Exhibit 99.1
[REDWOOD TRUST LOGO] SUPPLEMENTAL FINANCIAL INFORMATION
QUARTER ENDED SEPTEMBER 30, 2003
FINANCIAL RESULTS
TABLE 1 GAAP
EARNINGS EARNINGS / CORE
($ IN THOUSANDS, EXCEPT PER SHARE DATA) AVERAGE EARNINGS /
AVERAGE GAAP AVERAGE
DILUTED COMMON COMMON
GAAP CORE SHARES GAAP CORE EQUITY CORE EQUITY
EARNINGS EARNINGS OUTSTANDING EPS EPS (ANNUALIZED) (ANNUALIZED)
-------- -------- ----------- --- --- ------------ ------------
Q1: 2002 $ 11,219 $ 10,887 14,077,405 $ 0.80 $ 0.77 14.2% 14.2%
Q2: 2002 13,802 12,546 15,747,048 0.88 0.80 15.4% 14.5%
Q3: 2002 14,306 12,831 16,240,194 0.88 0.79 14.1% 14.3%
Q4: 2002 14,566 13,183 16,529,075 0.88 0.80 13.7% 14.2%
2002 53,893 49,447 15,658,623 3.44 3.16 14.3% 14.3%
Q1: 2003 14,932 14,962 16,983,513 0.88 0.88 12.9% 15.4%
Q2: 2003 22,212 20,761 18,433,165 1.21 1.13 17.6% 19.4%
Q3: 2003 24,636 24,481 19,018,487 1.30 1.29 17.8% 21.4%
See TABLES 5 & 6 for a description of core earnings and core equity and a
related reconciliation of GAAP earnings to core earnings and GAAP equity to core
equity.
TABLE 2
NET INTEREST INCOME NET NET
($ IN THOUSANDS) INTEREST INTEREST
INCOME/ INCOME/
TOTAL TOTAL NET EARNING COST INTEREST INTEREST AVERAGE AVERAGE
INTEREST INTEREST INTEREST ASSET OF RATE RATE GAAP CORE
INCOME EXPENSE INCOME YIELD FUNDS SPREAD MARGIN EQUITY EQUITY
------ ------- ------ ----- ----- ------ ------ ------ ------
Q1: 2002 $ 30,716 $ 15,602 $ 15,114 4.92% 2.82% 2.10% 2.36% 17.69% 18.13%
Q2: 2002 36,252 18,489 17,763 4.71% 2.69% 2.02% 2.25% 18.41% 19.12%
Q3: 2002 42,093 24,291 17,802 4.07% 2.57% 1.51% 1.68% 16.47% 18.51%
Q4: 2002 54,155 33,323 20,832 3.59% 2.35% 1.24% 1.35% 18.50% 20.92%
2002 163,216 91,705 71,511 4.13% 2.54% 1.60% 1.77% 17.75% 19.21%
Q1: 2003 61,125 36,933 24,192 3.31% 2.10% 1.21% 1.28% 19.79% 23.33%
Q2: 2003 71,426 41,802 29,624 3.35% 2.05% 1.30% 1.36% 23.45% 27.63%
Q3: 2003 90,163 55,532 34,631 3.03% 1.92% 1.11% 1.14% 25.07% 30.23%
TABLE 3
INTEREST EXPENSE
($ IN THOUSANDS)
AVERAGE TOTAL AVERAGE LONG TERM LONG TERM AVERAGE SHORT TERM SHORT TERM
TOTAL INTEREST COST OF LONG TERM INTEREST DEBT COST SHORT TERM INTEREST DEBT COST
DEBT EXPENSE FUNDS DEBT EXPENSE OF FUNDS DEBT EXPENSE OF FUNDS
---- ------- ----- ---- ------- -------- ---- ------- --------
Q1: 2002 $ 2,211,927 $ 15,602 2.82% $ 1,280,503 $ 10,661 3.33% $ 931,424 $ 4,941 2.12%
Q2: 2002 2,752,215 18,489 2.69% 1,806,884 12,894 2.85% 945,331 5,595 2.37%
Q3: 2002 3,781,717 24,291 2.57% 2,893,682 18,893 2.61% 888,035 5,398 2.43%
Q4: 2002 5,680,238 33,323 2.35% 5,018,353 28,945 2.31% 661,885 4,378 2.65%
2002 3,616,506 91,705 2.54% 2,760,490 71,393 2.59% 856,016 20,312 2.37%
Q1: 2003 7,036,183 36,933 2.10% 6,637,053 34,993 2.11% 399,130 1,940 1.94%
Q2: 2003 8,160,393 41,802 2.05% 7,861,252 40,163 2.04% 299,141 1,639 2.19%
Q3: 2003 11,541,894 55,532 1.92% 11,197,470 53,861 1.92% 344,424 1,671 1.94%
TABLE 4
NET INTEREST INCOME ON AN "AT RISK" ASSETS AND RECOURSE DEBT BASIS
($ IN THOUSANDS)
NET
INTEREST INTEREST NET "AT RISK" "AT RISK" INTEREST
INCOME EXPENSE INTEREST RECOURSE ASSET ASSET INCOME/
ON ON INCOME ON "AT RISK" COST INTEREST INTEREST AVERAGE
"AT RISK" RECOURSE "AT RISK" ASSET OF RATE RATE CORE
ASSETS DEBT BASIS YIELD FUNDS SPREAD MARGIN EQUITY
------ ---- ----- ----- ----- ------ ------ ------
Q1: 2002 $20,055 $ 4,941 $15,114 6.30% 2.12% 4.18% 4.75% 18.13%
Q2: 2002 23,358 5,595 17,763 7.02% 2.37% 4.65% 5.34% 19.12%
Q3: 2002 23,200 5,398 17,802 7.03% 2.43% 4.60% 5.39% 18.51%
Q4: 2002 25,210 4,378 20,832 9.07% 2.65% 6.42% 7.49% 20.92%
2002 91,823 20,312 71,511 7.29% 2.37% 4.92% 5.68% 19.21%
Q1: 2003 26,132 1,940 24,192 11.77% 1.94% 9.82% 10.89% 23.33%
Q2: 2003 31,263 1,639 29,624 15.54% 2.19% 13.35% 14.73% 27.63%
Q3: 2003 36,302 1,671 34,631 16.19% 1.94% 14.25% 15.44% 30.23%
See TABLE 7 for a reconciliation of GAAP interest income to net interest income
on an "at risk" basis and GAAP interest expense to recourse cost of funds. See
Table 8 for a description of recourse assets and recourse debt and a related
reconciliation to reported GAAP assets and reported GAAP debt.
- --------------------------------------------------------------------------------
FINANCIAL RESULTS (CONTINUED)
- --------------------------------------------------------------------------------
TABLE 5
CORE EARNINGS (1) LESS: NET
($ IN THOUSANDS) REALIZED & LESS:
UNREALIZED VARIABLE
MARKET STOCK
VALUE OPTION
GAAP GAINS/ VALUATION CORE
EARNINGS (LOSSES) ADJUSTMENTS EARNINGS
-------- -------- ----------- --------
Q1: 2002 $ 11,219 $ 875 $ (543) $ 10,887
Q2: 2002 13,802 2,045 (789) 12,546
Q3: 2002 14,306 730 745 12,831
Q4: 2002 14,566 1,461 (78) 13,183
2002 53,893 5,111 (665) 49,447
Q1: 2003 14,932 918 (948) 14,962
Q2: 2003 22,212 2,941 (1,490) 20,761
Q3: 2003 24,636 668 (513) 24,481
(1) Core earnings is not a measure of earnings in accordance with GAAP. Core
earnings is calculated as GAAP earnings from ongoing operations less
mark-to-market adjustments (which include realized and unrealized gains and
losses on certain assets, interest rate agreements, and variable stock options).
