
Cumulative distributions to shareholders		(496	)		(349	)		(333	)		(319	)		(296	)		(193	)		(181	)		(170	)
GAAP stockholders’ equity		864			902			758			608			553			566			547			485
Total GAAP liabilities and equity	$	24,778		$	23,912		$	22,016		$	19,590		$	17,670		$	14,937		$	10,385		$	8,193
Total Redwood Trust debt	$	203		$	246		$	270		$	278		$	236		$	500		$	218		$	476
GAAP stockholders’ equity		864			902			758			608			553			566			547			485
Redwood capital	$	1,067		$	1,148		$	1,028		$	886		$	789		$	1,066		$	765		$	961
Redwood debt to equity ratio		23	%		27	%		36	%		46	%		43	%		88	%		40	%		98	%
Debt to capital ratio		19	%		21	%		26	%		31	%		30	%		47	%		28	%		50	%
Redwood earning assets	$	942		$	1,040		$	930		$	848		$	718		$	1,029		$	737		$	942
Redwood debt		203			246			270			278			236			500			218			476
Redwood net earning assets (GAAP basis)	$	739		$	794		$	660		$	570		$	482		$	529		$	519		$	466
Equity to earning assets		92	%		87	%		82	%		72	%		77	%		55	%		74	%		51	%

Table 8: Book Value and Profitability (all $ in thousands, except per share data)
Table 8
Book Value and Profitability
(all $ in thousands, except per share data)
	Q4:2004			Q3:2004			Q2:2004			Q1:2004			Q4:2003			Q3:2003			Q2:2003			Q1:2003			2004			2003
BOOK VALUE
GAAP equity	$	864,156		$	901,841		$	757,940		$	608,122		$	553,328		$	566,134		$	547,176		$	485,402			864,156			553,328
Balance sheet mark-to-market adjustments		105,357			96,452			111,221			78,517			82,179			90,592			108,409			68,077			105,357			82,179
Core equity	$	758,799		$	805,389		$	646,719		$	529,605		$	471,149		$	475,542		$	438,767		$	417,325		$	758,799		$	471,149
Core equity		758,799			805,389			646,719			529,605			471,149			475,542			438,767			417,325			758,799			471,149
REIT taxable income to be paid as dividends		37,611			138,982			109,790			69,263			53,354			83,212			64,966			47,138			37,611			53,354
Adjusted core equity	$	721,188		$	666,407		$	536,929		$	460,342		$	417,796		$	392,330		$	373,801		$	370,187		$	721,188		$	417,796
Shares outstanding at quarter end		24,154			23,346			21,511			19,796			19,063			18,468			17,821			16,605			24,154			19,063
GAAP equity per share	$	35.78		$	38.63		$	35.24		$	30.72		$	29.03		$	30.65		$	30.70		$	29.23		$	35.78		$	29.03
Core equity per share		31.42			34.50			30.06			26.75			24.72			25.75			24.62			25.13			31.42			24.72
Adjusted core equity per share		29.86			28.55			24.96			23.25			21.92			21.24			20.98			22.29			29.86			21.92
PROFITABILITY
Net interest income	$	58,007		$	65,279		$	47,620		$	45,260		$	39,668		$	34,631		$	29,624		$	24,192		$	216,166		$	128,115
Net interest income / average core equity		30	%		38	%		33	%		36	%		34	%		30	%		28	%		23	%		34	%		29	%
Operating expenses (before excise and VSOE)		7,781			8,047			8,892			8,297			7,680			8,585			7,303			6,472			33,017			30,040
Efficiency ratio: op exp / core net interest income		13	%		12	%		19	%		18	%		19	%		25	%		25	%		27	%		15	%		23	%
Core earnings	$	45,565		$	51,969		$	37,029		$	34,783		$	30,485		$	24,481		$	20,761		$	14,830		$	169,346		$	90,557
Core return on average core equity		23	%		30	%		25	%		27	%		26	%		21	%		19	%		14	%		26	%		20	%

Table 9: Asset / Liability Matching at December 31, 2004 (all $ in thousands) (1)
Table 9
Asset/Liability Matching at December 31, 2004
(all $ in thousands)
			One-		Six-		One-				Non				Total
			Month		Month		Year		Fixed/		Interest				Liabilities
Asset	Asset		LIBOR		LIBOR		Treasury		Hybrid		Bearing				And
Type	Amount		Liabilities		Liabilities		Liabilities		Liabilities		Liabilities		Equity		Equity
Cash (unrestricted)	$	57,246	$	57,246	$	—	$	—	$	—	$	—	$	—		57,246
One-Month LIBOR		6,313,917		6,313,917		—		—		—		—		—		6,313,917
Six-Month LIBOR		16,972,486		—		16,957,806		—		—		—		14,680		16,972,486
Other ARM		340,316		285,223		—		—		—		—		55,093		340,316
Fixed / Hybrid < 1yr*		53,325		—		—		—		21,707		—		31,618		53,325
Fixed / Hybrid > 1yr		835,433		—		—		—		197,544		—		637,889		835,433
Non-Earning Assets		205,342		—		—		—		—		80,466		124,876		205,342
Total	$	24,778,065	$	6,656,386	$	16,957,806	$	—	$	219,251	$	80,466	$	864,156		24,778,065

* Projected principal receipts on fixed-rate and hybrid assets over the next twelve months.

(1) includes assets and ABS liabilities of consolidated securitization entities.

Table 10: Average Balance Sheet (all $ in thousands)
Table 10
Average Balance Sheet
(all $ in thousands)
	Q4:2004		Q3:2004		Q2:2004		Q1:2004		Q4:2003		Q3:2003		Q2:2003		Q1:2003		2004		2003
Average residential real estate loans	$	21,716,898	$	20,484,287	$	18,754,200	$	16,916,295	$	14,381,270	$	10,958,059	$	7,670,484	$	6,625,540	$	19,476,842	$	9,932,961
Average residential HELOC		303,119		323,100		124,053		—		—		—		—		—		188,254	$	0
Average residential loan CES		424,879		368,887		317,235		287,078		272,999		270,991		279,010		278,339		349,779	$	275,308
Average commercial real estate loans		39,836		33,461		26,129		22,316		23,464		30,471		33,138		30,888		30,469	$	29,473
Average securities portfolio		1,278,528		1,148,828		980,089		862,005		709,867		602,622		453,546		360,084		1,068,162	$	532,683
Average cash and cash equivalents		126,556		101,937		81,450		70,642		116,265		49,053		87,747		98,715		95,251	$	87,886
Average earning assets		23,889,816		22,460,500		20,283,156		18,158,336		15,503,865		11,911,196		8,523,925		7,393,566		21,208,757		10,858,311
Average other assets		430,219		416,736		327,205		227,634		254,552		220,420		163,446		160,161	$	350,847	$	199,961
Average total assets	$	24,320,035	$	22,877,236	$	20,610,361	$	18,385,970	$	15,758,417	$	12,131,616	$	8,687,371	$	7,553,727	$	21,559,604	$	11,058,272
Average Redwood debt	$	348,177	$	404,589	$	539,231	$	447,931	$	410,631	$	344,424	$	299,141	$	399,130	$	434,662	$	363,311
Average asset-backed securities issues		22,956,247		21,606,164		19,350,833		17,299,503		14,708,963		11,197,470		7,861,252		6,637,053		20,313,996		10,126,303
Average total obligations		23,304,424		22,010,753		19,890,064		17,747,434		15,119,594		11,541,894		8,160,393		7,036,183		20,748,657		10,489,614
Average other liabilities		145,752		64,916		56,424		54,151		79,750		37,077		21,605		28,458		80,448		41,850
Average total liabilities		23,450,176		22,075,669		19,946,488		17,801,585		15,199,344		11,578,971		8,181,998		7,064,641		20,829,105		10,531,464
Average core equity		776,833		695,488		583,875		506,445		469,857		458,304		428,896		414,855		641,182		443,171
Average balance sheet mark-to-market adjustments		93,026		106,079		79,998		77,940		89,216		94,341		76,477		74,231		89,317		83,637
Average total equity		869,859		801,567		663,873		584,385		559,073		552,645		505,373		489,086		730,499		526,808
Average total liabilities and equity	$	24,320,035	$	22,877,236	$	20,610,361	$	18,385,970	$	15,758,417	$	12,131,616	$	8,687,371	$	7,553,727	$	21,559,604	$	11,058,272

