x
|
|
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES
EXCHANGE
ACT OF 1934
|
For
the quarterly period ended: March 31, 2007
|
||
OR
|
||
¨
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES
EXCHANGE
ACT OF 1934
|
|
For
the transition period from _______________ to
_______________
|
||
|
||
Commission
file number: 1-13759
|
Maryland
|
|
68-0329422
|
(State
or Other Jurisdiction of
Incorporation
or Organization)
|
|
(IRS
Employer
Identification
No.)
|
Title
of Each Class:
|
|
Name
of Exchange on
Which
Registered:
|
Common
Stock, par value $0.01 per share
|
|
New
York Stock Exchange
|
Large
Accelerated Filer x
|
Accelerated
Filer ¨
|
Non-Accelerated
Filer ¨
|
Common
Stock, $0.01 par value per share
|
27,359,006
as of May 8, 2007
|
|
|
|
Page
|
|
PART
I
|
||||
Item
1.
|
|
Financial
Statements
|
||
Consolidated
Balance Sheets at March 31, 2007 (unaudited) and December 31, 2006
|
3
|
|||
Consolidated
Statements of Income for the three months ended March 31, 2007 and
2006
(unaudited)
|
4
|
|||
Consolidated
Statements of Comprehensive Income (Loss) for the three months ended March
31, 2007 and 2006 (unaudited)
|
5
|
|||
Consolidated
Statements of Stockholders’ Equity for the three months ended March 31,
2007 and 2006 (unaudited)
|
6
|
|||
Consolidated
Statements of Cash Flows for the three months ended March 31, 2007
and
2006 (unaudited)
|
7
|
|||
Notes
to Consolidated Financial Statements
|
8
|
|||
Item
2.
|
Management’s
Discussion and Analysis of Financial Condition and Results of
Operations
|
36
|
||
Item
3.
|
Quantitative
and Qualitative Disclosures about Market Risk
|
67
|
||
Item
4.
|
Controls
and Procedures
|
67
|
||
PART
II
|
||||
Item
2.
|
Unregistered
Sales of Equity Securities and Use of Proceeds
|
68
|
||
Item
6.
|
Exhibits
|
68
|
||
Signatures
|
69
|
(In
thousands, except share data)
|
March
31,
2007
|
December
31,
2006
|
|||||
(Unaudited)
|
|||||||
ASSETS
|
|||||||
Real
estate loans
|
$
|
8,706,370
|
$
|
9,352,107
|
|||
Real
estate securities
|
3,600,462
|
3,232,767
|
|||||
Other
real estate investments
|
50,057
|
—
|
|||||
Cash
and cash equivalents
|
91,656
|
168,016
|
|||||
Total
earning assets
|
12,448,545
|
12,752,890
|
|||||
Restricted
cash
|
340,114
|
112,167
|
|||||
Accrued
interest receivable
|
64,814
|
70,769
|
|||||
Derivative
assets
|
18,424
|
26,827
|
|||||
Deferred
tax asset
|
5,542
|
5,146
|
|||||
Deferred
asset-backed securities issuance costs
|
41,115
|
42,468
|
|||||
Other
assets
|
28,185
|
20,206
|
|||||
Total
Assets
|
$
|
12,946,739
|
$
|
13,030,473
|
|||
LIABILITIES
AND STOCKHOLDERS’ EQUITY
|
|||||||
LIABILITIES
|
|||||||
Redwood
debt
|
$
|
1,879,783
|
$
|
1,856,208
|
|||
Asset-backed
securities issued
|
9,946,508
|
9,979,224
|
|||||
Accrued
interest payable
|
51,709
|
50,590
|
|||||
Derivative
liabilities
|
7,401
|
6,214
|
|||||
Accrued
expenses and other liabilities
|
16,951
|
16,832
|
|||||
Dividends
payable
|
20,347
|
18,715
|
|||||
Junior
subordinated notes
|
100,000
|
100,000
|
|||||
Total
liabilities
|