We believe that core earnings provides relevant and useful information regarding
our results of operations in addition to GAAP measures of performance. This is,
in part, because market valuation adjustments on only a portion of our assets
and stock options and none of our liabilities are recognized through our
Consolidated Statements of Income under GAAP, and thus GAAP valuation
adjustments may not be fully indicative of changes in market values on our
balance sheet as a whole or a reliable guide to our current operating
performance. Furthermore, gains or losses realized upon sales of assets vary
based on portfolio management decisions; a sale of an asset for a gain or a loss
may or may not affect our ongoing earnings from operations. Because all
companies and analysts do not calculate non-GAAP measures such as core earnings
in the same fashion, core earnings as calculated by us may not be comparable to
similarly titled measures reported by other companies.
TABLE 6
CORE EQUITY (2)
($ IN THOUSANDS) AVERAGE
BALANCE BALANCE AVERAGE
TOTAL SHEET AVERAGE SHEET AVERAGE AVERAGE AVERAGE COMMON
GAAP MARK-TO-MKT CORE GAAP MARK-TO-MKT CORE PREFERRED COMMON CORE
EQUITY ADJUSTMENTS EQUITY EQUITY ADJUSTMENTS EQUITY EQUITY EQUITY EQUITY
------ ----------- ------ ------ ----------- ------ ------ ------ ------
Q1: 2002 $ 364,444 $ 11,015 $ 353,429 $ 341,766 $ 8,360 $ 333,406 $ 26,517 $ 315,249 $ 306,889
Q2: 2002 417,930 35,826 382,104 385,887 14,213 371,674 26,517 359,370 345,157
Q3: 2002 445,728 54,148 391,580 432,310 47,705 384,605 26,517 405,793 358,088
Q4: 2002 473,033 69,146 403,887 450,464 52,200 398,264 26,517 423,947 371,747
2002 473,033 69,146 403,887 402,986 30,786 372,200 26,517 376,469 345,683
Q1: 2003 485,402 68,077 417,325 489,086 74,231 414,855 26,517 462,569 388,338
Q2: 2003 547,176 108,409 438,767 505,373 76,477 428,896 -- 505,373 428,896
Q3: 2003 566,134 90,592 475,542 552,645 94,341 458,304 -- 552,645 458,304
(2) Core equity is calculated as GAAP equity less unrealized gains and losses on
certain assets and interest rate agreements. We believe measurements based on
core equity provide relevant useful information regarding our results of
operations in addition to GAAP measures of performance. This is, in part,
because market valuation adjustments reflected in GAAP equity represent
unrealized gains and losses on a portion of the balance sheet only and may not
be reflective of the equity available to invest in operations. Because all
companies and analysts do not calculate non-GAAP measures in the same fashion,
core equity and ratios using core equity as calculated by the us may not be
comparable to similarly titled measures reported by other companies. Average
Common Equity measures are calculated by excluding Average Preferred Equity.
TABLE 7
RECONCILIATION OF GAAP INTEREST INCOME AND INTEREST EXPENSE TO INTEREST INCOME ON "AT RISK" ASSETS AND
INTEREST EXPENSE ON RECOURSE DEBT
($ IN THOUSANDS)
INTEREST INTEREST INTEREST INTEREST
INCOME INCOME EXPENSE EXPENSE
TOTAL ON NON- ON TOTAL ON NON- ON
INTEREST RECOURSE "AT RISK" INTEREST RECOURSE RECOURSE
INCOME ASSETS ASSETS EXPENSE DEBT DEBT
------ ------ ------ ------- ---- ----
Q1: 2002 $ 30,716 $ 10,661 $ 20,055 $ 15,602 $ 10,661 $ 4,941
Q2: 2002 36,252 12,894 23,358 18,489 12,894 5,595
Q3: 2002 42,093 18,893 23,200 24,291 18,893 5,398
Q4: 2002 54,155 28,945 25,210 33,323 28,945 4,378
2002 163,216 71,393 91,823 91,705 71,393 20,312
Q1: 2003 61,125 34,993 26,132 36,933 34,993 1,940
Q2: 2003 71,426 40,163 31,263 41,802 40,163 1,639
Q3: 2003 90,163 53,861 36,302 55,532 53,861 1,671
FINANCIAL RESULTS (CONTINUED)
TABLE 8
LEVERAGE RATIOS
EQUITY TO ASSETS AND DEBT TO EQUITY
($ IN THOUSANDS)
GAAP GAAP REPORTED RECOURSE
NON- (3) EQUITY TO EQUITY TO NON- (3) DEBT TO DEBT TO
REPORTED RECOURSE RECOURSE REPORTED RECOURSE REPORTED RECOURSE RECOURSE GAAP GAAP
ASSETS ASSETS ASSETS ASSETS ASSETS DEBT DEBT DEBT EQUITY EQUITY
------ ------ ------ ------ ------ ---- ---- ---- ------ ------
Q1: 2002 $ 2,739,838 $ 1,252,881 $ 1,486,957 13% 25% $ 2,356,972 $ 1,234,459 $ 1,122,513 6.5 3.1
Q2: 2002 3,689,782 2,266,849 1,422,933 11% 29% 3,246,603 2,241,600 1,005,003 7.8 2.4
Q3: 2002 5,674,302 4,394,493 1,279,809 8% 35% 5,199,362 4,365,281 834,081 11.7 1.9
Q4: 2002 7,007,772 6,435,025 572,747 7% 83% 6,496,734 6,397,020 99,714 13.7 0.2
2002 7,007,772 6,435,025 572,747 7% 83% 6,496,734 6,397,020 99,714 13.7 0.2
Q1: 2003 8,172,063 7,210,944 961,119 6% 51% 7,646,408 7,170,691 475,717 15.8 1.0
Q2: 2003 10,356,052 9,591,192 764,860 5% 72% 9,760,315 9,542,631 217,684 17.8 0.4
Q3: 2003 14,901,374 13,835,517 1,065,857 4% 53% 14,281,936 13,782,213 499,723 25.2 0.9
(3) Assets that have been sold to non-recourse securitization trusts and
long-term debt that is non-recourse to Redwood are reported on our balance
sheet. Only our net investments in the equity of these trusts constitute
"at-risk" assets to us. If we had used different terms or forms of
securitization these transactions may have been accounted for as sales. With
sales accounting, our reported balance sheet (both assets and liabilities) would
be substantially smaller (although the economics of the transaction and our
exposure to risks would be unchanged). If we structured the securitizations
differently and therefore accounted for them as sales rather than financings,
our asset-based margins would have been different and, in some respects,
reported on a basis that is more comparable to some other financial
institutions. Our interest rate spread and our interest rate margin would have
been higher and would show a positive trend in recent quarters. Our reported
debt-to-equity ratio would have been substantially lower. Table 4 above presents
our interest income and interest expense as if we had structured our
securitizations to obtain sales accounting treatment rather than financing
accounting treatment; effectively, on an "at-risk" basis for assets and on a
recourse basis for liabilities.