Table 11:Balances & Yields (all $ in thousands)
Table 11
Balances & Yields
(all $ in thousands)	At period end													For period ended
			Unamortized						Unrealized			Net
	Current		Premium/			Credit			Gain/			Book		Average		Interest
	Face		(Discount)			Protection			(loss)			Value		Balance*		Income		Yield
Total Earning Assets (GAAP)
Q1: 2003		8,356,918		(50,540	)		(244,056	)		72,282			8,134,604		7,393,566		61,125		3.31	%
Q2: 2003		10,471,188		(62,789	)		(216,834	)		115,903			10,307,468		8,523,925		71,426		3.35	%
Q3: 2003		14,969,841		(23,059	)		(191,264	)		91,992			14,847,510		11,911,196		90,163		3.03	%
Q4: 2003		17,657,339		21,354			(217,806	)		82,600			17,543,487		15,503,865		108,262		2.79	%
2003		17,657,339		21,354			(217,806	)		82,600			17,543,487		10,858,311		330,976		3.05	%
Q1: 2004		19,537,316		39,166			(244,412	)		87,874			19,477,810		18,158,335		124,837		2.75	%
Q2: 2004		21,975,772		49,407			(264,523	)		91,454			21,852,110		20,283,156		137,979		2.72	%
Q3: 2004		23,883,198		75,814			(329,441	)		90,818			23,720,389		22,460,500		180,090		3.21	%
Q4: 2004		24,863,331		55,841			(372,535	)		95,396			24,572,723		23,889,816		205,178		3.44	%
2004		24,863,331		55,841			(372,535	)		95,396			24,572,723		21,208,757		648,084		3.06	%
Residential Real Estate Loans
Q1: 2003		7,297,515		33,520			(9,996	)		—			7,321,039		6,625,539		42,314		2.55	%
Q2: 2003		9,206,986		52,593			(12,159	)		—			9,247,420		7,670,484		47,299		2.47	%
Q3: 2003		13,703,475		123,392			(13,617	)		—			13,813,250		10,958,059		63,638		2.32	%
Q4: 2003		16,110,748		144,748			(16,336	)		—			16,239,160		14,381,270		82,727		2.30	%
2003		16,110,748		144,748			(16,336	)		—			16,239,160		9,932,961		235,978		2.38	%
Q1: 2004		17,950,901		154,451			(18,847	)		—			18,086,505		16,916,295		98,826		2.34	%
Q2: 2004		19,766,481		169,174			(20,080	)					19,915,575		18,754,200		109,880		2.34	%
Q3: 2004		21,381,784		197,472			(21,344	)					21,557,912		20,484,287		147,974		2.89	%
Q4: 2004		22,023,888		207,607			(23,078	)					22,208,417		21,716,898		168,831		3.11	%
2004		22,023,888		207,607			(23,078	)					22,208,417		19,476,842		525,511		2.70	%
Home Equity Lines of Credit
Q1: 2003		—		—			—			—			—		—		—		—
Q2: 2003		—		—			—			—			—		—		—		—
Q3: 2003		—		—			—			—			—		—		—		—
Q4: 2003		—		—			—			—			—		—		—		—
2003		—		—			—			—			—		—		—		-
Q1: 2004		—		—			—			—			—		—		—		—
Q2: 2004		317,045		10,043			(267	)		—			326,821		124,053		536		1.73	%
Q3: 2004		308,697		9,029			(531	)		—			317,195		303,119		1,618		2.14	%
Q4: 2004		288,954		8,087			(693	)		—			296,348		303,119		2,177		2.87	%
2004		288,954		8,087			(693	)		—			296,348		188,254		4,331		2.30	%
Residential Credit-Enhancement Securities
Q1: 2003		614,111		(84,648	)		(234,060	)		77,759			373,162		278,339		13,693		19.68	%
Q2: 2003		598,134		(113,358	)		(204,675	)		113,310			393,411		279,010		17,977		25.77	%
Q3: 2003		603,855		(145,356	)		(177,647	)		92,559			373,411		270,991		19,027		28.09	%
Q4: 2003		623,692		(123,329	)		(200,970	)		79,334			378,727		272,999		17,394		25.49	%
2003		623,692		(123,329	)		(200,970	)		79,334			378,727		275,308		68,091		24.73	%
Q1: 2004		634,000		(110,994	)		(216,924	)		68,534			374,616		287,078		15,533		21.64	%
Q2: 2004		712,908		(121,808	)		(235,535	)		86,674			442,239		317,235		16,077		20.27	%
Q3: 2004		830,524		(109,367	)		(298,925	)		74,577			496,809		368,887		16,007		17.36	%
Q4: 2004		933,772		(110,724	)		(340,123	)		78,733			561,658		424,879		16,985		15.99	%
2004		933,772		(110,724	)		(340,123	)		78,733			561,658		349,779		64,602		18.47	%
Commercial Real Estate Loans
Q1: 2003		32,223		(1,009	)		—			—			31,214		30,888		816		10.57	%
Q2: 2003		42,492		171			(8,141	)		—			34,522		33,138		960		11.59	%
Q3: 2003		31,211		538			(8,141	)		—			23,608		30,471		939		12.33	%
Q4: 2003		31,180		(120	)		(8,641	)		—			22,419		23,464		244		4.16	%
2003		31,180		(120	)		(8,641	)		—			22,419		29,473		2,959		10.04	%
Q1: 2004		31,136		(318	)		(8,641	)		—			22,177		22,316		701		12.56	%
Q2: 2004		43,448		(1,261	)		(8,641	)		—			33,546		26,129		868		13.29	%
Q3: 2004		43,410		(1,380	)		(8,641	)		—			33,389		33,461		1,038		12.41	%
Q4: 2004		65,598		(2,478	)		(8,641	)		—			54,479		39,836		1,162		11.67	%
2004		65,598		(2,478	)		(8,641	)		—			54,479		30,469		3,769		12.37	%
Securities
Q1: 2003		370,187		1,597			—			(5,477	)		366,307		360,084		4,192		4.66	%
Q2: 2003		587,038		5,946			—			2,593			595,577		453,546		5,057		4.46	%
Q3: 2003		599,144		6,508			—			(567	)		605,085		602,622		6,478		4.30	%
Q4: 2003		833,252		8,196			—			3,266			844,714		709,867		7,803		4.40	%
2003		833,252		8,196			—			3,266			844,714		532,683		23,530		4.42	%
Q1: 2004		921,279		(3,973	)		—			19,340			936,646		862,005		9,611		4.46	%
Q2: 2004		1,097,429		(6,741	)		—			4,780			1,095,468		980,089		10,545		4.30	%
Q3: 2004		1,242,777		(19,940	)		—			16,241			1,239,078		1,148,828		13,278		4.62	%
Q4: 2004		1,424,563		(46,651	)					16,663			1,394,575		1,278,528		15,515		4.85	%
2004		1,424,563		(46,651	)		—			16,663			1,394,575		1,068,162		48,949		4.58	%

Table 11: Balance & Yields (all $ in thousands) (continued)
Table 11 (continued)
Balances & Yields
(all $ in thousands)	At period end										For period ended
			Unamortized				Unrealized		Net
	Current		Premium/		Credit		Gain/		Book		Average		Interest
	Face		(Discount)		Protection		(loss)		Value		Balance*		Income		Yield
Cash & Equivalents
Q1: 2003		42,882		—		—		—		42,882				110
Q2: 2003		36,539		—		—		—		36,539				133
Q3: 2003		32,156		—		—		—		32,156				81
Q4: 2003		58,467		—		—		—		58,467				94
2003		58,467		—		—		—		58,467				418
Q1: 2004		57,866		—		—		—		57,866				166
Q2: 2004		38,461		—		—		—		38,461				73
Q3: 2004		76,006		—		—		—		76,006				175
Q4: 2004		126,556						—		57,246				508
2004		95,251		—		—		—		57,246		—		922

* Average excludes unrealized gains(losses) from mark-to-market adjustments.

