Exhibit 99.1
SUPPLEMENTAL FINANCIAL INFORMATION
QUARTER ENDED September 30, 2005
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 GAAP EARNINGS
Core GAAP earnings are not a measure of earnings in accordance with GAAP. We attempt to strip some of the elements out of GAAP earnings 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. 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 include 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 GAAP earnings. Similarly, we have issued certain stock options that are “variable” and thus are marked-to-market for GAAP purposes. 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 GAAP earnings. Management believes that core GAAP earnings provide relevant and useful information regarding results from operations in addition to GAAP measures of performance. This is, in part, because market valuation adjustments on only a portion of the company’s assets and stock options and none of its liabilities are recognized through the income statement under GAAP and thus GAAP valuation adjustments may not be fully indicative of changes in market values on the balance sheet as a whole or a reliable guide to current operating performance. Furthermore, gains or losses realized upon sales of assets vary based on portfolio management decisions; a sale of an asset for a gain or a loss may or may not affect on going earnings from operations. Because all companies and analysts do not calculate non-GAAP measures such as core GAAP earnings in the same fashion, core GAAP earnings as calculated by the company may not be comparable to similarly titled measures reported by other companies.
CORE EQUITY
Core equity is not a measure calculated in accordance with GAAP. A reconciliation of core equity to GAAP equity appears in the table presenting balance sheet data. 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 GAAP equity with mark-to-market gains and losses (“accumulated other comprehensive income”) excluded. It is, we believe, a good 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 calculations differ 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.
CORE TAXABLE INCOME
Core taxable income is defined by Redwood management. Core taxable income is the pre-tax income we earn at the REIT and our taxable subsidiaries before gains and losses on asset sales and call and certain other expenses such as deductions for stock option exercises.
REDWOOD EARNING ASSETS
Redwood’s real earning assets in an economic sense (real assets that are sitting in our custodial account) totaled approximately $1.0 billion at the end of the third quarter of 2005. Included in this amount are securities we have acquired from securitizations we have sponsored with a cost basis of approximately $211 million. All of the $18 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 $162 million at the end of the third quarter of 2005. Our GAAP balance sheet shows liabilities of $18 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 eighteen times equity. In fact, Redwood has $162 million of true debt and $1.0 billion of GAAP equity supporting $1.0 billion of earning assets and $1.2 billion of total assets (as of September 30, 2005). 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)
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | | | | | Q3:2005 | | | Q3:2004 | |
Interest income (Redwood and consolidated trusts) | | $ | 245,735 | | | $ | 248,669 | | | $ | 236,957 | | | $ | 204,834 | | | $ | 171,804 | | | $ | 144,865 | | | $ | 130,158 | | | | | | | $ | 731,361 | | | $ | 446,827 | |
Discount amortization income | | | 12,714 | | | | 8,395 | | | | 9,316 | | | | 9,146 | | | | 9,012 | | | | 9,077 | | | | 8,836 | | | | | | | | 30,425 | | | | 26,925 | |
Premium amortization expense | | | (15,698 | ) | | | (10,203 | ) | | | (8,082 | ) | | | (7,105 | ) | | | 802 | | | | (14,463 | ) | | | (11,646 | ) | | | | | | | (33,983 | ) | | | (25,307 | ) |
Provision for credit losses | | | 805 | | | | 1,527 | | | | (1,025 | ) | | | (1,697 | ) | | | (1,528 | ) | | | (1,500 | ) | | | (2,511 | ) | | | | | | | 1,307 | | | | (5,539 | ) |
| | | | | | | | |
Total GAAP Interest Income | | | 243,556 | | | | 248,388 | | | | 237,166 | | | | 205,178 | | | | 180,090 | | | | 137,979 | | | | 124,837 | | | | | | | | 729,110 | | | | 442,906 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest expense on Redwood Trust’s debt | | | (3,845 | ) | | | (1,825 | ) | | | (2,728 | ) | | | (2,560 | ) | | | (2,312 | ) | | | (2,490 | ) | | | (2,571 | ) | | | | | | | (8,398 | ) | | | (7,373 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS expenses consolidated from trusts | | | (191,035 | ) | | | (191,985 | ) | | | (173,182 | ) | | | (143,078 | ) | | | (108,237 | ) | | | (78,809 | ) | | | (69,069 | ) | | | | | | | (556,202 | ) | | | (256,115 | ) |
ABS issuance expense amortization | | | (5,162 | ) | | | (5,386 | ) | | | (5,273 | ) | | | (4,783 | ) | | | (4,197 | ) | | | (4,305 | ) | | | (3,543 | ) | | | | | | | (15,821 | ) | | | (12,045 | ) |
ABS interest agreement expense | | | 623 | | | | 876 | | | | 1,469 | | | | 606 | | | | (2,888 | ) | | | (5,988 | ) | | | (4,965 | ) | | | | | | | 2,968 | | | | (13,841 | ) |
ABS issuance premium amortization income | | | 2,733 | | | | 3,140 | | | | 3,747 | | | | 2,644 | | | | 2,823 | | | | 1,233 | | | | 571 | | | | | | | | 9,620 | | | | 4,627 | |
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Total consolidated ABS expense | | | (192,841 | ) | | | (193,355 | ) | | | (173,239 | ) | | | (144,611 | ) | | | (112,499 | ) | | | (87,869 | ) | | | (77,006 | ) | | | | | | | (559,435 | ) | | | (277,374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GAAP net interest income | | | 46,870 | | | | 53,208 | | | | 61,199 | | | | 58,007 | | | | 65,279 | | | | 47,620 | | | | 45,260 | | | | | | | | 161,277 | | | | 158,159 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed compensation expense | | | (2,802 | ) | | | (2,623 | ) | | | (2,778 | ) | | | (2,009 | ) | | | (1,959 | ) | | | (1,842 | ) | | | (2,230 | ) | | | | | | | (8,203 | ) | | | (6,031 | ) |
Variable compensation expense | | | (4,304 | ) | | | (4,824 | ) | | | (4,279 | ) | | | (2,908 | ) | | | (3,443 | ) | | | (4,722 | ) | | | (4,022 | ) | | | | | | | (13,407 | ) | | | (12,187 | ) |
Fair value of stock options granted | | | 47 | | | | (348 | ) | | | (370 | ) | | | (299 | ) | | | (133 | ) | | | (547 | ) | | | (310 | ) | | | | | | | (671 | ) | | | (990 | ) |
Other operating expense | | | (3,866 | ) | | | (3,179 | ) | | | (3,322 | ) | | | (2,565 | ) | | | (2,512 | ) | | | (1,781 | ) | | | (1,735 | ) | | | | | | | (10,367 | ) | | | (6,028 | ) |
| | | | | | | | |
Operating expenses | | | (10,925 | ) | | | (10,974 | ) | | | (10,749 | ) | | | (7,781 | ) | | | (8,047 | ) | | | (8,892 | ) | | | (8,297 | ) | | | | | | | (32,648 | ) | | | (25,236 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Excise taxes | | | (285 | ) | | | (308 | ) | | | (307 | ) | | | 165 | | | | (301 | ) | | | (190 | ) | | | (300 | ) | | | | | | | (900 | ) | | | (791 | ) |
Variable stock option market value change | | | 16 | | | | (2 | ) | | | 84 | | | | 3 | | | | (213 | ) | | | 621 | | | | (1,429 | ) | | | | | | | 98 | | | | (1,021 | ) |
| | | | | | | | |
Total GAAP operating expenses | | | (11,194 | ) | | | (11,284 | ) | | | (10,972 | ) | | | (7,613 | ) | | | (8,561 | ) | | | (8,461 | ) | | | (10,026 | ) | | | | | | | (33,450 | ) | | | (27,048 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Realized gains on calls of residential CES | | | 2,914 | | | | 4,421 | | | | 7,548 | | | | 11,205 | | | | 20,472 | | | | 15,246 | | | | 11,816 | | | | | | | | 14,883 | | | | 47,534 | |
Realized gains on asset sales | | | 23,053 | | | | 516 | | | | 8,347 | | | | — | | | | 489 | | | | 971 | | | | 6,255 | | | | | | | | 31,916 | | | | 7,715 | |
Loss on repurchase of ABS issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | | | | | — | | | | — | |
Valuation write-downs for EITF 99-20 | | | (1,158 | ) | | | (1,710 | ) | | | (391 | ) | | | (1,573 | ) | | | (422 | ) | | | (3,846 | ) | | | (558 | ) | | | | | | | (3,259 | ) | | | (4,826 | ) |
Interest rate agreements valuation adjustments | | | 107 | | | | (182 | ) | | | (492 | ) | | | (411 | ) | | | 47 | | | | (113 | ) | | | (1 | ) | | | | | | | (567 | ) | | | (67 | ) |
Valuation adjustments on real estate loans | | | — | | | | — | | | | — | | | | (375 | ) | | | — | | | | — | | | | (75 | ) | | | | | | | — | | | | (75 | ) |
| | | | | | | | |
Net gains and valuation adjustments | | | 24,916 | | | | 3,045 | | | | 15,012 | | | | 8,846 | | | | 20,586 | | | | 12,258 | | | | 17,437 | | | | | | | | 42,973 | | | | 50,281 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends on and earnings allocated to preferred stock | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | | | | | — | | | | — | |
Deferred tax benefit (one time Q2:2004) | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,180 | | | | — | | | | | | | | — | | | | 5,180 | |
Provision for income taxes | | | (4,693 | ) | | | (4,054 | ) | | | (4,677 | ) | | | (4,826 | ) | | | (4,962 | ) | | | (1,509 | ) | | | (1,880 | ) | | | | | | | (13,424 | ) | | | (8,351 | ) |
| | | | | | | | |
GAAP Net Income | | | 55,899 | | | $ | 40,915 | | | $ | 60,562 | | | $ | 54,414 | | | $ | 72,342 | | | $ | 55,088 | | | $ | 50,791 | | | | | | | $ | 157,376 | | | $ | 178,221 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Diluted shares for GAAP (000) | | | 25,314 | | | | 25,196 | | | | 25,021 | | | | 24,491 | | | | 22,728 | | | | 21,325 | | | | 20,399 | | | | | | | | 25,160 | | | | 21,486 | |
GAAP earnings per share | | $ | 2.21 | | | $ | 1.62 | | | $ | 2.42 | | | $ | 2.22 | | | $ | 3.18 | | | $ | 2.58 | | | $ | 2.49 | | | | | | | $ | 6.26 | | | $ | 8.29 | |
Table 2: Core Earnings (all $ in thousands, except per share data)
Table 2
Core Earnings
(all $ in thousands, except per share data)
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | | | | | Q3:2005 | | | Q3:2004 | |
GAAP income items not included in CORE | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Variable stock option market value change | | | 16 | | | | ($2 | ) | | $ | 84 | | | $ | 3 | | | | ($213 | ) | | $ | 621 | | | | ($1,429 | ) | | | | | | $ | 98 | | | | ($1,021 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Realized gains on calls of residential CES | | | 2,914 | | | | 4,421 | | | | 7,548 | | | | 11,205 | | | | 20,472 | | | | 15,246 | | | | 11,816 | | | | | | | | 14,883 | | | | 47,534 | |
Realized gains on asset sales | | | 23,053 | | | | 516 | | | | 8,347 | | | | — | | | | 489 | | | | 971 | | | | 6,255 | | | | | | | | 31,916 | | | | 7,715 | |
Loss on repurchase of ABS issued | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | | | | | — | | | | — | |
Valuation write-downs for EITF 99-20 | | | (1,158 | ) | | | (1,710 | ) | | | (391 | ) | | | (1,573 | ) | | | (422 | ) | | | (3,846 | ) | | | (558 | ) | | | | | | | (3,259 | ) | | | (4,826 | ) |
Interest rate agreements valuation adjustments | | | 107 | | | | (182 | ) | | | (492 | ) | | | (411 | ) | | | 47 | | | | (113 | ) | | | (1 | ) | | | | | | | (567 | ) | | | (67 | ) |
Commercial real estate valuation adjustments | | | — | | | | — | | | | — | | | | (375 | ) | | | — | | | | — | | | | (75 | ) | | | | | | | — | | | | (75 | ) |
| | | | | | | | |
Net gains and valuation adjustments | | | 24,916 | | | | 3,045 | | | | 15,012 | | | | 8,846 | | | | 20,586 | | | | 12,258 | | | | 17,437 | | | | | | | | 42,973 | | | | 50,281 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Deferred tax benefit (one time Q2:2004) | | | — | | | | | | | | — | | | | — | | | | — | | | | 5,180 | | | | — | | | | | | | | — | | | | 5,180 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total GAAP / CORE differences | | | 24,932 | | | | 3,043 | | | | 15,096 | | | | 8,849 | | | | 20,373 | | | | 18,059 | | | | 16,008 | | | | | | | | 43,071 | | | | 54,440 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core earnings | | | 30,967 | | | | 37,872 | | | | 45,466 | | | | 45,565 | | | | 51,969 | | | | 37,029 | | | | 34,783 | | | | | | | | 114,305 | | | | 123,781 | |
GAAP / CORE differences | | | 24,932 | | | | 3,043 | | | | 15,096 | | | | 8,849 | | | | 20,373 | | | | 18,059 | | | | 16,008 | | | | | | | | 43,071 | | | | 54,440 | |
| | | | | | | | |
GAAP Net Income | | | 55,899 | | | $ | 40,915 | | | $ | 60,562 | | | $ | 54,414 | | | $ | 72,342 | | | $ | 55,088 | | | $ | 50,791 | | | | | | | $ | 157,376 | | | $ | 178,221 | |
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Per Share Analysis | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Variable stock option market value change | | $ | 0.00 | | | | ($0.00 | ) | | $ | 0.00 | | | $ | 0.00 | | | | ($0.01 | ) | | $ | 0.03 | | | | ($0.07 | ) | | | | | | $ | 0.00 | | | | ($0.05 | ) |
Realized gains on calls of residential CES | | | 0.12 | | | | 0.18 | | | | 0.30 | | | | 0.46 | | | | 0.90 | | | | 0.71 | | | | 0.58 | | | | | | | | 0.59 | | | | 2.21 | |
Realized gains on asset sales | | | 0.91 | | | | 0.02 | | | | 0.33 | | | | 0.00 | | | | 0.02 | | | | 0.05 | | | | 0.30 | | | | | | | | 1.27 | | | | 0.36 | |
Loss on repurchase of ABS issued | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | | | | | 0.00 | | | | 0.00 | |
Valuation write-downs for EITF 99-20 | | | (0.05 | ) | | | (0.07 | ) | | | (0.02 | ) | | | (0.06 | ) | | | (0.02 | ) | | | (0.18 | ) | | | (0.03 | ) | | | | | | | (0.13 | ) | | | (0.22 | ) |
Interest rate agreements valuation adjustments | | | 0.00 | | | | (0.01 | ) | | | (0.01 | ) | | | (0.02 | ) | | | 0.00 | | | | 0.00 | | | | (0.00 | ) | | | | | | | (0.02 | ) | | | (0.00 | ) |
Commercial real estate valuation adjustments | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | (0.02 | ) | | | 0.00 | | | | (0.01 | ) | | | 0.00 | | | | | | | | 0.00 | | | | (0.00 | ) |
Deferred tax benefit (one time Q2:2004) | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.24 | | | | 0.00 | | | | | | | | 0.00 | | | | 0.24 | |
| | | | | | | | |
GAAP / CORE differences per share | | $ | 0.98 | | | $ | 0.12 | | | $ | 0.60 | | | $ | 0.36 | | | $ | 0.89 | | | $ | 0.84 | | | $ | 0.78 | | | | | | | $ | 1.71 | | | $ | 2.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CORE earnings per share | | | 1.22 | | | | 1.50 | | | | 1.82 | | | | 1.86 | | | | 2.29 | | | | 1.74 | | | | 1.71 | | | | | | | | 4.54 | | | | 5.76 | |
GAAP / CORE differences per share | | | 0.98 | | | | 0.12 | | | | 0.60 | | | | 0.36 | | | | 0.89 | | | | 0.84 | | | | 0.78 | | | | | | | | 1.71 | | | | 2.53 | |
| | | | | | | | |
GAAP earnings per share | | | 2.21 | | | $ | 1.62 | | | $ | 2.42 | | | $ | 2.22 | | | $ | 3.18 | | | $ | 2.58 | | | $ | 2.49 | | | | | | | | 6.25 | | | $ | 8.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Diluted shares outstanding (000) | | | 25,314 | | | | 25,196 | | | | 25,021 | | | | 24,491 | | | | 22,728 | | | | 21,325 | | | | 20,399 | | | | | | | | 25,160 | | | | 21,486 | |
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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
| | Estimated | | | Estimated | | | Estimated | | | | | | | | | | | | | | | | | | | Actual | | | Actual | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | 2004 | | | 2003 | | | 2005 | | | 2004 | |
GAAP net income | | $ | 55,899 | | | $ | 40,915 | | | $ | 60,562 | | | $ | 54,414 | | | $ | 72,342 | | | $ | 55,088 | | | $ | 50,791 | | | $ | 232,635 | | | $ | 131,698 | | | $ | 157,376 | | | $ | 178,221 | |
Interest income and expense differences | | | 1,353 | | | | (4,868 | ) | | | (20,091 | ) | | | (7,519 | ) | | | (23,527 | ) | | | 5,208 | | | | (1,150 | ) | | | (26,988 | ) | | | 22,324 | | | | (23,606 | ) | | | (19,469 | ) |
Provision for credit losses — GAAP | | | (805 | ) | | | (1,527 | ) | | | 1,025 | | | | 1,697 | | | | 1,528 | | | | 1,500 | | | | 2,511 | | | | 7,236 | | | | 8,646 | | | | (1,307 | ) | | | 5,539 | |