TABLE 9
RECONCILIATION OF AVERAGE REPORTED ASSETS TO AVERAGE "AT RISK" ASSETS AND
AVERAGE REPORTED DEBT TO AVERAGE RECOURSE DEBT
($ IN THOUSANDS)
AVERAGE AVERAGE
AVERAGE NON- AVERAGE AVERAGE NON- AVERAGE
REPORTED RECOURSE "AT RISK" REPORTED RECOURSE RECOURSE
ASSETS ASSETS ASSETS DEBT DEBT DEBT
------ ------ ------ ---- ---- ----
Q1: 2002 $ 2,564,847 $ 1,291,657 $ 1,273,190 $ 2,211,927 $ 1,280,503 $ 931,424
Q2: 2002 3,158,751 1,827,533 1,331,218 2,752,215 1,806,884 945,331
Q3: 2002 4,234,477 2,914,133 1,320,344 3,781,717 2,893,682 888,035
Q4: 2002 6,158,898 5,046,549 1,112,349 5,680,238 5,018,353 661,885
2002 4,039,652 2,780,650 1,259,002 3,616,506 2,760,490 856,016
Q1: 2003 7,553,727 6,665,511 888,216 7,036,183 6,637,053 399,130
Q2: 2003 8,687,371 7,882,857 804,514 8,160,393 7,861,252 299,141
Q3: 2003 12,131,616 11,234,547 897,069 11,541,894 11,197,470 344,424
PORTFOLIOS
TABLE 10
BALANCES & YIELDS
($ IN THOUSANDS) AT PERIOD END FOR PERIOD ENDED
--------------------------------------------------------------------- ------------------------------
UNAMORTIZED UNREALIZED NET
CURRENT PREMIUM/ CREDIT GAIN/ BOOK AVERAGE INTEREST
FACE (DISCOUNT) RESERVE (LOSS) VALUE BALANCE* INCOME YIELD
---- ---------- ------- ------ ----- -------- ------ -----
TOTAL EARNING ASSETS
Q1: 2002 $ 2,912,217 $ (10,332) $ (200,037) $ 11,016 2,712,864 $ 2,498,565 30,716 4.92%
Q2: 2002 3,854,545 (14,318) (212,296) 35,827 3,663,758 3,080,165 36,252 4.71%
Q3: 2002 5,829,188 (6,941) (227,346) 54,148 5,649,049 4,131,870 42,093 4.07%
Q4: 2002 7,158,374 (25,644) (233,162) 72,226 6,971,794 6,042,042 54,155 3.59%
2002 7,158,374 (25,644) (233,162) 72,226 6,971,794 3,948,399 163,216 4.13%
Q1: 2003 8,356,918 (50,540) (244,056) 72,282 8,134,604 7,393,566 61,125 3.31%
Q2: 2003 10,471,188 (62,789) (216,834) 115,903 10,307,468 8,523,925 71,426 3.35%
Q3: 2003 14,969,841 (23,059) (191,264) 91,992 14,847,510 11,911,196 90,163 3.03%
RESIDENTIAL REAL ESTATE LOANS
Q1: 2002 $ 1,790,239 $ 9,502 $ (5,481) $ -- 1,794,260 $ 1,544,924 14,125 3.66%
Q2: 2002 2,795,628 13,881 (5,953) -- 2,803,556 2,201,384 19,601 3.56%
Q3: 2002 4,736,645 31,859 (6,611) -- 4,761,893 3,262,462 24,447 3.00%
Q4: 2002 6,190,674 32,776 (8,271) -- 6,215,179 5,318,910 37,264 2.80%
2002 6,190,674 32,776 (8,271) -- 6,215,179 3,092,755 95,437 3.09%
Q1: 2003 7,297,515 33,520 (9,996) -- 7,321,039 6,625,539 42,314 2.55%
Q2: 2003 9,206,986 52,593 (12,159) -- 9,247,420 7,670,484 47,299 2.47%
Q3: 2003 13,703,475 123,392 (13,617) -- 13,813,250 10,958,059 63,638 2.32%
RESIDENTIAL LOAN CREDIT-ENHANCEMENT SECURITIES
Q1: 2002 $ 460,035 $ (28,058) $ (194,556) $ 12,411 249,832 $ 201,540 6,695 13.29%
Q2: 2002 492,642 (35,745) (206,343) 34,205 284,759 238,282 9,006 15.12%
Q3: 2002 542,669 (49,360) (220,735) 51,556 324,130 257,844 10,443 16.20%
Q4: 2002 559,186 (58,578) (224,891) 76,762 352,479 271,016 11,283 16.65%
2002 559,186 (58,578) (224,891) 76,762 352,479 242,404 37,427 15.44%
Q1: 2003 614,111 (84,648) (234,060) 77,759 373,162 278,339 13,693 19.68%
Q2: 2003 598,134 (113,358) (204,675) 113,310 393,411 279,010 17,977 25.77%
Q3: 2003 603,855 (145,356) (177,647) 92,559 373,411 270,991 19,027 28.09%
COMMERCIAL REAL ESTATE LOANS
Q1: 2002 $ 50,057 $ (677) $ -- $ -- 49,380 $ 50,170 1,274 10.16%
Q2: 2002 50,436 (638) -- -- 49,798 49,369 1,233 9.99%
Q3: 2002 51,318 (654) -- -- 50,664 50,102 1,280 10.22%
Q4: 2002 30,250 (980) -- -- 29,270 47,935 1,213 10.12%
2002 30,250 (980) -- -- 29,270 49,390 5,000 10.12%
Q1: 2003 32,223 (1,009) -- -- 31,214 30,888 816 10.57%
Q2: 2003 42,492 (7,970) -- -- 34,522 33,138 960 11.59%
Q3: 2003 31,211 (7,603) -- -- 23,608 30,471 939 12.33%
SECURITIES
Q1: 2002 $ 601,926 $ 8,901 $ -- $ (1,395) 609,432 $ 676,692 8,514 5.03%
Q2: 2002 502,684 8,184 -- 1,622 512,490 529,843 6,222 4.70%
Q3: 2002 477,950 11,214 -- 2,592 491,756 493,997 5,719 4.63%
Q4: 2002 339,095 1,138 -- (4,536) 335,697 320,154 3,949 4.93%
2002 339,095 1,138 -- (4,536) 335,697 504,401 24,404 4.84%
Q1: 2003 370,187 1,597 -- (5,477) 366,307 360,084 4,192 4.66%
Q2: 2003 587,038 5,946 -- 2,593 595,577 453,546 5,057 4.46%
Q3: 2003 599,144 6,508 -- (567) 605,085 602,622 6,478 4.30%
CASH & EQUIVALENTS
Q1: 2002 $ 9,960 $ -- $ -- $ -- 9,960 108
Q2: 2002 13,155 -- -- -- 13,155 190
Q3: 2002 20,606 -- -- -- 20,606 204
Q4: 2002 39,169 -- -- -- 39,169 446
2002 39,169 -- -- -- 39,169 948
Q1: 2003 42,882 -- -- -- 42,882 110
Q2: 2003 36,539 36,539 133
Q3: 2003 32,156 32,156 81
* Average excludes unrealized gains(losses) from mark-to-market adjustments.