12,022,699
|
12,027,783
|
|||||
Commitments
and contingencies (Note 16)
|
|||||||
STOCKHOLDERS’
EQUITY
|
|||||||
Common
stock, par value $0.01 per share, 50,000,000 shares authorized;
27,129,446
and 26,733,460 issued and outstanding
|
271
|
267
|
|||||
Additional
paid-in capital
|
927,648
|
903,808
|
|||||
Accumulated
other comprehensive income (loss)
|
(6,183
|
)
|
93,158
|
||||
Cumulative
earnings
|
827,320
|
809,011
|
|||||
Cumulative
distributions to stockholders
|
(825,016
|
)
|
(803,554
|
)
|
|||
Total
stockholders’ equity
|
924,040
|
1,002,690
|
|||||
Total
Liabilities and Stockholders’ Equity
|
$
|
12,946,739
|
$
|
13,030,473
|
(In
thousands, except share data)
|
Three
Months Ended March 31,
|
||||||
(Unaudited)
|
2007
|
2006
|
|||||
Interest
Income
|
|||||||
Real
estate
loans
|
$
|
126,850
|
$
|
166,902
|
|||
Real
estate securities
|
83,458
|
56,503
|
|||||
Other
real estate investments
|
2,465
|
—
|
|||||
Cash
and cash equivalents
|
2,332
|
2,477
|
|||||
Total
interest income
|
215,105
|
225,882
|
|||||
Interest
Expense
|
|||||||
Redwood
debt
|
(31,094
|
)
|
(2,072
|
)
|
|||
Asset-backed
securities issued
|
(134,945
|
)
|
(178,583
|
)
|
|||
Junior
subordinated notes
|
(2,057
|
)
|
—
|
||||
Total
interest expense
|
(168,096
|
)
|
(180,655
|
)
|
|||
Net
Interest Income
|
47,009
|
45,227
|
|||||
Operating
expenses
|
(17,782
|
)
|
(12,582
|
)
|
|||
Realized
gains on sales and calls, net
|
1,146
|
1,062
|
|||||
Market
valuation adjustments, net
|
(10,264
|
)
|
(2,932
|
)
|
|||
Net
income before provision for income taxes
|
20,109
|
30,775
|
|||||
Provision
for income taxes
|
(1,800
|
)
|
(2,760
|
)
|
|||
Net
Income
|
$
|
18,309
|
$
|
28,015
|
|||
Basic
earnings per share:
|
$
|
0.68
|
$
|
1.11
|
|||
Diluted
earnings per share:
|
$
|
0.66
|
$
|
1.09
|
|||
Regular
dividends declared per common share
|
$
|
0.75
|
$
|
0.70
|
|||
Special
dividends declared per common share
|
$
|
—
|
$
|
—
|
|||
Total
dividends declared per common share
|
$
|
0.75
|
$
|
0.70
|
|||
Basic
weighted average shares outstanding
|
26,855,681
|
25,201,525
|
|||||
Diluted
weighted average shares outstanding
|
27,684,029
|
25,702,730
|
(In
thousands)
|
Three
Months Ended
March
31,
|
||||||
(Unaudited)
|
2007
|
2006
|
|||||
Net
Income
|
$
|
18,309
|
$
|
28,015
|
|||
Other
Comprehensive (Loss) Income:
|
|||||||
Net
unrealized loss on available-for-sale securities
|
(92,685
|
)
|
(8,058
|
)
|
|||
Reclassification
adjustment for net (gains) losses included in net income
|
(113
|
)
|
1,997
|
||||
Unrealized
(losses) gains on cash flow hedges, net
|
(6,138
|
)
|
14,187
|
||||
Reclassification
of net realized cash flow hedge (gains) to interest expense on
asset-backed securities issued and realized gains on sales and calls
|
(405
|
)
|
(266
|
)
|
|||
Total
Other Comprehensive (Loss) Income
|
(99,341
|
)
|
7,860
|
||||
Comprehensive
(Loss) Income
|
$
|
(81,032
|
)
|
$
|
35,875
|
(In
thousands, except share data)
(Unaudited)
|
Common
Stock
|
Additional
Paid-In
|
Other
Comprehensive
|
Cumulative