Table 12: Portfolio Activity (all $ in thousands)
Table 12
Portfolio Activity
(all $ in thousands)									Discount/						Net		Net			Net
						Principal			(Premium)			Credit			Charge-offs/		Mark-to-Mkt			Increase/
	Acquisitions		Sales			Payments			Amortization			Provision			(Recoveries)		Adjustment			(Decrease)
Residential Real Estate Loans (GAAP)
Q1: 2003		1,338,920		(73,137	)		(152,768	)		(6,156	)		(1,756	)		31		726			1,105,860
Q2: 2003		2,168,181		—			(234,582	)		(5,055	)		(2,163	)		—		—			1,926,381
Q3: 2003		4,996,403		—			(420,395	)		(8,720	)		(1,458	)		—		—			4,565,830
Q4: 2003		2,897,863		(605	)		(458,957	)		(9,684	)		(2,769	)		50		12			2,425,910
2003		11,401,367		(73,742	)		(1,266,702	)		(29,615	)		(8,146	)		81		738			10,023,981
Q1: 2004		2,321,706		—			(460,334	)		(11,516	)		(2,511	)		—		—			1,847,345
Q2: 2004		2,703,443		—			(859,148	)		(13,992	)		(1,233	)		—		—			1,829,070
Q3: 2004		2,898,165		(112,811	)		(1,144,320	)		2,078			(1,264	)		—		489			1,642,337
Q4: 2004		1,791,951		(865	)		(1,132,854	)		(5,993	)		(1,535	)		176		(375	)		650,505
2004		9,715,265		(113,676	)		(3,596,656	)		(29,423	)		(6,543	)		176		114			5,969,257
Home Equity Line of Credit
Q1: 2003		—		—			—			—			—			—		—			—
Q2: 2003		—		—			—			—			—			—		—			—
Q3: 2003		—		—			—			—			—			—		—			—
Q4: 2003		—		—			—			—			—			—		—			—
2003		—		—			—			—			—			—		—			—
Q1: 2004		—		—			—			—			—			—		—			—
Q2: 2004		335,044		—			(7,706	)		(250	)		(267	)		—		—			326,821
Q3: 2004		—		—			(8,290	)		(1,072	)		(264	)							(9,626	)
Q4: 2004							(19,743	)		(942	)		(162	)							(20,847	)
2004		335,044		—			(35,739	)		(2,264	)		(693	)		—		—			296,348
Residential Loan Credit-Enhancement Securities
Q1: 2003		37,077		—			(23,212	)		5,545			—			—		1,273			20,683
Q2: 2003		11,265		(1,248	)		(38,773	)		10,024			—			—		38,981			20,249
Q3: 2003		23,164		—			(37,647	)		11,432			—			—		(16,949	)		(20,000	)
Q4: 2003		77,367		—			(116,575	)		10,188			—			—		34,336			5,316
2003		148,873		(1,248	)		(216,207	)		37,189			—			—		57,641			26,248
Q1: 2004		37,608		(22,416	)		(34,640	)		8,637			—			—		6,700			(4,111	)
Q2: 2004		75,027		—			(46,997	)		8,847			—			—		30,746			67,623
Q3: 2004		82,918		—			(44,822	)		8,181			—			—		8,293			54,570
Q4: 2004		72,976		—			(30,900	)		8,443								14,330			64,849
2004		268,529		(22,416	)		(157,359	)		34,108			—			—		60,069			182,931
Commercial Real Estate Loans
Q1: 2003		2,011		—			(68	)		—			—			—	��	1			1,944
Q2: 2003		3,408		—			(34	)		(67	)		—			—		1			3,308
Q3: 2003		1,023		(774	)		(11,220	)		(33	)		—			—		130			(10,914	)
Q4: 2003		—		—			(31	)		(198	)		(500	)		—		(500	)		(1,189	)
2003		6,442		(774	)		(11,353	)		(298	)		(500	)		—		(368	)		(6,851	)
Q1: 2004		—		—			(45	)		(122	)		—			—		(75	)		(242	)
Q2: 2004		17,066		(2,339	)		(3,233	)		(102	)		—			—		(23	)		11,369
Q3: 2004		—		—			(29	)		(128	)		—			—		—			(157	)
Q4: 2004		21,305		—			(83	)		(132	)		—			—		—			21,090
2004		38,371		(2,339	)		(3,390	)		(484	)		—			—		(98	)		32,060
Securities
Q1: 2003		42,955		—			(11,329	)		3			—			—		(1,019	)		30,610
Q2: 2003		237,515		(4,051	)		(12,126	)		(111	)		—			—		8,043			229,270
Q3: 2003		28,702		—			(12,677	)		(96	)		—			—		(6,421	)		9,508
Q4: 2003		256,588		—			(17,658	)		(343	)		—			—		1,042			239,629
2003		565,760		(4,051	)		(53,790	)		(547	)		—			—		1,645			509,017
Q1: 2004		86,278		(142	)		(9,807	)		(484	)		—			—		16,087			91,932
Q2: 2004		192,700		(8,333	)		(10,069	)		(705	)		—			—		(14,771	)		158,822
Q3: 2004		151,064		—			(18,489	)		(86	)		—			—		11,121			143,610
Q4: 2004		181,111		—			(25,189	)		(304	)							(121	)		155,497
2004		611,153		(8,475	)		(63,554	)		(1,579	)		—			—		12,316			549,861

Table 13 Residential Credit results (all $ in thousands)
									Total										Losses To
			Internally-				(4)		Credit										Securities		Redwood's		Total Credit
Table 13			Designated		External		Total		Protection			Seriously		Seriously			Total		Junior To		Share of Net		Losses As %		��
Residential Credit Results	Underlying		Credit		Credit		Credit		As % of			Delinquent		Delinquent			Credit		Redwood's		Charge Offs		of Loans
(all $ in thousands)	Loans		Reserves		Enhancement		Protection		Loans			Loans		Loan %			Losses		Interest		(Recoveries)		(Annualized)
Total Managed Residential Portfolio
Q1: 2003		68,069,255		244,056		61,814		305,870		0.45	%		162,657		0.24	%		1,171		456		715		<0.01	%
Q2: 2003		61,071,919		216,834		58,296		275,130		0.45	%		163,894		0.27	%		384		152		232		<0.01	%
Q3: 2003		57,493,402		191,264		51,985		243,249		0.42	%		179,871		0.31	%		986		38		948		<0.01	%
Q4: 2003		84,372,335		217,306		46,476		263,782		0.31	%		137,978		0.16	%		1,645		357		1,288		<0.01	%
2003		84,372,335		217,306		46,476		263,782		0.31	%		137,978		0.16	%		4,186		1,003		3,183		<0.01	%
Q1: 2004		89,448,075		235,771		43,797		279,568		0.31	%		146,055		0.16	%		103		—		103		<0.01	%
Q2: 2004		117,020,797		255,615		70,460		326,075		0.28	%		136,654		0.12	%		1,781		75		1,706		<0.01	%
Q3: 2004		142,967,137		320,269		69,244		389,513		0.27	%		185,023		0.13	%		730		196		534		<0.01	%
Q4: 2004		148,510,685		363,201		67,650		430,851		0.29	%		163,554		0.11	%		689		—		689		<0.01	%
2004		148,510,685		363,201		67,650		430,851		0.29	%		163,554		0.11	%		3,303		271		3,032		<0.01	%
Residential Real Estate Loans
Q1: 2003		7,297,515		9,996		—		9,996		0.14	%		1,159		0.02	%		31		—		31		<0.01	%
Q2: 2003		9,206,986		12,159		—		12,159		0.13	%		3,895		0.04	%		—		—		—		<0.01	%
Q3: 2003		13,703,475		13,617		—		13,617		0.10	%		1,598		0.01	%		—		—		—		<0.01	%
Q4: 2003		16,110,748		16,336		—		16,336		0.10	%		5,419		0.03	%		50		—		50		<0.01	%
2003		16,110,748		16,336		—		16,336		0.10	%		5,419		0.03	%		81		—		81		<0.01	%
Q1: 2004		17,950,901		18,847		—		18,847		0.10	%		3,439		0.02	%		—		—		—		<0.01	%
Q2: 2004		19,766,481		20,080		—		20,080		0.10	%		5,362		0.03	%		—		—		—		<0.01	%
Q3: 2004		21,381,784		21,344		—		21,344		0.10	%		10,785		0.05	%		—		—		—		<0.01	%
Q4: 2004		22,023,888		23,078		—		23,078		0.10	%		13,338		0.06	%		176		—		176		<0.01	%
2004		22,023,888		23,078				23,078		0.10	%		13,338		0.06	%		176		—		176		<0.01	%
Residential Loan Credit-Enhancement Securities
Q1: 2003		60,748,216		234,060		61,814		295,874		0.49	%		161,498		0.27	%		1,140		456		684		<0.01	%
Q2: 2003		51,824,499		204,675		58,296		262,971		0.51	%		159,999		0.31	%		384		152		232		<0.01	%
Q3: 2003		43,680,152		177,647		51,985		229,632		0.53	%		178,273		0.41	%		986		38		948		<0.01	%
Q4: 2003		68,133,175		200,970		46,476		247,446		0.36	%		132,559		0.19	%		1,595		357		1,238		<0.01	%
2003		68,133,175		200,970		46,476		247,446		0.36	%		132,559		0.19	%		4,105		1,003		3,102		<0.01	%
Q1: 2004		71,361,570		216,924		43,797		260,721		0.37	%		142,616		0.20	%		103		—		103		<0.01	%
Q2: 2004		97,105,222		235,535		70,460		305,995		0.32	%		131,292		0.14	%		1,781		75		1,706		<0.01	%
Q3: 2004		121,585,353		298,925		69,244		368,169		0.30	%		174,238		0.14	%		730		196		534		<0.01	%
Q4: 2004		126,486,797		340,123		67,650		407,773		0.32	%		150,216		0.12	%		513		—		513		<0.01	%
2004		126,486,797		340,123		67,650		407,773		0.32	%		150,216		0.12	%		3,127		271		2,856		<0.01	%