PORTFOLIOS (CONTINUED)
TABLE 11
PORTFOLIO ACTIVITY DISCOUNT/ NET NET NET
($ IN THOUSANDS) PRINCIPAL (PREMIUM) CREDIT CHARGE-OFFS/ MARK-TO-MKT INCREASE/
ACQUISITIONS SALES PAYMENTS AMORTIZATION PROVISION (RECOVERIES) ADJUSTMENT (DECREASE)
------------ ----- -------- ------------ --------- ------------ ---------- ----------
RESIDENTIAL REAL ESTATE LOANS
Q1: 2002 $ 417,276 $ -- $ (95,924) $ (1,672) $ (282) $ -- $ -- $ 319,398
Q2: 2002 1,146,621 (46,683) (89,582) (1,060) (472) -- 472 1,009,296
Q3: 2002 2,075,296 (2,960) (109,896) (3,502) (894) 236 57 1,958,337
Q4: 2002 1,616,400 -- (155,915) (5,754) (1,660) -- 215 1,453,286
2002 5,255,593 (49,643) (451,317) (11,988) (3,308) 236 744 4,740,317
Q1: 2003 1,338,920 (73,137) (152,768) (6,156) (1,756) 31 726 1,105,860
Q2: 2003 2,168,181 -- (234,582) (5,055) (2,163) -- -- 1,926,381
Q3: 2003 4,996,403 -- (420,395) (8,720) (1,458) -- -- 4,565,830
RESIDENTIAL LOAN CREDIT-ENHANCEMENT SECURITIES
Q1: 2002 $ 59,157 $ (5,037) $ (4,270) $ 366 $ -- $ -- $ 8,803 $ 59,019
Q2: 2002 25,849 (898) (15,801) 1,767 -- -- 24,010 34,927
Q3: 2002 28,983 -- (9,437) 2,722 -- -- 17,103 39,371
Q4: 2002 13,442 . (13,573) 3,275 -- -- 25,205 28,349
2002 127,431 (5,935) (43,081) 8,130 -- -- 75,121 161,666
Q1: 2003 37,077 -- (23,212) 5,545 -- -- 1,273 20,683
Q2: 2003 11,265 (1,248) (38,773) 10,024 -- -- 38,981 20,249
Q3: 2003 23,164 -- (37,647) 11,432 -- -- (16,949) (20,000)
COMMERCIAL REAL ESTATE LOANS
Q1: 2002 $ 140 $ -- $ (1,873) $ 28 $ -- $ -- $ 1 $ (1,704)
Q2: 2002 470 -- (53) -- -- -- 1 418
Q3: 2002 919 -- (54) -- -- -- 1 866
Q4: 2002 -- -- (21,068) 24 -- -- (350) (21,394)
2002 1,529 -- (23,048) 52 -- -- (347) (21,814)
Q1: 2003 2,011 -- (68) -- -- -- 1 1,944
Q2: 2003 3,408 -- (34) (67) -- -- 1 3,308
Q3: 2003 1,023 -- (12,034) (33) -- -- 130 (10,914)
SECURITIES
Q1: 2002 $ 76,701 $ (89,395) $ (60,040) $ (1,701) $ -- $ -- $ 385 $ (74,050)
Q2: 2002 23,026 (56,802) (65,617) (1,249) -- -- 3,700 (96,942)
Q3: 2002 6,811 -- (31,830) (1,052) -- -- 5,337 (20,734)
Q4: 2002 196,279 (315,308) (31,009) (24) -- -- (5,997) (156,059)
2002 302,817 (461,505) (188,496) (4,026) -- -- 3,425 (347,785)
Q1: 2003 42,955 -- (11,329) 3 -- -- (1,019) 30,610
Q2: 2003 237,515 (4,051) (12,126) (111) -- -- 8,043 229,270
Q3: 2003 28,702 -- (12,677) (96) -- -- (6,421) 9,508
TABLE 12
RESIDENTIAL CREDIT RESULTS
($ IN THOUSANDS)
TOTAL LOSSES TO
INTERNALLY- (4) CREDIT SECURITIES
FACE VALUE DESIGNATED EXTERNAL TOTAL PROTECTION TOTAL JUNIOR TO
UNDERLYING CREDIT CREDIT CREDIT AS % OF DELINQUENT DELINQUENT CREDIT REDWOOD'S
LOANS RESERVES ENHANCEMENT PROTECTION LOANS LOANS LOAN % LOSSES INTEREST
----- -------- ----------- ---------- ----- ----- ------ ------ --------
TOTAL RESIDENTIAL PORTFOLIO
Q1: 2002 $ 66,616,844 $ 200,037 $ 79,924 $ 279,961 0.42% $ 134,775 0.20% $ 452 $ 618
Q2: 2002 68,856,787 212,296 65,102 277,398 0.40% 153,217 0.22% 115 189
Q3: 2002 73,220,004 227,346 64,147 291,493 0.40% 152,894 0.21% 386 103
Q4: 2002 64,849,784 233,162 63,179 296,341 0.46% 150,353 0.23% 377 163
2002 64,849,784 233,162 63,179 296,341 0.46% 150,353 0.23% 1,330 1,073
Q1: 2003 68,045,731 244,056 61,814 305,870 0.45% 162,657 0.24% 1,171 456
Q2: 2003 61,031,485 216,834 58,296 275,130 0.45% 163,894 0.27% 384 152
Q3: 2003 57,493,402 191,264 51,985 243,249 0.42% 179,871 0.31% 986 38
RESIDENTIAL REAL ESTATE LOANS
Q1: 2002 $ 1,790,239 $ 5,481 $ -- $ 5,481 0.31% $ 4,926 0.28% $ -- $ --
Q2: 2002 2,795,628 5,953 -- 5,953 0.21% 3,257 0.12% -- --
Q3: 2002 4,736,645 6,611 -- 6,611 0.14% 1,387 0.03% 236 --
Q4: 2002 6,190,674 8,271 -- 8,271 0.13% 4,127 0.07% -- --
2002 6,190,674 8,271 -- 8,271 0.13% 4,127 0.07% 236 --
Q1: 2003 7,297,515 9,996 -- 9,996 0.14% 1,159 0.02% 31 --
Q2: 2003 9,206,986 12,159 -- 12,159 0.13% 3,895 0.04% -- --
Q3: 2003 13,813,250 13,617 -- 13,617 0.10% 1,598 0.01% -- --
RESIDENTIAL LOAN CREDIT-ENHANCEMENT SECURITIES
Q1: 2002 $ 64,826,605 $ 194,556 $ 79,924 $ 274,480 0.42% $ 129,849 0.20% $ 452 $ 618
Q2: 2002 66,061,159 206,343 65,102 271,445 0.41% 149,960 0.23% 115 189
Q3: 2002 68,483,359 220,735 64,147 284,882 0.42% 151,507 0.22% 150 103
Q4: 2002 58,659,110 224,891 63,179 288,070 0.49% 146,226 0.25% 377 163
2002 58,659,110 224,891 63,179 288,070 0.49% 146,226 0.25% 1,094 1,073
Q1: 2003 60,748,216 234,060 61,814 295,874 0.49% 161,498 0.27% 1,140 456
Q2: 2003 51,824,499 204,675 58,296 262,971 0.51% 159,999 0.31% 384 152
Q3: 2003 43,680,152 177,647 51,985 229,632 0.53% 178,273 0.41% 986 38
TABLE 12
RESIDENTIAL CREDIT RESULTS
($ IN THOUSANDS)
TOTAL
CREDIT
REDWOOD'S LOSSES
SHARE OF NET AS %
CHARGE OFFS OF LOANS
(RECOVERIES) (ANNUALIZED)
----------------------------
TOTAL RESIDENTIAL PORTFOLIO
Q1: 2002 $ (166) 0.01%
Q2: 2002 (74) 0.01%
Q3: 2002 283 0.01%
Q4: 2002 214 0.01%
2002 257 0.01%
Q1: 2003 715 0.01%
Q2: 2003 232 0.01%
Q3: 2003 948 0.01%
RESIDENTIAL REAL ESTATE LOANS
Q1: 2002 $ -- 0.01%
Q2: 2002 -- 0.01%
Q3: 2002 236 0.01%
Q4: 2002 -- 0.01%
2002 236 0.01%
Q1: 2003 31 0.01%
Q2: 2003 -- 0.01%
Q3: 2003 -- 0.01%
RESIDENTIAL LOAN CREDIT-ENHANCEMENT SECURITIES
Q1: 2002 $ (166) 0.01%
Q2: 2002 (74) 0.01%
Q3: 2002 47 0.01%
Q4: 2002 214 0.01%
2002 21 0.01%
Q1: 2003 684 0.01%
Q2: 2003 232 0.01%
Q3: 2003 948 0.01%
(4) The credit reserve on residential real estate loans owned is only available
to absorb losses on the residential real estate loan portfolio. The
internally-designated credit reserves on loans credit enhanced and the external
credit enhancement on loans credit enhanced are only available to absorb losses
on the residential loan credit-enhancement portfolio.
