x
|
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF
1934
|
o |
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF
1934
|
|
Maryland
|
|
68-0329422
|
|
(State
or Other Jurisdiction of
Incorporation
or Organization)
|
(I.R.S.
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 o
|
Non-Accelerated
Filer o
|
Common
Stock, $0.01 par value per share
|
27,937,406
as of August 7, 2007
|
Page
|
||||
PART
I
|
||||
Item
1.
|
|
Financial
Statements
|
|
|
Consolidated
Balance Sheets at June 30, 2007 (unaudited) and December 31,
2006
|
1
|
|||
Consolidated
Statements of Income for the three and six months ended June 30,
2007 and
2006 (unaudited)
|
2
|
|||
Consolidated
Statements of Comprehensive Income (Loss) for the three and six months
ended June 30, 2007 and 2006 (unaudited)
|
3
|
|||
Consolidated
Statements of Stockholders’ Equity for the six months ended June 30, 2007
and 2006 (unaudited)
|
4
|
|||
Consolidated
Statements of Cash Flows for the six months ended June 30, 2007 and
2006
(unaudited)
|
5
|
|||
Notes
to Consolidated Financial Statements
|
6
|
|||
Item
2.
|
Management’s
Discussion and Analysis of Financial Condition and Results of
Operations
|
43
|
||
Item
3.
|
Quantitative
and Qualitative Disclosures about Market Risk
|
83
|
||
Item
4.
|
Controls
and Procedures
|
83
|
||
PART
II
|
||||
Item
2.
|
Unregistered
Sales of Equity Securities and Use of Proceeds
|
84
|
||
Item
4.
|
Voting
Results
|
|||
Item
6.
|
Exhibits
|
84
|
||
Signatures
|
85
|
(In
thousands, except share data)
|
June
30,
2007
|
December 31,
2006
|
|||||
(Unaudited)
|
|||||||
ASSETS
|
|||||||
Real
estate loans
|
$
|
8,377,474
|
$
|
9,352,107
|
|||
Real
estate securities
|
3,725,772
|
3,232,767
|
|||||
Other
real estate investments
|
34,168
|
—
|
|||||
Non-real
estate investments
|
80,000
|
—
|
|||||
Cash
and cash equivalents
|
82,626
|
168,016
|
|||||
Total
earning assets
|
12,300,040
|
12,752,890
|
|||||
Restricted
cash
|
206,664
|
112,167
|
|||||
Accrued
interest receivable
|
57,337
|
70,769
|
|||||
Derivative
assets
|
40,713
|
26,827
|
|||||
Deferred
tax asset
|
4,660
|
5,146
|
|||||
Deferred
asset-backed securities issuance costs
|
48,532
|
42,468
|
|||||
Other
assets
|
23,369
|
20,206
|
|||||
Total
Assets
|
$
|
12,681,315
|
$
|
13,030,473
|
|||
LIABILITIES
AND STOCKHOLDERS’ EQUITY
|
|||||||
LIABILITIES
|
|||||||
Redwood
debt
|
$
|
848,662
|
$
|
1,856,208
|
|||
Asset-backed
securities issued
|
10,675,469
|
9,979,224
|
|||||
Accrued
interest payable
|
48,473
|
50,590
|
|||||
Derivative
liabilities
|
6,250
|
6,214
|
|||||
Accrued
expenses and other liabilities
|
55,515
|
16,832
|
|||||
Dividends
payable
|
20,862
|
18,715
|
|||||
Subordinated
notes
|
150,000
|
100,000
|
|||||
Total
liabilities
|
11,805,231
|
12,027,783
|
|||||
Commitments
and contingencies (Note 17)
|
|||||||
STOCKHOLDERS’
EQUITY
|
|||||||
Common
stock, par value $0.01 per share, 50,000,000 shares authorized; 27,816,200
and 26,733,460 issued and outstanding
|
279
|
267
|
|||||
Additional
paid-in capital
|
964,944
|
903,808
|
|||||
Accumulated
other comprehensive income (loss)
|
(80,913
|
)
|
93,158
|
||||
Cumulative
earnings
|
838,736
|
809,011
|
|||||