|
Cumulative
Distributions
to
|
|||||||||||||||||
|
Shares
|
Amount
|
Capital
|
Income
|
Earnings
|
Stockholders
|
Total
|
|||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
December
31, 2006
|
26,733,460
|
$
|
267
|
$
|
903,808
|
$
|
93,158
|
$
|
809,011
|
$
|
(803,554
|
)
|
$
|
1,002,690
|
||||||||
Net
income
|
—
|
—
|
—
|
—
|
18,309
|
—
|
18,309
|
|||||||||||||||
Net
unrealized loss/reclassification on assets AFS
|
—
|
—
|
—
|
(92,798
|
)
|
—
|
—
|
(92,798
|
)
|
|||||||||||||
Net
unrealized loss/reclassification on interest rate
agreements
|
—
|
—
|
—
|
(6,543
|
)
|
—
|
—
|
(6,543
|
)
|
|||||||||||||
Issuance
of common stock:
|
||||||||||||||||||||||
Secondary
offerings
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Dividend
reinvestment & stock purchase plans
|
330,315
|
3
|
18,659
|
—
|
—
|
—
|
18,662
|
|||||||||||||||
Employee
option & stock purchase plan
|
65,671
|
1
|
64
|
—
|
—
|
—
|
65
|
|||||||||||||||
Non-cash
equity award compensation
|
—
|
—
|
5,117
|
—
|
—
|
—
|
5,117
|
|||||||||||||||
Common
dividends declared
|
—
|
—
|
—
|
—
|
—
|
(21,462
|
)
|
(21,462
|
)
|
|||||||||||||
March
31, 2007
|
27,129,446
|
$
|
271
|
$
|
927,648
|
$
|
(6,183
|
)
|
$
|
827,320
|
$
|
(825,016
|
)
|
$
|
924,040
|
(In
thousands, except share data)
(Unaudited)
|
Common
Stock
|
Additional
Paid-In
|
Other
Comprehensive
|
Cumulative |
Cumulative
Distributions
to
|
|||||||||||||||||
Shares
|
Amount
|
Capital
|
Income
|
Earnings
|
Stockholders
|
Total
|
||||||||||||||||
December
31, 2005
|
25,132,625
|
$
|
251
|
$
|
824,365
|
$
|
73,731
|
$
|
681,479
|
$
|
(644,866
|
)
|
$
|
934,960
|
||||||||
Net
income
|
—
|
—
|
—
|
—
|
28,015
|
—
|
28,015
|
|||||||||||||||
Net
unrealized loss/reclassification on assets AFS
|
—
|
—
|
—
|
(6,061
|
)
|
—
|
—
|
(6,061
|
)
|
|||||||||||||
Net
unrealized gain/reclassification on interest rate
agreements
|
—
|
—
|
—
|
13,921
|
—
|
—
|
13,921
|
|||||||||||||||
Issuance
of common stock:
|
||||||||||||||||||||||
Secondary
offerings
|
—
|
—
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Dividend
reinvestment & stock purchase plans
|
209,653
|
2
|
8,697
|
—
|
—
|
—
|
8,699
|
|||||||||||||||
Employee
option & stock purchase plan
|
39,580
|
1
|
471
|
—
|
—
|
—
|
472
|
|||||||||||||||
Non-cash
equity award compensation
|
—
|
—
|
5,634
|
—
|
—
|
—
|
5,634
|
|||||||||||||||
Common
dividends declared
|
—
|
—
|
—
|
—
|
—
|
(18,307
|
)
|
(18,307
|
)
|
|||||||||||||
March
31, 2006
|
25,381,858
|
$
|
254
|
$
|
839,167
|
$
|
81,591
|
$
|
709,494
|
$
|
(663,173
|
)
|
$
|
967,333
|
(In
thousands)
|
Three
Months Ended March 31,
|
||||||
(Unaudited)
|
2007
|
2006
|
|||||
Cash
Flows From Operating Activities:
|
|||||||
Net
income
|
$
|
18,309
|
$
|
28,015
|
|||
Adjustments
to reconcile net income to net cash provided by operating
activities:
|
|||||||
Amortization
of premiums, discounts, and debt issuance costs
|
(14,189
|
)
|
(16,104
|
)
|
|||
Depreciation
and amortization of non-financial assets
|
342
|
269
|
|||||
Provision
for credit losses