Tax deductions for realized credit losses | | | (562 | ) | | | (737 | ) | | | (438 | ) | | | (247 | ) | | | (127 | ) | | | (506 | ) | | | (4 | ) | | | (884 | ) | | | (825 | ) | | | (1,737 | ) | | | (637 | ) |
Long-term compensation differences | | | 2,892 | | | | 2,138 | | | | 1,969 | | | | (1,775 | ) | | | 402 | | | | 2,428 | | | | 2,904 | | | | 3,959 | | | | 7,522 | | | | 6,999 | | | | 5,734 | |
Stock option exercise deduction differences | | | (2,944 | ) | | | (143 | ) | | | (477 | ) | | | (3,094 | ) | | | (745 | ) | | | (109 | ) | | | (12,073 | ) | | | (16,021 | ) | | | (2,483 | ) | | | (3,564 | ) | | | (12,927 | ) |
Depreciation of fixed asset differences | | | 60 | | | | 166 | | | | 151 | | | | (176 | ) | | | (589 | ) | | | 46 | | | | (6 | ) | | | (725 | ) | | | (686 | ) | | | 377 | | | | (549 | ) |
Other operating expense differences | | | 283 | | | | (31 | ) | | | 69 | | | | (2,495 | ) | | | (34 | ) | | | 5 | | | | (16 | ) | | | (2,540 | ) | | | 885 | | | | 321 | | | | (45 | ) |
Sale of assets to third parties differences | | | (8,041 | ) | | | (2,476 | ) | | | (967 | ) | | | 1,428 | | | | (576 | ) | | | (536 | ) | | | (566 | ) | | | (250 | ) | | | (69 | ) | | | (11,484 | ) | | | (1,678 | ) |
Call income of residential CES differences | | | (319 | ) | | | 120 | | | | (2,324 | ) | | | (2,872 | ) | | | (3,961 | ) | | | (2,157 | ) | | | (1,899 | ) | | | (10,889 | ) | | | (8,402 | ) | | | (2,523 | ) | | | (8,017 | ) |
Tax gain on securitizations | | | (392 | ) | | | 808 | | | | 2,558 | | | | 10,749 | | | | 11,153 | | | | 10,303 | | | | — | | | | 32,205 | | | | — | | | | 2,974 | | | | 21,456 | |
Tax gain on intercompany sales and transfers | | | 170 | | | | 2,371 | | | | 3,260 | | | | 3,256 | | | | 28 | | | | (71 | ) | | | 7,546 | | | | 10,759 | | | | 2,823 | | | | 5,801 | | | | 7,503 | |
GAAP market valuation write downs (EITF 99-20) | | | 2,048 | | | | 820 | | | | 391 | | | | 1,572 | | | | 422 | | | | 3,846 | | | | 558 | | | | 6,398 | | | | 7,646 | | | | 3,259 | | | | 4,826 | |
Interest rate agreements differences | | | 216 | | | | 53 | | | | 202 | | | | (688 | ) | | | (278 | ) | | | 502 | | | | 50 | | | | (414 | ) | | | (229 | ) | | | 471 | | | | 274 | |
Provision for excise tax — GAAP | | | 285 | | | | 308 | | | | 307 | | | | (165 | ) | | | 301 | | | | 190 | | | | 300 | | | | 626 | | | | 1,203 | | | | 900 | | | | 791 | |
Provision for income tax differences | | | 5,013 | | | | 3,035 | | | | 134 | | | | 4,827 | | | | 2,834 | | | | (3,672 | ) | | | 1,881 | | | | 5,870 | | | | 5,502 | | | | 8,182 | | | | 1,043 | |
Preferred dividend — GAAP | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 696 | | | | — | | | | — | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total taxable income (pre-tax) | | | 55,156 | | | | 40,952 | | | | 46,331 | | | | 58,912 | | | | 59,173 | | | | 72,065 | | | | 50,827 | | | | 240,977 | | | | 176,251 | | | | 142,439 | | | | 182,065 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Earnings from taxable subsidiaries | | | (8,038 | ) | | | (1,715 | ) | | | (1,170 | ) | | | (8,903 | ) | | | (10,143 | ) | | | (11,721 | ) | | | (8,337 | ) | | | (39,104 | ) | | | (7,861 | ) | | | (10,923 | ) | | | (30,201 | ) |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REIT taxable income (pre-tax) | | | 47,118 | | | $ | 39,237 | | | $ | 45,161 | | | | 50,009 | | | $ | 49,030 | | | $ | 60,344 | | | $ | 42,490 | | | | 201,873 | | | $ | 168,390 | | | | 131,516 | | | | 151,864 | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common shares outstanding at period end (000) | | | 24,764 | | | | 24,647 | | | | 24,514 | | | | 24,154 | | | | 23,346 | | | | 21,511 | | | | 19,796 | | | | 24,154 | | | | 19,063 | | | | 24,764 | | | | 23,346 | |
Total taxable income per share | | $ | 2.23 | | | $ | 1.66 | | | $ | 1.89 | | | $ | 2.44 | | | $ | 2.53 | | | $ | 3.35 | | | $ | 2.57 | | | $ | 10.89 | | | $ | 9.64 | | | $ | 5.78 | | | $ | 8.45 | |
REIT taxable income per share | | $ | 1.91 | | | $ | 1.59 | | | $ | 1.84 | | | $ | 2.07 | | | $ | 2.10 | | | $ | 2.81 | | | $ | 2.15 | | | $ | 9.12 | | | $ | 9.21 | | | $ | 5.34 | | | $ | 7.05 | |
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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
| | Estimated | | | Estimated | | | Estimated | | | | | | | | | | | | | | | | | | | Actual | | | Actual | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | 2004 | | | 2003 | | | Q3:2005 | | | Q3:2004 | |
Taxable income in taxable subs (pre-tax) | | | 8,038 | | | $ | 1,715 | | | $ | 1,170 | | | $ | 8,903 | | | $ | 10,143 | | | $ | 11,721 | | | $ | 8,337 | | | $ | 39,104 | | | $ | 7,861 | | | | 10,923 | | | $ | 30,201 | |
REIT taxable income (pre-tax) | | | 47,118 | | | | 39,237 | | | | 45,161 | | | | 50,009 | | | | 49,030 | | | | 60,344 | | | | 42,490 | | | | 201,873 | | | | 168,390 | | | | 131,516 | | | | 151,864 | |
| | |
Total taxable income (pre-tax) | | $ | 55,156 | | | $ | 40,952 | | | $ | 46,331 | | | $ | 58,912 | | | $ | 59,173 | | | $ | 72,065 | | | $ | 50,827 | | | $ | 240,977 | | | $ | 176,251 | | | | 142,439 | | | $ | 182,065 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core income (loss) in taxable subs (pre-tax) | | $ | 7,931 | | | | ($611 | ) | | | ($1,996 | ) | | | ($2,185 | ) | | | ($1,275 | ) | | $ | 1,741 | | | $ | 910 | | | | ($809 | ) | | $ | 7,192 | | | $ | 5,324 | | | $ | 1,376 | |
Income from calls and sales in taxable subs (pre-tax) | | $ | 107 | | | | 2,326 | | | | 3,166 | | | | 11,088 | | | | 11,418 | | | | 9,980 | | | | 7,427 | | | | 39,913 | | | | 669 | | | | 5,599 | | | | 28,825 | |
| | |
Taxable income in taxable subs (pre-tax) | | $ | 8,038 | | | $ | 1,715 | | | $ | 1,170 | | | $ | 8,903 | | | $ | 10,143 | | | $ | 11,721 | | | $ | 8,337 | | | $ | 39,104 | | | $ | 7,861 | | | $ | 10,923 | | | $ | 30,201 | |
Income tax for taxable subs (actual tax due) | | | (3,652 | ) | | | (870 | ) | | | (830 | ) | | | (5,773 | ) | | | (4,574 | ) | | | (1,600 | ) | | | (1,150 | ) | | | (13,097 | ) | | | (873 | ) | | | (5,352 | ) | | | (7,324 | ) |
| | |
After-tax income in taxable subs | | $ | 4,386 | | | $ | 845 | | | $ | 340 | | | $ | 3,130 | | | $ | 5,569 | | | $ | 10,121 | | | $ | 7,187 | | | $ | 26,007 | | | $ | 6,988 | | | $ | 5,571 | | | $ | 22,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core REIT taxable income | | $ | 33,065 | | | $ | 36,198 | | | $ | 30,741 | | | $ | 42,544 | | | $ | 34,272 | | | $ | 47,040 | | | $ | 39,708 | | | $ | 163,564 | | | $ | 128,522 | | | $ | 100,004 | | | $ | 121,020 | |
Other ordinary REIT taxable income (expense) | | | (2,160 | ) | | | 3,166 | | | | (565 | ) | | | (3,094 | ) | | | (745 | ) | | | (109 | ) | | | (12,073 | ) | | | (16,021 | ) | | | (5,477 | ) | | | 441 | | | | (12,927 | ) |
| | |
Ordinary REIT taxable income | | $ | 30,905 | | | $ | 39,364 | | | $ | 30,176 | | | $ | 39,450 | | | $ | 33,527 | | | $ | 46,931 | | | $ | 27,635 | | | $ | 147,543 | | | $ | 123,045 | | | $ | 100,445 | | | $ | 108,093 | |
Net long-term capital gain REIT taxable income | | | 16,213 | | | | (127 | ) | | | 14,985 | | | | 10,559 | | | | 15,503 | | | | 13,413 | | | | 14,855 | | | | 54,330 | | | | 45,345 | | | | 31,071 | | | | 43,771 | |
| | |
REIT taxable income (pre-tax) | | $ | 47,118 | | | $ | 39,237 | | | $ | 45,161 | | | $ | 50,009 | | | $ | 49,030 | | | $ | 60,344 | | | $ | 42,490 | | | $ | 201,873 | | | $ | 168,390 | | | | 131,516 | | | | 151,864 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total core taxable income | | $ | 40,996 | | | $ | 35,587 | | | $ | 28,745 | | | $ | 40,359 | | | $ | 32,997 | | | $ | 48,781 | | | $ | 40,618 | | | $ | 162,755 | | | $ | 135,714 | | | $ | 105,328 | | | $ | 122,396 | |
Income from calls, sales and stock option exercises | | | 14,160 | | | | 5,365 | | | | 17,586 | | | | 18,553 | | | | 26,176 | | | | 23,284 | | | | 10,209 | | | | 78,222 | | | | 40,537 | | | | 37,111 | | | | 59,669 | |
| | |
Total taxable income (pre-tax) | | $ | 55,156 | | | $ | 40,952 | | | $ | 46,331 | | | $ | 58,912 | | | $ | 59,173 | | | $ | 72,065 | | | $ | 50,827 | | | $ | 240,977 | | | $ | 176,251 | | | $ | 142,439 | | | $ | 182,065 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REIT taxable income (pre-tax) | | | 47,118 | | | $ | 39,237 | | | $ | 45,161 | | | $ | 50,009 | | | $ | 49,030 | | | $ | 60,344 | | | $ | 42,490 | | | $ | 201,873 | | | $ | 168,390 | | | | 131,516 | | | $ | 151,864 | |
Excise taxes due to deferrals | | | (285 | ) | | | (308 | ) | | | (307 | ) | | | 293 | | | | (301 | ) | | | (190 | ) | | | (300 | ) | | | (498 | ) | | | (1,305 | ) | | | (900 | ) | | | ($791 | ) |
Income taxes due to earnings retention (actual tax due) | | | (1,641 | ) | | | (1,830 | ) | | | (1,450 | ) | | | 14 | | | | (1,537 | ) | | | (2,151 | ) | | | (1,267 | ) | | | (4,941 | ) | | | (5,619 | ) | | | (4,921 | ) | | | (4,955 | ) |
| | |
REIT taxable income available for distribution | | | 45,192 | | | $ | 37,099 | | | $ | 43,404 | | | $ | 50,316 | | | $ | 47,192 | | | $ | 58,003 | | | $ | 40,923 | | | $ | 196,434 | | | $ | 161,466 | | | | 125,695 | | | | 146,118 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After-tax income in taxable subs | | $ | 4,386 | | | $ | 845 | | | $ | 340 | | | $ | 3,130 | | | $ | 5,569 | | | $ | 10,121 | | | $ | 7,187 | | | $ | 26,007 | | | $ | 6,988 | | | $ | 5,571 | | | $ | 22,877 | |
REIT taxable income available for distribution | | | 45,192 | | | | 37,099 | | | | 43,404 | | | | 50,316 | | | | 47,192 | | | | 58,003 | | | | 40,923 | | | | 196,434 | | | | 161,466 | | | | 125,695 | | | | 146,118 | |
| | |
Total taxable income (after-tax) | | $ | 49,578 | | | $ | 37,944 | | | $ | 43,744 | | | $ | 53,446 | | | $ | 52,761 | | | $ | 68,124 | | | $ | 48,110 | | | $ | 222,441 | | | $ | 168,454 | | | $ | 131,266 | | | $ | 168,995 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Regular dividend per share | | $ | 0.70 | | | $ | 0.70 | | | $ | 0.70 | | | $ | 0.67 | | | $ | 0.67 | | | $ | 0.67 | | | $ | 0.67 | | | $ | 2.68 | | | $ | 3.36 | | | $ | 2.10 | | | $ | 2.01 | |
Special dividend per share | | | — | | | | — | | | | — | | | | 5.50 | | | | — | | | | — | | | | 0.50 | | | | 6.00 | | | | 4.75 | | | | — | | | | 0.50 | |
| | |
Total dividends per share | | $ | 0.70 | | | $ | 0.70 | | | $ | 0.70 | | | $ | 6.17 | | | $ | 0.67 | | | $ | 0.67 | | | $ | 1.17 | | | $ | 8.68 | | | $ | 8.11 | | | $ | 2.10 | | | $ | 2.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares at period end (000) | | | 24,764 | | | | 24,647 | | | | 24,514 | | | | 24,154 | | | | 23,346 | | | | 21,511 | | | | 19,796 | | | | 24,154 | | | | 19,063 | | | | 24,764 | | | | 21510.6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends declared | | $ | 17,335 | | | $ | 17,253 | | | $ | 17,160 | | | $ | 146,707 | | | $ | 15,642 | | | $ | 14,412 | | | $ | 23,162 | | | $ | 199,923 | | | $ | 137,436 | | | | 51,748 | | | $ | 53,216 | |
Dividend deduction on stock issued through DRIP | | | 128 | | | | 112 | | | | 56 | | | | 1,048 | | | | 844 | | | | 712 | | | | 655 | | | | 3,259 | | | | 1,161 | | | | 296 | | | | 2,211 | |
| | |
Total dividend deductions | | $ | 17,463 | | | $ | 17,365 | | | $ | 17,216 | | | $ | 147,755 | | | $ | 16,486 | | | $ | 15,124 | | | $ | 23,817 | | | $ | 203,182 | | | $ | 138,597 | | | | 52,044 | | | $ | 55,427 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Taxable income (after-tax) retained in tax subs | | $ | 4,386 | | | $ | 845 | | | $ | 340 | | | $ | 3,130 | | | $ | 5,569 | | | $ | 10,121 | | | $ | 7,187 | | | $ | 26,007 | | | $ | 6,988 | | | $ | 5,571 | | | $ | 22,877 | |
REIT retained taxable income (after-tax)(1) | | | 1,165 | | | | 1,798 | | | | 1,261 | | | | 4,252 | | | | 1,515 | | | | 2,352 | | | | 1,197 | | | | 9,315 | | | | 5,381 | | | | 4,224 | | | | 5,063 | |
| | |
Total retained taxable earnings (after-tax) | | $ | 5,551 | | | $ | 2,643 | | | $ | 1,601 | | | $ | 7,382 | | | $ | 7,084 | | | $ | 12,473 | | | $ | 8,384 | | | $ | 35,322 | | | $ | 12,369 | | | $ | 9,795 | | | $ | 27,940 | |
Per share outstanding at quarter end | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core taxable income (pre-tax) | | $ | 1.66 | | | $ | 1.44 | | | $ | 1.17 | | | $ | 1.67 | | | $ | 1.41 | | | $ | 2.27 | | | $ | 2.05 | | | $ | 7.40 | | | $ | 7.49 | | | $ | 4.27 | | | $ | 5.73 | |
REIT taxable income (pre-tax) | | $ | 1.91 | | | $ | 1.59 | | | $ | 1.84 | | | $ | 2.07 | | | $ | 2.10 | | | $ | 2.81 | | | $ | 2.15 | | | $ | 9.12 | | | $ | 9.21 | | | $ | 5.34 | | | $ | 7.05 | |
Total taxable income (pre-tax) | | $ | 2.23 | | | $ | 1.66 | | | $ | 1.89 | | | $ | 2.44 | | | $ | 2.53 | | | $ | 3.35 | | | $ | 2.57 | | | $ | 10.89 | | | $ | 9.64 | | | $ | 5.78 | | | $ | 8.45 | |
Total retained taxable earnings (after-tax) | | $ | 0.22 | | | $ | 0.11 | | | $ | 0.07 | | | $ | 0.31 | | | $ | 0.30 | | | $ | 0.58 | | | $ | 0.42 | | | $ | 1.61 | | | $ | 0.65 | | | $ | 0.40 | | | $ | 1.30 | |
(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 | | | | | | | | | | | | | | | | | | | Actual | | | Actual | |
| | 9/30/2005 | | | 6/30/2005 | | | 3/31/2005 | | | 12/31/2004 | | | 9/30/2004 | | | 6/30/2004 | | | 3/31/2004 | | | 2004 | | | 2003 | |
Undistributed REIT taxable income (pre-tax): begin | | $ | 80,166 | | | $ | 62,218 | | | | 37,291 | | | $ | 138,981 | | | $ | 109,790 | | | $ | 69,263 | | | $ | 53,354 | | | $ | 53,354 | | | $ | 35,865 | |
REIT taxable income (pre-tax) | | | 47,118 | | | | 39,237 | | | | 45,161 | | | | 50,009 | | | | 49,030 | | | | 60,344 | | | | 42,490 | | | | 201,873 | | | | 168,390 | |
Permanently retained (pre-tax) | | | (3,102 | ) | | | (3,924 | ) | | | (3,018 | ) | | | (3,944 | ) | | | (3,353 | ) | | | (4,693 | ) | | | (2,764 | ) | | | (14,754 | ) | | | (12,305 | ) |
Dividend of 2003 income | | | — | | | | — | | | | — | | | | — | | | | (14,413 | ) | | | (15,124 | ) | | | (23,817 | ) | | | (53,354 | ) | | | (102,732 | ) |
Dividend of 2004 income | | | (2,710 | ) | | | (17,365 | ) | | | (17,216 | ) | | | (147,755 | ) | | | (2,073 | ) | | | — | | | | — | | | | (149,828 | ) | | | — | |
Dividend of 2005 income | | | (14,753 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | |
Undistributed REIT taxable income (pre-tax): end | | $ | 106,719 | | | $ | 80,166 | | | | 62,218 | | | $ | 37,291 | | | $ | 138,981 | | | $ | 109,790 | | | $ | 69,263 | | | $ | 37,291 | | | $ | 53,354 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at period end | | | 24,764 | | | | 24,647 | | | | 24,514 | | | | 24,154 | | | | 23,346 | �� | | | 21,511 | | | | 19,796 | | | | 24,154 | | | | 19,063 | |
Undistributed REIT taxable income (pre-tax) per share outstanding | | $ | 4.31 | | | $ | 3.25 | | | $ | 2.54 | | | $ | 1.54 | | | $ | 5.95 | | | $ | 5.10 | | | $ | 3.50 | | | $ | 1.54 | | | $ | 2.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Undistributed REIT taxable income (pre-tax) From 2003’s income | | | | | | | | | | | | | | | — | | | | — | | | | 14,413 | | | | 29,537 | | | | — | | | | 53,354 | |
From 2004’s income | | | — | | | | 2,710 | | | | 20,075 | | | | 37,291 | | | | 138,981 | | | | 95,377 | | | | 39,727 | | | | 37,291 | | | | — | |
From 2005’s income | | | 106,716 | | | | 77,456 | | | | 42,143 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | |
Total | | $ | 106,716 | | | $ | 80,166 | | | $ | 62,218 | | | | 37,291 | | | $ | 138,981 | | | $ | 109,790 | | | $ | 69,263 | | | $ | 37,611 | | | $ | 53,354 | |
Table 6: Assets (all $ in millions)
Table 6
Assets
(all $ in millions)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | Q4:2003 | | | Q3:2003 | |
Residential loans owned by Redwood | | $ | 17 | | | $ | 300 | | | $ | 256 | | | $ | 193 | | | $ | 259 | | | $ | 161 | | | $ | 97 | | | $ | 43 | | | $ | 406 | |
Residential loans consolidated from entities | | | 16,324 | | | | 19,083 | | | | 21,237 | | | | 22,015 | | | | 21,299 | | | | 19,755 | | | | 17,989 | | | | 16,196 | | | | 13,407 | |
| | |
Total GAAP residential loans | | | 16,341 | | | | 19,383 | | | | 21,493 | | | | 22,208 | | | | 21,558 | | | | 19,916 | | | | 18,086 | | | | 16,239 | | | | 13,813 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
