INTRODUCTION |
2 | |||
SHAREHOLDER LETTER |
3 | |||
ABOUT REDWOOD TRUST |
7 | |||
BUSINESS GROUP DISCUSSIONS |
||||
4 Residential Group |
11 | |||
4 Commercial Group |
14 | |||
4 CDO Group |
16 | |||
FINANCIAL REVIEW |
||||
4 Finance Group Overview |
18 | |||
4 GAAP Earnings |
21 | |||
4 Core Earnings |
22 | |||
4 Total Taxable Income |
23 | |||
4 Core Taxable Income |
24 | |||
4 REIT Taxable Income |
25 | |||
4 Book Value per Share |
26 | |||
4 Return on Equity |
28 | |||
4 Discounts and Reserves |
30 | |||
4 Dividends |
33 | |||
APPENDIX |
||||
4 Glossary |
35 | |||
4 Financial Tables |
41 |
The Redwood Review | 1 | 1st Quarter 2006 |
The Redwood Review | 2 | 1st Quarter 2006 |
The Redwood Review | 3 | 1st Quarter 2006 |
The Redwood Review | 4 | 1st Quarter 2006 |
The Redwood Review | 5 | 1st Quarter 2006 |
George E. Bull, III | Douglas B. Hansen | |||
Chairman and CEO | President |
The Redwood Review | 6 | 1st Quarter 2006 |
Interesting Things About RWT |
1. | We are an entrepreneurial specialty finance company. | ||
Our vision when we started Redwood Trust in 1994 was to create a company that is more efficient than banks, thrifts, and other financial institutions at owning, credit-enhancing, securitizing, and financing residential and commercial real estate loans. | |||
In addition, we are building a variety of related and integrated specialty finance businesses in areas where we believe we can develop a competitive advantage. | |||
For tax purposes, we are structured as a real estate investment trust (REIT). We also conduct business in our taxable non-REIT subsidiaries. | |||
2. | Our primary business activity is credit-enhancing securitized residential and commercial real estate loans. | ||
Historically, money lent to homeowners and property owners came from bank deposits. Today, a growing percentage of money sourced to fund loans comes from capital markets investors who buy mortgage-backed securities fixed income securities backed by pools of real estate loans. | |||
Most of these investors want to buy AAA-rated or other investment-grade mortgage-backed securities that do not have a significant risk of credit loss if an underlying real estate loan defaults. Someone else has to assume the risk. Redwood Trust is a specialist in evaluating and managing real estate loan credit and our core business is assuming the risk of loan default for securitized loans. Because Redwood Trust partially credit-enhances (or guarantees) these securitized loans, the risk of credit loss is reduced for capital markets investors in mortgage-backed securities. As a credit-enhancer, we are exposed to real estate credit risk on many loans, but we also have the ability to produce strong financial results if the real estate loans we credit-enhance perform well. | |||
3. | We credit-enhance loans primarily by acquiring and owning first- and second-loss credit-enhancement securities. | ||
In most securitizations of real estate loans, a variety of types of mortgage-backed securities are created, each with different characteristics with respect to average life, credit risk, prepayment risk, interest rate risk, and other variables. | |||
One security is designated as the first-loss bond. If there are credit losses within the pool of securitized real estate loans, the principal value of the first-loss bond is reduced. If the entire principal value of the first-loss bond is eliminated due to credit losses within the securitized loan pool, then further credit losses reduce the principal value of the second-loss bond. Only when the entire principal value of the second-loss bond is eliminated do the other bonds issued from that securitization risk incurring credit losses. The first- and second-loss bonds are credit-enhancement securities, improving the creditworthiness of the other securities (more senior bonds) and protecting them from initial credit losses. | |||
We typically acquire first-loss bonds at 25% to 35% of their principal value and second-loss
bonds at 50% to 70% of their principal value. These bonds are acquired at a substantial
discount to their principal value as future credit losses could reduce or totally eliminate
the principal value of these bonds. Our return on these investments is based on how much
principal and interest we receive, and how quickly it comes in. |
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(continued on next page) |
The Redwood Review | 7 | 1st Quarter 2006 |
Interesting Things About RWT |
3. | We credit-enhance loans primarily by acquiring and owning first and second-loss credit-enhancement securities (continued). | ||
In an ideal environment, we would experience fast prepayments and low credit losses. We encountered this environment in 2003, 2004, and 2005. Conversely, our least favorable environment would be slow prepayments and high credit losses. We receive interest on the full principal value of bonds, so the interest earned on our cost basis is higher than the underlying coupon rate. For instance, on a bond with a principal value of $1 million for which we may have paid only $300,000 we receive interest based on the full principal value. | |||
We typically do not receive principal payments until a few years into the deal, since the principal payments from the underlying loans are first used to pay down the most senior bonds. The amount of principal we ultimately receive is dependent on the amount of credit losses incurred before the deal is called, or when it matures. The timing of principal payments received and the timing of the realization of losses is also important to our investment returns. The faster we collect principal and the longer it takes to realize credit losses, the better it is for our investment returns. | |||
4. | Our primary focus is on credit-enhancing high-quality loans. | ||
Most of the real estate loans we credit-enhance are above average in terms of loan quality as compared to other securitized real estate loans. As a result, our delinquency and loss rates have been significantly lower than the national average. When market conditions are favorable, we plan to expand our credit-enhancement activities to include more loans that have average or below-average quality characteristics. Nevertheless, it is likely that the bulk of the real estate loans we credit-enhance will continue to be of above-average quality. | |||
Typically, 40% 50% of the residential loans we credit-enhance are on homes located in California. This roughly equals the percentage of all jumbo loans that are located in California, which we consider to be one of the more attractive states for the residential credit-enhancement business. | |||
5. | As an integral part of our business, we also sponsor securitizations. | ||
Our residential loan securitization business (our conduit) acquires residential whole loans from originators, accumulates loans over a period of weeks or months, and then sells the loans to newly-created securitization entities (typically called Sequoia) that create and sell securities backed by these loans (occasionally we also sell loans via bulk whole loan sales). We create economic gains on sale when the proceeds from the sale of securities exceed the purchase cost of the loans plus expenses. At March 31, 2006, 21% of our residential loan CES permanent asset portfolio were CES we acquired from the securitizations we have sponsored. We also have acquired some of the interest-only (IO) securities (prepayment rate sensitive securities) from these securitizations. | |||
Our CDO group also sponsors securitizations. Over a period of several months, we acquire and aggregate a pool of diverse investment-grade and non-investment grade residential and commercial real estate securities and similar assets. We then sell this pool of assets to a newly created securitization entity (typically called Acacia) that creates and sells asset-backed securities to the capital markets. We create economic gains on sale from these activities and earn ongoing management fees from outstanding Acacia transactions. As a permanent investment, Redwood typically acquires all or a portion of the CDO equity securities (which function as CES) from these CDO transactions. |
The Redwood Review | 8 | 1st Quarter 2006 |
Interesting Things About RWT |
6. | We are one of the leaders in our market segments. | ||
The securitized residential real estate loan market can be divided into three segments. The first segment consists of conforming lower-balance loans, usually of average or better quality. Most of these loans are credit-enhanced by Fannie Mae and Freddie Mac. The second segment consists of lower-quality loans that are credit-enhanced primarily by sub-prime mortgage origination companies. Redwood Trust is one of the largest credit-enhancers within the third segment, which consists of private-label securitizations containing primarily larger-balance (jumbo) loans of above-average or average quality (prime and Alt-A). Redwood credit-enhances $192 billion of loans that have been securitized in private-label transactions, representing approximately 20% of the outstanding securitized loans in this segment. | |||
Credit-enhancing commercial real estate loans is a newer business for Redwood. We have been developing our commercial business since 1998. We currently partially credit-enhance $28 billion commercial loans, representing approximately 5% of the outstanding commercial real estate loan balances that have been securitized. | |||
7. | We have some interesting competitive advantages. | ||
As a non-regulated specialty finance company, we have greater freedom to operate in the capital markets and securitization markets than do financial institutions such as banks and insurance companies. We also enjoy lower operating costs. | |||
As a public company with permanent capital, we have an advantage in investing in illiquid assets relative to investment companies and partnerships that might suffer investor withdrawals and liquidity issues. | |||
As a REIT, we have tax advantages relative to corporations that have to pay corporate income taxes, typically one of the largest costs of doing business. | |||
With $1 billion of equity capital focused on one business, we have size advantages that bring economies of scale as well as marketing and operating advantages. | |||
As a company with a small number of employees (76 as of 3/31/06) and one integrated business, we have a strong culture that is entrepreneurial, innovative, focused, and disciplined. | |||
8. | We maintain a strong balance sheet. | ||
Our business is currently funded primarily with equity capital. Compared to most financial institutions, we use very little debt financing. We currently utilize only equity capital to fund the credit-enhancement securities and other assets we hold as permanent assets for investment purposes. | |||
We use a combination of debt and equity to fund assets that are acquired by our conduit and our CDO group on a temporary basis for re-sale to a securitization entity (inventory assets). At March 31, 2006, we had $1 billion in equity capital and no debt. | |||
Our balance sheet is also strong because our maximum exposure to losses caused by credit risk is limited to our investment in credit-enhancement securities. In other words, our maximum loss within our credit-enhancement business is less than our equity capital base. | |||
We may utilize more debt in the future, depending on which businesses we develop over time. Nevertheless, we expect to maintain a strong balance sheet. |
The Redwood Review | 9 | 1st Quarter 2006 |
Interesting Things About RWT |
9. | We pay a regular dividend and may pay a special dividend. | ||
As a REIT, we are required to distribute to shareholders as dividends at least 90% of our REIT taxable income, which is our income as calculated for tax purposes (exclusive of income earned in taxable non-REIT subsidiaries). In order to meet our dividend distribution requirements, we have been paying both a regular quarterly dividend and a year-end special dividend. | |||
We set our regular quarterly dividend at a rate that we believe is reasonably likely to be sustainable over time under most market conditions. Our regular dividend rate is currently $0.70 per share per quarter, and our Board of Directors has indicated that their current intention is to maintain this quarterly regular dividend rate in 2006. Based on a share price of $42.08 as of May 3, 2006, the indicated yield to shareholders at the regular dividend rate is 6.65%. | |||
If we earn more REIT taxable income than is required to fund the regular dividend, we will likely pay a special dividend in December. We expect our special dividend amount will be highly variable, and we may not pay a special dividend every year. We currently are forecasting that we will pay a special dividend at the end of 2006, although we believe the size of this special dividend is likely to be significantly less than the $3.00 per share special dividend we paid in December 2005. Our dividend policies and distribution practices may change over time. | |||
10. | We are a growth company. | ||
The amount of real estate loans outstanding and the amount of these loans securitized have grown rapidly over many years. This is a long-term trend that we expect will continue, although there could be a cyclical slowing in the short-run. With competitive advantages in a growing market, we expect over time to have the opportunity to increase the size of our credit-enhancement and related businesses while also improving our book value per share and our average return on equity. |
The Redwood Review | 10 | 1st Quarter 2006 |
The Redwood Review | 11 | 1st Quarter 2006 |
Ø | 72% of loans underlying our CES were originated prior to 2005. These have experienced significant housing price appreciation. | ||
Ø | The average seasoning of loans underlying our CES portfolio is 25 months. |
Ø | Our largest state concentration is CA, with a fairly even distribution between Northern and Southern CA loans. | ||
Ø | Our California loans are out-performing the majority of other states. Our serious delinquencies in CA are 0.10% of current balances. | ||
Ø | Our serious delinquency percentage in other high concentration states include FL at 0.43%, NY at 0.15%, VA at 0.05%, and TX at 0.51%. |
Ø | We continue to acquire residential CES assets at a medium pace. | ||
Ø | 64% of Redwoods permanent asset portfolio is now invested in residential CES and interest-only securities. |
The Redwood Review | 12 | 1st Quarter 2006 |
Ø | Seriously delinquent loans (over 90 days, in foreclosure, in bankruptcy, or real estate owned) are a percent of current balance. | ||
Ø | Overall serious delinquencies in prime markets are increasing. | ||
Ø | Our delinquencies also increased during the quarter, although on an absolute basis they remain at low levels. |
Ø | Prepayment rates for ARMs remain elevated, while prepayment rates for other products remain at medium levels. |
Ø | In general, faster prepayments benefit our business as they enhance returns on our CES. | ||
Ø | Some assets (interest-only securities) that we have retained from our conduits securitization activities are backed by ARM loans. Accelerating ARM prepayments have hurt our returns from these securities. |
Ø | We estimate that we credit-enhance approximately 1 in 10 jumbo loans. | ||
Ø | We estimate that we credit-enhance almost 1 in 5 higher quality private-label securitized loans (most of which are jumbo loans). |
The Redwood Review | 13 | 1st Quarter 2006 |
The Redwood Review | 14 | 1st Quarter 2006 |
Ø | The commercial loans we credit-enhance are diversified geographically. |
Ø | Our retail and office exposures are high relative to other common property types (although they are consistent with the CMBS market as a whole). These property types include some large low leverage investment-grade loans on institutional quality real estate, so the actual risk is more balanced across property types. |
Ø | We are being cautious with 2006 vintage loans. |
Ø | Our CES portfolio continues to grow. | ||
Ø | 12% of Redwoods permanent asset portfolio is now invested in commercial real estate assets. |
The Redwood Review | 15 | 1st Quarter 2006 |
The Redwood Review | 16 | 1st Quarter 2006 |