|
3,829
|
176
|
|||||
Non-cash
equity award compensation
|
5,117
|
5,634
|
|||||
Net
recognized losses and valuation adjustments
|
9,118
|
1,870
|
|||||
Purchases
of other real estate investments - trading
|
(40,818
|
)
|
─
|
||||
Principal
payments on other real estate investments - trading
|
2,284
|
─
|
|||||
Net
change in:
|
|||||||
Accrued
interest receivable
|
5,955
|
3,051
|
|||||
Deferred
income taxes
|
(315
|
)
|
518
|
||||
Other
assets
|
(4,807
|
)
|
(1,699
|
)
|
|||
Accrued
interest payable
|
1,119
|
2,375
|
|||||
Accrued
expenses and other liabilities
|
119
|
(7,893
|
)
|
||||
Net
cash (used in) provided by operating activities
|
(13,937
|
)
|
16,212
|
||||
Cash
Flows From Investing Activities:
|
|||||||
Purchases
of real estate loans held-for-investment
|
(414,422
|
)
|
(52,689
|
)
|
|||
Principal
payments on real estate loans held-for-investment
|
1,042,027
|
1,928,003
|
|||||
Purchases
of real estate securities available-for-sale
|
(650,124
|
)
|
(163,599
|
)
|
|||
Proceeds
from sales of real estate securities available-for-sale
|
120,049
|
13,634
|
|||||
Principal
payments on real estate securities available-for-sale
|
70,043
|
45,083
|
|||||
Net
increase in restricted cash
|
(227,947
|
)
|
(58,750
|
)
|
|||
Net
cash (used in) provided by investing activities
|
(60,374
|
)
|
1,711,682
|
||||
Cash
Flows From Financing Activities:
|
|||||||
Net
borrowings (repayments) on Redwood debt
|
23,575
|
(169,707
|
)
|
||||
Proceeds
from issuance of asset-backed securities
|
1,359,833
|
277,800
|
|||||
Deferred
asset-backed security issuance costs
|
(5,869
|
)
|
(3,365
|
)
|
|||
Repayments
on asset-backed securities
|
(1,377,883
|
)
|
(1,911,617
|
)
|
|||
Net
purchases of interest rate agreements
|
(601
|
)
|
(2,463
|
)
|
|||
Net
proceeds from issuance of common stock
|
18,727
|
9,171
|
|||||
Dividends
paid
|
(19,831
|
)
|
(18,132
|
)
|
|||
Net
cash used in financing activities
|
(2,049
|
)
|
(1,818,313
|
)
|
|||
Net
decrease in cash and cash equivalents
|
(76,360
|
)
|
(90,419
|
)
|
|||
Cash
and cash equivalents at beginning of period
|
168,016
|
175,885
|
|||||
Cash
and cash equivalents at end of period
|
$
|
91,656
|
$
|
85,466
|
|||
Supplemental
Disclosure of Cash Flow Information:
|
|||||||
Cash
paid for interest
|
$
|
166,977
|
$
|
178,327
|
|||
Cash
paid for taxes
|
$
|
450
|
$
|
2,660
|
|||
Non-Cash
Financing Activity:
|
|||||||
Dividends
declared but not paid
|
$
|
20,347
|
$
|
17,767
|
·
|
Ongoing
analyses of loans — including, but not limited to, the age of loans,
underwriting standards, business climate, economic conditions,
geographical considerations, and other observable
data;
|
·
|
Historical
loss rates and past performance of similar
loans;
|
·
|
Relevant
environmental factors;
|
·
|
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 the borrowers’ ability to meet
obligations;
|
·
|
Ongoing
evaluations of fair market values of collateral using current
appraisals
and other valuations; and
|
·
|
Discounted
cash flow analyses.
