Document_and_Entity_Informatio
Document and Entity Information | 6 Months Ended | |
Jun. 30, 2014 | Aug. 04, 2014 | |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Jun-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
Document Fiscal Period Focus | 'Q2 | ' |
Trading Symbol | 'RWT | ' |
Entity Registrant Name | 'REDWOOD TRUST INC | ' |
Entity Central Index Key | '0000930236 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 83,119,423 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Residential loans | $2,724,381 | $2,166,434 | ||
Commercial loans | 468,766 | 432,455 | ||
Real estate securities, at fair value | 1,845,067 | 1,682,861 | ||
Mortgage servicing rights, at fair value | 71,225 | 64,824 | ||
Cash and cash equivalents | 157,079 | 173,201 | ||
Total earning assets | 5,266,518 | 4,519,775 | ||
Restricted cash | 393 | 398 | ||
Accrued interest receivable | 15,109 | 13,475 | ||
Derivative assets | 7,514 | 7,787 | ||
Deferred securities issuance costs | 11,252 | 13,453 | ||
Other assets | 77,764 | 53,640 | ||
Total Assets | 5,378,550 | [1] | 4,608,528 | [1] |
Liabilities | ' | ' | ||
Short-term debt | 1,718,430 | 862,763 | ||
Accrued interest payable | 7,154 | 6,366 | ||
Derivative liabilities | 39,837 | 18,167 | ||
Accrued expenses and other liabilities | 42,223 | 48,704 | ||
Deferred tax liability | 7,316 | 7,316 | ||
Long-term debt | 546,608 | 476,467 | ||
Total liabilities | 4,129,646 | [1] | 3,362,745 | [1] |
Equity | ' | ' | ||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 83,080,118 and 82,504,801 issued and outstanding | 831 | 825 | ||
Additional paid-in capital | 1,764,386 | 1,760,899 | ||
Accumulated other comprehensive income | 167,557 | 148,766 | ||
Cumulative earnings | 834,648 | 806,298 | ||
Cumulative distributions to stockholders | -1,518,518 | -1,471,005 | ||
Total equity | 1,248,904 | 1,245,783 | ||
Total Liabilities and Equity | 5,378,550 | 4,608,528 | ||
Asset-backed Securities | ' | ' | ||
Liabilities | ' | ' | ||
Asset-backed securities issued | 1,768,078 | 1,942,962 | ||
Residential Loans Held For Sale | ' | ' | ||
ASSETS | ' | ' | ||
Residential loans | 1,107,877 | 404,267 | ||
Residential Loans Held for Investment | ' | ' | ||
ASSETS | ' | ' | ||
Residential loans | 1,616,504 | 1,762,167 | ||
Commercial Loans Held For Sale | ' | ' | ||
ASSETS | ' | ' | ||
Commercial loans | 50,848 | 89,111 | ||
Commercial Loans Held For Investment | ' | ' | ||
ASSETS | ' | ' | ||
Commercial loans | $417,918 | $343,344 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2014 and December 31, 2013, assets of consolidated VIEs totaled $2,125,423 and $2,299,576, respectively, and liabilities of consolidated VIEs totaled $1,769,851 and $1,944,911, respectively. See Note 4 for further discussion. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, except Share data, unless otherwise specified | ||
Long-term debt at fair value | $66,692 | $0 |
Common stock, par value | $0.01 | $0.01 |
Common stock, shares authorized | 180,000,000 | 180,000,000 |
Common stock, issued | 83,080,118 | 82,504,801 |
Common stock, outstanding | 83,080,118 | 82,504,801 |
Variable interest held by entity, assets | 2,125,423 | 2,299,576 |
Variable interest held by entity, liabilities | 1,769,851 | 1,944,911 |
Commercial Loans Held For Investment | ' | ' |
Loans at fair value | $71,270 | $0 |
Consolidated_Statements_Of_Inc
Consolidated Statements Of Income (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Interest Income | ' | ' | ' | ' | ||||
Residential loans | $13,601 | $18,845 | $26,259 | $36,469 | ||||
Commercial loans | 11,217 | 9,623 | 21,601 | 19,794 | ||||
Real estate securities | 33,170 | 29,114 | 65,601 | 54,831 | ||||
Cash and cash equivalents | 5 | 137 | 8 | 149 | ||||
Total interest income | 57,993 | 57,719 | 113,469 | 111,243 | ||||
Interest Expense | ' | ' | ' | ' | ||||
Short-term debt | -5,142 | -4,686 | -8,969 | -8,494 | ||||
Asset-backed securities issued | -8,183 | -10,250 | -16,624 | -21,210 | ||||
Long-term debt | -7,826 | -6,480 | -14,618 | -10,014 | ||||
Total interest expense | -21,151 | -21,416 | -40,211 | -39,718 | ||||
Net Interest Income | 36,842 | 36,303 | 73,258 | 71,525 | ||||
Reversal of provision (provision) for loan losses | 315 | 3,272 | -967 | 1,233 | ||||
Net Interest Income After Provision | 37,157 | 39,575 | 72,291 | 72,758 | ||||
Noninterest Income | ' | ' | ' | ' | ||||
Mortgage banking activities, net | 6,310 | 48,723 | 6,079 | 94,260 | ||||
Mortgage servicing rights income (loss), net | -1,777 | 10,547 | -1,171 | 11,568 | ||||
Other market valuation adjustments, net | -4,121 | [1] | -6,258 | [1] | -10,260 | [1] | -6,561 | [1] |
Realized gains, net | 1,063 | 556 | 2,155 | 12,823 | ||||
Total noninterest income (loss), net | 1,475 | 53,568 | -3,197 | 112,090 | ||||
Operating expenses | -22,282 | -24,430 | -42,254 | -44,616 | ||||
Net income before provision for income taxes | 16,350 | 68,713 | 26,840 | 140,232 | ||||
(Provision for) benefit from income taxes | -333 | -3,140 | 1,510 | -14,049 | ||||
Net Income | $16,017 | $65,573 | $28,350 | $126,183 | ||||
Basic earnings per common share | $0.19 | $0.78 | $0.33 | $1.50 | ||||
Diluted earnings per common share | $0.18 | $0.71 | $0.32 | $1.40 | ||||
Regular dividends declared per common share | $0.28 | $0.28 | $0.56 | $0.56 | ||||
Basic weighted average shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 | ||||
Diluted weighted average shares outstanding | 85,032,998 | 96,171,713 | 84,994,321 | 91,647,400 | ||||
[1] | For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement, and $2,651 were recognized in Accumulated Other Comprehensive Income. For the three months ended June 30, 2013, other-than-temporary impairments were $1,642, of which none was recognized in Accumulated Other Comprehensive Income. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. For the six months ended June 30, 2013, other-than-temporary impairments were $1,666, of which none was recognized in Accumulated Other Comprehensive Income. |
Consolidated_Statements_Of_Inc1
Consolidated Statements Of Income (Parenthetical) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Total other-than-temporary impairments | $2,915 | $1,642 | $4,585 | $1,666 |
Income Statement, other-than-temporary impairments | 264 | ' | 377 | ' |
Accumulated other comprehensive income, other-than-temporary impairments | $2,651 | $0 | $4,208 | $0 |
Consolidated_Statements_Of_Com
Consolidated Statements Of Comprehensive Income (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Net income | $16,017 | $65,573 | $28,350 | $126,183 |
Other comprehensive income (loss): | ' | ' | ' | ' |
Net unrealized gain (loss) on available-for-sale securities | 12,721 | -38,012 | 33,229 | -28,982 |
Reclassification of unrealized (gain) loss on available-for-sale securities to net income | -454 | -242 | -341 | -12,249 |
Net unrealized (loss) gain on interest rate agreements | -5,401 | 13,585 | -14,196 | 21,025 |
Reclassification of unrealized loss on interest rate agreements to net income | 39 | 69 | 99 | 157 |
Total other comprehensive income (loss) | 6,905 | -24,600 | 18,791 | -20,049 |
Total Comprehensive Income | $22,922 | $40,973 | $47,141 | $106,134 |
Consolidated_Statements_Of_Cha
Consolidated Statements Of Changes In Equity (USD $) | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders |
In Thousands, except Share data, unless otherwise specified | ||||||
Beginning balance at Dec. 31, 2012 | $1,140,164 | $817 | $1,744,554 | $138,332 | $633,052 | ($1,376,591) |
Beginning balance (in shares) at Dec. 31, 2012 | ' | 81,716,416 | ' | ' | ' | ' |
Net income | 126,183 | ' | ' | ' | 126,183 | ' |
Other comprehensive income | -20,049 | ' | ' | -20,049 | ' | ' |
Issuance of common stock: | ' | ' | ' | ' | ' | ' |
Dividend reinvestment & stock purchase plans (in shares) | ' | 321,120 | ' | ' | ' | ' |
Dividend reinvestment & stock purchase plans | 6,046 | 3 | 6,043 | ' | ' | ' |
Employee stock purchase and incentive plans (in shares) | ' | 294,200 | ' | ' | ' | ' |
Employee stock purchase and incentive plans | -5,451 | 3 | -5,454 | ' | ' | ' |
Non-cash equity award compensation | 9,515 | ' | 9,515 | ' | ' | ' |
Common dividends declared | -47,095 | ' | ' | ' | ' | -47,095 |
Ending balance at Jun. 30, 2013 | 1,209,313 | 823 | 1,754,658 | 118,283 | 759,235 | -1,423,686 |
Ending balance (in shares) at Jun. 30, 2013 | ' | 82,331,736 | ' | ' | ' | ' |
Beginning balance at Dec. 31, 2013 | 1,245,783 | 825 | 1,760,899 | 148,766 | 806,298 | -1,471,005 |
Beginning balance (in shares) at Dec. 31, 2013 | ' | 82,504,801 | ' | ' | ' | ' |
Net income | 28,350 | ' | ' | ' | 28,350 | ' |
Other comprehensive income | 18,791 | ' | ' | 18,791 | ' | ' |
Issuance of common stock: | ' | ' | ' | ' | ' | ' |
Dividend reinvestment & stock purchase plans (in shares) | ' | 179,187 | ' | ' | ' | ' |
Dividend reinvestment & stock purchase plans | 3,475 | 2 | 3,473 | ' | ' | ' |
Employee stock purchase and incentive plans (in shares) | ' | 396,130 | ' | ' | ' | ' |
Employee stock purchase and incentive plans | -6,663 | 4 | -6,667 | ' | ' | ' |
Non-cash equity award compensation | 6,681 | ' | 6,681 | ' | ' | ' |
Common dividends declared | -47,513 | ' | ' | ' | ' | -47,513 |
Ending balance at Jun. 30, 2014 | $1,248,904 | $831 | $1,764,386 | $167,557 | $834,648 | ($1,518,518) |
Ending balance (in shares) at Jun. 30, 2014 | ' | 83,080,118 | ' | ' | ' | ' |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 6 Months Ended | |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 |
Cash Flows From Operating Activities: | ' | ' |
Net income | $28,350 | $126,183 |
Adjustments to reconcile net income to net cash used in operating activities: | ' | ' |
Amortization of premiums, discounts, and securities issuance costs, net | -17,521 | -11,780 |
Depreciation and amortization of non-financial assets | 232 | 224 |
Purchases of loans | -3,118,457 | -5,457,558 |
Proceeds from sales of held-for-sale loans | 2,339,023 | 4,345,361 |
Principal payments on held-for-sale loans | 12,100 | 5,169 |
Net settlements of derivatives | -14,873 | 9,784 |
Provision (reversal of provision) for loan losses | 967 | -1,233 |
Non-cash equity award compensation expense | 6,681 | 9,515 |
Market valuation adjustments, net | 14,034 | -84,560 |
Realized gains, net | -2,155 | -23,854 |
Net change in: | ' | ' |
Accrued interest receivable and other assets | -23,935 | -10,871 |
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | -10,655 | 61,186 |
Net cash used in operating activities | -786,209 | -1,032,434 |
Cash Flows From Investing Activities: | ' | ' |
Purchases of loans held-for-investment | -38,991 | -54,539 |
Proceeds from sales of held-for-investment loans | ' | 440 |
Principal payments on held-for-investment loans | 146,656 | 284,076 |
Purchases of real estate securities | -126,162 | 0 |
Proceeds from sales of real estate securities | 1,313 | 22,518 |
Principal payments on real estate securities | 95,303 | 81,250 |
Purchase of mortgage servicing rights | -3,054 | ' |
Net change in restricted cash | 5 | -22 |
Net cash provided by investing activities | 75,070 | 333,723 |
Cash Flows From Financing Activities: | ' | ' |
Proceeds from borrowings on short-term debt | 2,417,438 | 3,989,557 |
Repayments on short-term debt | -1,561,771 | -3,095,514 |
Repayments on asset-backed securities issued | -174,861 | -313,848 |
Deferred securities issuance costs | ' | -9,184 |
Proceeds from issuance of long-term debt | 69,181 | 304,100 |
Repayments on long-term debt | -685 | -9 |
Net settlements of derivatives | -1,650 | -5 |
Net proceeds from issuance of common stock | 1,787 | 3,064 |
Taxes paid on equity award distributions | -6,909 | -5,741 |
Dividends paid | -47,513 | -47,095 |
Net cash provided by financing activities | 695,017 | 825,325 |
Net (decrease) increase in cash and cash equivalents | -16,122 | 126,614 |
Cash and cash equivalents at beginning of period | 173,201 | 81,080 |
Cash and cash equivalents at end of period | 157,079 | 207,694 |
Cash paid during the period for: | ' | ' |
Interest | 38,158 | 37,581 |
Taxes | 1,399 | 1,097 |
Supplemental Noncash Information: | ' | ' |
Real estate securities retained from loan securitizations | 85,000 | 290,253 |
Retention of mortgage servicing rights from loan securitizations and sales | 11,976 | 28,614 |
Transfers from loans held-for-sale to loans held-for-investment | 37,631 | ' |
Transfers from residential loans to real estate owned | $1,832 | $2,687 |
Redwood_Trust
Redwood Trust | 6 Months Ended |
Jun. 30, 2014 | |
Redwood Trust | ' |
Note 1. Redwood Trust | |
Redwood Trust, Inc., together with its subsidiaries, is a specialty finance company focused on investing in mortgage- and other real estate-related assets and engaging in residential and commercial mortgage banking activities. We seek to invest in real estate-related assets that have the potential to generate attractive cash flow returns over time and to generate income through our residential and commercial mortgage banking activities. We operate our business in three segments: residential mortgage banking, residential investments, and commercial mortgage banking and investments. | |
Our primary sources of income are net interest income from our investment portfolios and noninterest income from our mortgage banking activities. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities consists of the profit we seek to generate through the acquisition or origination of loans and their subsequent sale or securitization. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. | |
Redwood was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. Our executive offices are located at One Belvedere Place, Suite 300, Mill Valley, California 94941. |
Basis_of_Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2014 | |
Basis of Presentation | ' |
Note 2. Basis of Presentation | |
The consolidated financial statements presented herein are at June 30, 2014 and December 31, 2013, and for the three and six months ended June 30, 2014 and 2013. These consolidated financial statements have been prepared in conformity with generally accepted accounting principles (“GAAP”) in the United States of America — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — and using the Securities and Exchange Commission’s (“SEC”) instructions to Form 10-Q. | |
Organization | |
For tax purposes, Redwood Trust, Inc. is structured as a real estate investment trust (“REIT”). We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our operating subsidiaries” or “our taxable REIT subsidiaries” or “TRS.” Our mortgage banking activities are generally carried out through our taxable REIT subsidiaries, while our portfolio of mortgage- and other real estate-related investments is primarily held at our REIT. We generally intend to retain profits generated and taxed at our taxable REIT subsidiaries, and to distribute as dividends at least 90% of the income we generate at our REIT. | |
We sponsor our Sequoia securitization program, which we use for the securitization of residential mortgage loans. References to Sequoia with respect to any time or period generally refer collectively to all the then consolidated Sequoia securitization entities for the periods presented. We have also engaged in securitization transactions in order to obtain financing for certain of our securities and commercial loans. | |
Principles of Consolidation | |
We apply FASB guidance to determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities where we maintain an ongoing involvement, as well as an entity formed in connection with a resecuritization transaction we engaged in during 2011 (“Residential Resecuritization”), and an entity formed in connection with a commercial securitization we engaged in during 2012 (“Commercial Securitization”). Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have retained in them, although we are also exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. | |
For financial reporting purposes, the underlying loans and securities owned at the consolidated Sequoia entities, the Residential Resecuritization entity, and the Commercial Securitization entity are shown under residential and commercial loans and real estate securities on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we record interest income on the loans and securities owned at these entities and interest expense on the ABS issued by these entities. | |
See Note 4 for further discussion on principles of consolidation. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Summary of Significant Accounting Policies | ' | ||||||||||||||||||||||||
Note 3. Summary of Significant Accounting Policies | |||||||||||||||||||||||||
Use of Estimates | |||||||||||||||||||||||||
The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. | |||||||||||||||||||||||||
Fair Value Measurements | |||||||||||||||||||||||||
Our financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. Examples of market information that we attempt to obtain include the following: | |||||||||||||||||||||||||
• | Quoted prices for the same or similar securities; | ||||||||||||||||||||||||
• | Relevant reports issued by analysts and rating agencies; | ||||||||||||||||||||||||
• | The current level of interest rates and any directional movements in relevant indices, such as credit risk indices; | ||||||||||||||||||||||||
• | Information about the performance of mortgage loans, such as delinquency and foreclosure rates, loss experience, and prepayment rates; | ||||||||||||||||||||||||
• | Indicative prices or yields from broker/dealers (including prices from counterparties under securities repurchase agreements); and, | ||||||||||||||||||||||||
• | Other relevant observable inputs, including nonperformance risk and liquidity premiums. | ||||||||||||||||||||||||
After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. | |||||||||||||||||||||||||
The markets for many of the loans and securities that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. | |||||||||||||||||||||||||
In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. | |||||||||||||||||||||||||
See Note 5 for further discussion on fair value measurements. | |||||||||||||||||||||||||
Fair Value Option | |||||||||||||||||||||||||
We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. | |||||||||||||||||||||||||
We elect the fair value option for certain residential and commercial loans, Sequoia IO securities and mortgage servicing rights (“MSRs”). We generally elect the fair value option for residential and commercial loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We generally elect the fair value option for Sequoia IO securities as we use these in part to hedge certain risks associated with our residential loans held-for-sale. We elect the fair value option for our MSRs in order to reflect the current value of these investments in our financial position and results each period. We also elect the fair value option for certain secured borrowings we may recognize when the sale of commercial loans do not meet the sale criteria in ASC 860. | |||||||||||||||||||||||||
See Note 5 for further discussion on the fair value option. | |||||||||||||||||||||||||
Real Estate Loans | |||||||||||||||||||||||||
Residential and Commercial Loans — Held-for-Sale at Fair Value | |||||||||||||||||||||||||
Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential and commercial loans that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
Residential and Commercial Loans — Held-for-Investment | |||||||||||||||||||||||||
Commercial Loans — Fair Value | |||||||||||||||||||||||||
We may elect the fair value option for senior commercial mortgage loans that we originate or acquire that are bifurcated into a senior portion that is sold to a third party and a junior portion that we retain as an investment. When the transfer of the senior portion does not meet the criteria for sale treatment under GAAP, the entire loan (the senior and junior portions) remains on our consolidated balance sheet and we account for the transfer of the senior portion as a secured liability. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
Residential and Commercial Loans — At Amortized Cost | |||||||||||||||||||||||||
Loans held-for-investment include residential loans owned at consolidated Sequoia entities and commercial loans owned at the Commercial Securitization entity and by us, net of any allowance for loan losses. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due or has been individually impaired, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have become greater than 90 days past due or individually impaired is reserved for in the allowance for loan losses. Residential loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a loan becoming greater than 90 days past due or individually impaired is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered reperforming. A restructured loan is considered reperforming when the loan has been current for at least 12 months. | |||||||||||||||||||||||||
We use the interest method to determine an effective yield to amortize the premium or discount on real estate loans held-for-investment. For residential loans acquired prior to July 1, 2004, we use coupon interest rates as they change over time and anticipated principal payments to determine periodic amortization. For residential and commercial loans acquired after July 1, 2004, we use the initial coupon interest rate of the loans (without regard to future changes in the underlying indices) and anticipated principal payments, if any, to determine periodic amortization. | |||||||||||||||||||||||||
We reclassify loans held-for-investment as loans held-for-sale if we determine that these loans will be sold or transferred to third parties. This may occur, for example, if we exercise our right to call ABS issued by a Sequoia securitization trust and decide to subsequently sell the underlying loans to third parties. | |||||||||||||||||||||||||
See Note 6 for further discussion on residential loans. See Note 7 for further discussion on commercial loans. | |||||||||||||||||||||||||
Residential Loans — Allowance for Loan Losses | |||||||||||||||||||||||||
For residential loans classified as held-for-investment, we establish and maintain an allowance for loan losses based on our estimate of credit losses inherent in our loan portfolios at the reporting date. To calculate the allowance for loan losses, we assess inherent losses by determining loss factors (defaults, the timing of defaults, and loss severities upon defaults) that can be specifically applied to each loan or pool of loans. | |||||||||||||||||||||||||
We consider the following factors in evaluating the allowance for loan losses: | |||||||||||||||||||||||||
• | Ongoing analyses of loans, including, but not limited to, the age of loans and year of origination, underwriting standards, business climate, economic conditions, and other observable data; | ||||||||||||||||||||||||
• | Historical loss rates and past performance of similar loans; | ||||||||||||||||||||||||
• | Relevant market research and publicly available third-party reference loss rates; | ||||||||||||||||||||||||
• | Trends in delinquencies and charge-offs; | ||||||||||||||||||||||||
• | Effects and changes in credit concentrations; | ||||||||||||||||||||||||
• | Information supporting a borrower’s ability to meet obligations; | ||||||||||||||||||||||||
• | Ongoing evaluations of fair values of collateral using current appraisals and other valuations; and, | ||||||||||||||||||||||||
• | Discounted cash flow analyses. | ||||||||||||||||||||||||
Once we determine the amount of defaults, the timing of the defaults, and severity of losses upon the defaults, we estimate expected losses for each individual loan or pool of loans over its expected life. We then estimate the timing of these losses and the losses probable to occur over an appropriate loss confirmation period. This period is defined as the range of time between the occurrence of a credit loss (such as the initial deterioration of the borrower’s financial condition) and the confirmation of that loss (the actual impairment or charge-off of the loan). The losses expected to occur within the estimated loss confirmation period are the basis of our allowance for loan losses, since we believe these losses exist at the reported date of the financial statements. We re-evaluate the adequacy of our allowance for loan losses quarterly. | |||||||||||||||||||||||||
As part of the loss mitigation efforts undertaken by servicers of residential loans owned at Sequoia securitization entities, a number of loan modifications have been completed to help make mortgage loans more affordable for certain borrowers. Loan modifications may include, but are not limited to: (i) conversion of a floating rate mortgage loan into a fixed rate mortgage loan; (ii) reduction in the contractual interest rate of a mortgage loan; (iii) forgiveness of a portion of the contractual interest and/or principal amounts owed on a mortgage loan; and, (iv) extension of the contractual maturity of a mortgage loan. We evaluate all loan modifications performed by servicers to determine if they constitute troubled debt restructurings (“TDRs”) according to GAAP. If a loan is determined to be a TDR, it is removed from the general loan pools used for calculating allowances for loan losses and assessed for impairment on an individual basis based upon any adverse change in the expected future cash flows resulting from the modification. This difference is recorded to the provision for loan losses in our consolidated statements of income. | |||||||||||||||||||||||||
When foreclosed property is received in full satisfaction for a defaulted loan, we estimate the fair value of the property, based on estimated net proceeds from the sale of the property (including servicer advances and other costs). To the extent that the fair value of the property is below the recorded investment of the loan, we record a charge against the allowance for loan losses for the difference. Foreclosed property is subsequently recorded as real estate owned (“REO”), a component of other assets on our consolidated balance sheets. Actual losses incurred on loans liquidated through a short-sale are also charged against the allowance for loan losses. | |||||||||||||||||||||||||
See Note 6 for further discussion on the allowance for loan losses for residential loans. | |||||||||||||||||||||||||
Commercial Loans — Allowance for Loan Losses | |||||||||||||||||||||||||
For commercial loans classified as held-for-investment, we establish and maintain a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we have determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that we will not be able to collect all amounts due according to the contractual terms of the loan. | |||||||||||||||||||||||||
Our methodology for assessing the adequacy of the allowance for loan losses begins with a formal review of each commercial loan in the portfolio and the assignment of an internal impairment status. Reviews are performed at least quarterly. We consider the following factors in evaluating each loan: | |||||||||||||||||||||||||
• | Loan to value ratios upon origination or acquisition of the loan; | ||||||||||||||||||||||||
• | The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other loss factors we consider relevant, such as, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; | ||||||||||||||||||||||||
• | Economic trends, both macroeconomic as well as those directly affecting the properties associated with our loans, and the supply and demand of competing projects in the sub-market in which the subject property is located; and, | ||||||||||||||||||||||||
• | The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. | ||||||||||||||||||||||||
Loan reviews are completed by asset management and finance personnel and reviewed and approved by senior management. | |||||||||||||||||||||||||
Based on the assigned internal impairment status, a loan is categorized as “Pass,” “Watch List,” or “Workout.” Pass loans are defined as loans that are performing in accordance with the contractual terms of the loan agreement. Watch List loans are defined as performing loans for which the timing of cost recovery is under review. Workout loans are defined as loans that we believe have a credit impairment that may lead to a realized loss. Workout loans are typically assessed for impairment on an individual basis. Where an individual commercial loan is impaired, we record an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan is collateral dependent, we reduce the carrying value to the estimated fair market value of the loan, with a corresponding charge to provision for loan losses on our consolidated statements of income. | |||||||||||||||||||||||||
For all commercial loans that are not individually impaired, we assess the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Our expectation of credit losses is informed by, among other things: | |||||||||||||||||||||||||
• | Historical loss rates and past performance of similar loans in our own portfolio, if any; | ||||||||||||||||||||||||
• | Publicly available third-party reference loss rates on similar loans; and, | ||||||||||||||||||||||||
• | Trends in delinquencies and charge-offs in our own portfolio and among industry participants. | ||||||||||||||||||||||||
See Note 7 for further discussion on the allowance for loan losses for commercial loans. | |||||||||||||||||||||||||
Repurchase Reserves | |||||||||||||||||||||||||
We sell residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (the “Agencies”), and (3) banks and other financial institutions that purchase mortgage loans. We also purchase mortgage servicing rights. We may be required to repurchase residential mortgage loans in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. We do not originate residential mortgage loans and believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, such as where loans were acquired from companies that have since become insolvent, we may be required to repurchase loans. | |||||||||||||||||||||||||
We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of mortgage banking activities, net on our consolidated statements of income. | |||||||||||||||||||||||||
See Note 15 for further discussion on the residential repurchase reserves. | |||||||||||||||||||||||||
We have originated and sold commercial mortgage loans and have made standard representations and warranties upon sale of the loans to the loan purchasers, and in some cases, to securitization trusts. We review the need for a repurchase reserve related to these commercial loans on an ongoing basis and are not aware of any breaches of representations and warranties related to these loans. | |||||||||||||||||||||||||
Real Estate Securities, at Fair Value | |||||||||||||||||||||||||
We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. | |||||||||||||||||||||||||
Trading Securities | |||||||||||||||||||||||||
We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values and coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of Sequoia IO and senior securities designated as trading securities are reported in mortgage banking activities, net, a component of our consolidated statements of income. Changes in the fair value of other trading securities are reported through our consolidated statements of income in other market valuation adjustments, net. | |||||||||||||||||||||||||
Available-for-Sale Securities | |||||||||||||||||||||||||
AFS securities primarily consist of non-agency residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. Non-agency RMBS are not issued or guaranteed by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or any agency of the U.S. Government. AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. | |||||||||||||||||||||||||
Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on these securities or in the recognition of OTTI as discussed below. | |||||||||||||||||||||||||
For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. | |||||||||||||||||||||||||
When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either — (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows — the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date in our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments, net on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheet. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. | |||||||||||||||||||||||||
For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. | |||||||||||||||||||||||||
See Note 8 for further discussion on real estate securities. | |||||||||||||||||||||||||
MSRs | |||||||||||||||||||||||||
We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we have acquired and subsequently transferred to third parties (including the Agencies) or through the direct acquisition of MSRs sold by third parties. Typically, our MSRs are created through the transfer of loans to a third party or to a Sequoia residential mortgage securitization sponsored by us that meets the GAAP criteria for sale accounting. | |||||||||||||||||||||||||
Our MSRs are held and managed at Redwood Residential Acquisition Corporation, a wholly-owned subsidiary of RWT Holdings, Inc., which is a taxable REIT subsidiary of ours. We contract with a licensed sub-servicer to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Income from MSRs and changes in the estimated fair value of MSRs are reported in MSR income, net, a component of our consolidated statements of income. | |||||||||||||||||||||||||
See Note 9 for further discussion on MSRs. | |||||||||||||||||||||||||
Cash and Cash Equivalents | |||||||||||||||||||||||||
Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. | |||||||||||||||||||||||||
Restricted Cash | |||||||||||||||||||||||||
Restricted cash primarily includes principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. Restricted cash may also include cash retained in the Sequoia securitization entities or in the Residential Resecuritization or Commercial Securitization entities prior to the payments on or redemptions of outstanding ABS issued. | |||||||||||||||||||||||||
Accrued Interest Receivable | |||||||||||||||||||||||||
Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. | |||||||||||||||||||||||||
Derivative Financial Instruments | |||||||||||||||||||||||||
Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair values on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). | |||||||||||||||||||||||||
Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through other market valuation adjustments, net, to the extent they are used to manage risks associated with our residential investment portfolio. Derivatives used to manage certain risks associated with our residential and commercial mortgage banking activities, including valuation changes related to residential LPCs and FSCs, are included in mortgage banking activities, net, on our consolidated statements of income. | |||||||||||||||||||||||||
Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. | |||||||||||||||||||||||||
We will discontinue a designated cash flow hedging relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or, (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. | |||||||||||||||||||||||||
Swaps and Swaptions | |||||||||||||||||||||||||
Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or, (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. Interest rate caps are agreements in which the owner receives payments at the end of each period for which the prevailing interest rate exceeds an agreed upon strike price. We enter into interest rate agreements primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. | |||||||||||||||||||||||||
Eurodollar Futures and Financial Futures | |||||||||||||||||||||||||
Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. | |||||||||||||||||||||||||
TBA Contracts | |||||||||||||||||||||||||
TBA contracts are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset — to varying degrees — changes in the values of mortgage products for which we have exposure to interest rate volatility. | |||||||||||||||||||||||||
Credit Default Index Swaps | |||||||||||||||||||||||||
Credit default index swaps include instruments such as CMBX, which are indexes referencing tranches from 25 different commercial mortgage-backed securities (“CMBS”) deals, each with different credit ratings. The CMBX indexes enable participants to hedge or gain exposure to a series of similar CMBS securities. We utilize CMBX to hedge certain risks related to senior commercial mortgage loans we originate for sale into CMBS. | |||||||||||||||||||||||||
Loan Purchase and Forward Sale Commitments | |||||||||||||||||||||||||
We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP. LPCs are recorded at their estimated fair values on our consolidated balance sheets. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. We use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. FSCs are recorded at their estimated fair values on our consolidated balance sheets. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
See Note 10 for further discussion on derivative financial instruments. | |||||||||||||||||||||||||
Deferred Tax Assets and Liabilities | |||||||||||||||||||||||||
Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize income under GAAP in periods prior to when we recognize the income for tax. When this occurs, we establish a deferred tax liability. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. | |||||||||||||||||||||||||
In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. | |||||||||||||||||||||||||
Deferred Securities Issuance Costs | |||||||||||||||||||||||||
Securities issuance costs are expenses associated with the issuance of long-term debt, and the ABS issued from the Residential Resecuritization, the Commercial Securitization, and Sequoia securitization entities we sponsor and consolidate for financial reporting purposes. These expenses typically include underwriting, rating agency, legal, accounting, and other fees. ABS issuance costs associated with liabilities reported at cost are deferred. Deferred securities issuance costs are reported on our consolidated balance sheets as deferred charges (an asset) and are amortized as an adjustment to interest expense using the interest method, based upon the actual and estimated repayment schedules of the related securities issued. | |||||||||||||||||||||||||
Other Assets | |||||||||||||||||||||||||
Other assets include margin and investment receivable, REO, income tax receivables, fixed assets, principal receivable, and other prepaid expenses and receivables. | |||||||||||||||||||||||||
REO property acquired through, or in lieu of, foreclosure is initially recorded at fair value, and subsequently reported at the lower of its carrying amount or fair value (less estimated cost to sell). Changes in the fair value of an REO property that has a fair value at or below its carrying amount are recorded in our consolidated statements of income as a component of other market valuation adjustments, net. Margin receivable reflects cash collateral we have posted with various counterparties relating to our derivative and lending agreements with those counterparties, as applicable. | |||||||||||||||||||||||||
See Note 11 for further discussion on other assets. | |||||||||||||||||||||||||
Short-Term Debt | |||||||||||||||||||||||||
Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings may be unsecured or collateralized by cash, loans, or securities. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. | |||||||||||||||||||||||||
See Note 12 for further discussion on short-term debt. | |||||||||||||||||||||||||
Accrued Interest Payable | |||||||||||||||||||||||||
Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible debt. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. | |||||||||||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||||||||||
ABS issued represents asset-backed securities issued by bankruptcy-remote entities sponsored and consolidated by Redwood. These entities include certain Sequoia entities, the Residential Resecuritization, and the Commercial Securitization. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. | |||||||||||||||||||||||||
ABS issued are carried at their unpaid principal balances net of any unamortized discount or premium. | |||||||||||||||||||||||||
See Note 13 for further discussion on ABS issued. | |||||||||||||||||||||||||
Long-Term Debt | |||||||||||||||||||||||||
Commercial Long-term Debt | |||||||||||||||||||||||||
Commercial long-term debt includes borrowings under a master repurchase agreement that expires in more than one year with a financial institution counterparty. These borrowings are collateralized by commercial loans. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. | |||||||||||||||||||||||||
Commercial Secured Borrowings | |||||||||||||||||||||||||
Commercial secured borrowings represent liabilities recognized in association with cash received from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under ASC 860 and were accounted for as financings. We elect the fair value option for these secured borrowings and they are held at their estimated fair value on our consolidated balance sheets. | |||||||||||||||||||||||||
Convertible Notes | |||||||||||||||||||||||||
Convertible notes include unsecured convertible senior notes and are carried at their unpaid principal balance. Interest on the notes is payable semiannually and the notes mature on April 15, 2018. If converted by a holder, upon conversion the holder of the notes would receive shares of our common stock. | |||||||||||||||||||||||||
Trust Preferred Securities and Subordinated Notes | |||||||||||||||||||||||||
Trust preferred securities and subordinated notes are carried at their unpaid principal balance. This long-term debt is unsecured with quarterly interest payments determined based upon a floating rate equal to the three-month London Interbank Offered Rate (“LIBOR”) plus a margin until it is redeemed in whole or matures at a future date. | |||||||||||||||||||||||||
See Note 14 for further discussion on long-term debt. | |||||||||||||||||||||||||
Equity | |||||||||||||||||||||||||
Accumulated Other Comprehensive Income | |||||||||||||||||||||||||
Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of accumulated other comprehensive income on our consolidated statements of changes in equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. | |||||||||||||||||||||||||
Earnings Per Common Share | |||||||||||||||||||||||||
Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income allocable to common shareholders, less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion of convertible notes to common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense associated with dilutive convertible debt to net income and adding the shares issued in an assumed conversion to the diluted share count. | |||||||||||||||||||||||||
The two-class method is an earnings allocation formula under which EPS is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. Accounting guidance on EPS defines vested and unvested share-based payment awards containing nonforfeitable rights to dividends or dividend equivalents as participating securities that are included in computing EPS under the two-class method. | |||||||||||||||||||||||||
See Note 16 for further discussion on equity. | |||||||||||||||||||||||||
Incentive Plans | |||||||||||||||||||||||||
In May 2014, our shareholders approved the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which replaced the 2002 Redwood Trust, Inc. Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three- or four-year period. Awards made under the Incentive Plan to officers and other employees in lieu of the payment in cash of a portion of annual bonuses earned generally vest immediately, but are subject to a three-year mandatory holding period. Non-employee directors are also provided annual awards under the Incentive Plan that generally vest immediately. The cost of the awards is amortized over the vesting period on a straight-line basis. | |||||||||||||||||||||||||
Employee Stock Purchase Plan | |||||||||||||||||||||||||
In May 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. | |||||||||||||||||||||||||
Executive Deferred Compensation Plan | |||||||||||||||||||||||||
In November 2013, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to allow non-employee directors to defer certain cash payments and dividends into Deferred Stock Units (“DSUs”). The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. | |||||||||||||||||||||||||
401(k) Plan | |||||||||||||||||||||||||
We offer a tax-qualified 401(k) Plan to all employees for retirement savings. Under this Plan, employees are allowed to defer and invest up to 100% of their cash earnings, subject to the maximum 401(k) Plan contribution limit set forth by the Internal Revenue Service. We match some employee contributions to encourage participation and to provide a retirement planning benefit to employees. Vesting of the 401(k) Plan matching contributions is based on the employee’s tenure at the Company, and over time an employee becomes increasingly vested in both prior and new matching contributions. | |||||||||||||||||||||||||
See Note 17 for further discussion on equity compensation plans. | |||||||||||||||||||||||||
Taxes | |||||||||||||||||||||||||
We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with FASB guidance on accounting for uncertainty in income taxes. We classify interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in our consolidated statements of income. | |||||||||||||||||||||||||
See Note 20 for further discussion on taxes. | |||||||||||||||||||||||||
Recent Accounting Pronouncements | |||||||||||||||||||||||||
In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, “Revenue from Contracts with Customers.” ASU 2014-09 supersedes the revenue recognition requirements in “Topic 605, Revenue Recognition” and requires entities to recognize revenue in a way that depicts the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. ASU 2014-09 is effective retrospectively for annual or interim reporting periods beginning after December 15, 2016, with early application not permitted. We are currently evaluating the new standard. | |||||||||||||||||||||||||
Balance Sheet Netting | |||||||||||||||||||||||||
Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. | |||||||||||||||||||||||||
The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Balance Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
30-Jun-14 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 1,925 | $ | - | $ | 1,925 | $ | -572 | $ | - | $ | 1,353 | |||||||||||||
Credit default index swaps | 588 | - | 588 | - | - | 588 | |||||||||||||||||||
TBAs | 3,294 | - | 3,294 | -2,499 | - | 795 | |||||||||||||||||||
Total Assets | $ | 5,807 | $ | - | $ | 5,807 | $ | -3,071 | $ | - | $ | 2,736 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | -32,637 | $ | - | $ | -32,637 | $ | 572 | $ | 32,065 | $ | - | |||||||||||||
TBAs | -5,540 | - | -5,540 | 2,499 | 1,746 | -1,295 | |||||||||||||||||||
Futures | -494 | - | -494 | - | 494 | - | |||||||||||||||||||
Loan warehouse debt | -864,680 | - | -864,680 | 864,680 | - | - | |||||||||||||||||||
Security repurchase agreements | -853,750 | - | -853,750 | 853,750 | - | - | |||||||||||||||||||
Commercial borrowings | -52,916 | - | -52,916 | 52,916 | - | - | |||||||||||||||||||
Total Liabilities | $ | -1,810,017 | $ | - | $ | -1,810,017 | $ | 1,774,417 | $ | 34,305 | $ | -1,295 | |||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated Balance | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
31-Dec-13 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 6,566 | $ | - | $ | 6,566 | $ | -5,402 | $ | - | $ | 1,164 | |||||||||||||
TBAs | 1,138 | - | 1,138 | -656 | -482 | - | |||||||||||||||||||
Futures | - | - | - | - | - | - | |||||||||||||||||||
Total Assets | $ | 7,704 | $ | - | $ | 7,704 | $ | -6,058 | $ | -482 | $ | 1,164 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | -16,599 | $ | - | $ | -16,599 | $ | 5,402 | $ | 11,197 | $ | - | |||||||||||||
TBAs | -661 | - | -661 | 656 | 5 | - | |||||||||||||||||||
Futures | -528 | - | -528 | - | 528 | - | |||||||||||||||||||
Loan warehouse debt | -184,789 | - | -184,789 | 184,789 | - | - | |||||||||||||||||||
Security repurchase agreements | -677,974 | - | -677,974 | 677,974 | - | - | |||||||||||||||||||
Commercial borrowings | -49,467 | - | -49,467 | 49,467 | - | - | |||||||||||||||||||
Total Liabilities | $ | -930,018 | $ | - | $ | -930,018 | $ | 918,288 | $ | 11,730 | $ | - | |||||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. Commercial borrowings are a component of long-term debt on our consolidated balance sheets. | ||||||||||||||||||||||||
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between Redwood and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty and references herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting arrangement or similar agreement provides for settlement on a net basis and for settlement to include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party that should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Principles_of_Consolidation
Principles of Consolidation | 6 Months Ended | ||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||
Principles of Consolidation | ' | ||||||||||||||||||
Note 4. Principles of Consolidation | |||||||||||||||||||
GAAP requires us to consider whether securitizations and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. | |||||||||||||||||||
Analysis of Consolidated VIEs | |||||||||||||||||||
The VIEs we are required to consolidate include certain Sequoia securitization entities, the Residential Resecuritization entity, and the Commercial Securitization entity. Each of these entities is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of ours, although we are exposed to certain financial risks associated with our role as the sponsor or manager of these entities as well as from retained financial interests we hold in certain of these entities. The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||||