HELOC loans owned by Redwood | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
HELOC loans consolidated from entities | | | 215 | | | | 247 | | | | 279 | | | | 296 | | | | 317 | | | | 327 | | | | — | | | | — | | | | — | |
| | |
Total GAAP HELOC loans | | | 215 | | | | 247 | | | | 279 | | | | 296 | | | | 317 | | | | 327 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial loans owned by Redwood | | | 21 | | | | 16 | | | | 22 | | | | 32 | | | | 21 | | | | 25 | | | | 14 | | | | 14 | | | | 15 | |
Commercial loans consolidated from entities | | | 35 | | | | 26 | | | | 35 | | | | 22 | | | | 12 | | | | 8 | | | | 8 | | | | 9 | | | | 9 | |
| | |
Total GAAP commercial loans | | | 56 | | | | 42 | | | | 57 | | | | 54 | | | | 33 | | | | 33 | | | | 22 | | | | 23 | | | | 24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential CES owned by Redwood | | | 338 | | | | 469 | | | | 373 | | | | 351 | | | | 327 | | | | 312 | | | | 256 | | | | 251 | | | | 204 | |
Residential CES consolidated from entities | | | 326 | | | | 237 | | | | 238 | | | | 211 | | | | 170 | | | | 131 | | | | 119 | | | | 128 | | | | 169 | |
| | |
Total GAAP residential CES | | | 664 | | | | 706 | | | | 611 | | | | 562 | | | | 497 | | | | 443 | | | | 375 | | | | 379 | | | | 373 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial CES owned by Redwood | | | 44 | | | | 29 | | | | 29 | | | | 14 | | | | 9 | | | | 2 | | | | 2 | | | | — | | | | — | |
Commercial CES consolidated from entities | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Total GAAP Commercial CES | | | 44 | | | | 29 | | | | 29 | | | | 14 | | | | 9 | | | | 2 | | | | 2 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other securities owned by Redwood | | | 234 | | | | 208 | | | | 70 | | | | 115 | | | | 161 | | | | 213 | | | | 237 | | | | 167 | | | | 125 | |
Other securities consolidated from entities | | | 1,549 | | | | 1,441 | | | | 1,435 | | | | 1,266 | | | | 1,069 | | | | 881 | | | | 698 | | | | 678 | | | | 480 | |
| | |
Total GAAP other securities | | | 1,783 | | | | 1,649 | | | | 1,505 | | | | 1,395 | | | | 1,239 | | | | 1,096 | | | | 937 | | | | 845 | | | | 605 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash owned by Redwood | | | 163 | | | | 72 | | | | 65 | | | | 57 | | | | 76 | | | | 38 | | | | 58 | | | | 58 | | | | 32 | |
Restricted cash consolidated from entities | | | 59 | | | | 48 | | | | 58 | | | | 36 | | | | 45 | | | | 20 | | | | 14 | | | | 22 | | | | 14 | |
Accrued interest receivable | | | 80 | | | | 85 | | | | 82 | | | | 72 | | | | 62 | | | | 49 | | | | 44 | | | | 40 | | | | 33 | |
Principal receivable | | | 2 | | | | — | | | | — | | | | 3 | | | | 1 | | | | 12 | | | | — | | | | 13 | | | | 2 | |
Interest rate agreements | | | 25 | | | | 13 | | | | 29 | | | | 16 | | | | 10 | | | | 17 | | | | 1 | | | | 2 | | | | — | |
Deferred tax asset | | | 8 | | | | 7 | | | | 8 | | | | 11 | | | | 9 | | | | 5 | | | | — | | | | — | | | | — | |
Deferred asset-backed security issuance costs | | | 56 | | | | 59 | | | | 63 | | | | 61 | | | | 58 | | | | 53 | | | | 47 | | | | 44 | | | | 36 | |
Other assets | | | 9 | | | | 6 | | | | 6 | | | | 7 | | | | 7 | | | | 7 | | | | 6 | | | | 5 | | | | 5 | |
| | |
Total GAAP assets | | $ | 19,505 | | | $ | 22,317 | | | $ | 24,256 | | | $ | 24,778 | | | $ | 23,912 | | | $ | 22,016 | | | $ | 19,590 | | | $ | 17,670 | | | $ | 14,937 | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential loans owned by Redwood | | $ | 17 | | | $ | 300 | | | $ | 256 | | | $ | 193 | | | $ | 259 | | | $ | 161 | | | $ | 97 | | | $ | 43 | | | $ | 406 | |
HELOC loans owned by Redwood | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Commercial loans owned by Redwood | | | 21 | | | | 16 | | | | 22 | | | | 32 | | | | 21 | | | | 25 | | | | 14 | | | | 14 | | | | 15 | |
Residential CES owned by Redwood | | | 338 | | | | 469 | | | | 373 | | | | 351 | | | | 327 | | | | 312 | | | | 256 | | | | 251 | | | | 204 | |
Commercial CES owned by Redwood | | | 44 | | | | 29 | | | | 29 | | | | 14 | | | | 9 | | | | 2 | | | | 2 | | | | — | | | | — | |
Other securities owned by Redwood | | | 234 | | | | 208 | | | | 70 | | | | 129 | | | | 170 | | | | 215 | | | | 239 | | | | 167 | | | | 125 | |
Cash owned by Redwood | | | 163 | | | | 72 | | | | 65 | | | | 57 | | | | 76 | | | | 38 | | | | 58 | | | | 58 | | | | 32 | |
Assets of securitizations for GAAP | | | 18,449 | | | | 21,034 | | | | 23,224 | | | | 23,810 | | | | 22,867 | | | | 21,102 | | | | 18,814 | | | | 17,011 | | | | 14,065 | |
ABS liabilities of entities for GAAP | | | (18,238 | ) | | | (20,815 | ) | | | (23,057 | ) | | | (23,630 | ) | | | (22,680 | ) | | | (20,923 | ) | | | (18,630 | ) | | | (16,826 | ) | | | (13,818 | ) |
| | |
Redwood earning assets — GAAP basis | | $ | 1,028 | | | $ | 1,313 | | | $ | 982 | | | $ | 956 | | | $ | 1,049 | | | $ | 932 | | | $ | 850 | | | $ | 718 | | | $ | 1,029 | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 7: Liabilities (all $ in millions) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 7 | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | Q4:2003 | | | Q3:2003 | |
Redwood Trust debt: short-term | | $ | 162 | | | $ | 453 | | | $ | 199 | | | $ | 203 | | | $ | 246 | | | $ | 270 | | | $ | 278 | | | $ | 236 | | | $ | 500 | |
Redwood Trust debt: long-term | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | |
Total Redwood Trust debt | | $ | 162 | | | $ | 453 | | | $ | 199 | | | $ | 203 | | | $ | 246 | | | $ | 270 | | | $ | 278 | | | $ | 236 | | | $ | 500 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS issued, consolidated from entities | | | 18,049 | | | | 20,598 | | | | 22,821 | | | | 23,383 | | | | 22,449 | | | | 20,724 | | | | 18,458 | | | | 16,661 | | | | 13,743 | |
Unamortized IO issuance premium | | | 163 | | | | 186 | | | | 202 | | | | 210 | | | | 185 | | | | 161 | | | | 162 | | | | 153 | | | | 66 | |
Unamortized ABS issuance premium | | | 25 | | | | 31 | | | | 34 | | | | 37 | | | | 46 | | | | 38 | | | | 10 | | | | 12 | | | | 9 | |
| | |
ABS obligations of entities | | $ | 18,237 | | | $ | 20,815 | | | $ | 23,057 | | | $ | 23,630 | | | $ | 22,680 | | | $ | 20,923 | | | $ | 18,630 | | | $ | 16,826 | | | $ | 13,818 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accrued interest payable | | | 42 | | | | 43 | | | | 38 | | | | 35 | | | | 29 | | | | 22 | | | | 18 | | | | 17 | | | | 10 | |
Interest rate agreements | | | 1 | | | | 3 | | | | — | | | | 1 | | | | 7 | | | | 1 | | | | 12 | | | | 4 | | | | 4 | |
Accrued expenses and other liabilities | | | 30 | | | | 23 | | | | 26 | | | | 29 | | | | 32 | | | | 28 | | | | 21 | | | | 22 | | | | 27 | |
Dividends payable | | | 17 | | | | 17 | | | | 17 | | | | 16 | | | | 16 | | | | 14 | | | | 23 | | | | 12 | | | | 12 | |
| | |
Total GAAP liabilities | | $ | 18,489 | | | $ | 21,354 | | | $ | 23,337 | | | $ | 23,914 | | | $ | 23,010 | | | $ | 21,258 | | | $ | 18,982 | | | $ | 17,117 | | | $ | 14,371 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Preferred Stock | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Common stock | | | 808 | | | | 803 | | | | 795 | | | | 773 | | | | 727 | | | | 625 | | | | 549 | | | | 518 | | | | 489 | |
Accumulated other comprehensive income | | | 117 | | | | 137 | | | | 125 | | | | 105 | | | | 97 | | | | 111 | | | | 79 | | | | 82 | | | | 91 | |
Cumulative GAAP earnings | | | 639 | | | | 583 | | | | 542 | | | | 482 | | | | 427 | | | | 355 | | | | 299 | | | | 249 | | | | 179 | |
Cumulative distributions to shareholders | | | (548 | ) | | | (531 | ) | | | (514 | ) | | | (496 | ) | | | (349 | ) | | | (333 | ) | | | (319 | ) | | | (296 | ) | | | (193 | ) |
| | |
GAAP stockholders’ equity | | | 1,016 | | | | 992 | | | | 948 | | | | 864 | | | | 902 | | | | 758 | | | | 608 | | | | 553 | | | | 566 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total GAAP liabilities and equity | | $ | 19,505 | | | $ | 22,346 | | | $ | 24,285 | | | $ | 24,778 | | | $ | 23,912 | | | $ | 22,016 | | | $ | 19,590 | | | $ | 17,670 | | | $ | 14,937 | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Redwood Trust debt | | $ | 162 | | | $ | 453 | | | $ | 199 | | | $ | 203 | | | $ | 246 | | | $ | 270 | | | $ | 278 | | | $ | 236 | | | $ | 500 | |
GAAP stockholders’ equity | | | 1,016 | | | | 992 | | | | 948 | | | | 864 | | | | 902 | | | | 758 | | | | 608 | | | | 553 | | | | 566 | |
| | |
Redwood capital | | $ | 1,178 | | | $ | 1,445 | | | $ | 1,147 | | | $ | 1,067 | | | $ | 1,148 | | | $ | 1,028 | | | $ | 886 | | | $ | 789 | | | $ | 1,066 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Redwood debt to equity ratio | | | 16 | % | | | 46 | % | | | 21 | % | | | 23 | % | | | 27 | % | | | 36 | % | | | 46 | % | | | 43 | % | | | 88 | % |
Debt to capital ratio | | | 14 | % | | | 31 | % | | | 17 | % | | | 19 | % | | | 21 | % | | | 26 | % | | | 31 | % | | | 30 | % | | | 47 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Redwood earning assets | | $ | 1,028 | | | $ | 1,313 | | | $ | 982 | | | $ | 942 | | | $ | 1,040 | | | $ | 930 | | | $ | 848 | | | $ | 718 | | | $ | 1,029 | |
Redwood debt | | | 162 | | | | 453 | | | | 199 | | | | 203 | | | | 246 | | | | 270 | | | | 278 | | | | 236 | | | | 500 | |
| | |
Redwood net earning assets (GAAP basis) | | $ | 866 | | | $ | 860 | | | $ | 783 | | | $ | 739 | | | $ | 794 | | | $ | 660 | | | $ | 570 | | | $ | 482 | | | $ | 529 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity to earning assets | | | 99 | % | | | 76 | % | | | 97 | % | | | 92 | % | | | 87 | % | | | 82 | % | | | 72 | % | | | 77 | % | | | 55 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | Q4:2003 | | | Q3:2003 | | | Q3:2005 | | | Q3:2004 | |
BOOK VALUE | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GAAP equity | | $ | 1,016,065 | | | $ | 991,757 | | | $ | 948,001 | | | $ | 864,156 | | | $ | 901,841 | | | $ | 757,940 | | | $ | 608,122 | | | $ | 553,328 | | | $ | 566,134 | | | $ | 1,016,065 | | | | 901,841 | |
Balance sheet mark-to-market adjustments | | | 117,043 | | | | 137,380 | | | | 124,784 | | | | 105,357 | | | | 96,452 | | | | 111,221 | | | | 78,517 | | | | 82,179 | | | | 90,592 | | | | 117,043 | | | | 96,452 | |
| | |
Core equity | | $ | 899,022 | | | $ | 854,377 | | | $ | 823,217 | | | $ | 758,799 | | | $ | 805,389 | | | $ | 646,719 | | | $ | 529,605 | | | $ | 471,149 | | | $ | 475,542 | | | | 899,022 | | | | 805,389 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core equity | | | 899,022 | | | | 854,377 | | | | 823,217 | | | | 758,799 | | | | 805,389 | | | | 646,719 | | | | 529,605 | | | | 471,149 | | | | 475,542 | | | | 899,022 | | | | 805,389 | |
REIT taxable income to be paid as dividends | | | 106,716 | | | | 80,166 | | | | 62,218 | | | | 37,611 | | | | 138,982 | | | | 109,790 | | | | 69,263 | | | | 53,354 | | | | 83,212 | | | | 106,716 | | | | 138,982 | |
| | |
Adjusted core equity | | | 792,306 | | | $ | 774,211 | | | $ | 760,999 | | | $ | 721,188 | | | $ | 666,407 | | | $ | 536,929 | | | $ | 460,342 | | | $ | 417,796 | | | $ | 392,330 | | | | 792,306 | | | | 666,407 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at quarter end | | | 24,764 | | | | 24,647 | | | | 24,514 | | | | 24,154 | | | | 23,346 | | | | 21,511 | | | | 19,796 | | | | 19,063 | | | | 18,468 | | | | 24,764 | | | | 23,346 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
GAAP equity per share | | $ | 41.03 | | | $ | 40.24 | | | $ | 38.67 | | | $ | 35.78 | | | $ | 38.63 | | | $ | 35.24 | | | $ | 30.72 | | | $ | 29.03 | | | $ | 30.65 | | | $ | 41.03 | | | $ | 38.63 | |
Core equity per share | | | 36.30 | | | | 34.66 | | | | 33.58 | | | | 31.42 | | | | 34.50 | | | | 30.06 | | | | 26.75 | | | | 24.72 | | | | 25.75 | | | $ | 36.30 | | | | 34.50 | |
Adjusted core equity per share | | | 31.99 | | | | 31.39 | | | | 31.03 | | | | 29.86 | | | | 28.55 | | | | 24.96 | | | | 23.25 | | | | 21.92 | | | | 21.24 | | | $ | 31.99 | | | | 28.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PROFITABILITY | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net interest income | | $ | 46,870 | | | $ | 53,208 | | | $ | 61,199 | | | $ | 58,007 | | | $ | 65,279 | | | $ | 47,620 | | | $ | 45,260 | | | $ | 39,668 | | | $ | 34,631 | | | $ | 161,277 | | | $ | 158,159 | |
Net interest income / average core equity | | | 21 | % | | | 25 | % | | | 31 | % | | | 30 | % | | | 38 | % | | | 33 | % | | | 36 | % | | | 34 | % | | | 30 | % | | | 26 | % | | | 35 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operating expenses (before excise and VSOE) | | | 10,925 | | | | 10,974 | | | | 10,749 | | | | 7,781 | | | | 8,047 | | | | 8,892 | | | | 8,297 | | | | 7,680 | | | | 8,585 | | | $ | 32,648 | | | $ | 25,236 | |
Efficiency ratio: op exp / core net interest income | | | 23 | % | | | 21 | % | | | 18 | % | | | 13 | % | | | 12 | % | | | 19 | % | | | 18 | % | | | 19 | % | | | 25 | % | | | 20 | % | | | 16 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core earnings | | | 30,967 | | | | 37,872 | | | | 45,466 | | | $ | 45,565 | | | $ | 51,969 | | | $ | 37,029 | | | $ | 34,783 | | | $ | 30,485 | | | $ | 24,481 | | | | 114,305 | | | | 123,781 | |
Core return on average core equity | | | 14 | % | | | 18 | % | | | 23 | % | | | 23 | % | | | 30 | % | | | 25 | % | | | 27 | % | | | 26 | % | | | 21 | % | | | 18 | % | | | 28 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 9: Asset / Liability Matching at September 30, 2005 (all $ in thousands) (1) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Table 9 | | | | | | | | | | | | | | | | | | | | | | | | |
Asset/Liability Matching at September 30, 2005 | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | One- | | | Six- | | | | | | | Non | | | | | | | Total | |
| | | | | | Month | | | Month | | | Fixed/ | | | Interest | | | | | | | Liabilities | |
Asset | | Asset | | | LIBOR | | | LIBOR | | | Hybrid | | | Bearing | | | | | | | And | |
Type | | Amount | | | Liabilities | | | Liabilities | | | Liabilities | | | Liabilities | | | Equity | | | Equity | |
Cash (unrestricted) | | $ | 163,160 | | | $ | 163,160 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 163,160 | |
One-Month LIBOR | | | 5,649,244 | | | | 5,649,245 | | | | — | | | | — | | | | — | | | | — | | | | 5,649,245 | |
Six-Month LIBOR | | | 11,964,939 | | | | — | | | | 11,955,668 | | | | — | | | | — | | | | 9,273 | | | | 11,964,941 | |
Other ARM | | | 259,180 | | | | 206,423 | | | | — | | | | — | | | | — | | | | 52,757 | | | | 259,180 | |
Fixed / Hybrid < 1yr* | | | 73,850 | | | | — | | | | — | | | | 34,754 | | | | — | | | | 39,095 | | | | 73,849 | |
Fixed / Hybrid > 1yr | | | 1,156,976 | | | | — | | | | — | | | | 390,281 | | | | — | | | | 766,693 | | | | 1,156,974 | |
Non-Earning Assets | | | 238,625 | | | | — | | | | — | | | | — | | | | 90,378 | | | | 148,247 | | | | 238,625 | |
| | |
Total(1) | | $ | 19,505,974 | | | $ | 6,018,828 | | | $ | 11,955,668 | | | $ | 425,036 | | | $ | 90,378 | | | $ | 1,016,065 | | | $ | 19,505,974 | |
| | |
*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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine | | | Nine | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Months | | | Months | |
| | Q3:2005 | | | Q2:2005 | | | Q1:2005 | | | Q4:2004 | | | Q3:2004 | | | Q2:2004 | | | Q1:2004 | | | Q4:2003 | | | Q3:2003 | | | 2005 | | | 2004 | |
Average residential real estate loans | | $ | 17,373,023 | | | $ | 20,054,970 | | | $ | 21,640,501 | | | $ | 21,716,898 | | | $ | 20,484,287 | | | $ | 18,754,200 | | | $ | 16,916,295 | | | $ | 14,381,270 | | | $ | 10,958,059 | | | $ | 19,673,866 | | | $ | 18,724,707 | |
Average residential HELOC | | | 224,884 | | | | 257,515 | | | | 285,142 | | | | 303,119 | | | | 323,100 | | | | 124,053 | | | | — | | | | — | | | | — | | | | 255,626 | | | | 149,686 | |
Average residential loan CES | | | 585,663 | | | | 550,460 | | | | 493,412 | | | | 424,879 | | | | 368,887 | | | | 317,235 | | | | 287,078 | | | | 272,999 | | | | 270,991 | | | | 543,516 | | | | 324,563 | |