Cumulative
distributions to stockholders
|
(846,962
|
)
|
(803,554
|
)
|
|||
Total
stockholders’ equity
|
876,084
|
1,002,690
|
|||||
Total
Liabilities and Stockholders’ Equity
|
$
|
12,681,315
|
$
|
13,030,473
|
Three
Months Ended
June
30,
|
Six
Months Ended
June
30,
|
||||||||||||
(In
thousands, except share data)
|
2007
|
2006
|
2007
|
2006
|
|||||||||
(Unaudited)
|
|||||||||||||
Interest
Income
|
|||||||||||||
Real
estate loans
|
$
|
119,576
|
$
|
154,972
|
$
|
246,427
|
$
|
321,875
|
|||||
Real
estate securities
|
95,193
|
60,395
|
178,651
|
116,897
|
|||||||||
Other
real estate investments
|
669
|
—
|
3,134
|
—
|
|||||||||
Non-real
estate investments
|
464
|
—
|
464
|
—
|
|||||||||
Cash
and cash equivalents
|
3,756
|
2,871
|
6,088
|
5,348
|
|||||||||
Total
interest income
|
219,658
|
218,238
|
434,764
|
444,120
|
|||||||||
Interest
Expense
|
|||||||||||||
Redwood
debt
|
(22,700
|
)
|
(1,822
|
)
|
(53,794
|
)
|
(3,894
|
)
|
|||||
Asset-backed
securities issued
|
(140,541
|
)
|
(171,697
|
)
|
(275,487
|
)
|
(350,280
|
)
|
|||||
Subordinated
notes
|
(2,516
|
)
|
—
|
(4,572
|
)
|
—
|
|||||||
Total
interest expense
|
(165,757
|
)
|
(173,519
|
)
|
(333,853
|
)
|
(354,174
|
)
|
|||||
Net
Interest Income
|
53,901
|
44,719
|
100,911
|
89,946
|
|||||||||
Operating
expenses
|
(12,772
|
)
|
(16,037
|
)
|
(30,554
|
)
|
(28,619
|
)
|
|||||
Realized
gains on sales and calls, net
|
2,738
|
8,988
|
3,884
|
10,050
|
|||||||||
Market
valuation adjustments, net
|
(29,430
|
)
|
(2,995
|
)
|
(39,694
|
)
|
(5,927
|
)
|
|||||
Net
income before provision for income taxes
|
14,437
|
34,675
|
34,547
|
65,450
|
|||||||||
Provision
for income taxes
|
(3,021
|
)
|
(3,265
|
)
|
(4,822
|
)
|
(6,025
|
)
|
|||||
Net
Income
|
$
|
11,416
|
$
|
31,410
|
$
|
29,725
|
$
|
59,425
|
|||||
Basic
earnings per share:
|
$
|
0.42
|
$
|
1.23
|
$
|
1.10
|
$
|
2.34
|
|||||
Diluted
earnings per share:
|
$
|
0.41
|
$
|
1.20
|
$
|
1.06
|
$
|
2.29
|
|||||
Regular
dividends declared per common share
|
$
|
0.75
|
$
|
0.70
|
$
|
1.50
|
$
|
1.40
|
|||||
Special
dividends declared per common share
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||
Total
dividends declared per common share
|
$
|
0.75
|
$
|
0.70
|
$
|
1.50
|
$
|
1.40
|
|||||
Basic
weighted average shares outstanding
|
27,405,284
|
25,496,552
|
27,132,001
|
25,349,853
|
|||||||||
Diluted
weighted average shares outstanding
|
28,164,944
|
26,108,975
|
27,917,502
|
25,909,923
|
Three
Months Ended
June
30,
|
Six
Months Ended
June
30,
|
||||||||||||
(In
thousands)
|
2007
|
2006
|
2007
|
2006
|
|||||||||
(Unaudited)
|
|||||||||||||
Net
Income
|
$
|
11,416
|
$
|
31,410
|
$
|
29,725
|
$
|
59,425
|
|||||
Other
Comprehensive (Loss) Income:
|
|||||||||||||
Net
unrealized (losses) gains on available-for-sale securities
|
(101,745
|
)
|
6,679
|
(194,430
|
)
|
(1,380
|
)
|
||||||
Reclassification
adjustment for net (gains) losses included in net income
|
7,058
|
(1,342
|
)
|
6,945
|
656
|
||||||||
Unrealized
(losses) gains on cash flow hedges, net
|
19,952
|
10,128
|
13,814
|
24,315
|
|||||||||
Reclassification
of net realized cash flow hedge losses (gains) to interest expense
on