(4) The credit reserve on residential real estate loans owned is only available to absorb losses on the residential real estate loan portfolio. The internally-designated credit reserves on loans credit enhanced and the external credit enhancement on loans credit enhanced are only available to absorb losses on the residential loan credit-enhancement portfolio. This table excludes the residential home equity lines of credit.

Table 14: Residential Real Estate Loan Characteristics (at period end, all $ in thousands)
Table 14
Residential Real Estate Loan Characteristics
(at period end, all $ in thousands)	Dec. 2004			Sep. 2004			Jun. 2004			Mar. 2004			Dec. 2003			Sep. 2003			Jun. 2003
Residential Loans	$	22,208,417		$	21,557,912		$	19,915,575		$	18,086,505		$	16,239,160		$	13,813,250		$	9,247,420
Number of loans		63,236			61,299			56,097			49,756			43,919			37,122			24,988
Average loan size	$	348		$	352		$	355		$	364		$	370		$	372		$	370
Adjustable %		99	%		99	%		99	%		99	%		99	%		99	%		99	%
Hybrid %		1	%		1	%		1	%		1	%		1	%		1	%		1	%
Fixed %		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Northern California		13	%		13	%		14	%		13	%		13	%		13	%		13	%
Southern California		13	%		12	%		12	%		12	%		12	%		12	%		12	%
Florida		11	%		11	%		11	%		11	%		11	%		11	%		12	%
Georgia		5	%		5	%		5	%		5	%		6	%		6	%		5	%
New York		5	%		5	%		5	%		5	%		5	%		6	%		6	%
New Jersey		4	%		4	%		4	%		4	%		5	%		5	%		4	%
Texas		4	%		4	%		4	%		4	%		4	%		4	%		3	%
Arizona		4	%		4	%		4	%		4	%		4	%		3	%		3	%
Colorado		4	%		4	%		4	%		4	%		4	%		3	%		3	%
Illinois		3	%		3	%		3	%		4	%		4	%		4	%		4	%
Virgina		3	%		3	%		3	%		2	%		3	%		2	%		2	%
Other states (none greater than 3%)		32	%		32	%		31	%		32	%		29	%		31	%		33	%
Year 2004 origination		38	%		32	%		23	%		11	%		0	%		0	%		0	%
Year 2003 origination		42	%		46	%		52	%		60	%		66	%		58	%		40	%
Year 2002 origination		16	%		18	%		21	%		24	%		28	%		34	%		49	%
Year 2001 origination		2	%		3	%		3	%		3	%		4	%		5	%		6	%
Year 2000 origination		0	%		0	%		0	%		0	%		0	%		0	%		0	%
Year 1999 origination		0	%		0	%		1	%		1	%		1	%		1	%		1	%
Year 1998 origination or earlier		1	%		1	%		1	%		1	%		1	%		2	%		4	%
% balance in loans > $1mm per loan		14	%		14	%		14	%		15	%		16	%		17	%		15	%

This table only includes loans shown under “residential real estate loans” on our GAAP balance sheet. These are the loans securitized by Sequoia securitization entities sponsored by Redwood. Not included are loans underlying residential credit-enhancement securities by Redwood from securitizations sponsored by others.

Table 15: Residential Loan Credit-Enhancement Securities - Underlying Collateral Characteristics (all $ in thousands)
Table 15
Residential Loan Credit-Enhancement Securities - Underlying Collateral Characteristics
(all $ in thousands)	Dec. 2004			Sep. 2004			Jun. 2004			Mar. 2004			Dec. 2003			Sep. 2003			Jun. 2003
First loss position, principal value	$	352,752		$	320,975		$	279,927		$	262,329		$	255,570		$	236,968		$	233,787
Second loss position, principal value		276,720			244,042			197,403			176,672			174,592			168,547			168,524
Third loss position, principal value		304,300			265,507			235,578			194,999			193,530			198,340			195,823
Total principal value	$	933,772		$	830,524		$	712,908		$	634,000		$	623,692		$	603,855		$	598,134
First loss position, reported value	$	110,933		$	99,783		$	102,088		$	75,769		$	78,030		$	70,458		$	74,470
Second loss position, reported value		195,536			174,371			145,211			133,167			134,225			128,280			139,788
Third loss position, reported value		255,189			222,655			194,940			165,680			166,472			174,673			179,153
Total reported value	$	561,658		$	496,809		$	442,239		$	374,616		$	378,727		$	373,411		$	393,411
Internal Designated Credit Reserves	$	340,123		$	298,925		$	235,535		$	216,924		$	200,970		$	177,647		$	204,675
External Credit Enhancement		67,650			69,244			70,460			43,797			46,476			51,985			58,296
Total Credit Protection	$	407,773		$	368,169		$	305,995		$	260,721		$	247,446		$	229,632		$	262,971
As % of Total Portfolio		0.32	%		0.30	%		0.32	%		0.37	%		0.36	%		0.53	%		0.51	%
Underlying Residential Real Estate Loans	$	126,486,797		$	121,585,353		$	97,105,222		$	71,361,570		$	68,133,175		$	43,680,152		$	51,824,499
Number of credit-enhanced loans		279,838			272,003			216,048			163,673			152,083			96,424			116,730
Average loan size	$	452		$	447		$	449		$	436		$	448		$	453		$	444
Adjustable %		26	%		18	%		13	%		20	%		21	%		21	%		36	%
Hybrid %		30	%		30	%		44	%		66	%		64	%		57	%		36	%
Fixed %		44	%		52	%		43	%		14	%		15	%		22	%		28	%
Northern California		23	%		23	%		23	%		26	%		26	%		25	%		26	%
Southern California		23	%		23	%		24	%		25	%		25	%		25	%		24	%
Florida		6	%		6	%		4	%		4	%		4	%		4	%		4	%
New York		5	%		5	%		5	%		5	%		5	%		6	%		6	%
Massachusetts		3	%		3	%		3	%		3	%		3	%		3	%		3	%
New Jersey		3	%		3	%		3	%		3	%		3	%		3	%		3	%
Virginia		3	%		3	%		3	%		3	%		3	%		3	%		3	%
Colorado		3	%		3	%		3	%		3	%		3	%		3	%		3	%
Illinois		3	%		3	%		3	%		3	%		3	%		3	%		3	%
Other states (none greater than 3%)		28	%		28	%		29	%		25	%		25	%		25	%		25	%
Year 2004 origination		36	%		28	%		16	%		0	%		0	%		0	%		0	%
Year 2003 origination		43	%		48	%		50	%		58	%		51	%		28	%		12	%
Year 2002 origination		12	%		14	%		18	%		22	%		26	%		34	%		42	%
Year 2001 origination		3	%		4	%		6	%		8	%		11	%		18	%		24	%
Year 2000 origination		1	%		1	%		2	%		2	%		2	%		4	%		4	%
Year 1999 origination		1	%		1	%		2	%		3	%		3	%		6	%		7	%
Year 1998 or earlier origination		4	%		4	%		6	%		7	%		7	%		10	%		11	%
% balance in loans > $1mm per loan		10	%		10	%		6	%		9	%		11	%		11	%		10	%