Average commercial loan CES | | | 32,192 | | | | 25,130 | | | | 19,255 | | | | 10,836 | | | | 7,372 | | | | 2,075 | | | | 677 | | | | — | | | | — | | | | 25,558 | | | | 3,389 | |
Average commercial real estate loans | | | 47,703 | | | | 45,214 | | | | 56,080 | | | | 39,836 | | | | 33,461 | | | | 26,129 | | | | 22,316 | | | | 23,464 | | | | 30,471 | | | | 49,635 | | | | 27,324 | |
Average securities portfolio | | | 1,687,506 | | | | 1,548,085 | | | | 1,423,487 | | | | 1,267,692 | | | | 1,141,456 | | | | 978,014 | | | | 861,328 | | | | 709,867 | | | | 602,622 | | | | 1,553,993 | | | | 994,139 | |
Average cash and cash equivalents | | | 134,422 | | | | 124,707 | | | | 124,685 | | | | 126,556 | | | | 101,937 | | | | 81,450 | | | | 70,641 | | | | 116,265 | | | | 49,053 | | | | 127,974 | | | | 84,739 | |
| | |
Average earning assets | | | 20,085,393 | | | | 22,606,081 | | | | 24,042,562 | | | | 23,889,816 | | | | 22,460,500 | | | | 20,283,156 | | | | 18,158,335 | | | | 15,503,865 | | | | 11,911,196 | | | | 22,230,168 | | | | 20,308,547 | |
| | |
Average other assets | | | 905,906 | | | | 759,472 | | | | 520,622 | | | | 430,219 | | | | 416,736 | | | | 327,205 | | | | 227,634 | | | | 254,552 | | | | 220,420 | | | | 730,136 | | | | 324,197 | |
| | |
Average total assets | | $ | 20,991,299 | | | $ | 23,365,553 | | | $ | 24,563,184 | | | $ | 24,320,035 | | | $ | 22,877,236 | | | $ | 20,610,361 | | | $ | 18,385,969 | | | $ | 15,758,417 | | | $ | 12,131,616 | | | $ | 22,960,304 | | | $ | 20,632,744 | |
| | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Redwood debt | | $ | 297,788 | | | $ | 216,639 | | | $ | 277,423 | | | $ | 348,177 | | | $ | 404,589 | | | $ | 539,231 | | | $ | 447,931 | | | $ | 410,631 | | | $ | 344,424 | | | $ | 264,024 | | | $ | 463,700 | |
Average asset-backed securities issues | | | 19,542,413 | | | | 22,067,276 | | | | 23,324,111 | | | | 22,956,247 | | | | 21,606,164 | | | | 19,350,833 | | | | 17,299,503 | | | | 14,708,963 | | | | 11,197,470 | | | | 21,630,747 | | | | 19,426,816 | |
| | |
Average total obligations | | | 19,840,201 | | | | 22,283,915 | | | | 23,601,534 | | | | 23,304,424 | | | | 22,010,753 | | | | 19,890,064 | | | | 17,747,434 | | | | 15,119,594 | | | | 11,541,894 | | | | 21,894,771 | | | | 19,890,516 | |
Average other liabilities | | | 136,769 | | | | 111,294 | | | | 66,188 | | | | 145,752 | | | | 64,916 | | | | 56,424 | | | | 54,150 | | | | 79,750 | | | | 37,077 | | | | 105,053 | | | | 58,522 | |
| | |
Average total liabilities | | | 19,976,970 | | | | 22,395,209 | | | | 23,667,722 | | | | 23,450,176 | | | | 22,075,669 | | | | 19,946,488 | | | | 17,801,584 | | | | 15,199,344 | | | | 11,578,971 | | | | 21,999,824 | | | | 19,949,038 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average core equity | | | 880,482 | | | | 840,098 | | | | 794,866 | | | | 776,833 | | | | 695,488 | | | | 583,875 | | | | 506,445 | | | | 469,857 | | | | 458,304 | | | | 838,824 | | | | 595,635 | |
Average balance sheet mark-to-market adjustments | | | 133,847 | | | | 130,246 | | | | 100,596 | | | | 93,026 | | | | 106,079 | | | | 79,998 | | | | 77,940 | | | | 89,216 | | | | 94,341 | | | | 121,656 | | | | 88,071 | |
| | |
Average total equity | | | 1,014,329 | | | | 970,344 | | | | 895,462 | | | | 869,859 | | | | 801,567 | | | | 663,873 | | | | 584,385 | | | | 559,073 | | | | 552,645 | | | | 960,480 | | | | 683,706 | |
| | |
Average total liabilities and equity | | $ | 20,991,299 | | | $ | 23,365,553 | | | $ | 24,563,184 | | | $ | 24,320,035 | | | $ | 22,877,236 | | | $ | 20,610,361 | | | $ | 18,385,969 | | | $ | 15,758,417 | | | $ | 12,131,616 | | | $ | 22,960,304 | | | $ | 20,632,744 | |
| | |
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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 14,969,841 | | | $ | (14,918 | ) | | $ | (191,264 | ) | | $ | 91,992 | | | | 14,847,510 | | | $ | 11,911,196 | | | $ | 90,163 | | | | 3.03 | % |
| | | Q4: 2003 | | | | 17,657,339 | | | | 29,495 | | | | (225,947 | ) | | | 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 | | | | 19,595,182 | | | | 47,341 | | | | (252,587 | ) | | | 87,874 | | | | 19,477,810 | | | | 18,158,335 | | | | 124,837 | | | | 2.75 | % |
| | | Q2: 2004 | | | | 21,975,772 | | | | 57,582 | | | | (272,698 | ) | | | 91,454 | | | | 21,852,110 | | | | 20,283,156 | | | | 137,979 | | | | 2.72 | % |
| | | Q3: 2004 | | | | 23,883,198 | | | | 102,744 | | | | (356,371 | ) | | | 90,818 | | | | 23,720,389 | | | | 22,460,500 | | | | 180,090 | | | | 3.21 | % |
| | | Q4: 2004 | | | | 24,863,331 | | | | 104,063 | | | | (420,757 | ) | | | 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 | % |
| | | Q1: 2005 | | | | 24,301,644 | | | | 122,952 | | | | (487,952 | ) | | | 102,711 | | | | 24,039,355 | | | | 24,042,562 | | | | 237,166 | | | | 3.95 | % |
| | | Q2: 2005 | | | | 22,414,482 | | | | 103,779 | | | | (522,490 | ) | | | 133,210 | | | | 22,128,981 | | | | 22,606,081 | | | | 248,388 | | | | 4.40 | % |
| | | Q3: 2005 | | | | 19,625,979 | | | | 94,058 | | | | (551,562 | ) | | | 98,874 | | | | 19,267,349 | | | | 20,085,393 | | | | 243,556 | | | | 4.85 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential Real Estate Loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 13,703,475 | | | $ | 123,392 | | | $ | (13,617 | ) | | $ | 0 | | | $ | 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 | % |
| | | Q1: 2005 | | | | 21,307,080 | | | | 210,375 | | | | (24,231 | ) | | | — | | | | 21,493,224 | | | | 21,640,501 | | | | 194,877 | | | | 3.60 | % |
| | | Q2: 2005 | | | | 19,202,109 | | | | 203,480 | | | | (22,396 | ) | | | — | | | | 19,383,193 | | | | 20,054,970 | | | | 203,743 | | | | 4.06 | % |
| | | Q3: 2005 | | | | 16,176,357 | | | | 185,814 | | | | (20,991 | ) | | | — | | | | 16,341,180 | | | | 17,373,023 | | | | 191,914 | | | | 4.42 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Home Equity Lines of Credit | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | 0.00 | % |
| | | 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 | | | | 2.00 | % |
| | | 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 | % |
| | | Q1: 2005 | | | | 272,591 | | | | 7,477 | | | | (596 | ) | | | — | | | | 279,472 | | | | 285,142 | | | | 2,558 | | | | 3.59 | % |
| | | Q2: 2005 | | | | 241,278 | | | | 6,657 | | | | (563 | ) | | | — | | | | 247,372 | | | | 257,515 | | | | 2,467 | | | | 3.83 | % |
| | | Q3: 2005 | | | | 210,476 | | | | 5,699 | | | | (1,038 | ) | | | — | | | | 215,137 | | | | 224,884 | | | | 1,696 | | | | 3.02 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | (108,141 | ) | | | (342,706 | ) | | | 78,733 | | | | 561,658 | | | | 424,879 | | | | 16,985 | | | | 15.99 | % |
| | | 2004 | | | | 933,772 | | | | (108,141 | ) | | | (342,706 | ) | | | 78,733 | | | | 561,658 | | | | 349,779 | | | | 64,602 | | | | 18.47 | % |
| | | Q1: 2005 | | | | 978,878 | | | | (89,405 | ) | | | (365,998 | ) | | | 87,919 | | | | 611,394 | | | | 493,412 | | | | 19,624 | | | | 15.91 | % |
| | | Q2: 2005 | | | | 1,103,737 | | | | (96,488 | ) | | | (404,180 | ) | | | 103,126 | | | | 706,195 | | | | 550,460 | | | | 19,439 | | | | 14.13 | % |
| | | Q3: 2005 | | | | 1,052,813 | | | | (89,429 | ) | | | (382,862 | ) | | | 84,279 | | | | 664,801 | | | | 585,663 | | | | 24,368 | | | | 16.64 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | 0.00 | % |
| | | Q4: 2003 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 0.00 | % |
| | | 2003 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 0.00 | % |
| | | Q1: 2004 | | | | 8,175 | | | | 2,053 | | | | (8,175 | ) | | | 95 | | | | 2,148 | | | | 677 | | | | 35 | | | | 20.46 | % |
| | | Q2: 2004 | | | | 8,175 | | | | 2,084 | | | | (8,175 | ) | | | 10 | | | | 2,094 | | | | 2,075 | | | | 61 | | | | 11.67 | % |
| | | Q3: 2004 | | | | 26,930 | | | | 8,456 | | | | (26,930 | ) | | | 686 | | | | 9,142 | | | | 7,372 | | | | 346 | | | | 18.80 | % |
| | | Q4: 2004 | | | | 45,639 | | | | 12,883 | | | | (45,639 | ) | | | 1,615 | | | | 14,498 | | | | 10,836 | | | | 233 | | | | 13.64 | % |
| | | 2004 | | | | 45,639 | | | | 12,883 | | | | (45,639 | ) | | | 1,615 | | | | 14,498 | | | | 5,261 | | | | 675 | | | | 15.42 | % |
| | | Q1: 2005 | | | | 88,671 | | | | 25,344 | | | | (88,671 | ) | | | 3,226 | | | | 28,570 | | | | 19,255 | | | | 356 | | | | 7.40 | % |
| | | Q2: 2005 | | | | 87,210 | | | | 24,847 | | | | (87,210 | ) | | | 4,549 | | | | 29,396 | | | | 25,130 | | | | 881 | | | | 14.02 | % |
| | | Q3: 2005 | | | | 138,530 | | | | 41,127 | | | | (138,530 | ) | | | 2,413 | | | | 43,540 | | | | 32,192 | | | | 453 | | | | 5.63 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Real Estate Loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 31,211 | | | $ | 538 | | | $ | (8,141 | ) | | $ | 0 | | | $ | 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 | | | | 12.40 | % |
| | | 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 | % |
| | | Q1: 2005 | | | | 67,365 | | | | (2,305 | ) | | | (8,456 | ) | | | — | | | | 56,604 | | | | 56,080 | | | | 1,587 | | | | 11.32 | % |
| | | Q2: 2005 | | | | 51,778 | | | | (1,843 | ) | | | (8,141 | ) | | | — | | | | 41,794 | | | | 45,214 | | | | 1,208 | | | | 10.68 | % |
| | | Q3: 2005 | | | | 66,348 | | | | (2,105 | ) | | | (8,141 | ) | | | — | | | | 56,102 | | | | 47,703 | | | | 1,209 | | | | 10.14 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 599,144 | | | $ | 6,508 | | | $ | 0 | | | $ | (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 | | | | 913,104 | | | | 2,149 | | | | — | | | | 19,245 | | | | 934,498 | | | | 861,328 | | | | 9,576 | | | | 4.45 | % |
| | | Q2: 2004 | | | | 1,089,254 | | | | (650 | ) | | | — | | | | 4,770 | | | | 1,093,374 | | | | 978,014 | | | | 10,484 | | | | 4.29 | % |
| | | Q3: 2004 | | | | 1,215,847 | | | | (1,466 | ) | | | — | | | | 15,555 | | | | 1,229,936 | | | | 1,141,456 | | | | 12,932 | | | | 4.53 | % |
| | | Q4: 2004 | | | | 1,378,924 | | | | (13,895 | ) | | | — | | | | 15,048 | | | | 1,380,077 | | | | 1,267,692 | | | | 15,282 | | | | 4.82 | % |
| | | 2004 | | | | 1,378,924 | | | | (13,895 | ) | | | — | | | | 15,048 | | | | 1,380,077 | | | | 1,062,901 | | | | 48,949 | | | | 4.54 | % |
| | | Q1: 2005 | | | | | | | | 1,522,345 | | | | (28,534 | ) | | | 11,566 | | | | 1,505,377 | | | | 1,423,487 | | | | 17,584 | | | | 4.94 | % |
| | | Q2: 2005 | | | | 1,656,177 | | | | (32,874 | ) | | | — | | | | 25,535 | | | | 1,648,838 | | | | 1,548,085 | | | | 19,846 | | | | 5.13 | % |
| | | Q3: 2005 | | | | 1,818,295 | | | | (47,048 | ) | | | — | | | | 12,182 | | | | 1,783,429 | | | | 1,687,506 | | | | 22,926 | | | | 5.43 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash & Equivalents | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 32,156 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 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 | | | | | |
| | | Q1: 2005 | | | | 64,714 | | | | — | | | | — | | | | — | | | | 64,714 | | | | | | | | 580 | | | | | |
| | | Q2: 2005 | | | | 72,193 | | | | — | | | | — | | | | — | | | | 72,193 | | | | | | | | 804 | | | | | |
| | | Q3: 2005 | | | | 163,160 | | | | — | | | | — | | | | — | | | | 163,160 | | | | | | | | 990 | | | | | |
* 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) | | | Q3: 2003 | | | $ | 4,996,403 | | | $ | 0 | | | $ | (420,395 | ) | | $ | (8,720 | ) | | $ | (1,458 | ) | | $ | 0 | | | $ | 0 | | | $ | 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 | |
| | | Q1: 2005 | | | | 832,383 | | | | — | | | | (1,539,387 | ) | | | (7,036 | ) | | | (1,307 | ) | | | 154 | | | | — | | | | (715,193 | ) |
| | | Q2: 2005 | | | | 426,806 | | | | (3,378 | ) | | | (2,526,236 | ) | | | (8,937 | ) | | | 1,494 | | | | (34 | ) | | | 254 | | | | (2,110,031 | ) |
| | | Q3: 2005 | | | | 332,049 | | | | (263,079 | ) | | | (3,098,691 | ) | | | (13,479 | ) | | | 1,315 | | | | 90 | | | | (218 | ) | | | (3,042,013 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Home Equity Line of Credit | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | | 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 | |
| | | Q1: 2005 | | | | — | | | | — | | | | (16,365 | ) | | | (608 | ) | | | 97 | | | | — | | | | — | | | | (16,876 | ) |
| | | Q2: 2005 | | | | 127 | | | | — | | | | (31,439 | ) | | | (821 | ) | | | 33 | | | | — | | | | — | | | | (32,100 | ) |
| | | Q3: 2005 | | | | — | | | | — | | | | (30,801 | ) | | | (959 | ) | | | (510 | ) | | | 35 | | | | — | | | | (32,235 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Residential Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 23,164 | | | $ | 0 | | | $ | (37,647 | ) | | $ | 11,432 | | | $ | 0 | | | $ | 0 | | | $ | (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 | |
| | | Q1: 2005 | | | | 67,809 | | | | (27,293 | ) | | | (23,932 | ) | | | 8,727 | | | | — | | | | — | | | | 24,425 | | | | 49,736 | |
| | | Q2: 2005 | | | | 87,849 | | | | — | | | | (20,400 | ) | | | 7,775 | | | | — | | | | — | | | | 19,577 | | | | 94,801 | |
| | | Q3: 2005 | | | | 57,481 | | | | (98,775 | ) | | | (18,403 | ) | | | 11,193 | | | | — | | | | — | | | | 7,110 | | | | (41,394 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | | Q4: 2003 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | 2003 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | - | |
| | | Q1: 2004 | | | | 2,053 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 94 | | | | 2,147 | |
| | | Q2: 2004 | | | | 74 | | | | — | | | | — | | | | (42 | ) | | | — | | | | — | | | | (85 | ) | | | (53 | ) |
| | | Q3: 2004 | | | | 6,311 | | | | — | | | | — | | | | 60 | | | | — | | | | — | | | | 677 | | | | 7,048 | |
| | | Q4: 2004 | | | | 4,770 | | | | — | | | | — | | | | (343 | ) | | | — | | | | — | | | | 929 | | | | 5,356 | |
| | | 2004 | | | | 13,208 | | | | — | | | | — | | | | (325 | ) | | | — | | | | — | | | | 1,615 | | | | 14,498 | |
| | | Q1: 2005 | | | | 12,870 | | | | — | | | | — | | | | (409 | ) | | | — | | | | — | | | | 1,611 | | | | 14,072 | |
| | | Q2: 2005 | | | | — | | | | — | | | | — | | | | (346 | ) | | | — | | | | — | | | | 1,173 | | | | 827 | |
| | | Q3: 2005 | | | | 17,182 | | | | — | | | | — | | | | (902 | ) | | | — | | | | — | | | | (2,136 | ) | | | 14,144 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Real Estate Loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 1,023 | | | $ | (774 | ) | | $ | (11,220 | ) | | $ | (33 | ) | | $ | 0 | | | $ | 0 | | | $ | 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 | |
| | | Q1: 2005 | | | | 6,732 | | | | — | | | | (5,267 | ) | | | (30 | ) | | | 185 | | | | — | | | | 505 | | | | 2,125 | |
| | | Q2: 2005 | | | | — | | | | (11,192 | ) | | | (3,769 | ) | | | (99 | ) | | | — | | | | — | | | | 250 | | | | (14,810 | ) |
| | | Q3: 2005 | | | | 14,219 | | | | (17 | ) | | | 158 | | | | (69 | ) | | | — | | | | — | | | | 17 | | | | 14,308 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 28,702 | | | $ | 0 | | | $ | (12,677 | ) | | $ | (96 | ) | | $ | 0 | | | $ | 0 | | | $ | (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 | | | | 84,225 | | | | (142 | ) | | | (9,807 | ) | | | (484 | ) | | | — | | | | — | | | | 15,993 | | | | 89,785 | |
| | | Q2: 2004 | | | | 192,626 | | | | (8,333 | ) | | | (10,069 | ) | | | (663 | ) | | | — | | | | — | | | | (14,686 | ) | | | 158,875 | |
| | | Q3: 2004 | | | | 144,753 | | | | — | | | | (18,489 | ) | | | (146 | ) | | | — | | | | — | | | | 10,444 | | | | 136,562 | |
| | | Q4: 2004 | | | | 176,341 | | | | — | | | | (25,189 | ) | | | 39 | | | | — | | | | — | | | | (1,050 | ) | | | 150,141 | |
| | | 2004 | | | | 597,945 | | | | (8,475 | ) | | | (63,554 | ) | | | (1,254 | ) | | | — | | | | — | | | | 10,701 | | | | 535,363 | |
| | | Q1: 2005 | | | | 168,337 | | | | (12,362 | ) | | | (27,070 | ) | | | 115 | | | | — | | | | — | | | | (3,720 | ) | | | 125,300 | |
| | | Q2: 2005 | | | | 156,182 | | | | (3,012 | ) | | | (22,333 | ) | | | 151 | | | | — | | | | — | | | | 12,472 | | | | 143,460 | |
| | | Q3: 2005 | | | | 190,160 | | | | — | | | | (41,618 | ) | | | 566 | | | | — | | | | — | | | | (14,517 | ) | | | 134,591 | |