|
(In
thousands, except share data)
|
Three
Months Ended March 31,
|
||||||
2007
|
2006
|
||||||
Denominators:
|
|||||||
Denominator
for basic earnings per share is equal to the weighted average
number of
common shares outstanding during the period
|
26,855,681
|
25,201,525
|
|||||
Adjustments
for diluted earnings per share are:
|
|||||||
Net
effect of dilutive stock options
|
828,348
|
501,205
|
|||||
Denominator
for diluted earnings per share
|
27,684,029
|
25,702,730
|
|||||
Basic
Earnings Per Share
|
$
|
0.68
|
$
|
1.11
|
|||
Diluted
Earnings Per Share
|
$
|
0.66
|
$
|
1.09
|
Three
Months Ended
March
31,
|
|||||||
2007
|
2006
|
||||||
Stock
price volatility
|
25.5
|
%
|
25.7
|
%
|
|||
Risk
free rate of return (5 yr Treasury Rate)
|
4.58
|
%
|
4.75
|
%
|
|||
Average
life
|
6
years
|
5
years
|
|||||
Dividend
yield
|
10.00
|
%
|
10.00
|
%
|
(In
thousands)
|
March
31,
2007
|
December
31,
2006
|
|||||
Residential
real estate loans
|
$
|
8,680,487
|
$
|
9,323,935
|
|||
Commercial
real estate loans
|
25,883
|
28,172
|
|||||
Total
real estate loans
|
$
|
8,706,370
|
$
|
9,352,107
|
March
31, 2007
(In
thousands)
|
Residential
Real Estate Loans
|
Commercial
Real
Estate
Loans
|
Total
|
|||||||
Current
face
|
$
|
8,582,964
|
$
|
38,394
|
$
|
8,621,358
|
||||
Unamortized
premium (discount)
|
117,477
|
(2,022
|
)
|
115,455
|
||||||
Discount
designated as credit reserve
|
—
|
(8,141
|
)
|
(8,141
|
)
|
|||||
Amortized
cost
|
8,700,441
|
28,231
|
8,728,672
|
|||||||
Reserve
for credit losses
|
(19,954
|
)
|
(2,348
|
)
|
(22,302
|
)
|
||||
Carrying
value
|
$
|
8,680,487
|
$
|
25,883
|
$
|
8,706,370
|
December
31, 2006
(In
thousands)
|
Residential
Real Estate Loans
|
Commercial
Real
Estate
Loans
|
Total
|
|||||||
Current
face
|
$
|
9,212,002
|
$
|
38,360
|
$
|
9,250,362
|
||||
Unamortized
premium (discount)
|
132,052
|
(2,047
|
)
|
130,005
|
||||||
Discount
designated as credit reserve
|
—
|
(8,141
|
)
|
(8,141
|
)
|
|||||
Amortized
cost
|
9,344,054
|
28,172
|
9,372,226
|
|||||||
Reserve
for credit losses
|
(20,119
|
)
|
—
|
(20,119
|
)
|
|||||
Carrying
value
|
$
|
9,323,935
|
$
|
28,172
|
$
|
9,352,107
|
(In
thousands)
|
March
31, 2007
|
December
31, 2006
|
|||||||||||
Face
Value
|
Carrying
Value
|
Face
Value
|
Carrying
Value
|
||||||||||
Unpledged
|
$
|
106,987
|
$
|
94,119
|
$
|
120,578
|
$
|
111,231
|
|||||
Pledged
for Redwood debt:
|
|||||||||||||
Repurchase
(repo) agreements
|
900,142
|
909,230
|
978,713
|
982,629
|
|||||||||
Commercial
paper
|
252,897
|
253,430
|
301,827
|
302,615
|
|||||||||
Owned
by securitization entities, financed through the issuance of
ABS
|
7,361,332
|
7,449,591
|
7,849,244
|
7,955,632
|
|||||||||
Carrying
value
|
$
|
8,621,358
|
$
|
8,706,370
|
$
|
9,250,362
|
$
|
9,352,107
|
March
31, 2007
(In
thousands)
|
CES
|
IGS
|
Total
AFS
Securities
|
|||||||
|
||||||||||
Residential
securities:
|
||||||||||
Prime
|
$
|
571,149
|
$
|
789,492
|
$
|
1,360,641
|
||||
Alt-a
|
171,987
|
765,840
|
937,827
|
|||||||
Subprime
|
9,141
|
470,518
|
479,659
|
|||||||
Total