This table includes loans underlying residential credit-enhancement securities acquired from securitizations sponsored by others. Not included are loans underlying residential credit-enhancement securities acquired from Sequoia entities sponsored by Redwood.

Table 16: Commercial Real Estate Loans-Characteristics (at period end, all $ in thousands)
Table 16
Commercial Real Estate Loans-Characteristics
(at period end, all $ in thousands)	Dec. 2004			Sep. 2004			Jun. 2004			Mar. 2004			Dec. 2003			Sep. 2003			Jun. 2003
Commercial Mortgage Loans	$	54,479		$	33,389		$	33,546		$	22,177		$	22,419		$	23,608		$	34,522
Number of Loans		9			7			6			9			9			9			12
Average Loan Size	$	6,053		$	4,770		$	5,591		$	2,464		$	2,491		$	2,623		$	2,877
Serious Delinquency		—			—			—			—			—			—			650
Realized Credit losses		—			—			—			—			—			—			—
California %		44	%		72	%		72	%		65	%		65	%		65	%		46	%

Table 17: Securities Portfolio - Characteristics at December 31, 2004 (all $ in thousands)
Table 17
Securities Portfolio - Characteristics at December 31, 2004
(all $ in thousands)
			Rating:
	Total		AAA		AA		A		BBB		BB		B		Unrated
Commercial Real Estate	$	243,141	$	15,599	$	1,930	$	34,741	$	107,136	$	61,470	$	7,767	$	14,498
Residential Prime		400,047		27,273		200,280		80,178		92,316		—		—		—
Residential Subprime		428,610		—		43,286		288,320		97,004		—		—		—
Residential Second Lien		131,197		—		55,312		66,389		9,497		—		—		—
Manufactured Housing		14,016		2,925		5,581		—		—		—		5,510		—
Corporate REIT Debt		64,479		—		—		7,217		48,959		8,303		—		—
Real Estate CDOs		113,085		13,490		23,103		38,213		34,796		2,451		430		601
Total Securities Portfolio	$	1,394,575	$	59,288	$	329,492	$	515,058	$	389,707	$	72,223	$	13,707	$	15,099

Includes a portion of Redwood’s permanent investment portfolio, plus securities consolidated from Acacia CDO securitization entities sponsored by Redwood, plus securities held by Redwood temporarily prior to sale to Acacia.

Does not include securities purchased for Acacia or Redwood’s permanent investment portfolio from securitization entities sponsored by Redwood, as those securities are eliminated in the GAAP consolidation of the underlying entities.

Does not include residential credit-enhancement securities.

Table 18: ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) (all $ in thousands)
Table 18
ABS Issued Characteristics - Residential Mortgage Loans (Sequoia)
(all $ in thousands)
												Principal		Interest
					Original					Estimated		Outstanding		Rate At
Sequoia	Debt		Issue		Issue			Stated		Callable		At December. 31,		December. 31
ABS Issued	Rating		Date		Amount		Index	Maturity		Date		2004		2004
Sequoia 1 A1	AAA			07/29/97	$	334,347	1m LIBOR		2028	Called			—	NM
Sequoia 1 A2	AAA			07/29/97		200,000	Fed Funds		2028	Called			—	NM
Sequoia 2 A1	AAA			11/06/97		592,560	1y Treasury		2029	Called			—	NM
Sequoia 2 A2	AAA			11/06/97		156,600	1m LIBOR		2029	Called			—	NM
Sequoia 3 A1	AAA			06/26/98		225,459	Fixed to 12/02		2028	Retired			—	NM
Sequoia 3 A2	AAA			06/26/98		95,000	Fixed to 12/02		2028	Retired			—	NM
Sequoia 3 A3	AAA			06/26/98		164,200	Fixed to 12/02		2028	Retired			—	NM
Sequoia 3 A4	AAA			06/26/98		121,923	1m LIBOR		2028	Called			—	NM
Sequoia 3 M1	AA/AAA			06/26/98		16,127	1m LIBOR		2028	Called			—	NM
Sequoia 3 M2	A/AA			06/26/98		7,741	1m LIBOR		2028	Called			—	NM
Sequoia 3 M3	BBB/A			06/26/98		4,838	1m LIBOR		2028	Called			—	NM
Sequoia 1A A1	AAA			05/04/99		157,266	1m LIBOR		2028	Called			—	NM
Sequoia 4 A	AAA			03/21/00		377,119	1m LIBOR		2024		2007		146,712		2.77	%
Sequoia 5 A	AAA			10/29/01		496,667	1m LIBOR		2026		2009		304,368		2.76	%
Sequoia 5 B1	AA			10/29/01		5,918	1m LIBOR		2026		2009		5,918		3.21	%
Sequoia 5 B2		A		10/29/01		5,146	1m LIBOR		2026		2009		5,146		3.21	%
Sequoia 5 B3	BBB			10/29/01		2,316	1m LIBOR		2026		2009		2,316		3.21	%
Sequoia 6A	AAA			04/26/02		496,378	1m LIBOR		2027		2009		331,831		2.73	%
Sequoia 6B1	AA			04/26/02		5,915	1m LIBOR		2027		2009		5,915		3.11	%
Sequoia 7A	AAA			05/29/02		554,686	1m LIBOR		2032		2008		326,815		2.75	%
Sequoia 7B1	AA			05/29/02		8,080	1m LIBOR		2032		2008		8,080		3.16	%
Sequoia 8 1A-1	AAA			07/30/02		50,000	1m LIBOR		2032	Retired			—	NM
Sequoia 8 1A-2	AAA			07/30/02		61,468	Fixed to 12/04		2032		2008		11,149		3.46	%
Sequoia 8 2A	AAA			07/30/02		463,097	1m LIBOR		2032		2008		306,791		2.71	%
Sequoia 8 3A	AAA			07/30/02		49,973	6m LIBOR		2032		2008		29,208		3.26	%
Sequoia 8 B1	AA			07/30/02		9,069	1m LIBOR		2032		2008		9,069		3.09	%
Sequoia 9 1A	AAA			08/28/02		381,689	1m LIBOR		2032		2011		263,378		2.76	%
Sequoia 9 2A	AAA			08/28/02		168,875	1m LIBOR		2032		2011		85,244		3.34	%
Sequoia 9 B1	AA			08/28/02		7,702	1m LIBOR		2032		2011		7,702		3.16	%
Sequoia 10 1A	AAA			09/26/02		822,375	1m LIBOR		2027		2011		580,480		2.81	%
Sequoia 10 2A-1	AAA			09/26/02		190,000	1m LIBOR		2027		2011		136,730		2.79	%
Sequoia 10 2A-2	AAA			09/26/02		3,500	1m LIBOR		2027		2011		3,500		3.09	%
Sequoia 10 B1	AA			09/26/02		12,600	1m LIBOR		2027		2011		12,600		3.21	%
Sequoia 10 B2		A		09/26/02		8,400	1m LIBOR		2027		2011		8,400		2.21	%
Sequoia 10 B3	BBB			09/26/02		4,725	1m LIBOR		2027		2011		4,725		3.81	%
Sequoia 11 A	AAA			10/30/02		695,210	1m LIBOR		2032		2011		474,063		2.86	%
Sequoia 11 B1	AA			10/30/02		9,726	1m LIBOR		2032		2011		9,726		3.38	%
Sequoia 12 A	AAA			12/19/02		1,080,076	1m LIBOR		2033		2009		779,266		2.86	%
Sequoia 12 B1	AA			12/19/02		16,815	1m LIBOR		2033		2009		16,815		3.26	%
Sequoia 2003-1 A1	AAA			02/27/03		798,206	1m LIBOR		2033		2009		582,162		2.79	%
Sequoia 2003-1 A2	AAA			02/27/03		190,000	6m LIBOR		2033		2009		140,398		2.32	%
Sequoia 2003-1 B1	AA			02/27/03		15,905	1m LIBOR		2033		2009		15,905		3.29	%
Sequoia 2003-1 B2		A		02/27/03		8,210	Pass Through		2033		2009		8,210		3.11	%
Sequoia 2003-2 A1	AAA			04/29/03		500,000	1m LIBOR		2022		2009		373,339		2.74	%
Sequoia 2003-2 A2	AAA			04/29/03		303,600	6m LIBOR		2022		2009		220,386		2.54	%
Sequoia 2003-2 M1	AA			04/29/03		11,480	1m LIBOR		2016		2009		11,480		3.06	%
Sequoia 2003-3 A1	AAA			06/26/03		379,455	1m LIBOR		2023		2009		286,430		2.74	%
Sequoia 2003-3 A2	AAA			06/26/03		149,922	6m LIBOR		2023		2009		115,545		3.07	%
Sequoia 2003-3 B1	AA			06/26/03		9,075	1m LIBOR		2025		2009		9,075		3.06	%
MLCC 2003-C A1	AAA			06/26/03		773,795	1m LIBOR		2023		2012		580,138		2.75	%
MLCC 2003-C A2	AAA			06/26/03		200,002	6m LIBOR		2023		2012		145,981		3.12	%
MLCC 2003-C B1	AA			06/26/03		10,553	1m LIBOR		2025		2012		10,553		3.07	%
MLCC 2003-D A	AAA			07/29/03		992,833	1m LIBOR		2028		2012		784,934		2.73	%
MLCC 2003-D B1	AA			07/29/03		10,758	1m LIBOR		2028		2012		10,758		3.05	%
Sequoia 2003-4 1A1	AAA			07/29/03		148,641	1m LIBOR		2033		2009		123,854		2.72	%
Sequoia 2003-4 1A2	AAA			07/29/03		150,000	6m LIBOR		2033		2009		125,282		2.22	%
Sequoia 2003-4 1B1	AA			07/29/03		3,864	1m LIBOR		2033		2009		3,864		3.06	%
Sequoia 2003-4 2A1	AAA			07/29/03		189,415	1m LIBOR		2033		2011		163,772		2.76	%
Sequoia 2003-4 2M1	AA			07/29/03		9,986	1m LIBOR		2033		2011		9,986		2.88	%
Sequoia 2003-4 2B1	AA			07/29/03		2,367	1m LIBOR		2033		2011		2,367		3.06	%
Sequoia 2003-5 A1	AAA			08/27/03		675,596	1m LIBOR		2033		2009		514,445		2.72	%
Sequoia 2003-5 A2	AAA			08/27/03		149,609	6m LIBOR		2033		2009		114,333		2.25	%
Sequoia 2003-5 B1	AA			08/27/03		15,043	1m LIBOR		2033		2009		15,043		3.01	%
Sequoia 2003-6 A1	AAA			10/29/03		458,238	1m LIBOR		2033		2009		353,489		2.72	%
Sequoia 2003-6 A2	AAA			10/29/03		180,474	6m LIBOR		2033		2009		132,062		2.53	%