Assets and Liabilities of Consolidated VIEs at June 30, 2014 | |||||||||||||||||||
30-Jun-14 | Sequoia | Residential | Commercial | Total | |||||||||||||||
(Dollars in Thousands) | Entities | Resecuritization | Securitization | ||||||||||||||||
Residential loans, held-for-investment | $ | 1,616,504 | $ | - | $ | - | $ | 1,616,504 | |||||||||||
Commercial loans, held-for-investment | - | - | 254,615 | 254,615 | |||||||||||||||
Real estate securities, at fair value | - | 245,853 | - | 245,853 | |||||||||||||||
Restricted cash | 145 | - | 138 | 283 | |||||||||||||||
Accrued interest receivable | 2,391 | 549 | 1,826 | 4,766 | |||||||||||||||
Other assets | 3,323 | - | 79 | 3,402 | |||||||||||||||
Total Assets | $ | 1,622,363 | $ | 246,402 | $ | 256,658 | $ | 2,125,423 | |||||||||||
Accrued interest payable | $ | 1,078 | $ | 17 | $ | 678 | $ | 1,773 | |||||||||||
Asset-backed securities issued | 1,553,669 | 69,709 | 144,700 | 1,768,078 | |||||||||||||||
Total Liabilities | $ | 1,554,747 | $ | 69,726 | $ | 145,378 | $ | 1,769,851 | |||||||||||
Number of VIEs | 24 | 1 | 1 | 26 | |||||||||||||||
We consolidate the assets and liabilities of certain Sequoia securitization entities, as we did not meet the GAAP sale criteria at the time we transferred financial assets to these entities. Our involvement in consolidated Sequoia entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia entities in accordance with GAAP. | |||||||||||||||||||
We consolidate the assets and liabilities of the Residential Resecuritization entity as we did not meet the GAAP sale criteria at the time the financial assets were transferred to this entity based on our role in the entity’s inception and design. We transferred senior residential securities to Credit Suisse First Boston Mortgage Securities Corp., which subsequently sold them to CSMC 2011-9R, the Residential Resecuritization entity. In connection with this transaction, we acquired certain senior and subordinate securities that we continue to hold. We engaged in the Residential Resecuritization primarily for the purpose of obtaining permanent non-recourse financing on a portion of our senior residential securities portfolio. Our credit risk exposure is largely unchanged as a result of engaging in the transaction, as we remain economically exposed to the financed securities through our senior and subordinate investment in the Residential Resecuritization. | |||||||||||||||||||
We consolidate the assets and liabilities of the Commercial Securitization entity, as we did not meet the GAAP sale criteria at the time the financial assets were transferred to this entity based on our role in the entity’s inception and design. We transferred subordinate commercial loans to RCMC 2012-CREL1, a securitization entity. In connection with this transaction, we acquired certain subordinate securities that we continue to hold. We engaged in the Commercial Securitization primarily for the purpose of obtaining permanent non-recourse financing on a portion of our commercial mezzanine loan portfolio. Our credit risk exposure is largely unchanged as a result of engaging in the transaction, as we remain economically exposed to the financed loans through our subordinate investment in the Commercial Securitization. | |||||||||||||||||||
Analysis of Unconsolidated VIEs with Continuing Involvement | |||||||||||||||||||
Since 2012, we have transferred residential loans to 19 Sequoia securitization entities sponsored by us and accounted for these transfers as sales for financial reporting purposes. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For the transferred loans where we held the servicing rights prior to the transfer and continue to hold the servicing rights, we recorded MSRs on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. | |||||||||||||||||||
The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||
Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||
Principal balance of loans transferred | $ | 347,305 | $ | 1,802,058 | $ | 347,305 | $ | 4,042,710 | |||||||||||
Trading securities retained, at fair value | 69,563 | 40,642 | 69,563 | 91,850 | |||||||||||||||
AFS securities retained, at fair value | 20,428 | 92,367 | 20,428 | 207,095 | |||||||||||||||
Gains on sale | - | - | - | - | |||||||||||||||
MSRs recognized | 2,186 | 16,148 | 2,186 | 28,614 | |||||||||||||||
Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining residential MSRs (which we retain a third-party servicer to perform) and the receipt of interest income associated with the securities we retained. The following table summarizes the cash flows between us and the unconsolidated VIEs sponsored by us during the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||
Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||
Cash proceeds | $ | 267,776 | $ | 1,705,504 | $ | 267,776 | $ | 3,859,354 | |||||||||||
MSR fees received | 3,624 | 2,099 | 7,047 | 3,075 | |||||||||||||||
Funding of compensating interest | -43 | -145 | -76 | -263 | |||||||||||||||
Cash flows received on retained securities | 15,924 | 9,883 | 28,227 | 14,950 | |||||||||||||||
The following table presents the key weighted-average assumptions to measure MSRs at the date of securitization. | |||||||||||||||||||
MSR Assumptions Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Issued During | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
At Date of Securitization | 2014 2013 | 2014 2013 | |||||||||||||||||
Prepayment speeds | 5 - 15 % 5 - 12 % | 5 - 15 % 5 - 14 % | |||||||||||||||||
Discount rates | 11 % 12 % | 11 % 12 % | |||||||||||||||||
The following table presents additional information at June 30, 2014 and December 31, 2013, related to unconsolidated securitizations accounted for as sales since 2012. Loans at these securitization entities have not incurred any credit losses. | |||||||||||||||||||
Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||
On-balance sheet assets, at fair value: | |||||||||||||||||||
Interest-only and senior securities, classified as trading | $ | 159,311 | $ | 110,505 | |||||||||||||||
Senior and subordinate securities, classified as AFS | 449,863 | 405,415 | |||||||||||||||||
Maximum loss exposure (1) | 609,174 | 515,920 | |||||||||||||||||
Assets transferred: | |||||||||||||||||||
Principal balance of loans outstanding | 6,730,820 | 6,627,874 | |||||||||||||||||
Principal balance of delinquent loans 30+ days delinquent | 7,041 | 14,587 | |||||||||||||||||
-1 | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. | ||||||||||||||||||
The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at June 30, 2014 and December 31, 2013. | |||||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
30-Jun-14 | MSRs | Senior Securities | Subordinate | ||||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||||
Fair value at June 30, 2014 | $ | 54,712 | $ | 159,311 | $ | 449,863 | |||||||||||||
Expected life (in years) (1) | 7 | 7 | 11 | ||||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 12% | 9% | 10% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% adverse change | $ | 2,088 | $ | 7,254 | $ | 1,345 | |||||||||||||
25% adverse change | 4,908 | 12,104 | 3,519 | ||||||||||||||||
Discount rate assumption (1) | 11% | 5% | 6% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
100 basis point increase | $ | 2,194 | $ | 7,929 | $ | 34,532 | |||||||||||||
200 basis point increase | 4,212 | 15,159 | 65,057 | ||||||||||||||||
Credit loss assumption (1) | N/A | 0.23% | 0.23% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% higher losses | N/A | $ | 89 | $ | 1,197 | ||||||||||||||
25% higher losses | N/A | 222 | 2,380 | ||||||||||||||||
31-Dec-13 | MSRs | Senior Interest-only | Subordinate | ||||||||||||||||
(Dollars in Thousands) | Securities | Securities | |||||||||||||||||
Fair value at December 31, 2013 | $ | 60,318 | $ | 110,505 | $ | 405,415 | |||||||||||||
Expected life (in years) (1) | 8 | 7 | 11 | ||||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 8% | 10% | 11% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% adverse change | $ | 1,649 | $ | 5,773 | $ | 1,658 | |||||||||||||
25% adverse change | 4,218 | 13,555 | 4,354 | ||||||||||||||||
Discount rate assumption (1) | 11% | 5% | 6% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
100 basis point increase | $ | 2,468 | $ | 5,632 | $ | 30,644 | |||||||||||||
200 basis point increase | 4,828 | 10,757 | 57,836 | ||||||||||||||||
Credit loss assumption (1) | N/A | 0.23% | 0.23% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% higher losses | N/A | $ | 70 | $ | 1,369 | ||||||||||||||
25% higher losses | N/A | 175 | 3,420 | ||||||||||||||||
-1 | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. | ||||||||||||||||||
Continuing Involvement with VIEs with No Economic Interest | |||||||||||||||||||
We maintain limited continuing involvement in certain Acacia securitization entities we sponsored, but have no current economic interest in these entities. Our continuing involvement as collateral manager has, under the terms of the applicable management agreements, been significantly curtailed or eliminated with respect to the Acacia entities, as all but one of these entities have experienced events of default. We will continue to receive the collateral management fees for these entities, which have decreased significantly and will continue to do so as the balances on which the fees are determined continue to decline. | |||||||||||||||||||
Analysis of Third-Party VIEs | |||||||||||||||||||
Third-party VIEs are securitization entities for which we maintain an economic interest but do not sponsor. Our economic interest may include several securities from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at June 30, 2014, grouped by collateral type. | |||||||||||||||||||
Third-Party Sponsored VIE Summary | |||||||||||||||||||
(In Thousands) | 30-Jun-14 | ||||||||||||||||||
Residential real estate securities at Redwood | |||||||||||||||||||
Senior | $ | 663,587 | |||||||||||||||||
Re-REMIC | 192,596 | ||||||||||||||||||
Subordinate | 133,857 | ||||||||||||||||||
Total Investments in Third-Party Real Estate Securities | $ | 990,040 | |||||||||||||||||
We determined that we are not the primary beneficiary of any third-party residential, commercial, or collateralized debt obligation entities, as we do not have the required power to direct the activities that most significantly impact the economic performance of these entities. Specifically, we do not service or manage these entities or otherwise hold decision making powers that are significant. As a result of this assessment, we do not consolidate any of the underlying assets and liabilities of these third-party VIEs – we only account for our specific interests in them. | |||||||||||||||||||
Our assessments of whether we are required to consolidate a VIE may change in subsequent reporting periods based upon changing facts and circumstances pertaining to each VIE. Any related accounting changes could result in a material impact to our financial statements. | |||||||||||||||||||
Other Transfers of Financial Assets | |||||||||||||||||||
Certain of our senior commercial mortgage loans were bifurcated into a senior portion that was sold to a third party and a junior portion that we retained as an investment. When the transfer of the senior portion did not meet the criteria for sale treatment under GAAP, the entire loan (the senior and junior portions) remains on our consolidated balance sheet classified as a held-for-investment loan and we account for the transfer of the senior portion as a secured borrowing. | |||||||||||||||||||
The following table presents commercial loan transfers accounted for as secured borrowings for the three and six months ended June 30, 2014. | |||||||||||||||||||
Loan Transfers Accounted for as Secured Borrowings | |||||||||||||||||||
(In Thousands) | Three Months Ended | Six Months Ended | |||||||||||||||||
30-Jun-14 | 30-Jun-14 | ||||||||||||||||||
Principal balance | $ | 29,500 | $ | 63,375 | |||||||||||||||
Cash proceeds | 30,274 | 65,048 |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 6 Months Ended | ||||||||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | ' | ||||||||||||||||||||||||||||||
Note 5. Fair Value of Financial Instruments | |||||||||||||||||||||||||||||||
For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. | |||||||||||||||||||||||||||||||
In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. | |||||||||||||||||||||||||||||||
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||
June 30, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||
(In Thousands) | Carrying | Fair | Carrying | Fair | |||||||||||||||||||||||||||
Value | Value | Value | Value | ||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, held-for-sale | |||||||||||||||||||||||||||||||
At fair value | $ | 1,106,239 | $ | 1,106,239 | $ | 402,602 | $ | 402,602 | |||||||||||||||||||||||
At lower of cost or fair value | 1,638 | 1,788 | 1,665 | 1,817 | |||||||||||||||||||||||||||
Residential loans, held-for-investment | 1,616,504 | 1,508,571 | 1,762,167 | 1,610,024 | |||||||||||||||||||||||||||
Commercial loans, held-for-sale | 50,848 | 50,848 | 89,111 | 89,111 | |||||||||||||||||||||||||||
Commercial loans, held-for-investment | |||||||||||||||||||||||||||||||
At fair value | 71,270 | 71,270 | - | - | |||||||||||||||||||||||||||
At amortized cost | 346,648 | 353,004 | 343,344 | 348,305 | |||||||||||||||||||||||||||
Trading securities | 173,281 | 173,281 | 124,555 | 124,555 | |||||||||||||||||||||||||||
Available-for-sale securities | 1,671,786 | 1,671,786 | 1,558,306 | 1,558,306 | |||||||||||||||||||||||||||
MSRs | 71,225 | 71,225 | 64,824 | 64,824 | |||||||||||||||||||||||||||
Cash and cash equivalents | 157,079 | 157,079 | 173,201 | 173,201 | |||||||||||||||||||||||||||
Restricted cash | 393 | 393 | 398 | 398 | |||||||||||||||||||||||||||
Accrued interest receivable | 15,109 | 15,109 | 13,475 | 13,475 | |||||||||||||||||||||||||||
Derivative assets | 7,514 | 7,514 | 7,787 | 7,787 | |||||||||||||||||||||||||||
REO (1) | 3,323 | 3,767 | 3,661 | 4,084 | |||||||||||||||||||||||||||
Margin receivable (1) | 58,455 | 58,455 | 31,149 | 31,149 | |||||||||||||||||||||||||||
Other collateral posted (1) | 5,000 | 5,000 | 5,000 | 5,000 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Short-term debt | $ | 1,718,430 | $ | 1,718,430 | $ | 862,763 | $ | 862,763 | |||||||||||||||||||||||
Accrued interest payable | 7,154 | 7,154 | 6,366 | 6,366 | |||||||||||||||||||||||||||
Derivative liabilities | 39,837 | 39,837 | 18,167 | 18,167 | |||||||||||||||||||||||||||
ABS issued | 1,768,078 | 1,656,135 | 1,942,962 | 1,746,906 | |||||||||||||||||||||||||||
Commercial long-term debt | 52,916 | 52,916 | 49,467 | 49,467 | |||||||||||||||||||||||||||
Commercial secured borrowings | 66,692 | 66,692 | - | - | |||||||||||||||||||||||||||
Convertible notes | 287,500 | 296,700 | 287,500 | 299,719 | |||||||||||||||||||||||||||
Other long-term debt | 139,500 | 110,903 | 139,500 | 111,600 | |||||||||||||||||||||||||||
-1 | These assets are included in Other Assets on our consolidated balance sheets. | ||||||||||||||||||||||||||||||
We elected the fair value option for $1.74 billion and $2.82 billion of residential loans (principal balance) and $149 million and $268 million of commercial loans (principal balance) we acquired during the three and six months ended June 30, 2014, respectively. We also elected the fair value option for $30 million and $65 million of commercial secured borrowings we recorded during the three and six months ended June 30, 2014, respectively. We anticipate electing the fair value option for all future purchases of residential loans and commercial senior loans that we intend to sell to third parties or transfer to securitizations. | |||||||||||||||||||||||||||||||
The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at June 30, 2014, as well as the fair value hierarchy of the valuation inputs used to measure fair value. | |||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Recurring Basis at June 30, 2014 | |||||||||||||||||||||||||||||||
June 30, 2014 | Carrying | Fair Value Measurements Using | |||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 1,106,239 | $ | - | $ | 259,675 | $ | 846,564 | |||||||||||||||||||||||
Commercial loans, at fair value | 122,118 | - | - | 122,118 | |||||||||||||||||||||||||||
Trading securities | 173,281 | - | - | 173,281 | |||||||||||||||||||||||||||
Available-for-sale securities | 1,671,786 | - | - | 1,671,786 | |||||||||||||||||||||||||||
MSRs | 71,225 | - | - | 71,225 | |||||||||||||||||||||||||||
Derivative assets | 7,514 | 3,295 | 2,513 | 1,707 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Derivative liabilities | 39,837 | 6,034 | 33,758 | 45 | |||||||||||||||||||||||||||
Commercial secured borrowings | 66,692 | - | - | 66,692 | |||||||||||||||||||||||||||
The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2014. | |||||||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | |||||||||||||||||||||||||||||||
Assets | Liabilities | ||||||||||||||||||||||||||||||
(In Thousands) | Residential | Commercial | Trading | AFS | MSRs | Derivatives (1) | Commercial | ||||||||||||||||||||||||
Loans | Loans | Securities | Securities | Secured | |||||||||||||||||||||||||||
Borrowings | |||||||||||||||||||||||||||||||
Beginning balance - December 31, 2013 | $ | 391,100 | $ | 89,111 | $ | 124,555 | $ | 1,558,306 | $ | 64,824 | $ | (379) | $ | - | |||||||||||||||||
Principal paydowns | (11,563) | (3,463) | (2,714) | (92,590) | - | - | (115) | ||||||||||||||||||||||||
Gains (losses) in net income, net | 21,849 | 11,099 | (13,133) | 23,485 | (8,265) | 5,108 | 1,759 | ||||||||||||||||||||||||
Unrealized gains in OCI, net | - | - | - | 32,888 | - | - | - | ||||||||||||||||||||||||
Acquisitions | 1,717,244 | 271,424 | 64,573 | 151,010 | 14,666 | - | 65,048 | ||||||||||||||||||||||||
Sales | (1,269,330) | (246,053) | - | (1,313) | - | - | - | ||||||||||||||||||||||||
Other settlements, net | (2,736) | - | - | - | - | (3,067) | - | ||||||||||||||||||||||||
Ending Balance - June 30, 2014 | $ | 846,564 | $ | 122,118 | $ | 173,281 | $ | 1,671,786 | $ | 71,225 | $ | 1,662 | $ | 66,692 | |||||||||||||||||
(1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented net. | |||||||||||||||||||||||||||||||
The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2014 and 2013. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2014 and 2013 are not included in this presentation. | |||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2014 and 2013 Included in Net Income | |||||||||||||||||||||||||||||||
Included in Net Income | |||||||||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 11,755 | $ | (59,649) | $ | 11,964 | $ | (59,641) | |||||||||||||||||||||||
Commercial loans, at fair value | 2,008 | - | 2,008 | - | |||||||||||||||||||||||||||
Trading securities | (9,257) | 31,354 | (13,688) | 30,866 | |||||||||||||||||||||||||||
Available-for-sale securities | (264) | (1,642) | (377) | (1,665) | |||||||||||||||||||||||||||
MSRs | (4,974) | 9,450 | (7,236) | 9,532 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Loan purchase commitments | 1,707 | - | 1,707 | - | |||||||||||||||||||||||||||
Commercial secured borrowing | 1,759 | - | 1,759 | - | |||||||||||||||||||||||||||
The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2014. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our balance sheet at June 30, 2014. | |||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2014 | |||||||||||||||||||||||||||||||
Gain (Loss) for | |||||||||||||||||||||||||||||||
June 30, 2014 | Carrying | Fair Value Measurements Using | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||
Value | |||||||||||||||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | June 30, 2014 | June 30, 2014 | ||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 1,107 | $ | - | $ | - | $ | 1,107 | $ | 1 | $ | (2) | |||||||||||||||||||
REO | 2,326 | - | - | 2,326 | (521) | (343) | |||||||||||||||||||||||||
The following table presents the components of market valuation adjustments, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||||||||
Market Valuation Adjustments, Net | |||||||||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||
Mortgage banking activities | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 13,375 | $ | (41,405) | $ | 20,403 | $ | (6,535) | |||||||||||||||||||||||
Commercial loans, at fair value | 5,714 | (345) | 9,340 | (345) | |||||||||||||||||||||||||||
Trading securities | (8,810) | 36,336 | (13,087) | 38,265 | |||||||||||||||||||||||||||
Derivative instruments, net | (8,673) | 49,544 | (15,755) | 50,567 | |||||||||||||||||||||||||||
Loan purchase and forward sale commitments | 3,582 | - | 3,590 | - | |||||||||||||||||||||||||||
Total mortgage banking activities (1) | 5,188 | 44,130 | 4,491 | 81,952 | |||||||||||||||||||||||||||
MSRs | (5,553) | 8,827 | (8,265) | 9,169 | |||||||||||||||||||||||||||
Other | |||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 13 | 38 | 11 | 78 | |||||||||||||||||||||||||||
Trading securities | 77 | (4,140) | (76) | (4,707) | |||||||||||||||||||||||||||
Impairments on AFS securities | (264) | (1,642) | (377) | (1,665) | |||||||||||||||||||||||||||
REO | (321) | (558) | (464) | (331) | |||||||||||||||||||||||||||
Other derivative instruments, net | (3,626) | 44 | (9,354) | 64 | |||||||||||||||||||||||||||
Total other | (4,121) | (6,258) | (10,260) | (6,561) | |||||||||||||||||||||||||||
Total Market Valuation Adjustments, Net | $ | (4,486) | $ | 46,699 | $ | (14,034) | $ | 84,560 | |||||||||||||||||||||||
-1 | Income from mortgage banking activities presented above does not include fee income that is a component of mortgage banking income presented on our consolidated statements of income as it does not represent a market valuation adjustment. | ||||||||||||||||||||||||||||||
Valuation Policy | |||||||||||||||||||||||||||||||
We maintain a policy that specifies the methodologies we use to value different types of financial instruments. Significant changes to the valuation methodologies are reviewed by members of senior management to confirm the changes are appropriate and reasonable. Valuations based on information from external sources are performed on an instrument-by-instrument basis with the resulting amounts analyzed individually against internal calculations as well as in the aggregate by product type classification. Initial valuations are performed by our portfolio management group using the valuation processes described below. A subset of our finance department then independently reviews all fair value estimates using available market, portfolio, and industry information to ensure they are reasonable. Finally, members of senior management review all fair value estimates, including an analysis of valuation changes from prior reporting periods. | |||||||||||||||||||||||||||||||
Valuation Process | |||||||||||||||||||||||||||||||
We estimate fair values for financial assets or liabilities based on available inputs observed in the marketplace as well as unobservable inputs. We primarily use two pricing valuation techniques: market comparable pricing and discounted cash flow analysis. Market comparable pricing is used to determine the estimated fair value of certain instruments by incorporating known inputs and performance metrics, such as observed prepayment rates, delinquencies, credit support, recent transaction prices, pending transactions, or prices of other similar instruments. Discounted cash flow analysis techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in an estimate of fair value. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. We also consider counterparty credit quality and risk as part of our fair value assessments. | |||||||||||||||||||||||||||||||
The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. | |||||||||||||||||||||||||||||||
Fair Value Methodology for Level 3 Financial Instruments | |||||||||||||||||||||||||||||||
June 30, 2014 | Fair | Unobservable Input | Range | Weighted | |||||||||||||||||||||||||||
Value | Average | ||||||||||||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value: | |||||||||||||||||||||||||||||||
Loans priced to securitization or priced to whole loan market and uncommitted to sell | $ | 417,941 | Discount rate | 3 - 4 % | 4 % | ||||||||||||||||||||||||||
Prepayment rate | 10 - 10 % | 10 % | |||||||||||||||||||||||||||||
Default rate | 1 - 1 % | 1 % | |||||||||||||||||||||||||||||
Loss severity | 22 - 22 % | 22 % | |||||||||||||||||||||||||||||
Credit support | 6 - 8 % | 8 % | |||||||||||||||||||||||||||||
Spread to securitization | 50 bps - 50 bps | 50 bps | |||||||||||||||||||||||||||||
Loans priced to whole loan market, committed to sell | 428,624 | Pool fallout assumption | 10 bps - 10 bps | 10 bps | |||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 1,107 | Loss severity | 15-28 % | 21 % | |||||||||||||||||||||||||||
Commercial loans, at fair value | 122,118 | Credit spread | 136 bps - 136 bps | 136 bps | |||||||||||||||||||||||||||
Credit support | 24 - 24 % | 24 % | |||||||||||||||||||||||||||||
Trading and AFS securities | 1,845,067 | Discount rate | 4 - 12 % | 6 % | |||||||||||||||||||||||||||
Prepayment speed | 1 - 35 % | 14 % | |||||||||||||||||||||||||||||
Default rate | 0 - 35 % | 7 % | |||||||||||||||||||||||||||||
Loss severity | 20 - 64 % | 33 % | |||||||||||||||||||||||||||||
Credit support | 0 - 84 % | 6 % | |||||||||||||||||||||||||||||
MSRs | 71,225 | Discount rate | 9 - 11 % | 11 % | |||||||||||||||||||||||||||
Prepayment rate | 6 - 60 % | 12 % | |||||||||||||||||||||||||||||
REO | 2,326 | Loss severity | 0 - 93 % | 18 % | |||||||||||||||||||||||||||
Loan purchase commitments, net (1) | 1,662 | MSR Multiple | 1 - 5x | 4x | |||||||||||||||||||||||||||
Pullthrough rate | 57 - 99 % | 81 % | |||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Commercial secured financing | 66,692 | Credit spread | 136 bps - 136 bps | 136 bps | |||||||||||||||||||||||||||
Credit support | 24 - 24 % | 24 % | |||||||||||||||||||||||||||||
(1) For the purpose of this presentation loan purchase commitment assets and liabilities are presented net. | |||||||||||||||||||||||||||||||
Determination of Fair Value | |||||||||||||||||||||||||||||||
A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed herein. We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs – such as anticipated credit losses, prepayment speeds, interest rates, or other valuation assumptions – in isolation, would likely result in a significantly lower or higher fair value measurement. | |||||||||||||||||||||||||||||||
Residential loans | |||||||||||||||||||||||||||||||
Estimated fair values for residential loans are determined based on either an exit price to securitization or the whole loan market. For loans valued based on an exit to securitization, significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the limited availability of market quotes on newly issued Residential Mortgage-Backed Securities (“RMBS”) and related inputs. Relevant market indicators that are factored into the analyses include third-party RMBS sales, pricing points for secondary sales of RMBS we have issued in past periods, yields for RMBS issued by government sponsored enterprises, indexed swap yields, credit rating agency guidance on expected credit enhancement levels for newly issued RMBS transactions, interest rates, and prepayment speeds (Level 3). | |||||||||||||||||||||||||||||||
For loans valued based on an exit to the whole loan market, significant inputs in the valuation analysis are predominantly Level 3 in nature. Relevant market indicators that are factored into the analyses include prices on recent sales of our own whole loans, indexed swap yields, interest rates, prepayment speeds, and loss severities (Level 3). These assets would generally decrease in value based upon an increase in the loss severity assumption and would generally increase in value if the loss severity assumption were to decrease. | |||||||||||||||||||||||||||||||
Estimated fair values for conforming loans are determined based upon quoted market prices (Level 2). Conforming loans are mortgage loans that conform to Agency guidelines. As necessary, these values are adjusted for servicing value, market conditions and liquidity. | |||||||||||||||||||||||||||||||
Commercial loans | |||||||||||||||||||||||||||||||
Estimated fair values for senior commercial loans are determined by an exit price to securitization. Certain significant inputs in the valuation analysis are Level 3 in nature. Relevant market indicators that are factored into the analyses include third-party Commercial Mortgage-Backed Securities (“CMBS”) sales, pricing points for secondary sales of CMBS, yields for synthetic instruments that use CMBS bonds as an underlying index, indexed swap yields, credit rating agency guidance on expected credit enhancement levels for newly issued CMBS transactions, and interest rates (Level 3). In certain cases, commercial senior mortgage loans are valued based on third-party offers for the securities for purchase into securitization (Level 2). | |||||||||||||||||||||||||||||||
Estimated fair values for mezzanine commercial loans are determined by both market comparable pricing and discounted cash flow analysis valuation techniques (Level 3). Our discounted cash flow models utilize certain significant unobservable inputs including the underwritten net operating income and debt coverage ratio assumptions and actual performance relative to those underwritten metrics. A decrease in these unobservable inputs will reduce the estimated fair value of the commercial loans. | |||||||||||||||||||||||||||||||
Real estate securities | |||||||||||||||||||||||||||||||
Real estate securities primarily include residential mortgage-backed securities that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analyses include bid/ask spreads, the amount and timing of credit losses, interest rates, and prepayment speeds. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as a discount rate, prepayment rate, default rate, loss severity and credit support. The estimated fair value of our securities would generally decrease based upon an increase in serious delinquencies. Conversely, the estimated fair value of our securities would generally increase if the prepayment rate or credit support inputs were to increase. | |||||||||||||||||||||||||||||||
As part of our securities valuation process, we request and consider indications of value from third-party securities dealers. For purposes of pricing our securities at June 30, 2014, we received dealer price indications on 79% of our securities, representing 90% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were within 2% of the aggregate dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. In circumstances where relevant market inputs cannot be obtained, increased reliance on discounted cash flow analysis and management judgment are required to estimate fair value. | |||||||||||||||||||||||||||||||
Derivative assets and liabilities | |||||||||||||||||||||||||||||||
Our derivative instruments include swaps, swaptions, TBAs, financial futures, CMBX credit default index swaps, LPCs, and FSCs. Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. TBA and financial futures fair values are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC fair values are estimated based on quoted Agency MBS prices, estimates of the fair value of the MSRs we expect to retain in the sale of the loans, and the probability that the mortgage loan will be purchased (Level 3). FSC fair values are obtained using quoted Agency prices. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). | |||||||||||||||||||||||||||||||
For other derivatives, valuations are based on various factors such as liquidity, bid/ask spreads, and credit considerations for which we rely on available market inputs. In the absence of such inputs, management’s best estimate is used (Level 3). | |||||||||||||||||||||||||||||||
MSRs | |||||||||||||||||||||||||||||||
MSRs represent the rights to service jumbo and conforming residential mortgage loans. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. These inputs include market discount rates, prepayment speeds of serviced loans, and the market cost of servicing. Changes in the fair value of MSRs occur primarily due to the collection/realization of expected cash flows, as well as changes in valuation inputs and assumptions. Estimated fair values are based on applying the inputs to generate the net present value of estimated MSR income, which is what we believe market participants would use to estimate fair value (Level 3). These discounted cash flow models utilize certain significant unobservable inputs including prepayment rate and discount rate assumptions. An increase in these unobservable inputs will reduce the estimated fair value of the MSRs. | |||||||||||||||||||||||||||||||
As part of our MSR valuation process, we received a valuation estimate from a third-party valuations group. In the aggregate, our internal valuation of the MSRs was 2% lower than the third-party valuation at June 30, 2014. | |||||||||||||||||||||||||||||||
Cash and cash equivalents | |||||||||||||||||||||||||||||||
Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values (Level 1). | |||||||||||||||||||||||||||||||
Restricted cash | |||||||||||||||||||||||||||||||
Restricted cash primarily includes interest-earning cash balances at consolidated Sequoia entities and at the Residential Resecuritization and Commercial Securitization entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). | |||||||||||||||||||||||||||||||
Accrued interest receivable and payable | |||||||||||||||||||||||||||||||
Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). | |||||||||||||||||||||||||||||||
REO | |||||||||||||||||||||||||||||||
REO includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). | |||||||||||||||||||||||||||||||
Margin receivable | |||||||||||||||||||||||||||||||
Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 1). | |||||||||||||||||||||||||||||||
Short-term debt | |||||||||||||||||||||||||||||||
Short-term debt includes our credit facilities that mature within one year. Fair values approximate carrying values (Level 1). | |||||||||||||||||||||||||||||||
ABS issued | |||||||||||||||||||||||||||||||
ABS issued includes asset-backed securities issued through the Sequoia, Residential Resecuritization, and Commercial Securitization entities. These instruments are illiquid in nature and trade infrequently, if at all. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Relevant market indicators factored into the analyses include bid/ask spreads, external spreads, collateral credit losses, interest rates, default rates, loss severities, and collateral prepayment speeds. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These liabilities would generally increase in value based upon a decrease in default rates and would generally decrease in value if the prepayment rate or credit support input were to decrease. | |||||||||||||||||||||||||||||||
As part of our ABS issued valuation process, we also request and consider indications of value from third-party securities dealers. For purposes of pricing our ABS issued at June 30, 2014, we received dealer price indications on 42% of our ABS issued. In the aggregate, our internal valuations of the ABS issued for which we received dealer price indications were within 1% of the aggregate dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. | |||||||||||||||||||||||||||||||
Commercial long-term debt | |||||||||||||||||||||||||||||||
Commercial long-term debt includes our commercial loan repurchase agreement that matures in more than one year. Fair values approximate carrying values (Level 1). | |||||||||||||||||||||||||||||||
Commercial secured borrowings | |||||||||||||||||||||||||||||||
Commercial secured borrowings represent liabilities recognized as a result of transfers of portions of senior commercial mortgage loans to third parties that do not meet the criteria for sale treatment under GAAP and are accounted for as secured borrowings. Fair values for commercial secured borrowings are based on the fair values of the senior commercial loans associated with the borrowings (Level 3). | |||||||||||||||||||||||||||||||
Convertible notes | |||||||||||||||||||||||||||||||
Convertible notes include unsecured convertible senior notes. Fair values are determined using quoted prices in active markets (Level 1). | |||||||||||||||||||||||||||||||
Trust preferred securities and subordinated notes | |||||||||||||||||||||||||||||||
Estimated fair values of trust preferred securities and subordinated notes are determined using discounted cash flow analysis valuation techniques. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). |
Loans
Loans | 6 Months Ended | ||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||
Loans | ' | ||||||||||||||||||||||
Note 6. Residential Loans | |||||||||||||||||||||||
We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying value of the residential loans owned at Redwood and at consolidated Sequoia entities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
30-Jun-14 | Redwood | Sequoia | Total | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Held-for-sale | |||||||||||||||||||||||
Fair value - Conforming | $ | 259,675 | $ | - | $ | 259,675 | |||||||||||||||||
Fair value - Jumbo | 846,564 | - | 846,564 | ||||||||||||||||||||
Lower of cost or fair value | 1,638 | - | 1,638 | ||||||||||||||||||||
Held-for-investment | - | 1,616,504 | 1,616,504 | ||||||||||||||||||||
Total Residential Loans | $ | 1,107,877 | $ | 1,616,504 | $ | 2,724,381 | |||||||||||||||||
31-Dec-13 | Redwood | Sequoia | Total | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Held-for-sale | |||||||||||||||||||||||
Fair value - Conforming | $ | 11,502 | $ | - | $ | 11,502 | |||||||||||||||||
Fair value - Jumbo | 391,100 | - | 391,100 | ||||||||||||||||||||
Lower of cost or fair value | 1,665 | - | 1,665 | ||||||||||||||||||||
Held-for-investment | - | 1,762,167 | 1,762,167 | ||||||||||||||||||||
Total Residential Loans | $ | 404,267 | $ | 1,762,167 | $ | 2,166,434 | |||||||||||||||||
Residential Loans Held-for-Sale | |||||||||||||||||||||||
Residential Loans at Fair Value | |||||||||||||||||||||||
At June 30, 2014, there were 2,038 residential loans at fair value, with an aggregate outstanding principal balance of $1.07 billion and an aggregate fair value of $1.11 billion. During the three and six months ended June 30, 2014, we purchased $1.74 billion and $2.82 billion (principal balance) of residential loans, respectively, for which we elected the fair value option. During the three and six months ended June 30, 2014, we recorded $13 million and $20 million of positive valuation adjustments, respectively, on fair value residential loans through mortgage banking activities, net, a component of our consolidated income statement. At December 31, 2013, there were 537 residential loans at fair value, with an aggregate outstanding principal balance of $399 million and an aggregate fair value of $403 million. | |||||||||||||||||||||||
Residential Loans at Lower of Cost or Fair Value | |||||||||||||||||||||||
At June 30, 2014, there were 10 residential loans at lower of cost or fair value with $2 million in outstanding principal balance and a carrying value of $2 million. At December 31, 2013, there were 10 residential loans at lower of cost or fair value with $2 million in outstanding principal balance and a carrying value of $2 million. During the three and six months ended June 30, 2014, we recorded valuation adjustments for residential loans held-for-sale of positive $13 thousand and $11 thousand, respectively. | |||||||||||||||||||||||
Residential Loans Held-for-Investment | |||||||||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at June 30, 2014 and December 31, 2013. These loans are owned at Sequoia securitization entities that we consolidate for financial reporting purposes. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Principal balance | $ | 1,625,890 | $ | 1,770,803 | |||||||||||||||||||
Unamortized premium, net | 14,586 | 16,791 | |||||||||||||||||||||
Recorded investment | 1,640,476 | 1,787,594 | |||||||||||||||||||||
Allowance for loan losses | -23,972 | -25,427 | |||||||||||||||||||||
Carrying Value | $ | 1,616,504 | $ | 1,762,167 | |||||||||||||||||||
Of the $1.6 billion of principal balance and $15 million of unamortized premium on loans held-for-investment at June 30, 2014, $663 million of principal balance and $9 million of unamortized premium relate to residential loans acquired prior to July 1, 2004. During the six months ended June 30, 2014, 9% of these residential loans prepaid and we amortized 16% of the premium based upon the accounting elections we apply. For residential loans acquired after July 1, 2004, the principal balance was $966 million and the unamortized premium was $6 million. During the six months ended June 30, 2014, 7% of these loans prepaid and we amortized 9% of the premium. | |||||||||||||||||||||||
Of the $1.77 billion of principal balance and $17 million of unamortized premium on loans held-for-investment at December 31, 2013, $731 million of principal balance and $11 million of unamortized premium relate to residential loans acquired prior to July 1, 2004. For residential loans acquired after July 1, 2004, the principal balance was $1 billion and the unamortized premium was $6 million. | |||||||||||||||||||||||
Credit Characteristics of Residential Loans Held-for-Investment | |||||||||||||||||||||||
As a percentage of our recorded investment, 99% of residential loans held-for-investment at June 30, 2014, were first lien, predominately prime-quality loans at the time of origination. The remaining 1% of loans were second lien, home equity lines of credit. The weighted average original LTV ratio for our residential loans held-for-investment outstanding at June 30, 2014, was 66%. The weighted average FICO score for the borrowers of these loans was 733 at the time the loans were originated. | |||||||||||||||||||||||
We consider the year of origination of our residential loans held-for-investment to be a general indicator of credit performance as loans originated in specific years have often possessed similar product and credit characteristics. The following table displays our recorded investment in residential loans held-for-investment at June 30, 2014 and December 31, 2013, organized by year of origination. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
2003 & Earlier | $ | 798,571 | $ | 881,364 | |||||||||||||||||||
2004 | 479,478 | 513,458 | |||||||||||||||||||||
2005 | 60,138 | 62,675 | |||||||||||||||||||||
2006 | 141,937 | 149,776 | |||||||||||||||||||||
2007 | - | - | |||||||||||||||||||||
2008 | - | - | |||||||||||||||||||||
2009 | 19,994 | 25,860 | |||||||||||||||||||||
2010 | 84,992 | 92,728 | |||||||||||||||||||||
2011 | 55,366 | 61,733 | |||||||||||||||||||||
Total Recorded Investment | $ | 1,640,476 | $ | 1,787,594 | |||||||||||||||||||
Allowance for Loan Losses on Residential Loans | |||||||||||||||||||||||
For residential loans held-for-investment, we establish and maintain an allowance for loan losses. The allowance includes a component for pools of residential loans owned at Sequoia securitization entities that we collectively evaluated for impairment, and a component for loans individually evaluated for impairment that includes modified residential loans at Sequoia entities that have been determined to be troubled debt restructurings. | |||||||||||||||||||||||
Activity in the Allowance for Loan Losses on Residential Loans | |||||||||||||||||||||||
The following table summarizes the activity in the allowance for loan losses for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Balance at beginning of period | $ | 25,571 | $ | 29,064 | $ | 25,427 | $ | 28,504 | |||||||||||||||
Charge-offs, net | -994 | -1,751 | -1,478 | -2,545 | |||||||||||||||||||
(Reversal of provision) provision for loan losses | -605 | -4,163 | 23 | -2,809 | |||||||||||||||||||
Balance at End of Period | $ | 23,972 | $ | 23,150 | $ | 23,972 | $ | 23,150 | |||||||||||||||
During the three months ended June 30, 2014 and 2013, there were less than $1 million and $2 million of charge-offs of residential loans that reduced our allowance for loan losses, respectively. These charge-offs were from $6 million and $5 million of defaulted loan principal, respectively. During the six months ended June 30, 2014 and 2013, there were $1 million and $3 million of charge-offs of residential loans, respectively, that reduced our allowance for loan losses. These charge-offs arose from $8 million and $7 million of defaulted loan principal, respectively. | |||||||||||||||||||||||
Residential Loans Collectively Evaluated for Impairment | |||||||||||||||||||||||
We establish the collective component of the allowance for residential loan losses based primarily on the characteristics of the loan pools underlying the securitization entities that own the loans, including loan product types, credit characteristics, and origination years. The collective analysis is further divided into two segments. The first segment reflects our estimate of losses on delinquent loans within each loan pool. These loss estimates are determined by applying the loss factors described in Note 3 to the delinquent loans, including our expectations of the timing of defaults and the loss severities we expect once defaults occur. The second segment relates to our estimate of losses incurred on nondelinquent loans within each loan pool. This estimate is based on losses we expect to realize over a 23 month loss confirmation period, which is based on our historical loss experience as well as consideration of the loss factors described in Note 3. | |||||||||||||||||||||||
The following table summarizes the balances for loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Principal balance | $ | 1,612,303 | $ | 1,762,165 | |||||||||||||||||||
Recorded investment | 1,627,228 | 1,779,161 | |||||||||||||||||||||
Related allowance | 22,695 | 24,762 | |||||||||||||||||||||
The following table summarizes the recorded investment and past due status of residential loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-59 Days | 60-89 Days | 90+ Days | Current | Total Loans | ||||||||||||||||||
Past Due | Past Due | Past Due | |||||||||||||||||||||
30-Jun-14 | $ | 25,639 | $ | 9,619 | $ | 74,393 | $ | 1,517,577 | $ | 1,627,228 | |||||||||||||
31-Dec-13 | 34,187 | 13,248 | 79,010 | 1,652,716 | 1,779,161 | ||||||||||||||||||
Residential Loans Individually Evaluated for Impairment | |||||||||||||||||||||||
As part of the loss mitigation efforts undertaken by servicers of residential loans owned at Sequoia securitization entities, a number of loan modifications have been completed to help make mortgage loans more affordable for qualifying borrowers and potentially reduce a future impairment. For the six months ended June 30, 2014 and 2013, all of the loan modifications determined to be TDRs were either: (i) conversions of a floating rate mortgage loan into a fixed rate mortgage loan; (ii) reductions in the contractual interest rates of a mortgage loan paired with capitalization of accrued interest; or (iii) principal forgiveness paired with interest rate reductions. | |||||||||||||||||||||||
The following table presents the details of the loan modifications determined to be TDRs for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(Dollars in Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
TDRs | |||||||||||||||||||||||
Number of modifications | 9 | 4 | 14 | 7 | |||||||||||||||||||
Pre-modification outstanding recorded investment | $ | 3,052 | $ | 1,031 | $ | 4,967 | $ | 1,795 | |||||||||||||||
Post-modification outstanding recorded investment | 3,272 | 1,145 | 5,165 | 1,941 | |||||||||||||||||||
Loan modification effect on net interest income after provision and other MVA | -812 | -140 | -1,221 | -309 | |||||||||||||||||||
TDRs that Subsequently Defaulted | |||||||||||||||||||||||
Number of modifications | 3 | 1 | 6 | 3 | |||||||||||||||||||
Recorded investment | $ | 1,574 | $ | 178 | $ | 2,493 | $ | 587 | |||||||||||||||
If we determine that a restructured loan is a TDR, we remove it from the general loan pools used for determining the allowance for residential loan losses and assess it for impairment on an individual basis. This assessment is based primarily on whether an adverse change in the expected future cash flows resulted from the restructuring. The average recorded investment of loans for the three months ended June 30, 2014 and 2013 was $13 million and $7 million, respectively. The average recorded investment of loans individually evaluated for impairment for the six months ended June 30, 2014 and 2013 was $11 million and $7 million, respectively. For the three months ended June 30, 2014 and 2013, we recorded interest income of $29 thousand and $10 thousand, respectively, on individually impaired loans. For the six months ended June 30, 2014 and 2013, we recorded interest income of $67 thousand and $21 thousand, respectively, on individually impaired loans. | |||||||||||||||||||||||
The following table summarizes the balances for loans individually evaluated for impairment, all of which had an allowance, at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Principal balance | $ | 13,587 | $ | 8,638 | |||||||||||||||||||
Recorded investment | 13,248 | 8,433 | |||||||||||||||||||||
Related allowance | 1,277 | 665 | |||||||||||||||||||||
The following table summarizes the recorded investment and past due status of residential loans individually evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-59 Days | 60-89 Days | 90+ Days | Current | Total Loans | ||||||||||||||||||
Past Due | Past Due | Past Due | |||||||||||||||||||||
30-Jun-14 | $ | 1,611 | $ | 1,319 | $ | 551 | $ | 9,767 | $ | 13,248 | |||||||||||||
31-Dec-13 | 1,560 | - | 567 | 6,306 | 8,433 | ||||||||||||||||||
Commercial Loans | ' | ||||||||||||||||||||||
Loans | ' | ||||||||||||||||||||||
Note 7. Commercial Loans | |||||||||||||||||||||||