Ø | 24% of Redwoods permanent asset portfolio is now invested in CDO equity securities. | ||
Ø | We called Acacia 1 in December 2005. | ||
Ø | We issued Acacia 9 in March 2006. |
Ø | Acacia has recently begun to increase its commercial real estate investment activities. | ||
Ø | Sub-prime securities purchased in 2004 and 2005 were primarily A-rated and higher. |
Ø | Upgrades of securities owned by Acacia are a sign that Acacia CDO equity may continue to perform well. |
The Redwood Review | 17 | 1st Quarter 2006 |
Non-GAAP Financial Measures | ||||||||||||||||
Total | ||||||||||||||||
GAAP | Taxable | Core Taxable | ||||||||||||||
Earnings | Core Earnings | Income | Income | |||||||||||||
Per Share | Per Share | Per Share | Per Share | |||||||||||||
First Quarter 2005 |
$ | 2.42 | $ | 1.82 | $ | 1.89 | $ | 1.17 | ||||||||
Fourth Quarter 2005 |
$ | 1.68 | $ | 0.97 | $ | 1.66 | $ | 1.44 | ||||||||
First Quarter 2006 |
$ | 1.09 | $ | 1.16 | $ | 1.44 | $ | 1.52 |
The Redwood Review | 18 | 1st Quarter 2006 |
The Redwood Review | 19 | 1st
Quarter 2006 |
The Redwood Review | 20 | 1st Quarter 2006 |
a) | What is This? | ||
Income calculated under Generally Accepted Accounting Principles in the United States. | |||
b) | Graph |
c) | Quarterly Update |
Ø | Our GAAP earnings were $28 million, or $1.09 per share, for the first quarter of 2006. In the first quarter of 2005, GAAP earnings were $61 million, or $2.42 per share. | ||
Ø | Net interest income decreased by $17 million, primarily due to lower balances of earning assets (IO balance reduction as a result of prepayments, sales of CES in the fourth quarter of 2005) and higher balances of excess cash. | ||
Ø | Sales, calls, and market value adjustments decreased by $17 million from the first quarter of 2005 to the first quarter of 2006. In the first quarter of 2006, we realized no gains from calls as compared to $8 million of call gains in the first quarter of 2005. | ||
Ø | Yields on our residential CES portfolio (as it is presented for GAAP) continued to increase in the last two quarters, as a result of continued strong credit performance, favorable prepayment behavior, and sales of lower-yielding assets. | ||
Ø | Operating expenses increased by $1 million from the first quarter of 2005 to the first quarter of 2006, but were at similar levels to the fourth quarter of 2005. Some of our current expenses include certain technology and infrastructure initiatives that will be completed during this year, so we anticipate the recent growth in our expenses to slow down. |
The Redwood Review | 21 | 1st Quarter 2006 |
a) | What is This? | ||
Core earnings is a profitability measure that highlights earnings that are more likely to be on-going in nature. In calculating core earnings, we start with GAAP earnings and then exclude gains and losses on calls and sales, mark-to-market adjustments, and one-time items that are unlikely to be repeated. Table 2 in the Appendix shows a reconciliation of core to GAAP earnings. | |||
b) | Graph |
c) | Quarterly Update |
Ø | Core earnings were $30 million, or $1.16 per share, for the first quarter of 2006. In the first quarter of 2005, core earnings were $45 million, or $1.82 per share. | ||
Ø | Core earnings per share in the first quarter of 2006 exceeded the level generated in the prior quarter, and reversed a downward trend in earnings. However, we still have a substantial amount of unutilized capital, and it is likely that our core earnings will not begin a sustainable trend upwards until we are able to find attractive assets and more fully invest our capital. On a quarter to quarter basis, earnings could be volatile. | ||
Ø | Some of the volatility in our core earnings is a function of the accounting for certain assets, including the accounting for premium amortization on Sequoias loans. The amount of premium we amortize in any one quarter will depend on both prepayments and interest rates. If short term interest rates remain stable or fall, premium amortization expense could increase substantially. | ||
Ø | GAAP earnings were below core earnings by $2 million in the first quarter of 2006. Core earnings do not include net losses from mark-to-market adjustment on certain assets that were partially offset by gains from sales and calls of assets. |
The Redwood Review | 22 | 1st Quarter 2006 |
a) | What is This? | ||
Total taxable income is a measure of our profitability. It is our pre-tax income as calculated for tax purposes. It includes pre-tax income earned at our parent company and REIT subsidiaries (REIT taxable income) as well as pre-tax income earned in our taxable non-REIT subsidiaries. Total taxable income can differ materially from GAAP earnings. Table 3 in the Appendix reconciles these two profitability measures. | |||
b) | Graph |
c) | Quarterly Update |
Ø | Total taxable income was $36 million, or $1.44 per share, in the first quarter of 2006 and $46 million, or $1.89 per share, in the first quarter of 2005. | ||
Ø | One reason for this reduced amount was lower gain on sales for tax purposes from securitizations we sponsor. We had no taxable securitization gains in the first quarter of 2006 while in the first quarter of 2005 we had $3 million. We expect minimal gains from our conduit business over the course of this year. | ||
Ø | Sales and call income also accounted for a portion of the difference in taxable income. We had minimal gains from these activities in the first quarter of 2006 as compared to realizing $12 million, or $0.50 per share, in the first quarter of 2005. | ||
Ø | Total taxable income was higher than GAAP earnings. The primary reason for this was that taxable earnings from loans and CES do not include expenses related to projected credit losses. |
The Redwood Review | 23 | 1st Quarter 2006 |
a) | What is This? | ||
Core taxable income is a profitability measure that highlights that portion of taxable income that is more likely to be on-going in nature. In calculating core taxable income, we start with total taxable income and then exclude gains on sale, tax deductions created by the exercise of stock options, and one time items that are unlikely to be repeated. Table 4 in the Appendix reconciles core taxable income and total taxable income to GAAP income. | |||
b) | Graph |
c) | Quarterly Update |
Ø | In the first quarter of 2006, core taxable income was $39 million, or $1.52 per share. In the first quarter of 2005, it was $29 million, or $1.17 per share. | ||
Ø | Fast prepayment speeds have substantially increased the income we recognized on our CES as compared to the first quarter of 2005. If prepayment speeds slow down in the future, we may recognize less income on our CES. | ||
Ø | The yield we recognize on our Sequoia IO securities would currently be negative due to rapid Sequoia loan prepayments; however, we cannot recognize a negative effective yield on assets for tax purposes. As a result, our cumulative taxable income has been higher by $41 million than it would have been otherwise, and our taxable income over the next few years will be lower by the same amount. | ||
Ø | Actual realized credit losses reduce taxable income as incurred, in an amount equal to the principal loss times our tax basis in the affected CES. We had $1 million realized residential and commercial taxable credit losses in the first quarter of 2006, an increase from the $0.4 million we realized in the first quarter of 2005, but still a very low level of loss. |
The Redwood Review | 24 | 1st Quarter 2006 |
a) | What is This? | ||
REIT taxable income is the primary determinant of the minimum amount of dividends we need to distribute in order to maintain our tax status as a real estate investment trust (REIT). REIT taxable income is pre-tax profit, as calculated for tax purposes, at Redwood Trust and our subsidiaries that have elected REIT tax status. It does not include taxable income earned at our taxable non-REIT subsidiaries. Over time, we must distribute at least 90% of our REIT taxable income as dividends. A reconciliation of GAAP income to REIT taxable income appears in Table 3 of the Appendix. |
b) | Graph |
c) | Quarterly Update |
Ø | For the first quarter of 2006, REIT taxable income was $35 million, or $1.39 per share. For the first quarter of 2005, it was $45 million, or $1.84 per share. | ||
Ø | Historically, REIT taxable income has benefited from substantial gains due to calls and sales activity. There were $0.4 million of gains from sales in the first quarter of 2006, as compared to $14.9 million of gains from calls and sales in the first quarter of 2005. We expect reduced call and sales activity throughout 2006. | ||
Ø | Due to increased levels of uninvested capital, REIT taxable income has generally shown a downward trend in recent quarters. We expect this trend to continue until we more fully invest our available capital. | ||
Ø | REIT taxable income can also be affected by irregular events such as stock option exercises (which reduce taxable income by the in-the-money amount of the exercised options). |
The Redwood Review | 25 | 1st Quarter 2006 |
a) | What is This? | ||
Book value per share is the amount of equity capital we have per share of common stock outstanding. There are many different ways that equity capital can be measured. We usually focus on three measures, each of which we believe is useful for a different purpose. | |||
GAAP book value is our common equity as calculated for GAAP purposes. It includes a mark-to-market valuation adjustment for certain of our assets (i.e., those whose changes in market valuations are reported on our balance sheet and not our income statement.) Over time, our GAAP book value per share has been increasing as a result of retention of a portion of our income, increases in the market value of our assets, and issuance of stock at prices in excess of book value. | |||
Core book value is GAAP book value excluding those mark-to-market adjustments for certain of our assets reflected on our balance sheets. Core book value more closely reflects historical amortized costs rather than current market values. | |||
Adjusted core book value is core book value less REIT taxable income that we have earned but not yet distributed as dividends to our stockholders. Given our current dividend policy and as allowed under the REIT rules, there may be a delay between our earning of income and our distribution of that income. Thus, adjusted core book value is a measure that provides one estimate of the amount of equity capital we have over the long-run in order to reinvest in new assets and generate future earnings. | |||
A reconciliation of GAAP book value to core book value and adjusted core book value appears in Table 8 of the Appendix. | |||
b) | Graph |
The Redwood Review | 26 | 1st Quarter 2006 |
c) | Quarterly Update |
Ø | Dividends reduce book value per share. GAAP book value declined in the fourth quarter of 2005 primarily because we declared both a $0.70 per share regular dividend and also a $3.00 per share special dividend. | ||
Ø | For the first quarter of 2006, after declaring $0.70 per share of regular dividends, GAAP book value per share increased by 2% from $37.20 per share to $38.11 per share. | ||
Ø | At March 31, 2006, core book value was $34.90 per share and adjusted core book value was $32.32 per share. | ||
Ø | At the end of our first quarter of operations in September 1994, GAAP book value was $11.67 per share. Since that time, we have been able to pay $35.33 per share of dividends and have increased GAAP book value by $26.44 per share. | ||
Ø | Book value per share is not necessarily an indicator of our market value or an indicator of the returns available to our shareholders. However, if you had acquired our stock at our initial public offering in August 1995, and had reinvested all dividends back into the stock, your annualized compound return as a shareholder through the first quarter of 2006 would have been 20%. Future results may vary. |
The Redwood Review | 27 | 1st Quarter 2006 |
a) | What is This? | ||
We believe return on equity (ROE) is one of the more useful measures of the profitability of our business. ROE is the amount of profit we generate each year per dollar of equity capital. There are numerous ways this could be calculated for Redwood since we monitor a number of different profit measures as well as a number of different measures of equity capital. | |||
GAAP ROE is GAAP earnings divided by GAAP equity. | |||
One interesting aspect to consider about GAAP ROE is that it will decline (all other things being equal) if our assets increase in market value. Many of our assets are marked-to-market through our balance sheet but not our income statement. An increase in asset market value will therefore increase GAAP equity but not our GAAP earnings, thus lowering GAAP ROE. Similarly, a decrease in asset market values will increase our GAAP ROE. | |||
An alternative measure of ROE that may also be useful is Adjusted ROE, by which we mean GAAP income divided by core equity. Core equity excludes those balance sheet mark-to-market adjustments that are not included in our income statement. Only those asset market value changes that are included in our income statement will affect Adjusted ROE. | |||
A reconciliation of GAAP ROE to Adjusted ROE, and of GAAP equity to core equity, appears in Table 8 of the Appendix. | |||
b) | Graph |
The Redwood Review | 28 | 1st Quarter 2006 |
c) | Quarterly Update |
Ø | GAAP ROE was 12% for the first quarter of 2006 as compared to 27% in the first quarter of 2005. | ||
Ø | Adjusted ROE was 13% for the first quarter of 2006 and 30% for the first quarter of 2005. Adjusted ROE is greater than GAAP ROE due to the appreciation of the market values of assets that are marked-to-market through our GAAP balance sheet. This increases our GAAP equity and thus lowers GAAP ROE. | ||
Ø | Over the very long term, we expect to generate an average adjusted return on equity between 11% and 18%. |
The Redwood Review | 29 | 1st Quarter 2006 |
a) | What is This? | ||
We expect to generate attractive earnings and dividends from our credit-enhancement business if the loans we credit enhance incur very low credit losses. | |||
One way to understand Redwoods earnings potential if credit results remain favorable is to look at the balance of purchase discount for our residential and commercial credit-enhancement securities. These balances will become part of earnings (for the most part, over the next seven years) to the extent they are not diminished by credit losses. This income would be in addition to the coupon income and other income we earn on an on-going basis. | |||
For both GAAP and tax earnings, we currently amortize a portion of the discount into income. For tax accounting (which drives our dividend distributions), we cannot assume future credit losses and thus cannot take any credit reserves and must amortize the entire purchase discount into taxable income over time. For GAAP purposes, we designate a portion of the purchase discount on CES as credit reserve and this portion of the purchase discount is currently not being amortized into income. The portion of the discount that is not designated as credit reserve for GAAP purposes is currently amortized into income. | |||
The accounting treatment for GAAP and tax purposes also differs for loans. For GAAP, we establish a credit reserve based on our estimate of credit losses. For tax purposes, credit losses can only be expensed when incurred. Thus, we reduce our GAAP income relative to our taxable income to the extent that our quarterly credit provisions for loans exceed actual loan losses incurred in that quarter. If anticipated losses do not occur, these provisions would be reversed into GAAP income over time. If these losses do occur as anticipated, our future taxable income will be lower by this amount. | |||
As a result of these different accounting treatments, effective yields recognized for recently acquired assets have been higher for tax purposes than for GAAP purposes. | |||
Furthermore, as a result of these differences, the outstanding balance of purchase discount differs between GAAP and tax. Future differences in the timing of amortizing the discount will depend on the credit performance and prepayment behavior of the assets. |