Table 18: ABS Issued Characteristics — Residential Mortgage Loans (Sequoia) — continued

Table 18
ABS Issued Characteristics — Residential Mortgage Loans (Sequoia)
(all $ in thousands)

												Principal		Interest
					Original					Estimated		Outstanding		Rate At
Sequoia	Debt		Issue		Issue			Stated		Callable		At December. 31,		December. 31
ABS Issued	Rating		Date		Amount		Index	Maturity		Date		2004		2004
Sequoia 2003-6 B1	AA			10/29/03		11,287	1m LIBOR		2033		2009		11,287		2.99	%
Sequoia 2003-7 A1	AAA			11/25/03		290,000	1m LIBOR		2034		2009		236,066		2.73	%
Sequoia 2003-7 A2	AAA			11/25/03		505,100	6m LIBOR		2034		2009		399,839		2.89	%
Sequoia 2003-7 B1	AA			11/25/03		16,607	1m LIBOR		2034		2009		16,607		2.96	%
Sequoia 2003-8 A1	AAA			12/23/03		791,768	1m LIBOR		2034		2009		673,288		2.73	%
Sequoia 2003-8 A2	AAA			12/23/03		150,000	6m LIBOR		2034		2009		132,476		3.04	%
Sequoia 2003-8 B1	AA			12/23/03		14,166	1m LIBOR		2034		2009		14,166		3.00	%
Sequoia 2003-8 B2		A		12/23/03		8,304	1m LIBOR		2034		2009		8,304		3.66	%
MLCC 2003-E A1	AAA			08/28/03		823,305	1m LIBOR		2028		2012		671,252		2.73	%
MLCC 2003-E A2	AAA			08/28/03		150,000	6m LIBOR		2028		2012		119,856		2.28	%
MLCC 2003-E B1	AA			08/28/03		10,547	1m LIBOR		2028		2012		10,547		3.02	%
MLCC 2003-F A1	AAA			09/25/03		839,000	1m LIBOR		2028		2012		680,865		2.74	%
MLCC 2003-F A2	AAA			09/25/03		270,000	6m LIBOR		2028		2012		221,419		2.46	%
MLCC 2003-F A3	AAA			09/25/03		175,000	Pass Through		2028		2012		151,270		3.73	%
MLCC 2003-F B1	AA			09/25/03		13,913	1m LIBOR		2028		2012		13,913		3.02	%
MLCC 2003-H A1	AAA			12/22/03		365,708	1m LIBOR		2029		2012		316,969		2.74	%
MLCC 2003-H A2	AAA			12/22/03		240,000	6m LIBOR		2029		2012		210,548		3.11	%
MLCC 2003-H A3A	AAA			12/22/03		119,613	Pass Through		2029		2012		101,975		3.68	%
MLCC 2003-H B1	AA			12/22/03		7,875	1m LIBOR		2029		2012		7,875		2.97	%
MLCC 2003-H B2		A		12/22/03		6,000	1m LIBOR		2029		2012		6,000		3.67	%
Sequoia 2004-1 A1	AAA			01/28/04		601,250	6m LIBOR		2034		2010		518,654		2.19	%
Sequoia 2004-1 B1	AA			01/28/04		9,375	1m LIBOR		2034		2010		9,375		2.96	%
Sequoia 2004-1 B2		A		01/28/04		5,937	1m LIBOR		2034		2010		5,937		3.46	%
Sequoia 2004-2 A1	AAA			02/25/04		671,998	6m LIBOR		2034		2010		565,832		2.19	%
Sequoia 2004-2 B1	AA			02/25/04		11,550	1m LIBOR		2034		2010		11,550		2.91	%
Sequoia 2004-2 B2		A		02/25/04		7,000	1m LIBOR		2034		2010		7,000		3.39	%
Sequoia 2004-3 A1	AAA			03/30/04		894,673	6m LIBOR		2034		2010		761,947		2.33	%
Sequoia 2004-3 M1	AA			03/30/04		13,800	1m LIBOR		2034		2010		13,800		2.91	%
Sequoia 2004-3 M2		A		03/30/04		9,200	1m LIBOR		2034		2010		9,200		3.31	%
Sequoia 2004-4 A1	AAA			04/29/04		785,971	6m LIBOR		2010		2010		685,144		2.46	%
Sequoia 2004-4 B1	AA			04/29/04		14,612	1m LIBOR		2010		2010		14,612		2.91	%
Sequoia 2004-4 B2		A		04/29/04		8,350	1m LIBOR		2010		2010		8,350		3.31	%
Sequoia 2004-5 A1	AAA			05/27/04		547,657	Pass Through		2012		2012		477,449		3.56	%
Sequoia 2004-5 A2	AAA			05/27/04		185,613	1m LIBOR		2012		2012		166,672		2.67	%
Sequoia 2004-5 A3	AAA			05/27/04		74,897	6m LIBOR		2012		2012		67,255		2.82	%
Sequoia 2004-5 B1	AA			05/27/04		14,874	1m LIBOR		2012		2012		14,874		2.89	%
Sequoia 2004-5 B2		A		05/27/04		8,499	1m LIBOR		2012		2012		8,499		3.29	%
Sequoia 2004-6 A1	AAA			06/29/04		500,000	Pass Through		2012		2012		453,487		3.27	%
Sequoia 2004-6 A2	AAA			06/29/04		185,687	1m LIBOR		2012		2012		169,261		2.69	%
Sequoia 2004-6 A3a	AAA			06/29/04		196,500	6m LIBOR		2012		2012		181,126		3.02	%
Sequoia 2004-6 A3b	AAA			06/29/04		3,500	6m LIBOR		2012		2012		3,226		3.16	%