residential securities
|
752,277
|
2,025,850
|
2,778,127
|
|||||||
Commercial
securities
|
435,382
|
116,494
|
551,876
|
|||||||
CDO
securities
|
16,152
|
254,307
|
270,459
|
|||||||
Total
securities
|
$
|
1,203,811
|
$
|
2,396,651
|
$
|
3,600,462
|
December
31, 2006
(In
thousands)
|
CES
|
IGS
|
Total
AFS
Securities
|
|||||||
|
||||||||||
Residential
securities:
|
||||||||||
Prime
|
$
|
555,369
|
$
|
723,247
|
$
|
1,278,616
|
||||
Alt-a
|
156,859
|
455,550
|
612,409
|
|||||||
Subprime
|
9,303
|
518,453
|
527,756
|
|||||||
Total
residential securities
|
721,531
|
1,697,250
|
2,418,781
|
|||||||
Commercial
securities
|
448,060
|
119,613
|
567,673
|
|||||||
CDO
securities
|
21,964
|
224,349
|
246,313
|
|||||||
Total
securities
|
$
|
1,191,555
|
$
|
2,041,212
|
$
|
3,232,767
|
March
31, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
IGS
|
|||||||||
|
|||||||||||||
Current
face
|
$
|
2,094,494
|
$
|
121,737
|
$
|
263,237
|
$
|
2,479,468
|
|||||
Unamortized
discount, net
|
(19,617
|
)
|
(3,172
|
)
|
(945
|
)
|
(23,734
|
)
|
|||||
Amortized
cost
|
2,074,877
|
118,565
|
262,292
|
2,455,734
|
|||||||||
Gross
unrealized gains
|
5,376
|
211
|
1,440
|
7,027
|
|||||||||
Gross
unrealized losses
|
(54,403
|
)
|
(2,282
|
)
|
(9,425
|
)
|
(66,110
|
)
|
|||||
Carrying
value
|
$
|
2,025,850
|
$
|
116,494
|
$
|
254,307
|
$
|
2,396,651
|
December
31, 2006
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
IGS
|
|||||||||
Current
face
|
$
|
1,708,607
|
$
|
122,869
|
$
|
222,413
|
$
|
2,053,889
|
|||||
Unamortized
discount, net
|
(16,382
|
)
|
(3,367
|
)
|
(238
|
)
|
(19,987
|
)
|
|||||
Amortized
cost
|
1,692,225
|
119,502
|
222,175
|
2,033,902
|
|||||||||
Gross
unrealized gains
|
14,622
|
980
|
2,638
|
18,240
|
|||||||||
Gross
unrealized losses
|
(9,597
|
)
|
(869
|
)
|
(464
|
)
|
(10,930
|
)
|
|||||
Carrying
value
|
$
|
1,697,250
|
$
|
119,613
|
$
|
224,349
|
$
|
2,041,212
|
March
31, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
CES
|
|||||||||
|
|||||||||||||
Current
face
|
$
|
1,259,446
|
$
|
792,240
|
$
|
23,731
|
$
|
2,075,417
|
|||||
Unamortized
discount, net
|
(158,669
|
)
|
(71,455
|
)
|
(7,004
|
)
|
(237,128
|
)
|
|||||
Discount
designated as credit reserve
|
(392,763
|
)
|
(294,466
|
)
|
─
|
(687,229
|
)
|
||||||
Amortized
cost
|
708,014
|
426,319
|
16,727
|
1,151,060
|
|||||||||
Gross
unrealized gains
|
71,323
|
18,767
|
527
|
90,617
|
|||||||||
Gross
unrealized losses
|
(27,060
|
)
|
(9,704
|
)
|
(1,102
|
)
|
(37,866
|
)
|
|||||
Carrying
value
|
$
|
752,277
|
$
|
435,382
|
$
|
16,152
|
$
|
1,203,811
|
December
31, 2006
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
CES
|
|||||||||
|
|||||||||||||
Current
face
|
$
|
1,180,605
|
$
|
793,743
|
$
|
28,731
|
$
|
2,003,079
|
|||||
Unamortized
discount, net
|
(144,842
|
)
|
(71,424
|
)
|
(6,889
|
)
|
(223,155
|
)
|
|||||
Discount
designated as credit reserve
|
(372,247
|
)
|
(295,340
|
)
|
─
|
(667,587
|
)
|
||||||
Amortized
cost
|
663,516
|
426,979
|
21,842
|
1,112,337
|
|||||||||
Gross
unrealized gains
|
71,134
|
23,235
|
516
|