The Redwood Review | 30 | 1st Quarter 2006 |
b) | Graph |
c) | Quarterly Update |
Ø | On March 31, 2006, the net balance of all GAAP premiums and discounts associated with all consolidated residential and commercial real estate loans, securities, asset-backed securities issued, and other assets and liabilities was a net discount balance of $650 million, or $25.62 per share. | ||
Ø | The net premium on residential loans owned by Sequoia securitizations (and loans held by Redwood for sale to Sequoia), net of credit reserves, was $1.31 per share. This includes the net premium on the loans, less any net premium on ABS issued by the securitizations trusts, as adjusted for the costs of creating and issuing these ABS. Our GAAP credit reserve on these loans was $0.88 per share. For GAAP purposes, these loans are carried on our balance sheet at an effective price of 100.28% of principal value. | ||
Ø | Residential credit-enhancement securities had a net GAAP discount balance of $19.41 per share, or $493 million, which is the difference between the face value and the amortized cost of these assets. We are currently estimating that cumulative credit losses will equal $14.76 per share. The remaining balance of $4.65 per share is currently being amortized into GAAP income. | ||
Ø | Commercial credit-enhancement securities had a net discount balance of $5.52 per share, or $140 million. We are currently estimating that cumulative credit losses will equal $6.61 per share, which is in excess of this discount. As a result, we are currently writing down our GAAP basis in these assets over time, creating a net amortization expense for GAAP purposes. |
The Redwood Review | 31 | 1st Quarter 2006 |
Ø | The net discount balance on all other assets and liabilities was $2.00 per share. This includes the net discount on our remaining securities (net of other deferred bond issuance costs). | ||
Ø | For tax purposes, at March 31, 2006, the net balance of all premiums and discounts associated with residential and commercial real estate loans, securities, asset-backed securities issued, and other assets and liabilities was a net discount balance of $566 million, or $22.28 per share. | ||
Ø | Credit losses, as reported for GAAP, were $3 million, or $0.10 per share, in the first quarter of 2006 for the residential loans we credit-enhance. There were no losses on the commercial real estate loans we credit enhance. For both the residential and commercials loans, credit losses were less than one basis point (0.01%) on an annualized basis of the loans outstanding. |
The Redwood Review | 32 | 1st Quarter 2006 |
a) | What is This? | ||
As a REIT, we are required to distribute at least 90% of our REIT taxable income each year as dividends. We have a regular dividend rate that is established at a level we believe is reasonably likely to be sustainable. To the extent the REIT taxable income we are required or choose to distribute is greater than our regular dividend distributions, we typically make a special dividend distribution towards year-end. | |||
b) | Graph |
c) | Quarterly Update |
Ø | We declared a regular quarterly dividend of $0.70 per share in the first quarter of 2006. Our Board has announced its intent to maintain the level of the regular quarterly dividend at $0.70 per share for the remainder of the year. | ||
Ø | Based on our estimates of REIT taxable income during 2005 and the first quarter of 2006, we entered the second quarter of 2006 with $65 million ($2.57 per share) of undistributed REIT taxable income. | ||
Ø | We plan to permanently retain approximately 10% of the ordinary REIT taxable income we earn during 2006, and to retain 100% of the taxable income we earn at our taxable REIT subsidiaries in 2006 (after taxes). By retaining a portion of our income, we seek to build book value per share, and thus potential earnings and dividends per share, over time. | ||
Ø | We are also likely to defer distribution of this years taxable income into the following year. We also expect to distribute a special dividend towards the end of 2006. We currently expect the amount of this special dividend will be significantly less than the $3.00 per share special dividend we paid in the fourth quarter of 2005. |
The Redwood Review | 33 | 1st Quarter 2006 |
The Redwood Review | 34 | 1st Quarter 2006 |
The Redwood Review | 35 | 1st Quarter 2006 |
The Redwood Review | 36 | 1st Quarter 2006 |
The Redwood Review | 37 | 1st Quarter 2006 |
The Redwood Review | 38 | 1st Quarter 2006 |
The Redwood Review | 39 | 1st Quarter 2006 |
The Redwood Review | 40 | 1st Quarter 2006 |
The Redwood Review | 41 | 1st Quarter 2006 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
Redwood and consolidated entities interest income |
$ | 224,362 | $ | 234,233 | $ | 245,735 | $ | 248,669 | $ | 236,957 | $ | 204,834 | $ | 171,804 | $ | 144,865 | $ | 130,158 | $ | 965,594 | $ | 651,661 | |||||||||||||||||||||||||
Discount amortization income |
14,661 | 11,936 | 12,714 | 8,395 | 9,316 | 9,146 | 9,012 | 9,077 | 8,836 | 42,361 | 36,071 | ||||||||||||||||||||||||||||||||||||
Premium amortization expense |
(13,398 | ) | (14,451 | ) | (15,698 | ) | (10,203 | ) | (8,082 | ) | (7,105 | ) | 802 | (14,463 | ) | (11,646 | ) | (48,434 | ) | (32,412 | ) | ||||||||||||||||||||||||||
Provision for credit losses |
(176 | ) | (877 | ) | 805 | 1,527 | (1,025 | ) | (1,697 | ) | (1,528 | ) | (1,500 | ) | (2,511 | ) | 430 | (7,236 | ) | ||||||||||||||||||||||||||||
Total GAAP Interest Income |
225,449 | 230,841 | 243,556 | 248,388 | 237,166 | 205,178 | 180,090 | 137,979 | 124,837 | 959,951 | 648,084 | ||||||||||||||||||||||||||||||||||||
Interest expense on Redwood Trusts debt |
(2,097 | ) | (3,531 | ) | (3,845 | ) | (1,825 | ) | (2,728 | ) | (2,560 | ) | (2,312 | ) | (2,490 | ) | (2,571 | ) | (11,929 | ) | (9,933 | ) | |||||||||||||||||||||||||
ABS expenses consolidated from trusts |
(178,204 | ) | (186,457 | ) | (191,035 | ) | (191,985 | ) | (173,182 | ) | (143,078 | ) | (108,237 | ) | (78,809 | ) | (69,069 | ) | (742,659 | ) | (399,193 | ) | |||||||||||||||||||||||||
ABS issuance expense amortization |
(5,907 | ) | (6,069 | ) | (5,162 | ) | (5,386 | ) | (5,273 | ) | (4,783 | ) | (4,197 | ) | (4,305 | ) | (3,543 | ) | (21,890 | ) | (16,828 | ) | |||||||||||||||||||||||||
ABS interest agreement expense |
2,980 | 3,573 | 623 | 876 | 1,469 | 606 | (2,888 | ) | (5,988 | ) | (4,965 | ) | 6,541 | (13,235 | ) | ||||||||||||||||||||||||||||||||
ABS issuance premium amortization income |
2,526 | 2,793 | 2,733 | 3,140 | 3,747 | 2,644 | 2,823 | 1,233 | 571 | 12,413 | 7,271 | ||||||||||||||||||||||||||||||||||||
Total consolidated ABS expense |
(178,605 | ) | (186,160 | ) | (192,841 | ) | (193,355 | ) | (173,239 | ) | (144,611 | ) | (112,499 | ) | (87,869 | ) | (77,006 | ) | (745,595 | ) | (421,985 | ) | |||||||||||||||||||||||||
GAAP net interest income |
44,747 | 41,150 | 46,870 | 53,208 | 61,199 | 58,007 | 65,279 | 47,620 | 45,260 | 202,427 | 216,166 | ||||||||||||||||||||||||||||||||||||
Fixed compensation expense |
(3,437 | ) | (2,879 | ) | (2,802 | ) | (2,623 | ) | (2,778 | ) | (2,009 | ) | (1,959 | ) | (1,842 | ) | (2,230 | ) | (11,082 | ) | (8,040 | ) | |||||||||||||||||||||||||
Variable compensation expense |
(1,514 | ) | (3,689 | ) | (4,009 | ) | (4,200 | ) | (4,018 | ) | (2,811 | ) | (3,432 | ) | (4,709 | ) | (4,005 | ) | (15,916 | ) | (14,957 | ) | |||||||||||||||||||||||||
Equity Compensation expense |
(2,694 | ) | (1,341 | ) | (248 | ) | (972 | ) | (631 | ) | (396 | ) | (144 | ) | (560 | ) | (327 | ) | (3,192 | ) | (1,427 | ) | |||||||||||||||||||||||||
Other operating expense |
(4,162 | ) | (4,268 | ) | (3,866 | ) | (3,179 | ) | (3,322 | ) | (2,565 | ) | (2,512 | ) | (1,781 | ) | (1,735 | ) | (14,635 | ) | (8,593 | ) | |||||||||||||||||||||||||
Operating expenses |
(11,807 | ) | (12,177 | ) | (10,925 | ) | (10,974 | ) | (10,749 | ) | (7,781 | ) | (8,047 | ) | (8,892 | ) | (8,297 | ) | (44,825 | ) | (33,017 | ) | |||||||||||||||||||||||||
Excise taxes |
(295 | ) | (280 | ) | (285 | ) | (308 | ) | (307 | ) | 165 | (301 | ) | (190 | ) | (300 | ) | (1,180 | ) | (626 | ) | ||||||||||||||||||||||||||
Variable stock option market value change |
| 25 | 16 | (2 | ) | 84 | 3 | (213 | ) | 621 | (1,429 | ) | 123 | (1,018 | ) | ||||||||||||||||||||||||||||||||
Total GAAP operating expenses |
(12,102 | ) | (12,432 | ) | (11,194 | ) | (11,284 | ) | (10,972 | ) | (7,613 | ) | (8,561 | ) | (8,461 | ) | (10,026 | ) | (45,882 | ) | (34,661 | ) | |||||||||||||||||||||||||
Realized gains on calls |
| 4,266 | 2,914 | 4,421 | 7,548 | 11,205 | 20,472 | 15,246 | 11,816 | 19,149 | 58,739 | ||||||||||||||||||||||||||||||||||||
Realized gains on sales |
1,059 | 11,654 | 23,053 | 516 | 8,347 | | 488 | 971 | 6,180 | 43,570 | 7,639 | ||||||||||||||||||||||||||||||||||||
Valuation write-downs for EITF 99-20 |
(3,226 | ) | (1,111 | ) | (1,158 | ) | (1,710 | ) | (391 | ) | (1,573 | ) | (421 | ) | (3,846 | ) | (558 | ) | (4,370 | ) | (6,398 | ) | |||||||||||||||||||||||||
Interest rate agreements valuation adjustments |
297 | 3,066 | 107 | (182 | ) | (492 | ) | (411 | ) | 47 | (113 | ) | (1 | ) | 2,499 | (478 | ) | ||||||||||||||||||||||||||||||
Valuation adjustments on real estate loans |
| | | | | (375 | ) | | | | | (375 | ) | ||||||||||||||||||||||||||||||||||
Net gains and valuation adjustments |
(1,870 | ) | 17,875 | 24,916 | 3,045 | 15,012 | 8,846 | 20,586 | 12,258 | 17,437 | 60,848 | 59,127 | |||||||||||||||||||||||||||||||||||
Deferred tax benefit |
| | | | | | | 5,180 | | | 5,180 | ||||||||||||||||||||||||||||||||||||
Provision for income taxes |
(2,760 | ) | (4,097 | ) | (4,693 | ) | (4,054 | ) | (4,677 | ) | (4,826 | ) | (4,962 | ) | (1,509 | ) | (1,880 | ) | (17,521 | ) | (13,177 | ) | |||||||||||||||||||||||||
GAAP Net Income |
$ | 28,015 | $ | 42,496 | $ | 55,899 | $ | 40,915 | $ | 60,562 | $ | 54,414 | $ | 72,342 | $ | 55,088 | $ | 50,791 | $ | 199,872 | $ | 232,635 | |||||||||||||||||||||||||
Diluted average shares (000) |
25,703 | 25,311 | 25,314 | 25,196 | 25,021 | 24,491 | 22,728 | 21,325 | 20,399 | 25,121 | 22,229 | ||||||||||||||||||||||||||||||||||||
GAAP earnings per share |
$ | 1.09 | $ | 1.68 | $ | 2.21 | $ | 1.62 | $ | 2.42 | $ | 2.22 | $ | 3.18 | $ | 2.58 | $ | 2.49 | $ | 7.96 | $ | 10.47 |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 1 GAAP Earnings | A-1 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
GAAP income items
not included in
Core earnings |
|||||||||||||||||||||||||||||||||||||||||||||||
Variable stock
option market value
change |
$ | 0 | $ | 25 | $ | 16 | ($ | 2 | ) | $ | 84 | $ | 3 | ($ | 213 | ) | $ | 621 | ($ | 1,429 | ) | $ | 123 | ($ | 1,018 | ) | |||||||||||||||||||||
Realized gains on
calls of
residential CES |
| 4,266 | 2,914 | 4,421 | 7,548 | 11,205 | 20,472 | 15,246 | 11,816 | 19,149 | 58,739 | ||||||||||||||||||||||||||||||||||||
Realized gains on
asset sales |
1,059 | 11,654 | 23,053 | 516 | 8,347 | (76 | ) | 489 | 971 | 6,255 | 43,570 | 7,639 | |||||||||||||||||||||||||||||||||||
Valuation
write-downs for
EITF 99-20 |
(3,226 | ) | (1,111 | ) | (1,158 | ) | (1,710 | ) | (391 | ) | (1,572 | ) | (422 | ) | (3,846 | ) | (558 | ) | (4,370 | ) | (6,398 | ) | |||||||||||||||||||||||||
Interest rate
agreements
valuation
adjustments |
297 | 3,066 | 107 | (182 | ) | (492 | ) | (411 | ) | 47 | (113 | ) | (1 | ) | 2,499 | (478 | ) | ||||||||||||||||||||||||||||||
Commercial real
estate valuation
adjustments |
| | | | | (300 | ) | | | (75 | ) | | (375 | ) | |||||||||||||||||||||||||||||||||
Net gains and
valuation
adjustments |
(1,870 | ) | 17,875 | 24,916 | 3,045 | 15,012 | 8,846 | 20,586 | 12,258 | 17,437 | 60,848 | 59,127 | |||||||||||||||||||||||||||||||||||
Deferred tax benefit |
| | | | | | 5,180 | | | 5,180 | |||||||||||||||||||||||||||||||||||||
Total GAAP / Core
earnings
differences |
(1,870 | ) | 17,900 | 24,932 | 3,043 | 14,001 | 8,849 | 20,373 | 18,059 | 16,008 | 59,876 | 63,289 | |||||||||||||||||||||||||||||||||||
Core earnings |
29,885 | 24,596 | 30,967 | 37,872 | 45,466 | 45,565 | 51,969 | 37,029 | 34,783 | 138,901 | 169,346 | ||||||||||||||||||||||||||||||||||||
GAAP / Core
earnings
differences |
(1,870 | ) | 17,900 | 24,932 | 3043 | 15,096 | 8,849 | 20,373 | 18,059 | 16,008 | 60,971 | 63,289 | |||||||||||||||||||||||||||||||||||
GAAP Net Income |
$ | 28,015 | $ | 42,496 | $ | 55,899 | $ | 40,915 | $ | 60,562 | $ | 54,414 | $ | 72,342 | $ | 55,088 | $ | 50,791 | 199,872 | $ | 232,635 | ||||||||||||||||||||||||||
Per Share Analysis |
|||||||||||||||||||||||||||||||||||||||||||||||
Variable stock
option market value
change |
$ | 0.00 | $ | 0.00 | $ | 0.00 | ($ | 0.00 | ) | $ | 0.00 | $ | 0.00 | ($ | 0.01 | ) | $ | 0.03 | ($ | 0.07 | ) | $ | 0.00 | ($ | 0.05 | ) | |||||||||||||||||||||
Realized gains on
calls of
residential CES |
| 0.17 | 0.12 | 0.18 | 0.30 | 0.46 | 0.90 | 0.71 | 0.58 | 0.76 | 2.64 | ||||||||||||||||||||||||||||||||||||
Realized gains on
asset sales |
0.04 | 0.46 | 0.91 | 0.02 | 0.33 | | 0.02 | 0.05 | 0.30 | 1.73 | 0.34 | ||||||||||||||||||||||||||||||||||||
Valuation
write-downs for
EITF 99-20 |
(0.13 | ) | (0.04 | ) | (0.05 | ) | (0.07 | ) | (0.02 | ) | (0.06 | ) | (0.02 | ) | (0.18 | ) | (0.03 | ) | (0.17 | ) | (0.29 | ) | |||||||||||||||||||||||||
Interest rate
agreements
valuation
adjustments |
0.01 | 0.12 | 0.00 | (0.01 | ) | (0.02 | ) | (0.02 | ) | 0.00 | | (0.00 | ) | 0.10 | (0.02 | ) | |||||||||||||||||||||||||||||||
Commercial real
estate valuation
adjustments |
| | | | | (0.02 | ) | | (0.01 | ) | | | (0.02 | ) | |||||||||||||||||||||||||||||||||
Deferred tax benefit |
| | | | | | | 0.24 | | | 0.24 | ||||||||||||||||||||||||||||||||||||
GAAP / Core
earnings
differences per
share |
($ | 0.07 | ) | $ | 0.71 | $ | 0.98 | $ | 0.12 | $ | 0.60 | $ | 0.36 | $ | 0.89 | $ | 0.84 | $ | 0.78 | $ | 2.43 | $ | 2.85 | ||||||||||||||||||||||||
Core earnings per
share |
1.16 | 0.97 | 1.22 | 1.50 | 1.82 | 1.86 | 2.29 | 1.74 | 1.71 | 5.53 | 7.62 | ||||||||||||||||||||||||||||||||||||
GAAP / Core
earnings
differences per
share |
(0.07 | ) | 0.71 | 0.98 | 0.12 | 0.60 | 0.36 | 0.89 | 0.84 | 0.78 | 2.43 | 2.85 | |||||||||||||||||||||||||||||||||||
GAAP earnings per
share |
$ | 1.09 | $ | 1.68 | $ | 2.21 | $ | 1.62 | $ | 2.42 | $ | 2.22 | $ | 3.18 | $ | 2.58 | $ | 2.49 | $ | 7.96 | $ | 10.47 | |||||||||||||||||||||||||
Diluted average
shares (000) |
25,703 | 25,311 | 25,314 | 25,196 | 25,021 | 24,491 | 22,728 | 21,325 | 20,399 | 25,121 | 22,229 |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 2 Core Earnings | A-2 |
Estimated | Estimated | Actual | Estimated | Actual | |||||||||||||||||||||||||||||||||||||||||||
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
GAAP net income |
$ | 28,015 | $ | 42,496 | $ | 55,899 | $ | 40,915 | $ | 60,562 | $ | 54,414 | $ | 72,342 | $ | 55,088 | $ | 50,791 | $ | 199,872 | $ | 232,635 | |||||||||||||||||||||||||
Interest income and
expense differences |
6,216 | (1,573 | ) | 1,353 | (4,868 | ) | (20,091 | ) | (7,519 | ) | (23,527 | ) | 5,208 | (1,150 | ) | (25,179 | ) | (26,988 | ) | ||||||||||||||||||||||||||||
Provision for
credit losses
GAAP |
176 | 876 | (805 | ) | (1,527 | ) | 1,025 | 1,697 | 1,528 | 1,500 | 2,511 | (431 | ) | 7,236 | |||||||||||||||||||||||||||||||||
Tax deductions for
realized credit
losses |
(1,002 | ) | 34 | (562 | ) | (737 | ) | (438 | ) | (247 | ) | (127 | ) | (506 | ) | (4 | ) | (1,703 | ) | (884 | ) | ||||||||||||||||||||||||||
Long-term
compensation
differences |
2,520 | 1,051 | 2,892 | 2,138 | 1,969 | (1,775 | ) | 402 | 2,428 | 2,904 | 8,050 | 3,959 | |||||||||||||||||||||||||||||||||||
Stock option
exercise deduction
differences |
(1,126 | ) | (202 | ) | (2,944 | ) | (143 | ) | (477 | ) | (3,094 | ) | (745 | ) | (109 | ) | (12,073 | ) | (3,766 | ) | (16,021 | ) | |||||||||||||||||||||||||
Depreciation of
fixed asset
differences |
176 | 168 | 60 | 166 | 151 | (176 | ) | (589 | ) | 46 | (6 | ) | 545 | (725 | ) | ||||||||||||||||||||||||||||||||
Other operating
expense differences |
(261 | ) | (781 | ) | 283 | (31 | ) | 69 | (2,495 | ) | (34 | ) | 5 | (16 | ) | (460 | ) | (2,540 | ) | ||||||||||||||||||||||||||||
Sale of assets to
third parties
differences |
(798 | ) | (4,612 | ) | (8,041 | ) | (2,476 | ) | (967 | ) | 1,428 | (576 | ) | (536 | ) | (566 | ) | (16,096 | ) | (250 | ) | ||||||||||||||||||||||||||