Sequoia 2004-6 B1	AA			06/29/04		15,725	1m LIBOR		2012		2012		15,725		2.91	%
Sequoia 2004-6 B2		A		06/29/04		9,250	1m LIBOR		2012		2012		9,250		3.29	%
SMHT 2004-1	AAA			06/29/04		317,044	1m LIBOR		2014		2012		286,129		2.64	%
Sequoia 2004-7 A1	AAA			07/29/04		498,828	Pass Through		2034		2012		253,139		2.99	%
Sequoia 2004-7 A2	AAA			07/29/04		252,102	1m LIBOR		2034		2012		235,600		2.72	%
Sequoia 2004-7 A3a	AAA			07/29/04		247,874	6m LIBOR		2034		2012		231,820		2.29	%
Sequoia 2004-7 A3b	AAA			07/29/04		3,956	6m LIBOR		2034		2012		3,700		2.51	%
Sequoia 2004-7 B1	AA			07/29/04		18,900	1m LIBOR		2034		2012		18,900		2.96	%
Sequoia 2004-7 B2		A		07/29/04		11,025	1m LIBOR		2034		2012		11,025		3.35	%
Sequoia 2004-8 A1	AAA			08/27/04		365,049	1m LIBOR		2034		2012		347,742		2.76	%
Sequoia 2004-8 A2	AAA			08/27/04		418,050	6m LIBOR		2034		2012		401,678		2.35	%
Sequoia 2004-8 B1	AA			08/27/04		16,400	1m LIBOR		2034		2012		16,400		2.93	%
Sequoia 2004-8 B2		A		08/27/04		8,200	1m LIBOR		2034		2012		8,200		3.31	%
Sequoia 2004-9 A1	AAA			09/29/04		453,364	1m LIBOR		2034		2012		440,129		2.75	%
Sequoia 2004-9 A2	AAA			09/29/04		296,310	6m LIBOR		2034		2012		289,691		2.53	%
Sequoia 2004-9 B1	AA			09/29/04		14,915	1m LIBOR		2034		2012		14,915		2.92	%
Sequoia 2004-9 B2		A		09/29/04		8,242	1m LIBOR		2034		2012		8,242		3.29	%
Sequoia 2004-10 A-1A	AAA			10/28/04		110,000	1m LIBOR		2034		2012		108,063		2.72	%
Sequoia 2004-10 A-1B	AAA			10/28/04		12,225	1m LIBOR		2034		2012		12,010		2.78	%
Sequoia 2004-10 A-2	AAA			10/28/04		203,441	1m LIBOR		2034		2012		199,858		2.73	%
Sequoia 2004-10 A-3A	AAA			10/28/04		180,000	6m LIBOR		2034		2012		176,399		2.57	%
Sequoia 2004-10 A-3B	AAA			10/28/04		20,000	6m LIBOR		2034		2012		19,600		2.63	%
Sequoia 2004-10 A-4	AAA			10/28/04		126,799	6m LIBOR		2034		2012		124,262		2.58	%
Sequoia 2004-10 B-1	AA			10/28/04		14,042	1m LIBOR		2034		2012		14,042		2.91	%
Sequoia 2004-10 B-2		A		10/28/04		6,849	1m LIBOR		2034		2012		6,849		3.26	%

Table 18: ABS Issued Characteristics — Residential Mortgage Loans (Sequoia) — continued

Table 18

ABS Issued Characteristics — Residential Mortgage Loans (Sequoia)
(all $ in thousands)

												Principal		Interest
					Original					Estimated		Outstanding		Rate At
Sequoia	Debt		Issue		Issue			Stated		Callable		At December. 31,		December. 31
ABS Issued	Rating		Date		Amount		Index	Maturity		Date		2004		2004
Sequoia 2004-11 A1	AAA			11/23/04		433,985	1m LIBOR		2034		2012		429,943		2.71	%
Sequoia 2004-11 A2	AAA			11/23/04		86,036	6m LIBOR		2034		2012		85,331		3.04	%
Sequoia 2004-11 A3	AAA			11/23/04		170,694	1m LIBOR		2034		2012		167,007		2.71	%
Sequoia 2004-11 B1	AA			11/23/04		8,947	1m LIBOR		2034		2012		8,947		2.91	%
Sequoia 2004-11 B2		A		11/23/04		6,084	1m LIBOR		2034		2012		6,084		3.26	%
Sequoia 2004-12 A1	AAA			12/22/04		380,510	1m LIBOR		2035		2012		380,509		2.68	%
Sequoia 2004-12 A2	AAA			12/22/04		208,392	6m LIBOR		2035		2012		208,392		3.04	%
Sequoia 2004-12 A3	AAA			12/22/04		218,331	6m LIBOR		2035		2012		218,331		3.07	%
Sequoia 2004-12 B1	AA			12/22/04		8,588	1m LIBOR		2035		2012		8,588		2.91	%
Sequoia 2004-12 B2		A		12/22/04		6,134	1m LIBOR		2035		2012		6,134		3.26	%
									��
Total Sequoia ABS Issuance					$	29,116,039							21,660,144		2.74	%

Does not include Sequoia ABS acquired by Redwood or Acacia

Table 19: ABS Issued Characteristics — IO’s from Residential Real Esate Loans
Sequoia Interest-Only Certificates Issued (all $ in thousands)

Table 19
ABS Characteristics — IO’s from Residential Real Estate Loans — Sequoia Interest Only Cerfiticates Issued
(all $ in thousands)