LOAN CHARACTERISTICS
TABLE 13
RESIDENTIAL REAL ESTATE LOAN CHARACTERISTICS
(AT PERIOD END, ALL DOLLARS IN THOUSANDS)
SEP. 2003 JUN. 2003 MAR. 2003 DEC. 2002 SEP. 2002 JUN. 2002 MAR. 2002
----------- ----------- ----------- ----------- ----------- ----------- -----------
Retained Residential Loans $13,813,250 $ 9,247,420 $ 7,321,039 $ 6,215,179 $ 4,761,893 $ 2,803,556 $ 1,794,260
Number of loans 37,122 24,988 19,805 16,669 12,580 7,394 4,914
Average loan size $ 372 $ 370 $ 370 $ 373 $ 379 $ 379 $ 365
Adjustable % 99% 99% 99% 99% 98% 96% 100%
Hybrid % 1% 1% 1% 1% 2% 4% 0%
Fixed % 0% 0% 0% 0% 0% 0% 0%
Northern California 13% 13% 13% 12% 12% 13% 12%
Southern California 12% 12% 12% 12% 12% 12% 11%
Florida 11% 12% 12% 12% 11% 13% 12%
Georgia 6% 6% 7% 8% 8% 9% 7%
New York 6% 5% 5% 6% 6% 6% 7%
New Jersey 5% 4% 5% 5% 5% 5% 5%
Illinois 4% 4% 4% 4% 4% 4% 3%
Texas 4% 3% 3% 3% 3% 3% 3%
Arizona 3% 3% 3% 3% 3% 2% 3%
Colorado 3% 3% 3% 3% 3% 3% 3%
North Carolina 3% 3% 3% 3% 3% 2% 2%
Other states (none greater than 3%) 30% 32% 30% 29% 30% 28% 32%
Year 2003 origination 65% 40% 11% 0% 0% 0% 0%
Year 2002 origination 29% 49% 72% 78% 70% 47% 17%
Year 2001 origination 3% 6% 11% 13% 18% 31% 42%
Year 2000 origination 0% 0% 0% 0% 0% 0% 0%
Year 1999 origination 1% 1% 2% 2% 3% 5% 9%
Year 1998 origination or earlier 2% 4% 4% 7% 9% 17% 32%
% balance in loans > $1mm per loan 17% 15% 14% 14% 15% 15% 16%
TABLE 14
RESIDENTIAL LOAN CREDIT-ENHANCEMENT SECURITIES - UNDERLYING COLLATERAL CHARACTERISTICS
(ALL DOLLARS IN THOUSANDS)
SEP. 2003 JUN. 2003 MAR. 2003 DEC. 2002 SEP. 2002 JUN. 2002 MAR. 2002
----------- ----------- ----------- ----------- ----------- ----------- -----------
First loss position, principal value $ 236,968 $ 233,787 $ 236,122 $ 215,046 $ 206,062 $ 181,179 $ 173,990
Second loss position, principal value 168,547 168,524 176,864 163,428 152,433 139,290 127,930
Third loss position, principal value 198,340 195,823 201,125 180,712 184,174 172,173 158,115
----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL PRINCIPAL VALUE $ 603,855 $ 598,134 $ 614,111 $ 559,186 $ 542,669 $ 492,642 $ 460,035
First loss position, reported value $ 70,458 $ 74,470 $ 63,675 $ 65,292 $ 52,595 $ 46,979 $ 42,760
Second loss position, reported value 128,280 139,788 130,415 121,491 104,928 90,878 79,969
Third loss position, reported value 174,673 179,153 179,072 165,696 166,607 146,902 127,103
----------- ----------- ----------- ----------- ----------- ----------- -----------
TOTAL REPORTED VALUE $ 373,411 $ 393,411 $ 373,162 $ 352,479 $ 324,130 $ 284,759 $ 249,832
Internal Designated Credit Reserves $ 177,647 $ 204,675 $ 234,060 $ 224,891 $ 220,735 $ 206,343 $ 194,556
External Credit Enhancement 51,985 58,296 61,814 63,179 64,147 65,102 79,924
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total Credit Protection $ 229,632 $ 262,971 $ 295,874 $ 288,070 $ 284,882 $ 271,445 $ 274,480
As % of Total Portfolio 0.53% 0.51% 0.49% 0.49% 0.42% 0.41% 0.42%
Underlying Residential Real Estate Loans $43,680,152 $51,824,499 $60,748,216 $58,659,110 $68,483,359 $66,061,159 $64,826,605
Number of credit-enhanced loans 96,424 116,730 138,327 135,196 160,695 165,515 162,502
Average loan size $ 453 $ 444 $ 439 $ 434 $ 426 $ 399 $ 398
Adjustable % 20% 36% 27% 20% 20% 19% 19%
Hybrid % 34% 36% 39% 37% 28% 20% 14%
Fixed % 46% 28% 34% 43% 52% 61% 67%
Northern California 25% 26% 26% 27% 27% 25% 25%
Southern California 25% 24% 24% 25% 24% 24% 25%
New York 6% 6% 5% 5% 4% 5% 5%
Florida 4% 4% 4% 3% 3% 3% 3%
Texas 3% 3% 3% 3% 3% 4% 4%
Massachusetts 3% 3% 3% 3% 3% 3% 3%
New Jersey 3% 3% 3% 3% 3% 3% 3%
Other states (none greater than 3%) 31% 31% 32% 31% 33% 33% 32%
Year 2003 origination 28% 12% 2% 0% 0% 0% 0%
Year 2002 origination 34% 42% 41% 28% 25% 11% 1%
Year 2001 origination 18% 24% 31% 40% 43% 49% 55%
Year 2000 origination 4% 4% 4% 5% 5% 6% 8%
Year 1999 origination 6% 7% 9% 11% 11% 16% 17%
Year 1998 or earlier origination 10% 11% 13% 16% 16% 18% 19%
% balance in loans > $1mm per loan 11% 10% 10% 8% 6% 5% 4%
LOAN CHARACTERISTICS (CONTINUED)
TABLE 15
COMMERCIAL REAL ESTATE LOANS -- CHARACTERISTICS
(AT PERIOD END, ALL DOLLARS IN THOUSANDS)
SEP. 2003 JUN. 2003 MAR. 2003 DEC. 2002 SEP. 2002 JUN. 2002 MAR. 2002