We invest in commercial loans that we originate and service as well as loans that we acquire from third-party originators. The following table summarizes the classifications and carrying value of commercial loans at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Held-for-sale, at fair value | $ | 50,848 | $ | 89,111 | |||||||||||||||||||
Held-for-investment | |||||||||||||||||||||||
At fair value | 71,270 | - | |||||||||||||||||||||
At amortized cost | 346,648 | 343,344 | |||||||||||||||||||||
Total Commercial Loans | $ | 468,766 | $ | 432,455 | |||||||||||||||||||
Of the held-for-investment commercial loans shown above at June 30, 2014 and December 31, 2013, $255 million and $258 million, respectively, were financed through the Commercial Securitization entity, as discussed in Note 4. | |||||||||||||||||||||||
Commercial Loans Held-for-Sale | |||||||||||||||||||||||
Commercial loans held-for-sale include loans we originate and intend to sell to third parties. At June 30, 2014, there were seven commercial loans at fair value, with an aggregate outstanding principal balance of $49 million and an aggregate fair value of $51 million. During the three and six months ended June 30, 2014, we originated and funded senior commercial loans for $149 million and $237 million and recorded $6 million and $8 million of positive valuation adjustments on commercial loans held-for-sale through mortgage banking activities, net, a component of our consolidated income statement. At December 31, 2013, there were seven senior commercial loans at fair value, with an aggregate outstanding principal balance of $88 million and an aggregate fair value of $89 million. | |||||||||||||||||||||||
Commercial Loans Held-for-Investment | |||||||||||||||||||||||
Commercial Loans Held-for-Investment, at Fair Value | |||||||||||||||||||||||
Commercial loans held-for-investment at fair value include certain loans we hold for investment for which we have elected the fair value option. At June 30, 2014, there were three of these commercial loans, with an aggregate outstanding principal balance of $68 million and an aggregate fair value of $71 million. During the three months ended June 30, 2014, we did not originate any commercial loans held-for-investment at fair value and recorded $2 million of positive valuation adjustments on our existing portfolio. During the six months ended June 30, 2014, we originated and funded commercial loans for $31 million and recorded $3 million of positive valuation adjustments on commercial loans held-for-investment at fair value through mortgage banking activities, net, a component of our consolidated income statement. We did not have any commercial loans held-for-investment at fair value at December 31, 2013. | |||||||||||||||||||||||
Commercial Loans Held-for-Investment, at Amortized Cost | |||||||||||||||||||||||
Commercial loans held-for-investment at amortized cost include loans we originate and preferred equity investments we make or, in either case, acquire from third parties. Through June 30, 2014, these loans have typically been mezzanine loans that are secured by a borrower’s ownership interest in a single purpose entity that owns commercial property, rather than a lien on the commercial property. The preferred equity investments are typically preferred equity interests in a single purpose entity that owns commercial property and are included within, and referred to herein, as commercial loans held-for-investment due to the fact that their risks and payment characteristics are nearly equivalent to commercial mezzanine loans. | |||||||||||||||||||||||
The following table provides additional information for our commercial loans held-for-investment at amortized cost at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Principal balance | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Unamortized discount, net | -2,327 | -2,614 | |||||||||||||||||||||
Recorded investment | 354,965 | 350,717 | |||||||||||||||||||||
Allowance for loan losses | -8,317 | -7,373 | |||||||||||||||||||||
Carrying Value | $ | 346,648 | $ | 343,344 | |||||||||||||||||||
At June 30, 2014, there were 53 commercial loans held-for-investment at amortized cost with an outstanding principal balance of $357 million and a carrying value of $347 million. During the three and six months ended June 30, 2014, we originated or acquired $6 million and $8 million of commercial loans held-for-investment at amortized cost. Of the $355 million of recorded investment in commercial loans held-for-investment at June 30, 2014, 2% was originated in 2014, 18% was originated in 2013, 43% was originated in 2012, 33% was originated in 2011, and 4% was originated in 2010. | |||||||||||||||||||||||
At December 31, 2013, there were 50 commercial loans held-for-investment at amortized cost with an outstanding principal balance of $353 million and a carrying value of $343 million. Of the $351 million of recorded investment in commercial loans held-for-investment at December 31, 2013, 19% was originated in 2013, 43% was originated in 2012, 34% was originated in 2011, and 4% was originated in 2010. | |||||||||||||||||||||||
Allowance for Loan Losses on Commercial Loans | |||||||||||||||||||||||
For commercial loans classified as held-for-investment, we establish and maintain an allowance for loan losses. The allowance includes a component for loans collectively evaluated for impairment and a component for loans individually evaluated for impairment. | |||||||||||||||||||||||
Our methodology for assessing the adequacy of the allowance for loan losses includes a formal review of each commercial loan in the portfolio and the assignment of an internal impairment status. Based on the assigned impairment status, a loan is categorized as “Pass,” “Watch List,” or “Workout.” The following table presents the principal balance of commercial loans held-for-investment by risk category. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Pass | $ | 331,558 | $ | 309,792 | |||||||||||||||||||
Watch list | 25,734 | 43,539 | |||||||||||||||||||||
Workout | - | - | |||||||||||||||||||||
Total Commercial Loans Held-for-Investment | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Activity in the Allowance for Loan Losses on Commercial Loans | |||||||||||||||||||||||
The following table summarizes the activity in the allowance for commercial loan losses for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Balance at beginning of period | $ | 8,028 | $ | 4,769 | $ | 7,373 | $ | 4,084 | |||||||||||||||
Charge-offs, net | - | - | - | - | |||||||||||||||||||
Provision for loan losses | 289 | 891 | 944 | 1,576 | |||||||||||||||||||
Balance at End of Period | $ | 8,317 | $ | 5,660 | $ | 8,317 | $ | 5,660 | |||||||||||||||
Commercial Loans Collectively Evaluated for Impairment | |||||||||||||||||||||||
At June 30, 2014 and December 31, 2013, all of our commercial loans collectively evaluated for impairment were current. The following table summarizes the balances for loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||
Principal balance | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Recorded investment | 354,965 | 350,717 | |||||||||||||||||||||
Related allowance | 8,317 | 7,373 | |||||||||||||||||||||
Commercial Loans Individually Evaluated for Impairment | |||||||||||||||||||||||
We did not have any commercial loans individually evaluated for impairment at either June 30, 2014 or December 31, 2013. |
Real_Estate_Securities
Real Estate Securities | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Real Estate Securities | ' | ||||||||||||||||||||||||
Note 8. Real Estate Securities | |||||||||||||||||||||||||
We invest in mortgage-backed securities. The following table presents the fair values of our real estate securities by type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||||
Trading | $ | 173,281 | $ | 124,555 | |||||||||||||||||||||
Available-for-sale | 1,671,786 | 1,558,306 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,845,067 | $ | 1,682,861 | |||||||||||||||||||||
Our residential securities herein are presented in accordance with their general position within a securitization structure based on their rights to cash flows. Senior securities are those interests in a securitization that generally have the first right to cash flows and are last in line to absorb losses. Re-REMIC securities, as presented herein, were created through the resecuritization of certain senior interests to provide additional credit support to those interests. These re-REMIC securities are therefore subordinate to the remaining senior interest, but senior to any subordinate tranches of the securitization from which they were created. Subordinate securities are all interests below senior and re-REMIC interests. | |||||||||||||||||||||||||
Trading Securities | |||||||||||||||||||||||||
We elected the fair value option for certain securities and classify them as trading securities. At June 30, 2014, our trading securities included $105 million of interest-only securities, for which there is no principal balance, $62 million of senior securities and $6 million of residential subordinate securities. The unpaid principal balance of residential senior and subordinate securities classified as trading was $62 million and $15 million, respectively, at June 30, 2014. The following table presents trading securities by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 159,311 | $ | 110,505 | |||||||||||||||||||||
Non-prime | 8,380 | 9,070 | |||||||||||||||||||||||
Total Senior Securities | 167,691 | 119,575 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime | 5,590 | 4,980 | |||||||||||||||||||||||
Non-prime | - | - | |||||||||||||||||||||||
Total Subordinate Securities | 5,590 | 4,980 | |||||||||||||||||||||||
Total Trading Securities | $ | 173,281 | $ | 124,555 | |||||||||||||||||||||
AFS Securities | |||||||||||||||||||||||||
The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 711,710 | $ | 662,306 | |||||||||||||||||||||
Non-prime | 192,256 | 193,386 | |||||||||||||||||||||||
Total Senior Securities | 903,966 | 855,692 | |||||||||||||||||||||||
Re-REMIC Securities | 192,596 | 176,376 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime | 575,067 | 526,095 | |||||||||||||||||||||||
Non-prime | 157 | 143 | |||||||||||||||||||||||
Total Subordinate Securities | 575,224 | 526,238 | |||||||||||||||||||||||
Total AFS Securities | $ | 1,671,786 | $ | 1,558,306 | |||||||||||||||||||||
The senior securities shown above at June 30, 2014 and December 31, 2013, included $119 million and $131 million, respectively, of prime securities, and $127 million and $132 million, respectively, of non-prime securities that were financed through the Residential Resecuritization entity, as discussed in Note 4. | |||||||||||||||||||||||||
We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. | |||||||||||||||||||||||||
At June 30, 2014, there were $10 million of AFS residential securities with contractual maturities less than five years, $2 million of AFS residential securities with contractual maturities greater than five years but less than ten years, and the remainder of our real estate securities had contractual maturities greater than ten years. | |||||||||||||||||||||||||
The following table presents the components of carrying value (which equals fair value) of residential AFS securities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Carrying Value of Residential AFS Securities | |||||||||||||||||||||||||
30-Jun-14 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 710,620 | $ | 209,967 | $ | 223,389 | $ | 717,838 | $ | 1,861,814 | |||||||||||||||
Credit reserve | -5,476 | -9,697 | -17,788 | -50,315 | -83,276 | ||||||||||||||||||||
Unamortized discount, net | -37,763 | -36,387 | -89,089 | -141,054 | -304,293 | ||||||||||||||||||||
Amortized cost | 667,381 | 163,883 | 116,512 | 526,469 | 1,474,245 | ||||||||||||||||||||
Gross unrealized gains | 45,952 | 28,385 | 76,084 | 54,289 | 204,710 | ||||||||||||||||||||
Gross unrealized losses | -1,623 | -12 | - | -5,534 | -7,169 | ||||||||||||||||||||
Carrying Value | $ | 711,710 | $ | 192,256 | $ | 192,596 | $ | 575,224 | $ | 1,671,786 | |||||||||||||||
31-Dec-13 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 670,051 | $ | 218,603 | $ | 214,046 | $ | 706,292 | $ | 1,808,992 | |||||||||||||||
Credit reserve | -10,144 | -13,840 | -30,429 | -62,457 | -116,870 | ||||||||||||||||||||
Unamortized discount, net | -44,133 | -36,882 | -80,188 | -137,266 | -298,469 | ||||||||||||||||||||
Amortized cost | 615,774 | 167,881 | 103,429 | 506,569 | 1,393,653 | ||||||||||||||||||||
Gross unrealized gains | 47,980 | 25,654 | 72,947 | 41,205 | 187,786 | ||||||||||||||||||||
Gross unrealized losses | -1,448 | -149 | - | -21,536 | -23,133 | ||||||||||||||||||||
Carrying Value | $ | 662,306 | $ | 193,386 | $ | 176,376 | $ | 526,238 | $ | 1,558,306 | |||||||||||||||
The following table presents the changes for the three and six months ended June 30, 2014, in unamortized discount and designated credit reserves on residential AFS securities. | |||||||||||||||||||||||||
Changes in Unamortized Discount and Designated Credit Reserves on Residential AFS Securities | |||||||||||||||||||||||||
Three Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Credit | Unamortized | |||||||||||||||||||||||
Reserve | Discount, Net | ||||||||||||||||||||||||
Beginning balance | $ | 95,688 | $ | 303,733 | |||||||||||||||||||||
Amortization of net discount | - | -10,586 | |||||||||||||||||||||||
Realized credit losses | -3,973 | - | |||||||||||||||||||||||
Acquisitions | 257 | 3,246 | |||||||||||||||||||||||
Sales, calls, other | -476 | -584 | |||||||||||||||||||||||
Impairments | 264 | - | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | -8,484 | 8,484 | |||||||||||||||||||||||
Ending Balance | $ | 83,276 | $ | 304,293 | |||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Credit | Unamortized | |||||||||||||||||||||||
Reserve | Discount, Net | ||||||||||||||||||||||||
Beginning balance | $ | 116,870 | $ | 298,469 | |||||||||||||||||||||
Amortization of net discount | - | -21,884 | |||||||||||||||||||||||
Realized credit losses | -7,310 | - | |||||||||||||||||||||||
Acquisitions | 257 | 2,837 | |||||||||||||||||||||||
Sales, calls, other | -1,412 | -635 | |||||||||||||||||||||||
Impairments | 377 | - | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | -25,506 | 25,506 | |||||||||||||||||||||||
Ending Balance | $ | 83,276 | $ | 304,293 | |||||||||||||||||||||
Residential AFS Securities with Unrealized Losses | |||||||||||||||||||||||||
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | ||||||||||||||||||||||||
(In Thousands) | Amortized | Unrealized | Fair | Amortized | Unrealized | Fair | |||||||||||||||||||
Cost | Losses | Value | Cost | Losses | Value | ||||||||||||||||||||
30-Jun-14 | $ | 300,804 | $ | -2,691 | $ | 298,113 | $ | 122,012 | $ | -4,478 | $ | 117,534 | |||||||||||||
31-Dec-13 | 607,030 | -21,195 | 585,835 | 19,828 | -1,938 | 17,890 | |||||||||||||||||||
At June 30, 2014, after giving effect to purchases, sales, and extinguishments due to credit losses, our consolidated balance sheet included 306 AFS securities, of which 44 were in an unrealized loss position and 16 were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2013, our consolidated balance sheet included 303 AFS securities, of which 76 were in an unrealized loss position and five were in a continuous unrealized loss position for 12 consecutive months or longer. | |||||||||||||||||||||||||
Evaluating AFS Securities for Other-than-Temporary Impairments | |||||||||||||||||||||||||
Gross unrealized losses on our AFS securities were $7 million at June 30, 2014. We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At June 30, 2014, we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. | |||||||||||||||||||||||||
During the three months ended June 30, 2014, we determined that unrealized losses of $3 million related to our AFS securities were OTTI, of which $264 thousand was determined to be credit related and recorded in “Other market valuation adjustments” in our consolidated statements of income and $2.7 million was determined to be non-credit related and recorded through AOCI on our consolidated balance sheets. AFS securities on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the OTTI assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of the credit loss component of OTTI. | |||||||||||||||||||||||||
The table below summarizes the significant valuation assumptions we used for our OTTI AFS securities at June 30, 2014. | |||||||||||||||||||||||||
Significant Valuation Assumptions | |||||||||||||||||||||||||
Range for Securities | |||||||||||||||||||||||||
30-Jun-14 | Prime Securities | Non-prime | |||||||||||||||||||||||
Prepayment rates | 7 - 20 % | 10 - 10 % | |||||||||||||||||||||||
Loss severity | 20 - 53 % | 35 - 35 % | |||||||||||||||||||||||
Projected default rate | 1 - 20 % | 11 - 11 % | |||||||||||||||||||||||
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at June 30, 2014 and 2013, for which a portion of an OTTI was recognized in other comprehensive income. | |||||||||||||||||||||||||
Activity of the Credit Component of Other-than-Temporary Impairments | |||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
Balance at beginning of period | $ | 35,786 | $ | 45,611 | $ | 37,149 | $ | 50,852 | |||||||||||||||||
Additions | |||||||||||||||||||||||||
Initial credit impairments | 190 | - | 261 | - | |||||||||||||||||||||
Subsequent credit impairments | 28 | - | 70 | - | |||||||||||||||||||||
Reductions | |||||||||||||||||||||||||
Securities sold, or expected to sell | -904 | -2,191 | -904 | -2,191 | |||||||||||||||||||||
Securities with no outstanding principal at period end | -844 | -746 | -2,320 | -5,987 | |||||||||||||||||||||
Balance at End of Period | $ | 34,256 | $ | 42,674 | $ | 34,256 | $ | 42,674 | |||||||||||||||||
Gross Realized Gains and Losses on AFS Securities | |||||||||||||||||||||||||
Gains and losses from the sale of AFS securities are recorded as realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
Gross realized gains - sales | $ | 992 | $ | 193 | $ | 992 | $ | 12,231 | |||||||||||||||||
Gross realized gains - calls | - | 333 | 987 | 333 | |||||||||||||||||||||
Gross realized losses - sales | - | - | - | - | |||||||||||||||||||||
Gross realized losses - calls | - | - | - | - | |||||||||||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 992 | $ | 526 | $ | 1,979 | $ | 12,564 | |||||||||||||||||
Mortgage_Servicing_Rights
Mortgage Servicing Rights | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Mortgage Servicing Rights | ' | ||||||||||||||||
Note 9. Mortgage Servicing Rights | |||||||||||||||||
We invest in mortgage servicing rights and contract with a licensed sub-servicer to perform all servicing functions for loans associated with our MSRs. The following table presents activity for MSRs for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
MSR Activity | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Balance at beginning of period | $ | 64,971 | $ | 18,123 | $ | 64,824 | $ | 5,315 | |||||||||
Additions | 11,807 | 16,148 | 14,666 | 28,614 | |||||||||||||
Changes in fair value due to: | |||||||||||||||||
Changes in assumptions (1) | -3,553 | 9,506 | -4,678 | 10,312 | |||||||||||||
Other changes (2) | -2,000 | -679 | -3,587 | -1,143 | |||||||||||||
Balance at End of Period | $ | 71,225 | $ | 43,098 | $ | 71,225 | $ | 43,098 | |||||||||
-1 | Primarily reflects changes in prepayment assumptions due to changes in interest rates and discount rates. | ||||||||||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||||||||||
We make investments in MSRs through the retention of servicing rights associated with the residential mortgage loans that we have acquired and subsequently transfer to third parties or through the direct acquisition of MSRs sold by third parties. The following table details the retention and purchase of MSRs during the three and six months ended June 30, 2014. | |||||||||||||||||
MSR Additions | |||||||||||||||||
(In Thousands) | Three Months Ended | Six Months Ended | |||||||||||||||
30-Jun-14 | 30-Jun-14 | ||||||||||||||||
MSR Value | Associated | MSR Value | Associated | ||||||||||||||
Principal | Principal | ||||||||||||||||
Jumbo MSR additions: | |||||||||||||||||
From securitization | $ | 2,186 | $ | 257,201 | $ | 2,186 | $ | 257,201 | |||||||||
From loan Sales | - | - | 488 | 58,793 | |||||||||||||
Total jumbo MSR additions | 2,186 | 257,201 | 2,674 | 315,994 | |||||||||||||
Conforming MSR additions: | |||||||||||||||||
From loan sales | $ | 7,495 | $ | 725,339 | $ | 9,302 | $ | 880,437 | |||||||||
From purchases | 2,126 | 213,953 | 2,690 | 273,342 | |||||||||||||
Total conforming MSR additions | 9,621 | 939,292 | 11,992 | 1,153,779 | |||||||||||||
Total MSR additions | $ | 11,807 | $ | 1,196,493 | $ | 14,666 | $ | 1,469,773 | |||||||||
MSR Income | |||||||||||||||||
The following table presents the components of our MSR income. | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Servicing income, net: | |||||||||||||||||
Income | $ | 4,026 | $ | 1,943 | $ | 7,624 | $ | 2,793 | |||||||||
Late charges | 38 | 11 | 73 | 18 | |||||||||||||
Cost of sub-servicer | -288 | -234 | -603 | -412 | |||||||||||||
Net servicing income | 3,776 | 1,720 | 7,094 | 2,399 | |||||||||||||
Market valuation adjustments | -5,553 | 8,827 | -8,265 | 9,169 | |||||||||||||
Income from MSRs, Net | $ | -1,777 | $ | 10,547 | $ | -1,171 | $ | 11,568 | |||||||||
Derivative_Financial_Instrumen
Derivative Financial Instruments | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Derivative Financial Instruments | ' | ||||||||||||||||
Note 10. Derivative Financial Instruments | |||||||||||||||||
The following table presents the fair value and notional amount of derivative financial instruments held by us at June 30, 2014 and December 31, 2013. | |||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||
(In Thousands) | Fair | Notional | Fair | Notional | |||||||||||||
Value | Amount | Value | Amount | ||||||||||||||
Assets - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | $ | 4 | $ | 4,000 | $ | 5,972 | $ | 268,000 | |||||||||
TBAs | 3,294 | 498,000 | 1,138 | 241,000 | |||||||||||||
Swaptions | 1,921 | 265,000 | 596 | 340,000 | |||||||||||||
CMBX | 588 | 25,000 | - | - | |||||||||||||
Assets - Other Derivatives | |||||||||||||||||
Loan purchase commitments | 1,707 | 329,914 | - | 360 | |||||||||||||
Loan forward sale commitments | - | - | 81 | 10,000 | |||||||||||||
Total Assets | $ | 7,514 | $ | 1,121,914 | $ | 7,787 | $ | 859,360 | |||||||||
Liabilities - Cash Flow Hedges | |||||||||||||||||
Interest rate swaps | $ | -30,719 | $ | 139,500 | $ | -16,519 | $ | 139,500 | |||||||||
Liabilities - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | -1,918 | 291,500 | -80 | 50,500 | |||||||||||||
TBAs | -5,540 | 751,500 | -661 | 235,000 | |||||||||||||
Futures | -494 | 126,000 | -528 | 162,000 | |||||||||||||
Liabilities - Other Derivatives | |||||||||||||||||
Loan purchase commitments | -45 | 49,565 | -379 | 42,562 | |||||||||||||
Loan forward sale commitments | -1,121 | 245,905 | - | - | |||||||||||||
Total Liabilities | $ | -39,837 | $ | 1,603,970 | $ | -18,167 | $ | 629,562 | |||||||||
Total Derivative Financial Instruments, Net | $ | -32,323 | $ | 2,725,884 | $ | -10,380 | $ | 1,488,922 | |||||||||
Risk Management Derivatives | |||||||||||||||||
To offset, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheet, we may enter into derivative contracts. In order to manage certain risks associated with residential loans, residential securities, and commercial loans we own or plan to acquire, at June 30, 2014, we were party to swaps and swaptions with an aggregate notional amount of $560 million, TBA contracts sold with an aggregate notional amount of $1.3 billion and financial futures contracts with an aggregate notional amount of $126 million. Net market valuation adjustments on risk management derivatives were negative $25 million and positive $51 million for the six months ended June 30, 2014 and 2013, respectively. | |||||||||||||||||
Loan Purchase and Forward Sale Commitments | |||||||||||||||||
LPCs and FSCs that qualify as derivatives are recorded at their estimated fair values. Net valuation adjustments on LPCs and FSCs were positive $4 million for the three and six months ended June 30, 2014, respectively, and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||
Derivatives Designated as Cash Flow Hedges | |||||||||||||||||
To hedge the variability in interest expense related to our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million. | |||||||||||||||||
For the three months ended June 30, 2014 and 2013, designated cash flow hedges decreased in value by $5 million and increased in value by $14 million, respectively, which was recorded in accumulated other comprehensive income, a component of equity. For the six months ended June 30, 2014 and 2013, these cash flow hedges decreased in value by $14 million and increased in value by $21 million, respectively. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in accumulated other comprehensive income was $30 million and $16 million at June 30, 2014 and December 31, 2013, respectively. For both of the three months ended June 30, 2014 and 2013, we reclassified less than $100 thousand of unrealized losses on derivatives to interest expense. For the six months ended June 30, 2014 and 2013, we reclassified $99 thousand and $157 thousand, respectively, of unrealized losses on derivatives to interest expense. Accumulated other comprehensive loss of less than $1 million will be amortized into interest expense, a component of our consolidated income statements, over the remaining life of the hedge liabilities. | |||||||||||||||||
The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Net interest expense on cash flow interest rate agreements | $ | -1,490 | $ | -1,470 | $ | -2,978 | $ | -2,934 | |||||||||
Realized income (expense) due to ineffective portion of hedges | - | - | - | - | |||||||||||||
Realized net losses reclassified from other comprehensive income | -39 | -69 | -99 | -157 | |||||||||||||
Total Interest Expense | $ | -1,529 | $ | -1,539 | $ | -3,077 | $ | -3,091 | |||||||||
Derivative Counterparty Credit Risk | |||||||||||||||||
We incur credit risk to the extent that counterparties to our derivative financial instruments do not perform their obligations under specified contractual agreements. If a derivative counterparty does not perform, we may not receive the proceeds to which we may be entitled under these agreements. Each of our derivative counterparties that is not a clearinghouse must maintain compliance with International Swaps and Derivatives Association (“ISDA”) agreements or other similar agreements (or receive a waiver of non-compliance after a specific assessment) in order to conduct derivative transactions with us. Additionally, we review non-clearinghouse derivative counterparty credit standings, and in the case of a deterioration of creditworthiness, appropriate remedial action is taken. To further mitigate counterparty risk, we exit derivatives contracts with counterparties that (i) do not maintain compliance with (or obtain a waiver from) the terms of their ISDA or other agreements with us; or (ii) do not meet internally established guidelines regarding creditworthiness. Our ISDA and similar agreements currently require full bilateral collateralization of unrealized loss exposures with our derivative counterparties. Through a margin posting process, our positions are revalued with counterparties each business day and cash margin is generally transferred to either us or our derivative counterparties as collateral based upon the directional changes in fair value of the positions. We also attempt to transact with several different counterparties in order to reduce our specific counterparty exposure. With respect to certain of our derivatives, clearing and settlement is through one or more clearinghouses, which may be substituted as a counterparty. Clearing and settlement of derivative transactions through a clearinghouse is also intended to reduce specific counterparty exposure. We consider counterparty risk as part of our fair value assessments of all derivative financial instruments. | |||||||||||||||||
At June 30, 2014, we were in compliance with ISDA and similar agreements governing our open derivative positions. We assessed the risk associated with these counterparties as remote and did not record a specific valuation adjustment. |
Other_Assets_and_Liabilities
Other Assets and Liabilities | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Other Assets and Liabilities | ' | ||||||||
Note 11. Other Assets and Liabilities | |||||||||
Other assets at June 30, 2014 and December 31, 2013, are summarized in the following table. | |||||||||
Other Assets | |||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||
Margin receivable | $ | 58,455 | $ | 31,149 | |||||
Investment receivable | 3,142 | 8,923 | |||||||
Other pledged collateral | 5,000 | 5,000 | |||||||
REO | 3,323 | 3,661 | |||||||
Prepaid expenses | 1,576 | 1,850 | |||||||
Fixed assets and leasehold improvements | 1,754 | 1,232 | |||||||
Income tax receivables | 2,902 | 170 | |||||||
Other | 1,612 | 1,655 | |||||||
Total Other Assets | $ | 77,764 | $ | 53,640 | |||||
Margin receivable resulted from margin calls from our swap, master repurchase agreements, and warehouse facilities counterparties that required us to post collateral. | |||||||||
The carrying value of REO at June 30, 2014, was $3 million, which includes the net effect of $2 million related to transfers into REO during the first six months of 2014, offset by $2 million of REO liquidations. At June 30, 2014 and December 31, 2013, there were 20 REO properties recorded on our consolidated balance sheets, all of which were owned at consolidated Sequoia entities. | |||||||||
Accrued Expenses and Other Liabilities | |||||||||
Accrued expenses and other liabilities at June 30, 2014 and December 31, 2013 are summarized in the following table. | |||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||
Accrued compensation | $ | 9,830 | $ | 22,160 | |||||
Legal reserve | 12,000 | 12,000 | |||||||
Derivative margin payable | 2,063 | 4,700 | |||||||
Accrued operating expenses | 3,913 | 4,291 | |||||||
Residential repurchase reserve | 2,477 | 1,771 | |||||||
Income tax payable | 1,160 | 1,337 | |||||||
Unsettled trades | 4,420 | - | |||||||
Other | 6,360 | 2,445 | |||||||
Total Other Liabilities | $ | 42,223 | $ | 48,704 | |||||
See Note 15 for additional information on the legal and residential repurchase reserves. |
ShortTerm_Debt
Short-Term Debt | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Short-Term Debt | ' | ||||||||||||||||||||||||
Note 12. Short-Term Debt | |||||||||||||||||||||||||
We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At June 30, 2014, we had outstanding agreements with 15 counterparties and we were in compliance with all of the related covenants. Further information about these financial covenants is set forth in Part I, Item 2 – Management’s Discussion and Analysis of Financial Condition and Results of Operations of this Quarterly Report on Form 10-Q. | |||||||||||||||||||||||||
The table below summarizes the facilities that are available to us and the balances of short-term debt at June 30, 2014 and December 31, 2013 by the type of collateral securing the debt. | |||||||||||||||||||||||||
30-Jun-14 | |||||||||||||||||||||||||
(Dollars in Thousands) | Number of | Outstanding | Limit | Maturity | |||||||||||||||||||||
Facilities | |||||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loans | 5 | $ | 852,267 | $ | 1,400,000 | 7/2014-4/2015 | |||||||||||||||||||
Commercial loans | 1 | 12,413 | 100,000 | Apr-15 | |||||||||||||||||||||
Real estate securities | 9 | 853,750 | - | 7/2014-9/2014 | |||||||||||||||||||||
Total | 15 | $ | 1,718,430 | ||||||||||||||||||||||
31-Dec-13 | |||||||||||||||||||||||||
(Dollars in Thousands) | Number of | Outstanding | Limit | Maturity | |||||||||||||||||||||
Facilities | |||||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loans | 5 | $ | 184,789 | $ | 1,400,000 | 1/2014 - 12/2014 | |||||||||||||||||||
Commercial loans | 1 | - | 100,000 | Apr-14 | |||||||||||||||||||||
Real estate securities | 7 | 677,974 | - | 1/2014 - 2/2014 | |||||||||||||||||||||
Total | 13 | $ | 862,763 | ||||||||||||||||||||||
Borrowings under these facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At June 30, 2014, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. The fair value of residential loans, commercial loans, and real estate securities pledged as collateral was $954 million, $17 million, and $1.03 billion, respectively, at June 30, 2014. For the three and six months ended June 30, 2014, the average balance of short-term debt was $1.3 billion and $1.2 billion, respectively. At June 30, 2014 and December 31, 2013, accrued interest payable on short-term debt was $1.4 million and less than $1 million, respectively. | |||||||||||||||||||||||||
We also maintain a $10 million committed line of credit with one financial institution, which is secured by our pledge of certain mortgage-backed securities we own. At both June 30, 2014 and December 31, 2013, we had no outstanding borrowings on this facility. | |||||||||||||||||||||||||
Characteristics of Short-Term Debt | |||||||||||||||||||||||||
The table below summarizes short-term debt by weighted average interest rates and by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||
(Dollars in Thousands) | Amount | Weighted | Weighted | Amount | Weighted | Weighted | |||||||||||||||||||
Borrowed | Average | Average | Borrowed | Average | Average | ||||||||||||||||||||
Interest | Days Until | Interest | Days Until | ||||||||||||||||||||||
Rate | Maturity | Rate | Maturity | ||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loan collateral | $ | 852,267 | 1.72% | 138 | $ | 184,789 | 1.71% | 228 | |||||||||||||||||
Commercial loan collateral | 12,413 | 2.40% | 300 | - | - | - | |||||||||||||||||||
Real estate securities collateral | 853,750 | 1.31% | 16 | 677,974 | 1.34% | 15 | |||||||||||||||||||
Total Short-Term Debt | $ | 1,718,430 | 1.52% | 78 | $ | 862,763 | 1.42% | 61 | |||||||||||||||||
Remaining Maturities of Short-Term Debt | |||||||||||||||||||||||||
The following table presents the remaining maturities of short-term debt at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||||||||||
Within 30 days | $ | 1,069,160 | $ | 659,262 | |||||||||||||||||||||
31 to 90 days | 186,227 | 54,434 | |||||||||||||||||||||||
Over 90 days | 463,043 | 149,067 | |||||||||||||||||||||||
Total Short-Term Debt | $ | 1,718,430 | $ | 862,763 | |||||||||||||||||||||
AssetBacked_Securities_Issued
Asset-Backed Securities Issued | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Asset-Backed Securities Issued | ' | ||||||||||||||||
Note 13. Asset-Backed Securities Issued | |||||||||||||||||
Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia entities. ABS were also issued by securitization entities in the Residential Resecuritization and the Commercial Securitization. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities. | |||||||||||||||||
As a general matter, ABS have been issued by these securitization entities to fund the acquisition of assets from us or from third parties. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly or quarterly basis. Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. Some ABS issued pay fixed rates of interest or pay hybrid rates, which are fixed rates that subsequently adjust to variable rates. ABS issued also includes some interest-only classes with coupons set at a fixed rate or a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity. | |||||||||||||||||
The carrying values of ABS issued by consolidated securitization entities we sponsored at June 30, 2014 and December 31, 2013, along with other selected information, are summarized in the following table. | |||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||
30-Jun-14 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Certificates with principal balance | $ | 1,565,943 | $ | 69,709 | $ | 144,700 | $ | 1,780,352 | |||||||||
Interest-only certificates | 2,605 | - | - | 2,605 | |||||||||||||
Unamortized discount | -14,879 | - | - | -14,879 | |||||||||||||
Total ABS Issued | $ | 1,553,669 | $ | 69,709 | $ | 144,700 | $ | 1,768,078 | |||||||||
Range of weighted average interest rates, by series | 0.11% to 4.25% | 2.21% | 5.62% | ||||||||||||||
Stated maturities | 2014 -2047 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
31-Dec-13 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Certificates with principal balance | $ | 1,708,324 | $ | 94,934 | $ | 153,693 | $ | 1,956,951 | |||||||||
Interest-only certificates | 3,400 | - | - | 3,400 | |||||||||||||
Unamortized discount | -17,389 | - | - | -17,389 | |||||||||||||
Total ABS Issued | $ | 1,694,335 | $ | 94,934 | $ | 153,693 | $ | 1,942,962 | |||||||||
Range of weighted average interest rates, by series | 0.24% to 4.23% | 2.21% | 5.62% | ||||||||||||||
Stated maturities | 2014 - 2047 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its contractual maturity. At June 30, 2014, $1.75 billion of ABS issued ($1.76 billion principal balance) had contractual maturities beyond five years and $19 million of ABS issued ($19 million principal balance) had contractual maturities of less than one year. Amortization of Sequoia, Commercial Securitization, and Residential Resecuritization deferred ABS issuance costs was $1 million and $2 million for the six months ended June 30, 2014 and 2013, respectively. The following table summarizes the accrued interest payable on ABS issued at June 30, 2014 and December 31, 2013. Interest due on consolidated ABS issued is payable monthly. | |||||||||||||||||
Accrued Interest Payable on Asset-Backed Securities Issued | |||||||||||||||||
(In Thousands) | 30-Jun-14 | 31-Dec-13 | |||||||||||||||
Sequoia | $ | 1,078 | $ | 1,218 | |||||||||||||
Residential Resecuritization | 17 | 11 | |||||||||||||||
Commercial Securitization | 678 | 720 | |||||||||||||||
Total Accrued Interest Payable on ABS Issued | $ | 1,773 | $ | 1,949 | |||||||||||||
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2014 and December 31, 2013. | |||||||||||||||||
Collateral for Asset-Backed Securities Issued | |||||||||||||||||
30-Jun-14 | |||||||||||||||||
(In Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Residential loans | $ | 1,616,504 | $ | - | $ | - | $ | 1,616,504 | |||||||||
Commercial loans | - | - | 254,615 | 254,615 | |||||||||||||
Real estate securities | - | 245,853 | - | 245,853 | |||||||||||||
Restricted cash | 145 | - | 138 | 283 | |||||||||||||
Accrued interest receivable | 2,391 | 549 | 1,826 | 4,766 | |||||||||||||
REO | 3,323 | - | - | 3,323 | |||||||||||||
Total Collateral for ABS Issued | $ | 1,622,363 | $ | 246,402 | $ | 256,579 | $ | 2,125,344 | |||||||||
31-Dec-13 | |||||||||||||||||
(In Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Residential loans | $ | 1,762,167 | $ | - | $ | - | $ | 1,762,167 | |||||||||
Commercial loans | - | - | 257,741 | 257,741 | |||||||||||||
Real estate securities | - | 263,204 | - | 263,204 | |||||||||||||
Restricted cash | 152 | - | 137 | 289 | |||||||||||||
Accrued interest receivable | 2,714 | 627 | 1,975 | 5,316 | |||||||||||||
REO | 3,661 | - | - | 3,661 | |||||||||||||
Total Collateral for ABS Issued | $ | 1,768,694 | $ | 263,831 | $ | 259,853 | $ | 2,292,378 | |||||||||
LongTerm_Debt
Long-Term Debt | 6 Months Ended |
Jun. 30, 2014 | |
Long-Term Debt | ' |
Note 14. Long-Term Debt | |
Commercial Borrowings | |
At June 30, 2014, we had one commercial loan repurchase facility with an outstanding balance of $53 million and a total borrowing limit of $150 million, with a remaining maturity of 15 months. Borrowings under this facility are generally charged interest based on a specified margin over the one-month LIBOR interest rate. For both the three and six months ended June 30, 2014, the average balance of this commercial borrowing was $51 million. The fair value of commercial loans pledged as collateral was $85 million at June 30, 2014. The interest expense yield on this borrowing was 5.45% for the six months ended June 30, 2014. At December 31, 2013, there was an outstanding balance of $49 million on this warehouse facility. | |
At June 30, 2014, we were in compliance with all of the covenants related to our commercial loan repurchase facility. | |
Commercial Secured Borrowing | |
At June 30, 2014, we had commercial secured borrowings of $67 million resulting from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under GAAP and were accounted for as financings. We bifurcated certain of our senior commercial mortgage loans into a senior portion that was sold to a third party and a junior portion that we retained as an investment. Although GAAP requires us to record a secured borrowing liability when we receive cash from selling the senior portion of the loan, the liability has no economic substance to us in that it does not require periodic interest payments and has no maturity. For each commercial secured borrowing, at such time that the associated senior portion of the loan is repaid or we sell our retained junior portion, the secured borrowing liability and associated senior portion of the loan would be derecognized from our balance sheet. | |
Convertible Notes | |
In March 2013, we issued $287.5 million principal amount of 4.625% convertible senior notes due 2018. These convertible notes require semi-annual interest distributions at a fixed coupon rate of 4.625% until maturity or conversion, which will be no later than April 15, 2018. Including amortization of deferred securities issuance costs, the interest expense yield on our convertible notes was 5.44% and 5.42% for the three and six months ended June 30, 2014, respectively. At June 30, 2014, the accrued interest payable balance on this debt was $3 million. | |
At June 30, 2014, our convertible senior notes were convertible at the option of the holder at a conversion rate of 41.1320 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $24.31 per common share). Upon conversion of these convertible senior notes by a holder, the holder will receive shares of our common stock. | |
Trust Preferred Securities and Subordinated Notes | |
At June 30, 2014, we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million, respectively. The interest expense yield on both our trust preferred securities and subordinated notes was 2.55% and 2.65% for the six months ended June 30, 2014 and 2013, respectively. Including hedging costs and amortization of deferred securities issuance costs, the interest expense yield on both our trust preferred securities and subordinated notes was 6.87% and 6.89% for the six months ended June 30, 2014 and 2013, respectively. | |
At both June 30, 2014 and December 31, 2013, the accrued interest payable balance on our trust preferred securities and subordinated notes was less than $1 million. Under the terms of this long-term debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this long-term debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this long-term debt. |
Commitments_and_Contingencies
Commitments and Contingencies | 6 Months Ended | ||||
Jun. 30, 2014 | |||||
Commitments and Contingencies | ' | ||||
Note 15. Commitments and Contingencies | |||||
Lease Commitments | |||||
At June 30, 2014, we were obligated under seven non-cancelable operating leases with expiration dates through 2021 for $14 million. Operating lease expense was $1 million and less than $1 million for the six months ended June 30, 2014 and 2013, respectively. | |||||
The following table presents our future lease commitments at June 30, 2014. | |||||
Future Lease Commitments by Year | |||||
(In Thousands) | 30-Jun-14 | ||||
2014 (6 months) | $ | 1,470 | |||
2015 | 2,997 | ||||
2016 | 2,766 | ||||
2017 | 2,811 | ||||
2018 | 1,756 | ||||
2019 and thereafter | 2,611 | ||||
Total | $ | 14,411 | |||
Loss Contingencies — Residential Repurchase Reserve | |||||
We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to the residential loans we have sold to securitization trusts or third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. | |||||
At June 30, 2014, our repurchase reserve associated with our residential loans was $2.5 million. This liability is recorded in accrued expenses and other liabilities in our consolidated balance sheets and the provision for repurchase losses is included in mortgage banking activities, net in our consolidated statements of income. We did not receive any repurchase requests for either of the six months ended June, 2014 and 2013, and we did not repurchase any loans during those periods. | |||||
Loss Contingencies — Litigation | |||||
On or about December 23, 2009, the Federal Home Loan Bank of Seattle (the “FHLB-Seattle”) filed a complaint in the Superior Court for the State of Washington (case number 09-2-46348-4 SEA) against Redwood Trust, Inc., our subsidiary, Sequoia Residential Funding, Inc. (“SRF”), Morgan Stanley & Co., and Morgan Stanley Capital I, Inc. (collectively, the “FHLB-Seattle Defendants”) alleging that the FHLB-Seattle Defendants made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Seattle Certificate”) issued in the Sequoia Mortgage Trust 2005-4 securitization transaction (the “2005-4 RMBS”) and purchased by the FHLB-Seattle. Specifically, the complaint alleges that the alleged misstatements concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Seattle Certificate. The FHLB-Seattle alleges claims under the Securities Act of Washington (Section 21.20.005, et seq.) and seeks to rescind the purchase of the Seattle Certificate and to collect interest on the original purchase price at the statutory interest rate of 8% per annum from the date of original purchase (net of interest received) as well as attorneys’ fees and costs. The Seattle Certificate was issued with an original principal amount of approximately $133 million, and, as of June 30, 2014, the FHLB-Seattle has received approximately $115.3 million of principal and $11.0 million of interest payments in respect of the Seattle Certificate. The claims were subsequently dismissed for lack of personal jurisdiction as to Redwood Trust and SRF. Redwood agreed to indemnify the underwriters of the 2005-4 RMBS for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. The FHLB-Seattle’s claims against the underwriters of this RMBS were not dismissed and remain pending. Regardless of the outcome of this litigation, Redwood could incur a loss as a result of these indemnities. | |||||
On or about July 15, 2010, The Charles Schwab Corporation (“Schwab”) filed a complaint in the Superior Court for the State of California in San Francisco (case number CGC-10-501610) against SRF and 26 other defendants (collectively, the “Schwab Defendants”) alleging that the Schwab Defendants made false or misleading statements in offering materials for various residential mortgage-backed securities sold or issued by the Schwab Defendants. With respect to SRF, Schwab alleges that SRF made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Schwab Certificate”) issued in the 2005-4 RMBS and purchased by Schwab. Specifically, the complaint alleges that the misstatements for the 2005-4 RMBS concern the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2005-4 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, and (4) ratings assigned to the Schwab Certificate. Schwab alleges a claim for negligent misrepresentation under California state law and seeks unspecified damages and attorneys’ fees and costs. The Schwab Certificate was issued with an original principal amount of approximately $14.8 million, and, as of June 30, 2014, Schwab has received approximately $12.8 million of principal and $1.3 million of interest payments in respect of the Schwab Certificate. SRF has denied Schwab’s allegations. This case is in discovery, and no trial date has been set. We intend to defend the action vigorously. Redwood agreed to indemnify the underwriters of the 2005-4 RMBS, which underwriters were also named as defendants in this action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, Redwood could incur a loss as a result of these indemnities. | |||||
On or about October 15, 2010, the Federal Home Loan Bank of Chicago (“FHLB-Chicago”) filed a complaint in the Circuit Court of Cook County, Illinois (case number 10-CH-45033) against SRF and more than 45 other named defendants (collectively, the “FHLB-Chicago Defendants”) alleging that the FHLB-Chicago Defendants made false or misleading statements in offering materials for various RMBS sold or issued by the FHLB-Chicago Defendants or entities controlled by them. FHLB-Chicago subsequently amended the complaint to name Redwood Trust, Inc. and another one of our subsidiaries, RWT Holdings, Inc., as defendants. With respect to Redwood Trust, Inc., RWT Holdings, Inc., and SRF, the FHLB-Chicago alleges that SRF, Redwood Trust, Inc., and RWT Holdings, Inc. made false or misleading statements in the offering materials for two mortgage pass-through certificates (the “Chicago Certificates”) issued in the Sequoia Mortgage Trust 2006-1 securitization transaction (the “2006-1 RMBS”) and purchased by the FHLB-Chicago. The complaint alleges that the alleged misstatements concern, among other things, the (1) loan-to-value ratio of mortgage loans and the appraisals of the properties that secured loans supporting the 2006-1 RMBS, (2) occupancy status of the properties, (3) standards used to underwrite the loans, (4) ratings assigned to the Chicago Certificates, and (5) due diligence performed on these mortgage loans. The FHLB-Chicago alleges claims under Illinois Securities Law (815 ILCS Sections 5/12(F)-(H)) and North Carolina Securities Law (N.C.G.S.A. §78A-8(2) & §78A-56(a)) as well as a claim for negligent misrepresentation under Illinois common law. On some of the causes of action, the FHLB-Chicago seeks to rescind the purchase of the Chicago Certificates and to collect interest on the original purchase prices at the statutory interest rate of 10% per annum from the dates of original purchase (net of interest received). On one cause of action, the FHLB-Chicago seeks unspecified damages. The FHLB-Chicago also seeks attorneys’ fees and costs. The first of the Chicago Certificates was issued with an original principal amount of approximately $105 million and, as of June 30, 2014, the FHLB Chicago has received approximately $73.6 million of principal and $24.6 million of interest payments in respect of this Chicago Certificate. The second of the Chicago Certificates was issued with an original principal amount of approximately $379 million and, as of June 30, 2014, the FHLB Chicago has received approximately $263.7 million of principal and $83.0 million of interest payments in respect of this Chicago Certificate. SRF, Redwood Trust, Inc., and RWT Holdings, Inc. have denied FHLB-Chicago’s allegations. This case is in discovery, and no trial date has been set. Redwood agreed to indemnify the underwriters of the 2006-1 RMBS, which underwriters were also named as defendants in this action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the outcome of this litigation, Redwood could incur a loss as a result of these indemnities. | |||||