Call income of
residential CES
differences |
204 | (1,505 | ) | (319 | ) | 120 | (2,324 | ) | (2,872 | ) | (3,961 | ) | (2,157 | ) | (1,899 | ) | (4,028 | ) | (10,889 | ) | |||||||||||||||||||||||||||
Tax gain on
securitizations |
| | (392 | ) | 808 | 2,558 | 10,749 | 11,153 | 10,303 | | 2,974 | 32,205 | |||||||||||||||||||||||||||||||||||
Tax gain on
intercompany sales
and transfers |
(19 | ) | (473 | ) | 170 | 2,371 | 3,260 | 3,256 | 28 | (71 | ) | 7,546 | 5,328 | 10,759 | |||||||||||||||||||||||||||||||||
GAAP market
valuation write
downs (EITF 99-20) |
3,226 | 1,110 | 2,048 | 820 | 391 | 1,572 | 422 | 3,846 | 558 | 4,369 | 6,398 | ||||||||||||||||||||||||||||||||||||
Interest rate
agreements
differences |
(451 | ) | 707 | 216 | 53 | 202 | (688 | ) | (278 | ) | 502 | 50 | 1,178 | (414 | ) | ||||||||||||||||||||||||||||||||
Provision for
excise tax GAAP |
295 | 280 | 285 | 308 | 307 | (165 | ) | 301 | 190 | 300 | 1,180 | 626 | |||||||||||||||||||||||||||||||||||
Provision for
income tax
differences |
(703 | ) | 4,096 | 5,013 | 3,035 | 134 | 4,827 | 2,834 | (3,672 | ) | 1,881 | 12,278 | 5,870 | ||||||||||||||||||||||||||||||||||
Total taxable
income (pre-tax) |
36,468 | 41,672 | 55,156 | 40,952 | 46,331 | 58,912 | 59,173 | 72,065 | 50,827 | 184,111 | 240,977 | ||||||||||||||||||||||||||||||||||||
Earnings from
taxable
subsidiaries |
(1,087 | ) | (1,703 | ) | (8,038 | ) | (1,715 | ) | (1,170 | ) | (8,903 | ) | (10,143 | ) | (11,721 | ) | (8,337 | ) | (12,626 | ) | (39,104 | ) | |||||||||||||||||||||||||
REIT taxable income
(pre-tax) |
$ | 35,381 | $ | 39,969 | $ | 47,118 | $ | 39,237 | $ | 45,161 | $ | 50,009 | $ | 49,030 | $ | 60,344 | $ | 42,490 | $ | 171,485 | $ | 201,873 | |||||||||||||||||||||||||
Shares outstanding
at period end (000) |
25,382 | 25,133 | 24,764 | 24,647 | 24,514 | 24,154 | 23,346 | 21,511 | 19,796 | 25,133 | 24,154 | ||||||||||||||||||||||||||||||||||||
Total taxable
income per share |
$ | 1.44 | $ | 1.66 | $ | 2.23 | $ | 1.66 | $ | 1.89 | $ | 2.44 | $ | 2.53 | $ | 3.35 | $ | 2.57 | $ | 7.44 | $ | 10.89 | |||||||||||||||||||||||||
REIT taxable income
per share |
$ | 1.39 | $ | 1.59 | $ | 1.90 | $ | 1.59 | $ | 1.84 | $ | 2.07 | $ | 2.10 | $ | 2.81 | $ | 2.15 | $ | 6.93 | $ | 9.12 |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 3 GAAP-Tax Diff | A-3 |
Estimated | Estimated | Actual | Estimated | Actual | |||||||||||||||||||||||||||||||||||||||||||
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
Taxable income in taxable subs (pre-tax) |
$ | 1,087 | $ | 1,703 | $ | 8,038 | $ | 1,715 | $ | 1,170 | $ | 8,903 | $ | 10,143 | $ | 11,721 | $ | 8,337 | $ | 12,626 | $ | 39,104 | |||||||||||||||||||||||||
REIT taxable income (pre-tax) |
35,381 | 39,969 | 47,118 | 39,237 | 45,161 | 50,009 | 49,030 | 60,344 | 42,490 | 171,485 | 201,873 | ||||||||||||||||||||||||||||||||||||
Total taxable income (pre-tax) |
$ | 36,468 | $ | 41,672 | $ | 55,156 | $ | 40,952 | $ | 46,331 | $ | 58,912 | $ | 59,173 | $ | 72,065 | $ | 50,827 | $ | 184,111 | $ | 240,977 | |||||||||||||||||||||||||
Core income (loss) in taxable subs (pre-tax) |
$ | 1,087 | ($436 | ) | $ | 7,931 | ($611 | ) | ($1,996 | ) | ($2,185 | ) | ($1,275 | ) | $ | 1,741 | $ | 910 | $ | 4,888 | ($809 | ) | |||||||||||||||||||||||||
Income from calls and sales in taxable subs (pre-tax) |
| 2,139 | 107 | 2,326 | 3,166 | 11,088 | 11,418 | 9,980 | 7,427 | 7,738 | 39,913 | ||||||||||||||||||||||||||||||||||||
Taxable income in taxable subs (pre-tax) |
1,087 | 1,703 | 8,038 | 1,715 | 1,170 | 8,903 | 10,143 | 11,721 | 8,337 | 12,626 | 39,104 | ||||||||||||||||||||||||||||||||||||
Income tax for taxable subs (actual tax due) |
(530 | ) | (572 | ) | (3,652 | ) | (870 | ) | (830 | ) | (5,773 | ) | (4,574 | ) | (1,600 | ) | (1,150 | ) | (5,924 | ) | (13,097 | ) | |||||||||||||||||||||||||
After-tax income in taxable subs |
$ | 557 | $ | 1,131 | $ | 4,386 | $ | 845 | $ | 340 | $ | 3,130 | $ | 5,569 | $ | 10,121 | $ | 7,187 | $ | 6,702 | $ | 26,007 | |||||||||||||||||||||||||
Core REIT taxable income |
$ | 37,388 | $ | 36,660 | $ | 33,065 | $ | 36,198 | $ | 30,741 | $ | 42,544 | $ | 34,272 | $ | 47,040 | $ | 39,708 | $ | 136,664 | $ | 163,564 | |||||||||||||||||||||||||
Other ordinary REIT taxable income (expense) |
(2,446 | ) | 865 | (2,160 | ) | 3,166 | (565 | ) | (3,094 | ) | (745 | ) | (109 | ) | (12,073 | ) | 1,306 | (16,021 | ) | ||||||||||||||||||||||||||||
Other ordinary REIT taxable income (expense) |
34,942 | 37,525 | 30,905 | 39,364 | 30,176 | 39,450 | 33,527 | 46,931 | 27,635 | 137,970 | 147,543 | ||||||||||||||||||||||||||||||||||||
Net long-term capital gain REIT taxable income |
439 | 2,444 | 16,213 | (127 | ) | 14,985 | 10,559 | 15,503 | 13,413 | 14,855 | 33,515 | 54,330 | |||||||||||||||||||||||||||||||||||
REIT taxable income (pre-tax) |
$ | 35,381 | $ | 39,969 | $ | 47,118 | $ | 39,237 | $ | 45,161 | $ | 50,009 | $ | 49,030 | $ | 60,344 | $ | 42,490 | $ | 171,485 | $ | 201,873 | |||||||||||||||||||||||||
Total core taxable income |
$ | 38,475 | $ | 36,225 | $ | 40,996 | $ | 35,587 | $ | 28,745 | $ | 40,359 | $ | 32,997 | $ | 48,781 | $ | 40,618 | $ | 141,553 | $ | 162,755 | |||||||||||||||||||||||||
Income from calls, sales and stock option exercises |
(2,007 | ) | 5,447 | 14,160 | 5,365 | 17,586 | 18,553 | 26,176 | 23,284 | 10,209 | 42,558 | 78,222 | |||||||||||||||||||||||||||||||||||
Total taxable income (pre-tax) |
$ | 36,468 | $ | 41,672 | $ | 55,156 | $ | 40,952 | $ | 46,331 | $ | 58,912 | $ | 59,173 | $ | 72,065 | $ | 50,827 | $ | 184,111 | $ | 240,977 | |||||||||||||||||||||||||
REIT taxable income (pre-tax) |
$ | 35,381 | $ | 39,969 | $ | 47,118 | $ | 39,237 | $ | 45,161 | $ | 50,009 | $ | 49,030 | $ | 60,344 | $ | 42,490 | $ | 171,485 | $ | 201,873 | |||||||||||||||||||||||||
Excise taxes due to deferrals |
(295 | ) | (280 | ) | (285 | ) | (308 | ) | (307 | ) | 293 | (301 | ) | (190 | ) | (300 | ) | (1,180 | ) | (498 | ) | ||||||||||||||||||||||||||
Income taxes due to earnings retention (actual tax due) |
(1,712 | ) | (1,230 | ) | (1,641 | ) | (1,830 | ) | (1,450 | ) | 14 | (1,537 | ) | (2,151 | ) | (1,267 | ) | (6,151 | ) | (4,941 | ) | ||||||||||||||||||||||||||
REIT taxable income available for distribution |
33,374 | $ | 38,460 | $ | 45,192 | $ | 37,099 | $ | 43,404 | $ | 50,316 | $ | 47,192 | $ | 58,003 | $ | 40,923 | $ | 164,154 | $ | 196,434 | ||||||||||||||||||||||||||
After-tax income in taxable subs |
$ | 557 | $ | 1,131 | $ | 4,386 | $ | 845 | $ | 340 | $ | 3,130 | $ | 5,569 | $ | 10,121 | $ | 7,187 | $ | 6,702 | $ | 26,007 | |||||||||||||||||||||||||
REIT taxable income available for distribution |
33,374 | 38,460 | 45,192 | 37,099 | 43,404 | 50,316 | 47,192 | 58,003 | 40,923 | 164,155 | 196,434 | ||||||||||||||||||||||||||||||||||||
Total taxable income (after-tax) |
$ | 33,931 | $ | 39,591 | $ | 49,578 | $ | 37,944 | $ | 43,744 | $ | 53,446 | $ | 52,761 | $ | 68,124 | $ | 48,110 | $ | 170,857 | $ | 222,441 | |||||||||||||||||||||||||
Regular dividend per share |
$ | 0.70 | $ | 0.70 | $ | 0.70 | $ | 0.70 | $ | 0.70 | $ | 0.67 | $ | 0.67 | $ | 0.67 | $ | 0.67 | $ | 2.80 | $ | 2.68 | |||||||||||||||||||||||||
Special dividend per share |
| 3.00 | | | | 5.50 | | | 0.50 | 3.00 | 6.00 | ||||||||||||||||||||||||||||||||||||
Total dividends per share |
$ | 0.70 | $ | 3.70 | $ | 0.70 | $ | 0.70 | $ | 0.70 | $ | 6.17 | $ | 0.67 | $ | 0.67 | $ | 1.17 | $ | 5.80 | $ | 8.68 | |||||||||||||||||||||||||
Shares at period end (000) |
25,382 | 25,133 | 24,764 | 24,647 | 24,514 | 24,154 | 23,346 | 21,511 | 19,796 | 25,133 | 24,154 | ||||||||||||||||||||||||||||||||||||
Dividends declared |
$ | 17,767 | $ | 92,150 | $ | 17,335 | $ | 17,253 | $ | 17,160 | $ | 146,707 | $ | 15,642 | $ | 14,412 | $ | 23,162 | $ | 143,898 | $ | 199,923 | |||||||||||||||||||||||||
Dividend deduction on stock issued through DRIP |
176 | 263 | 128 | 112 | 56 | 1,048 | 844 | 712 | 655 | 559 | 3,259 | ||||||||||||||||||||||||||||||||||||
Total dividend deductions |
$ | 17,943 | $ | 92,413 | $ | 17,463 | $ | 17,365 | $ | 17,216 | $ | 147,755 | $ | 16,486 | $ | 15,124 | $ | 23,817 | $ | 144,457 | $ | 203,182 | |||||||||||||||||||||||||
Taxable income (after-tax) retained in tax subs |
$ | 557 | $ | 1,131 | $ | 4,386 | $ | 845 | $ | 340 | $ | 3,130 | $ | 5,569 | $ | 10,121 | $ | 7,187 | $ | 6,702 | $ | 26,007 | |||||||||||||||||||||||||
REIT retained taxable income (after-tax) (1) |
1,312 | 1,553 | 1,165 | 1,798 | 1,261 | 4,252 | 1,515 | 2,352 | 1,197 | 5,777 | 9,315 | ||||||||||||||||||||||||||||||||||||
Total retained taxable earnings (after-tax) |
$ | 1,869 | $ | 2,684 | $ | 5,551 | $ | 2,643 | $ | 1,601 | $ | 7,382 | $ | 7,084 | $ | 12,473 | $ | 8,384 | $ | 12,479 | $ | 35,322 | |||||||||||||||||||||||||
Per share outstanding at quarter end |
|||||||||||||||||||||||||||||||||||||||||||||||
Core taxable income (pre-tax) |
$ | 1.52 | $ | 1.44 | $ | 1.66 | $ | 1.44 | $ | 1.17 | $ | 1.67 | $ | 1.41 | $ | 2.27 | $ | 2.05 | $ | 5.71 | $ | 7.40 | |||||||||||||||||||||||||
REIT taxable income (pre-tax) |
$ | 1.39 | $ | 1.59 | $ | 1.90 | $ | 1.59 | $ | 1.84 | $ | 2.07 | $ | 2.10 | $ | 2.81 | $ | 2.15 | $ | 6.93 | $ | 9.12 | |||||||||||||||||||||||||
Total taxable income (pre-tax) |
$ | 1.44 | $ | 1.66 | $ | 2.23 | $ | 1.66 | $ | 1.89 | $ | 2.44 | $ | 2.53 | $ | 3.35 | $ | 2.57 | $ | 7.44 | $ | 10.89 | |||||||||||||||||||||||||
Total retained taxable earnings (after-tax) |
$ | 0.07 | $ | 0.11 | $ | 0.22 | $ | 0.11 | $ | 0.07 | $ | 0.31 | $ | 0.30 | $ | 0.58 | $ | 0.42 | $ | 0.50 | $ | 1.61 |
(1) | REIT retained taxable income equals 10% of ordinary REIT taxable income less income taxes and excise taxes. |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 4 Tax. Inc. | A-4 |
Estimated | Estimated | Actual | Estimated | Actual | |||||||||||||||||||||||||||||||||||||||||||
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
Undistributed beginning of period REIT
taxable income (pre-tax): |
$ | 51,213 | $ | 106,719 | $ | 80,166 | $ | 62,218 | $ | 37,291 | $ | 138,981 | $ | 109,790 | $ | 69,263 | $ | 53,354 | $ | 37,291 | $ | 53,354 | |||||||||||||||||||||||||
REIT taxable income (pre-tax) |
35,381 | 39,970 | 47,118 | 39,237 | 45,161 | 50,009 | 49,030 | 60,344 | 42,490 | 171,486 | 201,873 | ||||||||||||||||||||||||||||||||||||
Permanently retained (pre-tax) |
(3,320 | ) | (3,063 | ) | (3,102 | ) | (3,924 | ) | (3,018 | ) | (3,944 | ) | (3,353 | ) | (4,693 | ) | (2,764 | ) | (13,107 | ) | (14,754 | ) | |||||||||||||||||||||||||
Dividend of 2002 income |
| | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Dividend of 2003 income |
| | | | | | (14,413 | ) | (15,124 | ) | (23,817 | ) | | (53,354 | ) | ||||||||||||||||||||||||||||||||
Dividend of 2004 income |
| | (2,710 | ) | (17,365 | ) | (17,216 | ) | (147,755 | ) | (2,073 | ) | | | (37,291 | ) | (149,828 | ) | |||||||||||||||||||||||||||||
Dividend of 2005 income |
(17,943 | ) | (92,413 | ) | (14,753 | ) | | | | | | | (107,166 | ) | | ||||||||||||||||||||||||||||||||
Undistributed REIT taxable income at end
of period: |
$ | 65,331 | $ | 51,213 | $ | 106,719 | $ | 80,166 | $ | 62,218 | $ | 37,291 | $ | 138,981 | $ | 109,790 | $ | 69,263 | $ | 51,213 | $ | 37,291 | |||||||||||||||||||||||||
Shares outstanding at period end |
25,382 | 25,133 | 24,764 | 24,647 | 24,514 | 24,154 | 23,346 | 21,511 | 19,796 | 25,133 | 24,154 | ||||||||||||||||||||||||||||||||||||
Undistributed REIT taxable income (pre-tax)
per share outstanding |
$ | 2.57 | $ | 2.04 | $ | 4.31 | $ | 3.25 | $ | 2.54 | $ | 1.54 | $ | 5.95 | $ | 5.10 | $ | 3.50 | $ | 2.04 | $ | 1.54 | |||||||||||||||||||||||||
Undistributed REIT taxable income (pre-tax)
|
|||||||||||||||||||||||||||||||||||||||||||||||
From 2003s income |
| | | | | | | 14,413 | 29,537 | | | ||||||||||||||||||||||||||||||||||||
From 2004s income |
| | | 2,710 | 20,075 | 37,291 | 138,981 | 95,377 | 39,726 | | 37,291 | ||||||||||||||||||||||||||||||||||||
From 2005s income |
33,270 | 51,213 | 106,716 | 77,456 | 42,143 | | | | | 51,213 | | ||||||||||||||||||||||||||||||||||||
From 2006s income |
32,061 | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||
Total |
$ | 65,331 | $ | 51,213 | $ | 106,716 | $ | 80,166 | $ | 62,218 | $ | 37,291 | $ | 138,981 | $ | 109,790 | $ | 69,263 | $ | 51,213 | $ | 37,291 | |||||||||||||||||||||||||
The Redwood Review 1st Quarter 2006 | APPENDIX Table 5 Ret. Tax. Inc. | A-5 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | ||||||||||||||||||||||||||||||
Residential loans owned by Redwood |
$ | 87 | $ | 45 | $ | 17 | $ | 300 | $ | 256 | $ | 193 | $ | 259 | $ | 161 | $ | 97 | ||||||||||||||||||||
Residential loans consolidated from entities |
11,741 | 13,649 | 16,324 | 19,083 | 21,237 | 22,015 | 21,299 | 19,755 | 17,989 | |||||||||||||||||||||||||||||
Total GAAP residential loans |
11,828 | 13,694 | 16,341 | 19,383 | 21,493 | 22,208 | 21,558 | 19,916 | 18,086 | |||||||||||||||||||||||||||||
HELOC loans owned by Redwood |
| | | | | | | | | |||||||||||||||||||||||||||||
HELOC loans consolidated from entities |
162 | 181 | 215 | 247 | 279 | 296 | 317 | 327 | | |||||||||||||||||||||||||||||
Total GAAP HELOC loans |
162 | 181 | 215 | 247 | 279 | 296 | 317 | 327 | | |||||||||||||||||||||||||||||
Commercial loans owned by Redwood |
2 | 7 | 21 | 16 | 22 | 32 | 21 | 25 | 14 | |||||||||||||||||||||||||||||
Commercial loans consolidated from entities |
53 | 53 | 35 | 26 | 35 | 22 | 12 | 8 | 8 | |||||||||||||||||||||||||||||
Total GAAP commercial loans |
55 | 60 | 56 | 42 | 57 | 54 | 33 | 33 | 22 | |||||||||||||||||||||||||||||
Residential CES owned by Redwood |
305 | 311 | 338 | 469 | 373 | 351 | 327 | 312 | 256 | |||||||||||||||||||||||||||||
Residential CES consolidated from entities |
339 | 302 | 326 | 237 | 238 | 211 | 170 | 131 | 119 | |||||||||||||||||||||||||||||
Total GAAP residential CES |
644 | 613 | 664 | 706 | 611 | 562 | 497 | 443 | 375 | |||||||||||||||||||||||||||||
Commercial CES owned by Redwood |
67 | 58 | 44 | 29 | 29 | 14 | 9 | 2 | 2 | |||||||||||||||||||||||||||||
Commercial CES consolidated from entities |
| | | | | | | | | |||||||||||||||||||||||||||||
Total GAAP Commercial CES |
67 | 58 | 44 | 29 | 29 | 14 | 9 | 2 | 2 | |||||||||||||||||||||||||||||
Other securities owned by Redwood |
53 | 167 | 234 | 208 | 70 | 115 | 161 | 213 | 237 | |||||||||||||||||||||||||||||
Other securities consolidated from entities |
1,765 | 1,582 | 1,549 | 1,441 | 1,435 | 1,266 | 1,069 | 881 | 698 | |||||||||||||||||||||||||||||
Total GAAP other securities |
1,818 | 1,749 | 1,783 | 1,649 | 1,505 | 1,381 | 1,230 | 1,094 | 935 | |||||||||||||||||||||||||||||
Cash owned by Redwood |
85 | 176 | 163 | 72 | 65 | 57 | 76 | 38 | 58 | |||||||||||||||||||||||||||||
Restricted cash consolidated from entities |
131 | 72 | 59 | 48 | 58 | 36 | 45 | 20 | 14 | |||||||||||||||||||||||||||||
Accrued interest receivable |
73 | 76 | 80 | 85 | 82 | 72 | 62 | 49 | 44 | |||||||||||||||||||||||||||||
Principal receivable |
2 | | 2 | | | 3 | 1 | 12 | | |||||||||||||||||||||||||||||
Interest rate agreements |
48 | 31 | 25 | 13 | 29 | 16 | 10 | 17 | 1 | |||||||||||||||||||||||||||||
Deferred tax asset |
5 | 5 | 8 | 7 | 8 | 11 | 9 | 5 | | |||||||||||||||||||||||||||||
Deferred asset-backed security issuance costs |
52 | 54 | 56 | 59 | 63 | 61 | 58 | 53 | 47 | |||||||||||||||||||||||||||||
Other assets |
10 | 8 | 9 | 6 | 6 | 7 | 7 | 7 | 6 | |||||||||||||||||||||||||||||
Total GAAP assets |
$ | 14,979 | $ | 16,777 | $ | 19,505 | $ | 22,346 | $ | 24,285 | $ | 24,778 | $ | 23,912 | $ | 22,016 | $ | 19,590 | ||||||||||||||||||||
Residential loans owned by Redwood |
$ | 87 | $ | 45 | $ | 17 | $ | 300 | $ | 256 | $ | 193 | $ | 259 | $ | 161 | $ | 97 | ||||||||||||||||||||
HELOC loans owned by Redwood |
| | | | | | | | | |||||||||||||||||||||||||||||
Commercial loans owned by Redwood |
2 | 7 | 21 | 16 | 22 | 32 | 21 | 25 | 14 | |||||||||||||||||||||||||||||
Residential CES owned by Redwood |
305 | 311 | 338 | 469 | 373 | 351 | 327 | 312 | 256 | |||||||||||||||||||||||||||||
Commercial CES owned by Redwood |
67 | 58 | 44 | 29 | 29 | 14 | 9 | 2 | 2 | |||||||||||||||||||||||||||||
Other securities owned by Redwood |
53 | 167 | 234 | 208 | 70 | 129 | 170 | 215 | 239 | |||||||||||||||||||||||||||||
Cash owned by Redwood |
85 | 176 | 163 | 72 | 65 | 57 | 76 | 38 | 58 | |||||||||||||||||||||||||||||
Assets of securitizations for GAAP |