--------- --------- --------- --------- --------- --------- ---------
Commercial Mortgage Loans $ 23,608 $ 34,522 $ 31,214 $ 29,270 $ 50,664 $ 49,978 $ 49,380
Number of Loans 9 12 10 7 9 8 7
Average Loan Size $ 2,623 $ 2,877 $ 3,121 $ 4,181 $ 5,629 $ 6,247 $ 7,054
Serious Delinquency $ -- $ 650 $ 650 $ 650 $ -- $ -- $ --
Realized Credit losses -- -- -- -- -- -- --
California % 65% 46% 40% 36% 62% 61% 61%
TABLE 16
SECURITIES PORTFOLIO - CHARACTERISTICS AT SEPTEMBER 30, 2003
($ IN THOUSANDS)
RATING:
Securities TOTAL AAA AA A BBB BB B UNRATED
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Commercial Real Estate $ 94,507 $ 11,511 $ -- $ 18,021 $ 55,037 $ 5,918 $ 4,020 $ --
Residential Prime 165,508 29,232 80,726 23,858 31,692 -- -- --
Residential Subprime 152,194 -- 15,956 100,990 35,248 -- -- --
Residential Second Lien 67,345 -- 40,009 23,142 4,194 -- -- --
Manufactured Housing 13,861 2,902 5,599 5,360 -- -- -- --
Corporate REIT Debt 56,823 -- -- 7,347 49,476 -- -- --
Real Estate CDOs 54,847 4,875 9,652 13,614 21,361 -- -- 5,345
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Securities Portfolio $ 605,085 $ 48,520 $ 151,942 $ 192,332 $ 197,008 $ 5,918 $ 4,020 $ 5,345
TABLE 17
ASSET / LIABILITY MATCHING AT SEPTEMBER 30, 2003
($ IN THOUSANDS)
ONE- SIX- ONE- NON TOTAL
MONTH MONTH YEAR FIXED/ INTEREST LIABILITIES
ASSET ASSET LIBOR LIBOR TREASURY HYBRID BEARING AND
TYPE AMOUNT LIABILITIES LIABILITIES LIABILITIES LIABILITIES LIABILITIES EQUITY EQUITY
- ---- ------ ----------- ----------- ----------- ----------- ----------- ------ ------
Cash (unrestricted) $ 32,156 $ 32,156 $ -- $ -- $ -- $ -- $ -- $ 32,156
One-Month LIBOR 3,826,039 3,826,039 -- -- -- -- -- 3,826,039
Six-Month LIBOR 10,355,261 2,150,026 7,749,548 124,932 -- -- 330,755 10,355,261
Other ARM 48,880 -- -- 48,880 -- -- -- 48,880
Fixed / Hybrid < 1 yr* 70,221 -- -- -- 33,000 -- 37,221 70,221
Fixed / Hybrid > 1 yr 514,953 -- -- -- 317,355 -- 197,598 514,953
Non-Earning Assets 53,864 -- -- -- -- 53,304 560 53,864
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Total $14,901,374 $ 6,008,221 $ 7,749,548 $ 173,812 $ 350,355 $ 53,304 $ 566,134 $14,901,374
* Projected principal receipts on fixed-rate and hybrid assets over the next
twelve months.
LONG-TERM DEBT CHARACTERISTICS
TABLE 18
LONG-TERM DEBT CHARACTERISTICS - RESIDENTIAL MORTGAGE LOANS (SEQUOIA)
(ALL DOLLARS IN THOUSANDS)
PRINCIPAL INTEREST
ORIGINAL ESTIMATED OUTSTANDING RATE AT
SEQUOIA LONG- DEBT ISSUE ISSUE STATED CALLABLE AT SEP. 30, SEP. 30,
TERM DEBT ISSUE RATING DATE AMOUNT INDEX MATURITY DATE 2003 2003
- --------------- ------ -------- ------------ -------------- -------- --------- ---- ----
Sequoia 1 A1 AAA 07/29/97 $ 334,347 1m LIBOR 2028 Called $ -- NM
Sequoia 1 A2 AAA 07/29/97 200,000 Fed Funds 2028 Called -- NM
Sequoia 2 A1 AAA 11/06/97 592,560 1y Treasury 2029 2005 173,315 2.45%
Sequoia 2 A2 AAA 11/06/97 156,600 1m LIBOR 2029 2005 45,803 1.46%
Sequoia 3 A1 AAA 06/26/98 225,459 Fixed to 12/02 2028 Retired -- NM
Sequoia 3 A2 AAA 06/26/98 95,000 Fixed to 12/02 2028 Retired -- NM
Sequoia 3 A3 AAA 06/26/98 164,200 Fixed to 12/02 2028 Retired -- NM
Sequoia 3 A4 AAA 06/26/98 121,923 1m LIBOR 2028 Called -- NM
Sequoia 3 M1 AA/AAA 06/26/98 16,127 1m LIBOR 2028 Called -- NM
Sequoia 3 M2 A/AA 06/26/98 7,741 1m LIBOR 2028 Called -- NM
Sequoia 3 M3 BBB/A 06/26/98 4,838 1m LIBOR 2028 Called -- NM
Sequoia 1A A1 AAA 05/04/99 157,266 1m LIBOR 2028 Called -- NM
Sequoia 4 A AAA 03/21/00 377,119 1m LIBOR 2024 2006 178,195 1.48%
Sequoia 5 A AAA 10/29/01 496,667 1m LIBOR 2026 2008 383,668 1.47%
Sequoia 5 B1 AA 10/29/01 5,918 1m LIBOR 2026 2008 5,918 1.92%
Sequoia 5 B2 A 10/29/01 5,146 1m LIBOR 2026 2008 5,146 1.92%
Sequoia 5 B3 BBB 10/29/01 2,316 1m LIBOR 2026 2008 2,316 1.92%
Sequoia 6A AAA 04/26/02 496,378 1m LIBOR 2027 2009 418,681 1.44%
Sequoia 6B1 AA 04/26/02 5,915 1m LIBOR 2027 2009 5,915 1.82%
Sequoia 7A AAA 05/29/02 554,686 1m LIBOR 2032 2008 453,942 1.46%
Sequoia 7B1 AA 05/29/02 8,080 1m LIBOR 2032 2008 8,080 1.87%
Sequoia 8 1A-1 AAA 07/30/02 50,000 1m LIBOR 2032 Retired -- NM
Sequoia 8 1A-2 AAA 07/30/02 61,468 Fixed to 12/04 2032 2008 40,088 3.46%
Sequoia 8 2A AAA 07/30/02 463,097 1m LIBOR 2032 2008 396,742 1.42%