Table 13: Residential Credit Results (all $ in thousands)
Table 13
Residential Credit Results
(all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Losses To | | | | | | | |
| | | | | | | | | | Internally- | | | | | | | (1) | | | Credit | | | | | | | | | | | | | | | Securities | | | Redwood's | | | Total Credit | |
| | | | | | | | | | Designated | | | External | | | Total | | | Protection | | | Seriously | | | Seriously | | | Total | | | Junior To | | | Share of Net | | | Losses As % | |
| | | | | | Underlying | | | Credit | | | Credit | | | Credit | | | As % of | | | Delinquent | | | Delinquent | | | Credit | | | Redwood's | | | Charge Offs | | | of Loans | |
| | | | | | Loans | | | Reserves | | | Enhancement | | | Protection | | | Loans | | | Loans | | | Loan % | | | Losses | | | Interest | | | (Recoveries) | | | (Annualized) | |
Total Managed Residential Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 57,383,627 | | | $ | 191,264 | | | $ | 51,985 | | | $ | 243,249 | | | | 0.42 | % | | | 179,871 | | | | 0.31 | % | | $ | 986 | | | $ | 38 | | | $ | 948 | | | | <0.01 | % |
| | | Q4: 2003 | | | | 84,243,923 | | | | 217,306 | | | | 46,476 | | | | 263,782 | | | | 0.31 | % | | | 137,978 | | | | 0.16 | % | | | 1,645 | | | | 357 | | | | 1,288 | | | | <0.01 | % |
| | | 2003 | | | | 84,243,923 | | | | 217,306 | | | | 46,476 | | | | 263,782 | | | | 0.31 | % | | | 137,978 | | | | 0.16 | % | | | 4,186 | | | | 1,003 | | | | 3,183 | | | | <0.01 | % |
| | | Q1: 2004 | | | | 89,312,471 | | | | 235,771 | | | | 43,797 | | | | 279,568 | | | | 0.31 | % | | | 146,055 | | | | 0.16 | % | | | 103 | | | | — | | | | 103 | | | | <0.01 | % |
| | | Q2: 2004 | | | | 116,871,703 | | | | 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 | | | | 365,784 | | | | 67,650 | | | | 433,434 | | | | 0.29 | % | | | 163,554 | | | | 0.11 | % | | | 689 | | | | — | | | | 689 | | | | <0.01 | % |
| | | 2004 | | | | 148,510,685 | | | | 365,784 | | | | 67,650 | | | | 433,434 | | | | 0.29 | % | | | 163,554 | | | | 0.11 | % | | | 3,303 | | | | 271 | | | | 3,032 | | | | <0.01 | % |
| | | Q1: 2005 | | | | 151,434,189 | | | | 390,229 | | | | 92,467 | | | | 482,696 | | | | 0.32 | % | | | 217,159 | | | | 0.14 | % | | | 1,377 | | | | — | | | | 1,377 | | | | <0.01 | % |
| | | Q2: 2005 | | | | 183,248,239 | | | | 426,576 | | | | 141,970 | | | | 568,546 | | | | 0.31 | % | | | 245,399 | | | | 0.13 | % | | | 740 | | | | 196 | | | | 544 | | | | <0.01 | % |
| | | Q3: 2005 | | | | 195,243,546 | | | | 403,853 | | | | 134,967 | | | | 538,820 | | | | 0.28 | % | | | 282,850 | | | | 0.14 | % | | | 1,812 | | | | 220 | | | | 1,592 | | | | <0.01 | % |
Residential Real Estate Loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Q3: 2003 | | | $ | 13,703,475 | | | $ | 13,617 | | | $ | 0 | | | $ | 13,617 | | | | 0.10 | % | | | 1,598 | | | | 0.01 | % | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | <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 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | | Q2: 2004 | | | | 19,766,481 | | | | 20,080 | | | | — | | | | 20,080 | | | | 0.10 | % | | | 5,362 | | | | 0.03 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | | Q3: 2004 | | | | 21,381,784 | | | | 21,344 | | | | — | | | | 21,344 | | | | 0.10 | % | | | 10,785 | | | | 0.05 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | | 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 | % |
| | | Q1: 2005 | | | | 21,307,080 | | | | 24,231 | | | | — | | | | 24,231 | | | | 0.11 | % | | | 16,066 | | | | 0.08 | % | | | 154 | | | | — | | | | 154 | | | | <0.01 | % |
| | | Q2: 2005 | | | | 19,202,109 | | | | 22,396 | | | | — | | | | 22,396 | | | | 0.12 | % | | | 16,514 | | | | 0.09 | % | | | (34 | ) | | | — | | | | (34 | ) | | | 0.00 | % |
| | | Q3: 2005 | | | | 16,176,357 | | | | 20,991 | | | | — | | | | 20,991 | | | | 0.13 | % | | | 22,956 | | | | 0.14 | % | | | 90 | | | | — | | | | 90 | | | | <0.01 | % |
Residential Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | 342,706 | | | | 67,650 | | | | 410,356 | | | | 0.32 | % | | | 150,216 | | | | 0.12 | % | | | 513 | | | | — | | | | 513 | | | | <0.01 | % |
| | | 2004 | | | | 126,486,797 | | | | 342,706 | | | | 67,650 | | | | 410,356 | | | | 0.32 | % | | | 150,216 | | | | 0.12 | % | | | 3,127 | | | | 271 | | | | 2,856 | | | | <0.01 | % |
| | | Q1: 2005 | | | | 130,127,109 | | | | 365,998 | | | | 92,467 | | | | 458,465 | | | | 0.35 | % | | | 201,093 | | | | 0.15 | % | | | 1,223 | | | | — | | | | 1,223 | | | | <0.01 | % |
| | | Q2: 2005 | | | | 164,046,130 | | | | 404,180 | | | | 141,970 | | | | 546,150 | | | | 0.33 | % | | | 228,885 | | | | 0.14 | % | | | 774 | | | | 196 | | | | 578 | | | | <0.01 | % |
| | | Q3: 2005 | | | | 179,067,189 | | | | 382,862 | | | | 134,967 | | | | 517,829 | | | | 0.29 | % | | | 259,894 | | | | 0.15 | % | | | 1,722 | | | | 220 | | | | 1,502 | | | | <0.01 | % |
| | |
(1) | | 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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Sept. 2005 | | | Jun. 2005 | | | Mar. 2005 | | | Dec. 2004 | | | Sep. 2004 | | | Jun. 2004 | | | Mar. 2004 | | | Dec. 2003 | |
Residential Loans | | $ | 16,176,357 | | | $ | 19,202,109 | | | $ | 21,307,080 | | | $ | 22,023,888 | | | $ | 21,381,784 | | | $ | 19,766,481 | | | $ | 17,950,901 | | | $ | 16,110,748 | |
Number of loans | | | 48,578 | | | | 56,653 | | | | 62,059 | | | | 63,236 | | | | 60,859 | | | | 55,679 | | | | 49,619 | | | | 43,917 | |
Average loan size | | $ | 333 | | | $ | 339 | | | $ | 343 | | | $ | 348 | | | $ | 351 | | | $ | 355 | | | $ | 362 | | | $ | 367 | |
Adjustable % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % |
Hybrid % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Fixed % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Negam% | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Interest Only% | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % | | | 100 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LIBOR 1 M % | | | 26 | % | | | 25 | % | | | 24 | % | | | 24 | % | | | 22 | % | | | 21 | % | | | 22 | % | | | 23 | % |
LIBOR 6 M% | | | 74 | % | | | 75 | % | | | 76 | % | | | 76 | % | | | 78 | % | | | 79 | % | | | 78 | % | | | 77 | % |
HYBRID % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Northern CA | | | 11 | % | | | 12 | % | | | 12 | % | | | 13 | % | | | 13 | % | | | 12 | % | | | 12 | % | | | 12 | % |
Southern CA | | | 11 | % | | | 12 | % | | | 12 | % | | | 13 | % | | | 13 | % | | | 14 | % | | | 13 | % | | | 13 | % |
Florida | | | 12 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % |
New York | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 6 | % |
Georgia | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % |
New Jersey | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 5 | % |
Texas | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Arizona | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Illinois | | | 4 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 4 | % |
Colorado | | | 3 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Virginia | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % |
Other states | | | 34 | % | | | 33 | % | | | 32 | % | | | 32 | % | | | 31 | % | | | 31 | % | | | 31 | % | | | 31 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year 2005 origination | | | 5 | % | | | 4 | % | | | 3 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Year 2004 origination | | | 37 | % | | | 37 | % | | | 38 | % | | | 38 | % | | | 32 | % | | | 23 | % | | | 11 | % | | | 0 | % |
Year 2003 origination | | | 39 | % | | | 40 | % | | | 40 | % | | | 42 | % | | | 46 | % | | | 52 | % | | | 60 | % | | | 66 | % |
Year 2002 origination | | | 15 | % | | | 15 | % | | | 16 | % | | | 16 | % | | | 18 | % | | | 21 | % | | | 24 | % | | | 28 | % |
Year 2001 origination | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 4 | % |
Year 2000 origination | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Year 1999 origination | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 1 | % | | | 1 | % | | | 1 | % |
Year 1998 origination or earlier | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 2 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wtg Avg Original LTV | | | 68 | % | | | 69 | % | | | 68 | % | | | 68 | % | | | 68 | % | | | 68 | % | | | 68 | % | | | 68 | % |
Wtg Avg Original Effective LTV | | | 67 | % | | | 67 | % | | | 67 | % | | | 67 | % | | | 66 | % | | | 66 | % | | | 66 | % | | | 65 | % |
Original LTV: 0% - 20% | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % |
Original LTV: 20% - 30% | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
Original LTV: 30% - 40% | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 5 | % | | | 5 | % |
Original LTV: 40% - 50% | | | 8 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % |
Original LTV: 50% - 60% | | | 11 | % | | | 11 | % | | | 11 | % | | | 12 | % | | | 11 | % | | | 12 | % | | | 12 | % | | | 13 | % |
Original LTV: 60% - 70% | | | 20 | % | | | 20 | % | | | 20 | % | | | 20 | % | | | 20 | % | | | 20 | % | | | 20 | % | | | 20 | % |
Original LTV: 70% - 75% | | | 14 | % | | | 14 | % | | | 15 | % | | | 15 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 13 | % |
Original LTV: 75% - 80% | | | 32 | % | | | 33 | % | | | 32 | % | | | 31 | % | | | 31 | % | | | 30 | % | | | 29 | % | | | 28 | % |
Original LTV: 80% - 90% | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % |
Original LTV: 90% - 100% | | | 6 | % | | | 6 | % | | | 6 | % | | | 6 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 7 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wtg Avg FICO | | | 731 | | | | 731 | | | | 731 | | | | 731 | | | | 731 | | | | 731 | | | | 731 | | | | 731 | |
FICO: <= 600 | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % |
FICO: 601 -620 | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % |
FICO: 621 - 640 | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
FICO: 641 -660 | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 4 | % |
FICO: 661 - 680 | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 7 | % |
FICO: 681 - 700 | | | 12 | % | | | 12 | % | | | 12 | % | | | 12 | % | | | 12 | % | | | 12 | % | | | 11 | % | | | 11 | % |
FICO: 701 - 720 | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % |
FICO: 721 - 740 | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % |
FICO: 741 - 760 | | | 15 | % | | | 15 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % |
FICO: 761 - 780 | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % |
FICO: 781 - 800 | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 12 | % |
FICO: >= 801 | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Conforming at Origination % | | | 37 | % | | | 37 | % | | | 36 | % | | | 36 | % | | | 36 | % | | | 35 | % | | | 34 | % | | | 34 | % |
% balance in loans > $1mm per loan | | | 14 | % | | | 13 | % | | | 13 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 15 | % | | | 16 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2nd Home % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % | | | 10 | % |
Investment Home % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase | | | 33 | % | | | 33 | % | | | 34 | % | | | 33 | % | | | 33 | % | | | 31 | % | | | 31 | % | | | 30 | % |
Cash Out Refi | | | 34 | % | | | 34 | % | | | 34 | % | | | 34 | % | | | 35 | % | | | 36 | % | | | 36 | % | | | 35 | % |
Rate-Term Refi | | | 32 | % | | | 32 | % | | | 31 | % | | | 31 | % | | | 31 | % | | | 31 | % | | | 31 | % | | | 32 | % |
Construction | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Other | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 2 | % | | | 2 | % |
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)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Sep. 2005 | | | Jun. 2005 | | | Mar. 2005 | | | Dec. 2004 | | | Sep. 2004 | | | Jun. 2004 | | | Mar. 2004 | | | Dec. 2003 | |
First loss position, principal value | | $ | 433,557 | | | $ | 425,080 | | | $ | 375,646 | | | $ | 352,752 | | | $ | 320,975 | | | $ | 279,927 | | | $ | 262,329 | | | $ | 255,570 | |
Second loss position, principal value | | | 231,837 | | | | 306,145 | | | | 265,639 | | | | 276,720 | | | | 244,042 | | | | 197,403 | | | | 176,672 | | | | 174,592 | |
Third loss position, principal value | | | 387,419 | | | | 372,512 | | | | 337,593 | | | | 304,300 | | | | 265,507 | | | | 235,578 | | | | 194,999 | | | | 193,530 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total principal value | | $ | 1,052,813 | | | $ | 1,103,737 | | | $ | 978,878 | | | $ | 933,772 | | | $ | 830,524 | | | $ | 712,908 | | | $ | 634,000 | | | $ | 623,692 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
First loss position, reported value | | $ | 152,470 | | | $ | 150,621 | | | $ | 126,694 | | | $ | 110,933 | | | $ | 99,783 | | | $ | 102,088 | | | $ | 75,769 | | | $ | 78,030 | |
Second loss position, reported value | | | 171,398 | | | | 228,737 | | | | 191,962 | | | | 195,536 | | | | 174,371 | | | | 145,211 | | | | 133,167 | | | | 134,225 | |
Third loss position, reported value | | | 340,933 | | | | 326,837 | | | | 292,738 | | | | 255,189 | | | | 222,655 | | | | 194,940 | | | | 165,680 | | | | 166,472 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total reported value | | $ | 664,801 | | | $ | 706,195 | | | $ | 611,394 | | | $ | 561,658 | | | $ | 496,809 | | | $ | 442,239 | | | $ | 374,616 | | | $ | 378,727 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Internal Designated Credit Reserves | | $ | 382,862 | | | $ | 404,180 | | | $ | 365,998 | | | $ | 340,123 | | | $ | 298,925 | | | $ | 235,535 | | | $ | 216,924 | | | $ | 200,970 | |
External Credit Enhancement | | | 134,967 | | | | 141,970 | | | | 92,467 | | | | 67,650 | | | | 69,244 | | | | 70,460 | | | | 43,797 | | | | 46,476 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Credit Protection | | $ | 517,829 | | | $ | 546,150 | | | $ | 458,465 | | | $ | 407,773 | | | $ | 368,169 | | | $ | 305,995 | | | $ | 260,721 | | | $ | 247,446 | |
As % of Total Portfolio | | | 0.29 | % | | | 0.33 | % | | | 0.35 | % | | | 0.32 | % | | | 0.30 | % | | | 0.32 | % | | | 0.37 | % | | | 0.36 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Underlying Residential Real Estate Loans | | | 179,067,189 | | | $ | 164,046,130 | | | $ | 130,127,109 | | | $ | 126,486,797 | | | $ | 121,585,353 | | | $ | 97,105,222 | | | $ | 71,361,570 | | | $ | 68,133,175 | |
Number of credit-enhanced loans | | | 527,048 | | | | 492,513 | | | | 343,928 | | | | 332,130 | | | | 281,543 | | | | 222,725 | | | | 158,904 | | | | 150,031 | |
Average loan size | | $ | 340 | | | $ | 333 | | | $ | 378 | | | $ | 381 | | | $ | 432 | | | $ | 436 | | | $ | 449 | | | $ | 454 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adjustable % | | | 7 | % | | | 7 | % | | | 9 | % | | | 9 | % | | | 8 | % | | | 8 | % | | | 7 | % | | | 8 | % |
Negam % | | | 18 | % | | | 18 | % | | | 18 | % | | | 17 | % | | | 14 | % | | | 12 | % | | | 11 | % | | | 12 | % |
Hybrid % | | | 32 | % | | | 30 | % | | | 28 | % | | | 28 | % | | | 29 | % | | | 33 | % | | | 37 | % | | | 42 | % |
Fixed % | | | 43 | % | | | 45 | % | | | 45 | % | | | 46 | % | | | 49 | % | | | 47 | % | | | 45 | % | | | 38 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest Only % | | | 24 | % | | | 23 | % | | | 24 | % | | | 24 | % | | | 24 | % | | | 24 | % | | | 22 | % | | | 25 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Northern California | | | 20 | % | | | 20 | % | | | 20 | % | | | 19 | % | | | 21 | % | | | 22 | % | | | 23 | % | | | 23 | % |
Southern California | | | 24 | % | | | 24 | % | | | 23 | % | | | 22 | % | | | 23 | % | | | 23 | % | | | 23 | % | | | 24 | % |
Florida | | | 5 | % | | | 5 | % | | | 5 | % | | | 6 | % | | | 5 | % | | | 5 | % | | | 4 | % | | | 4 | % |
New York | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % |
New Jersey | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Virginia | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Texas | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % |
Colorado | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % |
Illinois | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % |
Other states (none greater than 3%) | | | 29 | % | | | 29 | % | | | 30 | % | | | 31 | % | | | 29 | % | | | 28 | % | | | 28 | % | | | 27 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year 2005 origination | | | 15 | % | | | 15 | % | | | 6 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Year 2004 origination | | | 41 | % | | | 51 | % | | | 55 | % | | | 55 | % | | | 51 | % | | | 39 | % | | | 16 | % | | | 0 | % |
Year 2003 origination | | | 35 | % | | | 26 | % | | | 29 | % | | | 32 | % | | | 36 | % | | | 44 | % | | | 59 | % | | | 64 | % |
Year 2002 origination | | | 6 | % | | | 5 | % | | | 6 | % | | | 7 | % | | | 7 | % | | | 9 | % | | | 14 | % | | | 19 | % |
Year 2001 origination | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 3 | % | | | 4 | % | | | 6 | % | | | 9 | % |
Year 2000 origination | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 1 | % | | | 1 | % | | | 1 | % |
Year 1999 origination | | | 0 | % | | | 0 | % | | | 0 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 2 | % |
Year 1998 or earlier origination | | | 1 | % | | | 1 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 5 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wtg Avg Original LTV | | | 68 | % | | | 68 | % | | | 68 | % | | | 68 | % | | | 68 | % | | | 67 | % | | | 67 | % | | | 67 | % |
Original LTV: 0% - 20% | | | 1 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Original LTV: 20% - 30% | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
Original LTV: 30% - 40% | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 4 | % | | | 4 | % |
Original LTV: 40% - 50% | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % | | | 8 | % |
Original LTV: 50% - 60% | | | 12 | % | | | 12 | % | | | 12 | % | | | 12 | % | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % |
Original LTV: 60% - 70% | | | 22 | % | | | 23 | % | | | 23 | % | | | 23 | % | | | 23 | % | | | 24 | % | | | 24 | % | | | 23 | % |
Original LTV: 70% - 75% | | | 15 | % | | | 15 | % | | | 15 | % | | | 15 | % | | | 15 | % | | | 15 | % | | | 15 | % | | | 15 | % |
Original LTV: 75% - 80% | | | 34 | % | | | 33 | % | | | 33 | % | | | 33 | % | | | 33 | % | | | 32 | % | | | 31 | % | | | 31 | % |
Original LTV: 80% - 90% | | | 2 | % | | | 3 | % | | | 3 | % | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % |
Original LTV: 90% - 100% | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % | | | 1 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Wtg Avg FICO | | | 732 | | | | 731 | | | | 730 | | | | 730 | | | | 728 | | | | 731 | | | | 732 | | | | 732 | |
FICO: <= 600 | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
FICO: 601 -620 | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
FICO: 621 - 640 | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
FICO: 641 -660 | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 4 | % | | | 3 | % |
FICO: 661 - 680 | | | 7 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 7 | % | | | 6 | % |
FICO: 681 - 700 | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 10 | % | | | 10 | % | | | 10 | % |
FICO: 701 - 720 | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % | | | 13 | % |
FICO: 721 - 740 | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % | | | 14 | % |
FICO: 741 - 760 | | | 15 | % | | | 15 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % | | | 16 | % |
FICO: 761 - 780 | | | 17 | % | | | 17 | % | | | 17 | % | | | 17 | % | | | 18 | % | | | 18 | % | | | 17 | % | | | 17 | % |
FICO: 781 - 800 | | | 12 | % | | | 12 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % | | | 11 | % |
FICO: >= 801 | | | 3 | % | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
Unknown | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 4 | % | | | 5 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Conforming at Origination % | | | 23 | % | | | 22 | % | | | 20 | % | | | 17 | % | | | 15 | % | | | 17 | % | | | 11 | % | | | 9 | % |
% balance in loans > $1mm per loan | | | 6 | % | | | 6 | % | | | 6 | % | | | 5 | % | | | 6 | % | | | 7 | % | | | 7 | % | | | 8 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2nd Home % | | | 6 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 5 | % | | | 6 | % | | | 5 | % | | | 5 | % |
Investment Home % | | | 2 | % | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 2 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase | | | 37 | % | | | 40 | % | | | 36 | % | | | 34 | % | | | 33 | % | | | 32 | % | | | 30 | % | | | 31 | % |
Cash Out Refi | | | 27 | % | | | 25 | % | | | 26 | % | | | 26 | % | | | 23 | % | | | 23 | % | | | 23 | % | | | 23 | % |
Rate-Term Refi | | | 36 | % | | | 33 | % | | | 38 | % | | | 40 | % | | | 44 | % | | | 44 | % | | | 46 | % | | | 45 | % |
Construction | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 0 | % |
Other | | | 0 | % | | | 2 | % | | | 0 | % | | | 0 | % | | | 0 | % | | | 1 | % | | | 1 | % | | | 1 | % |
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 September 30 all $ in thousands)
Table 16
Commercial Real Estate Loans — Characteristics
(at period end, all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Sep. 2005 | | | Jun. 2005 | | | Mar. 2005 | | | Dec. 2004 | | | Sep. 2004 | | | Jun. 2004 | | | Mar. 2004 | | | Dec. 2003 | |
Commercial Mortgage Loans | | $ | 56,102 | | | $ | 41,794 | | | $ | 56,604 | | | $ | 54,479 | | | $ | 33,389 | | | $ | 33,546 | | | $ | 22,177 | | | $ | 22,419 | |
Number of Loans | | | 12 | | | | 9 | | | | 12 | | | | 9 | | | | 7 | | | | 6 | | | | 9 | | | | 9 | |
Average Loan Size | | $ | 4,675 | | | $ | 4,644 | | | $ | 4,717 | | | $ | 6,053 | | | $ | 4,770 | | | $ | 5,591 | | | $ | 2,464 | | | $ | 2,491 | |
Serious Delinquency | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Realized Credit losses | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
California % | | | 28 | % | | | 37 | % | | | 42 | % | | | 44 | % | | | 72 | % | | | 72 | % | | | 65 | % | | | 65 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 17: Commercial Credit Results (all $ in thousands) | |
Table 17 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Credit Results | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | Total | | | | | | | | | | | | | | | Losses To | | | | | | | |
| | | | | | | | Internally- | | | | | | | (1) | | | Credit | | | | | | | | | | | | | | | Securities | | | Redwood's | | | Total Credit | |
| | | | | | | | Designated | | | External | | | Total | | | Protection | | | Seriously | | | Seriously | | | Total | | | Junior To | | | Share of Net | | | Losses As % | |
| | | | Underlying | | | Credit | | | Credit | | | Credit | | | As % of | | | Delinquent | | | Delinquent | | | Credit | | | Redwood's | | | Charge Offs | | | of Loans | |
| | | | Loans | | | Reserves | | | Enhancement | | | Protection | | | Loans | | | Loans | | | Loan % | | | Losses | | | Interest | | | (Recoveries) | | | (Annualized) | |
Total Managed Commercial Portfolio | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Q3: 2003 | | $ | 31,211 | | | $ | 8,141 | | | $ | 0 | | | $ | 8,141 | | | | 26.08 | % | | | — | | | | 0.00 | % | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | 0.00 | % |
| | Q4: 2003 | | | 31,180 | | | | 8,641 | | | | — | | | | 8,641 | | | | 27.71 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | 2003 | | | 31,180 | | | | 8,641 | | | | — | | | | 8,641 | | | | 27.71 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q1: 2004 | | | 1,355,451 | | | | 16,816 | | | | — | | | | 16,816 | | | | 1.24 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q2: 2004 | | | 1,365,536 | | | | 16,816 | | | | — | | | | 16,816 | | | | 1.23 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q3: 2004 | | | 22,285,400 | | | | 35,571 | | | | 1,655,482 | | | | 1,691,053 | | | | 7.59 | % | | | 389,611 | | | | 1.75 | % | | | 389,611 | | | | 389,611 | | | | 779,222 | | | | 6.99 | % |
| | Q4: 2004 | | | 26,139,083 | | | | 54,280 | | | | 1,633,055 | | | | 1,687,335 | | | | 6.46 | % | | | 362,956 | | | | 1.39 | % | | | 362,956 | | | | 362,956 | | | | 725,912 | | | | 5.55 | % |
| | 2004 | | | 26,139,083 | | | | 54,280 | | | | 1,633,055 | | | | 1,687,335 | | | | 6.46 | % | | | 362,956 | | | | 1.39 | % | | | 362,956 | | | | 362,956 | | | | 725,912 | | | | 5.55 | % |
| | Q1: 2005 | | | 30,996,417 | | | | 97,127 | | | | 1,610,628 | | | | 1,707,755 | | | | 5.51 | % | | | 288,581 | | | | 0.93 | % | | | 288,581 | | | | 288,581 | | | | 577,162 | | | | 3.72 | % |
| | Q2: 2005 | | | 31,293,511 | | | | 95,351 | | | | 1,588,200 | | | | 1,683,551 | | | | 5.38 | % | | | 254,503 | | | | 0.81 | % | | | 254,503 | | | | 254,503 | | | | 509,006 | | | | 3.25 | % |
| | Q3: 2005 | | | 39,368,505 | | | | 146,671 | | | | 1,565,773 | | | | 1,712,444 | | | | 4.35 | % | | | 267,612 | | | | 0.68 | % | | | 267,612 | | | | 267,612 | | | | 535,224 | | | | 2.72 | % |
Commercial Real Estate Loans | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Q3: 2003 | | $ | 31,211 | | | $ | 8,141 | | | $ | 0 | | | $ | 8,141 | | | | 26.08 | % | | | — | | | | 0.00 | % | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | <0.01 | % |
| | Q4: 2003 | | | 31,180 | | | | 8,641 | | | | — | | | | 8,641 | | | | 27.71 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | 50 | | | | <0.01 | % |
| | 2003 | | | 31,180 | | | | 8,641 | | | | — | | | | 8,641 | | | | 27.71 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | 81 | | | | <0.01 | % |
| | Q1: 2004 | | | 31,136 | | | | 8,641 | | | | — | | | | 8,641 | | | | 27.75 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | <0.01 | % |
| | Q2: 2004 | | | 43,448 | | | | 8,641 | | | | — | | | | 8,641 | | | | 19.89 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | <0.01 | % |
| | Q3: 2004 | | | 43,410 | | | | 8,641 | | | | — | | | | 8,641 | | | | 19.91 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | <0.01 | % |
| | Q4: 2004 | | | 65,598 | | | | 8,641 | | | | — | | | | 8,641 | | | | 13.17 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | 176 | | | | <0.01 | % |
| | 2004 | | | 65,598 | | | | 8,641 | | | | — | | | | 8,641 | | | | 13.17 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | 176 | | | | <0.01 | % |
| | Q1: 2005 | | | 67,365 | | | | 8,456 | | | | — | | | | 8,456 | | | | 12.55 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | 154 | | | | <0.01 | % |
| | Q2: 2005 | | | 51,778 | | | | 8,141 | | | | — | | | | 8,141 | | | | 15.72 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q3: 2005 | | | 66,348 | | | | 8,141 | | | | — | | | | 8,141 | | | | 12.27 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
Commercial Loan Credit-Enhancement Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Q3: 2003 | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | 0.00 | % | | | — | | | | 0.00 | % | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | 0.00 | % |
| | Q4: 2003 | | | — | | | | — | | | | — | | | | — | | | | 0.00 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | 2003 | | | — | | | | — | | | | — | | | | — | | | | 0.00 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q1: 2004 | | | 1,324,315 | | | | 8,175 | | | | — | | | | 8,175 | | | | 0.62 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q2: 2004 | | | 1,322,088 | | | | 8,175 | | | | — | | | | 8,175 | | | | 0.62 | % | | | — | | | | 0.00 | % | | | — | | | | — | | | | — | | | | 0.00 | % |
| | Q3: 2004 | | | 22,241,990 | | | | 26,930 | | | | 1,655,482 | | | | 1,682,412 | | | | 7.56 | % | | | 389,611 | | | | 1.75 | % | | | 1,351 | | | | 1,351 | | | | — | | | | 0.02 | % |
| | Q4: 2004 | | | 26,073,485 | | | | 45,639 | | | | 1,633,055 | | | | 1,678,694 | | | | 6.44 | % | | | 362,956 | | | | 1.39 | % | | | 4,959 | | | | 4,959 | | | | — | | | | 0.08 | % |
| | 2004 | | | 26,073,485 | | | | 45,639 | | | | 1,633,055 | | | | 1,678,694 | | | | 6.44 | % | | | 362,956 | | | | 1.39 | % | | | 6,310 | | | | 6,310 | | | | — | | | | 0.10 | % |
| | Q1: 2005 | | | 30,929,052 | | | | 88,671 | | | | 1,610,628 | | | | 1,699,299 | | | | 5.49 | % | | | 288,581 | | | | 0.93 | % | | | 45,493 | | | | 45,493 | | | | — | | | | 0.59 | % |
| | Q2: 2005 | | | 31,241,733 | | | | 87,210 | | | | 1,588,200 | | | | 1,675,410 | | | | 5.36 | % | | | 254,503 | | | | 0.81 | % | | | 19,622 | | | | 18,161 | | | | 1,461 | | | | 0.25 | % |
| | Q3: 2005 | | | 39,302,157 | | | | 138,530 | | | | 1,565,773 | | | | 1,704,303 | | | | 4.34 | % | | | 267,612 | | | | 0.68 | % | | | 1,043 | | | | 1,040 | | | | 3 | | | | 0.01 | % |
(1)The credit reserve on commercial real estate loans owned is only available to absorb losses on the commercial real estate loan portfolio. The internally-designated credit reserves on commercial loans credit enhanced and the external credit enhancement on commercial loans credit enhanced are only available to absorb losses on the commercial loan credit-enhancement portfolio.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 18: Commercial Credit-Enhancement Securities - Underlying Collateral Characteristics (all $ in thousands) |
| | | | | | | | | | | | | | | | | | | | | |
Table 18 | | | | | | | | | | | | | | | | | | | | | |
Commercial Credit-Enhancement Securities - | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | |
| | Sep. 2005 | | | Jun. 2005 | | | Mar. 2005 | | | Dec. 2004 | | | Sep. 2004 | | | Jun. 2004 | | | Mar. 2004 | |
Underlying Commercial Real Estate Loans | | $ | 20,906,898 | | | $ | 12,492,337 | | | $ | 11,498,141 | | | $ | 5,859,585 | | | $ | 1,319,931 | | | $ | 1,322,088 | | | $ | 1,324,315 | |
Number of credit-enhanced loans | | | 1,428 | | | | 801 | | | | 717 | | | | 392 | | | | 93 | | | | 93 | | | | 93 | |
Average loan size | | | 14,640 | | | | 15,595 | | | | 16,036 | | | | 14,948 | | | | 14,193 | | | | 14,216 | | | | 14,240 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
State Distribution | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CA | | | 17 | % | | | 17 | % | | | 17 | % | | | 18 | % | | | 18 | % | | | 18 | % | | | 18 | % |
NY | | | 14 | % | | | 15 | % | | | 14 | % | | | 10 | % | | | 0 | % | | | 0 | % | | | 0 | % |
TX | | | 8 | % | | | 10 | % | | | 9 | % | | | 8 | % | | | 6 | % | | | 6 | % | | | 6 | % |
VA | | | 4 | % | | | 1 | % | | | 1 | % | | | 2 | % | | | 6 | % | | | 6 | % | | | 6 | % |
FL | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 5 | % | | | 5 | % | | | 5 | % |
Other | | | 54 | % | | | 55 | % | | | 57 | % | | | 60 | % | | | 65 | % | | | 65 | % | | | 65 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Property Type Distribution | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Office | | | 40 | % | | | 45 | % | | | 44 | % | | | 42 | % | | | 28 | % | | | 28 | % | | | 27 | % |
Retail | | | 32 | % | | | 34 | % | | | 33 | % | | | 31 | % | | | 41 | % | | | 41 | % | | | 41 | % |
Multi-Family | | | 11 | % | | | 9 | % | | | 10 | % | | | 12 | % | | | 11 | % | | | 11 | % | | | 11 | % |
Hotel | | | 6 | % | | | 6 | % | | | 8 | % | | | 6 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Self-Storage | | | 3 | % | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 3 | % | | | 3 | % |
Industrial | | | 3 | % | | | 2 | % | | | 1 | % | | | 2 | % | | | 4 | % | | | 4 | % | | | 4 | % |
Other | | | 5 | % | | | 2 | % | | | 3 | % | | | 4 | % | | | 10 | % | | | 10 | % | | | 10 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Weighted Average Current LTV | | | 69 | % | | | 67 | % | | | 68 | % | | | 67 | % | | | 68 | % | | | 68 | % | | | 68 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Weighted Average Debt Service Coverage Ratio | | | 1.67 | | | | 1.73 | | | | 1.71 | | | | 1.79 | | | | 1.89 | | | | 1.89 | | | | 1.89 | |
The information presented above represents collateral information on our non-rated commercial CES portfolio, and excludes loans underlying a non-rated CES investment in a re-REMIC interest.