asset-backed securities issued and realized gains on sales and
calls
|
5
|
(6,119
|
)
|
(400
|
)
|
(6,385
|
)
|
||||||
Total
Other Comprehensive (Loss) Income
|
(74,730
|
)
|
9,346
|
(174,071
|
)
|
17,206
|
|||||||
Comprehensive
(Loss) Income
|
$
|
(63,314
|
)
|
$
|
40,756
|
$
|
(144,346
|
)
|
$
|
76,631
|
Accumulated
|
||||||||||||||||||||||
Other
|
Cumulative
|
|||||||||||||||||||||
Additional
|
Comprehensive
|
Distributions
|
||||||||||||||||||||
(In thousands, except |
Common
Stock
|
Paid-In
|
Income
|
Cumulative
|
to
|
|||||||||||||||||
share
data)
|
Shares
|
Amount
|
Capital
|
(Loss)
|
Earnings
|
Stockholders
|
Total
|
|||||||||||||||
(Unaudited)
|
||||||||||||||||||||||
December 31,
2006
|
26,733,460
|
$
|
267
|
$
|
903,808
|
$
|
93,158
|
$
|
809,011
|
$
|
(803,554
|
)
|
$
|
1,002,690
|
||||||||
Net
income
|
—
|
—
|
—
|
—
|
29,725
|
—
|
29,725
|
|||||||||||||||
Net
unrealized gain/reclassification on assets AFS
|
—
|
—
|
—
|
(187,485
|
)
|
—
|
—
|
(187,485
|
)
|
|||||||||||||
Net
unrealized gain/reclassification on interest rate
agreements
|
—
|
—
|
—
|
13,414
|
—
|
—
|
13,414
|
|||||||||||||||
Issuance
of common stock:
|
||||||||||||||||||||||
Dividend
reinvestment & stock purchase plans
|
1,004,165
|
10
|
52,054
|
—
|
—
|
—
|
52,064
|
|||||||||||||||
Employee
option & stock purchase plan
|
78,575
|
2
|
330
|
—
|
—
|
—
|
332
|
|||||||||||||||
Non-cash
equity award compensation
|
—
|
—
|
8,752
|
—
|
—
|
—
|
8,752
|
|||||||||||||||
Common
dividends declared
|
—
|
—
|
—
|
—
|
—
|
(43,408
|
)
|
(43,408
|
)
|
|||||||||||||
June
30, 2007
|
27,816,200
|
$
|
279
|
$
|
964,944
|
$
|
(80,913
|
)
|
$
|
838,736
|
$
|
(846,962
|
)
|
$
|
876,084
|
Accumulated
|
||||||||||||||||||||||
Other
|
Cumulative
|
|||||||||||||||||||||
Additional
|
Comprehensive
|
Distributions
|
||||||||||||||||||||
(In thousands, except |
Common
Stock
|
Paid-In
|
Income
|
Cumulative
|
to
|
|||||||||||||||||
share
data)
|
Shares
|
Amount
|
Capital
|
(Loss)
|
Earnings
|
Stockholders
|
Total
|
|||||||||||||||
(Unaudited)
|
||||||||||||||||||||||
December 31,
2005
|
25,132,625
|
$
|
251
|
$
|
824,365
|
$
|
73,731
|
$
|
681,479
|
$
|
(644,866
|
)
|
$
|
934,960
|
||||||||
Net
income
|
—
|
—
|
—
|
—
|
59,425
|
—
|
59,425
|
|||||||||||||||
Net
unrealized loss/reclassification on assets AFS
|
—
|
—
|
—
|
(724
|
)
|
—
|
—
|
(724
|
)
|
|||||||||||||
Net
unrealized gain/reclassification on interest rate
agreements
|
—
|
—
|
—
|
17,930
|
—
|
—
|
17,930
|
|||||||||||||||
Issuance
of common stock:
|
||||||||||||||||||||||
Dividend
reinvestment & stock purchase plans
|
485,101
|
5
|
20,497
|
—
|
—
|
—
|
20,502
|
|||||||||||||||
Employee
option & stock purchase plan
|
52,257
|
1
|
387
|
—
|
—
|
—
|
388
|
|||||||||||||||
Non-cash
equity award compensation
|
(2,430
|
)
|
—
|
8,647
|
—
|
—
|
—
|
8,647
|
||||||||||||||
Common
dividends declared
|
—
|
—
|
—
|
—
|
—
|
(36,862
|
)
|
(36,862
|
)
|
|||||||||||||
June
30, 2006
|
25,667,553
|
$
|
257
|
$
|
853,896
|
$
|
90,937
|
$
|
740,904
|
$
|
(681,728
|
)
|
$
|
1,004,266
|
Six
Months Ended
June
30,
|
|||||||
(In
thousands)
|
2007
|
2006
|
|||||
(Unaudited)
|
|||||||
Cash
Flows From Operating Activities:
|
|||||||
Net
income