14,060 | 15,767 | 18,449 | 21,034 | 23,224 | 23,810 | 22,867 | 21,102 | 18,814 | |||||||||||||||||||||||||||||
ABS liabilities of entities for GAAP |
(13,930 | ) | (15,585 | ) | (18,238 | ) | (20,815 | ) | (23,057 | ) | (23,630 | ) | (22,680 | ) | (20,923 | ) | (18,630 | ) | ||||||||||||||||||||
Redwood earning assets GAAP basis |
$ | 729 | $ | 946 | $ | 1,028 | $ | 1,313 | $ | 982 | $ | 956 | $ | 1,049 | $ | 932 | $ | 850 | ||||||||||||||||||||
The Redwood Review 1st Quarter 2006 | APPENDIX Table 6 Asset | A-6 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | ||||||||||||||||||||||||||||||
Redwood Trust debt: short-term |
$ | 0 | $ | 170 | $ | 162 | $ | 453 | $ | 199 | $ | 203 | $ | 246 | $ | 270 | $ | 278 | ||||||||||||||||||||
Redwood Trust debt: long-term |
| | | | | | | | | |||||||||||||||||||||||||||||
Total Redwood Trust debt |
| 170 | 162 | 453 | 199 | 203 | 246 | 270 | 278 | |||||||||||||||||||||||||||||
ABS issued, consolidated from entities |
13,788 | 15,422 | 18,049 | 20,598 | 22,821 | 23,383 | 22,449 | 20,724 | 18,458 | |||||||||||||||||||||||||||||
Unamortized IO issuance premium |
124 | 143 | 163 | 186 | 202 | 210 | 185 | 161 | 162 | |||||||||||||||||||||||||||||
Unamortized ABS issuance premium |
18 | 20 | 25 | 31 | 34 | 37 | 46 | 38 | 10 | |||||||||||||||||||||||||||||
ABS obligations of entities |
13,930 | 15,585 | 18,237 | 20,815 | 23,057 | 23,630 | 22,680 | 20,923 | 18,630 | |||||||||||||||||||||||||||||
Accrued interest payable |
43 | 41 | 42 | 43 | 38 | 35 | 29 | 22 | 18 | |||||||||||||||||||||||||||||
Interest rate agreements |
0 | 1 | 1 | 3 | 0 | 1 | 7 | 1 | 12 | |||||||||||||||||||||||||||||
Accrued expenses and other liabilities |
21 | 28 | 30 | 23 | 26 | 29 | 32 | 28 | 21 | |||||||||||||||||||||||||||||
Dividends payable |
18 | 17 | 17 | 17 | 17 | 16 | 16 | 14 | 23 | |||||||||||||||||||||||||||||
Total GAAP liabilities |
14,012 | 15,842 | 18,489 | 21,354 | 23,337 | 23,914 | 23,010 | 21,258 | 18,982 | |||||||||||||||||||||||||||||
Common stock and paid-in capital |
839 | 825 | 808 | 803 | 795 | 773 | 727 | 625 | 549 | |||||||||||||||||||||||||||||
Accumulated other comprehensive income |
82 | 74 | 117 | 137 | 125 | 105 | 97 | 111 | 79 | |||||||||||||||||||||||||||||
Cumulative GAAP earnings |
709 | 681 | 639 | 583 | 542 | 482 | 427 | 355 | 299 | |||||||||||||||||||||||||||||
Cumulative distributions to shareholders |
(663 | ) | (645 | ) | (548 | ) | (531 | ) | (514 | ) | (496 | ) | (349 | ) | (333 | ) | (319 | ) | ||||||||||||||||||||
GAAP stockholders equity |
967 | 935 | 1,016 | 992 | 948 | 864 | 902 | 758 | 608 | |||||||||||||||||||||||||||||
Total GAAP liabilities and equity |
$ | 14,979 | $ | 16,777 | $ | 19,505 | $ | 22,346 | $ | 24,285 | $ | 24,778 | $ | 23,912 | $ | 22,016 | $ | 19,590 | ||||||||||||||||||||
Total Redwood Trust debt |
$ | 0 | $ | 170 | $ | 162 | $ | 453 | $ | 199 | $ | 203 | $ | 246 | $ | 270 | $ | 278 | ||||||||||||||||||||
GAAP stockholders equity |
967 | 935 | 1016 | 992 | 948 | 864 | 902 | 758 | 608 | |||||||||||||||||||||||||||||
Redwood capital |
$ | 967 | $ | 1,105 | $ | 1,178 | $ | 1,445 | $ | 1,147 | $ | 1,067 | $ | 1,148 | $ | 1,028 | $ | 886 | ||||||||||||||||||||
Redwood debt to equity ratio |
0 | % | 18 | % | 16 | % | 46 | % | 21 | % | 23 | % | 27 | % | 36 | % | 46 | % | ||||||||||||||||||||
Debt to capital ratio |
0 | % | 15 | % | 14 | % | 31 | % | 17 | % | 19 | % | 21 | % | 26 | % | 31 | % | ||||||||||||||||||||
Redwood earning assets |
$ | 729 | $ | 946 | $ | 1,028 | $ | 1,313 | $ | 982 | $ | 942 | $ | 1,040 | $ | 930 | $ | 848 | ||||||||||||||||||||
Redwood debt |
0 | 170 | 162 | 453 | 199 | 203 | 246 | 270 | 278 | |||||||||||||||||||||||||||||
Redwood net earning assets (GAAP basis) |
$ | 729 | $ | 776 | $ | 866 | $ | 860 | $ | 783 | $ | 739 | $ | 794 | $ | 660 | $ | 570 | ||||||||||||||||||||
Working capital |
238 | 159 | 150 | 132 | 165 | 125 | 108 | 98 | 38 | |||||||||||||||||||||||||||||
GAAP stockholders equity |
$ | 967 | $ | 935 | $ | 1,016 | $ | 992 | $ | 948 | $ | 864 | $ | 902 | $ | 758 | $ | 608 | ||||||||||||||||||||
Equity to earning assets |
133 | % | 99 | % | 99 | % | 76 | % | 97 | % | 92 | % | 87 | % | 82 | % | 72 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 7 Liabilities | A-7 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
GAAP equity |
$ | 967,333 | $ | 934,960 | $ | 1,016,065 | $ | 991,757 | $ | 948,001 | $ | 864,156 | $ | 901,841 | $ | 757,940 | $ | 608,122 | $ | 934,960 | $ | 864,156 | |||||||||||||||||||||||||
Balance sheet mark-to-market adjustments |
81,591 | 73,731 | 117,043 | 137,380 | 124,784 | 105,357 | 96,452 | 111,221 | 78,517 | 73,731 | 105,357 | ||||||||||||||||||||||||||||||||||||
Core equity |
$ | 885,742 | $ | 861,229 | $ | 899,022 | $ | 854,377 | $ | 823,217 | $ | 758,799 | $ | 805,389 | $ | 646,719 | $ | 529,605 | $ | 861,229 | $ | 758,799 | |||||||||||||||||||||||||
Core equity |
$ | 885,742 | $ | 861,229 | $ | 899,022 | $ | 854,377 | $ | 823,217 | $ | 758,799 | $ | 805,389 | $ | 646,719 | $ | 529,605 | $ | 861,229 | $ | 758,799 | |||||||||||||||||||||||||
REIT taxable income to be paid as dividends |
65,331 | 51,213 | 106,716 | 80,166 | 62,218 | 37,291 | 138,982 | 109,790 | 69,263 | 51,213 | 37,291 | ||||||||||||||||||||||||||||||||||||
Adjusted core equity |
$ | 820,411 | $ | 810,016 | $ | 792,306 | $ | 774,211 | $ | 760,999 | $ | 721,508 | $ | 666,407 | $ | 536,929 | $ | 460,342 | $ | 810,016 | $ | 721,508 | |||||||||||||||||||||||||
Shares outstanding at quarter end |
25,382 | 25,133 | 24,764 | 24,647 | 24,514 | 24,154 | 23,346 | 21,511 | 19,796 | 25,133 | 24,154 | ||||||||||||||||||||||||||||||||||||
GAAP equity per share |
$ | 38.11 | $ | 37.20 | $ | 41.03 | $ | 40.24 | $ | 38.67 | $ | 35.78 | $ | 38.63 | $ | 35.24 | $ | 30.72 | $ | 37.20 | $ | 35.78 | |||||||||||||||||||||||||
Core equity per share |
$ | 34.90 | $ | 34.27 | $ | 36.30 | $ | 34.66 | $ | 33.58 | $ | 31.42 | $ | 34.50 | $ | 30.06 | $ | 26.75 | $ | 34.27 | $ | 31.42 | |||||||||||||||||||||||||
Adjusted core equity per share |
$ | 32.32 | $ | 32.23 | $ | 31.99 | $ | 31.41 | $ | 31.03 | $ | 29.86 | $ | 28.55 | $ | 24.96 | $ | 23.25 | $ | 32.23 | $ | 29.86 | |||||||||||||||||||||||||
PROFITABILITY |
|||||||||||||||||||||||||||||||||||||||||||||||
Net interest income (NII) |
$ | 44,747 | $ | 41,150 | $ | 46,870 | $ | 53,208 | $ | 61,199 | $ | 58,007 | $ | 65,279 | $ | 47,620 | $ | 45,260 | $ | 202,427 | $ | 216,166 | |||||||||||||||||||||||||
Net interest income / average core equity |
20 | % | 19 | % | 21 | % | 25 | % | 31 | % | 30 | % | 38 | % | 33 | % | 36 | % | 24 | % | 34 | % | |||||||||||||||||||||||||
Operating expenses (before excise tax and VSOE) |
$ | 11,807 | $ | 12,177 | $ | 10,925 | $ | 10,974 | $ | 10,749 | $ | 7,781 | $ | 8,047 | $ | 8,892 | $ | 8,297 | $ | 44,825 | $ | 33,017 | |||||||||||||||||||||||||
Op exp (before excise tax and VSOE)/NII |
26 | % | 30 | % | 23 | % | 21 | % | 18 | % | 13 | % | 12 | % | 19 | % | 18 | % | 22 | % | 15 | % | |||||||||||||||||||||||||
GAAP net income |
$ | 28,015 | $ | 42,496 | $ | 55,899 | $ | 40,915 | $ | 60,562 | $ | 54,414 | $ | 72,342 | $ | 55,088 | $ | 50,791 | $ | 199,872 | $ | 232,635 | |||||||||||||||||||||||||
GAAP net income/average core equity (adjusted ROE) |
13 | % | 19 | % | 25 | % | 19 | % | 30 | % | 28 | % | 42 | % | 38 | % | 40 | % | 24 | % | 36 | % | |||||||||||||||||||||||||
Core earnings |
$ | 29,885 | $ | 24,596 | $ | 30,967 | $ | 37,872 | $ | 45,466 | $ | 45,565 | $ | 51,969 | $ | 37,029 | $ | 34,783 | $ | 138,901 | $ | 169,346 | |||||||||||||||||||||||||
Core earnings/average core equity |
14 | % | 11 | % | 14 | % | 18 | % | 23 | % | 23 | % | 30 | % | 25 | % | 27 | % | 16 | % | 26 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 8 BV & Profit | A-8 |
One- | Six- | Non | Total | |||||||||||||||||||||||||
Month | Month | Fixed/ | Interest | Liabilities | ||||||||||||||||||||||||
Asset | Asset | LIBOR | LIBOR | Hybrid | Bearing | And | ||||||||||||||||||||||
Type | Amount | Liabilities | Liabilities | Liabilities | Liabilities | Equity | Equity | |||||||||||||||||||||
Cash (unrestricted) |
$ | 85,466 | $ | 85,466 | $ | | $ | | $ | | $ | | $ | 85,466 | ||||||||||||||
One-Month LIBOR |
4,580,605 | 4,580,605 | | | | | 4,580,605 | |||||||||||||||||||||
Six-Month LIBOR |
8,400,168 | | 8,243,073 | | | 157,095 | 8,400,168 | |||||||||||||||||||||
Other ARM |
288,323 | 155,318 | | | | 133,005 | 288,323 | |||||||||||||||||||||
Fixed/Hybrid < 1 yr (1) |
78,263 | | | 73,062 | | 5,201 | 78,263 | |||||||||||||||||||||
Fixed / Hybrid > 1yr |
1,226,123 | | | 792,383 | | 433,740 | 1,226,123 | |||||||||||||||||||||
Non-Earning Assets |
319,794 | | | | 81,502 | 238,292 | 319,794 | |||||||||||||||||||||
Total (2) |
$ | 14,978,742 | $ | 4,821,389 | $ | 8,243,073 | $ | 865,445 | $ | 81,502 | $ | 967,333 | $ | 14,978,742 | ||||||||||||||
(1) | Projected principal receipts on fixed-rate and hybrid assets over the next twelve months. | |
(2) | Includes assets and ABS liabilities of consolidated securitization entities. |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 9 Asset-Liab. | A-9 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q3:2004 | Q2:2004 | Q1:2004 | 2005 | 2004 | |||||||||||||||||||||||||||||||||||||
Average residential real estate loans |
$ | 12,374,811 | $ | 14,627,880 | $ | 17,373,023 | $ | 20,054,970 | $ | 21,640,501 | $ | 21,716,898 | $ | 20,484,287 | $ | 18,754,200 | $ | 16,916,295 | $ | 18,402,001 | $ | 19,476,842 | |||||||||||||||||||||||||
Average residential HELOC |
167,708 | 193,707 | 224,884 | 257,515 | 285,142 | 303,119 | 323,100 | 124,053 | | 240,019 | 188,254 | ||||||||||||||||||||||||||||||||||||
Average residential loan CES |
560,191 | 534,420 | 585,663 | 550,460 | 493,412 | 424,879 | 368,887 | 317,235 | 287,078 | 541,224 | 349,779 | ||||||||||||||||||||||||||||||||||||
Average commercial loan CES |
56,800 | 44,109 | 32,192 | 25,085 | 19,255 | 10,836 | 7,372 | 2,075 | 677 | 30,234 | 5,261 | ||||||||||||||||||||||||||||||||||||
Average commercial real estate loans |
56,777 | 59,049 | 47,703 | 45,214 | 56,080 | 39,836 | 33,461 | 26,129 | 22,316 | 52,008 | 30,469 | ||||||||||||||||||||||||||||||||||||
Average securities portfolio |
1,769,502 | 1,743,808 | 1,687,506 | 1,548,085 | 1,423,487 | 1,267,692 | 1,141,456 | 978,014 | 861,328 | 1,601,837 | 1,062,901 | ||||||||||||||||||||||||||||||||||||
Average cash and cash equivalents |
244,002 | 339,379 | 134,422 | 124,707 | 124,685 | 126,556 | 101,937 | 81,450 | 70,641 | 181,259 | 95,251 | ||||||||||||||||||||||||||||||||||||
Average earning assets |
15,229,791 | 17,542,352 | 20,085,393 | 22,606,036 | 24,042,562 | 23,889,816 | 22,460,500 | 20,283,156 | 18,158,335 | 21,048,582 | 21,208,757 | ||||||||||||||||||||||||||||||||||||
Average other assets |
609,692 | 806,329 | 905,906 | 759,517 | 520,622 | 430,219 | 416,736 | 327,205 | 227,634 | 749,340 | 350,847 | ||||||||||||||||||||||||||||||||||||
Average total assets |
$ | 15,839,483 | $ | 18,348,681 | $ | 20,991,299 | $ | 23,365,553 | $ | 24,563,184 | $ | 24,320,035 | $ | 22,877,236 | $ | 20,610,361 | $ | 18,385,969 | $ | 21,797,922 | $ | 21,559,604 | |||||||||||||||||||||||||
Average Redwood debt |
$ | 137,181 | $ | 253,302 | $ | 297,788 | $ | 216,639 | $ | 277,423 | $ | 348,177 | $ | 404,589 | $ | 539,231 | $ | 447,931 | $ | 261,322 | $ | 434,662 | |||||||||||||||||||||||||
Average asset-backed securities issued |
14,663,134 | 16,941,243 | 19,542,413 | 22,067,276 | 23,324,111 | 22,956,247 | 21,606,164 | 19,350,833 | 17,299,503 | 20,448,735 | 20,313,995 | ||||||||||||||||||||||||||||||||||||
Average total obligations |
14,800,316 | 17,194,545 | 19,840,201 | 22,283,915 | 23,601,534 | 23,304,424 | 22,010,753 | 19,890,064 | 17,747,434 | 20,710,057 | 20,748,657 | ||||||||||||||||||||||||||||||||||||
Average other liabilities |
86,937 | 154,823 | 136,769 | 111,294 | 66,188 | 145,752 | 64,916 | 56,424 | 54,150 | 117,597 | 80,448 | ||||||||||||||||||||||||||||||||||||
Average total liabilities |
14,887,253 | 17,349,368 | 19,976,970 | 22,395,209 | 23,667,722 | 23,450,176 | 22,075,669 | 19,946,488 | 17,801,584 | 20,827,654 | 20,829,105 | ||||||||||||||||||||||||||||||||||||
Average core equity |
877,212 | 880,329 | 880,482 | 840,098 | 794,866 | 776,833 | 695,488 | 583,875 | 506,445 | 849,257 | 641,182 | ||||||||||||||||||||||||||||||||||||
Average balance sheet mark-to-market adjustments |
75,018 | 118,984 | 133,847 | 130,246 | 100,596 | 93,026 | 106,079 | 79,998 | 77,940 | 121,011 | 89,317 | ||||||||||||||||||||||||||||||||||||
Average total equity |
952,230 | 999,313 | 1,014,329 | 970,344 | 895,462 | 869,859 | 801,567 | 663,873 | 584,385 | 970,268 | 730,499 | ||||||||||||||||||||||||||||||||||||
Average total liabilities and equity |
$ | 15,839,483 | $ | 18,348,681 | $ | 20,991,299 | $ | 23,365,553 | $ | 24,563,184 | $ | 24,320,035 | $ | 22,877,236 | $ | 20,610,361 | $ | 18,385,969 | $ | 21,797,922 | $ | 21,559,604 | |||||||||||||||||||||||||
The Redwood Review 1st Quarter 2006 | APPENDIX Table 10 Average Balance Sheet | A-10 |
At period end | For period ended | |||||||||||||||||||||||||||||||||
Unamortized | Unrealized | |||||||||||||||||||||||||||||||||
Premium/ | Credit | Gain / | Net Book | Average | Interest | |||||||||||||||||||||||||||||
Current Face | (Discount) | Protection | (loss) | Value | Balance | Income | Yield | |||||||||||||||||||||||||||
Total Earning
Assets (GAAP) |
Q1: 2004 | 19,595,182 | 47,341 | (252,587 | ) | 87,874 | 19,477,810 | 18,158,336 | 124,837 | 2.75 | % | |||||||||||||||||||||||
Q2: 2004 | 21,975,772 | 57,582 | (272,698 | ) | 91,454 | 21,852,110 | 20,283,156 | 137,979 | 2.72 | % | ||||||||||||||||||||||||
Q3: 2004 | 23,883,198 | 102,744 | (356,371 | ) | 90,818 | 23,720,389 | 22,460,501 | 180,090 | 3.21 | % | ||||||||||||||||||||||||
Q4: 2004 | 24,863,331 | 104,063 | (420,757 | ) | 95,396 | 24,572,723 | 23,889,816 | 205,178 | 3.44 | % | ||||||||||||||||||||||||
2004 | 24,832,026 | 104,063 | (420,757 | ) | 95,396 | 24,572,723 | 21,208,757 | 648,084 | 3.06 | % | ||||||||||||||||||||||||
Q1: 2005 | 24,301,644 | 122,952 | (487,952 | ) | 102,711 | 24,039,355 | 24,042,562 | 237,166 | 3.95 | % | ||||||||||||||||||||||||
Q2: 2005 | 22,414,482 | 103,779 | (522,490 | ) | 133,210 | 22,128,981 | 22,606,036 | 248,388 | 4.40 | % | ||||||||||||||||||||||||
Q3: 2005 | 19,625,979 | 94,058 | (551,562 | ) | 98,874 | 19,267,349 | 20,085,393 | 243,556 | 4.85 | % | ||||||||||||||||||||||||
Q4: 2005 | 16,986,581 | 13,376 | (527,213 | ) | 56,542 | 16,529,286 | 17,542,352 | 230,841 | 5.26 | % | ||||||||||||||||||||||||
2005 | 16,986,581 | 13,376 | (527,213 | ) | 56,542 | 16,529,286 | 21,048,582 | 959,951 | 4.56 | % | ||||||||||||||||||||||||
Q1: 2006 | 15,168,319 | 12,215 | (572,066 | ) | 50,480 | 14,658,948 | 15,229,791 | 225,449 | 5.92 | % | ||||||||||||||||||||||||
Residential Real
Estate Loans
|
Q1: 2004 | 17,950,901 | 154,451 | (18,847 | ) | | 18,086,505 | 16,916,295 | 98,826 | 2.34 | % | |||||||||||||||||||||||
Q2: 2004 | 19,766,481 | 169,174 | (20,080 | ) | | 19,915,575 | 18,754,200 | 109,880 | 2.34 | % | ||||||||||||||||||||||||
Q3: 2004 | 21,381,784 | 197,472 | (21,344 | ) | | 21,557,912 | 20,484,287 | 147,974 | 2.89 | % | ||||||||||||||||||||||||
Q4: 2004 | 22,023,888 | 207,607 | (23,078 | ) | | 22,208,417 | 21,716,898 | 168,831 | 3.11 | % | ||||||||||||||||||||||||
2004 | 22,023,888 | 207,607 | (23,078 | ) | | 22,208,417 | 19,476,842 | 525,511 | 2.70 | % | ||||||||||||||||||||||||
Q1: 2005 | 21,307,080 | 210,375 | (24,231 | ) | | 21,493,224 | 21,640,501 | 194,877 | 3.60 | % | ||||||||||||||||||||||||
Q2: 2005 | 19,202,109 | 203,480 | (22,396 | ) | | 19,383,193 | 20,054,970 | 203,743 | 4.06 | % | ||||||||||||||||||||||||
Q3: 2005 | 16,176,357 | 185,814 | (20,991 | ) | | 16,341,180 | 17,373,023 | 191,914 | 4.42 | % | ||||||||||||||||||||||||
Q4: 2005 | 13,541,402 | 173,299 | (20,868 | ) | | 13,693,833 | 14,627,880 | 175,124 | 4.79 | % | ||||||||||||||||||||||||
2005 | 13,541,402 | 173,299 | (20,868 | ) | | 13,693,833 | 18,402,001 | 765,658 | 4.16 | % | ||||||||||||||||||||||||
Q1: 2006 | 11,686,976 | 161,827 | (21,014 | ) | | 11,827,789 | 12,374,811 | 163,227 | 5.28 | % | ||||||||||||||||||||||||
Home Equity Lines
of Credit |
Q1: 2004 | | | | | | | | 0.00 | % | ||||||||||||||||||||||||