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Table 19: Securities Portfolio - Characteristics at September 30, 2005 (all $ in thousands) | |
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Table 19 | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Portfolio - Characteristics at September 30, 2005 | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Rating: | | | | | | | | | | | | | | | | | | | |
| | Total | | | AAA | | | AA | | | A | | | BBB | | | BB | | | B | | | Unrated | |
Commercial Real Estate | | $ | 310,907 | | | $ | 18,515 | | | $ | 1,936 | | | $ | 33,465 | | | $ | 111,106 | | | $ | 118,877 | | | $ | 27,008 | | | $ | 0 | |
Residential Prime | | | 647,781 | | | | 28,298 | | | | 261,770 | | | | 154,243 | | | | 203,470 | | | | — | | | | — | | | | — | |
Residential Subprime | | | 477,266 | | | | — | | | | 90,009 | | | | 302,872 | | | | 84,385 | | | | — | | | | — | | | | — | |
Residential Second Lien | | | 118,409 | | | | 2,992 | | | | 50,488 | | | | 59,007 | | | | 5,922 | | | | — | | | | — | | | | — | |
Manufactured Housing | | | 14,695 | | | | 3,023 | | | | — | | | | 5,581 | | | | — | | | | — | | | | 6,091 | | | | — | |
Corporate REIT Debt | | | 63,381 | | | | — | | | | — | | | | 7,152 | | | | 56,229 | | | | — | | | | — | | | | — | |
Real Estate CDOs | | | 150,990 | | | | 35,637 | | | | 26,314 | | | | 29,807 | | | | 40,115 | | | | 14,515 | | | | — | | | | 4,602 | |
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Total Securities Portfolio | | $ | 1,783,429 | | | $ | 88,465 | | | $ | 430,517 | | | $ | 592,127 | | | $ | 501,227 | | | $ | 133,392 | | | $ | 33,099 | | | $ | 4,602 | |
| | |
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
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Table 20: ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) (all $ in thousands) | |
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Table 20 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Outstanding At | | | Rate At | |
Sequoia | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
ABS Issued (1) | | Rating | | Date | | | Amount | | | Index | | | Maturity | | | Date | | | 2005 | | | 2005 | |
Sequoia 1 A1 | | AAA | | | 07/29/97 | | | $ | 334,347 | | | 1m LIBOR | | | 2028 | | | Called | | | $ | 0 | | | 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 | | | | 120,811 | | | | 4.18 | % |
Sequoia 5 A | | AAA | | | 10/29/01 | | | | 496,667 | | | 1m LIBOR | | | 2026 | | | | 2009 | | | | 200,678 | | | | 4.14 | % |
Sequoia 5 B1 | | AA | | | 10/29/01 | | | | 5,918 | | | 1m LIBOR | | | 2026 | | | | 2009 | | | | 5,218 | | | | 4.59 | % |
Sequoia 5 B2 | | | | A | | | 10/29/01 | | | | 5,146 | | | 1m LIBOR | | | 2026 | | | | 2009 | | | | 4,537 | | | | 4.59 | % |
Sequoia 5 B3 | | BBB | | | 10/29/01 | | | | 2,316 | | | 1m LIBOR | | | 2026 | | | | 2009 | | | | 2,042 | | | | 4.59 | % |
Sequoia 6A | | AAA | | | 04/26/02 | | | | 496,378 | | | 1m LIBOR | | | 2027 | | | | 2009 | | | | 227,914 | | | | 4.11 | % |
Sequoia 6B1 | | AA | | | 04/26/02 | | | | 5,915 | | | 1m LIBOR | | | 2027 | | | | 2009 | | | | 5,915 | | | | 4.49 | % |
Sequoia 7A | | AAA | | | 05/29/02 | | | | 554,686 | | | 1m LIBOR | | | 2032 | | | | 2008 | | | | 205,990 | | | | 4.14 | % |
Sequoia 7B1 | | AA | | | 05/29/02 | | | | 8,080 | | | 1m LIBOR | | | 2032 | | | | 2008 | | | | 6,486 | | | | 4.55 | % |
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 | | | | 6,599 | | | | 5.12 | % |
Sequoia 8 2A | | AAA | | | 07/30/02 | | | | 463,097 | | | 1m LIBOR | | | 2032 | | | | 2008 | | | | 198,430 | | | | 4.10 | % |
Sequoia 8 3A | | AAA | | | 07/30/02 | | | | 49,973 | | | 6m LIBOR | | | 2032 | | | | 2008 | | | | 12,266 | | | | 5.13 | % |
Sequoia 8 B1 | | AA | | | 07/30/02 | | | | 9,069 | | | 1m LIBOR | | | 2032 | | | | 2008 | | | | 7,303 | | | | 4.47 | % |
Sequoia 9 1A | | AAA | | | 08/28/02 | | | | 381,689 | | | 1m LIBOR | | | 2032 | | | | 2011 | | | | 172,473 | | | | 4.15 | % |
Sequoia 9 2A | | AAA | | | 08/28/02 | | | | 168,875 | | | 1m LIBOR | | | 2032 | | | | 2011 | | | | 47,285 | | | | 5.15 | % |
Sequoia 9 B1 | | AA | | | 08/28/02 | | | | 7,702 | | | 1m LIBOR | | | 2032 | | | | 2011 | | | | 6,911 | | | | 4.55 | % |
Sequoia 10 1A | | AAA | | | 09/26/02 | | | | 822,375 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 403,555 | | | | 4.20 | % |
Sequoia 10 2A-1 | | AAA | | | 09/26/02 | | | | 190,000 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 90,484 | | | | 4.18 | % |
Sequoia 10 2A-2 | | AAA | | | 09/26/02 | | | | 3,500 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 3,500 | | | | 4.48 | % |
Sequoia 10 B1 | | AA | | | 09/26/02 | | | | 12,600 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 12,600 | | | | 4.60 | % |
Sequoia 10 B2 | | | | A | | | 09/26/02 | | | | 8,400 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 8,400 | | | | 4.60 | % |
Sequoia 10 B3 | | BBB | | | 09/26/02 | | | | 4,725 | | | 1m LIBOR | | | 2027 | | | | 2011 | | | | 4,725 | | | | 5.20 | % |
Sequoia 11 A | | AAA | | | 10/30/02 | | | | 695,210 | | | 1m LIBOR | | | 2032 | | | | 2011 | | | | 311,626 | | | | 4.25 | % |
Sequoia 11 B1 | | AA | | | 10/30/02 | | | | 9,726 | | | 1m LIBOR | | | 2032 | | | | 2011 | | | | 9,726 | | | | 4.77 | % |
Sequoia 12 A | | AAA | | | 12/19/02 | | | | 1,080,076 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 514,130 | | | | 4.25 | % |
Sequoia 12 B1 | | AA | | | 12/19/02 | | | | 16,815 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 16,815 | | | | 4.65 | % |
Sequoia 2003-1 A1 | | AAA | | | 02/27/03 | | | | 798,206 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 394,217 | | | | 4.18 | % |
Sequoia 2003-1 A2 | | AAA | | | 02/27/03 | | | | 190,000 | | | 6m LIBOR | | | 2033 | | | | 2009 | | | | 89,324 | | | | 4.44 | % |
Sequoia 2003-1 B1 | | AA | | | 02/27/03 | | | | 15,905 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 15,905 | | | | 4.68 | % |
Sequoia 2003-1 B2 | | | | A | | | 02/27/03 | | | | 8,210 | | | Pass Through | | | 2033 | | | | 2009 | | | | 8,210 | | | | 4.81 | % |
Sequoia 2003-2 A1 | | AAA | | | 04/29/03 | | | | 500,000 | | | 1m LIBOR | | | 2022 | | | | 2009 | | | | 261,603 | | | | 4.13 | % |
Sequoia 2003-2 A2 | | AAA | | | 04/29/03 | | | | 303,600 | | | 6m LIBOR | | | 2022 | | | | 2009 | | | | 150,777 | | | | 3.67 | % |
Sequoia 2003-2 M1 | | AA | | | 04/29/03 | | | | 11,480 | | | 1m LIBOR | | | 2016 | | | | 2009 | | | | 11,480 | | | | 4.45 | % |
Sequoia 2003-3 A1 | | AAA | | | 06/26/03 | | | | 379,455 | | | 1m LIBOR | | | 2023 | | | | 2009 | | | | 178,826 | | | | 4.13 | % |
Sequoia 2003-3 A2 | | AAA | | | 06/26/03 | | | | 149,922 | | | 6m LIBOR | | | 2023 | | | | 2009 | | | | 67,568 | | | | 3.99 | % |
Sequoia 2003-3 B1 | | AA | | | 06/26/03 | | | | 9,075 | | | 1m LIBOR | | | 2025 | | | | 2009 | | | | 9,075 | | | | 4.45 | % |
MLCC 2003-C A1 | | AAA | | | 06/26/03 | | | | 773,795 | | | 1m LIBOR | | | 2023 | | | | 2012 | | | | 395,563 | | | | 4.16 | % |
MLCC 2003-C A2 | | AAA | | | 06/26/03 | | | | 200,002 | | | 6m LIBOR | | | 2023 | | | | 2012 | | | | 104,405 | | | | 4.00 | % |
MLCC 2003-C B1 | | AA | | | 06/26/03 | | | | 10,553 | | | 1m LIBOR | | | 2025 | | | | 2012 | | | | 10,553 | | | | 4.48 | % |
MLCC 2003-D A | | AAA | | | 07/29/03 | | | | 992,833 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 533,450 | | | | 4.14 | % |
MLCC 2003-D B1 | | AA | | | 07/29/03 | | | | 10,758 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 10,758 | | | | 4.46 | % |
Sequoia 2003-4 1A1 | | AAA | | | 07/29/03 | | | | 148,641 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 91,246 | | | | 4.11 | % |
Sequoia 2003-4 1A2 | | AAA | | | 07/29/03 | | | | 150,000 | | | 6m LIBOR | | | 2033 | | | | 2009 | | | | 86,733 | | | | 4.18 | % |
Sequoia 2003-4 1B1 | | AA | | | 07/29/03 | | | | 3,864 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 3,864 | | | | 4.45 | % |
Sequoia 2003-4 2A1 | | AAA | | | 07/29/03 | | | | 189,415 | | | 1m LIBOR | | | 2033 | | | | 2011 | | | | 130,855 | | | | 4.15 | % |
Sequoia 2003-4 2M1 | | AA | | | 07/29/03 | | | | 9,986 | | | 1m LIBOR | | | 2033 | | | | 2011 | | | | 9,986 | | | | 4.27 | % |
Sequoia 2003-4 2B1 | | AA | | | 07/29/03 | | | | 2,367 | | | 1m LIBOR | | | 2033 | | | | 2011 | | | | 2,367 | | | | 4.45 | % |
Sequoia 2003-5 A1 | | AAA | | | 08/27/03 | | | | 675,596 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 324,675 | | | | 4.11 | % |
Sequoia 2003-5 A2 | | AAA | | | 08/27/03 | | | | 149,609 | | | 6m LIBOR | | | 2033 | | | | 2009 | | | | 73,831 | | | | 4.37 | % |
Sequoia 2003-5 B1 | | AA | | | 08/27/03 | | | | 15,043 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 15,043 | | | | 4.40 | % |
Sequoia 2003-6 A1 | | AAA | | | 10/29/03 | | | | 458,238 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | | 220,657 | | | | 4.11 | % |
Sequoia 2003-6 A2 | | AAA | | | 10/29/03 | | | | 180,474 | | | 6m LIBOR | | | 2033 | | | | 2009 | | | | 84,729 | | | | 3.66 | % |
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Table 20: ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) - continued | |
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Table 20 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Outstanding At | | | Rate At | |
Sequoia | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
ABS Issued (1) | | Rating | | Date | | | Amount | | | Index | | | Maturity | | | Date | | | 2005 | | | 2005 | |
Sequoia 2003-6 B1 | | AA | | | 10/29/03 | | | $ | 11,287 | | | 1m LIBOR | | | 2033 | | | | 2009 | | | $ | 11,287 | | | | 4.38 | % |
Sequoia 2003-7 A1 | | AAA | | | 11/25/03 | | | | 290,000 | | | 1m LIBOR | | | 2034 | | | | 2009 | | | | 144,216 | | | | 4.12 | % |
Sequoia 2003-7 A2 | | AAA | | | 11/25/03 | | | | 505,100 | | | 6m LIBOR | | | 2034 | | | | 2009 | | | | 240,863 | | | | 3.84 | % |
Sequoia 2003-7 B1 | | AA | | | 11/25/03 | | | | 16,607 | | | 1m LIBOR | | | 2034 | | | | 2009 | | | | 16,607 | | | | 4.35 | % |
Sequoia 2003-8 A1 | | AAA | | | 12/23/03 | | | | 791,768 | | | 1m LIBOR | | | 2034 | | | | 2009 | | | | 450,586 | | | | 4.12 | % |
Sequoia 2003-8 A2 | | AAA | | | 12/23/03 | | | | 150,000 | | | 6m LIBOR | | | 2034 | | | | 2009 | | | | 83,832 | | | | 3.96 | % |
Sequoia 2003-8 B1 | | AA | | | 12/23/03 | | | | 14,166 | | | 1m LIBOR | | | 2034 | | | | 2009 | | | | 14,166 | | | | 4.39 | % |
Sequoia 2003-8 B2 | | | | A | | | 12/23/03 | | | | 8,304 | | | 1m LIBOR | | | 2034 | | | | 2009 | | | | 8,304 | | | | 5.05 | % |
MLCC 2003-E A1 | | AAA | | | 08/28/03 | | | | 823,305 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 465,323 | | | | 4.14 | % |
MLCC 2003-E A2 | | AAA | | | 08/28/03 | | | | 150,000 | | | 6m LIBOR | | | 2028 | | | | 2012 | | | | 78,143 | | | | 3.41 | % |
MLCC 2003-E B1 | | AA | | | 08/28/03 | | | | 10,547 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 10,547 | | | | 4.43 | % |
MLCC 2003-F A1 | | AAA | | | 09/25/03 | | | | 839,000 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 469,048 | | | | 4.15 | % |
MLCC 2003-F A2 | | AAA | | | 09/25/03 | | | | 270,000 | | | 6m LIBOR | | | 2028 | | | | 2012 | | | | 159,680 | | | | 4.43 | % |
MLCC 2003-F A3 | | AAA | | | 09/25/03 | | | | 175,000 | | | Pass Through | | | 2028 | | | | 2012 | | | | 106,747 | | | | 5.17 | % |
MLCC 2003-F B1 | | AA | | | 09/25/03 | | | | 13,913 | | | 1m LIBOR | | | 2028 | | | | 2012 | | | | 13,913 | | | | 4.43 | % |
MLCC 2003-H A1 | | AAA | | | 12/22/03 | | | | 365,708 | | | 1m LIBOR | | | 2029 | | | | 2012 | | | | 218,718 | | | | 4.15 | % |
MLCC 2003-H A2 | | AAA | | | 12/22/03 | | | | 240,000 | | | 6m LIBOR | | | 2029 | | | | 2012 | | | | 146,062 | | | | 3.99 | % |
MLCC 2003-H A3A | | AAA | | | 12/22/03 | | | | 119,613 | | | Pass Through | | | 2029 | | | | 2012 | | | | 69,687 | | | | 4.95 | % |
MLCC 2003-H B1 | | AA | | | 12/22/03 | | | | 7,875 | | | 1m LIBOR | | | 2029 | | | | 2012 | | | | 7,875 | | | | 4.38 | % |
MLCC 2003-H B2 | | | | A | | | 12/22/03 | | | | 6,000 | | | 1m LIBOR | | | 2029 | | | | 2012 | | | | 6,000 | | | | 5.08 | % |
Sequoia 2004-1 A1 | | AAA | | | 01/28/04 | | | | 601,250 | | | 6m LIBOR | | | 2034 | | | | 2010 | | | | 329,728 | | | | 4.18 | % |
Sequoia 2004-1 B1 | | AA | | | 01/28/04 | | | | 9,375 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 9,375 | | | | 4.35 | % |
Sequoia 2004-1 B2 | | | | A | | | 01/28/04 | | | | 5,937 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 5,937 | | | | 4.85 | % |
Sequoia 2004-2 A1 | | AAA | | | 02/25/04 | | | | 671,998 | | | 6m LIBOR | | | 2034 | | | | 2010 | | | | 373,208 | | | | 4.31 | % |
Sequoia 2004-2 B1 | | AA | | | 02/25/04 | | | | 11,550 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 11,550 | | | | 4.30 | % |
Sequoia 2004-2 B2 | | | | A | | | 02/25/04 | | | | 7,000 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 7,000 | | | | 4.78 | % |
Sequoia 2004-3 A1 | | AAA | | | 03/30/04 | | | | 894,673 | | | 6m LIBOR | | | 2034 | | | | 2010 | | | | 479,990 | | | | 4.27 | % |
Sequoia 2004-3 M1 | | AA | | | 03/30/04 | | | | 13,800 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 13,800 | | | | 4.30 | % |
Sequoia 2004-3 M2 | | | | A | | | 03/30/04 | | | | 9,200 | | | 1m LIBOR | | | 2034 | | | | 2010 | | | | 9,200 | | | | 4.70 | % |
Sequoia 2004-4 A1 | | AAA | | | 04/29/04 | | | | 785,971 | | | 6m LIBOR | | | 2010 | | | | 2010 | | | | 420,646 | | | | 3.59 | % |
Sequoia 2004-4 B1 | | AA | | | 04/29/04 | | | | 14,612 | | | 1m LIBOR | | | 2010 | | | | 2010 | | | | 14,612 | | | | 4.30 | % |
Sequoia 2004-4 B2 | | | | A | | | 04/29/04 | | | | 8,350 | | | 1m LIBOR | | | 2010 | | | | 2010 | | | | 8,350 | | | | 4.70 | % |
Sequoia 2004-5 A1 | | AAA | | | 05/27/04 | | | | 547,657 | | | Pass Through | | | 2012 | | | | 2012 | | | | 303,440 | | | | 4.65 | % |
Sequoia 2004-5 A2 | | AAA | | | 05/27/04 | | | | 185,613 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 102,829 | | | | 4.06 | % |
Sequoia 2004-5 A3 | | AAA | | | 05/27/04 | | | | 74,897 | | | 6m LIBOR | | | 2012 | | | | 2012 | | | | 41,493 | | | | 3.77 | % |
Sequoia 2004-5 B1 | | AA | | | 05/27/04 | | | | 14,874 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 14,874 | | | | 4.28 | % |
Sequoia 2004-5 B2 | | | | A | | | 05/27/04 | | | | 8,499 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 8,499 | | | | 4.68 | % |
Sequoia 2004-6 A1 | | AAA | | | 06/29/04 | | | | 500,000 | | | Pass Through | | | 2012 | | | | 2012 | | | | 282,051 | | | | 4.81 | % |
Sequoia 2004-6 A2 | | AAA | | | 06/29/04 | | | | 185,687 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 115,171 | | | | 4.08 | % |
Sequoia 2004-6 A3a | | AAA | | | 06/29/04 | | | | 196,500 | | | 6m LIBOR | | | 2012 | | | | 2012 | | | | 110,717 | | | | 3.94 | % |
Sequoia 2004-6 A3b | | AAA | | | 06/29/04 | | | | 3,500 | | | 6m LIBOR | | | 2012 | | | | 2012 | | | | 1,972 | | | | 4.08 | % |
Sequoia 2004-6 B1 | | AA | | | 06/29/04 | | | | 15,725 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 15,725 | | | | 4.30 | % |
Sequoia 2004-6 B2 | | | | A | | | 06/29/04 | | | | 9,250 | | | 1m LIBOR | | | 2012 | | | | 2012 | | | | 9,250 | | | | 4.68 | % |
SEMHT 2004-01 A | | AAA | | | 06/29/04 | | | | 317,044 | | | 1m LIBOR | | | 2014 | | | | 2012 | | | | 206,423 | | | | 4.03 | % |
Sequoia 2004-7 A1 | | AAA | | | 07/29/04 | | | | 498,828 | | | Pass Through | | | 2034 | | | | 2012 | | | | 160,773 | | | | 4.84 | % |
Sequoia 2004-7 A2 | | AAA | | | 07/29/04 | | | | 252,102 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 167,241 | | | | 4.11 | % |
Sequoia 2004-7 A3a | | AAA | | | 07/29/04 | | | | 247,874 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 151,121 | | | | 4.18 | % |
Sequoia 2004-7 A3b | | AAA | | | 07/29/04 | | | | 3,956 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 2,412 | | | | 4.40 | % |
Sequoia 2004-7 B1 | | AA | | | 07/29/04 | | | | 18,900 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 18,900 | | | | 4.35 | % |
Sequoia 2004-7 B2 | | | | A | | | 07/29/04 | | | | 11,025 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 11,025 | | | | 4.74 | % |
Sequoia 2004-8 A1 | | AAA | | | 08/27/04 | | | | 365,049 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 248,557 | | | | 4.15 | % |
Sequoia 2004-8 A2 | | AAA | | | 08/27/04 | | | | 418,050 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 260,159 | | | | 4.41 | % |
Sequoia 2004-8 B1 | | AA | | | 08/27/04 | | | | 16,400 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 16,400 | | | | 4.32 | % |
Sequoia 2004-8 B2 | | | | A | | | 08/27/04 | | | | 8,200 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 8,200 | | | | 4.70 | % |
Sequoia 2004-9 A1 | | AAA | | | 09/29/04 | | | | 453,364 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 320,197 | | | | 4.14 | % |
Sequoia 2004-9 A2 | | AAA | | | 09/29/04 | | | | 296,310 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 209,853 | | | | 4.38 | % |
Sequoia 2004-9 B1 | | AA | | | 09/29/04 | | | | 14,915 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 14,915 | | | | 4.31 | % |
Sequoia 2004-9 B2 | | | | A | | | 09/29/04 | | | | 8,242 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 8,242 | | | | 4.68 | % |
Sequoia 2004-10 A-1A | | AAA | | | 10/28/04 | | | | 110,000 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 82,065 | | | | 4.11 | % |
Sequoia 2004-10 A-1B | | AAA | | | 10/28/04 | | | | 12,225 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 9,120 | | | | 4.17 | % |
Sequoia 2004-10 A-2 | | AAA | | | 10/28/04 | | | | 203,441 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 151,776 | | | | 4.12 | % |
Sequoia 2004-10 A-3A | | AAA | | | 10/28/04 | | | | 180,000 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 115,085 | | | | 3.66 | % |