|
$
|
29,725
|
$
|
59,425
|
|||
Adjustments
to reconcile net income to net cash provided by operating
activities:
|
|||||||
Amortization
of premiums, discounts, and debt issuance costs
|
(32,749
|
)
|
(31,080
|
)
|
|||
Depreciation
and amortization of non-financial assets
|
830
|
545
|
|||||
Provision
for credit losses
|
6,329
|
(2,330
|
)
|
||||
Non-cash
equity award compensation
|
8,752
|
8,647
|
|||||
Net
recognized losses (gains) and valuation adjustments
|
35,810
|
(4,123
|
)
|
||||
Purchases
of other real estate investments - trading
|
(40,818
|
)
|
—
|
||||
Purchases
of non-real estate investments - trading
|
(80,000
|
)
|
—
|
||||
Principal
payments on other real estate investments - trading
|
7,431
|
—
|
|||||
Net
change in:
|
|||||||
Accrued
interest receivable
|
13,432
|
9,671
|
|||||
Deferred
income taxes
|
568
|
281
|
|||||
Other
assets
|
4,111
|
(683
|
)
|
||||
Accrued
interest payable
|
(2,117
|
)
|
5,900
|
||||
Accrued
expenses and other liabilities
|
38,683
|
937
|
|||||
Net
cash (used in) provided by operating activities
|
(10,013
|
)
|
47,190
|
||||
Cash
Flows From Investing Activities:
|
|||||||
Purchases
of real estate loans held-for-investment
|
(1,091,496
|
)
|
(325,316
|
)
|
|||
Proceeds
from sales of real estate loans held-for-investment
|
2,191
|
8,408
|
|||||
Principal
payments on real estate loans held-for-investment
|
2,025,662
|
3,733,573
|
|||||
Purchases
of real estate securities available-for-sale
|
(1,011,181
|
)
|
(496,822
|
)
|
|||
Proceeds
from sales of real estate securities available-for-sale
|
175,559
|
176,432
|
|||||
Principal
payments on real estate securities available-for-sale
|
160,737
|
101,803
|
|||||
Proceeds
from sales of other real estate investments - trading
|
2,237
|
—
|
|||||
Net
increase in restricted cash
|
(94,497
|
)
|
(13,806
|
)
|
|||
Net
cash provided by investing activities
|
169,212
|
3,184,272
|
|||||
Cash
Flows From Financing Activities:
|
|||||||
Net
(repayments) borrowings on Redwood debt
|
(1,007,546
|
)
|
359,676
|
||||
Proceeds
from issuance of asset-backed securities
|
3,332,925
|
288,709
|
|||||
Deferred
asset-backed security issuance costs
|
(19,147
|
)
|
(3,383
|
)
|
|||
Repayments
on asset-backed securities
|
(2,609,157
|
)
|
(3,934,557
|
)
|
|||
Proceeds
from issuance of subordinated notes
|
50,000
|
—
|
|||||
Net
(purchases) proceeds from interest rate agreements
|
(2,798
|
)
|
4,297
|
||||
Net
proceeds from issuance of common stock
|
52,396
|
20,890
|
|||||
Dividends
paid
|
(41,262
|
)
|
(36,488
|
)
|
|||
Net
cash used in financing activities
|
(244,589
|
)
|
(3,300,856
|
)
|
|||
Net
decrease in cash and cash equivalents
|
(85,390
|
)
|
(69,394
|
)
|
|||
Cash
and cash equivalents at beginning of period
|
168,016
|
175,885
|
|||||
Cash
and cash equivalents at end of period
|
$
|
82,626
|
$
|
106,491
|
|||
Supplemental
Disclosure of Cash Flow Information:
|
|||||||
Cash
paid for interest
|
$
|
335,970
|
$
|
348,274
|
|||
Cash
paid for taxes
|
$
|
8,480
|
$
|
4,099
|
|||
Non-Cash
Financing Activity:
|
|||||||
Dividends
declared but not paid
|
$
|
20,862
|
$
|
17,967
|
·
|
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.