94,885
|
|||||||||
Gross
unrealized losses
|
(13,119
|
)
|
(2,154
|
)
|
(394
|
)
|
(15,667
|
)
|
|||||
Carrying
value
|
$
|
721,531
|
$
|
448,060
|
$
|
21,964
|
$
|
1,191,555
|
(In
thousands)
Three
months ended March 31, 2007
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
|
|||||||||||||
Beginning
balance of unamortized discount, net
|
$
|
144,842
|
$
|
71,424
|
$
|
6,889
|
$
|
223,155
|
|||||
Amortization
of discount
|
(18,892
|
)
|
9
|
─
|
(18,883
|
)
|
|||||||
Calls,
sales, and other
|
2,370
|
─
|
─
|
2,370
|
|||||||||
Re-designation
between credit reserve and discount
|
22,312
|
(397
|
)
|
─
|
21,915
|
||||||||
Upgrades
to investment-grade securities
|
─
|
160
|
115
|
275
|
|||||||||
Purchased
discount
|
8,037
|
259
|
─
|
8,296
|
|||||||||
Ending
balance of unamortized discount, net
|
$
|
158,669
|
$
|
71,455
|
$
|
7,004
|
$
|
237,128
|
|||||
|
|||||||||||||
Beginning
balance of designated credit reserve
|
$
|
372,247
|
$
|
295,340
|
─
|
$
|
667,587
|
||||||
Realized
credit losses
|
(3,805
|
)
|
(1,271
|
)
|
─
|
(5,076
|
)
|
||||||
Calls,
sales, and other
|
(1,516
|
)
|
─
|
─
|
(1,516
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
(22,312
|
)
|
397
|
─
|
(21,915
|
)
|
|||||||
Purchased
discount designated as credit reserve
|
48,149
|
─
|
─
|
48,149
|
|||||||||
Ending
balance of designated credit reserve
|
$
|
392,763
|
$
|
294,466
|
─
|
$
|
687,229
|
(In
thousands)
Three
months ended March 31, 2006
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
|
|||||||||||||
Beginning
balance of unamortized discount, net
|
$
|
121,824
|
$
|
28,993
|
$
|
8,004
|
$
|
158,821
|
|||||
Amortization
of discount
|
(12,391
|
)
|
564
|
44
|
(11,783)
|
)
|
|||||||
Calls,
sales, and other
|
756
|
(44
|
)
|
─
|
712
|
||||||||
Re-designation
between credit reserve and discount
|
1,822
|
(4,429
|
)
|
─
|
(2,607
|
)
|
|||||||
Upgrades
to investment-grade securities
|
(6,249
|
)
|
─
|
─
|
(6,249
|
)
|
|||||||
Purchased
discount (premium)
|
2,609
|
(4,611
|
)
|
─
|
(2,002
|
)
|
|||||||
Ending
balance of unamortized discount, net
|
$
|
108,371
|
$
|
20,473
|
$
|
8,048
|
$
|
136,892
|
|||||
|
|||||||||||||
Beginning
balance of designated credit reserve
|
$
|
354,610
|
$
|
141,806
|
─
|
$
|
496,416
|
||||||
Realized
credit losses
|
(2,577
|
)
|
(2
|
)
|
─
|
(2,579
|
)
|
||||||
Calls,
sales, and other
|
(4,710
|
)
|
─
|
─
|
(4,710
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
(1,822
|
)
|
4,429
|
─
|
2,607
|
||||||||
Purchased
discount designated as credit reserve
|
28,280
|
21,539
|
─
|
49,819
|
|||||||||
Ending
balance of designated credit reserve
|
$
|
373,781
|
$
|
167,772
|
─
|
$
|
541,553
|
March
31, 2007
|
|||||||||||||||||||
(In
thousands)
|
Less
Than 12 Months
|
12
Months or More
|
Total
|
||||||||||||||||
Fair
Market Value
|
Unrealized
Losses
|
Fair
Market Value
|
Unrealized
Losses
|
Fair
Market
Value
|
Unrealized
Losses
|
||||||||||||||
|
|||||||||||||||||||
Residential
|
$
|
1,231,405
|
$
|
(56,179
|
)
|
$
|
497,662
|
$
|
(25,284
|
)
|
$
|
1,729,067
|
$
|
(81,463
|
)
|