In accordance with GAAP, we review the need for any loss contingency reserves and establish reserves when, in the opinion of management, it is probable that a matter would result in a liability and the amount of loss, if any, can be reasonably estimated. Additionally, we record receivables for insurance recoveries relating to litigation-related losses and expenses if and when such amounts are covered by insurance and recovery of such losses or expenses are due. At June 30, 2014, the aggregate amount of loss contingency reserves established in respect of the three above-referenced litigation matters was $12 million. We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. | |||||
In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. | |||||
Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity
Equity | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Equity | ' | ||||||||||||||||
Note 16. Equity | |||||||||||||||||
The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | |||||||||||||||||
Three Months Ended June 30, 2014 | Three Months Ended June 30, 2013 | ||||||||||||||||
(In Thousands) | Net unrealized gains on | Net unrealized losses | Net unrealized gains on | Net unrealized losses | |||||||||||||
available-for-sale | on interest rate | available-for-sale | on interest rate | ||||||||||||||
securities | agreements accounted | securities | agreements accounted | ||||||||||||||
for as cash flow hedges | for as cash flow hedges | ||||||||||||||||
Balance at beginning of period | $ | 185,275 | $ | -24,623 | $ | 183,603 | $ | -40,720 | |||||||||
Other comprehensive income (loss) before reclassifications | 12,721 | -5,401 | -38,012 | 13,585 | |||||||||||||
Amounts reclassified from other accumulated comprehensive income | -454 | 39 | -242 | 69 | |||||||||||||
Net current-period other comprehensive (loss) income | 12,267 | -5,362 | -38,254 | 13,654 | |||||||||||||
Balance at End of Period | $ | 197,542 | $ | -29,985 | $ | 145,349 | $ | -27,066 | |||||||||
Six Months Ended June 30, 2014 | Six Months Ended June 30, 2013 | ||||||||||||||||
(In Thousands) | Net unrealized gains on | Net unrealized losses | Net unrealized gains on | Net unrealized losses | |||||||||||||
available-for-sale | on interest rate | available-for-sale | on interest rate | ||||||||||||||
securities | agreements accounted | securities | agreements accounted | ||||||||||||||
for as cash flow hedges | for as cash flow hedges | ||||||||||||||||
Balance at beginning of period | $ | 164,654 | $ | -15,888 | $ | 186,580 | $ | -48,248 | |||||||||
Other comprehensive income (loss) before reclassifications | 33,229 | -14,196 | -28,982 | 21,025 | |||||||||||||
Amounts reclassified from other accumulated comprehensive income | -341 | 99 | -12,249 | 157 | |||||||||||||
Net current-period other comprehensive (loss) income | 32,888 | -14,097 | -41,231 | 21,182 | |||||||||||||
Balance at End of Period | $ | 197,542 | $ | -29,985 | $ | 145,349 | $ | -27,066 | |||||||||
The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Reclassifications Out of Accumulated Other Comprehensive Income | |||||||||||||||||
Affected Line Item in the | Amount reclassified from accumulated other | ||||||||||||||||
Income Statement | comprehensive income | ||||||||||||||||
Three Months Ended June 30, | |||||||||||||||||
(In Thousands) | 2014 | 2013 | |||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | 264 | $ | -133 | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | -718 | -109 | ||||||||||||||
$ | -454 | $ | -242 | ||||||||||||||
Net realized gains on interest rate agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 39 | $ | 69 | ||||||||||||
$ | 39 | $ | 69 | ||||||||||||||
Affected Line Item in the | Amount reclassified from accumulated other | ||||||||||||||||
Income Statement | comprehensive income | ||||||||||||||||
Six Months Ended June 30, | |||||||||||||||||
(In Thousands) | 2014 | 2013 | |||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | 377 | $ | -124 | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | -718 | -12,125 | ||||||||||||||
$ | -341 | $ | -12,249 | ||||||||||||||
Net realized gains on interest rate agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 99 | $ | 157 | ||||||||||||
$ | 99 | $ | 157 | ||||||||||||||
Earnings Per Common Share | |||||||||||||||||
The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Basic and Diluted Earnings Per Common Share | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands, Except Share Data) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Basic Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 16,017 | $ | 65,573 | $ | 28,350 | $ | 126,183 | |||||||||
Less: Dividends and undistributed earnings allocated to participating securities | -537 | -1,830 | -1,239 | -3,819 | |||||||||||||
Net income allocated to common shareholders | $ | 15,480 | $ | 63,743 | $ | 27,111 | $ | 122,364 | |||||||||
Basic weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 | |||||||||||||
Basic Earnings Per Common Share | $ | 0.19 | $ | 0.78 | $ | 0.33 | $ | 1.5 | |||||||||
Diluted Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 16,017 | $ | 65,573 | $ | 28,350 | $ | 126,183 | |||||||||
Less: Dividends and undistributed earnings allocated to participating securities | -537 | -1,175 | -1,239 | -2,527 | |||||||||||||
Add back: Interest expense on convertible notes | - | 3,856 | - | 4,933 | |||||||||||||
Net income allocated to common shareholders | $ | 15,480 | $ | 68,254 | $ | 27,111 | $ | 128,589 | |||||||||
Weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 | |||||||||||||
Net effect of dilutive equity awards | 2,292,986 | 2,222,440 | 2,418,685 | 2,274,311 | |||||||||||||
Net effect of assumed convertible notes conversion to common shares | - | 11,825,450 | - | 7,644,075 | |||||||||||||
Diluted weighted average common shares outstanding | 85,032,998 | 96,171,713 | 84,994,321 | 91,647,400 | |||||||||||||
Diluted Earnings Per Common Share | $ | 0.18 | $ | 0.71 | $ | 0.32 | $ | 1.4 | |||||||||
For the three and six months ended June 30, 2014, there were 2,292,986 and 2,418,685 of dilutive equity awards, respectively, determined under the two-class method. For the three and six months ended June 30, 2013, there were 2,222,440 and 2,274,311 of dilutive equity awards, respectively, determined under the two-class method. We included participating securities in the calculation of diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. For the three and six months ended June 30, 2013, common shares related to the assumed conversion of the convertible notes, totaling 11,825,450 and 7,644,075, respectively, were included in the calculation of diluted earnings per share. | |||||||||||||||||
For the three and six months ended June 30, 2014, 11,825,450 common shares related to the assumed conversion of the convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three months ended June 30, 2014 and 2013, the number of outstanding equity awards that were antidilutive totaled 61,580 and 255,529 respectively, under the two-class method. For the six months ended June 30, 2014 and 2013, the number of outstanding equity awards that were antidilutive totaled 70,508 and 271,392 respectively, under the two-class method. There were no other participating securities during these periods. | |||||||||||||||||
Stock Repurchases | |||||||||||||||||
We announced a stock repurchase authorization in November 2007 for the repurchase of up to 5,000,000 common shares. This plan replaced all previous share repurchase plans and has no expiration date. During the six months ended June 30, 2014, there were no shares acquired under the plan. At June 30, 2014, there remained 4,005,985 shares available for repurchase under this plan. |
Equity_Compensation_Plans
Equity Compensation Plans | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Equity Compensation Plans | ' | ||||||||||||||||||||||||
Note 17. Equity Compensation Plans | |||||||||||||||||||||||||
At June 30, 2014 and December 31, 2013, 2,608,264 and 1,683,956 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $17 million at June 30, 2014, as shown in the following table. | |||||||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Stock | Restricted | Deferred | Performance | Employee Stock | Total | |||||||||||||||||||
Options | Stock | Stock Units | Stock Units | Purchase Plan | |||||||||||||||||||||
Unrecognized compensation cost at beginning of period | $ | - | $ | 1,869 | $ | 13,044 | 5,817 | - | 20,730 | ||||||||||||||||
Equity grants | - | 30 | 1,128 | - | 215 | 1,373 | |||||||||||||||||||
Equity grant forfeitures | - | -154 | -150 | - | - | -304 | |||||||||||||||||||
Equity compensation expense | - | -349 | -3,234 | -1,464 | -107 | -5,154 | |||||||||||||||||||
Unrecognized Compensation Cost at End of Period | $ | - | $ | 1,396 | $ | 10,788 | $ | 4,353 | $ | 108 | $ | 16,645 | |||||||||||||
At June 30, 2014, the weighted average amortization period remaining for all of our equity awards was less than two years. | |||||||||||||||||||||||||
Stock Options | |||||||||||||||||||||||||
At June 30, 2014 and December 31, 2013, there were 57,514 and 79,535 fully vested stock options outstanding, respectively. There was no aggregate intrinsic value for the options outstanding and exercisable at June 30, 2014. For both the six months ended June 30, 2014 and 2013, there were no stock options exercised. For the six months ended June 30, 2014, 22,021 stock options expired. | |||||||||||||||||||||||||
Restricted Stock | |||||||||||||||||||||||||
At June 30, 2014 and December 31, 2013, there were 112,418 and 166,941 shares, respectively, of restricted stock awards outstanding. Restrictions on these shares lapse through 2018. There were no restricted stock awards granted during the six months ended June 30 2014. | |||||||||||||||||||||||||
Deferred Stock Units (“DSUs”) | |||||||||||||||||||||||||
At June 30, 2014 and December 31, 2013, there were 2,033,771 and 2,266,473 DSUs outstanding, respectively, of which 1,224,122 and 1,263,420, respectively, had vested. There were 139,147 DSUs granted during the six months ended June 30, 2014. During the six months ended June 30, 2014, there were 7,870 DSUs forfeited related to employee departures. During the six months ended June 30, 2014, there were 363,980 DSU distributions and cash distributions of less than $1 million to participants in the EDCP. Unvested DSUs at June 30, 2014 vest through 2018. | |||||||||||||||||||||||||
Performance Stock Units (“PSUs”) | |||||||||||||||||||||||||
At both June 30, 2014 and December 31, 2013, the target number of PSUs that were unvested was 779,871. PSUs do not vest until the third anniversary of their grant date, with the level of vesting at that time contingent on total stockholder return (defined as the change in our common stock price plus dividends paid on our common stock relative to the per share price of our common stock on the date of the PSU grant) over the three-year vesting period (“Three-Year TSR”). The number of underlying shares of our common stock that will vest during 2014 and in future years will vary between 0% (if Three-Year TSR is negative) and 200% (if Three-Year TSR is greater than or equal to 125%) of the target number of PSUs originally granted, adjusted upward (if vesting is greater than 0%) to reflect the value of dividends paid during the three-year vesting period. During the six months ended June 30, 2014, 351,640 shares of common stock underlying vested PSUs were distributed. | |||||||||||||||||||||||||
Employee Stock Purchase Plan | |||||||||||||||||||||||||
The ESPP allows a maximum of 450,000 shares of common stock to be purchased in aggregate for all employees. At June 30, 2014 and December 31, 2013, 257,921 and 243,020 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP. |
Mortgage_Banking_Activities
Mortgage Banking Activities | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Mortgage Banking Activities | ' | ||||||||||||||||
Note 18. Mortgage Banking Activities | |||||||||||||||||
The following table presents the components of mortgage banking activities, net, recorded in our consolidated income statements for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Components of Mortgage Banking Activities, Net | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Residential mortgage banking activities: | |||||||||||||||||
Changes in fair value of: | |||||||||||||||||
Residential loans, at fair value | $ | 13,375 | $ | (41,405) | $ | 20,403 | $ | (6,535) | |||||||||
Sequoia IO securities | (8,810) | 36,336 | (13,087) | 38,265 | |||||||||||||
Risk management derivatives (1) | (7,858) | 46,621 | (12,136) | 48,508 | |||||||||||||
Loan purchase and forward sale commitments | 3,582 | - | 3,590 | - | |||||||||||||
Other fees | 1,040 | 738 | 1,495 | 1,276 | |||||||||||||
Total residential mortgage banking activities: | 1,329 | 42,290 | 265 | 81,514 | |||||||||||||
Commercial mortgage banking activities: | |||||||||||||||||
Changes in fair value of: | |||||||||||||||||
Commercial loans, at fair value | 5,714 | (345) | 9,340 | (345) | |||||||||||||
Risk management derivatives (1) | (815) | 2,924 | (3,619) | 2,059 | |||||||||||||
Other fees | 82 | - | 93 | 1 | |||||||||||||
Net gains on commercial loan originations and sales | - | 3,854 | - | 11,031 | |||||||||||||
Total commercial mortgage banking activities: | 4,981 | 6,433 | 5,814 | 12,746 | |||||||||||||
Mortgage Banking Activities, Net | $ | 6,310 | $ | 48,723 | $ | 6,079 | $ | 94,260 | |||||||||
-1 | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. |
Operating_Expenses
Operating Expenses | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Operating Expenses | ' | ||||||||||||||||
Note 19. Operating Expenses | |||||||||||||||||
Components of our operating expenses for the three and six months ended June 30, 2014 and 2013 are presented in the following table. | |||||||||||||||||
Operating Expenses | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Fixed compensation expense | $ | 6,872 | $ | 6,080 | $ | 13,664 | $ | 11,716 | |||||||||
Variable compensation expense | 3,021 | 3,960 | 5,752 | 8,797 | |||||||||||||
Equity compensation expense | 2,824 | 3,396 | 5,154 | 5,883 | |||||||||||||
Severance expense | 222 | 3,366 | 222 | 3,434 | |||||||||||||
Total compensation expense | 12,939 | 16,802 | 24,792 | 29,830 | |||||||||||||
Systems and consulting | 3,977 | 2,318 | 7,443 | 4,060 | |||||||||||||
Accounting and legal | 1,183 | 805 | 2,816 | 3,052 | |||||||||||||
Office costs | 1,170 | 827 | 2,155 | 1,615 | |||||||||||||
Corporate costs | 558 | 528 | 1,111 | 1,037 | |||||||||||||
Other operating expenses | 2,455 | 3,150 | 3,937 | 5,022 | |||||||||||||
Total Operating Expenses | $ | 22,282 | $ | 24,430 | $ | 42,254 | $ | 44,616 | |||||||||
Taxes
Taxes | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Taxes | ' | ||||||||
Note 20. Taxes | |||||||||
For the six months ended June 30, 2014 and 2013, we recognized a benefit for income taxes of $2 million and a provision of $14 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our projected annual effective rate at June 30, 2014 and 2013. | |||||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | |||||||||
30-Jun-14 | 30-Jun-13 | ||||||||
Federal statutory rate | 34.00% | 34.00% | |||||||
State statutory rate, net of Federal tax effect | 7.20% | 7.20% | |||||||
Differences in taxable (loss) income from GAAP income | -2.50% | -8.30% | |||||||
Change in valuation allowance | 1.20% | -12.20% | |||||||
Dividends paid deduction | -45.50% | -10.70% | |||||||
Effective Tax Rate | -5.60% | 10.00% | |||||||
The negative effective tax rate for the six months ended June 30, 2014, primarily resulted from a benefit from income taxes recorded against a GAAP loss generated at our taxable REIT subsidiaries, while GAAP income generated at the REIT, for which no material tax provision was recorded due to the dividends paid deduction available to us, exceeded the loss at the taxable REIT subsidiaries. | |||||||||
We assessed our tax positions for all open tax years (Federal — years 2010 to 2014, State — years 2009 to 2014) and, at June 30, 2014 and December 31, 2013, concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment_Information
Segment Information | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Segment Information | ' | ||||||||||||||||||||||||
Note 21. Segment Information | |||||||||||||||||||||||||
Redwood operates in three segments: residential mortgage banking, residential investments, and commercial mortgage banking and investments. These business segments have been identified based on our organizational and management structure. Our segments are based on an internally-aligned segment structure, which is how our results are monitored and performance is assessed. The accounting policies of the reportable segments are the same as those described in Note 3—Summary of Significant Accounting Policies. | |||||||||||||||||||||||||
Our residential mortgage banking segment primarily consists of operating a mortgage loan conduit that acquires residential loans from third-party originators for subsequent sale through securitization or as whole loans. Jumbo loans we acquire are typically sold through private-label securitization through our Sequoia securitization program or to institutions that acquire pools of whole loans. Conforming loans we acquire are generally sold to the Agencies. Our residential loan acquisitions are usually made on a flow basis, after origination by banks or mortgage companies, and are periodically augmented by bulk acquisitions. Our acquisition and accumulation of residential loans is generally funded with equity and short-term debt. This segment also includes various derivative financial instruments and IO securities retained from our Sequoia securitizations that we utilize to manage certain risks associated with residential loans we acquire. Our residential mortgage banking segment’s main source of revenue is mortgage banking income, which includes valuation increases (or gains) on the loans we acquire for sale or securitization as well as valuation changes in associated derivatives and IO securities that are used in part to manage risks associated with our mortgage banking activities. Additionally, this segment may generate interest income on loans held for future sale or securitization and interest income from IO securities. Interest expense on short-term debt used to fund the purchase of residential loans, direct operating expenses and tax provisions associated with these activities are also included in the residential mortgage banking segment. | |||||||||||||||||||||||||
Our residential investments segment includes a portfolio of investments in residential mortgage-backed securities retained from our Sequoia securitizations, as well as residential mortgage-backed securities issued by third parties. This segment also includes MSRs associated with residential loans securitized through our Sequoia program and MSRs purchased from third parties. The residential investment segment’s main sources of revenue are interest income from investment portfolio securities, as well as the realized gains recognized upon sales of these securities and income from MSRs. This segment also includes derivative financial instruments that we utilize to manage certain risks associated with our residential investment portfolio. Also included in this segment is interest expense on the short-term debt and ABS used to partially finance certain of these securities, as well as direct operating expenses and tax provisions associated with these activities. | |||||||||||||||||||||||||
Our commercial mortgage banking and investments segment consists of our commercial mortgage banking operations as well as our portfolio of held-for-investment commercial real estate loans. We operate as a commercial real estate lender by originating mortgage loans and providing other forms of commercial real estate financing. This may include senior or subordinate mortgage loans, mezzanine loans, and other forms of financing, such as preferred equity interests in special purpose entities that own commercial real estate. We typically sell the senior loans we originate to third parties for securitization and the mezzanine and subordinate loans we originate are generally held for investment. This segment also includes derivative financial instruments that we utilize to manage certain risks associated with our commercial loan origination activity. Our commercial mortgage banking and investments segment’s main sources of revenue are interest income from our commercial loan investments as well as income from mortgage banking activities, which includes valuation increases (or gains) on the senior commercial loans we originate for sale as well as valuation changes in associated derivatives that are used to manage risks associated with our mortgage banking activities. Interest expense from our Commercial Securitization and from short-term and long-term debt used to fund the purchase of commercial loans as well as operating expenses and tax provisions associated with these activities are also included in the commercial mortgage banking and investments segment. | |||||||||||||||||||||||||
Segment contribution represents the measure of profit that management uses to assess the performance of its business segments and make resource allocation and operating decisions. Certain expenses not directly assigned or allocated to one of the three primary segments, as well as activity from certain legacy Sequoia entities consolidated for GAAP financial reporting purposes, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated expenses primarily include interest expense associated with certain long-term debt, indirect operating expenses, and other expense. | |||||||||||||||||||||||||
The following tables present financial information by segment for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Business Segment Financial Information | |||||||||||||||||||||||||
Three Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 12,438 | $ | 27,924 | $ | 11,217 | $ | 6,414 | $ | 57,993 | |||||||||||||||
Interest expense | (2,161) | (3,116) | (4,404) | (11,470) | (21,151) | ||||||||||||||||||||
Net interest income (loss) | 10,277 | 24,808 | 6,813 | (5,056) | 36,842 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (289) | 604 | 315 | ||||||||||||||||||||
Mortgage banking activities, net | 1,329 | - | 4,981 | - | 6,310 | ||||||||||||||||||||
MSR income (loss), net | - | (1,777) | - | - | (1,777) | ||||||||||||||||||||
Other market valuation adjustments, net | 13 | (3,788) | - | (346) | (4,121) | ||||||||||||||||||||
Realized gains, net | - | 992 | - | 71 | 1,063 | ||||||||||||||||||||
Operating expenses | (9,501) | (770) | (2,180) | (9,831) | (22,282) | ||||||||||||||||||||
(Provision for) benefit from income taxes | 259 | 149 | (750) | 9 | (333) | ||||||||||||||||||||
Segment Contribution | $ | 2,377 | $ | 19,614 | $ | 8,575 | $ | (14,549) | |||||||||||||||||
Net Income | $ | 16,017 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (36) | 10,586 | (215) | (2,073) | 8,262 | ||||||||||||||||||||
Three Months Ended June 30, 2013 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 15,158 | $ | 24,015 | $ | 9,623 | $ | 8,923 | $ | 57,719 | |||||||||||||||
Interest expense | (3,020) | (2,553) | (2,560) | (13,283) | (21,416) | ||||||||||||||||||||
Net interest income (loss) | 12,138 | 21,462 | 7,063 | (4,360) | 36,303 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (891) | 4,163 | 3,272 | ||||||||||||||||||||
Mortgage banking activities, net | 42,290 | - | 6,433 | - | 48,723 | ||||||||||||||||||||
MSR income (loss), net | - | 10,547 | - | - | 10,547 | ||||||||||||||||||||
Other market valuation adjustments, net | 38 | (5,738) | - | (558) | (6,258) | ||||||||||||||||||||
Realized gains, net | - | 526 | - | 30 | 556 | ||||||||||||||||||||
Operating expenses | (6,053) | (1,956) | (2,654) | (13,767) | (24,430) | ||||||||||||||||||||
(Provision for) benefit from income taxes | (2,409) | (1,236) | (495) | 1,000 | (3,140) | ||||||||||||||||||||
Segment Contribution | $ | 46,004 | $ | 23,605 | $ | 9,456 | $ | (13,492) | |||||||||||||||||
Net Income | $ | 65,573 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (13) | 8,066 | (224) | (2,084) | 5,745 | ||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 23,104 | $ | 55,519 | $ | 21,601 | $ | 13,245 | $ | 113,469 | |||||||||||||||
Interest expense | (3,482) | (5,966) | (7,708) | (23,055) | (40,211) | ||||||||||||||||||||
Net interest income (loss) | 19,622 | 49,553 | 13,893 | (9,810) | 73,258 | ||||||||||||||||||||
Provision for loan losses | - | - | (944) | (23) | (967) | ||||||||||||||||||||
Mortgage banking activities, net | 265 | - | 5,814 | - | 6,079 | ||||||||||||||||||||
MSR income (loss), net | - | (1,171) | - | - | (1,171) | ||||||||||||||||||||
Other market valuation adjustments, net | 11 | (9,746) | - | (525) | (10,260) | ||||||||||||||||||||
Realized gains, net | - | 1,979 | - | 176 | 2,155 | ||||||||||||||||||||
Operating expenses | (16,595) | (1,865) | (4,806) | (18,988) | (42,254) | ||||||||||||||||||||
(Provision for) benefit from income taxes | 94 | 1,676 | (395) | 135 | 1,510 | ||||||||||||||||||||
Segment Contribution | $ | 3,397 | $ | 40,426 | $ | 13,562 | $ | (29,035) | |||||||||||||||||
Net Income | $ | 28,350 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (88) | 21,833 | (388) | (4,019) | 17,338 | ||||||||||||||||||||
Six Months Ended June 30, 2013 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 24,914 | $ | 47,533 | $ | 19,794 | $ | 19,002 | $ | 111,243 | |||||||||||||||
Interest expense | (5,130) | (5,219) | (5,368) | (24,001) | (39,718) | ||||||||||||||||||||
Net interest income (loss) | 19,784 | 42,314 | 14,426 | (4,999) | 71,525 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (1,576) | 2,809 | 1,233 | ||||||||||||||||||||
Mortgage banking activities, net | 81,514 | - | 12,746 | - | 94,260 | ||||||||||||||||||||
MSR income (loss), net | - | 11,568 | - | - | 11,568 | ||||||||||||||||||||
Other market valuation adjustments, net | 78 | (6,308) | - | (331) | (6,561) | ||||||||||||||||||||
Realized gains, net | - | 12,564 | 210 | 49 | 12,823 | ||||||||||||||||||||
Operating expenses | (10,691) | (3,539) | (5,850) | (24,536) | (44,616) | ||||||||||||||||||||
(Provision for) benefit from income taxes | (11,314) | (1,661) | (1,718) | 644 | (14,049) | ||||||||||||||||||||
Segment Contribution | $ | 79,371 | $ | 54,938 | $ | 18,238 | $ | (26,364) | |||||||||||||||||
Net Income | $ | 126,183 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (119) | 15,646 | (411) | (3,381) | 11,735 | ||||||||||||||||||||
The following tables present the components of Corporate/Other for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Three Months Ended June 30, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(In Thousands) | Legacy | Other | Total | Legacy | Other | Total | |||||||||||||||||||
Consolidated | Consolidated | ||||||||||||||||||||||||
VIEs | VIEs | ||||||||||||||||||||||||
Interest income | $ | 6,411 | $ | 3 | $ | 6,414 | $ | 8,786 | $ | 137 | $ | 8,923 | |||||||||||||
Interest expense | (5,240) | (6,230) | (11,470) | (6,728) | (6,555) | (13,283) | |||||||||||||||||||
Net interest income (loss) | 1,171 | (6,227) | (5,056) | 2,058 | (6,418) | (4,360) | |||||||||||||||||||
Reversal of provision for loan losses | 604 | - | 604 | 4,163 | - | 4,163 | |||||||||||||||||||
Mortgage banking activities, net | - | - | - | - | - | - | |||||||||||||||||||
MSR income, net | - | - | - | - | - | - | |||||||||||||||||||
Other market valuation adjustments, net | (321) | (25) | (346) | (558) | - | (558) | |||||||||||||||||||
Realized gains, net | 71 | - | 71 | 30 | - | 30 | |||||||||||||||||||
Operating expenses | (42) | (9,789) | (9,831) | (73) | (13,694) | (13,767) | |||||||||||||||||||
Benefit from income taxes | - | 9 | 9 | - | 1,000 | 1,000 | |||||||||||||||||||
Total | $ | 1,483 | $ | (16,032) | $ | (14,549) | $ | 5,620 | $ | (19,111) | $ | (13,492) | |||||||||||||
Non-cash amortization expense | (1,432) | (641) | (2,073) | (1,561) | (523) | (2,084) | |||||||||||||||||||
Six Months Ended June 30, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(In Thousands) | Legacy | Other | Total | Legacy | Other | Total | |||||||||||||||||||
Consolidated | Consolidated | ||||||||||||||||||||||||
VIEs | VIEs | ||||||||||||||||||||||||
Interest income | $ | 13,240 | $ | 5 | $ | 13,245 | $ | 18,853 | $ | 149 | $ | 19,002 | |||||||||||||
Interest expense | (10,699) | (12,356) | (23,055) | (13,997) | (10,004) | (24,001) | |||||||||||||||||||
Net interest income (loss) | 2,541 | (12,351) | (9,810) | 4,856 | (9,855) | (4,999) | |||||||||||||||||||
Reversal of provision (provision) for loan losses | (23) | - | (23) | 2,809 | - | 2,809 | |||||||||||||||||||
Mortgage banking activities, net | - | - | - | - | - | - | |||||||||||||||||||
MSR income), net | - | - | - | - | - | - | |||||||||||||||||||
Other market valuation adjustments, net | (464) | (61) | (525) | (331) | - | (331) | |||||||||||||||||||
Realized gains, net | 176 | - | 176 | 49 | - | 49 | |||||||||||||||||||
Operating expenses | (94) | (18,894) | (18,988) | (107) | (24,429) | (24,536) | |||||||||||||||||||
Benefit from income taxes | - | 135 | 135 | - | 644 | 644 | |||||||||||||||||||
Total | $ | 2,136 | $ | (31,171) | $ | (29,035) | $ | 7,276 | $ | (33,640) | $ | (26,364) | |||||||||||||
Non-cash amortization expense | (2,795) | (1,224) | (4,019) | (2,664) | (717) | (3,381) | |||||||||||||||||||
The following table presents supplemental information by segment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Supplemental Disclosures | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 1,107,877 | $ | - | $ | - | $ | - | $ | 1,107,877 | |||||||||||||||
Residential loans, held-for-investment | - | - | - | 1,616,504 | 1,616,504 | ||||||||||||||||||||
Commercial loans | - | - | 468,766 | - | 468,766 | ||||||||||||||||||||
Real estate securities | 159,311 | 1,685,756 | - | - | 1,845,067 | ||||||||||||||||||||
Mortgage servicing rights | - | 71,225 | - | - | 71,225 | ||||||||||||||||||||
Total assets | 1,291,983 | 1,774,525 | 474,821 | 1,837,221 | 5,378,550 | ||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 404,267 | $ | - | $ | - | $ | - | $ | 404,267 | |||||||||||||||
Residential loans, held-for-investment | - | - | - | 1,762,167 | 1,762,167 | ||||||||||||||||||||
Commercial loans | - | - | 432,455 | - | 432,455 | ||||||||||||||||||||
Real estate securities | 110,505 | 1,572,356 | - | - | 1,682,861 | ||||||||||||||||||||
Mortgage servicing rights | - | 64,824 | - | - | 64,824 | ||||||||||||||||||||
Total assets | 531,092 | 1,655,209 | 439,139 | 1,983,088 | 4,608,528 |
Subsequent_Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2014 | |
Subsequent Events | ' |
Note 22. Subsequent Events | |
At June 30, 2014, we had identified for purchase $1.6 billion of jumbo residential mortgage loans that were in various stages of the origination process with third-party originators. Some of these loans may not ultimately close and, therefore, would not be available for purchase. Since June 30, 2014, and through August 3, 2014, $643 million of these loans closed and were purchased by us. We expect the purchase of an additional amount of these loans to occur during the third quarter of 2014, subject to loan availability and delivery. | |
On July 16, 2014, RWT Financial, LLC (RWT Financial), a wholly-owned subsidiary of Redwood Trust, Inc., and the Federal Home Loan Bank of Chicago (“FHLBC”) entered into an Advances, Collateral Pledge, and Security Agreement (“Advances Agreement”). The Advances Agreement governs the terms and conditions under which RWT Financial may incur borrowings, also referred to as “advances”, from time to time, from the FHLBC secured by residential and commercial mortgage loans, and agency and private-label residential mortgage backed securities held at RWT Financial. As of the date of this report, there was $26 million of variable-rate advances outstanding (secured by residential mortgage loans) with a weighted average interest rate of 0.186% and a weighted average maturity of 2 years, as further described in Part I, Item 2 – Management’s Discussion and Analysis of Financial Condition and Results of Operations of this Quarterly Report on Form 10-Q. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Use of Estimates | ' | ||||||||||||||||||||||||
Use of Estimates | |||||||||||||||||||||||||
The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. | |||||||||||||||||||||||||
Fair Value Measurements | ' | ||||||||||||||||||||||||
Fair Value Measurements | |||||||||||||||||||||||||
Our financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. Examples of market information that we attempt to obtain include the following: | |||||||||||||||||||||||||
• | Quoted prices for the same or similar securities; | ||||||||||||||||||||||||
• | Relevant reports issued by analysts and rating agencies; | ||||||||||||||||||||||||
• | The current level of interest rates and any directional movements in relevant indices, such as credit risk indices; | ||||||||||||||||||||||||
• | Information about the performance of mortgage loans, such as delinquency and foreclosure rates, loss experience, and prepayment rates; | ||||||||||||||||||||||||
• | Indicative prices or yields from broker/dealers (including prices from counterparties under securities repurchase agreements); and, | ||||||||||||||||||||||||
• | Other relevant observable inputs, including nonperformance risk and liquidity premiums. | ||||||||||||||||||||||||
After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. | |||||||||||||||||||||||||
The markets for many of the loans and securities that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. | |||||||||||||||||||||||||
In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. | |||||||||||||||||||||||||
See Note 5 for further discussion on fair value measurements. | |||||||||||||||||||||||||
Fair Value Option | ' | ||||||||||||||||||||||||
Fair Value Option | |||||||||||||||||||||||||
We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. | |||||||||||||||||||||||||
We elect the fair value option for certain residential and commercial loans, Sequoia IO securities and mortgage servicing rights (“MSRs”). We generally elect the fair value option for residential and commercial loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We generally elect the fair value option for Sequoia IO securities as we use these in part to hedge certain risks associated with our residential loans held-for-sale. We elect the fair value option for our MSRs in order to reflect the current value of these investments in our financial position and results each period. We also elect the fair value option for certain secured borrowings we may recognize when the sale of commercial loans do not meet the sale criteria in ASC 860. | |||||||||||||||||||||||||
See Note 5 for further discussion on the fair value option. | |||||||||||||||||||||||||
Real Estate Loans | ' | ||||||||||||||||||||||||
Real Estate Loans | |||||||||||||||||||||||||
Residential and Commercial Loans — Held-for-Sale at Fair Value | |||||||||||||||||||||||||
Residential and commercial loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor and expect to be accounted for as sales for financial reporting purposes. We generally elect the fair value option for residential and commercial loans that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
Residential and Commercial Loans — Held-for-Investment | |||||||||||||||||||||||||
Commercial Loans — Fair Value | |||||||||||||||||||||||||
We may elect the fair value option for senior commercial mortgage loans that we originate or acquire that are bifurcated into a senior portion that is sold to a third party and a junior portion that we retain as an investment. When the transfer of the senior portion does not meet the criteria for sale treatment under GAAP, the entire loan (the senior and junior portions) remains on our consolidated balance sheet and we account for the transfer of the senior portion as a secured liability. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
Residential and Commercial Loans — At Amortized Cost | |||||||||||||||||||||||||
Loans held-for-investment include residential loans owned at consolidated Sequoia entities and commercial loans owned at the Commercial Securitization entity and by us, net of any allowance for loan losses. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due or has been individually impaired, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have become greater than 90 days past due or individually impaired is reserved for in the allowance for loan losses. Residential loans delinquent more than 90 days or in foreclosure are characterized as a serious delinquency. Cash principal and interest that is advanced from servicers subsequent to a loan becoming greater than 90 days past due or individually impaired is accounted for as a reduction in the outstanding loan principal balance. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered reperforming. A restructured loan is considered reperforming when the loan has been current for at least 12 months. | |||||||||||||||||||||||||
We use the interest method to determine an effective yield to amortize the premium or discount on real estate loans held-for-investment. For residential loans acquired prior to July 1, 2004, we use coupon interest rates as they change over time and anticipated principal payments to determine periodic amortization. For residential and commercial loans acquired after July 1, 2004, we use the initial coupon interest rate of the loans (without regard to future changes in the underlying indices) and anticipated principal payments, if any, to determine periodic amortization. | |||||||||||||||||||||||||
We reclassify loans held-for-investment as loans held-for-sale if we determine that these loans will be sold or transferred to third parties. This may occur, for example, if we exercise our right to call ABS issued by a Sequoia securitization trust and decide to subsequently sell the underlying loans to third parties. | |||||||||||||||||||||||||
See Note 6 for further discussion on residential loans. See Note 7 for further discussion on commercial loans. | |||||||||||||||||||||||||
Residential Loans — Allowance for Loan Losses | |||||||||||||||||||||||||
For residential loans classified as held-for-investment, we establish and maintain an allowance for loan losses based on our estimate of credit losses inherent in our loan portfolios at the reporting date. To calculate the allowance for loan losses, we assess inherent losses by determining loss factors (defaults, the timing of defaults, and loss severities upon defaults) that can be specifically applied to each loan or pool of loans. | |||||||||||||||||||||||||
We consider the following factors in evaluating the allowance for loan losses: | |||||||||||||||||||||||||
• | Ongoing analyses of loans, including, but not limited to, the age of loans and year of origination, underwriting standards, business climate, economic conditions, and other observable data; | ||||||||||||||||||||||||
• | Historical loss rates and past performance of similar loans; | ||||||||||||||||||||||||
• | Relevant market research and publicly available third-party reference loss rates; | ||||||||||||||||||||||||
• | Trends in delinquencies and charge-offs; | ||||||||||||||||||||||||
• | Effects and changes in credit concentrations; | ||||||||||||||||||||||||
• | Information supporting a borrower’s ability to meet obligations; | ||||||||||||||||||||||||
• | Ongoing evaluations of fair values of collateral using current appraisals and other valuations; and, | ||||||||||||||||||||||||
• | Discounted cash flow analyses. | ||||||||||||||||||||||||
Once we determine the amount of defaults, the timing of the defaults, and severity of losses upon the defaults, we estimate expected losses for each individual loan or pool of loans over its expected life. We then estimate the timing of these losses and the losses probable to occur over an appropriate loss confirmation period. This period is defined as the range of time between the occurrence of a credit loss (such as the initial deterioration of the borrower’s financial condition) and the confirmation of that loss (the actual impairment or charge-off of the loan). The losses expected to occur within the estimated loss confirmation period are the basis of our allowance for loan losses, since we believe these losses exist at the reported date of the financial statements. We re-evaluate the adequacy of our allowance for loan losses quarterly. | |||||||||||||||||||||||||
As part of the loss mitigation efforts undertaken by servicers of residential loans owned at Sequoia securitization entities, a number of loan modifications have been completed to help make mortgage loans more affordable for certain borrowers. Loan modifications may include, but are not limited to: (i) conversion of a floating rate mortgage loan into a fixed rate mortgage loan; (ii) reduction in the contractual interest rate of a mortgage loan; (iii) forgiveness of a portion of the contractual interest and/or principal amounts owed on a mortgage loan; and, (iv) extension of the contractual maturity of a mortgage loan. We evaluate all loan modifications performed by servicers to determine if they constitute troubled debt restructurings (“TDRs”) according to GAAP. If a loan is determined to be a TDR, it is removed from the general loan pools used for calculating allowances for loan losses and assessed for impairment on an individual basis based upon any adverse change in the expected future cash flows resulting from the modification. This difference is recorded to the provision for loan losses in our consolidated statements of income. | |||||||||||||||||||||||||
When foreclosed property is received in full satisfaction for a defaulted loan, we estimate the fair value of the property, based on estimated net proceeds from the sale of the property (including servicer advances and other costs). To the extent that the fair value of the property is below the recorded investment of the loan, we record a charge against the allowance for loan losses for the difference. Foreclosed property is subsequently recorded as real estate owned (“REO”), a component of other assets on our consolidated balance sheets. Actual losses incurred on loans liquidated through a short-sale are also charged against the allowance for loan losses. | |||||||||||||||||||||||||
See Note 6 for further discussion on the allowance for loan losses for residential loans. | |||||||||||||||||||||||||
Commercial Loans — Allowance for Loan Losses | |||||||||||||||||||||||||
For commercial loans classified as held-for-investment, we establish and maintain a general allowance for loan losses inherent in our portfolio at the reporting date and, where appropriate, a specific allowance for loan losses for loans we have determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that we will not be able to collect all amounts due according to the contractual terms of the loan. | |||||||||||||||||||||||||
Our methodology for assessing the adequacy of the allowance for loan losses begins with a formal review of each commercial loan in the portfolio and the assignment of an internal impairment status. Reviews are performed at least quarterly. We consider the following factors in evaluating each loan: | |||||||||||||||||||||||||
• | Loan to value ratios upon origination or acquisition of the loan; | ||||||||||||||||||||||||
• | The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other loss factors we consider relevant, such as, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; | ||||||||||||||||||||||||
• | Economic trends, both macroeconomic as well as those directly affecting the properties associated with our loans, and the supply and demand of competing projects in the sub-market in which the subject property is located; and, | ||||||||||||||||||||||||
• | The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. | ||||||||||||||||||||||||
Loan reviews are completed by asset management and finance personnel and reviewed and approved by senior management. | |||||||||||||||||||||||||
Based on the assigned internal impairment status, a loan is categorized as “Pass,” “Watch List,” or “Workout.” Pass loans are defined as loans that are performing in accordance with the contractual terms of the loan agreement. Watch List loans are defined as performing loans for which the timing of cost recovery is under review. Workout loans are defined as loans that we believe have a credit impairment that may lead to a realized loss. Workout loans are typically assessed for impairment on an individual basis. Where an individual commercial loan is impaired, we record an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate or if a loan is collateral dependent, we reduce the carrying value to the estimated fair market value of the loan, with a corresponding charge to provision for loan losses on our consolidated statements of income. | |||||||||||||||||||||||||
For all commercial loans that are not individually impaired, we assess the commercial loan portfolio in aggregate for loan losses based on our expectation of credit losses inherent in the portfolio at the reporting date. Our expectation of credit losses is informed by, among other things: | |||||||||||||||||||||||||
• | Historical loss rates and past performance of similar loans in our own portfolio, if any; | ||||||||||||||||||||||||
• | Publicly available third-party reference loss rates on similar loans; and, | ||||||||||||||||||||||||
• | Trends in delinquencies and charge-offs in our own portfolio and among industry participants. | ||||||||||||||||||||||||
See Note 7 for further discussion on the allowance for loan losses for commercial loans. | |||||||||||||||||||||||||
Repurchase Reserves | |||||||||||||||||||||||||
We sell residential mortgage loans to various parties, including (1) securitization trusts, (2) Fannie Mae and Freddie Mac (the “Agencies”), and (3) banks and other financial institutions that purchase mortgage loans. We also purchase mortgage servicing rights. We may be required to repurchase residential mortgage loans in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. We do not originate residential mortgage loans and believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, such as where loans were acquired from companies that have since become insolvent, we may be required to repurchase loans. | |||||||||||||||||||||||||
We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of mortgage banking activities, net on our consolidated statements of income. | |||||||||||||||||||||||||
See Note 15 for further discussion on the residential repurchase reserves. | |||||||||||||||||||||||||
We have originated and sold commercial mortgage loans and have made standard representations and warranties upon sale of the loans to the loan purchasers, and in some cases, to securitization trusts. We review the need for a repurchase reserve related to these commercial loans on an ongoing basis and are not aware of any breaches of representations and warranties related to these loans. | |||||||||||||||||||||||||
Real Estate Securities, at Fair Value | ' | ||||||||||||||||||||||||
Real Estate Securities, at Fair Value | |||||||||||||||||||||||||
We classify our real estate securities as trading or available-for-sale securities. We use the “prime” or “non-prime” designation to categorize our residential securities based upon the general credit characteristics of the residential loans underlying each security at the time of origination. For example, prime residential loans are generally characterized by lower loan-to-value (“LTV”) ratios at the time the loans were originated, and are made to borrowers with higher Fair Isaac Corporation (“FICO”) scores. Non-prime residential loans are generally characterized by higher LTV ratios at the time the loans were originated and may have been made to borrowers with lower credit scores or impaired credit histories (while exhibiting the ability to repay their loans) at the time the loan was originated. Regardless of whether or not the loans underlying a residential security were designated as prime or non-prime at origination, there is a risk that the borrower may not be able to repay the loan. | |||||||||||||||||||||||||
Trading Securities | |||||||||||||||||||||||||
We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values and coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of Sequoia IO and senior securities designated as trading securities are reported in mortgage banking activities, net, a component of our consolidated statements of income. Changes in the fair value of other trading securities are reported through our consolidated statements of income in other market valuation adjustments, net. | |||||||||||||||||||||||||
Available-for-Sale Securities | |||||||||||||||||||||||||