|
Three
Months Ended
June
30,
|
Six
Months Ended
June
30,
|
||||||||||||
(In
thousands, except share data)
|
2007
|
2006
|
2007
|
2006
|
|||||||||
Denominators:
|
|||||||||||||
Denominator
for basic earnings per share is equal to the weighted average number
of
common shares outstanding during the period
|
27,405,284 |
25,496,552
|
27,132,001
|
25,349,853
|
|||||||||
Adjustments
for diluted earnings per share are:
|
|||||||||||||
Net
effect of dilutive stock options
|
759,660 |
612,423
|
785,501
|
560,070
|
|||||||||
Denominator
for diluted earnings per share
|
28,164,944 |
26,108,975
|
27,917,502
|
25,909,923
|
|||||||||
Basic
Earnings Per Share:
|
$
|
0.42
|
$
|
1.23
|
$
|
1.10
|
$
|
2.34
|
|||||
Diluted
Earnings Per Share:
|
$
|
0.41
|
$
|
1.20
|
$
|
1.06
|
$
|
2.29
|
Three
Months Ended
June
30,
|
Six
Months Ended
June
30,
|
||||||||||||
2007
|
2006
|
2007
|
2006
|
||||||||||
Stock
price volatility
|
27.2
|
%
|
—
|
25.5
|
%
|
25.7
|
%
|
||||||
Risk
free rate of return (5 yr Treasury Rate)
|
4.87
|
%
|
—
|
4.58
|
%
|
4.75
|
%
|
||||||
Average
life
|
5
years
|
—
|
6
years
|
5
years
|
|||||||||
Dividend
yield
|
10.00
|
%
|
—
|
10.00
|
%
|
10.00
|
%
|
(In
thousands)
|
June
30,
2007
|
December 31,
2006
|
|||||
Residential
real estate loans -
held-for-sale
|
$
|
9,410
|
$
|
—
|
|||
Residential
real estate loans - held-for-investment
|
8,342,237
|
9,323,935
|
|||||
Total
residential real estate
loans
|
8,351,647
|
9,323,935
|
|||||
Commercial
real estate loans - held-for-investment
|
25,827
|
28,172
|
|||||
Total
real estate loans
|
$
|
8,377,474
|
$
|
9,352,107
|
June
30, 2007
(In
thousands)
|
Residential
Real
Estate
Loans
|
Commercial
Real
Estate
Loans
|
Total
|
|||||||
Current
face
|
$
|
8,256,759
|
$
|
38,311
|
$
|
8,295,070
|
||||
Unamortized
premium (discount)
|
101,894
|
(1,995
|
)
|
99,899
|
||||||
Discount
designated as credit reserve
|
—
|
(8,141
|
)
|
(8,141
|
)
|
|||||
Amortized
cost
|
8,358,653
|
28,175
|
8,386,828
|
|||||||
Reserve
for credit losses
|
(16,416
|
)
|
(2,348
|
)
|
(18,764
|
)
|
||||
Carrying
value
|
$
|
8,342,237
|
$
|
25,827
|
$
|
8,368,064
|
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
|
June
30,
2007
|
December 31,
2006
|
||||||||||||
(In
thousands)
|
Face
Value
|
Carrying
Value
|
Face
Value
|
Carrying
Value
|
|||||||||
Unpledged
|
$
|
175,965
|
$
|
163,789
|
$
|
120,578
|
$
|
111,231
|
|||||
Pledged
for Redwood debt:
|
|||||||||||||
Repurchase
(repo) agreements
|
506,932
|
506,576
|
978,713
|
982,629
|
|||||||||
Commercial
paper
|
204,825
|
207,135
|
301,827
|
302,615
|
|||||||||
Owned
by securitization entities, financed through
the
issuance of ABS
|
7,419,895
|
7,499,974
|
7,849,244
|
7,955,632
|
|||||||||
Carrying
value
|
$
|
8,307,617
|
$
|
8,377,474
|
$
|
9,250,362
|
$
|
9,352,107
|
June
30, 2007
(In
thousands)
|
CES
|
IGS
|
Total
AFS
Securities
|
|||||||
Residential
securities:
|
||||||||||
Prime
|
$
|
569,789
|
$
|
869,884
|
$
|
1,439,673
|
||||
Alt-a
|
172,356
|
855,555
|
1,027,911
|
|||||||
Subprime
|
2,830
|
437,507
|
440,337
|
|||||||
Total
residential securities
|
744,975
|
2,162,946
|
2,907,921