Sequoia 8 3A AAA 07/30/02 49,973 6m LIBOR 2032 2008 40,356 2.98%
Sequoia 8 B1 AA 07/30/02 9,069 1m LIBOR 2032 2008 9,069 1.80%
Sequoia 9 1A AAA 08/28/02 381,689 1m LIBOR 2032 2011 345,958 1.47%
Sequoia 9 2A AAA 08/28/02 168,875 1m LIBOR 2032 2011 128,070 2.74%
Sequoia 9 B1 AA 08/28/02 7,702 1m LIBOR 2032 2011 7,702 1.87%
Sequoia 10 1A AAA 09/26/02 822,375 1m LIBOR 2027 2011 744,488 1.52%
Sequoia 10 2A-1 AAA 09/26/02 190,000 1m LIBOR 2027 2011 173,457 1.50%
Sequoia 10 2A-2 AAA 09/26/02 3,500 1m LIBOR 2027 2011 3,500 1.80%
Sequoia 10 B1 AA 09/26/02 12,600 1m LIBOR 2027 2011 12,600 1.92%
Sequoia 10 B2 A 09/26/02 8,400 1m LIBOR 2027 2011 8,400 1.92%
Sequoia 10 B3 BBB 09/26/02 4,725 1m LIBOR 2027 2011 4,725 2.52%
Sequoia 11 A AAA 10/30/02 695,210 1m LIBOR 2032 2011 623,476 1.57%
Sequoia 11 B1 AA 10/30/02 9,726 1m LIBOR 2032 2011 9,726 2.09%
Sequoia 12 A AAA 12/19/02 1,080,076 1m LIBOR 2033 2009 989,438 1.57%
Sequoia 12 B1 AA 12/19/02 16,815 1m LIBOR 2033 2009 16,815 1.97%
Sequoia 2003-1 A1 AAA 02/27/03 798,206 1m LIBOR 2033 2009 737,456 1.50%
Sequoia 2003-1 A2 AAA 02/27/03 190,000 6m LIBOR 2033 2009 176,219 1.59%
Sequoia 2003-1 B1 AA 02/27/03 15,905 1m LIBOR 2033 2009 15,905 2.00%
Sequoia 2003-1 B2 A 02/27/03 8,210 Pass Through 2033 2009 8,210 2.57%
Sequoia 2003-2 A1 AAA 04/29/03 500,000 1m LIBOR 2022 2009 478,544 1.45%
Sequoia 2003-2 A2 AAA 04/29/03 303,600 6m LIBOR 2022 2009 286,626 1.63%
Sequoia 2003-2 M1 AA 04/29/03 11,480 1m LIBOR 2016 2009 11,480 1.77%
Sequoia 2003-3 A1 AAA 06/26/03 379,455 1m LIBOR 2023 2009 373,289 1.45%
Sequoia 2003-3 A2 AAA 06/26/03 149,922 6m LIBOR 2023 2009 147,655 1.34%
Sequoia 2003-3 B1 AA 06/26/03 9,075 1m LIBOR 2025 2009 9,075 1.77%
MLCC 2003-C A1 AAA 06/26/03 773,795 1m LIBOR 2023 2011 746,145 1.45%
MLCC 2003-C A2 AAA 06/26/03 200,002 6m LIBOR 2023 2011 196,770 1.34%
MLCC 2003-C B1 AA 06/26/03 10,553 1m LIBOR 2025 2011 10,553 1.77%
MLCC 2003-D A AAA 07/29/03 992,833 1m LIBOR 2028 2011 984,652 1.43%
MLCC 2003-D B1 AA 07/29/03 10,758 1m LIBOR 2028 2011 10,758 1.75%
Sequoia 2003-4 1A1 AAA 07/29/03 148,641 1m LIBOR 2033 2011 146,877 1.43%
Sequoia 2003-4 1A2 AAA 07/29/03 150,000 6m LIBOR 2033 2011 149,338 1.45%
Sequoia 2003-4 1B1 AA 07/29/03 3,864 1m LIBOR 2033 2011 3,864 1.77%
Sequoia 2003-4 2A1 AAA 07/29/03 189,415 1m LIBOR 2033 2011 184,777 1.47%
Sequoia 2003-4 2M1 AA 07/29/03 9,986 1m LIBOR 2033 2011 9,986 1.59%
Sequoia 2003-4 2B1 AA 07/29/03 2,367 1m LIBOR 2033 2011 2,367 1.77%
Sequoia 2003-5 A1 AAA 08/27/03 675,596 1m LIBOR 2033 2009 671,621 1.43%
Sequoia 2003-5 A2 AAA 08/27/03 149,609 6m LIBOR 2033 2009 149,558 1.53%
Sequoia 2003-5 B1 AA 08/27/03 15,043 1m LIBOR 2033 2009 15,043 1.72%
MLCC 2003-E A1 AAA 08/28/03 823,305 1m LIBOR 2028 2009 815,642 1.43%
MLCC 2003-E A2 AAA 08/28/03 150,000 1m LIBOR 2028 2009 149,408 1.54%
MLCC 2003-E B1 AA 08/28/03 10,547 1m LIBOR 2028 2009 10,547 1.72%
MLCC 2003-F A1 AAA 09/25/03 839,000 1m LIBOR 2028 2011 839,000 1.44%
MLCC 2003-F A2 AAA 09/25/03 270,000 1m LIBOR 2028 2011 270,000 1.52%
MLCC 2003-F A3 AAA 09/25/03 175,000 Pass Through 2028 2011 175,000 2.90%
MLCC 2003-F B1 AA 09/25/03 13,913 1m LIBOR 2028 2011 13,913 1.72%
------------ ------------ ----
TOTAL SEQUOIA ISSUANCE $ 16,043,665 $ 13,035,867 1.54%
============ ============ ====
LONG-TERM DEBT CHARACTERISTICS (CONTINUED)
TABLE 19
LONG-TERM DEBT CHARACTERISTICS - COMMERCIAL REAL ESTATE LOANS
($ IN THOUSANDS)
PRINCIPAL INTEREST
COMMERCIAL ORIGINAL ESTIMATED OUTSTANDING RATE AT
LONG TERM DEBT DEBT ISSUE ISSUE STATED CALLABLE AT SEP. 30, SEP. 30,
ISSUE RATING DATE AMOUNT INDEX MATURITY DATE 2003 2003
- ----- ------ -------- ---------- -------- -------- --------- ---- ----
Commercial 1 NR 03/30/01 $ 9,010 1m LIBOR 2002 Paid Off $ -- NM
Commercial 2 NR 03/30/01 8,320 1m LIBOR 2003 Paid Off -- NM
Commercial 3 NR 03/01/02 8,318 1m LIBOR 2003 Paid Off -- NM
Commercial 4 NR 08/18/03 5,595 1m LIBOR 2009 NC 5,590 9.50%
---------- -----------------------
TOTAL COMMERCIAL ISSUANCE $ 31,243 $ 5,590 8.63%
========== =======================
TABLE 20
LONG-TERM DEBT CHARACTERISTICS
COLLATERALIZED DEBT OBLIGATIONS AND OTHER RESECURITIZATIONS - ACACIA AND SMFC
($ IN THOUSANDS)
PRINCIPAL INTEREST
RESECURITIZATIONS ORIGINAL ESTIMATED OUTSTANDING RATE AT