AFS securities primarily consist of non-agency residential mortgage backed securities (“RMBS”) and may include other residential and commercial securities. Non-agency RMBS are not issued or guaranteed by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or any agency of the U.S. Government. AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an other-than-temporary impairment (“OTTI”) is recognized, as discussed below) and reported in accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. | |||||||||||||||||||||||||
Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on these securities or in the recognition of OTTI as discussed below. | |||||||||||||||||||||||||
For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. | |||||||||||||||||||||||||
When the fair value of an AFS security is less than its amortized cost at the reporting date, the security is considered impaired. We assess our impaired securities at least quarterly to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). If we either — (i) intend to sell the impaired security; (ii) will more likely than not be required to sell the impaired security before it recovers in value; or (iii) if there has been an adverse change in cash flows — the impairment is deemed an OTTI. In the case of criteria (i) and (ii), we record the entire difference between the security’s estimated fair value and its amortized cost at the reporting date in our consolidated statements of income. If there has been an adverse change in cash flows, only the portion of the OTTI related to “credit” losses is recognized through other market valuation adjustments, net on our consolidated statements of income, with the remaining “non-credit” portion recognized through AOCI on our consolidated balance sheet. If the first two criteria are not met and there has not been an adverse change in cash flows, the impairment is considered temporary and the entire unrealized loss is recognized through AOCI on our consolidated balance sheets. | |||||||||||||||||||||||||
For impaired AFS securities, to determine if there has been an adverse change in cash flows and if any portion of a resulting OTTI is related to credit losses, we compare the present value of the cash flows expected to be collected as of the current financial reporting date to the amortized cost basis of the security. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. If the present value of the current expected cash flows is less than the amortized cost basis, there has been an adverse change and the security is considered OTTI with the difference between these two amounts representing the credit loss. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, and based on information available at the time of the assessment as well as our estimates of future performance and cash flows. As a result, the timing and amount of OTTI constitute a material estimate that is susceptible to significant change. | |||||||||||||||||||||||||
See Note 8 for further discussion on real estate securities. | |||||||||||||||||||||||||
MSRs | ' | ||||||||||||||||||||||||
MSRs | |||||||||||||||||||||||||
We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we have acquired and subsequently transferred to third parties (including the Agencies) or through the direct acquisition of MSRs sold by third parties. Typically, our MSRs are created through the transfer of loans to a third party or to a Sequoia residential mortgage securitization sponsored by us that meets the GAAP criteria for sale accounting. | |||||||||||||||||||||||||
Our MSRs are held and managed at Redwood Residential Acquisition Corporation, a wholly-owned subsidiary of RWT Holdings, Inc., which is a taxable REIT subsidiary of ours. We contract with a licensed sub-servicer to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and carried at their estimated fair values. Income from MSRs and changes in the estimated fair value of MSRs are reported in MSR income, net, a component of our consolidated statements of income. | |||||||||||||||||||||||||
See Note 9 for further discussion on MSRs. | |||||||||||||||||||||||||
Cash and Cash Equivalents | ' | ||||||||||||||||||||||||
Cash and Cash Equivalents | |||||||||||||||||||||||||
Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less. | |||||||||||||||||||||||||
Restricted Cash | ' | ||||||||||||||||||||||||
Restricted Cash | |||||||||||||||||||||||||
Restricted cash primarily includes principal and interest payments that are collateral for, or payable to, owners of ABS issued by consolidated securitization entities. Restricted cash may also include cash retained in the Sequoia securitization entities or in the Residential Resecuritization or Commercial Securitization entities prior to the payments on or redemptions of outstanding ABS issued. | |||||||||||||||||||||||||
Accrued Interest Receivable | ' | ||||||||||||||||||||||||
Accrued Interest Receivable | |||||||||||||||||||||||||
Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. | |||||||||||||||||||||||||
Derivative Financial Instruments | ' | ||||||||||||||||||||||||
Derivative Financial Instruments | |||||||||||||||||||||||||
Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, CMBX credit default index swaps, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”) and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair values on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). | |||||||||||||||||||||||||
Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through other market valuation adjustments, net, to the extent they are used to manage risks associated with our residential investment portfolio. Derivatives used to manage certain risks associated with our residential and commercial mortgage banking activities, including valuation changes related to residential LPCs and FSCs, are included in mortgage banking activities, net, on our consolidated statements of income. | |||||||||||||||||||||||||
Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. | |||||||||||||||||||||||||
We will discontinue a designated cash flow hedging relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or, (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. | |||||||||||||||||||||||||
Swaps and Swaptions | |||||||||||||||||||||||||
Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or, (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. Interest rate caps are agreements in which the owner receives payments at the end of each period for which the prevailing interest rate exceeds an agreed upon strike price. We enter into interest rate agreements primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. | |||||||||||||||||||||||||
Eurodollar Futures and Financial Futures | |||||||||||||||||||||||||
Eurodollar futures are futures contracts on time deposits denominated in U.S. dollars at banks outside the United States. Eurodollar futures, unlike our other derivatives, have maturities of only three months. Therefore, in order to achieve the desired interest rate offset necessary to manage our risk, consecutively maturing contracts are required, resulting in a stated notional amount that is typically higher than our other derivatives. Financial futures are futures contracts on benchmark U.S. Treasury rates. | |||||||||||||||||||||||||
TBA Contracts | |||||||||||||||||||||||||
TBA contracts are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset — to varying degrees — changes in the values of mortgage products for which we have exposure to interest rate volatility. | |||||||||||||||||||||||||
Credit Default Index Swaps | |||||||||||||||||||||||||
Credit default index swaps include instruments such as CMBX, which are indexes referencing tranches from 25 different commercial mortgage-backed securities (“CMBS”) deals, each with different credit ratings. The CMBX indexes enable participants to hedge or gain exposure to a series of similar CMBS securities. We utilize CMBX to hedge certain risks related to senior commercial mortgage loans we originate for sale into CMBS. | |||||||||||||||||||||||||
Loan Purchase and Forward Sale Commitments | |||||||||||||||||||||||||
We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP. LPCs are recorded at their estimated fair values on our consolidated balance sheets. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. We use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. FSCs are recorded at their estimated fair values on our consolidated balance sheets. Changes in fair value are recurring and are reported through our consolidated statements of income in mortgage banking activities, net. | |||||||||||||||||||||||||
See Note 10 for further discussion on derivative financial instruments. | |||||||||||||||||||||||||
Deferred Tax Assets and Liabilities | ' | ||||||||||||||||||||||||
Deferred Tax Assets and Liabilities | |||||||||||||||||||||||||
Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize income under GAAP in periods prior to when we recognize the income for tax. When this occurs, we establish a deferred tax liability. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. | |||||||||||||||||||||||||
In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. | |||||||||||||||||||||||||
Deferred Securities Issuance Costs | ' | ||||||||||||||||||||||||
Deferred Securities Issuance Costs | |||||||||||||||||||||||||
Securities issuance costs are expenses associated with the issuance of long-term debt, and the ABS issued from the Residential Resecuritization, the Commercial Securitization, and Sequoia securitization entities we sponsor and consolidate for financial reporting purposes. These expenses typically include underwriting, rating agency, legal, accounting, and other fees. ABS issuance costs associated with liabilities reported at cost are deferred. Deferred securities issuance costs are reported on our consolidated balance sheets as deferred charges (an asset) and are amortized as an adjustment to interest expense using the interest method, based upon the actual and estimated repayment schedules of the related securities issued. | |||||||||||||||||||||||||
Other Assets | ' | ||||||||||||||||||||||||
Other Assets | |||||||||||||||||||||||||
Other assets include margin and investment receivable, REO, income tax receivables, fixed assets, principal receivable, and other prepaid expenses and receivables. | |||||||||||||||||||||||||
REO property acquired through, or in lieu of, foreclosure is initially recorded at fair value, and subsequently reported at the lower of its carrying amount or fair value (less estimated cost to sell). Changes in the fair value of an REO property that has a fair value at or below its carrying amount are recorded in our consolidated statements of income as a component of other market valuation adjustments, net. Margin receivable reflects cash collateral we have posted with various counterparties relating to our derivative and lending agreements with those counterparties, as applicable. | |||||||||||||||||||||||||
See Note 11 for further discussion on other assets. | |||||||||||||||||||||||||
Short-Term Debt | ' | ||||||||||||||||||||||||
Short-Term Debt | |||||||||||||||||||||||||
Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings may be unsecured or collateralized by cash, loans, or securities. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. | |||||||||||||||||||||||||
See Note 12 for further discussion on short-term debt. | |||||||||||||||||||||||||
Accrued Interest Payable | ' | ||||||||||||||||||||||||
Accrued Interest Payable | |||||||||||||||||||||||||
Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible debt. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. | |||||||||||||||||||||||||
Asset-Backed Securities Issued | ' | ||||||||||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||||||||||
ABS issued represents asset-backed securities issued by bankruptcy-remote entities sponsored and consolidated by Redwood. These entities include certain Sequoia entities, the Residential Resecuritization, and the Commercial Securitization. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. | |||||||||||||||||||||||||
ABS issued are carried at their unpaid principal balances net of any unamortized discount or premium. | |||||||||||||||||||||||||
See Note 13 for further discussion on ABS issued. | |||||||||||||||||||||||||
Long-Term Debt | ' | ||||||||||||||||||||||||
Long-Term Debt | |||||||||||||||||||||||||
Commercial Long-term Debt | |||||||||||||||||||||||||
Commercial long-term debt includes borrowings under a master repurchase agreement that expires in more than one year with a financial institution counterparty. These borrowings are collateralized by commercial loans. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. | |||||||||||||||||||||||||
Commercial Secured Borrowings | |||||||||||||||||||||||||
Commercial secured borrowings represent liabilities recognized in association with cash received from transfers of portions of senior commercial mortgage loans to third parties that did not meet the criteria for sale treatment under ASC 860 and were accounted for as financings. We elect the fair value option for these secured borrowings and they are held at their estimated fair value on our consolidated balance sheets. | |||||||||||||||||||||||||
Convertible Notes | |||||||||||||||||||||||||
Convertible notes include unsecured convertible senior notes and are carried at their unpaid principal balance. Interest on the notes is payable semiannually and the notes mature on April 15, 2018. If converted by a holder, upon conversion the holder of the notes would receive shares of our common stock. | |||||||||||||||||||||||||
Trust Preferred Securities and Subordinated Notes | |||||||||||||||||||||||||
Trust preferred securities and subordinated notes are carried at their unpaid principal balance. This long-term debt is unsecured with quarterly interest payments determined based upon a floating rate equal to the three-month London Interbank Offered Rate (“LIBOR”) plus a margin until it is redeemed in whole or matures at a future date. | |||||||||||||||||||||||||
See Note 14 for further discussion on long-term debt. | |||||||||||||||||||||||||
Equity | ' | ||||||||||||||||||||||||
Equity | |||||||||||||||||||||||||
Accumulated Other Comprehensive Income | |||||||||||||||||||||||||
Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of accumulated other comprehensive income on our consolidated statements of changes in equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. | |||||||||||||||||||||||||
Earnings Per Common Share | |||||||||||||||||||||||||
Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income allocable to common shareholders, less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion of convertible notes to common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense associated with dilutive convertible debt to net income and adding the shares issued in an assumed conversion to the diluted share count. | |||||||||||||||||||||||||
The two-class method is an earnings allocation formula under which EPS is calculated for common stock and participating securities according to dividends declared and participating rights in undistributed earnings. Under this method, all earnings (distributed and undistributed) are allocated between participating securities and common shares based on their respective rights to receive dividends or dividend equivalents. Accounting guidance on EPS defines vested and unvested share-based payment awards containing nonforfeitable rights to dividends or dividend equivalents as participating securities that are included in computing EPS under the two-class method. | |||||||||||||||||||||||||
See Note 16 for further discussion on equity. | |||||||||||||||||||||||||
Incentive Plans | ' | ||||||||||||||||||||||||
Incentive Plans | |||||||||||||||||||||||||
In May 2014, our shareholders approved the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which replaced the 2002 Redwood Trust, Inc. Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three- or four-year period. Awards made under the Incentive Plan to officers and other employees in lieu of the payment in cash of a portion of annual bonuses earned generally vest immediately, but are subject to a three-year mandatory holding period. Non-employee directors are also provided annual awards under the Incentive Plan that generally vest immediately. The cost of the awards is amortized over the vesting period on a straight-line basis. | |||||||||||||||||||||||||
Employee Stock Purchase Plan | |||||||||||||||||||||||||
In May 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. | |||||||||||||||||||||||||
Executive Deferred Compensation Plan | |||||||||||||||||||||||||
In November 2013, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to allow non-employee directors to defer certain cash payments and dividends into Deferred Stock Units (“DSUs”). The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. | |||||||||||||||||||||||||
401(k) Plan | |||||||||||||||||||||||||
We offer a tax-qualified 401(k) Plan to all employees for retirement savings. Under this Plan, employees are allowed to defer and invest up to 100% of their cash earnings, subject to the maximum 401(k) Plan contribution limit set forth by the Internal Revenue Service. We match some employee contributions to encourage participation and to provide a retirement planning benefit to employees. Vesting of the 401(k) Plan matching contributions is based on the employee’s tenure at the Company, and over time an employee becomes increasingly vested in both prior and new matching contributions. | |||||||||||||||||||||||||
See Note 17 for further discussion on equity compensation plans. | |||||||||||||||||||||||||
Taxes | ' | ||||||||||||||||||||||||
Taxes | |||||||||||||||||||||||||
We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable subsidiaries) within the time frame set forth in the tax code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with FASB guidance on accounting for uncertainty in income taxes. We classify interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in our consolidated statements of income. | |||||||||||||||||||||||||
See Note 20 for further discussion on taxes. | |||||||||||||||||||||||||
Recent Accounting Pronouncements | ' | ||||||||||||||||||||||||
Recent Accounting Pronouncements | |||||||||||||||||||||||||
In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, “Revenue from Contracts with Customers.” ASU 2014-09 supersedes the revenue recognition requirements in “Topic 605, Revenue Recognition” and requires entities to recognize revenue in a way that depicts the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. ASU 2014-09 is effective retrospectively for annual or interim reporting periods beginning after December 15, 2016, with early application not permitted. We are currently evaluating the new standard. | |||||||||||||||||||||||||
Balance Sheet Netting | ' | ||||||||||||||||||||||||
Balance Sheet Netting | |||||||||||||||||||||||||
Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. | |||||||||||||||||||||||||
The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Balance Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
30-Jun-14 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 1,925 | $ | - | $ | 1,925 | $ | -572 | $ | - | $ | 1,353 | |||||||||||||
Credit default index swaps | 588 | - | 588 | - | - | 588 | |||||||||||||||||||
TBAs | 3,294 | - | 3,294 | -2,499 | - | 795 | |||||||||||||||||||
Total Assets | $ | 5,807 | $ | - | $ | 5,807 | $ | -3,071 | $ | - | $ | 2,736 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | -32,637 | $ | - | $ | -32,637 | $ | 572 | $ | 32,065 | $ | - | |||||||||||||
TBAs | -5,540 | - | -5,540 | 2,499 | 1,746 | -1,295 | |||||||||||||||||||
Futures | -494 | - | -494 | - | 494 | - | |||||||||||||||||||
Loan warehouse debt | -864,680 | - | -864,680 | 864,680 | - | - | |||||||||||||||||||
Security repurchase agreements | -853,750 | - | -853,750 | 853,750 | - | - | |||||||||||||||||||
Commercial borrowings | -52,916 | - | -52,916 | 52,916 | - | - | |||||||||||||||||||
Total Liabilities | $ | -1,810,017 | $ | - | $ | -1,810,017 | $ | 1,774,417 | $ | 34,305 | $ | -1,295 | |||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated Balance | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
31-Dec-13 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 6,566 | $ | - | $ | 6,566 | $ | -5,402 | $ | - | $ | 1,164 | |||||||||||||
TBAs | 1,138 | - | 1,138 | -656 | -482 | - | |||||||||||||||||||
Futures | - | - | - | - | - | - | |||||||||||||||||||
Total Assets | $ | 7,704 | $ | - | $ | 7,704 | $ | -6,058 | $ | -482 | $ | 1,164 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | -16,599 | $ | - | $ | -16,599 | $ | 5,402 | $ | 11,197 | $ | - | |||||||||||||
TBAs | -661 | - | -661 | 656 | 5 | - | |||||||||||||||||||
Futures | -528 | - | -528 | - | 528 | - | |||||||||||||||||||
Loan warehouse debt | -184,789 | - | -184,789 | 184,789 | - | - | |||||||||||||||||||
Security repurchase agreements | -677,974 | - | -677,974 | 677,974 | - | - | |||||||||||||||||||
Commercial borrowings | -49,467 | - | -49,467 | 49,467 | - | - | |||||||||||||||||||
Total Liabilities | $ | -930,018 | $ | - | $ | -930,018 | $ | 918,288 | $ | 11,730 | $ | - | |||||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. Commercial borrowings are a component of long-term debt on our consolidated balance sheets. | ||||||||||||||||||||||||
For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between Redwood and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty and references herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting arrangement or similar agreement provides for settlement on a net basis and for settlement to include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party that should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | ' | ||||||||||||||||||||||||
The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | |||||||||||||||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Balance Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
June 30, 2014 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 1,925 | $ | - | $ | 1,925 | $ | (572) | $ | - | $ | 1,353 | |||||||||||||
Credit default index swaps | 588 | - | 588 | - | - | 588 | |||||||||||||||||||
TBAs | 3,294 | - | 3,294 | (2,499) | - | 795 | |||||||||||||||||||
Total Assets | $ | 5,807 | $ | - | $ | 5,807 | $ | (3,071) | $ | - | $ | 2,736 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (32,637) | $ | - | $ | (32,637) | $ | 572 | $ | 32,065 | $ | - | |||||||||||||
TBAs | (5,540) | - | (5,540) | 2,499 | 1,746 | (1,295) | |||||||||||||||||||
Futures | (494) | - | (494) | - | 494 | - | |||||||||||||||||||
Loan warehouse debt | (864,680) | - | (864,680) | 864,680 | - | - | |||||||||||||||||||
Security repurchase agreements | (853,750) | - | (853,750) | 853,750 | - | - | |||||||||||||||||||
Commercial borrowings | (52,916) | - | (52,916) | 52,916 | - | - | |||||||||||||||||||
Total Liabilities | $ | (1,810,017) | $ | - | $ | (1,810,017) | $ | 1,774,417 | $ | 34,305 | $ | (1,295) | |||||||||||||
Gross | Gross | Net Amounts of | Gross Amounts Not Offset | ||||||||||||||||||||||
Amounts of | Amounts | Assets | in Consolidated Balance | ||||||||||||||||||||||
Recognized | Offset in | (Liabilities) | Sheet (1) | ||||||||||||||||||||||
Assets | Consolidated | Presented in | |||||||||||||||||||||||
(Liabilities) | Balance | Consolidated | |||||||||||||||||||||||
December 31, 2013 | Sheet | Balance Sheet | Financial | Cash | Net Amount | ||||||||||||||||||||
(In Thousands) | Instruments | Collateral | |||||||||||||||||||||||
(Received) | |||||||||||||||||||||||||
Pledged | |||||||||||||||||||||||||
Assets (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | 6,566 | $ | - | $ | 6,566 | $ | (5,402) | $ | - | $ | 1,164 | |||||||||||||
TBAs | 1,138 | - | 1,138 | (656) | (482) | - | |||||||||||||||||||
Futures | - | - | - | - | - | - | |||||||||||||||||||
Total Assets | $ | 7,704 | $ | - | $ | 7,704 | $ | (6,058) | $ | (482) | $ | 1,164 | |||||||||||||
Liabilities (2) | |||||||||||||||||||||||||
Interest rate agreements | $ | (16,599) | $ | - | $ | (16,599) | $ | 5,402 | $ | 11,197 | $ | - | |||||||||||||
TBAs | (661) | - | (661) | 656 | 5 | - | |||||||||||||||||||
Futures | (528) | - | (528) | - | 528 | - | |||||||||||||||||||
Loan warehouse debt | (184,789) | - | (184,789) | 184,789 | - | - | |||||||||||||||||||
Security repurchase agreements | (677,974) | - | (677,974) | 677,974 | - | - | |||||||||||||||||||
Commercial borrowings | (49,467) | - | (49,467) | 49,467 | - | - | |||||||||||||||||||
Total Liabilities | $ | (930,018) | $ | - | $ | (930,018) | $ | 918,288 | $ | 11,730 | $ | - | |||||||||||||
-1 | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. | ||||||||||||||||||||||||
-2 | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. Commercial borrowings are a component of long-term debt on our consolidated balance sheets. |
Principles_of_Consolidation_Ta
Principles of Consolidation (Tables) | 6 Months Ended | ||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | ' | ||||||||||||||||||
The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||
Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||
Principal balance of loans transferred | $ | 347,305 | $ | 1,802,058 | $ | 347,305 | $ | 4,042,710 | |||||||||||
Trading securities retained, at fair value | 69,563 | 40,642 | 69,563 | 91,850 | |||||||||||||||
AFS securities retained, at fair value | 20,428 | 92,367 | 20,428 | 207,095 | |||||||||||||||
Gains on sale | - | - | - | - | |||||||||||||||
MSRs recognized | 2,186 | 16,148 | 2,186 | 28,614 | |||||||||||||||
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | ' | ||||||||||||||||||
The following table summarizes the cash flows between us and the unconsolidated VIEs sponsored by us during the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||
Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||
Cash proceeds | $ | 267,776 | $ | 1,705,504 | $ | 267,776 | $ | 3,859,354 | |||||||||||
MSR fees received | 3,624 | 2,099 | 7,047 | 3,075 | |||||||||||||||
Funding of compensating interest | (43) | (145) | (76) | (263) | |||||||||||||||
Cash flows received on retained securities | 15,924 | 9,883 | 28,227 | 14,950 | |||||||||||||||
MSR Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | ' | ||||||||||||||||||
The following table presents the key weighted-average assumptions to measure MSRs at the date of securitization. | |||||||||||||||||||
MSR Assumptions Related to Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
Issued During | |||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||
At Date of Securitization | 2014 2013 | 2014 2013 | |||||||||||||||||
Prepayment speeds | 5 - 15 % 5 - 12 % | 5 - 15 % 5 - 14 % | |||||||||||||||||
Discount rates | 11 % 12 % | 11 % 12 % | |||||||||||||||||
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | ' | ||||||||||||||||||
The following table presents additional information at June 30, 2014 and December 31, 2013, related to unconsolidated securitizations accounted for as sales since 2012. Loans at these securitization entities have not incurred any credit losses. | |||||||||||||||||||
Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||
On-balance sheet assets, at fair value: | |||||||||||||||||||
Interest-only and senior securities, classified as trading | $ | 159,311 | $ | 110,505 | |||||||||||||||
Senior and subordinate securities, classified as AFS | 449,863 | 405,415 | |||||||||||||||||
Maximum loss exposure (1) | 609,174 | 515,920 | |||||||||||||||||
Assets transferred: | |||||||||||||||||||
Principal balance of loans outstanding | 6,730,820 | 6,627,874 | |||||||||||||||||
Principal balance of delinquent loans 30+ days delinquent | 7,041 | 14,587 | |||||||||||||||||
-1 | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. | ||||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | ' | ||||||||||||||||||
The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at June 30, 2014 and December 31, 2013. | |||||||||||||||||||
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood | |||||||||||||||||||
30-Jun-14 | MSRs | Senior Securities | Subordinate | ||||||||||||||||
(Dollars in Thousands) | Securities | ||||||||||||||||||
Fair value at June 30, 2014 | $ | 54,712 | $ | 159,311 | $ | 449,863 | |||||||||||||
Expected life (in years) (1) | 7 | 7 | 11 | ||||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 12% | 9% | 10% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% adverse change | $ | 2,088 | $ | 7,254 | $ | 1,345 | |||||||||||||
25% adverse change | 4,908 | 12,104 | 3,519 | ||||||||||||||||
Discount rate assumption (1) | 11% | 5% | 6% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
100 basis point increase | $ | 2,194 | $ | 7,929 | $ | 34,532 | |||||||||||||
200 basis point increase | 4,212 | 15,159 | 65,057 | ||||||||||||||||
Credit loss assumption (1) | N/A | 0.23% | 0.23% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% higher losses | N/A | $ | 89 | $ | 1,197 | ||||||||||||||
25% higher losses | N/A | 222 | 2,380 | ||||||||||||||||
31-Dec-13 | MSRs | Senior Interest-only | Subordinate | ||||||||||||||||
(Dollars in Thousands) | Securities | Securities | |||||||||||||||||
Fair value at December 31, 2013 | $ | 60,318 | $ | 110,505 | $ | 405,415 | |||||||||||||
Expected life (in years) (1) | 8 | 7 | 11 | ||||||||||||||||
Prepayment speed assumption (annual CPR) (1) | 8% | 10% | 11% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% adverse change | $ | 1,649 | $ | 5,773 | $ | 1,658 | |||||||||||||
25% adverse change | 4,218 | 13,555 | 4,354 | ||||||||||||||||
Discount rate assumption (1) | 11% | 5% | 6% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
100 basis point increase | $ | 2,468 | $ | 5,632 | $ | 30,644 | |||||||||||||
200 basis point increase | 4,828 | 10,757 | 57,836 | ||||||||||||||||
Credit loss assumption (1) | N/A | 0.23% | 0.23% | ||||||||||||||||
Decrease in fair value from: | |||||||||||||||||||
10% higher losses | N/A | $ | 70 | $ | 1,369 | ||||||||||||||
25% higher losses | N/A | 175 | 3,420 | ||||||||||||||||
-1 | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. | ||||||||||||||||||
Loan Transfers Accounted for as Secured Borrowings | ' | ||||||||||||||||||
The following table presents a summary of our interests in third-party VIEs at June 30, 2014, grouped by collateral type. | |||||||||||||||||||
Third-Party Sponsored VIE Summary | |||||||||||||||||||
(In Thousands) | June 30, 2014 | ||||||||||||||||||
Residential real estate securities at Redwood | |||||||||||||||||||
Senior | $ | 663,587 | |||||||||||||||||
Re-REMIC | 192,596 | ||||||||||||||||||
Subordinate | 133,857 | ||||||||||||||||||
Total Investments in Third-Party Real Estate Securities | $ | 990,040 | |||||||||||||||||
Variable Interest Entity, Primary Beneficiary | ' | ||||||||||||||||||
Schedule of Variable Interest Entities | ' | ||||||||||||||||||
The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||||
Assets and Liabilities of Consolidated VIEs at June 30, 2014 | |||||||||||||||||||
June 30, 2014 | Sequoia | Residential | Commercial | Total | |||||||||||||||
(Dollars in Thousands) | Entities | Resecuritization | Securitization | ||||||||||||||||
Residential loans, held-for-investment | $ | 1,616,504 | $ | - | $ | - | $ | 1,616,504 | |||||||||||
Commercial loans, held-for-investment | - | - | 254,615 | 254,615 | |||||||||||||||
Real estate securities, at fair value | - | 245,853 | - | 245,853 | |||||||||||||||
Restricted cash | 145 | - | 138 | 283 | |||||||||||||||
Accrued interest receivable | 2,391 | 549 | 1,826 | 4,766 | |||||||||||||||
Other assets | 3,323 | - | 79 | 3,402 | |||||||||||||||
Total Assets | $ | 1,622,363 | $ | 246,402 | $ | 256,658 | $ | 2,125,423 | |||||||||||
Accrued interest payable | $ | 1,078 | $ | 17 | $ | 678 | $ | 1,773 | |||||||||||
Asset-backed securities issued | 1,553,669 | 69,709 | 144,700 | 1,768,078 | |||||||||||||||
Total Liabilities | $ | 1,554,747 | $ | 69,726 | $ | 145,378 | $ | 1,769,851 | |||||||||||
Number of VIEs | 24 | 1 | 1 | 26 | |||||||||||||||
Variable Interest Entity, Not Primary Beneficiary | ' | ||||||||||||||||||
Schedule of Variable Interest Entities | ' | ||||||||||||||||||
The following table presents commercial loan transfers accounted for as secured borrowings for the three and six months ended June 30, 2014. | |||||||||||||||||||
Loan Transfers Accounted for as Secured Borrowings | |||||||||||||||||||
(In Thousands) | Three Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2014 | June 30, 2014 | ||||||||||||||||||
Principal balance | $ | 29,500 | $ | 63,375 | |||||||||||||||
Cash proceeds | 30,274 | 65,048 |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 6 Months Ended | ||||||||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||||||||
Carrying Values and Estimated Fair Values of Assets and Liabilities | ' | ||||||||||||||||||||||||||||||
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||||||
30-Jun-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||
(In Thousands) | Carrying | Fair | Carrying | Fair | |||||||||||||||||||||||||||
Value | Value | Value | Value | ||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, held-for-sale | |||||||||||||||||||||||||||||||
At fair value | $ | 1,106,239 | $ | 1,106,239 | $ | 402,602 | $ | 402,602 | |||||||||||||||||||||||
At lower of cost or fair value | 1,638 | 1,788 | 1,665 | 1,817 | |||||||||||||||||||||||||||
Residential loans, held-for-investment | 1,616,504 | 1,508,571 | 1,762,167 | 1,610,024 | |||||||||||||||||||||||||||
Commercial loans, held-for-sale | 50,848 | 50,848 | 89,111 | 89,111 | |||||||||||||||||||||||||||
Commercial loans, held-for-investment | |||||||||||||||||||||||||||||||
At fair value | 71,270 | 71,270 | - | - | |||||||||||||||||||||||||||
At amortized cost | 346,648 | 353,004 | 343,344 | 348,305 | |||||||||||||||||||||||||||
Trading securities | 173,281 | 173,281 | 124,555 | 124,555 | |||||||||||||||||||||||||||
Available-for-sale securities | 1,671,786 | 1,671,786 | 1,558,306 | 1,558,306 | |||||||||||||||||||||||||||
MSRs | 71,225 | 71,225 | 64,824 | 64,824 | |||||||||||||||||||||||||||
Cash and cash equivalents | 157,079 | 157,079 | 173,201 | 173,201 | |||||||||||||||||||||||||||
Restricted cash | 393 | 393 | 398 | 398 | |||||||||||||||||||||||||||
Accrued interest receivable | 15,109 | 15,109 | 13,475 | 13,475 | |||||||||||||||||||||||||||
Derivative assets | 7,514 | 7,514 | 7,787 | 7,787 | |||||||||||||||||||||||||||
REO (1) | 3,323 | 3,767 | 3,661 | 4,084 | |||||||||||||||||||||||||||
Margin receivable (1) | 58,455 | 58,455 | 31,149 | 31,149 | |||||||||||||||||||||||||||
Other collateral posted (1) | 5,000 | 5,000 | 5,000 | 5,000 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Short-term debt | $ | 1,718,430 | $ | 1,718,430 | $ | 862,763 | $ | 862,763 | |||||||||||||||||||||||
Accrued interest payable | 7,154 | 7,154 | 6,366 | 6,366 | |||||||||||||||||||||||||||
Derivative liabilities | 39,837 | 39,837 | 18,167 | 18,167 | |||||||||||||||||||||||||||
ABS issued | 1,768,078 | 1,656,135 | 1,942,962 | 1,746,906 | |||||||||||||||||||||||||||
Commercial long-term debt | 52,916 | 52,916 | 49,467 | 49,467 | |||||||||||||||||||||||||||
Commercial secured borrowings | 66,692 | 66,692 | - | - | |||||||||||||||||||||||||||
Convertible notes | 287,500 | 296,700 | 287,500 | 299,719 | |||||||||||||||||||||||||||
Other long-term debt | 139,500 | 110,903 | 139,500 | 111,600 | |||||||||||||||||||||||||||
-1 | These assets are included in Other Assets on our consolidated balance sheets. | ||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on Recurring Basis | ' | ||||||||||||||||||||||||||||||
The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at June 30, 2014, as well as the fair value hierarchy of the valuation inputs used to measure fair value. | |||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Recurring Basis at June 30, 2014 | |||||||||||||||||||||||||||||||
June 30, 2014 | Carrying | Fair Value Measurements Using | |||||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 1,106,239 | $ | - | $ | 259,675 | $ | 846,564 | |||||||||||||||||||||||
Commercial loans, at fair value | 122,118 | - | - | 122,118 | |||||||||||||||||||||||||||
Trading securities | 173,281 | - | - | 173,281 | |||||||||||||||||||||||||||
Available-for-sale securities | 1,671,786 | - | - | 1,671,786 | |||||||||||||||||||||||||||
MSRs | 71,225 | - | - | 71,225 | |||||||||||||||||||||||||||
Derivative assets | 7,514 | 3,295 | 2,513 | 1,707 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Derivative liabilities | 39,837 | 6,034 | 33,758 | 45 | |||||||||||||||||||||||||||
Commercial secured borrowings | 66,692 | - | - | 66,692 | |||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | ' | ||||||||||||||||||||||||||||||
The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2014. | |||||||||||||||||||||||||||||||
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | |||||||||||||||||||||||||||||||
Assets | Liabilities | ||||||||||||||||||||||||||||||
(In Thousands) | Residential | Commercial | Trading | AFS | MSRs | Derivatives (1) | Commercial | ||||||||||||||||||||||||
Loans | Loans | Securities | Securities | Secured | |||||||||||||||||||||||||||
Borrowings | |||||||||||||||||||||||||||||||
Beginning balance - December 31, 2013 | $ | 391,100 | $ | 89,111 | $ | 124,555 | $ | 1,558,306 | $ | 64,824 | $ | (379) | $ | - | |||||||||||||||||
Principal paydowns | (11,563) | (3,463) | (2,714) | (92,590) | - | - | (115) | ||||||||||||||||||||||||
Gains (losses) in net income, net | 21,849 | 11,099 | (13,133) | 23,485 | (8,265) | 5,108 | 1,759 | ||||||||||||||||||||||||
Unrealized gains in OCI, net | - | - | - | 32,888 | - | - | - | ||||||||||||||||||||||||
Acquisitions | 1,717,244 | 271,424 | 64,573 | 151,010 | 14,666 | - | 65,048 | ||||||||||||||||||||||||
Sales | (1,269,330) | (246,053) | - | (1,313) | - | - | - | ||||||||||||||||||||||||
Other settlements, net | (2,736) | - | - | - | - | (3,067) | - | ||||||||||||||||||||||||
Ending Balance - June 30, 2014 | $ | 846,564 | $ | 122,118 | $ | 173,281 | $ | 1,671,786 | $ | 71,225 | $ | 1,662 | $ | 66,692 | |||||||||||||||||
(1) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented net. | |||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | ' | ||||||||||||||||||||||||||||||
The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2014 and 2013. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2014 and 2013 are not included in this presentation. | |||||||||||||||||||||||||||||||
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2014 and 2013 Included in Net Income | |||||||||||||||||||||||||||||||
Included in Net Income | |||||||||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 11,755 | $ | (59,649) | $ | 11,964 | $ | (59,641) | |||||||||||||||||||||||
Commercial loans, at fair value | 2,008 | - | 2,008 | - | |||||||||||||||||||||||||||
Trading securities | (9,257) | 31,354 | (13,688) | 30,866 | |||||||||||||||||||||||||||
Available-for-sale securities | (264) | (1,642) | (377) | (1,665) | |||||||||||||||||||||||||||
MSRs | (4,974) | 9,450 | (7,236) | 9,532 | |||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Loan purchase commitments | 1,707 | - | 1,707 | - | |||||||||||||||||||||||||||
Commercial secured borrowing | 1,759 | - | 1,759 | - | |||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | ' | ||||||||||||||||||||||||||||||
The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2014. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our balance sheet at June 30, 2014. | |||||||||||||||||||||||||||||||
Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2014 | |||||||||||||||||||||||||||||||
Gain (Loss) for | |||||||||||||||||||||||||||||||
June 30, 2014 | Carrying | Fair Value Measurements Using | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||
(In Thousands) | Value | Level 1 | Level 2 | Level 3 | June 30, 2014 | June 30, 2014 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 1,107 | $ | - | $ | - | $ | 1,107 | $ | 1 | $ | (2) | |||||||||||||||||||
REO | 2,326 | - | - | 2,326 | (521) | (343) | |||||||||||||||||||||||||
Market Valuation Adjustments, Net | ' | ||||||||||||||||||||||||||||||
The following table presents the components of market valuation adjustments, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||||||||
Market Valuation Adjustments, Net | |||||||||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||||
Mortgage banking activities | |||||||||||||||||||||||||||||||
Residential loans, at fair value | $ | 13,375 | $ | (41,405) | $ | 20,403 | $ | (6,535) | |||||||||||||||||||||||
Commercial loans, at fair value | 5,714 | (345) | 9,340 | (345) | |||||||||||||||||||||||||||
Trading securities | (8,810) | 36,336 | (13,087) | 38,265 | |||||||||||||||||||||||||||
Derivative instruments, net | (8,673) | 49,544 | (15,755) | 50,567 | |||||||||||||||||||||||||||
Loan purchase and forward sale commitments | 3,582 | - | 3,590 | - | |||||||||||||||||||||||||||
Total mortgage banking activities (1) | 5,188 | 44,130 | 4,491 | 81,952 | |||||||||||||||||||||||||||
MSRs | (5,553) | 8,827 | (8,265) | 9,169 | |||||||||||||||||||||||||||
Other | |||||||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 13 | 38 | 11 | 78 | |||||||||||||||||||||||||||
Trading securities | 77 | (4,140) | (76) | (4,707) | |||||||||||||||||||||||||||
Impairments on AFS securities | (264) | (1,642) | (377) | (1,665) | |||||||||||||||||||||||||||
REO | (321) | (558) | (464) | (331) | |||||||||||||||||||||||||||
Other derivative instruments, net | (3,626) | 44 | (9,354) | 64 | |||||||||||||||||||||||||||
Total other | (4,121) | (6,258) | (10,260) | (6,561) | |||||||||||||||||||||||||||
Total Market Valuation Adjustments, Net | $ | (4,486) | $ | 46,699 | $ | (14,034) | $ | 84,560 | |||||||||||||||||||||||
-1 | Income from mortgage banking activities presented above does not include fee income that is a component of mortgage banking income presented on our consolidated statements of income as it does not represent a market valuation adjustment. | ||||||||||||||||||||||||||||||
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | ' | ||||||||||||||||||||||||||||||
The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. | |||||||||||||||||||||||||||||||
Fair Value Methodology for Level 3 Financial Instruments | |||||||||||||||||||||||||||||||
30-Jun-14 | Fair | Unobservable Input | Range | Weighted | |||||||||||||||||||||||||||
(Dollars in Thousands) | Value | Average | |||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||
Residential loans, at fair value: | |||||||||||||||||||||||||||||||
Loans priced to securitization or priced to whole loan market and uncommitted to sell | $ | 417,941 | Discount rate | 3 - 4 % | 4% | ||||||||||||||||||||||||||
Prepayment rate | 10 - 10 % | 10% | |||||||||||||||||||||||||||||
Default rate | 1 - 1 % | 1% | |||||||||||||||||||||||||||||
Loss severity | 22 - 22 % | 22% | |||||||||||||||||||||||||||||
Credit support | 6 - 8 % | 8% | |||||||||||||||||||||||||||||
Spread to securitization | 50 bps - 50 bps | 50 bps | |||||||||||||||||||||||||||||
Loans priced to whole loan market, committed to sell | 428,624 | Pool fallout assumption | 10 bps - 10 bps | 10 bps | |||||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | 1,107 | Loss severity | 15-28 % | 21% | |||||||||||||||||||||||||||
Commercial loans, at fair value | 122,118 | Credit spread | 136 bps - 136 bps | 136 bps | |||||||||||||||||||||||||||
Credit support | 24 - 24 % | 24% | |||||||||||||||||||||||||||||
Trading and AFS securities | 1,845,067 | Discount rate | 4 - 12 % | 6% | |||||||||||||||||||||||||||
Prepayment speed | 1 - 35 % | 14% | |||||||||||||||||||||||||||||
Default rate | 0 - 35 % | 7% | |||||||||||||||||||||||||||||
Loss severity | 20 - 64 % | 33% | |||||||||||||||||||||||||||||
Credit support | 0 - 84 % | 6% | |||||||||||||||||||||||||||||
MSRs | 71,225 | Discount rate | 9 - 11 % | 11% | |||||||||||||||||||||||||||
Prepayment rate | 6 - 60 % | 12% | |||||||||||||||||||||||||||||
REO | 2,326 | Loss severity | 0 - 93 % | 18% | |||||||||||||||||||||||||||
Loan purchase commitments, net (1) | 1,662 | MSR Multiple | 1 - 5x | 4x | |||||||||||||||||||||||||||
Pullthrough rate | 57 - 99 % | 81% | |||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||
Commercial secured financing | 66,692 | Credit spread | 136 bps - 136 bps | 136 bps | |||||||||||||||||||||||||||
Credit support | 24 - 24 % | 24% | |||||||||||||||||||||||||||||
(1) For the purpose of this presentation loan purchase commitment assets and liabilities are presented net. |
Loans_Tables
Loans (Tables) | 6 Months Ended | ||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||
Residential Loans | ' | ||||||||||||||||||||||
Summary of Classifications and Carrying Value of Loans | ' | ||||||||||||||||||||||
The following table summarizes the classifications and carrying value of the residential loans owned at Redwood and at consolidated Sequoia entities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
June 30, 2014 | Redwood | Sequoia | Total | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Held-for-sale | |||||||||||||||||||||||
Fair value - Conforming | $ | 259,675 | $ | - | $ | 259,675 | |||||||||||||||||
Fair value - Jumbo | 846,564 | - | 846,564 | ||||||||||||||||||||
Lower of cost or fair value | 1,638 | - | 1,638 | ||||||||||||||||||||
Held-for-investment | - | 1,616,504 | 1,616,504 | ||||||||||||||||||||
Total Residential Loans | $ | 1,107,877 | $ | 1,616,504 | $ | 2,724,381 | |||||||||||||||||
December 31, 2013 | Redwood | Sequoia | Total | ||||||||||||||||||||
(In Thousands) | |||||||||||||||||||||||
Held-for-sale | |||||||||||||||||||||||
Fair value - Conforming | $ | 11,502 | $ | - | $ | 11,502 | |||||||||||||||||
Fair value - Jumbo | 391,100 | - | 391,100 | ||||||||||||||||||||
Lower of cost or fair value | 1,665 | - | 1,665 | ||||||||||||||||||||
Held-for-investment | - | 1,762,167 | 1,762,167 | ||||||||||||||||||||
Total Residential Loans | $ | 404,267 | $ | 1,762,167 | $ | 2,166,434 | |||||||||||||||||
Carrying Value for Loans Held-for-Investment | ' | ||||||||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at June 30, 2014 and December 31, 2013. These loans are owned at Sequoia securitization entities that we consolidate for financial reporting purposes. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Principal balance | $ | 1,625,890 | $ | 1,770,803 | |||||||||||||||||||
Unamortized premium, net | 14,586 | 16,791 | |||||||||||||||||||||
Recorded investment | 1,640,476 | 1,787,594 | |||||||||||||||||||||
Allowance for loan losses | (23,972) | (25,427) | |||||||||||||||||||||
Carrying Value | $ | 1,616,504 | $ | 1,762,167 | |||||||||||||||||||
Recorded Investment in Residential Loans Held-For-Investment Organized by Year of Origination | ' | ||||||||||||||||||||||
The following table displays our recorded investment in residential loans held-for-investment at June 30, 2014 and December 31, 2013, organized by year of origination. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
2003 & Earlier | $ | 798,571 | $ | 881,364 | |||||||||||||||||||
2004 | 479,478 | 513,458 | |||||||||||||||||||||
2005 | 60,138 | 62,675 | |||||||||||||||||||||
2006 | 141,937 | 149,776 | |||||||||||||||||||||
2007 | - | - | |||||||||||||||||||||
2008 | - | - | |||||||||||||||||||||
2009 | 19,994 | 25,860 | |||||||||||||||||||||
2010 | 84,992 | 92,728 | |||||||||||||||||||||
2011 | 55,366 | 61,733 | |||||||||||||||||||||
Total Recorded Investment | $ | 1,640,476 | $ | 1,787,594 | |||||||||||||||||||
Summary of Activity in Allowance for Loans Losses | ' | ||||||||||||||||||||||
The following table summarizes the activity in the allowance for loan losses for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Balance at beginning of period | $ | 25,571 | $ | 29,064 | $ | 25,427 | $ | 28,504 | |||||||||||||||
Charge-offs, net | (994) | (1,751) | (1,478) | (2,545) | |||||||||||||||||||
(Reversal of provision) provision for loan losses | (605) | (4,163) | 23 | (2,809) | |||||||||||||||||||
Balance at End of Period | $ | 23,972 | $ | 23,150 | $ | 23,972 | $ | 23,150 | |||||||||||||||
Loan Modifications Determined to be Troubled Debt Restructuring | ' | ||||||||||||||||||||||
The following table presents the details of the loan modifications determined to be TDRs for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(Dollars in Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
TDRs | |||||||||||||||||||||||
Number of modifications | 9 | 4 | 14 | 7 | |||||||||||||||||||
Pre-modification outstanding recorded investment | $ | 3,052 | $ | 1,031 | $ | 4,967 | $ | 1,795 | |||||||||||||||
Post-modification outstanding recorded investment | 3,272 | 1,145 | 5,165 | 1,941 | |||||||||||||||||||
Loan modification effect on net interest income after provision and other MVA | (812) | (140) | (1,221) | (309) | |||||||||||||||||||
TDRs that Subsequently Defaulted | |||||||||||||||||||||||
Number of modifications | 3 | 1 | 6 | 3 | |||||||||||||||||||
Recorded investment | $ | 1,574 | $ | 178 | $ | 2,493 | $ | 587 | |||||||||||||||
Residential Loans | Collectively Evaluated for Impairment | ' | ||||||||||||||||||||||
Loans Evaluated for Impairment | ' | ||||||||||||||||||||||
The following table summarizes the balances for loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Principal balance | $ | 1,612,303 | $ | 1,762,165 | |||||||||||||||||||
Recorded investment | 1,627,228 | 1,779,161 | |||||||||||||||||||||
Related allowance | 22,695 | 24,762 | |||||||||||||||||||||
Recorded Investment and Past Due Status of Loans | ' | ||||||||||||||||||||||
The following table summarizes the recorded investment and past due status of residential loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-59 Days | 60-89 Days | 90+ Days | Current | Total Loans | ||||||||||||||||||
Past Due | Past Due | Past Due | |||||||||||||||||||||
June 30, 2014 | $ | 25,639 | $ | 9,619 | $ | 74,393 | $ | 1,517,577 | $ | 1,627,228 | |||||||||||||
December 31, 2013 | 34,187 | 13,248 | 79,010 | 1,652,716 | 1,779,161 | ||||||||||||||||||
Residential Loans | Individually Evaluated for Impairment | ' | ||||||||||||||||||||||