||||
Commercial
|
154,968
|
(7,588
|
)
|
155,555
|
(4,398
|
)
|
310,523
|
(11,986
|
)
|
||||||||||
CDO
|
102,607
|
(7,283
|
)
|
58,522
|
(3,244
|
)
|
161,129
|
(10,527
|
)
|
||||||||||
Total
securities
|
$
|
1,488,980
|
$
|
(71,050
|
)
|
$
|
711,739
|
$
|
(32,926
|
)
|
$
|
2,200,719
|
$
|
(103,976
|
)
|
December
31, 2006
(In
thousands)
|
Less
Than 12 Months
|
12
Months or More
|
Total
|
||||||||||||||||
Fair
Market Value
|
Unrealized
Losses
|
Fair
Market Value
|
Unrealized
Losses
|
Fair
Market
Value
|
Unrealized
Losses
|
||||||||||||||
|
|||||||||||||||||||
Residential
|
$
|
495,242
|
$
|
(9,938
|
)
|
$
|
385,170
|
$
|
(12,778
|
)
|
$
|
880,412
|
$
|
(22,716
|
)
|
||||
Commercial
|
111,603
|
(1,055
|
)
|
85,010
|
(1,968
|
)
|
196,613
|
(3,023
|
)
|
||||||||||
CDO
|
29,378
|
(257
|
)
|
29,543
|
(601
|
)
|
58,921
|
(858
|
)
|
||||||||||
Total
real estate securities
|
$
|
636,223
|
$
|
(11,250
|
)
|
$
|
499,723
|
$
|
(15,347
|
)
|
$
|
1,135,946
|
$
|
(26,597
|
)
|
(In
thousands)
|
March
31, 2007
|
December
31, 2006
|
|||||
Unpledged
|
$
|
513,986
|
$
|
463,891
|
|||
Pledged
for Redwood debt
|
708,721
|
593,070
|
|||||
Owned
by securitization entities, financed through issuance of
ABS
|
2,377,755
|
2,175,806
|
|||||
Carrying
value
|
$
|
3,600,462
|
$
|
3,232,767
|
Other
Real Estate Investments - Trading
|
|||||||||||||
March
31, 2007
|
|||||||||||||
(In
thousands)
|
Prime
|
Alt-a
|
Subprime
|
Total
|
|||||||||
Residential
|
|||||||||||||
IOs
|
$
|
1,625
|
$
|
410
|
$
|
─
|
$
|
2,035
|
|||||
NIMs
|
─
|
11,679
|
16,937
|
28,616
|
|||||||||
Residuals
|
─
|
16,219
|
3,187
|
19,406
|
|||||||||
Total
other real estate investments
|
$
|
1,625
|
$
|
28,308
|
$
|
20,124
|
$
|
50,057
|
Interest
Rate Agreements
(In
thousands)
|
March
31, 2007
|
December
31, 2006
|
|||||||||||
Fair
Market
Value
|
Notional
Amount
|
Fair
Market
Value
|
Notional
Amount
|
||||||||||
Accounted
for as Trading Instruments
|
|||||||||||||
Interest
rate caps
purchased
|
$
|
1,389
|
$
|
66,900
|
$
|
1,114
|
$
|
71,900
|
|||||
Interest
rate caps sold
|
—
|
—
|
—
|
—
|
|||||||||
Interest
rate corridors purchased
|
—
|
798,967
|
—
|
844,805
|
|||||||||
Interest
rate swaps
|
203
|
238,831
|
242
|
131,195
|
|||||||||
Credit
default swaps
|
(2,492
|
)
|
35,000
|
(6
|
)
|
1,000
|
|||||||
Futures
|
—
|
—
|
90
|
204,000
|
|||||||||
Purchase
commitments
|
(192
|
)
|
81,676
|
(168
|
)
|
80,964
|
|||||||
Accounted
for as Cash Flow Hedges
|
|||||||||||||
Futures
|
—
|
—
|
(44
|
)
|
627,000
|
||||||||
Interest
rate swaps
|
12,115
|
1,121,884
|
19,385
|
1,279,007
|
|||||||||
Total
Interest Rate Agreements
|
$
|
11,023
|
$
|
2,343,258
|
$
|
20,613
|
$
|
3,239,871
|
Three
Months Ended March 31,
|
|||||||
(In
thousands)
|
2007
|
2006
|
|||||
Net
interest income on interest rate
agreements
|
$
|
2,399
|
$
|
2,231
|
|||
Realized
net gains (losses) due to net ineffective portion of
hedges
|
(81
|
)
|
483
|
||||
Realized
net (losses) gains reclassified from other comprehensive income
(loss)
|
(672
|
)
|
266
|
||||
Total
|
$
|
1,646
|
$
|
2,980
|