Q2: 2004 | 317,045 | 10,043 | (267 | ) | | 326,821 | 124,053 | 536 | 1.73 | % | ||||||||||||||||||||||||
Q3: 2004 | 308,697 | 9,029 | (531 | ) | | 317,195 | 323,100 | 1,618 | 2.00 | % | ||||||||||||||||||||||||
Q4: 2004 | 288,954 | 8,087 | (693 | ) | | 296,348 | 303,119 | 2,177 | 2.87 | % | ||||||||||||||||||||||||
2004 | 288,954 | 8,087 | (693 | ) | | 296,348 | 188,254 | 4,331 | 2.30 | % | ||||||||||||||||||||||||
Q1: 2005 | 272,591 | 7,477 | (596 | ) | | 279,472 | 285,142 | 2,558 | 3.59 | % | ||||||||||||||||||||||||
Q2: 2005 | 241,278 | 6,657 | (563 | ) | | 247,372 | 257,515 | 2,467 | 3.83 | % | ||||||||||||||||||||||||
Q3: 2005 | 210,476 | 5,699 | (1,038 | ) | | 215,137 | 224,884 | 1,696 | 3.02 | % | ||||||||||||||||||||||||
Q4: 2005 | 177,840 | 4,907 | (1,788 | ) | | 180,959 | 193,707 | 1,475 | 3.05 | % | ||||||||||||||||||||||||
2005 | 177,840 | 4,907 | (1,788 | ) | | 180,959 | 240,019 | 8,196 | 3.41 | % | ||||||||||||||||||||||||
Q1: 2006 | 159,478 | 4,307 | (1,358 | ) | | 162,427 | 167,708 | 2,437 | 5.81 | % |
Redwood Review - 1st Quarter 2006 | APPENDIX Table 11 Balances & Yields | A-11 |
At period end | For period ended | |||||||||||||||||||||||||||||||||
Unamortized | Unrealized | |||||||||||||||||||||||||||||||||
Premium/ | Credit | Gain / | Net Book | Average | Interest | |||||||||||||||||||||||||||||
Current Face | (Discount) | Protection | (loss) | Value | Balance | Income | Yield | |||||||||||||||||||||||||||
Residential Loan
Credit-Enhancement
Securities |
Q1: 2004 | 634,000 | (110,994 | ) | (216,924 | ) | 68,534 | 374,616 | 287,078 | 15,533 | 21.64 | % | ||||||||||||||||||||||
Q2: 2004 | 712,908 | (121,808 | ) | (235,535 | ) | 86,674 | 442,239 | 317,235 | 16,077 | 20.27 | % | |||||||||||||||||||||||
Q3: 2004 | 830,524 | (109,367 | ) | (298,925 | ) | 74,577 | 496,809 | 368,887 | 16,007 | 17.36 | % | |||||||||||||||||||||||
Q4: 2004 | 933,772 | (108,141 | ) | (342,706 | ) | 78,733 | 561,658 | 424,879 | 16,985 | 15.99 | % | |||||||||||||||||||||||
2004 | 933,772 | (108,141 | ) | (342,706 | ) | 78,733 | 561,658 | 349,779 | 64,602 | 18.47 | % | |||||||||||||||||||||||
Q1: 2005 | 978,878 | (89,405 | ) | (365,998 | ) | 87,919 | 611,394 | 493,412 | 19,624 | 15.91 | % | |||||||||||||||||||||||
Q2: 2005 | 1,103,737 | (96,488 | ) | (404,180 | ) | 103,126 | 706,195 | 550,460 | 19,439 | 14.13 | % | |||||||||||||||||||||||
Q3: 2005 | 1,052,813 | (89,429 | ) | (382,862 | ) | 84,279 | 664,801 | 585,663 | 24,368 | 16.64 | % | |||||||||||||||||||||||
Q4: 2005 | 1,035,874 | (126,811 | ) | (354,610 | ) | 58,196 | 612,649 | 534,420 | 23,133 | 17.31 | % | |||||||||||||||||||||||
2005 | 1,035,874 | (126,811 | ) | (354,610 | ) | 58,196 | 612,649 | 541,224 | 86,564 | 15.99 | % | |||||||||||||||||||||||
Q1: 2006 | 1,087,135 | (118,990 | ) | (373,781 | ) | 49,459 | 643,823 | 560,191 | 27,748 | 19.81 | % | |||||||||||||||||||||||
Commercial Loan
Credit-Enhancement
Securities |
Q1: 2004 | 8,175 | 2,053 | (8,175 | ) | 95 | 2,148 | 677 | 35 | 20.68 | % | |||||||||||||||||||||||
Q2: 2004 | 8,175 | 2,084 | (8,175 | ) | 10 | 2,094 | 2,075 | 61 | 11.76 | % | ||||||||||||||||||||||||
Q3: 2004 | 26,930 | 8,456 | (26,930 | ) | 686 | 9,142 | 7,372 | 346 | 18.77 | % | ||||||||||||||||||||||||
Q4: 2004 | 45,639 | 12,883 | (45,639 | ) | 1,615 | 14,498 | 10,836 | 233 | 8.60 | % | ||||||||||||||||||||||||
2004 | 45,639 | 12,883 | (45,639 | ) | 1,615 | 14,498 | 5,261 | 675 | 12.83 | % | ||||||||||||||||||||||||
Q1: 2005 | 88,671 | 25,344 | (88,671 | ) | 3,226 | 28,570 | 19,255 | 356 | 7.40 | % | ||||||||||||||||||||||||
Q2: 2005 | 87,210 | 24,847 | (87,210 | ) | 4,549 | 29,396 | 25,085 | 881 | 14.05 | % | ||||||||||||||||||||||||
Q3: 2005 | 138,530 | 41,127 | (138,530 | ) | 2,413 | 43,540 | 32,192 | 453 | 5.63 | % | ||||||||||||||||||||||||
Q4: 2005 | 175,343 | 19,474 | (141,806 | ) | 4,676 | 57,687 | 44,109 | 923 | 8.37 | % | ||||||||||||||||||||||||
2005 | 175,343 | 19,474 | (141,806 | ) | 4,676 | 57,687 | 30,234 | 2,613 | 8.64 | % | ||||||||||||||||||||||||
Q1: 2006 | 198,681 | 27,700 | (167,772 | ) | 8,039 | 66,648 | 56,800 | 759 | 5.34 | % | ||||||||||||||||||||||||
Commercial Real
Estate Loans |
Q1: 2004 | 31,136 | (318 | ) | (8,641 | ) | | 22,177 | 22,316 | 701 | 12.56 | % | ||||||||||||||||||||||
Q2: 2004 | 43,448 | (1,261 | ) | (8,641 | ) | | 33,546 | 26,129 | 868 | 13.29 | % | |||||||||||||||||||||||
Q3: 2004 | 43,410 | (1,380 | ) | (8,641 | ) | | 33,389 | 33,461 | 1,038 | 12.41 | % | |||||||||||||||||||||||
Q4: 2004 | 65,598 | (2,478 | ) | (8,641 | ) | | 54,479 | 39,836 | 1,162 | 11.67 | % | |||||||||||||||||||||||
2004 | 65,598 | (2,478 | ) | (8,641 | ) | | 54,479 | 30,469 | 3,769 | 12.37 | % | |||||||||||||||||||||||
Q1: 2005 | 67,365 | (2,305 | ) | (8,456 | ) | | 56,604 | 56,080 | 1,587 | 11.32 | % | |||||||||||||||||||||||
Q2: 2005 | 51,778 | (1,843 | ) | (8,141 | ) | | 41,794 | 45,214 | 1,208 | 10.69 | % | |||||||||||||||||||||||
Q3: 2005 | 66,348 | (2,105 | ) | (8,141 | ) | | 56,102 | 47,703 | 1,209 | 10.14 | % | |||||||||||||||||||||||
Q4: 2005 | 70,091 | (2,258 | ) | (8,141 | ) | | 59,692 | 59,049 | 1,281 | 8.68 | % | |||||||||||||||||||||||
2005 | 70,091 | (2,258 | ) | (8,141 | ) | | 59,692 | 52,008 | 5,285 | 10.16 | % | |||||||||||||||||||||||
Q1: 2006 | 65,508 | (2,200 | ) | (8,141 | ) | | 55,167 | 56,777 | 1,238 | 8.72 | % |
Redwood Review - 1st Quarter 2006 | APPENDIX Table 11 Balances & Yields | A-12 |
At period end | For period ended | |||||||||||||||||||||||||||||||||
Unamortized | Unrealized | |||||||||||||||||||||||||||||||||
Premium/ | Credit | Gain / | Net Book | Average | Interest | |||||||||||||||||||||||||||||
Current Face | (Discount) | Protection | (loss) | Value | Balance | Income | Yield | |||||||||||||||||||||||||||
Securities |
Q1: 2004 | 913,104 | 2,149 | | 19,245 | 934,498 | 861,328 | 9,576 | 4.45 | % | ||||||||||||||||||||||||
Q2: 2004 | 1,089,254 | (650 | ) | | 4,770 | 1,093,374 | 978,014 | 10,484 | 4.29 | % | ||||||||||||||||||||||||
Q3: 2004 | 1,215,847 | (1,466 | ) | | 15,555 | 1,229,936 | 1,141,456 | 12,932 | 4.53 | % | ||||||||||||||||||||||||
Q4: 2004 | 1,378,924 | (13,895 | ) | | 15,048 | 1,380,077 | 1,267,692 | 15,282 | 4.82 | % | ||||||||||||||||||||||||
2004 | 1,378,924 | (13,895 | ) | | 15,048 | 1,380,077 | 1,062,901 | 48,274 | 4.54 | % | ||||||||||||||||||||||||
Q1: 2005 | 1,522,345 | (28,534 | ) | | 11,566 | 1,505,377 | 1,423,487 | 17,584 | 4.94 | % | ||||||||||||||||||||||||
Q2: 2005 | 1,656,177 | (32,874 | ) | | 25,535 | 1,648,838 | 1,548,085 | 19,846 | 5.13 | % | ||||||||||||||||||||||||
Q3: 2005 | 1,818,295 | (47,048 | ) | | 12,182 | 1,783,429 | 1,687,506 | 22,926 | 5.43 | % | ||||||||||||||||||||||||
Q4: 2005 | 1,810,146 | (55,235 | ) | | (6,330 | ) | 1,748,581 | 1,743,808 | 26,075 | 5.98 | % | |||||||||||||||||||||||
2005 | 1,810,146 | (55,235 | ) | | (6,330 | ) | 1,748,581 | 1,601,837 | 86,431 | 5.40 | % | |||||||||||||||||||||||
Q1: 2006 | 1,885,075 | (60,429 | ) | | (7,018 | ) | 1,817,628 | 1,769,502 | 27,563 | 6.23 | % | |||||||||||||||||||||||
Cash & Equivalents |
Q1: 2004 | 57,866 | | | | 57,866 | 70,642 | 166 | ||||||||||||||||||||||||||
Q2: 2004 | 38,461 | | | | 38,461 | 81,450 | 73 | |||||||||||||||||||||||||||
Q3: 2004 | 76,006 | | | | 76,006 | 101,938 | 175 | |||||||||||||||||||||||||||
Q4: 2004 | 57,246 | | | | 57,246 | 126,556 | 508 | |||||||||||||||||||||||||||
2004 | 57,246 | | | | 57,246 | 95,251 | 922 | |||||||||||||||||||||||||||
Q1: 2005 | 64,714 | | | | 64,714 | 124,685 | 580 | |||||||||||||||||||||||||||
Q2: 2005 | 72,193 | | | | 72,193 | 124,707 | 804 | |||||||||||||||||||||||||||
Q3: 2005 | 163,160 | | | | 163,160 | 134,422 | 990 | |||||||||||||||||||||||||||
Q4: 2005 | 175,885 | | | | 175,885 | 339,379 | 2,830 | |||||||||||||||||||||||||||
2005 | 175,885 | | | | 175,885 | 181,259 | 5,204 | |||||||||||||||||||||||||||
Q1: 2006 | 85,466 | | | | 85,466 | 244,002 | 2,477 |
Redwood Review - 1st Quarter 2006 | APPENDIX Table 11 Balances & Yields | A-13 |
Discount / | Net Mark-to- | |||||||||||||||||||||||||||||||||
Principal | (Premium) | Credit | Net Charge-offs / | Market | Net Increase / | |||||||||||||||||||||||||||||
Acquisitions | Sales | Payments | Amortization | Provision | (Recoveries) | Adjustment | (Decrease) | |||||||||||||||||||||||||||
Residential Real Estate
Loans (GAAP) |
Q1: 2004 | 2,321,706 | | (460,334 | ) | (11,516 | ) | (2,511 | ) | | | 1,847,345 | ||||||||||||||||||||||
Q2: 2004 | 2,703,443 | | (859,148 | ) | (13,992 | ) | (1,233 | ) | | | 1,829,070 | |||||||||||||||||||||||
Q3: 2004 | 2,898,165 | (112,811 | ) | (1,144,320 | ) | 2,078 | (1,264 | ) | | 489 | 1,642,337 | |||||||||||||||||||||||
Q4: 2004 | 1,791,951 | (865 | ) | (1,132,854 | ) | (5,993 | ) | (1,535 | ) | 176 | (375 | ) | 650,505 | |||||||||||||||||||||
2004 | 9,715,265 | (113,676 | ) | (3,596,656 | ) | (29,423 | ) | (6,543 | ) | 176 | 114 | 5,969,257 | ||||||||||||||||||||||
Q1: 2005 | 832,383 | | (1,539,387 | ) | (7,036 | ) | (1,307 | ) | 154 | | (715,193 | ) | ||||||||||||||||||||||
Q2: 2005 | 426,806 | (3,378 | ) | (2,526,236 | ) | (8,937 | ) | 1,494 | (34 | ) | 254 | (2,110,031 | ) | |||||||||||||||||||||
Q3: 2005 | 332,049 | (263,079 | ) | (3,098,691 | ) | (13,479 | ) | 1,315 | 90 | (218 | ) | (3,042,013 | ) | |||||||||||||||||||||
Q4: 2005 | 271,742 | (240,987 | ) | (2,665,727 | ) | (12,544 | ) | (128 | ) | 250 | 48 | (2,647,346 | ) | |||||||||||||||||||||
2005 | 1,862,980 | (507,444 | ) | (9,830,041 | ) | (41,996 | ) | 1,374 | 460 | 84 | (8,514,583 | ) | ||||||||||||||||||||||
Q1: 2006 | 52,689 | | (1,907,113 | ) | (11,475 | ) | (463 | ) | 425 | | (1,865,937 | ) | ||||||||||||||||||||||
Home Equity Line of Credit |
Q1: 2004 | | | | | | | | | |||||||||||||||||||||||||
Q2: 2004 | 335,044 | | (7,706 | ) | (250 | ) | (267 | ) | | | 326,821 | |||||||||||||||||||||||
Q3: 2004 | | | (8,290 | ) | (1,072 | ) | (264 | ) | | | (9,626 | ) | ||||||||||||||||||||||
Q4: 2004 | | | (19,743 | ) | (942 | ) | (162 | ) | | | (20,847 | ) | ||||||||||||||||||||||
2004 | 335,044 | | (35,739 | ) | (2,264 | ) | (693 | ) | | | 296,348 | |||||||||||||||||||||||
Q1: 2005 | | | (16,365 | ) | (608 | ) | 97 | | | (16,876 | ) | |||||||||||||||||||||||
Q2: 2005 | 127 | | (31,439 | ) | (821 | ) | 33 | | | (32,100 | ) | |||||||||||||||||||||||
Q3: 2005 | | | (30,801 | ) | (959 | ) | (510 | ) | 35 | | (32,235 | ) | ||||||||||||||||||||||
Q4: 2005 | 133 | | (32,773 | ) | (790 | ) | (749 | ) | | | (34,179 | ) | ||||||||||||||||||||||
2005 | 260 | | (111,378 | ) | (3,178 | ) | (1,129 | ) | 35 | | (115,390 | ) | ||||||||||||||||||||||
Q1: 2006 | | | (18,361 | ) | (600 | ) | 322 | 108 | | (18,531 | ) | |||||||||||||||||||||||
Residential Loan
Credit-Enhancement
Securities |
Q1: 2004 | 37,608 | (22,416 | ) | (34,640 | ) | 8,637 | | | 6,700 | (4,111 | ) | ||||||||||||||||||||||
Q2: 2004 | 75,027 | | (46,997 | ) | 8,847 | | | 30,746 | 67,623 | |||||||||||||||||||||||||
Q3: 2004 | 82,918 | | (44,822 | ) | 8,181 | | | 8,293 | 54,570 | |||||||||||||||||||||||||
Q4: 2004 | 72,976 | | (30,900 | ) | 8,443 | | | 14,330 | 64,849 | |||||||||||||||||||||||||
2004 | 268,529 | (22,416 | ) | (157,359 | ) | 34,108 | | | 60,069 | 182,931 | ||||||||||||||||||||||||
Q1: 2005 | 67,809 | (27,293 | ) | (23,932 | ) | 8,727 | | | 24,425 | 49,736 | ||||||||||||||||||||||||
Q2: 2005 | 87,849 | | (20,400 | ) | 7,775 | | | 19,577 | 94,801 | |||||||||||||||||||||||||
Q3: 2005 | 57,481 | (98,775 | ) | (18,403 | ) | 11,193 | | | 7,110 | (41,394 | ) | |||||||||||||||||||||||
Q4: 2005 | 54,664 | (81,292 | ) | (22,468 | ) | 10,456 | | | (13,512 | ) | (52,152 | ) | ||||||||||||||||||||||
2005 | 267,803 | (207,360 | ) | (85,203 | ) | 38,151 | | | 37,600 | 50,991 | ||||||||||||||||||||||||
Q1: 2006 | 52,821 | (9,650 | ) | (17,469 | ) | 13,155 | | | (7,683 | ) | 31,174 |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 12 Portfolio Activity | A-14 |
Discount / | Net Mark-to- | |||||||||||||||||||||||||||||||||
Principal | (Premium) | Credit | Net Charge-offs / | Market | Net Increase / | |||||||||||||||||||||||||||||
Acquisitions | Sales | Payments | Amortization | Provision | (Recoveries) | Adjustment | (Decrease) | |||||||||||||||||||||||||||
Commercial Loan
Credit-Enhancement
Securities |
Q1: 2004 | 2,053 | | | | | | 94 | 2,147 | |||||||||||||||||||||||||
Q2: 2004 | 74 | | | (42 | ) | | | (85 | ) | (53 | ) | |||||||||||||||||||||||
Q3: 2004 | 6,311 | | | 60 | | | 677 | 7,048 | ||||||||||||||||||||||||||
Q4: 2004 | 4,770 | | | (343 | ) | | | 929 | 5,356 | |||||||||||||||||||||||||
2004 | 13,208 | | | (325 | ) | | | 1,615 | 14,498 | |||||||||||||||||||||||||
Q1: 2005 | 12,870 | | | (409 | ) | | | 1,611 | 14,072 | |||||||||||||||||||||||||
Q2: 2005 | | | | (346 | ) | | | 1,173 | 827 | |||||||||||||||||||||||||
Q3: 2005 | 17,182 | | | (902 | ) | | | (2,136 | ) | 14,144 | ||||||||||||||||||||||||
Q4: 2005 | 13,028 | | | (904 | ) | | | 2,022 | 14,146 | |||||||||||||||||||||||||
2005 | 43,080 | | | (2,561 | ) | | | 2,670 | 43,189 | |||||||||||||||||||||||||
Q1: 2006 | 7,496 | | (585 | ) | (1,276 | ) | | | 3,326 | 8,961 | ||||||||||||||||||||||||
Commercial Real Estate
Loans |
Q1: 2004 | | | (45 | ) | (122 | ) | | | (75 | ) | (242 | ) | |||||||||||||||||||||
Q2: 2004 | 17,066 | (2,339 | ) | (3,233 | ) | (102 | ) | | | (23 | ) | 11,369 | ||||||||||||||||||||||
Q3: 2004 | | | (29 | ) | (128 | ) | | | | (157 | ) | |||||||||||||||||||||||
Q4: 2004 | 21,305 | | (83 | ) | (132 | ) | | | | 21,090 | ||||||||||||||||||||||||
2004 | 38,371 | (2,339 | ) | (3,390 | ) | (484 | ) | | | (98 | ) | 32,060 | ||||||||||||||||||||||
Q1: 2005 | 6,732 | | (5,267 | ) | (30 | ) | 185 | | 505 | 2,125 | ||||||||||||||||||||||||
Q2: 2005 | | (11,192 | ) | (3,769 | ) | (99 | ) | | | 250 | (14,810 | ) | ||||||||||||||||||||||
Q3: 2005 | 14,219 | (17 | ) | 158 | (69 | ) | | | 17 | 14,308 | ||||||||||||||||||||||||
Q4: 2005 | 4,248 | | (506 | ) | (152 | ) | | | | 3,590 | ||||||||||||||||||||||||
2005 | 25,199 | (11,209 | ) | (9,384 | ) | (350 | ) | 185 | | 772 | 5,213 | |||||||||||||||||||||||
Q1: 2006 | | | (4,583 | ) | 93 | (35 | ) | | | (4,525 | ) | |||||||||||||||||||||||
Securities |
Q1: 2004 | 84,225 | (142 | ) | (9,807 | ) | (484 | ) | | | 15,993 | 89,785 | ||||||||||||||||||||||
Q2: 2004 | 192,626 | (8,333 | ) | (10,069 | ) | (663 | ) | | | (14,686 | ) | 158,875 | ||||||||||||||||||||||
Q3: 2004 | 144,753 | | (18,489 | ) | (146 | ) | | | 10,444 | 136,562 | ||||||||||||||||||||||||
Q4: 2004 | 176,341 | | (25,189 | ) | 39 | | | (1,050 | ) | 150,141 | ||||||||||||||||||||||||
2004 | 597,945 | (8,475 | ) | (63,554 | ) | (1,254 | ) | | | 10,701 | 535,363 | |||||||||||||||||||||||
Q1: 2005 | 168,337 | (12,362 | ) | (27,070 | ) | 115 | | | (3,720 | ) | 125,300 | |||||||||||||||||||||||
Q2: 2005 | 156,182 | (3,012 | ) | (22,333 | ) | 151 | | | 12,472 | 143,460 | ||||||||||||||||||||||||
Q3: 2005 | 190,160 | | (41,618 | ) | 566 | | | (14,517 | ) | 134,591 | ||||||||||||||||||||||||
Q4: 2005 | 169,736 | (151,620 | ) | (38,005 | ) | 907 | | | (15,865 | ) | (34,847 | ) | ||||||||||||||||||||||
2005 | 684,415 | (166,994 | ) | (129,026 | ) | 1,739 | | | (21,630 | ) | 368,504 | |||||||||||||||||||||||
Q1: 2006 | 103,866 | (3,984 | ) | (27,614 | ) | 650 | | | (3,871 | ) | 69,047 |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 12 Portfolio Activity | A-15 |
Losses To | Redwoods | Total Credit | ||||||||||||||||||||||||||||||||||||||||||||
Internally- | Total Credit | Seriously | Seriously | Securities Junior | Share of Net | Losses As % of | ||||||||||||||||||||||||||||||||||||||||
Underlying | Designated | External Credit | Total Credit | Protection as % | Delinquent | Delinquent Loan | Total Credit | to Redwoods | Charge- | Loans | ||||||||||||||||||||||||||||||||||||
Loans | Credit Reserve | Enhancement | Protection (1) | of Loans | Loans | % | Losses | Interest | offs/(Recoveries) | (Annualized) | ||||||||||||||||||||||||||||||||||||
Total Managed Resi Portfolio |
Q1: 2004 | 89,312,471 | 235,771 | 43,797 | 279,568 | 0.31 | % | 146,055 | 0.16 | % | 103 | | 103 | <0.01 | % | |||||||||||||||||||||||||||||||
Q2: 2004 | 116,871,703 | 255,615 | 70,460 | 326,075 | 0.28 | % | 136,654 | 0.12 | % | 1,781 | 75 | 1,706 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q3: 2004 | 142,967,137 | 320,269 | 69,244 | 389,513 | 0.27 | % | 185,023 | 0.13 | % | 730 | 196 | 534 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q4: 2004 | 148,510,685 | 365,784 | 67,650 | 433,434 | 0.29 | % | 163,554 | 0.11 | % | 689 | | 689 | <0.01 | % | ||||||||||||||||||||||||||||||||