Recorded Investment and Past Due Status of Loans | ' | ||||||||||||||||||||||
The following table summarizes the recorded investment and past due status of residential loans individually evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | 30-59 Days | 60-89 Days | 90+ Days | Current | Total Loans | ||||||||||||||||||
Past Due | Past Due | Past Due | |||||||||||||||||||||
June 30, 2014 | $ | 1,611 | $ | 1,319 | $ | 551 | $ | 9,767 | $ | 13,248 | |||||||||||||
December 31, 2013 | 1,560 | - | 567 | 6,306 | 8,433 | ||||||||||||||||||
Loans Evaluated for Impairment | ' | ||||||||||||||||||||||
The following table summarizes the balances for loans individually evaluated for impairment, all of which had an allowance, at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Principal balance | $ | 13,587 | $ | 8,638 | |||||||||||||||||||
Recorded investment | 13,248 | 8,433 | |||||||||||||||||||||
Related allowance | 1,277 | 665 | |||||||||||||||||||||
Commercial Loans | ' | ||||||||||||||||||||||
Summary of Classifications and Carrying Value of Loans | ' | ||||||||||||||||||||||
The following table summarizes the classifications and carrying value of commercial loans at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Held-for-sale, at fair value | $ | 50,848 | $ | 89,111 | |||||||||||||||||||
Held-for-investment | |||||||||||||||||||||||
At fair value | 71,270 | - | |||||||||||||||||||||
At amortized cost | 346,648 | 343,344 | |||||||||||||||||||||
Total Commercial Loans | $ | 468,766 | $ | 432,455 | |||||||||||||||||||
Carrying Value for Loans Held-for-Investment | ' | ||||||||||||||||||||||
The following table provides additional information for our commercial loans held-for-investment at amortized cost at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Principal balance | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Unamortized discount, net | (2,327) | (2,614) | |||||||||||||||||||||
Recorded investment | 354,965 | 350,717 | |||||||||||||||||||||
Allowance for loan losses | (8,317) | (7,373) | |||||||||||||||||||||
Carrying Value | $ | 346,648 | $ | 343,344 | |||||||||||||||||||
Summary of Activity in Allowance for Loans Losses | ' | ||||||||||||||||||||||
The following table summarizes the activity in the allowance for commercial loan losses for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Balance at beginning of period | $ | 8,028 | $ | 4,769 | $ | 7,373 | $ | 4,084 | |||||||||||||||
Charge-offs, net | - | - | - | - | |||||||||||||||||||
Provision for loan losses | 289 | 891 | 944 | 1,576 | |||||||||||||||||||
Balance at End of Period | $ | 8,317 | $ | 5,660 | $ | 8,317 | $ | 5,660 | |||||||||||||||
Commercial Loans | Collectively Evaluated for Impairment | ' | ||||||||||||||||||||||
Loans Evaluated for Impairment | ' | ||||||||||||||||||||||
The following table summarizes the balances for loans collectively evaluated for impairment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Principal balance | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Recorded investment | 354,965 | 350,717 | |||||||||||||||||||||
Related allowance | 8,317 | 7,373 | |||||||||||||||||||||
Commercial Loans Held For Investment | ' | ||||||||||||||||||||||
Commercial Loans Held-for-Investment by Risk Category | ' | ||||||||||||||||||||||
The following table presents the principal balance of commercial loans held-for-investment by risk category. | |||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||
Pass | $ | 331,558 | $ | 309,792 | |||||||||||||||||||
Watch list | 25,734 | 43,539 | |||||||||||||||||||||
Workout | - | - | |||||||||||||||||||||
Total Commercial Loans Held-for-Investment | $ | 357,292 | $ | 353,331 | |||||||||||||||||||
Real_Estate_Securities_Tables
Real Estate Securities (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Fair Values of Real Estate Securities | ' | ||||||||||||||||||||||||
The following table presents the fair values of our real estate securities by type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Trading | $ | 173,281 | $ | 124,555 | |||||||||||||||||||||
Available-for-sale | 1,671,786 | 1,558,306 | |||||||||||||||||||||||
Total Real Estate Securities | $ | 1,845,067 | $ | 1,682,861 | |||||||||||||||||||||
Trading Securities by Collateral Type | ' | ||||||||||||||||||||||||
The following table presents trading securities by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 159,311 | $ | 110,505 | |||||||||||||||||||||
Non-prime | 8,380 | 9,070 | |||||||||||||||||||||||
Total Senior Securities | 167,691 | 119,575 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime | 5,590 | 4,980 | |||||||||||||||||||||||
Non-prime | - | - | |||||||||||||||||||||||
Total Subordinate Securities | 5,590 | 4,980 | |||||||||||||||||||||||
Total Trading Securities | $ | 173,281 | $ | 124,555 | |||||||||||||||||||||
Available for Sale Securities by Collateral Type | ' | ||||||||||||||||||||||||
The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Senior Securities | |||||||||||||||||||||||||
Prime | $ | 711,710 | $ | 662,306 | |||||||||||||||||||||
Non-prime | 192,256 | 193,386 | |||||||||||||||||||||||
Total Senior Securities | 903,966 | 855,692 | |||||||||||||||||||||||
Re-REMIC Securities | 192,596 | 176,376 | |||||||||||||||||||||||
Subordinate Securities | |||||||||||||||||||||||||
Prime | 575,067 | 526,095 | |||||||||||||||||||||||
Non-prime | 157 | 143 | |||||||||||||||||||||||
Total Subordinate Securities | 575,224 | 526,238 | |||||||||||||||||||||||
Total AFS Securities | $ | 1,671,786 | $ | 1,558,306 | |||||||||||||||||||||
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | ' | ||||||||||||||||||||||||
The following table presents the components of carrying value (which equals fair value) of residential AFS securities at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Carrying Value of Residential AFS Securities | |||||||||||||||||||||||||
June 30, 2014 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 710,620 | $ | 209,967 | $ | 223,389 | $ | 717,838 | $ | 1,861,814 | |||||||||||||||
Credit reserve | (5,476) | (9,697) | (17,788) | (50,315) | (83,276) | ||||||||||||||||||||
Unamortized discount, net | (37,763) | (36,387) | (89,089) | (141,054) | (304,293) | ||||||||||||||||||||
Amortized cost | 667,381 | 163,883 | 116,512 | 526,469 | 1,474,245 | ||||||||||||||||||||
Gross unrealized gains | 45,952 | 28,385 | 76,084 | 54,289 | 204,710 | ||||||||||||||||||||
Gross unrealized losses | (1,623) | (12) | - | (5,534) | (7,169) | ||||||||||||||||||||
Carrying Value | $ | 711,710 | $ | 192,256 | $ | 192,596 | $ | 575,224 | $ | 1,671,786 | |||||||||||||||
December 31, 2013 | Senior | ||||||||||||||||||||||||
(In Thousands) | Prime | Non-prime | Re-REMIC | Subordinate | Total | ||||||||||||||||||||
Principal balance | $ | 670,051 | $ | 218,603 | $ | 214,046 | $ | 706,292 | $ | 1,808,992 | |||||||||||||||
Credit reserve | (10,144) | (13,840) | (30,429) | (62,457) | (116,870) | ||||||||||||||||||||
Unamortized discount, net | (44,133) | (36,882) | (80,188) | (137,266) | (298,469) | ||||||||||||||||||||
Amortized cost | 615,774 | 167,881 | 103,429 | 506,569 | 1,393,653 | ||||||||||||||||||||
Gross unrealized gains | 47,980 | 25,654 | 72,947 | 41,205 | 187,786 | ||||||||||||||||||||
Gross unrealized losses | (1,448) | (149) | - | (21,536) | (23,133) | ||||||||||||||||||||
Carrying Value | $ | 662,306 | $ | 193,386 | $ | 176,376 | $ | 526,238 | $ | 1,558,306 | |||||||||||||||
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | ' | ||||||||||||||||||||||||
The following table presents the changes for the three and six months ended June 30, 2014, in unamortized discount and designated credit reserves on residential AFS securities. | |||||||||||||||||||||||||
Changes in Unamortized Discount and Designated Credit Reserves on Residential AFS Securities | |||||||||||||||||||||||||
Three Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Credit | Unamortized | |||||||||||||||||||||||
Reserve | Discount, Net | ||||||||||||||||||||||||
Beginning balance | $ | 95,688 | $ | 303,733 | |||||||||||||||||||||
Amortization of net discount | - | (10,586) | |||||||||||||||||||||||
Realized credit losses | (3,973) | - | |||||||||||||||||||||||
Acquisitions | 257 | 3,246 | |||||||||||||||||||||||
Sales, calls, other | (476) | (584) | |||||||||||||||||||||||
Impairments | 264 | - | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | (8,484) | 8,484 | |||||||||||||||||||||||
Ending Balance | $ | 83,276 | $ | 304,293 | |||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Credit | Unamortized | |||||||||||||||||||||||
Reserve | Discount, Net | ||||||||||||||||||||||||
Beginning balance | $ | 116,870 | $ | 298,469 | |||||||||||||||||||||
Amortization of net discount | - | (21,884) | |||||||||||||||||||||||
Realized credit losses | (7,310) | - | |||||||||||||||||||||||
Acquisitions | 257 | 2,837 | |||||||||||||||||||||||
Sales, calls, other | (1,412) | (635) | |||||||||||||||||||||||
Impairments | 377 | - | |||||||||||||||||||||||
Transfers to (release of) credit reserves, net | (25,506) | 25,506 | |||||||||||||||||||||||
Ending Balance | $ | 83,276 | $ | 304,293 | |||||||||||||||||||||
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | ' | ||||||||||||||||||||||||
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | ||||||||||||||||||||||||
(In Thousands) | Amortized | Unrealized | Fair | Amortized | Unrealized | Fair | |||||||||||||||||||
Cost | Losses | Value | Cost | Losses | Value | ||||||||||||||||||||
30-Jun-14 | $ | 300,804 | $ | (2,691) | $ | 298,113 | $ | 122,012 | $ | (4,478) | $ | 117,534 | |||||||||||||
31-Dec-13 | 607,030 | (21,195) | 585,835 | 19,828 | (1,938) | 17,890 | |||||||||||||||||||
Summary of Significant Valuation Assumptions for Available for Sale Securities | ' | ||||||||||||||||||||||||
The table below summarizes the significant valuation assumptions we used for our OTTI AFS securities at June 30, 2014. | |||||||||||||||||||||||||
Significant Valuation Assumptions | |||||||||||||||||||||||||
Range for Securities | |||||||||||||||||||||||||
June 30, 2014 | Prime Securities | Non-prime | |||||||||||||||||||||||
Prepayment rates | 7 - 20 % | 10 - 10 % | |||||||||||||||||||||||
Loss severity | 20 - 53 % | 35 - 35 % | |||||||||||||||||||||||
Projected default rate | 1 - 20 % | 11 - 11 % | |||||||||||||||||||||||
Activity of Credit Component of Other-than-Temporary Impairments | ' | ||||||||||||||||||||||||
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at June 30, 2014 and 2013, for which a portion of an OTTI was recognized in other comprehensive income. | |||||||||||||||||||||||||
Activity of the Credit Component of Other-than-Temporary Impairments | |||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
Balance at beginning of period | $ | 35,786 | $ | 45,611 | $ | 37,149 | $ | 50,852 | |||||||||||||||||
Additions | |||||||||||||||||||||||||
Initial credit impairments | 190 | - | 261 | - | |||||||||||||||||||||
Subsequent credit impairments | 28 | - | 70 | - | |||||||||||||||||||||
Reductions | |||||||||||||||||||||||||
Securities sold, or expected to sell | (904) | (2,191) | (904) | (2,191) | |||||||||||||||||||||
Securities with no outstanding principal at period end | (844) | (746) | (2,320) | (5,987) | |||||||||||||||||||||
Balance at End of Period | $ | 34,256 | $ | 42,674 | $ | 34,256 | $ | 42,674 | |||||||||||||||||
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | ' | ||||||||||||||||||||||||
The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||
Gross realized gains - sales | $ | 992 | $ | 193 | $ | 992 | $ | 12,231 | |||||||||||||||||
Gross realized gains - calls | - | 333 | 987 | 333 | |||||||||||||||||||||
Gross realized losses - sales | - | - | - | - | |||||||||||||||||||||
Gross realized losses - calls | - | - | - | - | |||||||||||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 992 | $ | 526 | $ | 1,979 | $ | 12,564 | |||||||||||||||||
Mortgage_Servicing_Rights_Tabl
Mortgage Servicing Rights (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Activity for Residential First-Lien Mortgage Servicing Rights | ' | ||||||||||||||||
The following table presents activity for MSRs for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
MSR Activity | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Balance at beginning of period | $ | 64,971 | $ | 18,123 | $ | 64,824 | $ | 5,315 | |||||||||
Additions | 11,807 | 16,148 | 14,666 | 28,614 | |||||||||||||
Changes in fair value due to: | |||||||||||||||||
Changes in assumptions (1) | (3,553) | 9,506 | (4,678) | 10,312 | |||||||||||||
Other changes (2) | (2,000) | (679) | (3,587) | (1,143) | |||||||||||||
Balance at End of Period | $ | 71,225 | $ | 43,098 | $ | 71,225 | $ | 43,098 | |||||||||
-1 | Primarily reflects changes in prepayment assumptions due to changes in interest rates and discount rates. | ||||||||||||||||
-2 | Represents changes due to realization of expected cash flows. | ||||||||||||||||
Details of Retention and Purchase of MSRs | ' | ||||||||||||||||
The following table details the retention and purchase of MSRs during the three and six months ended June 30, 2014. | |||||||||||||||||
MSR Additions | |||||||||||||||||
(In Thousands) | Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2014 | June 30, 2014 | ||||||||||||||||
MSR Value | Associated | MSR Value | Associated | ||||||||||||||
Principal | Principal | ||||||||||||||||
Jumbo MSR additions: | |||||||||||||||||
From securitization | $ | 2,186 | $ | 257,201 | $ | 2,186 | $ | 257,201 | |||||||||
From loan Sales | - | - | 488 | 58,793 | |||||||||||||
Total jumbo MSR additions | 2,186 | 257,201 | 2,674 | 315,994 | |||||||||||||
Conforming MSR additions: | |||||||||||||||||
From loan sales | $ | 7,495 | $ | 725,339 | $ | 9,302 | $ | 880,437 | |||||||||
From purchases | 2,126 | 213,953 | 2,690 | 273,342 | |||||||||||||
Total conforming MSR additions | 9,621 | 939,292 | 11,992 | 1,153,779 | |||||||||||||
Total MSR additions | $ | 11,807 | $ | 1,196,493 | $ | 14,666 | $ | 1,469,773 | |||||||||
Components of Mortgage Servicing Rights Income | ' | ||||||||||||||||
The following table presents the components of our MSR income. | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Servicing income, net: | |||||||||||||||||
Income | $ | 4,026 | $ | 1,943 | $ | 7,624 | $ | 2,793 | |||||||||
Late charges | 38 | 11 | 73 | 18 | |||||||||||||
Cost of sub-servicer | (288) | (234) | (603) | (412) | |||||||||||||
Net servicing income | 3,776 | 1,720 | 7,094 | 2,399 | |||||||||||||
Market valuation adjustments | (5,553) | 8,827 | (8,265) | 9,169 | |||||||||||||
Income from MSRs, Net | $ | (1,777) | $ | 10,547 | $ | (1,171) | $ | 11,568 | |||||||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments | ' | ||||||||||||||||
The following table presents the fair value and notional amount of derivative financial instruments held by us at June 30, 2014 and December 31, 2013. | |||||||||||||||||
June 30, 2014 | December 31, 2013 | ||||||||||||||||
(In Thousands) | Fair | Notional | Fair | Notional | |||||||||||||
Value | Amount | Value | Amount | ||||||||||||||
Assets - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | $ | 4 | $ | 4,000 | $ | 5,972 | $ | 268,000 | |||||||||
TBAs | 3,294 | 498,000 | 1,138 | 241,000 | |||||||||||||
Swaptions | 1,921 | 265,000 | 596 | 340,000 | |||||||||||||
CMBX | 588 | 25,000 | - | - | |||||||||||||
Assets - Other Derivatives | |||||||||||||||||
Loan purchase commitments | 1,707 | 329,914 | - | 360 | |||||||||||||
Loan forward sale commitments | - | - | 81 | 10,000 | |||||||||||||
Total Assets | $ | 7,514 | $ | 1,121,914 | $ | 7,787 | $ | 859,360 | |||||||||
Liabilities - Cash Flow Hedges | |||||||||||||||||
Interest rate swaps | $ | (30,719) | $ | 139,500 | $ | (16,519) | $ | 139,500 | |||||||||
Liabilities - Risk Management Derivatives | |||||||||||||||||
Interest rate swaps | (1,918) | 291,500 | (80) | 50,500 | |||||||||||||
TBAs | (5,540) | 751,500 | (661) | 235,000 | |||||||||||||
Futures | (494) | 126,000 | (528) | 162,000 | |||||||||||||
Liabilities - Other Derivatives | |||||||||||||||||
Loan purchase commitments | (45) | 49,565 | (379) | 42,562 | |||||||||||||
Loan forward sale commitments | (1,121) | 245,905 | - | - | |||||||||||||
Total Liabilities | $ | (39,837) | $ | 1,603,970 | $ | (18,167) | $ | 629,562 | |||||||||
Total Derivative Financial Instruments, Net | $ | (32,323) | $ | 2,725,884 | $ | (10,380) | $ | 1,488,922 | |||||||||
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | ' | ||||||||||||||||
The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Impact on Interest Expense of Our Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Net interest expense on cash flow interest rate agreements | $ | (1,490) | $ | (1,470) | $ | (2,978) | $ | (2,934) | |||||||||
Realized income (expense) due to ineffective portion of hedges | - | - | - | - | |||||||||||||
Realized net losses reclassified from other comprehensive income | (39) | (69) | (99) | (157) | |||||||||||||
Total Interest Expense | $ | (1,529) | $ | (1,539) | $ | (3,077) | $ | (3,091) | |||||||||
Other_Assets_and_Liabilities_T
Other Assets and Liabilities (Tables) | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Summary of Other Assets | ' | ||||||||
Other assets at June 30, 2014 and December 31, 2013, are summarized in the following table. | |||||||||
Other Assets | |||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||
Margin receivable | $ | 58,455 | $ | 31,149 | |||||
Investment receivable | 3,142 | 8,923 | |||||||
Other pledged collateral | 5,000 | 5,000 | |||||||
REO | 3,323 | 3,661 | |||||||
Prepaid expenses | 1,576 | 1,850 | |||||||
Fixed assets and leasehold improvements | 1,754 | 1,232 | |||||||
Income tax receivables | 2,902 | 170 | |||||||
Other | 1,612 | 1,655 | |||||||
Total Other Assets | $ | 77,764 | $ | 53,640 | |||||
Summary of Accrued Expenses and Other Liabilities | ' | ||||||||
Accrued expenses and other liabilities at June 30, 2014 and December 31, 2013 are summarized in the following table. | |||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||
Accrued compensation | $ | 9,830 | $ | 22,160 | |||||
Legal reserve | 12,000 | 12,000 | |||||||
Derivative margin payable | 2,063 | 4,700 | |||||||
Accrued operating expenses | 3,913 | 4,291 | |||||||
Residential repurchase reserve | 2,477 | 1,771 | |||||||
Income tax payable | 1,160 | 1,337 | |||||||
Unsettled trades | 4,420 | - | |||||||
Other | 6,360 | 2,445 | |||||||
Total Other Liabilities | $ | 42,223 | $ | 48,704 | |||||
ShortTerm_Debt_Tables
Short-Term Debt (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt | ' | ||||||||||||||||||||||||
The table below summarizes the facilities that are available to us and the balances of short-term debt at June 30, 2014 and December 31, 2013 by the type of collateral securing the debt. | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||
(Dollars in Thousands) | Number of | Outstanding | Limit | Maturity | |||||||||||||||||||||
Facilities | |||||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loans | 5 | $ | 852,267 | $ | 1,400,000 | 7/2014-4/2015 | |||||||||||||||||||
Commercial loans | 1 | 12,413 | 100,000 | 4/2015 | |||||||||||||||||||||
Real estate securities | 9 | 853,750 | - | 7/2014-9/2014 | |||||||||||||||||||||
Total | 15 | $ | 1,718,430 | ||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
(Dollars in Thousands) | Number of | Outstanding | Limit | Maturity | |||||||||||||||||||||
Facilities | |||||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loans | 5 | $ | 184,789 | $ | 1,400,000 | 1/2014 - 12/2014 | |||||||||||||||||||
Commercial loans | 1 | - | 100,000 | 4/2014 | |||||||||||||||||||||
Real estate securities | 7 | 677,974 | - | 1/2014 - 2/2014 | |||||||||||||||||||||
Total | 13 | $ | 862,763 | ||||||||||||||||||||||
Short-Term Debt by Weighted Average Interest Rates and Collateral Type | ' | ||||||||||||||||||||||||
The table below summarizes short-term debt by weighted average interest rates and by collateral type at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
June 30, 2014 | December 31, 2013 | ||||||||||||||||||||||||
(Dollars in Thousands) | Amount | Weighted | Weighted | Amount | Weighted | Weighted | |||||||||||||||||||
Borrowed | Average | Average | Borrowed | Average | Average | ||||||||||||||||||||
Interest | Days Until | Interest | Days Until | ||||||||||||||||||||||
Rate | Maturity | Rate | Maturity | ||||||||||||||||||||||
Collateral Type | |||||||||||||||||||||||||
Residential loan collateral | $ | 852,267 | 1.72% | 138 | $ | 184,789 | 1.71% | 228 | |||||||||||||||||
Commercial loan collateral | 12,413 | 2.40% | 300 | - | - | - | |||||||||||||||||||
Real estate securities collateral | 853,750 | 1.31% | 16 | 677,974 | 1.34% | 15 | |||||||||||||||||||
Total Short-Term Debt | $ | 1,718,430 | 1.52% | 78 | $ | 862,763 | 1.42% | 61 | |||||||||||||||||
Remaining Maturities of Short Term Debt | ' | ||||||||||||||||||||||||
The following table presents the remaining maturities of short-term debt at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||||||||||
Within 30 days | $ | 1,069,160 | $ | 659,262 | |||||||||||||||||||||
31 to 90 days | 186,227 | 54,434 | |||||||||||||||||||||||
Over 90 days | 463,043 | 149,067 | |||||||||||||||||||||||
Total Short-Term Debt | $ | 1,718,430 | $ | 862,763 | |||||||||||||||||||||
AssetBacked_Securities_Issued_
Asset-Backed Securities Issued (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | ' | ||||||||||||||||
The carrying values of ABS issued by consolidated securitization entities we sponsored at June 30, 2014 and December 31, 2013, along with other selected information, are summarized in the following table. | |||||||||||||||||
Asset-Backed Securities Issued | |||||||||||||||||
June 30, 2014 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Certificates with principal balance | $ | 1,565,943 | $ | 69,709 | $ | 144,700 | $ | 1,780,352 | |||||||||
Interest-only certificates | 2,605 | - | - | 2,605 | |||||||||||||
Unamortized discount | (14,879) | - | - | (14,879) | |||||||||||||
Total ABS Issued | $ | 1,553,669 | $ | 69,709 | $ | 144,700 | $ | 1,768,078 | |||||||||
Range of weighted average interest rates, by series | 0.11% to 4.25% | 2.21% | 5.62% | ||||||||||||||
Stated maturities | 2014 - 2047 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
December 31, 2013 | |||||||||||||||||
(Dollars in Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Certificates with principal balance | $ | 1,708,324 | $ | 94,934 | $ | 153,693 | $ | 1,956,951 | |||||||||
Interest-only certificates | 3,400 | - | - | 3,400 | |||||||||||||
Unamortized discount | (17,389) | - | - | (17,389) | |||||||||||||
Total ABS Issued | $ | 1,694,335 | $ | 94,934 | $ | 153,693 | $ | 1,942,962 | |||||||||
Range of weighted average interest rates, by series | 0.24% to 4.23% | 2.21% | 5.62% | ||||||||||||||
Stated maturities | 2014 - 2047 | 2046 | 2018 | ||||||||||||||
Number of series | 24 | 1 | 1 | ||||||||||||||
Summary of Accrued Interest Payable on ABS Issued | ' | ||||||||||||||||
The following table summarizes the accrued interest payable on ABS issued at June 30, 2014 and December 31, 2013. Interest due on consolidated ABS issued is payable monthly. | |||||||||||||||||
Accrued Interest Payable on Asset-Backed Securities Issued | |||||||||||||||||
(In Thousands) | June 30, 2014 | December 31, 2013 | |||||||||||||||
Sequoia | $ | 1,078 | $ | 1,218 | |||||||||||||
Residential Resecuritization | 17 | 11 | |||||||||||||||
Commercial Securitization | 678 | 720 | |||||||||||||||
Total Accrued Interest Payable on ABS Issued | $ | 1,773 | $ | 1,949 | |||||||||||||
Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding | ' | ||||||||||||||||
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2014 and December 31, 2013. | |||||||||||||||||
Collateral for Asset-Backed Securities Issued | |||||||||||||||||
June 30, 2014 | |||||||||||||||||
(In Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Residential loans | $ | 1,616,504 | $ | - | $ | - | $ | 1,616,504 | |||||||||
Commercial loans | - | - | 254,615 | 254,615 | |||||||||||||
Real estate securities | - | 245,853 | - | 245,853 | |||||||||||||
Restricted cash | 145 | - | 138 | 283 | |||||||||||||
Accrued interest receivable | 2,391 | 549 | 1,826 | 4,766 | |||||||||||||
REO | 3,323 | - | - | 3,323 | |||||||||||||
Total Collateral for ABS Issued | $ | 1,622,363 | $ | 246,402 | $ | 256,579 | $ | 2,125,344 | |||||||||
December 31, 2013 | |||||||||||||||||
(In Thousands) | Sequoia | Residential | Commercial | Total | |||||||||||||
Resecuritization | Securitization | ||||||||||||||||
Residential loans | $ | 1,762,167 | $ | - | $ | - | $ | 1,762,167 | |||||||||
Commercial loans | - | - | 257,741 | 257,741 | |||||||||||||
Real estate securities | - | 263,204 | - | 263,204 | |||||||||||||
Restricted cash | 152 | - | 137 | 289 | |||||||||||||
Accrued interest receivable | 2,714 | 627 | 1,975 | 5,316 | |||||||||||||
REO | 3,661 | - | - | 3,661 | |||||||||||||
Total Collateral for ABS Issued | $ | 1,768,694 | $ | 263,831 | $ | 259,853 | $ | 2,292,378 | |||||||||
Commitments_and_Contingencies_
Commitments and Contingencies (Tables) | 6 Months Ended | ||||
Jun. 30, 2014 | |||||
Future Lease Commitments | ' | ||||
The following table presents our future lease commitments at June 30, 2014. | |||||
Future Lease Commitments by Year | |||||
(In Thousands) | June 30, 2014 | ||||
2014 (6 months) | $ | 1,470 | |||
2015 | 2,997 | ||||
2016 | 2,766 | ||||
2017 | 2,811 | ||||
2018 | 1,756 | ||||
2019 and thereafter | 2,611 | ||||
Total | $ | 14,411 | |||
Equity_Tables
Equity (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Changes to Accumulated Other Comprehensive Income (Loss) by Component | ' | ||||||||||||||||
The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Changes in Accumulated Other Comprehensive Income by Component | |||||||||||||||||
Three Months Ended June 30, 2014 | Three Months Ended June 30, 2013 | ||||||||||||||||
(In Thousands) | Net unrealized gains on | Net unrealized losses | Net unrealized gains on | Net unrealized losses | |||||||||||||
available-for-sale | on interest rate | available-for-sale | on interest rate | ||||||||||||||
securities | agreements accounted | securities | agreements accounted | ||||||||||||||
for as cash flow hedges | for as cash flow hedges | ||||||||||||||||
Balance at beginning of period | $ | 185,275 | $ | (24,623) | $ | 183,603 | $ | (40,720) | |||||||||
Other comprehensive income (loss) before reclassifications | 12,721 | (5,401) | (38,012) | 13,585 | |||||||||||||
Amounts reclassified from other accumulated comprehensive income | (454) | 39 | (242) | 69 | |||||||||||||
Net current-period other comprehensive (loss) income | 12,267 | (5,362) | (38,254) | 13,654 | |||||||||||||
Balance at End of Period | $ | 197,542 | $ | (29,985) | $ | 145,349 | $ | (27,066) | |||||||||
Six Months Ended June 30, 2014 | Six Months Ended June 30, 2013 | ||||||||||||||||
(In Thousands) | Net unrealized gains on | Net unrealized losses | Net unrealized gains on | Net unrealized losses | |||||||||||||
available-for-sale | on interest rate | available-for-sale | on interest rate | ||||||||||||||
securities | agreements accounted | securities | agreements accounted | ||||||||||||||
for as cash flow hedges | for as cash flow hedges | ||||||||||||||||
Balance at beginning of period | $ | 164,654 | $ | (15,888) | $ | 186,580 | $ | (48,248) | |||||||||
Other comprehensive income (loss) before reclassifications | 33,229 | (14,196) | (28,982) | 21,025 | |||||||||||||
Amounts reclassified from other accumulated comprehensive income | (341) | 99 | (12,249) | 157 | |||||||||||||
Net current-period other comprehensive (loss) income | 32,888 | (14,097) | (41,231) | 21,182 | |||||||||||||
Balance at End of Period | $ | 197,542 | $ | (29,985) | $ | 145,349 | $ | (27,066) | |||||||||
Reclassifications out of Accumulated Other Comprehensive Income (Loss) | ' | ||||||||||||||||
The following table provides a summary of reclassifications out of accumulated other comprehensive income for three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Reclassifications Out of Accumulated Other Comprehensive Income | |||||||||||||||||
Affected Line Item in the | Amount reclassified from accumulated other | ||||||||||||||||
Income Statement | comprehensive income | ||||||||||||||||
Three Months Ended June 30, | |||||||||||||||||
(In Thousands) | 2014 | 2013 | |||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | 264 | $ | (133) | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | (718) | (109) | ||||||||||||||
$ | (454) | $ | (242) | ||||||||||||||
Net realized gains on interest rate agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 39 | $ | 69 | ||||||||||||
$ | 39 | $ | 69 | ||||||||||||||
Affected Line Item in the | Amount reclassified from accumulated other | ||||||||||||||||
Income Statement | comprehensive income | ||||||||||||||||
Six Months Ended June 30, | |||||||||||||||||
(In Thousands) | 2014 | 2013 | |||||||||||||||
Net realized gains (losses) on AFS securities | |||||||||||||||||
Other than temporary impairment | Other market valuations, net | $ | 377 | $ | (124) | ||||||||||||
Gain on sale of AFS securities | Realized gains, net | (718) | (12,125) | ||||||||||||||
$ | (341) | $ | (12,249) | ||||||||||||||
Net realized gains on interest rate agreements designated as cash flow hedges | |||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 99 | $ | 157 | ||||||||||||
$ | 99 | $ | 157 | ||||||||||||||
Basic and Diluted Earnings (Loss) Per Common Share | ' | ||||||||||||||||
The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Basic and Diluted Earnings Per Common Share | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands, Except Share Data) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Basic Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 16,017 | $ | 65,573 | $ | 28,350 | $ | 126,183 | |||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (537) | (1,830) | (1,239) | (3,819) | |||||||||||||
Net income allocated to common shareholders | $ | 15,480 | $ | 63,743 | $ | 27,111 | $ | 122,364 | |||||||||
Basic weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 | |||||||||||||
Basic Earnings Per Common Share | $ | 0.19 | $ | 0.78 | $ | 0.33 | $ | 1.50 | |||||||||
Diluted Earnings Per Common Share: | |||||||||||||||||
Net income attributable to Redwood | $ | 16,017 | $ | 65,573 | $ | 28,350 | $ | 126,183 | |||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (537) | (1,175) | (1,239) | (2,527) | |||||||||||||
Add back: Interest expense on convertible notes | - | 3,856 | - | 4,933 | |||||||||||||
Net income allocated to common shareholders | $ | 15,480 | $ | 68,254 | $ | 27,111 | $ | 128,589 | |||||||||
Weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 | |||||||||||||
Net effect of dilutive equity awards | 2,292,986 | 2,222,440 | 2,418,685 | 2,274,311 | |||||||||||||
Net effect of assumed convertible notes conversion to common shares | - | 11,825,450 | - | 7,644,075 | |||||||||||||
Diluted weighted average common shares outstanding | 85,032,998 | 96,171,713 | 84,994,321 | 91,647,400 | |||||||||||||
Diluted Earnings Per Common Share | $ | 0.18 | $ | 0.71 | $ | 0.32 | $ | 1.40 |
Equity_Compensation_Plans_Tabl
Equity Compensation Plans (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Equity Compensation Plans | ' | ||||||||||||||||||||||||
The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $17 million at June 30, 2014, as shown in the following table. | |||||||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Stock | Restricted | Deferred | Performance | Employee Stock | Total | |||||||||||||||||||
Options | Stock | Stock Units | Stock Units | Purchase Plan | |||||||||||||||||||||
Unrecognized compensation cost at beginning of period | $ | - | $ | 1,869 | $ | 13,044 | 5,817 | - | 20,730 | ||||||||||||||||
Equity grants | - | 30 | 1,128 | - | 215 | 1,373 | |||||||||||||||||||
Equity grant forfeitures | - | (154) | (150) | - | - | (304) | |||||||||||||||||||
Equity compensation expense | - | (349) | (3,234) | (1,464) | (107) | (5,154) | |||||||||||||||||||
Unrecognized Compensation Cost at End of Period | $ | - | $ | 1,396 | $ | 10,788 | $ | 4,353 | $ | 108 | $ | 16,645 | |||||||||||||
Mortgage_Banking_Activities_Ta
Mortgage Banking Activities (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Components of Mortgage Banking Activities, Net | ' | ||||||||||||||||
The following table presents the components of mortgage banking activities, net, recorded in our consolidated income statements for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||
Components of Mortgage Banking Activities, Net | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Residential mortgage banking activities: | |||||||||||||||||
Changes in fair value of: | |||||||||||||||||
Residential loans, at fair value | $ | 13,375 | $ | (41,405) | $ | 20,403 | $ | (6,535) | |||||||||
Sequoia IO securities | (8,810) | 36,336 | (13,087) | 38,265 | |||||||||||||
Risk management derivatives (1) | (7,858) | 46,621 | (12,136) | 48,508 | |||||||||||||
Loan purchase and forward sale commitments | 3,582 | - | 3,590 | - | |||||||||||||
Other fees | 1,040 | 738 | 1,495 | 1,276 | |||||||||||||
Total residential mortgage banking activities: | 1,329 | 42,290 | 265 | 81,514 | |||||||||||||
Commercial mortgage banking activities: | |||||||||||||||||
Changes in fair value of: | |||||||||||||||||
Commercial loans, at fair value | 5,714 | (345) | 9,340 | (345) | |||||||||||||
Risk management derivatives (1) | (815) | 2,924 | (3,619) | 2,059 | |||||||||||||
Other fees | 82 | - | 93 | 1 | |||||||||||||
Net gains on commercial loan originations and sales | - | 3,854 | - | 11,031 | |||||||||||||
Total commercial mortgage banking activities: | 4,981 | 6,433 | 5,814 | 12,746 | |||||||||||||
Mortgage Banking Activities, Net | $ | 6,310 | $ | 48,723 | $ | 6,079 | $ | 94,260 | |||||||||
-1 | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. |
Operating_Expenses_Tables
Operating Expenses (Tables) | 6 Months Ended | ||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||
Components of Operating Expenses | ' | ||||||||||||||||
Components of our operating expenses for the three and six months ended June 30, 2014 and 2013 are presented in the following table. | |||||||||||||||||
Operating Expenses | |||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
(In Thousands) | 2014 | 2013 | 2014 | 2013 | |||||||||||||
Fixed compensation expense | $ | 6,872 | $ | 6,080 | $ | 13,664 | $ | 11,716 | |||||||||
Variable compensation expense | 3,021 | 3,960 | 5,752 | 8,797 | |||||||||||||
Equity compensation expense | 2,824 | 3,396 | 5,154 | 5,883 | |||||||||||||
Severance expense | 222 | 3,366 | 222 | 3,434 | |||||||||||||
Total compensation expense | 12,939 | 16,802 | 24,792 | 29,830 | |||||||||||||
Systems and consulting | 3,977 | 2,318 | 7,443 | 4,060 | |||||||||||||
Accounting and legal | 1,183 | 805 | 2,816 | 3,052 | |||||||||||||
Office costs | 1,170 | 827 | 2,155 | 1,615 | |||||||||||||
Corporate costs | 558 | 528 | 1,111 | 1,037 | |||||||||||||
Other operating expenses | 2,455 | 3,150 | 3,937 | 5,022 | |||||||||||||
Total Operating Expenses | $ | 22,282 | $ | 24,430 | $ | 42,254 | $ | 44,616 | |||||||||
Taxes_Tables
Taxes (Tables) | 6 Months Ended | ||||||||
Jun. 30, 2014 | |||||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | ' | ||||||||
The following is a reconciliation of the statutory federal and state tax rates to our projected annual effective rate at June 30, 2014 and 2013. | |||||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | |||||||||
June 30, 2014 | June 30, 2013 | ||||||||
Federal statutory rate | 34.0 % | 34.0 % | |||||||
State statutory rate, net of Federal tax effect | 7.2 % | 7.2 % | |||||||
Differences in taxable (loss) income from GAAP income | (2.5) % | (8.3) % | |||||||
Change in valuation allowance | 1.2 % | (12.2) % | |||||||
Dividends paid deduction | (45.5) % | (10.7) % | |||||||
Effective Tax Rate | (5.6) % | 10.0 % | |||||||
Segment_Information_Tables
Segment Information (Tables) | 6 Months Ended | ||||||||||||||||||||||||
Jun. 30, 2014 | |||||||||||||||||||||||||
Financial Information by Segment | ' | ||||||||||||||||||||||||
The following tables present financial information by segment for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Business Segment Financial Information | |||||||||||||||||||||||||
Three Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 12,438 | $ | 27,924 | $ | 11,217 | $ | 6,414 | $ | 57,993 | |||||||||||||||
Interest expense | (2,161) | (3,116) | (4,404) | (11,470) | (21,151) | ||||||||||||||||||||
Net interest income (loss) | 10,277 | 24,808 | 6,813 | (5,056) | 36,842 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (289) | 604 | 315 | ||||||||||||||||||||
Mortgage banking activities, net | 1,329 | - | 4,981 | - | 6,310 | ||||||||||||||||||||
MSR income (loss), net | - | (1,777) | - | - | (1,777) | ||||||||||||||||||||
Other market valuation adjustments, net | 13 | (3,788) | - | (346) | (4,121) | ||||||||||||||||||||
Realized gains, net | - | 992 | - | 71 | 1,063 | ||||||||||||||||||||
Operating expenses | (9,501) | (770) | (2,180) | (9,831) | (22,282) | ||||||||||||||||||||
(Provision for) benefit from income taxes | 259 | 149 | (750) | 9 | (333) | ||||||||||||||||||||
Segment Contribution | $ | 2,377 | $ | 19,614 | $ | 8,575 | $ | (14,549) | |||||||||||||||||
Net Income | $ | 16,017 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (36) | 10,586 | (215) | (2,073) | 8,262 | ||||||||||||||||||||
Three Months Ended June 30, 2013 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 15,158 | $ | 24,015 | $ | 9,623 | $ | 8,923 | $ | 57,719 | |||||||||||||||
Interest expense | (3,020) | (2,553) | (2,560) | (13,283) | (21,416) | ||||||||||||||||||||
Net interest income (loss) | 12,138 | 21,462 | 7,063 | (4,360) | 36,303 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (891) | 4,163 | 3,272 | ||||||||||||||||||||
Mortgage banking activities, net | 42,290 | - | 6,433 | - | 48,723 | ||||||||||||||||||||
MSR income (loss), net | - | 10,547 | - | - | 10,547 | ||||||||||||||||||||
Other market valuation adjustments, net | 38 | (5,738) | - | (558) | (6,258) | ||||||||||||||||||||
Realized gains, net | - | 526 | - | 30 | 556 | ||||||||||||||||||||
Operating expenses | (6,053) | (1,956) | (2,654) | (13,767) | (24,430) | ||||||||||||||||||||
(Provision for) benefit from income taxes | (2,409) | (1,236) | (495) | 1,000 | (3,140) | ||||||||||||||||||||
Segment Contribution | $ | 46,004 | $ | 23,605 | $ | 9,456 | $ | (13,492) | |||||||||||||||||
Net Income | $ | 65,573 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (13) | 8,066 | (224) | (2,084) | 5,745 | ||||||||||||||||||||
Six Months Ended June 30, 2014 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 23,104 | $ | 55,519 | $ | 21,601 | $ | 13,245 | $ | 113,469 | |||||||||||||||
Interest expense | (3,482) | (5,966) | (7,708) | (23,055) | (40,211) | ||||||||||||||||||||
Net interest income (loss) | 19,622 | 49,553 | 13,893 | (9,810) | 73,258 | ||||||||||||||||||||
Provision for loan losses | - | - | (944) | (23) | (967) | ||||||||||||||||||||
Mortgage banking activities, net | 265 | - | 5,814 | - | 6,079 | ||||||||||||||||||||
MSR income (loss), net | - | (1,171) | - | - | (1,171) | ||||||||||||||||||||
Other market valuation adjustments, net | 11 | (9,746) | - | (525) | (10,260) | ||||||||||||||||||||
Realized gains, net | - | 1,979 | - | 176 | 2,155 | ||||||||||||||||||||
Operating expenses | (16,595) | (1,865) | (4,806) | (18,988) | (42,254) | ||||||||||||||||||||
(Provision for) benefit from income taxes | 94 | 1,676 | (395) | 135 | 1,510 | ||||||||||||||||||||
Segment Contribution | $ | 3,397 | $ | 40,426 | $ | 13,562 | $ | (29,035) | |||||||||||||||||
Net Income | $ | 28,350 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (88) | 21,833 | (388) | (4,019) | 17,338 | ||||||||||||||||||||
Six Months Ended June 30, 2013 | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
Interest income | $ | 24,914 | $ | 47,533 | $ | 19,794 | $ | 19,002 | $ | 111,243 | |||||||||||||||
Interest expense | (5,130) | (5,219) | (5,368) | (24,001) | (39,718) | ||||||||||||||||||||
Net interest income (loss) | 19,784 | 42,314 | 14,426 | (4,999) | 71,525 | ||||||||||||||||||||
Reversal of provision (provision) for loan losses | - | - | (1,576) | 2,809 | 1,233 | ||||||||||||||||||||
Mortgage banking activities, net | 81,514 | - | 12,746 | - | 94,260 | ||||||||||||||||||||
MSR income (loss), net | - | 11,568 | - | - | 11,568 | ||||||||||||||||||||
Other market valuation adjustments, net | 78 | (6,308) | - | (331) | (6,561) | ||||||||||||||||||||
Realized gains, net | - | 12,564 | 210 | 49 | 12,823 | ||||||||||||||||||||
Operating expenses | (10,691) | (3,539) | (5,850) | (24,536) | (44,616) | ||||||||||||||||||||
(Provision for) benefit from income taxes | (11,314) | (1,661) | (1,718) | 644 | (14,049) | ||||||||||||||||||||
Segment Contribution | $ | 79,371 | $ | 54,938 | $ | 18,238 | $ | (26,364) | |||||||||||||||||
Net Income | $ | 126,183 | |||||||||||||||||||||||
Non-cash amortization income (expense) | (119) | 15,646 | (411) | (3,381) | 11,735 | ||||||||||||||||||||
Supplemental Information by Segment | ' | ||||||||||||||||||||||||
The following table presents supplemental information by segment at June 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||
Supplemental Disclosures | |||||||||||||||||||||||||
(In Thousands) | Residential | Residential | Commercial | Corporate/ | Total | ||||||||||||||||||||
Mortgage | Investments | Mortgage | Other | ||||||||||||||||||||||
Banking | Banking and | ||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||
June 30, 2014 | |||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 1,107,877 | $ | - | $ | - | $ | - | $ | 1,107,877 | |||||||||||||||
Residential loans, held-for-investment | - | - | - | 1,616,504 | 1,616,504 | ||||||||||||||||||||
Commercial loans | - | - | 468,766 | - | 468,766 | ||||||||||||||||||||
Real estate securities | 159,311 | 1,685,756 | - | - | 1,845,067 | ||||||||||||||||||||
Mortgage servicing rights | - | 71,225 | - | - | 71,225 | ||||||||||||||||||||
Total assets | 1,291,983 | 1,774,525 | 474,821 | 1,837,221 | 5,378,550 | ||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 404,267 | $ | - | $ | - | $ | - | $ | 404,267 | |||||||||||||||
Residential loans, held-for-investment | - | - | - | 1,762,167 | 1,762,167 | ||||||||||||||||||||
Commercial loans | - | - | 432,455 | - | 432,455 | ||||||||||||||||||||
Real estate securities | 110,505 | 1,572,356 | - | - | 1,682,861 | ||||||||||||||||||||
Mortgage servicing rights | - | 64,824 | - | - | 64,824 | ||||||||||||||||||||
Total assets | 531,092 | 1,655,209 | 439,139 | 1,983,088 | 4,608,528 | ||||||||||||||||||||
Corporate and Other | ' | ||||||||||||||||||||||||
Financial Information by Segment | ' | ||||||||||||||||||||||||
The following tables present the components of Corporate/Other for the three and six months ended June 30, 2014 and 2013. | |||||||||||||||||||||||||
Three Months Ended June 30, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(In Thousands) | Legacy | Other | Total | Legacy | Other | Total | |||||||||||||||||||
Consolidated | Consolidated | ||||||||||||||||||||||||
VIEs | VIEs | ||||||||||||||||||||||||
Interest income | $ | 6,411 | $ | 3 | $ | 6,414 | $ | 8,786 | $ | 137 | $ | 8,923 | |||||||||||||
Interest expense | (5,240) | (6,230) | (11,470) | (6,728) | (6,555) | (13,283) | |||||||||||||||||||
Net interest income (loss) | 1,171 | (6,227) | (5,056) | 2,058 | (6,418) | (4,360) | |||||||||||||||||||
Reversal of provision for loan losses | 604 | - | 604 | 4,163 | - | 4,163 | |||||||||||||||||||
Mortgage banking activities, net | - | - | - | - | - | - | |||||||||||||||||||
MSR income, net | - | - | - | - | - | - | |||||||||||||||||||
Other market valuation adjustments, net | (321) | (25) | (346) | (558) | - | (558) | |||||||||||||||||||
Realized gains, net | 71 | - | 71 | 30 | - | 30 | |||||||||||||||||||
Operating expenses | (42) | (9,789) | (9,831) | (73) | (13,694) | (13,767) | |||||||||||||||||||
Benefit from income taxes | - | 9 | 9 | - | 1,000 | 1,000 | |||||||||||||||||||
Total | $ | 1,483 | $ | (16,032) | $ | (14,549) | $ | 5,620 | $ | (19,111) | $ | (13,492) | |||||||||||||
Non-cash amortization expense | (1,432) | (641) | (2,073) | (1,561) | (523) | (2,084) | |||||||||||||||||||
Six Months Ended June 30, | |||||||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||||||
(In Thousands) | Legacy | Other | Total | Legacy | Other | Total | |||||||||||||||||||
Consolidated | Consolidated | ||||||||||||||||||||||||
VIEs | VIEs | ||||||||||||||||||||||||
Interest income | $ | 13,240 | $ | 5 | $ | 13,245 | $ | 18,853 | $ | 149 | $ | 19,002 | |||||||||||||
Interest expense | (10,699) | (12,356) | (23,055) | (13,997) | (10,004) | (24,001) | |||||||||||||||||||
Net interest income (loss) | 2,541 | (12,351) | (9,810) | 4,856 | (9,855) | (4,999) | |||||||||||||||||||
Reversal of provision (provision) for loan losses | (23) | - | (23) | 2,809 | - | 2,809 | |||||||||||||||||||
Mortgage banking activities, net | - | - | - | - | - | - | |||||||||||||||||||
MSR income), net | - | - | - | - | - | - | |||||||||||||||||||
Other market valuation adjustments, net | (464) | (61) | (525) | (331) | - | (331) | |||||||||||||||||||
Realized gains, net | 176 | - | 176 | 49 | - | 49 | |||||||||||||||||||
Operating expenses | (94) | (18,894) | (18,988) | (107) | (24,429) | (24,536) | |||||||||||||||||||
Benefit from income taxes | - | 135 | 135 | - | 644 | 644 | |||||||||||||||||||
Total | $ | 2,136 | $ | (31,171) | $ | (29,035) | $ | 7,276 | $ | (33,640) | $ | (26,364) | |||||||||||||
Non-cash amortization expense | (2,795) | (1,224) | (4,019) | (2,664) | (717) | (3,381) |
Redwood_Trust_Additional_Infor
Redwood Trust - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
Segment | |
Nature Of Operations [Line Items] | ' |
Number of Operating segments | 3 |
Basis_of_Presentation_Addition
Basis of Presentation - Additional Information (Detail) | Jun. 30, 2014 |
Basis of Presentation [Line Items] | ' |
Minimum percentage of taxable income distribution to shareholders to be taxed as a REIT | 90.00% |
Summary_of_Significant_Account3
Summary of Significant Accounting Policies - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
Significant Accounting Policies [Line Items] | ' |
Debt instrument maturity date | 15-Apr-18 |
Incentive Plan, mandatory holding period before awards vest | '3 years |
Employee Stock Purchase Plan, percentage of common stock fair value that employees can purchase | 85.00% |
Employees maximum 401(k) contribution | 100.00% |
Minimum percentage of taxable income distribution to shareholders to be taxed as a REIT | 90.00% |
Minimum | ' |
Significant Accounting Policies [Line Items] | ' |
Incentive Plan, awards vesting period | '3 years |
Maximum | ' |
Significant Accounting Policies [Line Items] | ' |
Incentive Plan, awards vesting period | '4 years |
Offsetting_of_Financial_Assets
Offsetting of Financial Assets, Liabilities, and Collateral (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets | $5,807 | [1] | $7,704 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 5,807 | [1] | 7,704 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -3,071 | [1],[2] | -6,058 | [1],[2] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | ' | -482 | [1],[2] | |
Net Amount | 2,736 | [1] | 1,164 | [1] |
Gross Amounts of Recognized Liabilities | -1,810,017 | [1] | -930,018 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -1,810,017 | [1] | -930,018 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,774,417 | [1],[2] | 918,288 | [1],[2] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 34,305 | [1],[2] | 11,730 | [1],[2] |
Net Amount | -1,295 | [1] | ' | |
Interest Rate Swaps | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets | 1,925 | [1] | 6,566 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 1,925 | [1] | 6,566 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -572 | [1],[2] | -5,402 | [1],[2] |
Net Amount | 1,353 | [1] | 1,164 | [1] |
Gross Amounts of Recognized Liabilities | -32,637 | [1] | -16,599 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -32,637 | [1] | -16,599 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 572 | [1],[2] | 5,402 | [1],[2] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 32,065 | [1],[2] | 11,197 | [1],[2] |
Credit Default Swap | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets | 588 | [1] | ' | |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 588 | [1] | ' | |
Net Amount | 588 | [1] | ' | |
TBAs | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Assets | 3,294 | [1] | 1,138 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Assets Presented in Consolidated Balance Sheet | 3,294 | [1] | 1,138 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | -2,499 | [1],[2] | -656 | [1],[2] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | ' | -482 | [1],[2] | |
Net Amount | 795 | [1] | ' | |
Gross Amounts of Recognized Liabilities | -5,540 | [1] | -661 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -5,540 | [1] | -661 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 2,499 | [1],[2] | 656 | [1],[2] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 1,746 | [1],[2] | 5 | [1],[2] |
Net Amount | -1,295 | [1] | ' | |
Futures | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts Offset in Consolidated Balance Sheet | ' | ' | [1] | |
Gross Amounts of Recognized Liabilities | -494 | [1] | -528 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -494 | [1] | -528 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 494 | [1],[2] | 528 | [1],[2] |
Loan warehouse debt | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Liabilities | -864,680 | [1] | -184,789 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -864,680 | [1] | -184,789 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 864,680 | [1],[2] | 184,789 | [1],[2] |
Security repurchase agreements | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Liabilities | -853,750 | [1] | -677,974 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -853,750 | [1] | -677,974 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 853,750 | [1],[2] | 677,974 | [1],[2] |