Sequoia 2004-10 A-3B | | AAA | | | 10/28/04 | | | | 20,000 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 12,787 | | | | 3.72 | % |
Sequoia 2004-10 A-4 | | AAA | | | 10/28/04 | | | | 126,799 | | | 6m LIBOR | | | 2034 | | | | 2012 | | | | 81,070 | | | | 3.67 | % |
Sequoia 2004-10 B-1 | | AA | | | 10/28/04 | | | | 14,042 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 14,042 | | | | 4.30 | % |
Sequoia 2004-10 B-2 | | | | A | | | 10/28/04 | | | | 6,849 | | | 1m LIBOR | | | 2034 | | | | 2012 | | | | 6,849 | | | | 4.65 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 20: ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) - continued | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 20 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ABS Issued Characteristics - Residential Mortgage Loans (Sequoia) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(all $ in thousands) | | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Outstanding At | | | Rate At | |
Sequoia | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
ABS Issued (1) | | Rating | | Date | | | Amount | | | Index | | | Maturity | | | Date | | | 2005 | | | 2005 | |
Sequoia 2004-11 A1 | | AAA | | | 11/23/04 | | | $ | 433,985 | | | 1m LIBOR | | | 2034 | | | | 2013 | | | $ | 307,247 | | | | 4.10 | % |
Sequoia 2004-11 A2 | | AAA | | | 11/23/04 | | | | 86,036 | | | 6m LIBOR | | | 2034 | | | | 2013 | | | | 62,183 | | | | 3.81 | % |
Sequoia 2004-11 A3 | | AAA | | | 11/23/04 | | | | 170,694 | | | 1m LIBOR | | | 2034 | | | | 2013 | | | | 141,222 | | | | 4.10 | % |
Sequoia 2004-11 B1 | | AA | | | 11/23/04 | | | | 8,947 | | | 1m LIBOR | | | 2034 | | | | 2013 | | | | 8,947 | | | | 4.30 | % |
Sequoia 2004-11 B2 | | | | A | | | 11/23/04 | | | | 6,084 | | | 1m LIBOR | | | 2034 | | | | 2013 | | | | 6,084 | | | | 4.65 | % |
Sequoia 2004-12 A1 | | AAA | | | 12/22/04 | | | | 380,510 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 287,723 | | | | 4.07 | % |
Sequoia 2004-12 A2 | | AAA | | | 12/22/04 | | | | 208,392 | | | 6m LIBOR | | | 2035 | | | | 2013 | | | | 152,139 | | | | 3.93 | % |
Sequoia 2004-12 A3 | | AAA | | | 12/22/04 | | | | 218,331 | | | 6m LIBOR | | | 2035 | | | | 2013 | | | | 138,665 | | | | 3.96 | % |
Sequoia 2004-12 B1 | | AA | | | 12/22/04 | | | | 8,588 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 8,588 | | | | 4.30 | % |
Sequoia 2004-12 B2 | | | | A | | | 12/22/04 | | | | 6,134 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 6,134 | | | | 4.65 | % |
Sequoia 2005-1 A1 | | AAA | | | 01/27/05 | | | | 298,055 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 223,914 | | | | 4.03 | % |
Sequoia 2005-1 A2 | | AAA | | | 01/27/05 | | | | 100,000 | | | 6m LIBOR | | | 2035 | | | | 2013 | | | | 79,935 | | | | 4.10 | % |
Sequoia 2005-1 B1 | | AA | | | 01/27/05 | | | | 7,067 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 7,067 | | | | 4.22 | % |
Sequoia 2005-1 B2 | | | | A | | | 01/27/05 | | | | 3,949 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 3,949 | | | | 4.50 | % |
Sequoia 2005-2 A1 | | AAA | | | 02/24/05 | | | | 202,462 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 154,268 | | | | 4.02 | % |
Sequoia 2005-2 A2 | | AAA | | | 02/24/05 | | | | 126,737 | | | 6m LIBOR | | | 2035 | | | | 2013 | | | | 91,512 | | | | 4.29 | % |
Sequoia 2005-2 B1 | | AA | | | 02/24/05 | | | | 6,016 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 6,016 | | | | 4.19 | % |
Sequoia 2005-2 B2 | | | | A | | | 02/24/05 | | | | 3,266 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 3,266 | | | | 4.47 | % |
Sequoia 2005-3 A1 | | AAA | | | 04/28/05 | | | | 349,687 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 292,959 | | | | 4.00 | % |
Sequoia 2005-3 B1 | | AA | | | 04/28/05 | | | | 6,208 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 6,208 | | | | 4.17 | % |
Sequoia 2005-3 B2 | | | | A | | | 04/28/05 | | | | 3,287 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 3,287 | | | | 4.44 | % |
Madrona 2005-A | | BBB | | | 08/25/05 | | | | 5,400 | | | 1m LIBOR | | | 2,008 | | | | 2008 | | | | 5,400 | | | | 6.14 | % |
SEMT 2005-4 1-A1 | | AAA | | | 09/29/05 | | | | 133,459,000 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 133,459 | | | | 4.06 | % |
SEMT 2005-4 1-A2 | | AAA | | | 09/29/05 | | | | 14,829,000 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 14,829 | | | | 4.21 | % |
SEMT 2005-4 1-B1 | | AA | | | 09/29/05 | | | | 2,093,000 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 2,093 | | | | 4.29 | % |
SEMT 2005-4 1-B2 | | AA | | | 09/29/05 | | | | 1,395,000 | | | 1m LIBOR | | | 2035 | | | | 2013 | | | | 1,395 | | | | 4.47 | % |
SEMT 2005-4 2-A1 | | AAA | | | 09/29/05 | | | | 160,096,000 | | | Pass Through | | | 2035 | | | | 2013 | | | | 160,096 | | | | 4.08 | % |
SEMT 2005-4 2-A2 | | AAA | | | 09/29/05 | | | | 10,268,000 | | | Pass Through | | | 2035 | | | | 2013 | | | | 10,268 | | | | 4.08 | % |
SEMT 2005-4 2-B1 | | AA | | | 09/29/05 | | | | 1,740,000 | | | Pass Through | | | 2035 | | | | 2013 | | | | 1,740 | | | | 4.08 | % |
SEMT 2005-4 2-B2 | | | | A | | | 09/29/05 | | | | 696,000 | | | Pass Through | | | 2035 | | | | 2013 | | | | 696 | | | | 4.08 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Sequoia ABS Issuance | | | | | | | | | | $ | 354,804,173 | | | | | | | | | | | | | | | $ | 15,901,642 | | | | 4.17 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) Does not include Sequoia ABS acquired by Redwood or Acacia
Table 21: ABS Issued Characteristics — IO’s from Residential Real Estate Loans
Sequoia Interest-Only Certificates Issued (all $ in thousands)
Table 21
ABS Characteristics — IO’s from Residential Real Estate Loans — Sequoia Interest-Only Cerfiticates Issued
(all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | Adjusted Issue | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Amount At | | | Rate At | |
Sequoia ABS | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
IO's Issued (1) | | Rating | | Date | | | Amount | | | Index | | Maturity | | | Date | | | 2005 | | | 2005 | |
MLCC 2003-C X-A-2 | | AAA | | | 06/26/03 | | | $ | 12,662 | | | Fixed | | | 2007 | | | | 2011 | | | $ | 1,974 | | | | 4.50 | % |
MLCC 2003-D X-A-1 | | AAA | | | 07/29/03 | | | | 22,371 | | | Fixed | | | 2007 | | | | 2012 | | | | 4,314 | | | | 4.50 | % |
MLCC 2003-E X-A-1 | | AAA | | | 08/28/03 | | | | 16,550 | | | Fixed | | | 2007 | | | | 2012 | | | | 4,522 | | | | 4.25 | % |
MLCC 2003-F X-A-1 | | AAA | | | 09/25/03 | | | | 18,666 | | | Fixed | | | 2007 | | | | 2012 | | | | 5,180 | | | | 4.50 | % |
Sequoia 2003-6 X-1 | | AAA | | | 10/29/03 | | | | 8,220 | | | Fixed | | | 2007 | | | | 2009 | | | | 2,215 | | | | 4.50 | % |
SMFC 2003A AX1 | | AAA | | | 10/31/03 | | | | 70,568 | | | Fixed | | | 2007 | | | | 2007 | | | | 16,040 | | | | 4.50 | % |
Sequoia 2003-7 X-1 | | AAA | | | 11/25/03 | | | | 10,345 | | | Fixed | | | 2007 | | | | 2012 | | | | 2,964 | | | | 4.25 | % |
Sequoia 2003-8 X-1 | | AAA | | | 12/23/03 | | | | 12,256 | | | Fixed | | | 2007 | | | | 2009 | | | | 3,782 | | | | 4.50 | % |
Sequoia 2004-1 X-1 | | AAA | | | 01/28/04 | | | | 7,801 | | | Fixed | | | 2007 | | | | 2009 | | | | 2,590 | | | | 4.00 | % |
Sequoia 2004-2 X-1 | | AAA | | | 02/25/04 | | | | 8,776 | | | Fixed | | | 2007 | | | | 2009 | | | | 3,089 | | | | 3.75 | % |
SMFC 2004A AX1 | | AAA | | | 02/26/04 | | | | 10,626 | | | Fixed | | | 2007 | | | | 2007 | | | | 4,649 | | | | 3.75 | % |
MLCC 2003-H X-A-1 | | AAA | | | 12/22/03 | | | | 10,430 | | | Fixed | | | 2007 | | | | 2012 | | | | 3,604 | | | | 4.25 | % |
Sequoia 2004-4 X-1 | | AAA | | | 05/28/04 | | | | 9,789 | | | Fixed | | | 2010 | | | | 2009 | | | | 4,136 | | | | 4.25 | % |
Sequoia 2004-5 X-1 | | AAA | | | 05/27/04 | | | | 3,371 | | | Fixed | | | 2012 | | | | 2012 | | | | 1,440 | | | | 4.15 | % |
Sequoia 2004-6 X-A | | AAA | | | 06/29/04 | | | | 10,884 | | | Pass Through | | | 2012 | | | | 2012 | | | | 7,419 | | | | N/A | |
Sequoia 2004-7 X-A | | AAA | | | 07/29/04 | | | | 12,145 | | | Pass Through | | | 2034 | | | | 2012 | | | | 8,270 | | | | N/A | |
Sequoia 2004-8 X-A | | AAA | | | 08/27/04 | | | | 18,270 | | | Pass Through | | | 2034 | | | | 2012 | | | | 13,078 | | | | N/A | |
Sequoia 2004-9 X-A | | AAA | | | 09/29/04 | | | | 16,951 | | | Pass Through | | | 2034 | | | | 2012 | | | | 12,290 | | | | N/A | |
Sequoia 2004-10 X-A | | AAA | | | 10/28/04 | | | | 14,735 | | | Pass Through | | | 2034 | | | | 2012 | | | | 10,930 | | | | N/A | |
Sequoia 2004-11 X-A-1 | | AAA | | | 11/23/04 | | | | 12,603 | | | Pass Through | | | 2034 | | | | 2013 | | | | 9,649 | | | | N/A | |
Sequoia 2004-11 X-A-2 | | AAA | | | 11/23/04 | | | | 4,697 | | | Pass Through | | | 2034 | | | | 2013 | | | | 3,632 | | | | N/A | |
Sequoia 2004-12 X-A-1 | | AAA | | | 12/22/04 | | | | 14,453 | | | Pass Through | | | 2035 | | | | 2013 | | | | 11,361 | | | | N/A | |
Sequoia 2004-12 X-A-2 | | AAA | | | 12/22/04 | | | | 4,619 | | | Pass Through | | | 2035 | | | | 2013 | | | | 5,081 | | | | N/A | |
Sequoia 2005-1 X-A | | AAA | | | 01/27/05 | | | | 9,669 | | | Pass Through | | | 2035 | | | | 2013 | | | | 7,815 | | | | N/A | |
Sequoia 2005-2 X-A | | AAA | | | 02/24/05 | | | | 7,484 | | | Pass Through | | | 2035 | | | | 2013 | | | | 6,142 | | | | N/A | |
Sequoia 2005-3 X-A | | AAA | | | 04/28/05 | | | | 8,183 | | | Pass Through | | | 2035 | | | | 2013 | | | | 7,166 | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Sequoia Issuance | | | | | | | | | | $ | 357,124 | | | | | | | | | | | | | | | $ | 163,332 | | | | 4.31 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) Does not include Sequoia IO’s acquired by Redwood or Acacia
Table 22: ABS Characteristics — Commercial Real Estate Loans (all $ in thousands)
Table 22
ABS Characteristics — Commercial Real Estate Loans
(all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | Outstanding At | | | Rate At | |
Commercial | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | September 30, | | | September 30, | |
ABS Issued | | Rating | | Date | | | Amount | | | Index | | Maturity | | | Date | | 2005 | | | 2005 | |
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 | | | Paid Off | | | — | | | NM | |
Commercial 5 | | NR | | | 12/10/04 | | | | 4,030 | | | 6m LIBOR | | | 2005 | | | Paid Off | | | — | | | NM | |
Commercial 6 | | NR | | | 02/07/05 | | | | 4,250 | | | Fixed | | | 2009 | | | NC | | | 4,250 | | | | 12.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Commercial Issuance | | | | | | | | | | $ | 39,523 | | | | | | | | | | | | | | | $ | 4,250 | | | | 12.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Table 23: CDO ABS Issued Characteristics
Collateralized Debt Obligations — Acacia (all $ in thousands)
Table 23
ABS Characteristics
Collateralized Debt Obligations — Acacia
(all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
| | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Outstanding At | | | Rate At | |
| | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
CDO Issuance (1) | | Rating | | Date | | | Amount | | | Index | | Maturity | | | Date | | | 2005 | | | 2005 | |
Acacia CDO 1 A | | AAA | | | 12/10/02 | | | $ | 224,250 | | | 3m LIBOR | | | 2018 | | | | 2010 | | | $ | 154,845 | | | | 4.34 | % |
Acacia CDO 1 B | | AA | | | 12/10/02 | | | | 45,000 | | | 3m LIBOR | | | 2037 | | | | 2010 | | | | 45,000 | | | | 5.06 | % |
Acacia CDO 1 C | | BBB | | | 12/10/02 | | | | 15,750 | | | 3m LIBOR | | | 2037 | | | | 2010 | | | | 15,750 | | | | 6.46 | % |
Acacia CDO 2 A | | AAA | | | 05/13/03 | | | | 222,000 | | | 3m LIBOR | | | 2023 | | | | 2011 | | | | 193,633 | | | | 4.44 | % |
Acacia CDO 2 B | | AA | | | 05/13/03 | | | | 45,375 | | | 3m LIBOR | | | 2038 | | | | 2011 | | | | 45,375 | | | | 5.09 | % |
Acacia CDO 2 C | | BBB | | | 05/13/03 | | | | 16,500 | | | 3m LIBOR | | | 2038 | | | | 2011 | | | | 16,500 | | | | 7.04 | % |
Acacia CDO 3 A | | AAA | | | 11/04/03 | | | | 222,000 | | | 3m LIBOR | | | 2038 | | | | 2011 | | | | 214,099 | | | | 4.34 | % |
Acacia CDO 3 B | | AA | | | 11/04/03 | | | | 45,750 | | | 3m LIBOR | | | 2038 | | | | 2011 | | | | 45,750 | | | | 4.96 | % |
Acacia CDO 3 C | | BBB | | | 11/04/03 | | | | 16,500 | | | 3m LIBOR | | | 2038 | | | | 2011 | | | | 16,500 | | | | 7.16 | % |
Acacia CDO 4 A | | AAA | | | 04/08/04 | | | | 229,400 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 229,028 | | | | 3.94 | % |
Acacia CDO 4 B1 | | AA | | | 04/08/04 | | | | 45,300 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 45,300 | | | | 4.41 | % |
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 | | | | 6.41 | % |
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 | | | | 222,368 | | | | 4.13 | % |
Acacia CDO 5 B | | AA | | | 07/14/04 | | | | 42,250 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 42,250 | | | | 4.60 | % |
Acacia CDO 5 C | | | A | | | 07/14/04 | | | | 9,000 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 9,000 | | | | 5.20 | % |
Acacia CDO 5 D | | | A | | | 07/14/04 | | | | 3,000 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 3,000 | | | | 5.75 | % |
Acacia CDO 5 E | | BBB | | | 07/14/04 | | | | 5,375 | | | 3m LIBOR | | | 2039 | | | | 2012 | | | | 5,375 | | | | 6.55 | % |
Acacia CDO 6 A1 | | AAA | | | 11/09/04 | | | | 222,000 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 221,727 | | | | 4.14 | % |
Acacia CDO 6 A2 | | AAA | | | 11/09/04 | | | | 15,000 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 15,000 | | | | 4.43 | % |
Acacia CDO 6 B | | AA | | | 11/09/04 | | | | 27,000 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 27,000 | | | | 4.58 | % |
Acacia CDO 6 C | | | A | | | 11/09/04 | | | | 6,500 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 6,500 | | | | 5.13 | % |
Acacia CDO 6 D | | | A | | | 11/09/04 | | | | 3,000 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 3,000 | | | | 5.78 | % |
Acacia CDO 6 E1 | | BBB | | | 11/09/04 | | | | 1,500 | | | 3m LIBOR | | | 2040 | | | | 2012 | | | | 1,500 | | | | 6.58 | % |
Acacia CDO 6 E2 | | BBB | | | 11/09/04 | | | | 7,000 | | | Fixed | | | 2040 | | | | 2012 | | | | 7,000 | | | | 6.95 | % |
Acacia CDO 7 A | | AAA | | | 03/10/05 | | | | 231,700 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 231,700 | | | | 3.85 | % |
Acacia CDO 7 B | | AA | | | 03/10/05 | | | | 28,100 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 28,100 | | | | 4.14 | % |
Acacia CDO 7 C | | | A | | | 03/10/05 | | | | 6,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 6,000 | | | | 4.74 | % |
Acacia CDO 7 D | | BBB | | | 03/10/05 | | | | 16,200 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 16,200 | | | | 6.16 | % |
Acacia CDO 8 A1 | | AAA | | | 07/14/05 | | | | 175,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 175,000 | | | | 3.84 | % |
Acacia CDO 8 A2 | | AAA | | | 07/14/05 | | | | 15,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 15,000 | | | | 3.99 | % |
Acacia CDO 8 B | | AA | | | 07/14/05 | | | | 22,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 22,000 | | | | 4.11 | % |
Acacia CDO 8 C | | | A | | | 07/14/05 | | | | 20,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 20,000 | | | | 4.76 | % |
Acacia CDO 8 D | | | A- | | | 07/14/05 | | | | 10,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 10,000 | | | | 5.21 | % |
Acacia CDO 8 E | | BBB | | | 07/14/05 | | | | 10,000 | | | 3m LIBOR | | | 2045 | | | | 2013 | | | | 10,000 | | | | 6.41 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total CDO Issuance | | | | | | | | | | $ | 2,244,650 | | | | | | | | | | | | | | | $ | 2,138,200 | | | | 4.35 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) Does not include ABS acquired by Redwood or Acacia
Table 24: ABS Resecuritization Characteristics
Other Resecuritizations — SMFC (all $ in thousands)
Table 24
ABS Characteristics
Collateralized Debt Obligations and Other Resecuritizations — SMFC
(all $ in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | Principal | | | Interest | |
Other | | | | | | | | | | Original | | | | | | | | | | | Estimated | | | Outstanding At | | | Rate At | |
Resecuritization | | Debt | | Issue | | | Issue | | | | | | | Stated | | | Callable | | | September 30, | | | September 30, | |
Issuance (1) | | Rating | | Date | | | Amount | | | Index | | Maturity | | | Date | | | 2005 | | | 2005 | |
SMFC 2002A A1 | | AAA | | | 04/30/02 | | | $ | 64,761 | | | 1m LIBOR | | | 2030 | | | | 2005 | | | $ | 0 | | | | N/A | |
SMFC 2002A A2 | | AAA | | | 04/30/02 | | | | 15,861 | | | 1m LIBOR | | | 2029 | | | | 2005 | | | | — | | | | N/A | |
SMFC 2002B I A1 | | AA | | | 12/19/02 | | | | 16,855 | | | Fixed | | | 2031 | | | | 2005 | | | | 572 | | | | 5.43 | % |
SMFC 2002B I A2 | | | A | | | 12/19/02 | | | | 18,274 | | | Fixed | | | 2031 | | | | 2005 | | | | 621 | | | | 5.68 | % |
SMFC 2002B I A3 | | BBB | | | 12/19/02 | | | | 17,221 | | | Fixed | | | 2031 | | | | 2005 | | | | 585 | | | | 6.38 | % |
SMFC 2002B I A4 | | BB | | | 12/19/02 | | | | 25,133 | | | Fixed | | | 2031 | | | | 2005 | | | | 853 | | | | 6.75 | % |
SMFC 2002B II A1 | | AA | | | 12/19/02 | | | | 15,517 | | | Fixed | | | 2039 | | | | 2005 | | | | 725 | | | | 4.82 | % |
SMFC 2002B II A2 | | | A | | | 12/19/02 | | | | 18,345 | | | Fixed | | | 2039 | | | | 2005 | | | | 857 | | | | 4.92 | % |
SMFC 2002B II A3 | | BBB | | | 12/19/02 | | | | 14,989 | | | Fixed | | | 2039 | | | | 2005 | | | | 701 | | | | 5.35 | % |
SMFC 2002B II A4 | | BB | | | 12/19/02 | | | | 8,347 | | | Fixed | | | 2039 | | | | 2005 | | | | 390 | | | | 6.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Resecuritizations | | | | | | | | | | $ | 215,303 | | | | | | | | | | | | | | | $ | 5,304 | | | | 5.64 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) Does not include ABS acquired by Redwood or Acacia
End