|
|||||||
Commercial
securities
|
450,941
|
111,144
|
562,085
|
|||||||
CDO
securities
|
21,133
|
234,633
|
255,766
|
|||||||
Total
securities
|
$
|
1,217,049
|
$
|
2,508,723
|
$
|
3,725,772
|
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
|
June
30, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
IGS
|
|||||||||
Current
face
|
$
|
2,276,704
|
$
|
121,131
|
$
|
262,881
|
$
|
2,660,716
|
|||||
Unamortized
discount, net
|
(32,187
|
)
|
(3,103
|
)
|
(7,096
|
)
|
(42,386
|
)
|
|||||
Amortized
cost
|
2,244,517
|
118,028
|
255,785
|
2,618,330
|
|||||||||
Gross
unrealized gains
|
3,800
|
16
|
640
|
4,456
|
|||||||||
Gross
unrealized losses
|
(85,371
|
)
|
(6,900
|
)
|
(21,792
|
)
|
(114,063
|
)
|
|||||
Carrying
value
|
$
|
2,162,946
|
$
|
111,144
|
$
|
234,633
|
$
|
2,508,723
|
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
|
June
30, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
CES
|
|||||||||
Current
face
|
$
|
1,291,193
|
$
|
880,987
|
$
|
31,381
|
$
|
2,203,561
|
|||||
Unamortized
discount, net
|
(125,948
|
)
|
(95,346
|
)
|
(9,955
|
)
|
(231,249
|
)
|
|||||
Discount
designated as credit reserve
|
(453,076
|
)
|
(310,745
|
)
|
—
|
(763,821
|
)
|
||||||
Amortized
cost
|
712,169
|
474,896
|
21,426
|
1,208,491
|
|||||||||
Gross
unrealized gains
|
66,177
|
11,637
|
1,776
|
79,590
|
|||||||||
Gross
unrealized losses
|
(33,371
|
)
|
(35,592
|
)
|
(2,069
|
)
|
(71,032
|
)
|
|||||
Carrying
value
|
$
|
744,975
|
$
|
450,941
|
$
|
21,133
|
$
|
1,217,049
|
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
|
Three
Months Ended June 30, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
Beginning
balance of unamortized discount, net
|
$
|
158,669
|
$
|
71,455
|
$
|
7,004
|
$
|
237,128
|
|||||
Amortization
of discount
|
(21,065 | ) | (200 | ) | — |
(21,265
|
)
|
||||||
Calls,
sales, and other
|
12,931 | 766 | 105 |
13,802
|
|||||||||
Re-designation
between credit reserve and discount
|
(21,803 | ) | 9,877 | — |
(11,926
|
)
|
|||||||
Upgrades
to investment-grade securities
|
— | — | — |
—
|
|||||||||
Purchased
discount (premium)
|
(2,784 | ) | 13,448 | 2,846 |
13,510
|
||||||||
Ending
balance of unamortized discount, net
|
$
|
125,948
|
$
|
95,346
|
$
|
9,955
|
$
|
231,249
|
|||||
Beginning
balance of designated credit reserve
|
$
|
392,763
|
$
|
294,466
|
— |
$
|
687,229
|
||||||
Realized
credit losses
|
(5,648 | ) | (42 | ) | — |
(5,690
|
)
|
||||||
Calls,
sales, and other
|
(2,158 | ) | — | — |
(2,158
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
21,803 | (9,877 | ) | — |
11,926
|
||||||||
Purchased
discount designated as credit reserve
|
46,316 | 26,198 | — |
72,514
|
|||||||||
Ending
balance of designated credit reserve
|
$
|
453,076
|
$
|
310,745
|
— |
$
|
763,821
|
Three
Months Ended June 30, 2006
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
Beginning
balance of unamortized discount, net
|
$
|
108,371
|
$
|
20,473
|
$
|
8,048
|
$
|
136,892
|
|||||
Amortization
of discount
|
(11,684 | ) | 257 | — |
(11,427
|
)
|
|||||||
Calls,
sales, and other
|
(813 | ) | 1,835 | (70 | ) |
952
|
|||||||
Re-designation