2004 | 148,510,685 | 365,784 | 67,650 | 433,434 | 0.29 | % | 163,554 | 0.11 | % | 3,303 | 271 | 3,032 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2005 | 151,434,189 | 390,229 | 92,467 | 482,696 | 0.32 | % | 217,159 | 0.14 | % | 1,377 | | 1,377 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q2: 2005 | 183,248,239 | 426,576 | 141,970 | 568,546 | 0.31 | % | 245,399 | 0.13 | % | 740 | 196 | 544 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q3: 2005 | 195,243,546 | 403,853 | 134,967 | 538,820 | 0.28 | % | 282,850 | 0.14 | % | 1,812 | 220 | 1,592 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q4: 2005 | 183,727,043 | 375,478 | 140,907 | 516,385 | 0.28 | % | 366,934 | 0.20 | % | 1,175 | | 1,175 | <0.01 | % | ||||||||||||||||||||||||||||||||
2005 | 183,727,043 | 375,478 | 140,907 | 516,385 | 0.28 | % | 366,934 | 0.20 | % | 5,104 | 416 | 4,688 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2006 | 192,386,213 | 394,795 | 128,015 | 522,810 | 0.27 | % | 474,871 | 0.25 | % | 3,002 | | 3,002 | <0.01 | % | ||||||||||||||||||||||||||||||||
Residential Real Estate Loans |
Q1: 2004 | 17,950,901 | 18,847 | | 18,847 | 0.10 | % | 3,439 | 0.02 | % | | | | 0.00 | % | |||||||||||||||||||||||||||||||
Q2: 2004 | 19,766,481 | 20,080 | | 20,080 | 0.10 | % | 5,362 | 0.03 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||
Q3: 2004 | 21,381,784 | 21,344 | | 21,344 | 0.10 | % | 10,785 | 0.05 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||
Q4: 2004 | 22,023,888 | 23,078 | | 23,078 | 0.10 | % | 13,338 | 0.06 | % | 176 | | 176 | <0.01 | % | ||||||||||||||||||||||||||||||||
2004 | 22,023,888 | 23,078 | | 23,078 | 0.10 | % | 13,338 | 0.06 | % | 176 | | 176 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2005 | 21,307,080 | 24,231 | | 24,231 | 0.11 | % | 16,066 | 0.08 | % | 154 | | 154 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q2: 2005 | 19,202,109 | 22,396 | | 22,396 | 0.12 | % | 16,514 | 0.09 | % | (34 | ) | | (34 | ) | 0.00 | % | ||||||||||||||||||||||||||||||
Q3: 2005 | 16,176,357 | 20,991 | | 20,991 | 0.13 | % | 22,956 | 0.14 | % | 90 | | 90 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q4: 2005 | 13,541,402 | 20,868 | | 20,868 | 0.15 | % | 35,748 | 0.26 | % | 251 | | 251 | <0.01 | % | ||||||||||||||||||||||||||||||||
2005 | 13,541,402 | 20,868 | | 20,868 | 0.15 | % | 35,748 | 0.26 | % | 461 | | 461 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2006 | 11,686,976 | 21,014 | | 21,014 | 0.18 | % | 48,677 | 0.42 | % | 425 | | 425 | <0.01 | % | ||||||||||||||||||||||||||||||||
Residential Loan CES |
Q1: 2004 | 71,361,570 | 216,924 | 43,797 | 260,721 | 0.37 | % | 142,616 | 0.20 | % | 103 | | 103 | <0.01 | % | |||||||||||||||||||||||||||||||
Q2: 2004 | 97,105,222 | 235,535 | 70,460 | 305,995 | 0.32 | % | 131,292 | 0.14 | % | 1,781 | 75 | 1,706 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q3: 2004 | 121,585,353 | 298,925 | 69,244 | 368,169 | 0.30 | % | 174,238 | 0.14 | % | 730 | 196 | 534 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q4: 2004 | 126,486,797 | 342,706 | 67,650 | 410,356 | 0.32 | % | 150,216 | 0.12 | % | 513 | | 513 | <0.01 | % | ||||||||||||||||||||||||||||||||
2004 | 126,486,797 | 342,706 | 67,650 | 410,356 | 0.32 | % | 150,216 | 0.12 | % | 3,127 | 271 | 2,856 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2005 | 130,127,109 | 365,998 | 92,467 | 458,465 | 0.35 | % | 201,093 | 0.15 | % | 1,223 | | 1,223 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q2: 2005 | 164,046,130 | 404,180 | 141,970 | 546,150 | 0.33 | % | 228,885 | 0.14 | % | 774 | 196 | 578 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q3: 2005 | 179,067,189 | 382,862 | 134,967 | 517,829 | 0.29 | % | 259,894 | 0.15 | % | 1,722 | 220 | 1,502 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q4: 2005 | 170,185,641 | 354,610 | 140,907 | 495,517 | 0.29 | % | 331,186 | 0.19 | % | 924 | | 924 | <0.01 | % | ||||||||||||||||||||||||||||||||
2005 | 170,185,641 | 354,610 | 140,907 | 495,517 | 0.29 | % | 331,186 | 0.19 | % | 4,643 | 416 | 4,227 | <0.01 | % | ||||||||||||||||||||||||||||||||
Q1: 2006 | 180,699,237 | 373,781 | 128,015 | 501,796 | 0.28 | % | 426,194 | 0.24 | % | 2,577 | | 2,577 | <0.01 | % |
(1) | The credit reserve on residential real estate loans owned is only available to absorb losses on the residential real estate loan portfolio. The internally-designated credit reserves on loans credit enhanced and the external credit enhancement on loans credit enhanced are only available to absorb losses on the residential loan credit-enhancement portfolio. This table excludes the residential home equity lines of credit. |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 13 Residential Credit | A-16 |
Mar. 2006 | Dec. 2005 | Sept. 2005 | Jun. 2005 | Mar. 2005 | Dec. 2004 | Dec. 2003 | |||||||||||||||||||||||||
Residential Loans |
$ | 11,686,976 | $ | 13,541,402 | $ | 16,176,357 | $ | 19,202,109 | $ | 21,307,080 | $ | 22,023,888 | $ | 16,110,748 | |||||||||||||||||
Number of loans |
35,972 | 41,426 | 48,578 | 56,653 | 62,059 | 63,236 | 43,917 | ||||||||||||||||||||||||
Average loan size |
$ | 325 | $ | 327 | $ | 333 | $ | 339 | $ | 343 | $ | 348 | $ | 367 | |||||||||||||||||
Adjustable % |
99 | % | 98 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |||||||||||||||||
Hybrid % |
1 | % | 2 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Fixed % |
0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Negam% |
0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Interest Only% |
99 | % | 99 | % | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |||||||||||||||||
LIBOR 1M % |
27 | % | 27 | % | 26 | % | 25 | % | 24 | % | 24 | % | 23 | % | |||||||||||||||||
LIBOR 6M % |
71 | % | 71 | % | 74 | % | 75 | % | 76 | % | 76 | % | 77 | % | |||||||||||||||||
HYBRID % |
2 | % | 2 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Southern CA |
11 | % | 11 | % | 11 | % | 12 | % | 12 | % | 13 | % | 13 | % | |||||||||||||||||
Northern CA |
10 | % | 12 | % | 11 | % | 12 | % | 12 | % | 13 | % | 12 | % | |||||||||||||||||
Florida |
12 | % | 13 | % | 12 | % | 11 | % | 11 | % | 11 | % | 11 | % | |||||||||||||||||
New York |
6 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 6 | % | |||||||||||||||||
Georgia |
5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | |||||||||||||||||
Texas |
5 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | |||||||||||||||||
New Jersey |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 5 | % | |||||||||||||||||
Arizona |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | |||||||||||||||||
Colorado |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | |||||||||||||||||
Virginia |
3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | |||||||||||||||||
Other states |
36 | % | 35 | % | 36 | % | 36 | % | 35 | % | 35 | % | 33 | % | |||||||||||||||||
Year 2005 origination |
5 | % | 6 | % | 5 | % | 4 | % | 3 | % | 0 | % | 0 | % | |||||||||||||||||
Year 2004 origination |
36 | % | 45 | % | 37 | % | 37 | % | 38 | % | 38 | % | 0 | % | |||||||||||||||||
Year 2003 origination |
40 | % | 27 | % | 39 | % | 40 | % | 40 | % | 42 | % | 66 | % | |||||||||||||||||
Year 2002 origination |
15 | % | 18 | % | 15 | % | 15 | % | 16 | % | 16 | % | 28 | % | |||||||||||||||||
Year 2001 origination or earlier |
4 | % | 5 | % | 4 | % | 4 | % | 4 | % | 4 | % | 6 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 14 Residential Loans | A-17 |
Mar. 2006 | Dec. 2005 | Sept. 2005 | Jun. 2005 | Mar. 2005 | Dec. 2004 | Dec. 2003 | |||||||||||||||||||||||||
Wtg Avg Original LTV |
68 | % | 69 | % | 68 | % | 69 | % | 68 | % | 68 | % | 68 | % | |||||||||||||||||
Wtg Avg Original Effective LTV |
66 | % | 67 | % | 67 | % | 67 | % | 67 | % | 67 | % | 65 | % | |||||||||||||||||
Original LTV: 0% - 20% |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | |||||||||||||||||
Original LTV: 20% - 30% |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Original LTV: 30% - 40% |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 5 | % | |||||||||||||||||
Original LTV: 40% - 50% |
8 | % | 7 | % | 7 | % | 7 | % | 7 | % | 7 | % | 8 | % | |||||||||||||||||
Original LTV: 50% - 60% |
12 | % | 11 | % | 11 | % | 11 | % | 11 | % | 12 | % | 13 | % | |||||||||||||||||
Original LTV: 60% - 70% |
20 | % | 21 | % | 20 | % | 20 | % | 20 | % | 20 | % | 20 | % | |||||||||||||||||
Original LTV: 70% - 75% |
14 | % | 14 | % | 14 | % | 14 | % | 15 | % | 15 | % | 13 | % | |||||||||||||||||
Original LTV: 75% - 80% |
31 | % | 34 | % | 32 | % | 33 | % | 32 | % | 31 | % | 28 | % | |||||||||||||||||
Original LTV: 80% - 90% |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 3 | % | |||||||||||||||||
Original LTV: 90% - 100% |
6 | % | 5 | % | 6 | % | 6 | % | 6 | % | 6 | % | 7 | % | |||||||||||||||||
Wtg Avg FICO |
730 | 731 | 731 | 731 | 731 | 731 | 731 | ||||||||||||||||||||||||
FICO: <= 600 |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | |||||||||||||||||
FICO: 601 -620 |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | |||||||||||||||||
FICO: 621 - 640 |
2 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 2 | % | |||||||||||||||||
FICO: 641 -660 |
3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 4 | % | |||||||||||||||||
FICO: 661 - 680 |
8 | % | 8 | % | 8 | % | 8 | % | 8 | % | 8 | % | 7 | % | |||||||||||||||||
FICO: 681 - 700 |
12 | % | 12 | % | 12 | % | 12 | % | 12 | % | 12 | % | 11 | % | |||||||||||||||||
FICO: 701 - 720 |
14 | % | 15 | % | 14 | % | 14 | % | 14 | % | 14 | % | 14 | % | |||||||||||||||||
FICO: 721 - 740 |
13 | % | 13 | % | 14 | % | 14 | % | 14 | % | 14 | % | 14 | % | |||||||||||||||||
FICO: 741 - 760 |
15 | % | 15 | % | 15 | % | 15 | % | 16 | % | 16 | % | 16 | % | |||||||||||||||||
FICO: 761 - 780 |
17 | % | 17 | % | 17 | % | 17 | % | 17 | % | 17 | % | 17 | % | |||||||||||||||||
FICO: 781 - 800 |
11 | % | 11 | % | 11 | % | 11 | % | 11 | % | 11 | % | 12 | % | |||||||||||||||||
FICO: >= 801 |
3 | % | 3 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Conforming at Origination % |
37 | % | 38 | % | 37 | % | 37 | % | 36 | % | 36 | % | 34 | % | |||||||||||||||||
% balance in loans > $1mm per loan |
14 | % | 13 | % | 14 | % | 13 | % | 13 | % | 14 | % | 16 | % | |||||||||||||||||
2nd Home % |
11 | % | 10 | % | 10 | % | 10 | % | 10 | % | 10 | % | 10 | % | |||||||||||||||||
Investment Home % |
3 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Purchase |
32 | % | 33 | % | 33 | % | 33 | % | 34 | % | 34 | % | 30 | % | |||||||||||||||||
Cash Out Refi |
34 | % | 34 | % | 34 | % | 34 | % | 34 | % | 34 | % | 35 | % | |||||||||||||||||
Rate-Term Refi |
32 | % | 32 | % | 32 | % | 32 | % | 31 | % | 31 | % | 32 | % | |||||||||||||||||
Construction |
0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Other |
1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 2 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 14 Residential Loans | A-18 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q4:2003 | |||||||||||||||||||||||||
First loss position, principal value |
$ | 481,681 | $ | 471,079 | $ | 433,557 | $ | 425,080 | $ | 375,646 | $ | 352,752 | $ | 255,570 | |||||||||||||||||
Second loss position, principal value |
187,268 | 170,928 | 231,837 | 306,145 | 265,639 | 276,720 | 174,592 | ||||||||||||||||||||||||
Third loss position, principal value |
418,186 | 393,867 | 387,419 | 372,512 | 337,593 | 304,300 | 193,530 | ||||||||||||||||||||||||
Total principal value |
$ | 1,087,135 | $ | 1,035,874 | $ | 1,052,813 | $ | 1,103,737 | $ | 978,878 | $ | 933,772 | $ | 623,692 | |||||||||||||||||
First loss position, reported value |
$ | 148,399 | $ | 154,930 | $ | 152,470 | $ | 150,621 | $ | 126,694 | $ | 110,933 | $ | 78,030 | |||||||||||||||||
Second loss position, reported value |
136,088 | 120,690 | 171,398 | 228,737 | 191,962 | 195,536 | 134,225 | ||||||||||||||||||||||||
Third loss position, reported value |
359,336 | 337,029 | 340,933 | 326,837 | 292,738 | 255,189 | 166,472 | ||||||||||||||||||||||||
Total reported value |
$ | 643,823 | $ | 612,649 | $ | 664,801 | $ | 706,195 | $ | 611,394 | $ | 561,658 | $ | 378,727 | |||||||||||||||||
Internal Designated Credit Reserves |
$ | 373,781 | $ | 354,610 | $ | 382,862 | $ | 404,180 | $ | 365,998 | $ | 340,123 | $ | 200,970 | |||||||||||||||||
External Credit Enhancement |
128,015 | 140,907 | 134,967 | 141,970 | 92,467 | 67,650 | 46,476 | ||||||||||||||||||||||||
Total Credit Protection |
$ | 501,796 | $ | 495,517 | $ | 517,829 | $ | 546,150 | $ | 458,465 | $ | 407,773 | $ | 247,446 | |||||||||||||||||
As % of Total Portfolio |
0.28 | % | 0.29 | % | 0.29 | % | 0.33 | % | 0.35 | % | 0.32 | % | 0.36 | % | |||||||||||||||||
Underlying Residential Real Estate Loans |
$ | 180,699,237 | $ | 170,185,641 | $ | 179,067,189 | $ | 164,046,130 | $ | 130,127,109 | $ | 126,486,797 | $ | 68,133,175 | |||||||||||||||||
Number of credit-enhanced loans |
515,939 | 500,907 | 527,048 | 492,513 | 343,928 | 332,130 | 150,031 | ||||||||||||||||||||||||
Average loan size |
$ | 350 | $ | 340 | $ | 340 | $ | 333 | $ | 378 | $ | 381 | $ | 454 | |||||||||||||||||
Adjustable % |
5 | % | 6 | % | 7 | % | 7 | % | 9 | % | 9 | % | 8 | % | |||||||||||||||||
Negam % |
23 | % | 24 | % | 18 | % | 18 | % | 18 | % | 17 | % | 12 | % | |||||||||||||||||
Hybrid % |
35 | % | 32 | % | 32 | % | 30 | % | 28 | % | 28 | % | 42 | % | |||||||||||||||||
Fixed % |
36 | % | 38 | % | 43 | % | 45 | % | 45 | % | 46 | % | 38 | % | |||||||||||||||||
Interest Only % |
21 | % | 24 | % | 24 | % | 23 | % | 24 | % | 24 | % | 25 | % | |||||||||||||||||
Southern California |
25 | % | 25 | % | 24 | % | 24 | % | 23 | % | 22 | % | 24 | % | |||||||||||||||||
Northern California |
23 | % | 21 | % | 20 | % | 20 | % | 20 | % | 19 | % | 23 | % | |||||||||||||||||
Florida |
6 | % | 6 | % | 5 | % | 5 | % | 5 | % | 6 | % | 4 | % | |||||||||||||||||
New York |
5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | 5 | % | |||||||||||||||||
Virginia |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | |||||||||||||||||
New Jersey |
3 | % | 3 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | |||||||||||||||||
Texas |
3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | |||||||||||||||||
Illinois |
3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | |||||||||||||||||
Other states (none greater than 3%) |
28 | % | 30 | % | 32 | % | 32 | % | 33 | % | 34 | % | 30 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 15 Residential CES | A-19 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q4:2003 | |||||||||||||||||||||||||
Year 2006 origination |
1 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Year 2005 origination |
28 | % | 24 | % | 15 | % | 14 | % | 6 | % | 0 | % | 0 | % | |||||||||||||||||
Year 2004 origination |
29 | % | 34 | % | 41 | % | 50 | % | 54 | % | 55 | % | 0 | % | |||||||||||||||||
Year 2003 origination |
30 | % | 33 | % | 35 | % | 26 | % | 29 | % | 32 | % | 64 | % | |||||||||||||||||
Year 2002 origination |
7 | % | 6 | % | 6 | % | 5 | % | 6 | % | 7 | % | 19 | % | |||||||||||||||||
Year 2001 origination |
3 | % | 2 | % | 2 | % | 2 | % | 2 | % | 3 | % | 9 | % | |||||||||||||||||
Year 2000 origination |
0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 1 | % | |||||||||||||||||
Year 1999 origination |
1 | % | 0 | % | 0 | % | 0 | % | 0 | % | 1 | % | 2 | % | |||||||||||||||||
Year 1998 or earlier origination |
1 | % | 1 | % | 1 | % | 1 | % | 2 | % | 2 | % | 5 | % | |||||||||||||||||
Wtg Avg Original LTV |
68 | % | 68 | % | 68 | % | 68 | % | 68 | % | 68 | % | 67 | % | |||||||||||||||||
Original LTV: 0% - 20% |
1 | % | 1 | % | 1 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Original LTV: 20% - 30% |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Original LTV: 30% - 40% |
3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 3 | % | 4 | % | |||||||||||||||||
Original LTV: 40% - 50% |
7 | % | 8 | % | 8 | % | 8 | % | 8 | % | 8 | % | 8 | % | |||||||||||||||||
Original LTV: 50% - 60% |
12 | % | 12 | % | 12 | % | 12 | % | 12 | % | 12 | % | 13 | % | |||||||||||||||||
Original LTV: 60% - 70% |
22 | % | 22 | % | 22 | % | 23 | % | 23 | % | 23 | % | 23 | % | |||||||||||||||||
Original LTV: 70% - 75% |
15 | % | 15 | % | 15 | % | 15 | % | 15 | % | 15 | % | 15 | % | |||||||||||||||||