LONG TERM DEBT DEBT ISSUE ISSUE STATED CALLABLE AT SEP. 30, SEP. 30,
RESECURITIZATIONSISSUE RATING DATE AMOUNT INDEX MATURITY DATE 2003 2003
- ---------------------- ------ -------- ---------- -------- -------- --------- ---- ----
SMFC 2002A A1 AAA 04/30/02 64,761 1m LIBOR 2030 2006 $ 32,240 1.71%
SMFC 2002A A2 AAA 04/30/02 15,861 1m LIBOR 2029 2006 10,606 1.86%
Acacia CDO 1 A AAA 12/10/02 224,250 3m LIBOR 2018 2010 221,101 1.72%
Acacia CDO 1 B AA 12/10/02 45,000 3m LIBOR 2037 2010 45,000 2.44%
Acacia CDO 1 C BBB 12/10/02 15,750 3m LIBOR 2037 2010 15,750 3.84%
SMFC 2002B I A1 AA 12/19/02 16,855 Fixed 2031 2011 14,579 5.43%
SMFC 2002B I A2 A 12/19/02 18,274 Fixed 2031 2011 15,807 5.68%
SMFC 2002B I A3 BBB 12/19/02 17,221 Fixed 2031 2011 14,896 6.38%
SMFC 2002B I A4 BB 12/19/02 25,133 Fixed 2031 2011 21,740 6.75%
SMFC 2002B II A1 AA 12/19/02 15,517 Fixed 2039 2008 7,057 4.82%
SMFC 2002B II A2 A 12/19/02 18,345 Fixed 2039 2008 8,344 4.92%
SMFC 2002B II A3 BBB 12/19/02 14,989 Fixed 2039 2008 6,817 5.35%
SMFC 2002B II A4 BB 12/19/02 8,347 Fixed 2039 2008 3,796 6.00%
Acacia CDO 2 A AAA 05/13/03 222,000 3m LIBOR 2023 2011 221,714 1.80%
Acacia CDO 2 B AA 05/13/03 45,375 3m LIBOR 2038 2011 45,375 2.45%
Acacia CDO 2 C BBB 05/13/03 16,500 3m LIBOR 2038 2011 16,500 4.40%
---------- -----------------------
TOTAL RESECURITIZATIONS $ 784,178 $ 701,322 2.50%
========== =======================
OTHER SUPPLEMENTAL FINANCIAL DATA
TABLE 21
OPERATING EXPENSES EFFICIENCY
($ IN THOUSANDS) LESS: FIXED AND FIXED AND RATIO:
VARIABLE VARIABLE VARIABLE FIXED FIXED AND
STOCK TOTAL VARIABLE OPERATING OPERATING OPERATING VARIABLE
OPTION FIXED AND (PERFORMANCE EXPENSES/ EXPENSES/ EXPENSES/ OPERATING
TOTAL VALUATION VARIABLE FIXED BASED) AVERAGE AVERAGE AVERAGE EXPENSES/
OPERATING ADJUSTMENTS OPERATING OPERATING OPERATING GAAP CORE CORE NET INTEREST
EXPENSES & EXCISE TAX EXPENSES EXPENSES EXPENSES EQUITY EQUITY EQUITY INCOME
-------- ------------ -------- -------- -------- ------ ------ ------ ------
Q1: 2002 $4,089 $543 $3,546 $1,758 $1,788 4.2% 4.3% 2.1% 23%
Q2: 2002 5,325 789 4,536 2,081 2,455 4.7% 4.9% 2.2% 26%
Q3: 2002 3,545 (745) 4,290 2,101 2,189 4.0% 4.5% 2.2% 24%
Q4: 2002 7,046 1,037 6,009 2,230 3,779 5.3% 6.0% 2.2% 29%
2002 20,005 1,624 18,381 8,170 10,211 4.6% 4.9% 2.2% 26%
Q1: 2003 8,282 1,810 6,472 2,663 3,809 5.3% 6.2% 2.6% 27%
Q2: 2003 8,793 1,490 7,303 2,645 4,658 5.8% 6.8% 2.5% 25%
Q3: 2003 9,098 513 8,585 3,941 4,644 6.2% 7.5% 3.4% 25%
TABLE 22
UNAMORTIZED PREMIUM AND DISCOUNT BALANCES*
($ IN THOUSANDS)
NET
AMORTIZATION
UNAMORTIZED (EXPENSE)
UNAMORTIZED UNAMORTIZED NET INCOME
GROSS GROSS PREMIUM/ DURING
PREMIUM DISCOUNT (DISCOUNT) PERIOD
------- -------- ---------- ------
Q1: 2002 $23,036 ($32,053) ($9,017) ($3,201)
Q2: 2002 31,155 (40,301) (9,146) (793)
Q3: 2002 57,951 (58,397) (446) (2,148)
Q4: 2002 60,478 (70,140) (9,662) (3,083)
2002 60,478 (70,140) (9,662) (3,083)
Q1: 2003 62,812 (96,131) (33,319) (2,098)
Q2: 2003 95,644 (139,297) (43,653) 3,269
Q3: 2003 176,644 (239,139) (62,495) 1,736
* Includes deferred bond issuance costs and net premium on long-term debt.
TABLE 23
DIFFERENCES BETWEEN GAAP INCOME AND ESTIMATED REIT TAXABLE INCOME
($ IN THOUSANDS, EXCEPT SHARE DATA)
FOR THE FOR THE FOR THE FOR THE
FIRST SECOND THIRD NINE FOR THE
QUARTER QUARTER QUARTER MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
3/31/2003 6/30/2003 9/30/2003 9/30/2003 12/31/2002
--------- --------- --------- --------- ----------
GAAP Income $ 14,932 $ 22,212 $ 24,636 $ 61,780 $ 53,893
(Earnings) losses from taxable subsidiaries (545) (1,952) (2,484) (4,981) 37
Amortization and credit expenses 8,852 5,320 10,610 24,782 19,998
Operating expenses 2,826 4,468 2,223 9,517 5,723
Provision for excise tax 862 -- -- 862 959
Mark-to-market expenses (1,267) 2,474 (1,102) 105 (3,280)
------------ ------------ ------------ ------------ ------------
Estimated REIT taxable income
for common shareholders $ 25,660 $ 32,522 $ 33,883 $ 92,065 $ 77,330
============ ============ ============ ============ ============
Common Shares Outstanding at Period End 16,604,910 17,820,856 18,468,138 18,468,138 16,277,285
REIT Taxable Income Per Share $ 1.55 $ 1.82 $ 1.83 $ 4.99 $ 4.75
END