between credit reserve and discount
|
20,828 | (884 | ) | — |
19,944
|
||||||||
Upgrades
to investment-grade securities
|
— | — | — |
—
|
|||||||||
Purchased
discount
|
— | 6,503 | — |
6,503
|
|||||||||
Ending
balance of unamortized discount, net
|
$
|
116,702
|
$
|
28,184
|
$
|
7,978
|
$
|
152,864
|
|||||
Beginning
balance of designated credit reserve
|
$
|
373,781
|
$
|
167,772
|
— |
$
|
541,553
|
||||||
Realized
credit losses
|
(1,041 | ) | 138 | — |
(903
|
)
|
|||||||
Calls,
sales, and other
|
(192 | ) | — | — |
(192
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
(20,828 | ) | 884 | — |
(19,944
|
)
|
|||||||
Purchased
discount designated as credit reserve
|
73,858 | 23,340 | — |
97,198
|
|||||||||
Ending
balance of designated credit reserve
|
$
|
425,578
|
$
|
192,134
|
— |
$
|
617,712
|
Six
Months Ended June 30, 2007
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
Beginning
balance of unamortized discount, net
|
$
|
144,842
|
$
|
71,424
|
$
|
6,889
|
$
|
223,155
|
|||||
Amortization
of discount
|
(39,957
|
)
|
(191
|
)
|
—
|
(40,148
|
)
|
||||||
Calls,
sales, and other
|
15,301
|
766
|
105
|
16,172
|
|||||||||
Re-designation
between credit reserve and discount
|
509
|
9,480
|
—
|
9,989
|
|||||||||
Upgrades
to investment-grade securities
|
—
|
160
|
115
|
275
|
|||||||||
Purchased
discount
|
5,253
|
13,707
|
2,846
|
21,806
|
|||||||||
Ending
balance of unamortized discount, net
|
$
|
125,948
|
$
|
95,346
|
$
|
9,955
|
$
|
231,249
|
|||||
Beginning
balance of designated credit reserve
|
$
|
372,247
|
$
|
295,340
|
—
|
$
|
667,587
|
||||||
Realized
credit losses
|
(9,453
|
)
|
(1,313
|
)
|
—
|
(10,766
|
)
|
||||||
Calls,
sales, and other
|
(3,674
|
)
|
—
|
—
|
(3,674
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
(509
|
)
|
(9,480
|
)
|
—
|
(9,989
|
)
|
||||||
Purchased
discount designated as credit reserve
|
94,465
|
26,198
|
—
|
120,663
|
|||||||||
Ending
balance of designated credit reserve
|
$
|
453,076
|
$
|
310,745
|
—
|
$
|
763,821
|
Six
Months Ended June 30, 2006
(In
thousands)
|
Residential
|
Commercial
|
CDO
|
Total
|
|||||||||
Beginning
balance of unamortized discount, net
|
$
|
121,824
|
$
|
28,993
|
$
|
8,004
|
$
|
158,821
|
|||||
Amortization
of discount
|
(24,075
|
)
|
821
|
—
|
(23,254
|
)
|
|||||||
Calls,
sales, and other
|
(57
|
)
|
1,209
|
(26
|
)
|
1,126
|
|||||||
Re-designation
between credit reserve and discount
|
22,650
|
(5,313
|
)
|
—
|
17,337
|
||||||||
Upgrades
to investment-grade securities
|
(6,249
|
)
|
—
|
—
|
(6,249
|
)
|
|||||||
Purchased
discount
|
2,609
|
2,474
|
—
|
5,083
|
|||||||||
Ending
balance of unamortized discount, net
|
$
|
116,702
|
$
|
28,184
|
$
|
7,978
|
$
|
152,864
|
|||||
Beginning
balance of designated credit reserve
|
$
|
354,610
|
$
|
141,806
|
—
|
$
|
496,416
|
||||||
Realized
credit losses
|
(3,618
|
)
|
136
|
—
|
(3,482
|
)
|
|||||||
Calls,
sales, and other
|
(4,903
|
)
|
—
|
—
|
(4,903
|
)
|
|||||||
Re-designation
between credit reserve and discount
|
(22,650
|
)
|
5,313
|
—
|
(17,337
|
)
|
|||||||
Purchased
discount designated as credit reserve
|
102,139
|
44,879
|