Commercial borrowings | ' | ' | ||
Offsetting Asset and Liabilities [Line Items] | ' | ' | ||
Gross Amounts of Recognized Liabilities | -52,916 | [1] | -49,467 | [1] |
Gross Amounts Offset in Consolidated Balance Sheet | ' | [1] | ' | [1] |
Net Amounts of Liabilities Presented in Consolidated Balance Sheet | -52,916 | [1] | -49,467 | [1] |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | $52,916 | [1],[2] | $49,467 | [1],[2] |
[1] | Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets. Commercial borrowings are a component of long-term debt on our consolidated balance sheets. | |||
[2] | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. |
Assets_and_Liabilities_of_Cons
Assets and Liabilities of Consolidated Variable Interest Entity's (Detail) (USD $) | 6 Months Ended | |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Entity | ||
Variable Interest Entity [Line Items] | ' | ' |
Assets | $2,125,423 | $2,299,576 |
Liabilities | 1,769,851 | 1,944,911 |
Number of VIEs | 26 | ' |
Residential Loans Held for Investment | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 1,616,504 | ' |
Commercial Loans Held For Investment | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 254,615 | ' |
Real Estate Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 245,853 | ' |
Restricted Cash | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 283 | ' |
Accrued Interest Receivable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 4,766 | ' |
Other Assets | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 3,402 | ' |
Accrued Interest Payable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 1,773 | ' |
Asset-backed Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 1,768,078 | ' |
Sequoia | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 1,622,363 | ' |
Liabilities | 1,554,747 | ' |
Number of VIEs | 24 | ' |
Sequoia | Residential Loans Held for Investment | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 1,616,504 | ' |
Sequoia | Restricted Cash | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 145 | ' |
Sequoia | Accrued Interest Receivable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 2,391 | ' |
Sequoia | Other Assets | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 3,323 | ' |
Sequoia | Accrued Interest Payable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 1,078 | ' |
Sequoia | Asset-backed Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 1,553,669 | ' |
Residential Resecuritization | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 246,402 | ' |
Liabilities | 69,726 | ' |
Number of VIEs | 1 | ' |
Residential Resecuritization | Real Estate Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 245,853 | ' |
Residential Resecuritization | Accrued Interest Receivable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 549 | ' |
Residential Resecuritization | Accrued Interest Payable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 17 | ' |
Residential Resecuritization | Asset-backed Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 69,709 | ' |
Commercial Securitization | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 256,658 | ' |
Liabilities | 145,378 | ' |
Number of VIEs | 1 | ' |
Commercial Securitization | Commercial Loans Held For Investment | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 254,615 | ' |
Commercial Securitization | Restricted Cash | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 138 | ' |
Commercial Securitization | Accrued Interest Receivable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 1,826 | ' |
Commercial Securitization | Other Assets | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Assets | 79 | ' |
Commercial Securitization | Accrued Interest Payable | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | 678 | ' |
Commercial Securitization | Asset-backed Securities | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Liabilities | $144,700 | ' |
Principles_of_Consolidation_Ad
Principles of Consolidation - Additional Information (Detail) (Variable Interest Entity, Not Primary Beneficiary) | 30 Months Ended |
Jun. 30, 2014 | |
Entity | |
Variable Interest Entity, Not Primary Beneficiary | ' |
Variable Interest Entity [Line Items] | ' |
Number of securitization entities to which asset transferred | 19 |
Securitization_Activity_Relate
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Variable Interest Entity [Line Items] | ' | ' | ' | ' |
MSRs recognized | ' | ' | $11,976 | $28,614 |
Variable Interest Entity, Not Primary Beneficiary | ' | ' | ' | ' |
Variable Interest Entity [Line Items] | ' | ' | ' | ' |
Principal balance of loans transferred | 347,305 | 1,802,058 | 347,305 | 4,042,710 |
Gains on sale | ' | ' | ' | ' |
MSRs recognized | 2,186 | 16,148 | 2,186 | 28,614 |
Variable Interest Entity, Not Primary Beneficiary | Trading Securities | ' | ' | ' | ' |
Variable Interest Entity [Line Items] | ' | ' | ' | ' |
Securities retained, at fair value | 69,563 | 40,642 | 69,563 | 91,850 |
Variable Interest Entity, Not Primary Beneficiary | Available-for-sale Securities | ' | ' | ' | ' |
Variable Interest Entity [Line Items] | ' | ' | ' | ' |
Securities retained, at fair value | $20,428 | $92,367 | $20,428 | $207,095 |
Cash_Flows_Related_to_Unconsol
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary, USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Variable Interest Entity, Not Primary Beneficiary | ' | ' | ' | ' |
Variable Interest Entity [Line Items] | ' | ' | ' | ' |
Cash proceeds | $267,776 | $1,705,504 | $267,776 | $3,859,354 |
MSR fees received | 3,624 | 2,099 | 7,047 | 3,075 |
Funding of compensating interest | -43 | -145 | -76 | -263 |
Cash flows received on retained securities | $15,924 | $9,883 | $28,227 | $14,950 |
Mortgage_Servicing_Rights_Assu
Mortgage Servicing Rights Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ' | ' | ' | ' |
Discount rates | 11.00% | 12.00% | 11.00% | 12.00% |
Minimum | ' | ' | ' | ' |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ' | ' | ' | ' |
Prepayment speeds | 5.00% | 5.00% | 5.00% | 5.00% |
Maximum | ' | ' | ' | ' |
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ' | ' | ' | ' |
Prepayment speeds | 15.00% | 12.00% | 15.00% | 14.00% |
Summary_of_Unconsolidated_Vari
Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary, USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
On-balance sheet assets, at fair value: | ' | ' | ||
Maximum loss exposure | $609,174 | [1] | $515,920 | [1] |
Principal balance of loans outstanding | 6,730,820 | 6,627,874 | ||
Principal balance of delinquent loans 30+ days delinquent | 7,041 | 14,587 | ||
Interest-Only and Senior Securities | ' | ' | ||
On-balance sheet assets, at fair value: | ' | ' | ||
Securities | 159,311 | 110,505 | ||
Senior and Subordinate Securities | ' | ' | ||
On-balance sheet assets, at fair value: | ' | ' | ||
Securities | $449,863 | $405,415 | ||
[1] | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
Key_Assumptions_and_Sensitivit
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Detail) (Variable Interest Entity, Not Primary Beneficiary, USD $) | 6 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 | ||
Mortgage Servicing Rights | ' | ' | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ' | ' | ||
Fair value | $54,712 | $60,318 | ||
Expected life (in years) | '7 years | [1] | '8 years | [1] |
Prepayment speed assumption (annual CPR) | 12.00% | [1] | 8.00% | [1] |
Decrease in fair value from: | ' | ' | ||
10% adverse change | 2,088 | 1,649 | ||
25% adverse change | 4,908 | 4,218 | ||
Discount rate assumption | 11.00% | [1] | 11.00% | [1] |
Decrease in fair value from: | ' | ' | ||
100 basis point increase | 2,194 | 2,468 | ||
200 basis point increase | 4,212 | 4,828 | ||
Interest-only Securities | ' | ' | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ' | ' | ||
Fair value | 159,311 | 110,505 | ||
Expected life (in years) | '7 years | [1] | '7 years | [1] |
Prepayment speed assumption (annual CPR) | 9.00% | [1] | 10.00% | [1] |
Decrease in fair value from: | ' | ' | ||
10% adverse change | 7,254 | 5,773 | ||
25% adverse change | 12,104 | 13,555 | ||
Discount rate assumption | 5.00% | [1] | 5.00% | [1] |
Decrease in fair value from: | ' | ' | ||
100 basis point increase | 7,929 | 5,632 | ||
200 basis point increase | 15,159 | 10,757 | ||
Credit loss assumption | 0.23% | [1] | 0.23% | [1] |
Decrease in fair value from: | ' | ' | ||
10% higher losses | 89 | 70 | ||
25% higher losses | 222 | 175 | ||
Subordinate Securities | ' | ' | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ' | ' | ||
Fair value | 449,863 | 405,415 | ||
Expected life (in years) | '11 years | [1] | '11 years | [1] |
Prepayment speed assumption (annual CPR) | 10.00% | [1] | 11.00% | [1] |
Decrease in fair value from: | ' | ' | ||
10% adverse change | 1,345 | 1,658 | ||
25% adverse change | 3,519 | 4,354 | ||
Discount rate assumption | 6.00% | [1] | 6.00% | [1] |
Decrease in fair value from: | ' | ' | ||
100 basis point increase | 34,532 | 30,644 | ||
200 basis point increase | 65,057 | 57,836 | ||
Credit loss assumption | 0.23% | [1] | 0.23% | [1] |
Decrease in fair value from: | ' | ' | ||
10% higher losses | 1,197 | 1,369 | ||
25% higher losses | $2,380 | $3,420 | ||
[1] | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Summary_of_Redwoods_Interest_i
Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Detail) (Real Estate Securities, USD $) | Jun. 30, 2014 |
In Thousands, unless otherwise specified | |
Variable Interest Entity [Line Items] | ' |
Assets | $990,040 |
Senior Securities | ' |
Variable Interest Entity [Line Items] | ' |
Assets | 663,587 |
Re-REMIC | ' |
Variable Interest Entity [Line Items] | ' |
Assets | 192,596 |
Subordinate Securities | ' |
Variable Interest Entity [Line Items] | ' |
Assets | $133,857 |
Loan_Transfers_Accounted_as_Se
Loan Transfers Accounted as Secured Borrowings (Detail) (USD $) | 3 Months Ended | 6 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2014 |
Loan Transferred As Secured Borrowings [Line Items] | ' | ' |
Principal balance | $29,500 | $63,375 |
Cash proceeds | $30,274 | $65,048 |
Carrying_Values_and_Estimated_
Carrying Values and Estimated Fair Values of Assets and Liabilities (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Assets | ' | ' | ||
Trading securities | $173,281 | $124,555 | ||
Available-for-sale securities | 1,671,786 | 1,558,306 | ||
MSRs | 71,225 | 64,824 | ||
Derivative assets | 7,514 | 7,787 | ||
Liabilities | ' | ' | ||
Derivative liabilities | 39,837 | 18,167 | ||
Long/Other Long-term debt | 66,692 | 0 | ||
Carrying Value | ' | ' | ||
Assets | ' | ' | ||
Trading securities | 173,281 | 124,555 | ||
Available-for-sale securities | 1,671,786 | 1,558,306 | ||
MSRs | 71,225 | 64,824 | ||
Cash and cash equivalents | 157,079 | 173,201 | ||
Restricted cash | 393 | 398 | ||
Accrued interest receivable | 15,109 | 13,475 | ||
Derivative assets | 7,514 | 7,787 | ||
REO | 3,323 | [1] | 3,661 | [1] |
Margin receivable | 58,455 | [1] | 31,149 | [1] |
Other collateral posted | 5,000 | [1] | 5,000 | [1] |
Liabilities | ' | ' | ||
Short-term debt | 1,718,430 | 862,763 | ||
Accrued interest payable | 7,154 | 6,366 | ||
Derivative liabilities | 39,837 | 18,167 | ||
ABS issued | 1,768,078 | 1,942,962 | ||
Commercial long-term debt | 52,916 | 49,467 | ||
Convertible notes | 287,500 | 287,500 | ||
Long/Other Long-term debt | 139,500 | 139,500 | ||
Carrying Value | Residential Loans at Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 1,106,239 | 402,602 | ||
Carrying Value | Residential Loans at Lower of Cost or Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 1,638 | 1,665 | ||
Carrying Value | Residential Loans Held for Investment | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 1,616,504 | 1,762,167 | ||
Carrying Value | Commercial Loans at Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 50,848 | 89,111 | ||
Carrying Value | Commercial Loans Held For Investment | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 71,270 | ' | ||
Carrying Value | Commercial Loans Held-for-Investment, at Amortized Cost | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 346,648 | 343,344 | ||
Carrying Value | Commercial Secured Borrowings | ' | ' | ||
Liabilities | ' | ' | ||
Long/Other Long-term debt | 66,692 | ' | ||
Fair Value | ' | ' | ||
Assets | ' | ' | ||
Trading securities | 173,281 | 124,555 | ||
Available-for-sale securities | 1,671,786 | 1,558,306 | ||
MSRs | 71,225 | 64,824 | ||
Cash and cash equivalents | 157,079 | 173,201 | ||
Restricted cash | 393 | 398 | ||
Accrued interest receivable | 15,109 | 13,475 | ||
Derivative assets | 7,514 | 7,787 | ||
REO | 3,767 | [1] | 4,084 | [1] |
Margin receivable | 58,455 | [1] | 31,149 | [1] |
Other collateral posted | 5,000 | [1] | 5,000 | [1] |
Liabilities | ' | ' | ||
Short-term debt | 1,718,430 | 862,763 | ||
Accrued interest payable | 7,154 | 6,366 | ||
Derivative liabilities | 39,837 | 18,167 | ||
ABS issued | 1,656,135 | 1,746,906 | ||
Commercial long-term debt | 52,916 | 49,467 | ||
Convertible notes | 296,700 | 299,719 | ||
Long/Other Long-term debt | 110,903 | 111,600 | ||
Fair Value | Residential Loans at Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 1,106,239 | 402,602 | ||
Fair Value | Residential Loans at Lower of Cost or Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 1,788 | 1,817 | ||
Fair Value | Residential Loans Held for Investment | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 1,508,571 | 1,610,024 | ||
Fair Value | Commercial Loans at Fair Value | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-sale | 50,848 | 89,111 | ||
Fair Value | Commercial Loans Held For Investment | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 71,270 | ' | ||
Fair Value | Commercial Loans Held-for-Investment, at Amortized Cost | ' | ' | ||
Assets | ' | ' | ||
Loans, held-for-investment | 353,004 | 348,305 | ||
Fair Value | Commercial Secured Borrowings | ' | ' | ||
Liabilities | ' | ' | ||
Long/Other Long-term debt | $66,692 | ' | ||
[1] | These assets are included in Other Assets on our consolidated balance sheets. |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended |
In Millions, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2014 |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Dealer marks of securities | 79.00% | 79.00% |
Percentage of carrying value for which dealer quotes have been received | 90.00% | 90.00% |
Percentage difference of internal valuation than dealer marks | 2.00% | 2.00% |
Commercial Loans | ' | ' |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Fair value option elected aggregate carrying amount, asset | $149 | $268 |
Commercial Secured Borrowings | ' | ' |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Fair value option elected aggregate carrying amount, asset | 30 | 65 |
Asset-backed Securities | ' | ' |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Dealer marks of securities | 42.00% | 42.00% |
Percentage difference of internal valuation than dealer marks | 1.00% | 1.00% |
Senior Securities | Residential | ' | ' |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Fair value option elected aggregate carrying amount, asset | $1,740 | $2,820 |
Mortgage Servicing Rights | Maximum | ' | ' |
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ' | ' |
Percentage difference of internal valuation than dealer marks | 2.00% | 2.00% |
Assets_and_Liabilities_Measure
Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets | ' | ' |
Trading securities | $173,281 | $124,555 |
Available-for-sale securities | 1,671,786 | 1,558,306 |
MSRs | 71,225 | 64,824 |
Derivative assets | 7,514 | 7,787 |
Liabilities | ' | ' |
Derivative liabilities | 39,837 | 18,167 |
Commercial secured borrowings | 66,692 | 0 |
Fair Value, Measurements, Recurring | ' | ' |
Assets | ' | ' |
Trading securities | 173,281 | ' |
Available-for-sale securities | 1,671,786 | ' |
MSRs | 71,225 | ' |
Derivative assets | 7,514 | ' |
Liabilities | ' | ' |
Derivative liabilities | 39,837 | ' |
Commercial secured borrowings | 66,692 | ' |
Fair Value, Measurements, Recurring | Residential Loans at Fair Value | ' | ' |
Assets | ' | ' |
Loans at fair value | 1,106,239 | ' |
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value | ' | ' |
Assets | ' | ' |
Loans at fair value | 122,118 | ' |
Fair Value, Measurements, Recurring | Level 1 | ' | ' |
Assets | ' | ' |
Derivative assets | 3,295 | ' |
Liabilities | ' | ' |
Derivative liabilities | 6,034 | ' |
Fair Value, Measurements, Recurring | Level 2 | ' | ' |
Assets | ' | ' |
Derivative assets | 2,513 | ' |
Liabilities | ' | ' |
Derivative liabilities | 33,758 | ' |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans at Fair Value | ' | ' |
Assets | ' | ' |
Loans at fair value | 259,675 | ' |
Fair Value, Measurements, Recurring | Level 3 | ' | ' |
Assets | ' | ' |
Trading securities | 173,281 | ' |
Available-for-sale securities | 1,671,786 | ' |
MSRs | 71,225 | ' |
Derivative assets | 1,707 | ' |
Liabilities | ' | ' |
Derivative liabilities | 45 | ' |
Commercial secured borrowings | 66,692 | ' |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans at Fair Value | ' | ' |
Assets | ' | ' |
Loans at fair value | 846,564 | ' |
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value | ' | ' |
Assets | ' | ' |
Loans at fair value | $122,118 | ' |
Changes_in_Level_3_Assets_and_
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) (USD $) | 6 Months Ended | |
In Thousands, unless otherwise specified | Jun. 30, 2014 | |
Derivatives | ' | |
Beginning balance | ($379) | [1] |
Principal paydowns | ' | [1] |
Gains (losses) in net income, net | 5,108 | [1] |
Unrealized gains in OCI, net | ' | [1] |
Acquisitions | ' | [1] |
Sales | ' | [1] |
Other settlements, net | -3,067 | [1] |
Ending Balance | 1,662 | [1] |
Commercial Secured Borrowings | ' | |
Liabilities | ' | |
Principal paydowns | -115 | |
Gains (losses) in net income, net | 1,759 | |
Unrealized gains in OCI, net | ' | |
Acquisitions | 65,048 | |
Sales | ' | |
Other settlements, net | ' | |
Ending Balance | 66,692 | |
Residential Loans at Fair Value | ' | |
Assets | ' | |
Beginning balance | 391,100 | |
Principal paydowns | -11,563 | |
Gains (losses) in net income, net | 21,849 | |
Acquisitions | 1,717,244 | |
Sales | -1,269,330 | |
Other settlements, net | -2,736 | |
Ending Balance | 846,564 | |
Commercial Loans | ' | |
Assets | ' | |
Beginning balance | 89,111 | |
Principal paydowns | -3,463 | |
Gains (losses) in net income, net | 11,099 | |
Acquisitions | 271,424 | |
Sales | -246,053 | |
Ending Balance | 122,118 | |
Trading Securities | ' | |
Assets | ' | |
Beginning balance | 124,555 | |
Principal paydowns | -2,714 | |
Gains (losses) in net income, net | -13,133 | |
Acquisitions | 64,573 | |
Ending Balance | 173,281 | |
Available-for-sale Securities | ' | |
Assets | ' | |
Beginning balance | 1,558,306 | |
Principal paydowns | -92,590 | |
Gains (losses) in net income, net | 23,485 | |
Unrealized gains in OCI, net | 32,888 | |
Acquisitions | 151,010 | |
Sales | -1,313 | |
Ending Balance | 1,671,786 | |
Mortgage Servicing Rights | ' | |
Assets | ' | |
Beginning balance | 64,824 | |
Gains (losses) in net income, net | -8,265 | |
Acquisitions | 14,666 | |
Ending Balance | $71,225 | |
[1] | For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented net. |
Portion_of_Net_Gains_Losses_At
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Residential Loans at Fair Value | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 assets still held included in net income | $11,755 | ($59,649) | $11,964 | ($59,641) |
Commercial Loans at Fair Value | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 assets still held included in net income | 2,008 | ' | 2,008 | ' |
Trading Securities | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 assets still held included in net income | -9,257 | 31,354 | -13,688 | 30,866 |
Available-for-sale Securities | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 assets still held included in net income | -264 | -1,642 | -377 | -1,665 |
Mortgage Servicing Rights | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 assets still held included in net income | -4,974 | 9,450 | -7,236 | 9,532 |
Loan Purchase Commitments | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 liabilities still held included in net income | 1,707 | ' | 1,707 | ' |
Commercial Secured Borrowings | ' | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' | ' |
Net gains (losses) attributable to level 3 liabilities still held included in net income | $1,759 | ' | $1,759 | ' |
Assets_and_Liabilities_Measure1
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Detail) (Fair Value, Measurements, Nonrecurring, USD $) | 3 Months Ended | 6 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2014 |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ' | ' |
Residential loans, at lower of cost or fair value | $1,107 | $1,107 |
REO | 2,326 | 2,326 |
Level 3 | ' | ' |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ' | ' |
Residential loans, at lower of cost or fair value | 1,107 | 1,107 |
REO | 2,326 | 2,326 |
Residential Loans at Lower of Cost or Fair Value | ' | ' |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ' | ' |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 1 | -2 |
REO | ' | ' |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ' | ' |
Gain (Loss) on assets measured at fair value on a non-recurring basis | ($521) | ($343) |
Market_Valuation_Adjustments_N
Market Valuation Adjustments, Net (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Mortgage banking activities market valuation adjustments | ' | ' | ' | ' | ||||
Trading securities | ($8,810) | $36,336 | ($13,087) | $38,265 | ||||
Derivative instruments, net | -8,673 | 49,544 | -15,755 | 50,567 | ||||
Loan purchase and forward sale commitments | 3,582 | ' | 3,590 | ' | ||||
Total mortgage banking activites market valuation adjustments, net | 5,188 | [1] | 44,130 | [1] | 4,491 | [1] | 81,952 | [1] |
MSRs | -5,553 | 8,827 | -8,265 | 9,169 | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | -4,121 | [2] | -6,258 | [2] | -10,260 | [2] | -6,561 | [2] |
Total Market Valuation Adjustments, Net | -4,486 | 46,699 | -14,034 | 84,560 | ||||
Residential Loans at Fair Value | ' | ' | ' | ' | ||||
Mortgage banking activities market valuation adjustments | ' | ' | ' | ' | ||||
Loans, at fair value | 13,375 | -41,405 | 20,403 | -6,535 | ||||
Commercial Loans at Fair Value | ' | ' | ' | ' | ||||
Mortgage banking activities market valuation adjustments | ' | ' | ' | ' | ||||
Loans, at fair value | 5,714 | -345 | 9,340 | -345 | ||||
Residential Loans at Lower of Cost or Fair Value | ' | ' | ' | ' | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | 13 | 38 | 11 | 78 | ||||
Trading Securities | ' | ' | ' | ' | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | 77 | -4,140 | -76 | -4,707 | ||||
Impairments on AFS Securities | ' | ' | ' | ' | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | -264 | -1,642 | -377 | -1,665 | ||||
REO | ' | ' | ' | ' | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | -321 | -558 | -464 | -331 | ||||
Other Derivative Instruments | ' | ' | ' | ' | ||||
Other market valuation adjustments | ' | ' | ' | ' | ||||
Other market valuation adjustments, net | ($3,626) | $44 | ($9,354) | $64 | ||||
[1] | Income from mortgage banking activities presented above does not include fee income that is a component of mortgage banking income presented on our consolidated statements of income as it does not represent a market valuation adjustment. | |||||||
[2] | For the three months ended June 30, 2014, other-than-temporary impairments were $2,915, of which $264 were recognized through the Income Statement, and $2,651 were recognized in Accumulated Other Comprehensive Income. For the three months ended June 30, 2013, other-than-temporary impairments were $1,642, of which none was recognized in Accumulated Other Comprehensive Income. For the six months ended June 30, 2014, other-than-temporary impairments were $4,585, of which $377 were recognized through the Income Statement, and $4,208 were recognized in Accumulated Other Comprehensive Income. For the six months ended June 30, 2013, other-than-temporary impairments were $1,666, of which none was recognized in Accumulated Other Comprehensive Income. |
Quantitative_Information_about
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | ||||||
In Thousands, unless otherwise specified | Residential Loans Priced To Securitization or Whole Loan Market, Uncommitted to Sell | Residential Loans Priced To Securitization or Whole Loan Market, Uncommitted to Sell | Residential Loans Priced To Securitization or Whole Loan Market, Uncommitted to Sell | Residential Loans Priced To Securitization or Whole Loan Market, Uncommitted to Sell | Residential Loans Priced To Whole Loan Market, Committed to Sell | Residential Loans Priced To Whole Loan Market, Committed to Sell | Residential Loans Priced To Whole Loan Market, Committed to Sell | Residential Loans Priced To Whole Loan Market, Committed to Sell | Residential Loans at Lower of Cost or Fair Value | Residential Loans at Lower of Cost or Fair Value | Residential Loans at Lower of Cost or Fair Value | Residential Loans at Lower of Cost or Fair Value | Commercial Loans at Fair Value | Commercial Loans at Fair Value | Commercial Loans at Fair Value | Commercial Loans at Fair Value | Trading and AFS securities | Trading and AFS securities | Trading and AFS securities | Trading and AFS securities | Mortgage Servicing Rights | Mortgage Servicing Rights | Mortgage Servicing Rights | Mortgage Servicing Rights | REO | REO | REO | REO | Commercial Secured Borrowings | Commercial Secured Borrowings | Commercial Secured Borrowings | Commercial Secured Borrowings | Loan Purchase Commitments | Loan Purchase Commitments | Loan Purchase Commitments | Loan Purchase Commitments | ||||||||
Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | Minimum | Maximum | Weighted Average | ||||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Fair Value | ($1,662) | [1] | $379 | [1] | $417,941 | ' | ' | ' | $428,624 | ' | ' | ' | $1,107 | ' | ' | ' | $122,118 | ' | ' | ' | $1,845,067 | ' | ' | ' | $71,225 | ' | ' | ' | $2,326 | ' | ' | ' | $66,692 | ' | ' | ' | $1,662 | [2] | ' | ' | ' | |||
Credit Spread | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.36% | 1.36% | 1.36% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.36% | 1.36% | 1.36% | ' | ' | ' | ' | ||||||
Discount rate | ' | ' | ' | 3.00% | 4.00% | 4.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 4.00% | 12.00% | 6.00% | ' | 9.00% | 11.00% | 11.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Prepayment rate | ' | ' | ' | 10.00% | 10.00% | 10.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.00% | 35.00% | 14.00% | ' | 6.00% | 60.00% | 12.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Default rate | ' | ' | ' | 1.00% | 1.00% | 1.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.00% | 35.00% | 7.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Loss severity | ' | ' | ' | 22.00% | 22.00% | 22.00% | ' | ' | ' | ' | ' | 15.00% | 28.00% | 21.00% | ' | ' | ' | ' | ' | 20.00% | 64.00% | 33.00% | ' | ' | ' | ' | ' | 0.00% | 93.00% | 18.00% | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
MSR Multiple | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1 | [2] | 5 | [2] | 4 | [2] | |||
Credit support | ' | ' | ' | 6.00% | 8.00% | 8.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | 24.00% | 24.00% | 24.00% | ' | 0.00% | 84.00% | 6.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | 24.00% | 24.00% | 24.00% | ' | ' | ' | ' | ||||||
Pullthrough rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 57.00% | [2] | 99.00% | [2] | 81.00% | [2] | |||
Spread to securitization | ' | ' | ' | 0.50% | 0.50% | 0.50% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Pool fallout assumption | ' | ' | ' | ' | ' | ' | ' | 0.10% | 0.10% | 0.10% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
[1] | For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented net. | |||||||||||||||||||||||||||||||||||||||||||
[2] | For the purpose of this presentation loan purchase commitment assets and liabilities are presented net. |
Summary_of_Classifications_and
Summary of Classifications and Carrying Value of Residential Loans (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | $2,724,381 | $2,166,434 |
Residential Loans at Fair Value | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,110,000 | 403,000 |
Residential Loans at Fair Value | Conforming Loan | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 259,675 | 11,502 |
Residential Loans at Fair Value | Jumbo Loan | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 846,564 | 391,100 |
Residential Loans at Lower of Cost or Fair Value | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,638 | 1,665 |
Residential Loans Held for Investment | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,616,504 | 1,762,167 |
Redwood | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,107,877 | 404,267 |
Redwood | Residential Loans at Fair Value | Conforming Loan | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 259,675 | 11,502 |
Redwood | Residential Loans at Fair Value | Jumbo Loan | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 846,564 | 391,100 |
Redwood | Residential Loans at Lower of Cost or Fair Value | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,638 | 1,665 |
Sequoia | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | 1,616,504 | 1,762,167 |
Sequoia | Residential Loans Held for Investment | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Residential loans | $1,616,504 | $1,762,167 |
Residential_Loans_Additional_I
Residential Loans - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | |
Contract | Contract | ||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Carrying value | $2,724,381,000 | ' | $2,724,381,000 | ' | $2,166,434,000 |
Residential Loans | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Charge-offs, net | 994,000 | 1,751,000 | 1,478,000 | 2,545,000 | ' |
Loss confirmation period | ' | ' | '23 months | ' | ' |
Average recorded investment of loans individually evaluated for impairment | 13,000,000 | 7,000,000 | 11,000,000 | 7,000,000 | ' |
Interest income recognized on impaired loans | 29,000 | 10,000 | 67,000 | 21,000 | ' |
Residential Loans Held for Investment | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Principal value | 1,625,890,000 | ' | 1,625,890,000 | ' | 1,770,803,000 |
Carrying value | 1,616,504,000 | ' | 1,616,504,000 | ' | 1,762,167,000 |
Unamortized premium, net | 14,586,000 | ' | 14,586,000 | ' | 16,791,000 |
Weighted average original loan-to-value (LTV) | 66.00% | ' | 66.00% | ' | ' |
Weighted average original Fair Isaac Corporation (FICO) score | 733 | ' | 733 | ' | ' |
Charge-offs, net | 1,000,000 | 2,000,000 | 1,000,000 | 3,000,000 | ' |
Principal value | 6,000,000 | 5,000,000 | 8,000,000 | 7,000,000 | ' |
Residential Loans Held for Investment | Residential Loans Acquired Prior To July 1st 2004 | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Principal value | 663,000,000 | ' | 663,000,000 | ' | 731,000,000 |
Unamortized premium, net | 9,000,000 | ' | 9,000,000 | ' | 11,000,000 |
Percentage of loans prepaid | ' | ' | 9.00% | ' | ' |
Percentage of premiums amortized | ' | ' | 16.00% | ' | ' |
Residential Loans Held for Investment | Residential Loans Acquired After July 1st 2004 | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Principal value | 966,000,000 | ' | 966,000,000 | ' | 1,000,000,000 |
Unamortized premium, net | 6,000,000 | ' | 6,000,000 | ' | 6,000,000 |
Percentage of loans prepaid | ' | ' | 7.00% | ' | ' |
Percentage of premiums amortized | ' | ' | 9.00% | ' | ' |
Residential Loans Held for Investment | First Mortgage | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Percentage of loan portfolio | 99.00% | ' | 99.00% | ' | ' |
Residential Loans Held for Investment | Second Mortgage | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Percentage of loan portfolio | 1.00% | ' | 1.00% | ' | ' |
Residential Loans at Fair Value | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Number of loans | ' | ' | 2,038 | ' | 537 |
Principal value | 1,070,000,000 | ' | 1,070,000,000 | ' | 399,000,000 |
Principal value | 1,740,000,000 | ' | 2,820,000,000 | ' | ' |
Carrying value | 1,110,000,000 | ' | 1,110,000,000 | ' | 403,000,000 |
Positive Valuation adjustments | 13,375,000 | -41,405,000 | 20,403,000 | -6,535,000 | ' |
Residential Loans at Lower of Cost or Fair Value | ' | ' | ' | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ' |
Number of loans | ' | ' | 10 | ' | 10 |
Principal value | 2,000,000 | ' | 2,000,000 | ' | 2,000,000 |
Carrying value | 1,638,000 | ' | 1,638,000 | ' | 1,665,000 |
Valuation adjustments | $13,000 | ' | $11,000 | ' | ' |
Carrying_Value_for_Residential
Carrying Value for Residential Loans Held-for-Investment (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Carrying Value | $2,724,381 | $2,166,434 |
Residential Loans Held for Investment | ' | ' |
Mortgage Loans on Real Estate [Line Items] | ' | ' |
Principal balance | 1,625,890 | 1,770,803 |
Unamortized premium, net | 14,586 | 16,791 |
Recorded investment | 1,640,476 | 1,787,594 |
Allowance for loan losses | -23,972 | -25,427 |
Carrying Value | $1,616,504 | $1,762,167 |
Recorded_Investment_in_Residen
Recorded Investment in Residential Loans Held-For-Investment Organized by Year of Origination (Detail) (Residential Loans Held for Investment, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | $1,640,476 | $1,787,594 |
2003 & Earlier | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 798,571 | 881,364 |
2004 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 479,478 | 513,458 |
2005 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 60,138 | 62,675 |
2006 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 141,937 | 149,776 |
2009 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 19,994 | 25,860 |
2010 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | 84,992 | 92,728 |
2011 | ' | ' |
Financing Receivable, Recorded Investment [Line Items] | ' | ' |
Residential loans | $55,366 | $61,733 |
Summary_of_Activity_in_Allowan
Summary of Activity in Allowance for Losses on Residential Loans (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' | ' |
(Reversal of provision) provision for loan losses | $315 | $3,272 | ($967) | $1,233 |
Residential Loans | ' | ' | ' | ' |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | 25,571 | 29,064 | 25,427 | 28,504 |
Charge-offs, net | -994 | -1,751 | -1,478 | -2,545 |
(Reversal of provision) provision for loan losses | -605 | -4,163 | 23 | -2,809 |
Balance at End of Period | $23,972 | $23,150 | $23,972 | $23,150 |
Loans_Collectively_Evaluated_f
Loans Collectively Evaluated for Impairment (Detail) (Residential Loans, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Residential Loans | ' | ' |
Financing Receivable, Impaired [Line Items] | ' | ' |
Principal balance | $1,612,303 | $1,762,165 |
Recorded investment | 1,627,228 | 1,779,161 |
Related allowance | $22,695 | $24,762 |
Recorded_Investment_and_Past_D
Recorded Investment and Past Due Status of Residential Loans Collectively Evaluated for Impairment (Detail) (Residential Loans, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ' | ' |
Total Loans | $1,627,228 | $1,779,161 |
Collectively Evaluated for Impairment | ' | ' |
Financing Receivable, Recorded Investment, Past Due [Line Items] | ' | ' |
30-59 Days Past Due | 25,639 | 34,187 |
60-89 Days Past Due | 9,619 | 13,248 |
90 + Days Past Due | 74,393 | 79,010 |
Current | $1,517,577 | $1,652,716 |
Loan_Modifications_Determined_
Loan Modifications Determined to be Troubled Debt Restructuring (Detail) (Residential Loans, USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Contract | Contract | Contract | Contract | |
Residential Loans | ' | ' | ' | ' |
Financing Receivable, Modifications [Line Items] | ' | ' | ' | ' |
Number of modifications | 9 | 4 | 14 | 7 |
Pre-modification outstanding recorded investment | $3,052 | $1,031 | $4,967 | $1,795 |
Post-modification outstanding recorded investment | 3,272 | 1,145 | 5,165 | 1,941 |
Loan modification effect on net interest income after provision and other MVA | -812 | -140 | -1,221 | -309 |
Number of modifications | 3 | 1 | 6 | 3 |
Recorded investment | $1,574 | $178 | $2,493 | $587 |
Loans_Individually_Evaluated_f
Loans Individually Evaluated for Impairment (Detail) (Residential Loans, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Residential Loans | ' | ' |
Financing Receivable, Impaired [Line Items] | ' | ' |
Principal balance | $13,587 | $8,638 |
Recorded investment | 13,248 | 8,433 |
Related allowance | $1,277 | $665 |
Recorded_Investment_and_Past_D1
Recorded Investment and Past Due Status of Residential Loans Individually Evaluated for Impairment (Detail) (Residential Loans, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financing Receivable, Recorded Investment, Past Due [Line Items] | ' | ' |
Total Loans | $13,248 | $8,433 |
Individually Evaluated for Impairment | ' | ' |
Financing Receivable, Recorded Investment, Past Due [Line Items] | ' | ' |
30-59 Days Past Due | 1,611 | 1,560 |
60-89 Days Past Due | 1,319 | ' |
90+ Days Past Due | 551 | 567 |
Current | $9,767 | $6,306 |
Summary_of_Classifications_and1
Summary of Classifications and Carrying Value of Commercial Loans (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Commercial Loans [Line Items] | ' | ' |
Commercial loans | $468,766 | $432,455 |
Commercial Loans at Fair Value | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Commercial loans | 50,848 | 89,111 |
Commercial Loans Held-for-Investment, at Fair Value | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Commercial loans | 71,270 | ' |
Commercial Loans Held-for-Investment, at Amortized Cost | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Commercial loans | $346,648 | $343,344 |
Commercial_Loans_Additional_In
Commercial Loans - Additional Information (Detail) (USD $) | 6 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | |||||||||||||
Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | |
Commercial Loans Held For Investment | Commercial Loans Held For Investment | Commercial Loans Held For Sale | Commercial Loans Held For Sale | Commercial Loans Held For Sale | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Amortized Cost | Commercial Loans Held-for-Investment, at Fair Value | Commercial Loans Held-for-Investment, at Fair Value | ||||
Contract | Contract | Contract | Contract | Originated During 2014 | Originated During 2013 | Originated During 2013 | Originated During 2012 | Originated During 2012 | Originated During 2011 | Originated During 2011 | Originated During 2010 | Originated During 2010 | Contract | |||||||||
Commercial Loans [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Commercial loans financed through Commercial Securitization entity | ' | ' | ' | $255,000,000 | $258,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of loans | ' | ' | ' | ' | ' | ' | 7 | 7 | ' | 53 | 50 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 |
Principal value | ' | ' | ' | ' | ' | 49,000,000 | 49,000,000 | 88,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 68,000,000 | 68,000,000 |
Carrying Value | 468,766,000 | ' | 432,455,000 | 417,918,000 | 343,344,000 | 50,848,000 | 50,848,000 | 89,111,000 | 346,648,000 | 346,648,000 | 343,344,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 71,270,000 | 71,270,000 |
Senior commercial loans, held for sale | 3,118,457,000 | 5,457,558,000 | ' | ' | ' | 149,000,000 | 237,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 31,000,000 |
Valuation adjustments | ' | ' | ' | ' | ' | 6,000,000 | 8,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2,000,000 | 3,000,000 |
Principal balance | ' | ' | ' | ' | ' | ' | ' | ' | 357,292,000 | 357,292,000 | 353,331,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Senior commercial loans, held for Investment | ' | ' | ' | ' | ' | ' | ' | ' | 6,000,000 | 8,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded investment | ' | ' | ' | ' | ' | ' | ' | ' | $354,965,000 | $354,965,000 | $350,717,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Percentage of loan portfolio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 2.00% | 18.00% | 19.00% | 43.00% | 43.00% | 33.00% | 34.00% | 4.00% | 4.00% | ' | ' |
Commercial_Loans_HeldForInvest
Commercial Loans Held-For-Investment at Amortized Cost (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Commercial Loans [Line Items] | ' | ' |
Carrying Value | $468,766 | $432,455 |
Commercial Loans Held-for-Investment, at Amortized Cost | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Principal balance | 357,292 | 353,331 |
Unamortized discount, net | -2,327 | -2,614 |
Recorded investment | 354,965 | 350,717 |
Allowance for loan losses | -8,317 | -7,373 |
Carrying Value | $346,648 | $343,344 |
Commercial_Loans_Held_for_Inve
Commercial Loans Held for Investment by Risk Category (Detail) (Commercial Loans Held For Investment, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Commercial Loans [Line Items] | ' | ' |
Commercial loans held for investment | $357,292 | $353,331 |
Pass | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Commercial loans held for investment | 331,558 | 309,792 |
Watch List | ' | ' |
Commercial Loans [Line Items] | ' | ' |
Commercial loans held for investment | $25,734 | $43,539 |
Summary_of_Activity_in_Allowan1
Summary of Activity in Allowance for Commercial Loan Losses (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' | ' |
Provision for loan losses | ($315) | ($3,272) | $967 | ($1,233) |
Commercial Loans | ' | ' | ' | ' |
Financing Receivable, Allowance for Credit Losses [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | 8,028 | 4,769 | 7,373 | 4,084 |
Charge-offs, net | ' | ' | ' | ' |
Provision for loan losses | 289 | 891 | 944 | 1,576 |
Balance at End of Period | $8,317 | $5,660 | $8,317 | $5,660 |
Commercial_Loans_Collectively_
Commercial Loans Collectively Evaluated for Impairment (Detail) (Commercial Loans, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Commercial Loans | ' | ' |
Financing Receivable, Impaired [Line Items] | ' | ' |
Principal balance | $357,292 | $353,331 |
Recorded investment | 354,965 | 350,717 |
Related allowance | $8,317 | $7,373 |
Fair_Values_of_Real_Estate_Sec
Fair Values of Real Estate Securities (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Investment Holdings [Line Items] | ' | ' |
Trading | $173,281 | $124,555 |
Available-for-sale | 1,671,786 | 1,558,306 |
Real Estate Securities | $1,845,067 | $1,682,861 |
Real_Estate_Securities_Additio
Real Estate Securities - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | |
Investment | Investment | Investment | |||
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | $173,281,000 | ' | $173,281,000 | ' | $124,555,000 |
Number of AFS securities | 306 | ' | 306 | ' | 303 |
Number of securities in unrealized loss position | 44 | ' | 44 | ' | 76 |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | 16 | ' | 16 | ' | 5 |
Gross unrealized losses on AFS securities | 7,000,000 | ' | 7,000,000 | ' | ' |
Other than temporary impairment loss on AFS securities | 3,000,000 | ' | ' | ' | ' |
Income Statement, other-than-temporary impairments | 264,000 | ' | 377,000 | ' | ' |
Accumulated other comprehensive income, other-than-temporary impairments | 2,651,000 | 0 | 4,208,000 | 0 | ' |
Senior Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 167,691,000 | ' | 167,691,000 | ' | 119,575,000 |
Interest Only Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 105,000,000 | ' | 105,000,000 | ' | ' |
Residential Senior and Subordinate Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 62,000,000 | ' | 62,000,000 | ' | ' |
Residential Subordinate Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 6,000,000 | ' | 6,000,000 | ' | ' |
Prime | Senior Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 159,311,000 | ' | 159,311,000 | ' | 110,505,000 |
Securities financed through non-recourse resecuritization entity | 119,000,000 | ' | 119,000,000 | ' | 131,000,000 |
Non-prime | Senior Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Trading securities | 8,380,000 | ' | 8,380,000 | ' | 9,070,000 |
Securities financed through non-recourse resecuritization entity | 127,000,000 | ' | 127,000,000 | ' | 132,000,000 |
Residential | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Marketable securities, due from five to ten years | 2,000,000 | ' | 2,000,000 | ' | ' |
Marketable securities, less than five years | 10,000 | ' | 10,000 | ' | ' |
Trading Securities | Residential Senior and Subordinate Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Unpaid principal balance | 62,000,000 | ' | 62,000,000 | ' | ' |
Trading Securities | Residential Subordinate Securities | ' | ' | ' | ' | ' |
Investment Holdings [Line Items] | ' | ' | ' | ' | ' |
Unpaid principal balance | $15,000,000 | ' | $15,000,000 | ' | ' |
Trading_Securities_by_Collater
Trading Securities by Collateral Type (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Investment Holdings [Line Items] | ' | ' |
Trading securities | $173,281 | $124,555 |
Senior Securities | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Trading securities | 167,691 | 119,575 |
Senior Securities | Prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Trading securities | 159,311 | 110,505 |
Senior Securities | Non-prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Trading securities | 8,380 | 9,070 |
Subordinate Securities | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Trading securities | 5,590 | 4,980 |
Subordinate Securities | Prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Trading securities | $5,590 | $4,980 |
Available_for_Sale_Securities_
Available for Sale Securities by Collateral Type (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | $1,671,786 | $1,558,306 |
Senior Securities | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 903,966 | 855,692 |
Senior Securities | Prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 711,710 | 662,306 |
Senior Securities | Non-prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 192,256 | 193,386 |
Re-REMIC | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 192,596 | 176,376 |
Subordinate Securities | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 575,224 | 526,238 |
Subordinate Securities | Prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | 575,067 | 526,095 |
Subordinate Securities | Non-prime | ' | ' |
Investment Holdings [Line Items] | ' | ' |
Available-for-sale securities | $157 | $143 |
Components_of_Carrying_Value_W
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | $1,671,786 | $1,558,306 |
Senior Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 903,966 | 855,692 |
Senior Securities | Prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 711,710 | 662,306 |
Senior Securities | Non-prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 192,256 | 193,386 |
Re-REMIC | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 192,596 | 176,376 |
Subordinate Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 575,224 | 526,238 |
Subordinate Securities | Prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 575,067 | 526,095 |
Subordinate Securities | Non-prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Carrying Value | 157 | 143 |
Residential | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | 1,861,814 | 1,808,992 |
Credit reserve | -83,276 | -116,870 |
Unamortized discount, net | -304,293 | -298,469 |
Amortized cost | 1,474,245 | 1,393,653 |
Gross unrealized gains | 204,710 | 187,786 |
Gross unrealized losses | -7,169 | -23,133 |
Carrying Value | 1,671,786 | 1,558,306 |
Residential | Senior Securities | Prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | 710,620 | 670,051 |
Credit reserve | -5,476 | -10,144 |
Unamortized discount, net | -37,763 | -44,133 |
Amortized cost | 667,381 | 615,774 |
Gross unrealized gains | 45,952 | 47,980 |
Gross unrealized losses | -1,623 | -1,448 |
Carrying Value | 711,710 | 662,306 |
Residential | Senior Securities | Non-prime | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | 209,967 | 218,603 |
Credit reserve | -9,697 | -13,840 |
Unamortized discount, net | -36,387 | -36,882 |
Amortized cost | 163,883 | 167,881 |
Gross unrealized gains | 28,385 | 25,654 |
Gross unrealized losses | -12 | -149 |
Carrying Value | 192,256 | 193,386 |
Residential | Re-REMIC | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | 223,389 | 214,046 |
Credit reserve | -17,788 | -30,429 |
Unamortized discount, net | -89,089 | -80,188 |
Amortized cost | 116,512 | 103,429 |
Gross unrealized gains | 76,084 | 72,947 |
Carrying Value | 192,596 | 176,376 |
Residential | Subordinate Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Principal balance | 717,838 | 706,292 |
Credit reserve | -50,315 | -62,457 |
Unamortized discount, net | -141,054 | -137,266 |
Amortized cost | 526,469 | 506,569 |
Gross unrealized gains | 54,289 | 41,205 |
Gross unrealized losses | -5,534 | -21,536 |
Carrying Value | $575,224 | $526,238 |
Changes_of_Unamortized_Discoun
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Detail) (Residential, USD $) | 3 Months Ended | 6 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2014 |
Residential | ' | ' |
Credit Reserve | ' | ' |
Beginning balance | $95,688 | $116,870 |
Amortization of net discount | ' | ' |
Realized credit losses | -3,973 | -7,310 |
Acquisitions | 257 | 257 |
Sales, calls, other | -476 | -1,412 |
Impairments | 264 | 377 |
Transfers to (release of) credit reserves, net | -8,484 | -25,506 |
Ending Balance | 83,276 | 83,276 |
Unamortized Discount Net | ' | ' |
Beginning balance | 303,733 | 298,469 |
Amortization of net discount | -10,586 | -21,884 |
Realized credit losses | ' | ' |
Acquisitions | 3,246 | 2,837 |
Sales, calls, other | -584 | -635 |
Impairments | ' | ' |
Transfers to (release of) credit reserves, net | 8,484 | 25,506 |
Ending Balance | $304,293 | $304,293 |
Components_of_Carrying_Value_o
Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Detail) (Residential, USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Residential | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Less Than 12 Consecutive Months Amortized Cost | $300,804 | $607,030 |
Less Than 12 Consecutive Months Gross Unrealized Losses | -2,691 | -21,195 |
Less Than 12 Consecutive Months Fair Value | 298,113 | 585,835 |
12 Consecutive Months or Longer Amortized Cost | 122,012 | 19,828 |
12 Consecutive Months or Longer Gross Unrealized Losses | -4,478 | -1,938 |
12 Consecutive Months or Longer Fair Value | $117,534 | $17,890 |
Summary_of_Significant_Valuati
Summary of Significant Valuation Assumptions for Available for Sale Securities (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
Prime | Minimum | ' |
Schedule of Available-for-sale Securities [Line Items] | ' |
Prepayment rates | 7.00% |
Loss severity | 20.00% |
Projected default rate | 1.00% |
Prime | Maximum | ' |
Schedule of Available-for-sale Securities [Line Items] | ' |
Prepayment rates | 20.00% |
Loss severity | 53.00% |
Projected default rate | 20.00% |
Non-prime | Minimum | ' |
Schedule of Available-for-sale Securities [Line Items] | ' |
Prepayment rates | 10.00% |
Loss severity | 35.00% |
Projected default rate | 11.00% |
Non-prime | Maximum | ' |
Schedule of Available-for-sale Securities [Line Items] | ' |
Prepayment rates | 10.00% |
Loss severity | 35.00% |
Projected default rate | 11.00% |
Activity_of_Credit_Component_o
Activity of Credit Component of Other-than-Temporary Impairments (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | $35,786 | $45,611 | $37,149 | $50,852 |
Initial credit impairments | 190 | ' | 261 | ' |
Subsequent credit impairments | 28 | ' | 70 | ' |
Securities sold, or expected to sell | -904 | -2,191 | -904 | -2,191 |
Securities with no outstanding principal at period end | -844 | -746 | -2,320 | -5,987 |
Balance at End of Period | $34,256 | $42,674 | $34,256 | $42,674 |
Gross_Realized_Gains_and_Losse
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Gross realized gains | $992 | $193 | $992 | $12,231 |
Gross realized losses | ' | ' | ' | ' |
Total Realized Gains on Sales and Calls of AFS Securities, Net | 992 | 526 | 1,979 | 12,564 |
Call Option | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Gross realized gains | ' | 333 | 987 | 333 |
Gross realized losses | ' | ' | ' | ' |
Activity_for_Residential_First
Activity for Residential First-Lien Mortgage Servicing Rights (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Servicing Assets at Fair Value [Line Items] | ' | ' | ' | ' | ||||
Balance at beginning of period | ' | ' | $64,824 | ' | ||||
Additions | ' | ' | 11,976 | 28,614 | ||||
Balance at End of Period | 71,225 | ' | 71,225 | ' | ||||
Mortgage Servicing Rights | ' | ' | ' | ' | ||||
Servicing Assets at Fair Value [Line Items] | ' | ' | ' | ' | ||||
Balance at beginning of period | 64,971 | 18,123 | 64,824 | 5,315 | ||||
Additions | 11,807 | 16,148 | 14,666 | 28,614 | ||||
Changes in assumptions | -3,553 | [1] | 9,506 | [1] | -4,678 | [1] | 10,312 | [1] |
Other changes | -2,000 | [2] | -679 | [2] | -3,587 | [2] | -1,143 | [2] |
Balance at End of Period | $71,225 | $43,098 | $71,225 | $43,098 | ||||
[1] | Primarily reflects changes in prepayment assumptions due to changes in interest rates and discount rates. | |||||||
[2] | Represents changes due to realization of expected cash flows. |
Details_of_Retention_and_Purch
Details of Retention and Purchase of MSRs (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | ' | ' | $11,976 | $28,614 |
Mortgage Servicing Rights | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 11,807 | 16,148 | 14,666 | 28,614 |
Associated Principal | 1,196,493 | ' | 1,469,773 | ' |
Mortgage Servicing Rights | Jumbo MSR Additions | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 2,186 | ' | 2,674 | ' |
Associated Principal | 257,201 | ' | 315,994 | ' |
Mortgage Servicing Rights | Jumbo MSR Additions | Securitization | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 2,186 | ' | 2,186 | ' |
Associated Principal | 257,201 | ' | 257,201 | ' |
Mortgage Servicing Rights | Jumbo MSR Additions | Loan Sales | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | ' | ' | 488 | ' |
Associated Principal | ' | ' | 58,793 | ' |
Mortgage Servicing Rights | Conforming MSR Additions | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 9,621 | ' | 11,992 | ' |
Associated Principal | 939,292 | ' | 1,153,779 | ' |
Mortgage Servicing Rights | Conforming MSR Additions | Loan Sales | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 7,495 | ' | 9,302 | ' |
Associated Principal | 725,339 | ' | 880,437 | ' |
Mortgage Servicing Rights | Conforming MSR Additions | From purchases | ' | ' | ' | ' |
Mortgage Servicing Rights [Line Items] | ' | ' | ' | ' |
MSR Value | 2,126 | ' | 2,690 | ' |
Associated Principal | $213,953 | ' | $273,342 | ' |
Components_of_Mortgage_Servici
Components of Mortgage Servicing Rights Income (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Servicing income, net: | ' | ' | ' | ' |
Income | $4,026 | $1,943 | $7,624 | $2,793 |
Late charges | 38 | 11 | 73 | 18 |
Cost of sub-servicer | -288 | -234 | -603 | -412 |
Net servicing income | 3,776 | 1,720 | 7,094 | 2,399 |
Market valuation adjustments | -5,553 | 8,827 | -8,265 | 9,169 |
Income from MSRs, Net | ($1,777) | $10,547 | ($1,171) | $11,568 |
Aggregate_Fair_Value_and_Notio
Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Fair Value | ($32,323) | ($10,380) |
Notional Amount | 2,725,884 | 1,488,922 |
Derivative Assets | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 7,514 | 7,787 |
Notional Amount | 1,121,914 | 859,360 |
Derivative Assets | Interest Rate Swaps | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 4 | 5,972 |
Notional Amount | 4,000 | 268,000 |
Derivative Assets | TBAs | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 3,294 | 1,138 |
Notional Amount | 498,000 | 241,000 |
Derivative Assets | Swaptions | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 1,921 | 596 |
Notional Amount | 265,000 | 340,000 |
Derivative Assets | CMBX | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 588 | ' |
Notional Amount | 25,000 | ' |
Derivative Assets | Loan Purchase Commitments | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | 1,707 | ' |
Notional Amount | 329,914 | 360 |
Derivative Assets | Loan forward Sales Commitments | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | ' | 81 |
Notional Amount | ' | 10,000 |
Derivative Liabilities | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -39,837 | -18,167 |
Notional Amount | 1,603,970 | 629,562 |
Derivative Liabilities | Interest Rate Swaps | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -1,918 | -80 |
Notional Amount | 291,500 | 50,500 |
Derivative Liabilities | TBAs | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -5,540 | -661 |
Notional Amount | 751,500 | 235,000 |
Derivative Liabilities | Loan Purchase Commitments | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -45 | -379 |
Notional Amount | 49,565 | 42,562 |
Derivative Liabilities | Loan forward Sales Commitments | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -1,121 | ' |
Notional Amount | 245,905 | ' |
Derivative Liabilities | Futures | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -494 | -528 |
Notional Amount | 126,000 | 162,000 |
Derivative Liabilities | Cash Flow Hedging | Interest Rate Swaps | ' | ' |
Derivative [Line Items] | ' | ' |
Fair Value | -30,719 | -16,519 |
Notional Amount | $139,500 | $139,500 |
Derivative_Financial_Instrumen2
Derivative Financial Instruments - Additional Information (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 |
Cash Flow Hedging | Cash Flow Hedging | Cash Flow Hedging | Cash Flow Hedging | Unsecuritized Residential and Commercial Loans | Unsecuritized Residential and Commercial Loans | Unsecuritized Residential and Commercial Loans | Unsecuritized Residential and Commercial Loans | Unsecuritized Residential and Commercial Loans | Loan Purchase and Forward Sales Commitments | Loan Purchase and Forward Sales Commitments | Maximum | Maximum | Maximum | Maximum | Maximum | |||
Interest Rate Swaps | Interest Rate Swaps | Interest Rate Swaps | Interest Rate Swaps | Interest Rate Contract | Futures | TBAs | Interest Rate Swaps | |||||||||||
Derivative [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Notional Amount | $2,725,884,000 | $1,488,922,000 | $140,000,000 | ' | $140,000,000 | ' | ' | ' | $560,000,000 | $126,000,000 | $1,300,000,000 | ' | ' | ' | ' | ' | ' | ' |
Valuation adjustments on derivatives | ' | ' | -5,000,000 | 14,000,000 | -14,000,000 | 21,000,000 | 25,000,000 | 51,000,000 | ' | ' | ' | 4,000,000 | 4,000,000 | ' | ' | ' | ' | ' |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | 30,000,000 | 16,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Hedges decreased in value recorded as a component of interest expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100,000 | 100,000 | 99,000 | 157,000 | ' |
Accumulated other comprehensive loss that will be amortized into interest expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($1,000,000) |
Impact_on_Interest_Expense_of_
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Derivative [Line Items] | ' | ' | ' | ' |
Total interest expense | ($21,151) | ($21,416) | ($40,211) | ($39,718) |
Cash Flow Hedging | Interest Rate Contract | ' | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' | ' |
Net interest expense on cash flow interest rate agreements | -1,490 | -1,470 | -2,978 | -2,934 |
Realized income (expense) due to ineffective portion of hedges | ' | ' | ' | ' |
Realized net losses reclassified from other comprehensive income | -39 | -69 | -99 | -157 |
Total interest expense | ($1,529) | ($1,539) | ($3,077) | ($3,091) |
Summary_of_Other_Assets_Detail
Summary of Other Assets (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Line Items] | ' | ' |
Margin receivable | $58,455 | $31,149 |
Investment receivable | 3,142 | 8,923 |
Other pledged collateral | 5,000 | 5,000 |
REO | 3,323 | 3,661 |
Prepaid expenses | 1,576 | 1,850 |
Fixed assets and leasehold improvements | 1,754 | 1,232 |
Income tax receivables | 2,902 | 170 |
Other | 1,612 | 1,655 |
Total Other Assets | $77,764 | $53,640 |
Other_Assets_and_Accrued_Expen
Other Assets and Accrued Expense and Other Liabilities - Additional Information (Detail) (USD $) | 6 Months Ended | |
Jun. 30, 2014 | Dec. 31, 2013 | |
Other Assets and Other Liabilities [Line Items] | ' | ' |
Real estate owned (REO) | $3,323,000 | $3,661,000 |
Amount related to transfers into REO | 2,000,000 | ' |
REO liquidations | $2,000,000 | ' |
Sequoia | ' | ' |
Other Assets and Other Liabilities [Line Items] | ' | ' |
Number of REO properties recorded on balance sheet | 20 | 20 |
Accrued_Expenses_and_Other_Lia
Accrued Expenses and Other Liabilities (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Other Liabilities [Line Items] | ' | ' |
Accrued compensation | $9,830 | $22,160 |
Legal reserve | 12,000 | 12,000 |
Derivative margin payable | 2,063 | 4,700 |
Accrued operating expenses | 3,913 | 4,291 |
Residential repurchase reserve | 2,477 | 1,771 |
Income tax payable | 1,160 | 1,337 |
Unsettled trades | 4,420 | ' |
Other | 6,360 | 2,445 |
Total Other Liabilities | $42,223 | $48,704 |
ShortTerm_Debt_Additional_Info
Short-Term Debt - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | |
Short-term Debt [Line Items] | ' | ' | ' |
Securities pledged as collateral | $1,030,000,000 | $1,030,000,000 | ' |
Average balance of short-term debt | 1,300,000,000 | 1,200,000,000 | ' |
Accrued interest payable on short-term debt | 1,400,000 | 1,400,000 | 1,000,000 |
Committed line of credit with financial institutions | 10,000,000 | 10,000,000 | ' |
Committed line of credit with financial institutions, outstanding | 0 | 0 | 0 |
Residential Loans | ' | ' | ' |
Short-term Debt [Line Items] | ' | ' | ' |
Loan pledged as collateral | 954,000,000 | 954,000,000 | ' |
Commercial Loans | ' | ' | ' |
Short-term Debt [Line Items] | ' | ' | ' |
Loan pledged as collateral | $17,000,000 | $17,000,000 | ' |
Credit Agreement | ' | ' | ' |
Short-term Debt [Line Items] | ' | ' | ' |
Number of bank counterparties | 15 | 15 | ' |
Outstanding_Balances_of_ShortT
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Contract | Contract | |
Short-term Debt [Line Items] | ' | ' |
Number of Facilities | 15 | 13 |
Outstanding | $1,718,430 | $862,763 |
Residential Loans | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Number of Facilities | 5 | 5 |
Outstanding | 852,267 | 184,789 |
Limit | 1,400,000 | 1,400,000 |
Residential Loans | Minimum | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Maturity | '2014-07 | '2014-01 |
Residential Loans | Maximum | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Maturity | '2015-04 | '2014-12 |
Commercial Loans | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Number of Facilities | 1 | 1 |
Outstanding | 12,413 | ' |
Limit | 100,000 | 100,000 |
Maturity | '2015-04 | '2014-04 |
Real Estate Securities | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Number of Facilities | 9 | 7 |
Outstanding | $853,750 | $677,974 |
Real Estate Securities | Minimum | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Maturity | '2014-07 | '2014-01 |
Real Estate Securities | Maximum | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Maturity | '2014-09 | '2014-02 |
ShortTerm_Debt_by_Weighted_Ave
Short-Term Debt by Weighted Average Interest Rates and Collateral Type (Detail) (USD $) | 6 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Jun. 30, 2014 | Dec. 31, 2013 |
Short-term Debt [Line Items] | ' | ' |
Amount Borrowed | $1,718,430 | $862,763 |
Weighted Average Interest Rate | 1.52% | 1.42% |
Weighted Average Days Until Maturity | '78 days | '61 days |
Residential Loans | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Amount Borrowed | 852,267 | 184,789 |
Weighted Average Interest Rate | 1.72% | 1.71% |
Weighted Average Days Until Maturity | '138 days | '228 days |
Commercial Loans | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Amount Borrowed | 12,413 | ' |
Weighted Average Interest Rate | 2.40% | ' |
Weighted Average Days Until Maturity | '300 days | ' |
Real Estate Securities | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Amount Borrowed | $853,750 | $677,974 |
Weighted Average Interest Rate | 1.31% | 1.34% |
Weighted Average Days Until Maturity | '16 days | '15 days |
Remaining_Maturities_of_Short_
Remaining Maturities of Short Term Debt (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Short-term Debt [Line Items] | ' | ' |
Short-term debt | $1,718,430 | $862,763 |
Within 30 Days | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Short-term debt | 1,069,160 | 659,262 |
31 to 90 Days | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Short-term debt | 186,227 | 54,434 |
Over 90 Days | ' | ' |
Short-term Debt [Line Items] | ' | ' |
Short-term debt | $463,043 | $149,067 |
AssetBacked_Securities_Issued_1
Asset-Backed Securities Issued - Additional Information (Detail) (USD $) | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | |
Debt Instrument [Line Items] | ' | ' | ' |
Description of interest rate | 'Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. | ' | ' |
Asset-backed Securities | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
ABS issued | $1,768,078,000 | ' | $1,942,962,000 |
Amortization of deferred ABS issuance costs | 1,000,000 | 2,000,000 | ' |
Asset-backed Securities | Contractual maturities of over five years | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
ABS issued | 1,750,000,000 | ' | ' |
Contractual maturities of ABS (in years) | '5 years | ' | ' |
Asset-backed Securities | Maturity Less Than One Year | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
ABS issued | 19,000,000 | ' | ' |
Contractual maturities of ABS, maximum (in years) | '1 year | ' | ' |
Asset-backed Securities | Certificates With Principal Value | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal value | 1,780,352,000 | ' | 1,956,951,000 |
Asset-backed Securities | Certificates With Principal Value | Contractual maturities of over five years | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal value | 1,760,000,000 | ' | ' |
Asset-backed Securities | Certificates With Principal Value | Maturity Less Than One Year | ' | ' | ' |
Debt Instrument [Line Items] | ' | ' | ' |
Principal value | $19,000,000 | ' | ' |
Components_of_AssetBacked_Secu
Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | 12 Months Ended | 6 Months Ended | 12 Months Ended | 6 Months Ended | 12 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||||||||
In Thousands, unless otherwise specified | Mar. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 |
Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | Asset-backed Securities | ||
Certificates With Principal Value | Certificates With Principal Value | Interest Only Certificates | Interest Only Certificates | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | Residential Resecuritization | Residential Resecuritization | Residential Resecuritization | Residential Resecuritization | Commercial Securitization | Commercial Securitization | Commercial Securitization | Commercial Securitization | ||||
Contract | Contract | Minimum | Minimum | Maximum | Maximum | Certificates With Principal Value | Certificates With Principal Value | Interest Only Certificates | Interest Only Certificates | Contract | Contract | Certificates With Principal Value | Certificates With Principal Value | Contract | Contract | Certificates With Principal Value | Certificates With Principal Value | ||||||||
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Principal value | ' | ' | ' | $1,780,352 | $1,956,951 | $2,605 | $3,400 | ' | ' | ' | ' | ' | ' | $1,565,943 | $1,708,324 | $2,605 | $3,400 | ' | ' | $69,709 | $94,934 | ' | ' | $144,700 | $153,693 |
Unamortized discount | ' | -14,879 | -17,389 | ' | ' | ' | ' | -14,879 | -17,389 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total ABS Issued | ' | $1,768,078 | $1,942,962 | ' | ' | ' | ' | $1,553,669 | $1,694,335 | ' | ' | ' | ' | ' | ' | ' | ' | $69,709 | $94,934 | ' | ' | $144,700 | $153,693 | ' | ' |
Weighted average interest rates, by series | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.11% | 0.24% | 4.25% | 4.23% | ' | ' | ' | ' | 2.21% | 2.21% | ' | ' | 5.62% | 5.62% | ' | ' |
Stated maturities | '2018 | ' | ' | ' | ' | ' | ' | ' | ' | '2014 | '2014 | '2047 | '2047 | ' | ' | ' | ' | '2046 | '2046 | ' | ' | '2018 | '2018 | ' | ' |
Number of series | ' | ' | ' | ' | ' | ' | ' | 24 | 24 | ' | ' | ' | ' | ' | ' | ' | ' | 1 | 1 | ' | ' | 1 | 1 | ' | ' |
Summary_of_Accrued_Interest_Pa
Summary of Accrued Interest Payable on Asset-Backed Securities Issued (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Debt Instrument [Line Items] | ' | ' |
Accrued interest payable | $7,154 | $6,366 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Accrued interest payable | 1,773 | 1,949 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Sequoia | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Accrued interest payable | 1,078 | 1,218 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Residential Resecuritization | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Accrued interest payable | 17 | 11 |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | Commercial Securitization | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Accrued interest payable | $678 | $720 |
Summary_of_Carrying_Value_Comp
Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | $2,125,344 | $2,292,378 |
Residential Loans | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 1,616,504 | 1,762,167 |
Commercial Loans | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 254,615 | 257,741 |
Real Estate Securities | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 245,853 | 263,204 |
Restricted Cash | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 283 | 289 |
Accrued Interest Receivable | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 4,766 | 5,316 |
REO | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 3,323 | 3,661 |
Sequoia | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 1,622,363 | 1,768,694 |
Sequoia | Residential Loans | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 1,616,504 | 1,762,167 |
Sequoia | Restricted Cash | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 145 | 152 |
Sequoia | Accrued Interest Receivable | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 2,391 | 2,714 |
Sequoia | REO | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 3,323 | 3,661 |
Residential Resecuritization | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 246,402 | 263,831 |
Residential Resecuritization | Real Estate Securities | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 245,853 | 263,204 |
Residential Resecuritization | Accrued Interest Receivable | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 549 | 627 |
Commercial Securitization | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 256,579 | 259,853 |
Commercial Securitization | Commercial Loans | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 254,615 | 257,741 |
Commercial Securitization | Restricted Cash | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | 138 | 137 |
Commercial Securitization | Accrued Interest Receivable | ' | ' |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ' | ' |
Collateral for ABS Issued | $1,826 | $1,975 |
LongTerm_Debt_Additional_Infor
Long-Term Debt - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | 3 Months Ended | 6 Months Ended | 6 Months Ended | ||||||||||
Jun. 30, 2014 | Mar. 31, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Dec. 31, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Dec. 31, 2013 | |
Commercial Secured Borrowings | Commercial Loan Warehouse Facility | Commercial Loan Warehouse Facility | Commercial Loan Warehouse Facility | Senior Notes due 2018 | Trust Preferred Securities | Trust Preferred Securities | Subordinated Notes | Subordinated Notes | Long-term Debt | Long-term Debt | |||||
Maximum | Maximum | ||||||||||||||
Debt Instrument [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Line of credit facility outstanding amount | $0 | ' | $0 | $0 | ' | $53,000,000 | $53,000,000 | $49,000,000 | ' | ' | ' | ' | ' | ' | ' |
Line of credit facility, maximum borrowing capacity | ' | ' | ' | ' | ' | 150,000,000 | 150,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Line of credit facility, maturity period | ' | ' | ' | ' | ' | ' | '15 months | ' | ' | ' | ' | ' | ' | ' | ' |
Line of credit facility, average balance | ' | ' | ' | ' | ' | 51,000,000 | 51,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense yield on borrowing | ' | ' | ' | ' | ' | ' | 5.45% | ' | ' | ' | ' | ' | ' | ' | ' |
Fair value of commercial loans pledged as collateral | ' | ' | ' | ' | ' | 85,000,000 | 85,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Commercial mortgage loans | ' | ' | ' | ' | 67,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Convertible notes | ' | 287,500,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt Instrument interest rate | ' | 4.63% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument maturity year | ' | '2018 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument redemption date | ' | 15-Apr-18 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest expense yield | 5.44% | ' | 5.42% | ' | ' | ' | ' | ' | ' | 2.55% | 2.65% | 2.55% | 2.65% | ' | ' |
Accrued interest payable | 1,400,000 | ' | 1,400,000 | 1,000,000 | ' | ' | ' | ' | 3,000,000 | ' | ' | ' | ' | ' | ' |
Convertible senior notes conversion rate | ' | ' | 41.132 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument convertible base principal amount of conversion | 1,000 | ' | 1,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Convertible senior notes conversion per share | $24.31 | ' | $24.31 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument face amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100,000,000 | ' | 40,000,000 | ' | ' | ' |
Percentage of yield of debt securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | 6.87% | 6.89% | 6.87% | 6.89% | ' | ' |
Accrued interest payable balance on long-term debt | $7,154,000 | ' | $7,154,000 | $6,366,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1,000,000 | $1,000,000 |
Commitments_and_Contingencies_1
Commitments and Contingencies - Additional Information (Detail) (USD $) | 6 Months Ended | 0 Months Ended | 6 Months Ended | ||||||||
Jun. 30, 2014 | Dec. 31, 2013 | Jul. 15, 2010 | Oct. 15, 2010 | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2014 | |
Schwab | Minimum | Maximum | Maximum | Sequoia | Sequoia | Sequoia | Sequoia | Sequoia | |||
Plaintiff | FHLB Chicago | FHLB Seattle | Schwab | FHLB Chicago | FHLB Chicago First Notice | FHLB Chicago Second Notice | |||||
Plaintiff | Residential | Residential | Residential | Residential | Residential | ||||||
Loss Contingencies [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Future lease commitments with expiration date | $14,411,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Operating lease expiration dates | ' | ' | ' | ' | '2021 | ' | ' | ' | ' | ' | ' |
Operating lease expense | 1,000,000 | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' |
Residential repurchase reserve | 2,477,000 | 1,771,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Statutory interest rate per annum | ' | ' | ' | ' | ' | ' | 8.00% | ' | 10.00% | ' | ' |
Original principal amount of securities | ' | ' | ' | ' | ' | ' | 133,000,000 | 14,800,000 | ' | 105,000,000 | 379,000,000 |
Debt instrument principal payment amount | ' | ' | ' | ' | ' | ' | 115,300,000 | ' | ' | ' | ' |
Debt instrument interest payment amount | ' | ' | ' | ' | ' | ' | 11,000,000 | ' | ' | ' | ' |
Number of other named defendants along with SRF | ' | ' | 26 | 45 | ' | ' | ' | ' | ' | ' | ' |
Principal balance of securities | ' | ' | ' | ' | ' | ' | ' | 12,800,000 | ' | 73,600,000 | 263,700,000 |
Debt instrument interest amount | ' | ' | ' | ' | ' | ' | ' | 1,300,000 | ' | 24,600,000 | 83,000,000 |
Aggregate amount of loss contingency reserves | $12,000,000 | $12,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Future_Lease_Commitments_Detai
Future Lease Commitments (Detail) (USD $) | Jun. 30, 2014 |
In Thousands, unless otherwise specified | |
Operating Leased Assets [Line Items] | ' |
2014 (6 months) | $1,470 |
2015 | 2,997 |
2016 | 2,766 |
2017 | 2,811 |
2018 | 1,756 |
2019 and thereafter | 2,611 |
Total | $14,411 |
Changes_to_Accumulated_Other_C
Changes to Accumulated Other Comprehensive Income (Loss) by Component (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | ' | ' | $148,766 | ' |
Total other comprehensive income (loss) | 6,905 | -24,600 | 18,791 | -20,049 |
Balance at End of Period | 167,557 | ' | 167,557 | ' |
Net unrealized gains on available-for-sale securities | ' | ' | ' | ' |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | 185,275 | 183,603 | 164,654 | 186,580 |
Other comprehensive income (loss) before reclassifications | 12,721 | -38,012 | 33,229 | -28,982 |
Amounts reclassified from other accumulated comprehensive income | -454 | -242 | -341 | -12,249 |
Total other comprehensive income (loss) | 12,267 | -38,254 | 32,888 | -41,231 |
Balance at End of Period | 197,542 | 145,349 | 197,542 | 145,349 |
Net unrealized losses on interest rate agreements accounted for as cash flow hedges | ' | ' | ' | ' |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ' | ' | ' | ' |
Balance at beginning of period | -24,623 | -40,720 | -15,888 | -48,248 |
Other comprehensive income (loss) before reclassifications | -5,401 | 13,585 | -14,196 | 21,025 |
Amounts reclassified from other accumulated comprehensive income | 39 | 69 | 99 | 157 |
Total other comprehensive income (loss) | -5,362 | 13,654 | -14,097 | 21,182 |
Balance at End of Period | ($29,985) | ($27,066) | ($29,985) | ($27,066) |
Reclassifications_out_of_Accum
Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Other than temporary impairment | ($264) | ' | ($377) | ' |
Realized gains, net | 1,063 | 556 | 2,155 | 12,823 |
Total interest expense | 21,151 | 21,416 | 40,211 | 39,718 |
Reclassification out of Accumulated Other Comprehensive Income | Accumulated Investment Gain (Loss) | ' | ' | ' | ' |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Other than temporary impairment | 264 | -133 | 377 | -124 |
Realized gains, net | -454 | -242 | -341 | -12,249 |
Reclassification out of Accumulated Other Comprehensive Income | Accumulated Investment Gain (Loss) | Gain on sale of AFS securities | ' | ' | ' | ' |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Gain on sale of AFS securities | -718 | -109 | -718 | -12,125 |
Reclassification out of Accumulated Other Comprehensive Income | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | ' | ' | ' | ' |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Total interest expense | 39 | 69 | 99 | 157 |
Reclassification out of Accumulated Other Comprehensive Income | Net unrealized losses on interest rate agreements accounted for as cash flow hedges | Unrealized Gain Loss On Derivatives | ' | ' | ' | ' |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Total interest expense | $39 | $69 | $99 | $157 |
Basic_and_Diluted_Earnings_Per
Basic and Diluted Earnings Per Common Share (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Earnings Per Share Disclosure [Line Items] | ' | ' | ' | ' |
Basic earnings per common share | $0.19 | $0.78 | $0.33 | $1.50 |
Net income attributable to Redwood | $16,017 | $65,573 | $28,350 | $126,183 |
Basic weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 |
Net effect of dilutive equity awards | 2,292,986 | 11,825,450 | 2,418,685 | 2,274,311 |
Net effect of assumed convertible notes conversion to common shares | ' | 11,825,450 | ' | 7,644,075 |
Diluted weighted average common shares outstanding | 85,032,998 | 96,171,713 | 84,994,321 | 91,647,400 |
Diluted earnings per common share | $0.18 | $0.71 | $0.32 | $1.40 |
Basic Earnings (Loss) Per Common Share | ' | ' | ' | ' |
Earnings Per Share Disclosure [Line Items] | ' | ' | ' | ' |
Net income attributable to Redwood | 16,017 | 65,573 | 28,350 | 126,183 |
Less: Dividends and undistributed earnings allocated to participating securities | -537 | -1,830 | -1,239 | -3,819 |
Net income allocated to common shareholders | 15,480 | 63,743 | 27,111 | 122,364 |
Basic weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 |
Diluted Earnings (Loss) Per Common Share | ' | ' | ' | ' |
Earnings Per Share Disclosure [Line Items] | ' | ' | ' | ' |
Net income attributable to Redwood | 16,017 | 65,573 | 28,350 | 126,183 |
Less: Dividends and undistributed earnings allocated to participating securities | -537 | -1,175 | -1,239 | -2,527 |
Add back: Interest expense on convertible notes | ' | 3,856 | ' | 4,933 |
Net income allocated to common shareholders | $15,480 | $68,254 | $27,111 | $128,589 |
Basic weighted average common shares outstanding | 82,740,012 | 82,123,823 | 82,575,636 | 81,729,014 |
Net effect of dilutive equity awards | 2,292,986 | 2,222,440 | 2,418,685 | 2,274,311 |
Net effect of assumed convertible notes conversion to common shares | ' | 11,825,450 | ' | 7,644,075 |
Diluted weighted average common shares outstanding | 85,032,998 | 96,171,713 | 84,994,321 | 91,647,400 |
Equity_Additional_Information_
Equity - Additional Information (Detail) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | Nov. 30, 2007 | |
Stockholders Equity Note [Line Items] | ' | ' | ' | ' | ' |
Net effect of dilutive equity awards | 2,292,986 | 11,825,450 | 2,418,685 | 2,274,311 | ' |
Dilutive common shares outstanding, assuming conversion of convertible notes to common shares | ' | 11,825,450 | ' | 7,644,075 | ' |
Stock repurchase program authorized number of shares to be repurchased | ' | ' | ' | ' | 5,000,000 |
Stock acquired during the period | ' | ' | 0 | ' | ' |
Stock repurchase program authorized number of shares remained for repurchase | 4,005,985 | ' | 4,005,985 | ' | ' |
Convertible notes | ' | ' | ' | ' | ' |
Stockholders Equity Note [Line Items] | ' | ' | ' | ' | ' |
Securities excluded in the calculation of diluted earnings per share | 11,825,450 | ' | 11,825,450 | ' | ' |
Equity awards | ' | ' | ' | ' | ' |
Stockholders Equity Note [Line Items] | ' | ' | ' | ' | ' |
Securities excluded in the calculation of diluted earnings per share | 61,580 | 255,529 | 70,508 | 271,392 | ' |
Equity_Compensation_Plans_Addi
Equity Compensation Plans - Additional Information (Detail) (USD $) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2014 | Jun. 30, 2013 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Shares of common stock available for grant under Redwood's Incentive Plan | 2,608,264 | ' | 1,683,956 |
Unrecognized compensation cost | $16,645,000 | ' | $20,730,000 |
Number of fully vested stock options outstanding | 57,514 | ' | 79,535 |
Aggregate intrinsic value options outstanding | 0 | ' | ' |
Aggregate intrinsic value options exercisable | 0 | ' | ' |
Stock options exercised during period | 0 | 0 | ' |
Options Expired | 22,021 | ' | ' |
Number of shares purchased by employees | 257,921 | ' | 243,020 |
Performance Stock Units | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Unvested outstanding stock awards | 779,871 | ' | 779,871 |
Stock unit distributions | 351,640 | ' | ' |
Share-based compensation, vesting period | '3 years | ' | ' |
Underlying shares of vesting common stock vesting description | 'The number of underlying shares of our common stock that will vest during 2014 and in future years will vary between 0% (if Three-Year TSR is negative) and 200% (if Three-Year TSR is greater than or equal to 125%) of the target number of PSUs originally granted, adjusted upward (if vesting is greater than 0%) to reflect the value of dividends paid during the three-year vesting period. | ' | ' |
Share-based compensation, vesting year | '2014 and in future years | ' | ' |
Restricted Stock | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Unvested outstanding stock awards | 112,418 | ' | 166,941 |
Number of stock awards granted | 0 | ' | ' |
Deferred Stock Units | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Unvested outstanding stock awards | 2,033,771 | ' | 2,266,473 |
Number of stock awards granted | 139,147 | ' | ' |
Number of stock awards vested | 1,224,122 | ' | 1,263,420 |
Number of stock awards forfeited | 7,870 | ' | ' |
Stock unit distributions | 363,980 | ' | ' |
Maximum | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Weighted average amortization period remaining for equity awards | '2 years | ' | ' |
Share-based compensation, vesting period | '4 years | ' | ' |
Shares of common stock to be purchased in aggregate for all employees | 450,000 | ' | ' |
Maximum | Performance Stock Units | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Equity awards, vesting percentage | 200.00% | ' | ' |
Maximum | Deferred Stock Units | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Cash distributions to participants in the Executive Deferred Compensation Plan | $1,000,000 | ' | ' |
Minimum | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Share-based compensation, vesting period | '3 years | ' | ' |
Minimum | Performance Stock Units | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' |
Equity awards, vesting percentage | 0.00% | ' | ' |
Unrecognized_Compensation_Cost
Unrecognized Compensation Cost (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Unrecognized compensation cost at beginning of period | ' | ' | $20,730 | ' |
Equity grants | ' | ' | 1,373 | ' |
Equity grant forfeitures | ' | ' | -304 | ' |
Equity compensation expense | -2,824 | -3,396 | -5,154 | -5,883 |
Unrecognized Compensation Cost at End of Period | 16,645 | ' | 16,645 | ' |
Incentive Plans | Restricted Stock | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Unrecognized compensation cost at beginning of period | ' | ' | 1,869 | ' |
Equity grants | ' | ' | 30 | ' |
Equity grant forfeitures | ' | ' | -154 | ' |
Equity compensation expense | ' | ' | -349 | ' |
Unrecognized Compensation Cost at End of Period | 1,396 | ' | 1,396 | ' |
Incentive Plans | Deferred Stock Units | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Unrecognized compensation cost at beginning of period | ' | ' | 13,044 | ' |
Equity grants | ' | ' | 1,128 | ' |
Equity grant forfeitures | ' | ' | -150 | ' |
Equity compensation expense | ' | ' | -3,234 | ' |
Unrecognized Compensation Cost at End of Period | 10,788 | ' | 10,788 | ' |
Incentive Plans | Performance Stock Units | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Unrecognized compensation cost at beginning of period | ' | ' | 5,817 | ' |
Equity compensation expense | ' | ' | -1,464 | ' |
Unrecognized Compensation Cost at End of Period | 4,353 | ' | 4,353 | ' |
Employee Stock Purchase Plan | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Equity grants | ' | ' | 215 | ' |
Equity compensation expense | ' | ' | -107 | ' |
Unrecognized Compensation Cost at End of Period | $108 | ' | $108 | ' |
Components_of_Mortgage_Banking
Components of Mortgage Banking Activities, Net (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||||||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 | ||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ||||
Sequoia IO securities | ($8,810) | $36,336 | ($13,087) | $38,265 | ||||
Risk management derivatives | -8,673 | 49,544 | -15,755 | 50,567 | ||||
Mortgage banking activities, net | 6,310 | 48,723 | 6,079 | 94,260 | ||||
Mortgage Banking Activities | ' | ' | ' | ' | ||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ||||
Sequoia IO securities | -8,810 | 36,336 | -13,087 | 38,265 | ||||
Loan purchase and forward sale commitments | 3,582 | ' | 3,590 | ' | ||||
Net gains on commercial loan originations and sales | ' | 3,854 | ' | 11,031 | ||||
Mortgage banking activities, net | 6,310 | 48,723 | 6,079 | 94,260 | ||||
Mortgage Banking Activities | Residential Mortgage Banking Activities | ' | ' | ' | ' | ||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ||||
Loans, at fair value | 13,375 | -41,405 | 20,403 | -6,535 | ||||
Risk management derivatives | -7,858 | [1] | 46,621 | [1] | -12,136 | [1] | 48,508 | [1] |
Other fees | 1,040 | 738 | 1,495 | 1,276 | ||||
Mortgage banking activities, net | 1,329 | 42,290 | 265 | 81,514 | ||||
Mortgage Banking Activities | Commercial Mortgage Banking Activities | ' | ' | ' | ' | ||||
Mortgage Loans on Real Estate [Line Items] | ' | ' | ' | ' | ||||
Loans, at fair value | 5,714 | -345 | 9,340 | -345 | ||||
Risk management derivatives | -815 | [1] | 2,924 | [1] | -3,619 | [1] | 2,059 | [1] |
Other fees | 82 | ' | 93 | 1 | ||||
Mortgage banking activities, net | $4,981 | $6,433 | $5,814 | $12,746 | ||||
[1] | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans. |
Components_of_Operating_Expens
Components of Operating Expenses (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Component of Operating Other Cost and Expense [Abstract] | ' | ' | ' | ' |
Fixed compensation expense | $6,872 | $6,080 | $13,664 | $11,716 |
Variable compensation expense | 3,021 | 3,960 | 5,752 | 8,797 |
Equity compensation expense | 2,824 | 3,396 | 5,154 | 5,883 |
Severance expense | 222 | 3,366 | 222 | 3,434 |
Total compensation expense | 12,939 | 16,802 | 24,792 | 29,830 |
Systems and consulting | 3,977 | 2,318 | 7,443 | 4,060 |
Accounting and legal | 1,183 | 805 | 2,816 | 3,052 |
Office costs | 1,170 | 827 | 2,155 | 1,615 |
Corporate costs | 558 | 528 | 1,111 | 1,037 |
Other operating expenses | 2,455 | 3,150 | 3,937 | 5,022 |
Total Operating Expenses | $22,282 | $24,430 | $42,254 | $44,616 |
Taxes_Additional_Information_D
Taxes - Additional Information (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Income Taxes [Line Items] | ' | ' | ' | ' |
Provision from income taxes | $333 | $3,140 | ($1,510) | $14,049 |
Reconciliation_of_Statutory_Ta
Reconciliation of Statutory Tax Rate to Effective Tax Rate (Detail) | 6 Months Ended | |
Jun. 30, 2014 | Jun. 30, 2013 | |
Income Taxes [Line Items] | ' | ' |
Federal statutory rate | 34.00% | 34.00% |
State statutory rate, net of Federal tax effect | 7.20% | 7.20% |
Differences in taxable (loss) income from GAAP income | -2.50% | -8.30% |
Change in valuation allowance | 1.20% | -12.20% |
Dividends paid deduction | -45.50% | -10.70% |
Effective Tax Rate | -5.60% | 10.00% |
Segment_Information_Additional
Segment Information - Additional Information (Detail) | 6 Months Ended |
Jun. 30, 2014 | |
Segment | |
Segment Reporting Information [Line Items] | ' |
Number of Operating segments | 3 |
Financial_Information_by_Segme
Financial Information by Segment (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | $57,993 | $57,719 | $113,469 | $111,243 |
Interest expense | -21,151 | -21,416 | -40,211 | -39,718 |
Net interest income (loss) | 36,842 | 36,303 | 73,258 | 71,525 |
(Reversal of provision) provision for loan losses | 315 | 3,272 | -967 | 1,233 |
Mortgage banking activities, net | 6,310 | 48,723 | 6,079 | 94,260 |
MSR income (loss), net | -1,777 | 10,547 | -1,171 | 11,568 |
Other market valuation adjustments, net | -4,121 | -6,258 | -10,260 | -6,561 |
Realized gains, net | 1,063 | 556 | 2,155 | 12,823 |
Operating expenses | -22,282 | -24,430 | -42,254 | -44,616 |
(Provision for) benefit from income taxes | -333 | -3,140 | 1,510 | -14,049 |
Net Income | 16,017 | 65,573 | 28,350 | 126,183 |
Non-cash amortization income (expense) | 8,262 | 5,745 | 17,338 | 11,735 |
Operating Segments | Residential Mortgage Banking | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 12,438 | 15,158 | 23,104 | 24,914 |
Interest expense | -2,161 | -3,020 | -3,482 | -5,130 |
Net interest income (loss) | 10,277 | 12,138 | 19,622 | 19,784 |
Mortgage banking activities, net | 1,329 | 42,290 | 265 | 81,514 |
Other market valuation adjustments, net | 13 | 38 | 11 | 78 |
Operating expenses | -9,501 | -6,053 | -16,595 | -10,691 |
(Provision for) benefit from income taxes | 259 | -2,409 | 94 | -11,314 |
Segment Contribution | 2,377 | 46,004 | 3,397 | 79,371 |
Non-cash amortization income (expense) | -36 | -13 | -88 | -119 |
Operating Segments | Residential Investments | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 27,924 | 24,015 | 55,519 | 47,533 |
Interest expense | -3,116 | -2,553 | -5,966 | -5,219 |
Net interest income (loss) | 24,808 | 21,462 | 49,553 | 42,314 |
MSR income (loss), net | -1,777 | 10,547 | -1,171 | 11,568 |
Other market valuation adjustments, net | -3,788 | -5,738 | -9,746 | -6,308 |
Realized gains, net | 992 | 526 | 1,979 | 12,564 |
Operating expenses | -770 | -1,956 | -1,865 | -3,539 |
(Provision for) benefit from income taxes | 149 | -1,236 | 1,676 | -1,661 |
Segment Contribution | 19,614 | 23,605 | 40,426 | 54,938 |
Non-cash amortization income (expense) | 10,586 | 8,066 | 21,833 | 15,646 |
Operating Segments | Commercial Mortgage Banking and Investments | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 11,217 | 9,623 | 21,601 | 19,794 |
Interest expense | -4,404 | -2,560 | -7,708 | -5,368 |
Net interest income (loss) | 6,813 | 7,063 | 13,893 | 14,426 |
(Reversal of provision) provision for loan losses | -289 | -891 | -944 | -1,576 |
Mortgage banking activities, net | 4,981 | 6,433 | 5,814 | 12,746 |
Realized gains, net | ' | ' | ' | 210 |
Operating expenses | -2,180 | -2,654 | -4,806 | -5,850 |
(Provision for) benefit from income taxes | -750 | -495 | -395 | -1,718 |
Segment Contribution | 8,575 | 9,456 | 13,562 | 18,238 |
Non-cash amortization income (expense) | -215 | -224 | -388 | -411 |
Corporate/Other | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 6,414 | 8,923 | 13,245 | 19,002 |
Interest expense | -11,470 | -13,283 | -23,055 | -24,001 |
Net interest income (loss) | -5,056 | -4,360 | -9,810 | -4,999 |
(Reversal of provision) provision for loan losses | 604 | 4,163 | -23 | 2,809 |
Mortgage banking activities, net | ' | ' | ' | ' |
MSR income (loss), net | ' | ' | ' | ' |
Other market valuation adjustments, net | -346 | -558 | -525 | -331 |
Realized gains, net | 71 | 30 | 176 | 49 |
Operating expenses | -9,831 | -13,767 | -18,988 | -24,536 |
(Provision for) benefit from income taxes | 9 | 1,000 | 135 | 644 |
Segment Contribution | -14,549 | -13,492 | -29,035 | -26,364 |
Net Income | -14,549 | -13,492 | -29,035 | -26,364 |
Non-cash amortization income (expense) | ($2,073) | ($2,084) | ($4,019) | ($3,381) |
Components_of_CorporateOther_D
Components of Corporate/Other (Detail) (USD $) | 3 Months Ended | 6 Months Ended | ||
In Thousands, unless otherwise specified | Jun. 30, 2014 | Jun. 30, 2013 | Jun. 30, 2014 | Jun. 30, 2013 |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | $57,993 | $57,719 | $113,469 | $111,243 |
Interest expense | -21,151 | -21,416 | -40,211 | -39,718 |
Net interest income (loss) | 36,842 | 36,303 | 73,258 | 71,525 |
Reversal of provision (provision) for loan losses | 315 | 3,272 | -967 | 1,233 |
Mortgage banking activities, net | 6,310 | 48,723 | 6,079 | 94,260 |
MSR income), net | -1,777 | 10,547 | -1,171 | 11,568 |
Other market valuation adjustments, net | -4,121 | -6,258 | -10,260 | -6,561 |
Realized gains, net | 1,063 | 556 | 2,155 | 12,823 |
Operating expenses | -22,282 | -24,430 | -42,254 | -44,616 |
Benefit from income taxes | -333 | -3,140 | 1,510 | -14,049 |
Net Income | 16,017 | 65,573 | 28,350 | 126,183 |
Non-cash amortization expense | 8,262 | 5,745 | 17,338 | 11,735 |
Legacy Consolidated VIEs | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 6,411 | 8,786 | 13,240 | 18,853 |
Interest expense | -5,240 | -6,728 | -10,699 | -13,997 |
Net interest income (loss) | 1,171 | 2,058 | 2,541 | 4,856 |
Reversal of provision (provision) for loan losses | 604 | 4,163 | -23 | 2,809 |
Mortgage banking activities, net | ' | ' | ' | ' |
MSR income), net | ' | ' | ' | ' |
Other market valuation adjustments, net | -321 | -558 | -464 | -331 |
Realized gains, net | 71 | 30 | 176 | 49 |
Operating expenses | -42 | -73 | -94 | -107 |
Net Income | 1,483 | 5,620 | 2,136 | 7,276 |
Non-cash amortization expense | -1,432 | -1,561 | -2,795 | -2,664 |
Other | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 3 | 137 | 5 | 149 |
Interest expense | -6,230 | -6,555 | -12,356 | -10,004 |
Net interest income (loss) | -6,227 | -6,418 | -12,351 | -9,855 |
Mortgage banking activities, net | ' | ' | ' | ' |
MSR income), net | ' | ' | ' | ' |
Other market valuation adjustments, net | -25 | ' | -61 | ' |
Operating expenses | -9,789 | -13,694 | -18,894 | -24,429 |
Benefit from income taxes | 9 | 1,000 | 135 | 644 |
Net Income | -16,032 | -19,111 | -31,171 | -33,640 |
Non-cash amortization expense | -641 | -523 | -1,224 | -717 |
Corporate/Other | ' | ' | ' | ' |
Segment Reporting Information [Line Items] | ' | ' | ' | ' |
Interest income | 6,414 | 8,923 | 13,245 | 19,002 |
Interest expense | -11,470 | -13,283 | -23,055 | -24,001 |
Net interest income (loss) | -5,056 | -4,360 | -9,810 | -4,999 |
Reversal of provision (provision) for loan losses | 604 | 4,163 | -23 | 2,809 |
Mortgage banking activities, net | ' | ' | ' | ' |
MSR income), net | ' | ' | ' | ' |
Other market valuation adjustments, net | -346 | -558 | -525 | -331 |
Realized gains, net | 71 | 30 | 176 | 49 |
Operating expenses | -9,831 | -13,767 | -18,988 | -24,536 |
Benefit from income taxes | 9 | 1,000 | 135 | 644 |
Net Income | -14,549 | -13,492 | -29,035 | -26,364 |
Non-cash amortization expense | ($2,073) | ($2,084) | ($4,019) | ($3,381) |
Supplemental_Information_by_Se
Supplemental Information by Segment (Detail) (USD $) | Jun. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Segment Reporting Information [Line Items] | ' | ' | ||
Residential loans | $2,724,381 | $2,166,434 | ||
Commercial loans | 468,766 | 432,455 | ||
Real estate securities | 1,845,067 | 1,682,861 | ||
Mortgage servicing rights | 71,225 | 64,824 | ||
Total assets | 5,378,550 | [1] | 4,608,528 | [1] |
Residential Loans Held For Sale | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Residential loans | 1,107,877 | 404,267 | ||
Residential Loans Held for Investment | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Residential loans | 1,616,504 | 1,762,167 | ||
Operating Segments | Residential Mortgage Banking | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Real estate securities | 159,311 | 110,505 | ||
Total assets | 1,291,983 | 531,092 | ||
Operating Segments | Residential Investments | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Real estate securities | 1,685,756 | 1,572,356 | ||
Mortgage servicing rights | 71,225 | 64,824 | ||
Total assets | 1,774,525 | 1,655,209 | ||
Operating Segments | Commercial Mortgage Banking and Investments | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Commercial loans | 468,766 | 432,455 | ||
Total assets | 474,821 | 439,139 | ||
Operating Segments | Residential Loans Held For Sale | Residential Mortgage Banking | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Residential loans | 1,107,877 | 404,267 | ||
Corporate/Other | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Total assets | 1,837,221 | 1,983,088 | ||
Corporate/Other | Residential Loans Held for Investment | ' | ' | ||
Segment Reporting Information [Line Items] | ' | ' | ||
Residential loans | $1,616,504 | $1,762,167 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to the primary beneficiary (Redwood Trust, Inc.). At June 30, 2014 and December 31, 2013, assets of consolidated VIEs totaled $2,125,423 and $2,299,576, respectively, and liabilities of consolidated VIEs totaled $1,769,851 and $1,944,911, respectively. See Note 4 for further discussion. |
Subsequent_Events_Additional_I
Subsequent Events - Additional Information (Detail) (USD $) | 0 Months Ended | 1 Months Ended | ||
Jul. 16, 2014 | Jul. 16, 2014 | Jun. 30, 2014 | Aug. 02, 2014 | |
Subsequent Event | Subsequent Event | Residential Loans | Residential Loans | |
Subsequent Event | ||||
Subsequent Event [Line Items] | ' | ' | ' | ' |
Amount of loans planned to be purchased | ' | ' | $1,600,000,000 | ' |
Residential mortgage loans closed and purchased | ' | ' | ' | 643,000,000 |
Variable-rate advances outstanding amount | ' | $26,000,000 | ' | ' |
Weighted average interest rate | ' | 0.19% | ' | ' |
Weighted average maturity | '2 years | ' | ' | ' |