											Adjusted		Interest
				Original					Estimated		Issue Amount		Rate At
Sequoia ABS	Debt	Issue		Issue			Stated		Callable		At December. 31,		December. 31
IO's Issued	Rating	Date		Amount		Index	Maturity		Date		2004		2004
MLCC 2003-C X-A-2	AAA		06/26/03		12,662	Fixed		2007		2007		3,427		4.50	%
MLCC 2003-D X-A-1	AAA		07/29/03		22,371	Fixed		2007		2007		7,391		4.50	%
MLCC 2003-E X-A-1	AAA		08/28/03		16,550	Fixed		2007		2007		7,655		4.25	%
MLCC 2003-F X-A-1	AAA		09/25/03		18,666	Fixed		2007		2007		8,877		4.50	%
Sequoia 2003-6 X-1	AAA		10/29/03		8,220	Fixed		2007		2007		3,984		4.50	%
SMFC 2003A AX1	AAA		10/31/03		70,568	Fixed		2007		2007		31,215		4.50	%
Sequoia 2003-7 X-1	AAA		11/25/03		10,345	Fixed		2007		2007		5,257		4.25	%
Sequoia 2003-8 X-1	AAA		12/23/03		12,256	Fixed		2007		2007		6,591		4.50	%
Sequoia 2004-1 X-1	AAA		01/28/04		7,801	Fixed		2007		2007		4,463		4.00	%
Sequoia 2004-2 X-1	AAA		02/25/04		8,776	Fixed		2007		2007		5,266		3.75	%
SMFC 2004A AX1	AAA		02/26/04		10,626	Fixed		2007		2007		8,783		3.75	%
MLCC 2003-H X-A-1	AAA		12/22/03		10,430	Fixed		2007		2007		5,863		4.25	%
Sequoia 2004-4 X-1	AAA		05/28/04		9,789	Fixed		2010		2010		6,893		4.25	%
Sequoia 2004-5 X-1	AAA		05/27/04		3,371	Fixed		2012		2012		2,278		4.15	%
Sequoia 2004-6 X-A	AAA		06/29/04		10,884	WAC IO		2012		2012		9,562		N/A
Sequoia 2004-7 X-A	AAA		07/29/04		12,145	WAC IO		2034		2012		10,568		N/A
Sequoia 2004-8 X-A	AAA		08/27/04		18,270	WAC IO		2034		2012		16,737		N/A
Sequoia 2004-9 X-A	AAA		09/29/04		16,951	WAC IO		2034		2012		15,665		N/A
Sequoia 2004-10 X-A	AAA		10/28/04		14,735	WAC IO		2034		2012		13,979		N/A
Sequoia 2004-11 X-A-1	AAA		11/23/04		12,603	WAC IO		2034		2012		12,281		N/A
Sequoia 2004-11 X-A-2	AAA		11/23/04		4,697	WAC IO		2034		2012		4,578		N/A
Sequoia 2004-12 X-A-1	AAA		12/22/04		14,453	WAC IO		2035		2012		14,453		N/A
Sequoia 2004-12 X-A-2	AAA		12/22/04		4,619	WAC IO		2035		2012		4,619		N/A
Total Sequoia Issuance				$	331,788						$	210,385		4.31	%

Does not include Sequoia IO’s acquired by Redwood or Acacia

Table 20: ABS Characteristics — Commercial Real Estate Loans (all $ in thousands)

Table 20 ABS Characteristics — Commercial Real Estate Loans (all $ in thousands)

Principal

Interest

Original

Estimated

Outstanding At

Rate At

Commercial

Debt

Issue

Issue

Stated

Callable

At December. 31,

December. 31

ABS Issued

Rating

Date

Amount

Index

Maturity

Date

2004

2004

Commercial 1

NR

03/30/01

$

9,010

1m LIBOR

2002

Paid Off

$

—

NM

Commercial 2

NR

03/30/01

8,320

1m LIBOR

2003

Paid Off

—

NM

Commercial 3

NR

03/01/02

8,318

1m LIBOR

2003

Paid Off

—

NM

Commercial 4

NR

08/18/03

5,595

6m LIBOR

2009

NC

5,493

9.50

%

Commercial 5

NR

12/10/04

4,030

6m LIBOR

2,005

NC

4,030

8.50

%

Total Commercial Issuance

$

35,273

$

9,523

9.08

%

Table 21: ABS, CDO and Resecuritization Characteristics
Collateralized Debt Obligations and Other Resecuritizations — Acacia and SMFC (all $ in thousands)

Table 21
ABS Characteristics
Collateralized Debt Obligations and Other Resecuritizations — Acacia and SMFC
(all $ in thousands)

												Principal		Interest
CDO & Other					Original					Estimated		Outstanding		Rate At
Resecuritization	Debt		Issue		Issue			Stated		Callable		At December. 31,		December. 31
Issuance	Rating		Date		Amount		Index	Maturity		Date		2004		2004
SMFC 2002A A1	AAA			04/30/02		64,761	1m LIBOR		2030		2005		9,186		2.88	%
SMFC 2002A A2	AAA			04/30/02		15,861	1m LIBOR		2029		2005		1,260		3.43	%
Acacia CDO 1 A	AAA			12/10/02		224,250	3m LIBOR		2018		2010		213,250		3.02	%
Acacia CDO 1 B	AA			12/10/02		45,000	3m LIBOR		2037		2010		45,000		3.74	%
Acacia CDO 1 C	BBB			12/10/02		15,750	3m LIBOR		2037		2010		15,750		5.14	%
SMFC 2002B I A1	AA			12/19/02		16,855	Fixed		2031		2005		904		5.43	%
SMFC 2002B I A2		A		12/19/02		18,274	Fixed		2031		2005		980		5.68	%
SMFC 2002B I A3	BBB			12/19/02		17,221	Fixed		2031		2005		924		6.38	%
SMFC 2002B I A4	BB			12/19/02		25,133	Fixed		2031		2005		1,349		6.75	%
SMFC 2002B II A1	AA			12/19/02		15,517	Fixed		2039		2005		1,758		4.82	%
SMFC 2002B II A2		A		12/19/02		18,345	Fixed		2039		2005		2,079		4.92	%
SMFC 2002B II A3	BBB			12/19/02		14,989	Fixed		2039		2005		1,699		5.35	%
SMFC 2002B II A4	BB			12/19/02		8,347	Fixed		2039		2005		946		6.00	%
Acacia CDO 2 A	AAA			05/13/03		222,000	3m LIBOR		2023		2011		214,533		3.09	%
Acacia CDO 2 B	AA			05/13/03		45,375	3m LIBOR		2038		2011		45,375		3.74	%
Acacia CDO 2 C	BBB			05/13/03		16,500	3m LIBOR		2038		2011		16,500		5.69	%
Acacia CDO 3 A	AAA			11/04/03		222,000	3m LIBOR		2038		2011		221,640		3.09	%
Acacia CDO 3 B	AA			11/04/03		45,750	3m LIBOR		2038		2011		45,750		3.74	%
Acacia CDO 3 C	BBB			11/04/03		16,500	3m LIBOR		2038		2011		16,500		5.69	%
Acacia CDO 4 A	AAA			04/08/04		229,400	3m LIBOR		2039		2012		229,196		2.44	%
Acacia CDO 4 B1	AA			04/08/04		45,300	3m LIBOR		2039		2012		45,300		2.91	%
Acacia CDO 4 B2	AA			04/08/04		2,000	Fixed		2039		2012		2,000		4.81	%
Acacia CDO 4 C1	BBB			04/08/04		13,700	3m LIBOR		2039		2012		13,700		4.91	%
Acacia CDO 4 C2	BBB			04/08/04		3,000	Fixed		2039		2012		3,000		6.81	%
Acacia CDO 5 A	AAA			07/14/04		222,500	3m LIBOR		2039		2012		222,473		2.59	%
Acacia CDO 5 B	AA			07/14/04		42,250	3m LIBOR		2039		2012		42,250		3.06	%
Acacia CDO 5 C		A		07/14/04		9,000	3m LIBOR		2039		2012		9,000		3.66	%
Acacia CDO 5 D		A		07/14/04		3,000	3m LIBOR		2039		2012		3,000		4.21	%
Acacia CDO 5 E	BBB			07/14/04		5,375	3m LIBOR		2039		2012		5,375		5.01	%
Acacia CDO 6 A1	AAA			11/09/04		222,000	3m LIBOR		2040		2012		222,000		2.59	%
Acacia CDO 6 A2	AAA			11/09/04		15,000	3m LIBOR		2040		2012		15,000		2.88	%
Acacia CDO 6 B	AA			11/09/04		27,000	3m LIBOR		2040		2012		27,000		3.03	%
Acacia CDO 6 C		A		11/09/04		6,500	3m LIBOR		2040		2012		6,500		3.58	%
Acacia CDO 6 D		A		11/09/04		3,000	3m LIBOR		2040		2012		3,000		4.23	%
Acacia CDO 6 E1	BBB			11/09/04		1,500	3m LIBOR		2040		2012		1,500		5.03	%
Acacia CDO 6 E2	BBB			11/09/04		7,000	Fixed		2040		2012		7,000		6.95	%
Total Resecuritizations					$	1,925,953						$	1,712,677		3.05	%

Does not include securities acquired by Redwood or Acacia

End