Original LTV: 75% - 80% |
34 | % | 34 | % | 34 | % | 33 | % | 34 | % | 33 | % | 31 | % | |||||||||||||||||
Original LTV: 80% - 90% |
3 | % | 2 | % | 2 | % | 3 | % | 3 | % | 3 | % | 3 | % | |||||||||||||||||
Original LTV: 90% - 100% |
2 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | 1 | % | |||||||||||||||||
Wtg Avg FICO |
731 | 732 | 732 | 731 | 730 | 730 | 732 | ||||||||||||||||||||||||
FICO: <= 600 |
1 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
FICO: 601 -620 |
1 | % | 1 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
FICO: 621 - 640 |
2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
FICO: 641 -660 |
4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 4 | % | 3 | % | |||||||||||||||||
FICO: 661 - 680 |
7 | % | 7 | % | 7 | % | 7 | % | 7 | % | 7 | % | 6 | % | |||||||||||||||||
FICO: 681 - 700 |
11 | % | 11 | % | 11 | % | 11 | % | 11 | % | 11 | % | 10 | % | |||||||||||||||||
FICO: 701 - 720 |
13 | % | 13 | % | 13 | % | 13 | % | 13 | % | 13 | % | 13 | % | |||||||||||||||||
FICO: 721 - 740 |
14 | % | 13 | % | 14 | % | 14 | % | 14 | % | 14 | % | 14 | % | |||||||||||||||||
FICO: 741 - 760 |
15 | % | 15 | % | 15 | % | 15 | % | 16 | % | 16 | % | 16 | % | |||||||||||||||||
FICO: 761 - 780 |
16 | % | 17 | % | 17 | % | 17 | % | 17 | % | 17 | % | 17 | % | |||||||||||||||||
FICO: 781 - 800 |
12 | % | 12 | % | 12 | % | 12 | % | 11 | % | 11 | % | 11 | % | |||||||||||||||||
FICO: >= 801 |
3 | % | 3 | % | 3 | % | 3 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Unknown |
3 | % | 2 | % | 2 | % | 2 | % | 2 | % | 2 | % | 5 | % | |||||||||||||||||
Conforming at Origination % |
25 | % | 25 | % | 23 | % | 22 | % | 20 | % | 17 | % | 9 | % | |||||||||||||||||
% balance in loans > $1mm per loan |
8 | % | 8 | % | 6 | % | 6 | % | 6 | % | 5 | % | 8 | % | |||||||||||||||||
2nd Home % |
6 | % | 6 | % | 6 | % | 5 | % | 5 | % | 5 | % | 5 | % | |||||||||||||||||
Investment Home % |
3 | % | 3 | % | 2 | % | 3 | % | 2 | % | 2 | % | 2 | % | |||||||||||||||||
Purchase |
37 | % | 36 | % | 36 | % | 35 | % | 36 | % | 34 | % | 31 | % | |||||||||||||||||
Cash Out Refi |
29 | % | 29 | % | 27 | % | 26 | % | 26 | % | 26 | % | 23 | % | |||||||||||||||||
Rate-Term Refi |
33 | % | 34 | % | 36 | % | 38 | % | 38 | % | 40 | % | 45 | % | |||||||||||||||||
Construction |
0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | |||||||||||||||||
Other |
0 | % | 0 | % | 0 | % | 1 | % | 0 | % | 0 | % | 1 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 15 Residential CES | A-20 |
Q1:2006 | Q4:2005 | Q3:2005 | Q2:2005 | Q1:2005 | Q4:2004 | Q4:2003 | |||||||||||||||||||||||||
Commercial Mortgage Loans |
$ | 55,167 | $ | 59,692 | $ | 56,102 | $ | 41,794 | $ | 56,604 | $ | 54,479 | $ | 22,419 | |||||||||||||||||
Number of Loans |
12 | 13 | 12 | 9 | 12 | 9 | 9 | ||||||||||||||||||||||||
Average Loan Size |
$ | 4,597 | $ | 4,592 | $ | 4,675 | $ | 4,644 | $ | 4,717 | $ | 6,053 | $ | 2,491 | |||||||||||||||||
Serious Delinquency |
| | | | | | | ||||||||||||||||||||||||
Realized Credit losses |
| | | | | | | ||||||||||||||||||||||||
California % |
19 | % | 25 | % | 28 | % | 37 | % | 42 | % | 44 | % | 65 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 16 Commercial Loans | A-21 |
Losses To | ||||||||||||||||||||||||||||||||||||||||||||||||
Internally- | Securities | Redwoods | Total Credit | |||||||||||||||||||||||||||||||||||||||||||||
Designated | Total Credit | Seriously | Seriously | Junior to | Share of Net | Losses As % | ||||||||||||||||||||||||||||||||||||||||||
Underlying | Credit | External Credit | Total Credit | Protection as | Delinquent | Delinquent | Total Credit | Redwoods | Charge-offs/ | of Loans | ||||||||||||||||||||||||||||||||||||||
Loans (1) | Securities | Enhancement | Protection (2) | % of Loans | Loans | Loan % | Losses | Interest | (Recoveries) | (Annualized) | ||||||||||||||||||||||||||||||||||||||
Total Managed Commercial Portfolio | Q1: 2004 |
1,355,451 | 16,816 | | 16,816 | 1.24 | % | | 0.00 | % | | | | 0.00 | % | |||||||||||||||||||||||||||||||||
Q2: 2004 |
1,365,536 | 16,816 | | 16,816 | 1.23 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
Q3: 2004 |
22,285,400 | 35,571 | 1,655,482 | 1,691,053 | 7.59 | % | 389,611 | 1.75 | % | 1,351 | 1,351 | | 0.02 | % | ||||||||||||||||||||||||||||||||||
Q4: 2004 |
26,139,083 | 54,280 | 1,633,055 | 1,687,335 | 6.46 | % | 362,956 | 1.39 | % | 5,135 | 4,959 | 176 | 0.08 | % | ||||||||||||||||||||||||||||||||||
2004 |
26,139,083 | 54,280 | 1,633,055 | 1,687,335 | 6.46 | % | 362,956 | 1.39 | % | 6,486 | 6,310 | 176 | 0.02 | % | ||||||||||||||||||||||||||||||||||
Q1: 2005 |
30,996,417 | 97,127 | 1,610,628 | 1,707,755 | 5.51 | % | 288,581 | 0.93 | % | 45,808 | 45,493 | 315 | 0.59 | % | ||||||||||||||||||||||||||||||||||
Q2: 2005 |
31,293,511 | 95,351 | 1,588,200 | 1,683,551 | 5.38 | % | 254,503 | 0.81 | % | 19,622 | 18,161 | 1,461 | 0.25 | % | ||||||||||||||||||||||||||||||||||
Q3: 2005 |
39,368,505 | 146,671 | 1,565,773 | 1,712,444 | 4.35 | % | 267,612 | 0.68 | % | 1,043 | 1,040 | 3 | 0.01 | % | ||||||||||||||||||||||||||||||||||
Q4: 2005 |
43,018,611 | 149,947 | 1,603,266 | 1,753,213 | 4.08 | % | 284,954 | 0.66 | % | 14,365 | 14,397 | (32 | ) | 0.13 | % | |||||||||||||||||||||||||||||||||
2005 |
43,018,611 | 149,947 | 1,603,266 | 1,753,213 | 4.08 | % | 284,954 | 0.66 | % | 80,838 | 79,091 | 1,747 | 0.19 | % | ||||||||||||||||||||||||||||||||||
Q1: 2006 |
44,638,811 | 175,913 | 1,573,585 | 1,749,498 | 3.92 | % | 242,667 | 0.54 | % | 5,084 | 5,047 | 37 | 0.05 | % | ||||||||||||||||||||||||||||||||||
Commercial Real Estate Loans | Q1: 2004 |
31,136 | 8,641 | | 8,641 | 27.75 | % | | 0.00 | % | | | | 0.00 | % | |||||||||||||||||||||||||||||||||
Q2: 2004 |
43,448 | 8,641 | | 8,641 | 19.89 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
Q3: 2004 |
43,410 | 8,641 | | 8,641 | 19.91 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
Q4: 2004 |
65,598 | 8,641 | | 8,641 | 13.17 | % | | 0.00 | % | 176 | | 176 | 1.07 | % | ||||||||||||||||||||||||||||||||||
2004 |
65,598 | 8,641 | | 8,641 | 13.17 | % | | 0.00 | % | 176 | | 176 | 0.27 | % | ||||||||||||||||||||||||||||||||||
Q1: 2005 |
67,365 | 8,456 | | 8,456 | 12.55 | % | | 0.00 | % | 315 | | 315 | 1.87 | % | ||||||||||||||||||||||||||||||||||
Q2: 2005 |
51,778 | 8,141 | | 8,141 | 15.72 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
Q3: 2005 |
66,348 | 8,141 | | 8,141 | 12.27 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
Q4: 2005 |
70,091 | 8,141 | | 8,141 | 11.61 | % | | 0.00 | % | | | | 0.00 | % | ||||||||||||||||||||||||||||||||||
2005 |
70,091 | 8,141 | | 8,141 | 11.61 | % | | 0.00 | % | 315 | | 315 | 0.45 | % | ||||||||||||||||||||||||||||||||||
Q1: 2006 |
65,508 | 8,141 | | 8,141 | 12.43 | % | | 0.00 | % | 35 | | 35 | 0.21 | % | ||||||||||||||||||||||||||||||||||
Commercial Loan Credit- | Q1: 2004 |
1,324,315 | 8,175 | | 8,175 | 0.62 | % | | 0.00 | % | | | | 0.00 | % | |||||||||||||||||||||||||||||||||
Enhancement Securities | Q2: 2004 |
1,322,088 | 8,175 | | 8,175 | 0.62 | % | | 0.00 | % | | | | 0.00 | % | |||||||||||||||||||||||||||||||||
Q3: 2004 |
22,241,990 | 26,930 | 1,655,482 | 1,682,412 | 7.56 | % | 389,611 | 1.75 | % | 1,351 | 1,351 | | 0.02 | % | ||||||||||||||||||||||||||||||||||
Q4: 2004 |
26,073,485 | 45,639 | 1,633,055 | 1,678,694 | 6.44 | % | 362,956 | 1.39 | % | 4,959 | 4,959 | | 0.08 | % | ||||||||||||||||||||||||||||||||||
2004 |
26,073,485 | 45,639 | 1,633,055 | 1,678,694 | 6.44 | % | 362,956 | 1.39 | % | 6,310 | 6,310 | | 0.02 | % | ||||||||||||||||||||||||||||||||||
Q1: 2005 |
30,929,052 | 88,671 | 1,610,628 | 1,699,299 | 5.49 | % | 288,581 | 0.93 | % | 45,493 | 45,493 | | 0.59 | % | ||||||||||||||||||||||||||||||||||
Q2: 2005 |
31,241,733 | 87,210 | 1,588,200 | 1,675,410 | 5.36 | % | 254,503 | 0.81 | % | 19,622 | 18,161 | 1,461 | 0.25 | % | ||||||||||||||||||||||||||||||||||
Q3: 2005 |
39,302,157 | 138,530 | 1,565,773 | 1,704,303 | 4.34 | % | 267,612 | 0.68 | % | 1,043 | 1,040 | 3 | 0.01 | % | ||||||||||||||||||||||||||||||||||
Q4: 2005 |
42,948,520 | 141,806 | 1,603,266 | 1,745,072 | 4.06 | % | 284,954 | 0.66 | % | 14,365 | 14,397 | (32 | ) | 0.13 | % | |||||||||||||||||||||||||||||||||
2005 |
42,948,520 | 141,806 | 1,603,266 | 1,745,072 | 4.06 | % | 284,954 | 0.66 | % | 80,523 | 79,091 | 1,432 | 0.19 | % | ||||||||||||||||||||||||||||||||||
Q1: 2006 |
44,573,303 | 167,772 | 1,573,585 | 1,741,357 | 3.91 | % | 242,667 | 0.54 | % | 5,049 | 5,047 | 2 | 0.05 | % |
(1) | At March 31, 2006, we credit-enhanced $45 billion of commercial loans through our investments in commercial loan credit-enhancement securities. This includes $17 billion of commercial real estate loans credit enhanced through our interests in a CMBS re-REMIC, and $28 billion of commercial real estate loans credit enhanced through the ownership of first-loss CMBS securities. | |
(2) | The credit reserve on commercial real estate loans owned is only available to absorb losses on the commercial real estate loan portfolio. The internally-designated credit reserves on commercial loans credit enhanced and the external credit enhancement on commercial loans credit enhanced are only available to absorb losses on the commercial loan credit-enhancement portfolio. |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 17 Commercial Credit | A-22 |
Mar. 2006 | Dec. 2005 | Sep. 2005 | Jun. 2005 | Mar. 2005 | Dec. 2004 | Dec. 2003 | |||||||||||||||||||||||||
Underlying Commercial Real Estate Loans |
$ | 27,999,540 | $ | 25,881,564 | $ | 20,906,898 | $ | 12,492,337 | $ | 11,498,141 | $ | 5,859,585 | $ | 0 | |||||||||||||||||
Number of credit-enhanced loans |
1,977 | 1,857 | 1,428 | 801 | 717 | 392 | | ||||||||||||||||||||||||
Average loan size |
$ | 14,163 | $ | 13,937 | $ | 14,640 | $ | 15,595 | $ | 16,036 | $ | 14,948 | $ | 0 | |||||||||||||||||
State Distribution |
|||||||||||||||||||||||||||||||
CA |
17 | % | 16 | % | 17 | % | 17 | % | 17 | % | 18 | % | 0 | % | |||||||||||||||||
NY |
14 | % | 14 | % | 14 | % | 15 | % | 14 | % | 10 | % | 0 | % | |||||||||||||||||
TX |
8 | % | 8 | % | 8 | % | 10 | % | 9 | % | 8 | % | 0 | % | |||||||||||||||||
FL |
7 | % | 7 | % | 3 | % | 2 | % | 2 | % | 2 | % | 0 | % | |||||||||||||||||
VA |
5 | % | 5 | % | 4 | % | 1 | % | 1 | % | 2 | % | 0 | % | |||||||||||||||||
Other |
49 | % | 50 | % | 54 | % | 55 | % | 57 | % | 60 | % | 0 | % | |||||||||||||||||
Property Type Distribution |
|||||||||||||||||||||||||||||||
Office |
37 | % | 37 | % | 40 | % | 45 | % | 44 | % | 42 | % | 0 | % | |||||||||||||||||
Retail |
30 | % | 31 | % | 32 | % | 34 | % | 33 | % | 31 | % | 0 | % | |||||||||||||||||
Multi-Family |
15 | % | 13 | % | 11 | % | 9 | % | 10 | % | 12 | % | 0 | % | |||||||||||||||||
Hotel |
7 | % | 7 | % | 6 | % | 6 | % | 8 | % | 6 | % | 0 | % | |||||||||||||||||
Self-Storage |
4 | % | 4 | % | 3 | % | 2 | % | 2 | % | 2 | % | 0 | % | |||||||||||||||||
Industrial |
3 | % | 2 | % | 3 | % | 2 | % | 1 | % | 2 | % | 0 | % | |||||||||||||||||
Other |
4 | % | 6 | % | 5 | % | 2 | % | 3 | % | 4 | % | 0 | % | |||||||||||||||||
Weighted Average Current LTV |
69 | % | 68 | % | 69 | % | 67 | % | 68 | % | 67 | % | 0 | % | |||||||||||||||||
Weighted Average Debt Service Coverage Ratio |
1.63 | 1.66 | 1.67 | 1.73 | 1.71 | 1.79 | |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 18 Commercial CES | A-23 |
RATING | ||||||||||||||||||||||||||||||||
Total | AAA | AA | A | BBB | BB | B | Unrated | |||||||||||||||||||||||||
Commercial Real Estate |
$ | 317,551 | $ | 10,730 | $ | 1,936 | $ | 19,441 | $ | 125,902 | $ | 130,472 | $ | 29,070 | $ | | ||||||||||||||||
Residential Prime |
756,142 | 40,156 | 260,807 | 210,470 | 244,709 | | | | ||||||||||||||||||||||||
Residential Subprime |
442,197 | 5,012 | 86,149 | 291,474 | 59,562 | | | | ||||||||||||||||||||||||
Residential Second Lien |
99,950 | 2,906 | 46,673 | 45,324 | 5,047 | | | | ||||||||||||||||||||||||
REIT Corporate Debt |
31,053 | | | | 23,068 | 7,985 | | | ||||||||||||||||||||||||
Real Estate CDOs |
170,735 | 44,019 | 28,207 | 36,569 | 46,396 | 14,188 | | 1,356 | ||||||||||||||||||||||||
Total Securities Portfolio |
$ | 1,817,628 | $ | 102,823 | $ | 423,772 | $ | 603,278 | $ | 504,684 | $ | 152,645 | $ | 29,070 | $ | 1,356 | ||||||||||||||||
The Redwood Review 1st Quarter 2006 | APPENDIX Table 19 Securities Portfolio | A-24 |
Principal | Interest | |||||||||||||||||||||||||||||||
Original | Estimated | Outstanding At | Rate At | |||||||||||||||||||||||||||||
Sequoia | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||||||||||
ABS Issued (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||||||||||
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 | Called | | NM | ||||||||||||||||||||||||
Sequoia 2 A2 |
AAA | 11/06/97 | 156,600 | 1m LIBOR | 2029 | Called | | NM | ||||||||||||||||||||||||
Sequoia 3 A1 |
AAA | 06/26/98 | 225,459 | Fixed to 12/02 | 2028 | Retired | | NM | ||||||||||||||||||||||||
Sequoia 3 A2 |
AAA | 06/26/98 | 95,000 | Fixed to 12/02 | 2028 | Retired | | NM | ||||||||||||||||||||||||
Sequoia 3 A3 |
AAA | 06/26/98 | 164,200 | Fixed to 12/02 | 2028 | Retired | | NM | ||||||||||||||||||||||||
Sequoia 3 A4 |
AAA | 06/26/98 | 121,923 | 1m LIBOR | 2028 | Called | | NM | ||||||||||||||||||||||||
Sequoia 3 M1 |
AA/AAA | 06/26/98 | 16,127 | 1m LIBOR | 2028 | Called | | NM | ||||||||||||||||||||||||
Sequoia 3 M2 |
A/AA | 06/26/98 | 7,741 | 1m LIBOR | 2028 | Called | | NM | ||||||||||||||||||||||||
Sequoia 3 M3 |
BBB/A | 06/26/98 | 4,838 | 1m LIBOR | 2028 | Called | | NM | ||||||||||||||||||||||||
Sequoia 1A A1 |
AAA | 05/04/99 | 157,266 | 1m LIBOR | 2028 | Called | | NM | ||||||||||||||||||||||||
Sequoia 4 A |
AAA | 03/21/00 | 377,119 | 1m LIBOR | 2024 | 2006 | 97,618 | 5.15 | % | |||||||||||||||||||||||
Sequoia 5 A |
AAA | 10/29/01 | 496,667 | 1m LIBOR | 2026 | 2007 | 153,328 | 5.13 | % | |||||||||||||||||||||||
Sequoia 5 B1 |
AA | 10/29/01 | 5,918 | 1m LIBOR | 2026 | 2007 | 3,987 | 5.58 | % | |||||||||||||||||||||||
Sequoia 5 B2 |
A | 10/29/01 | 5,146 | 1m LIBOR | 2026 | 2007 | 3,467 | 5.58 | % | |||||||||||||||||||||||
Sequoia 5 B3 |
BBB | 10/29/01 | 2,316 | 1m LIBOR | 2026 | 2007 | 1,560 | 5.58 | % | |||||||||||||||||||||||
Sequoia 6A |
AAA | 04/26/02 | 496,378 | 1m LIBOR | 2027 | 2007 | 168,294 | 5.10 | % | |||||||||||||||||||||||
Sequoia 6B1 |
AA | 04/26/02 | 5,915 | 1m LIBOR | 2027 | 2007 | 4,368 | 5.48 | % | |||||||||||||||||||||||
Sequoia 6B2 |
A | 11/17/05 | 2,315 | 1m LIBOR | 2027 | 2007 | 3,798 | 5.48 | % | |||||||||||||||||||||||
Sequoia 6B3 |
BBB | 11/17/05 | 1,534 | 1m LIBOR | 2027 | 2007 | 1,709 | 5.48 | % | |||||||||||||||||||||||
Sequoia 7A |
AAA | 05/29/02 | 554,686 | 1m LIBOR | 2032 | 2006 | 144,936 | 5.12 | % | |||||||||||||||||||||||
Sequoia 7B1 |
AA | 05/29/02 | 8,080 | 1m LIBOR | 2032 | 2006 | 4,563 | 5.53 | % | |||||||||||||||||||||||
Sequoia 7B2 |
A | 11/17/05 | 5,771 | 1m LIBOR | 2032 | 2006 | 3,259 | 5.82 | % | |||||||||||||||||||||||
Sequoia 7B3 |
BBB | 11/17/05 | 3,463 | 1m LIBOR | 2032 | 2006 | 1,956 | 5.82 | % | |||||||||||||||||||||||
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 | 2006 | 4,875 | 6.02 | % | |||||||||||||||||||||||
Sequoia 8 2A |
AAA | 07/30/02 | 463,097 | 1m LIBOR | 2032 | 2006 | 155,405 | 5.08 | % | |||||||||||||||||||||||
Sequoia 8 3A |
AAA | 07/30/02 | 49,973 | 6m LIBOR | 2032 | 2006 | 7,512 | 6.20 | % | |||||||||||||||||||||||
Sequoia 8 B1 |
AA | 07/30/02 | 9,069 | 1m LIBOR | 2032 | 2006 | 5,574 | 5.45 | % | |||||||||||||||||||||||
Sequoia 8 B2 |
A | 11/17/05 | 5,505 | 1m LIBOR | 2032 | 2006 | 3,384 | 5.70 | % | |||||||||||||||||||||||
Sequoia 8 B3 |
BBB | 11/17/05 | 3,886 | 1m LIBOR | 2032 | 2006 | 2,388 | 5.70 | % | |||||||||||||||||||||||
Sequoia 9 1A |
AAA | 08/28/02 | 381,689 | 1m LIBOR | 2032 | 2008 | 125,571 | 5.13 | % | |||||||||||||||||||||||
Sequoia 9 2A |
AAA | 08/28/02 | 168,875 | 1m LIBOR | 2032 | 2008 | 28,814 | 6.22 | % | |||||||||||||||||||||||
Sequoia 9 B1 |
AA | 08/28/02 | 7,702 | 1m LIBOR | 2032 | 2008 | 4,783 | 5.53 | % | |||||||||||||||||||||||
Sequoia 10 1A |
AAA | 09/26/02 | 822,375 | 1m LIBOR | 2027 | 2008 | 305,316 | 5.18 | % | |||||||||||||||||||||||
Sequoia 10 2A-1 |
AAA | 09/26/02 | 190,000 | 1m LIBOR | 2027 | 2008 | 67,545 | 5.16 | % | |||||||||||||||||||||||
Sequoia 10 2A-2 |
AAA | 09/26/02 | 3,500 | 1m LIBOR | 2027 | 2008 | 2,613 | 5.46 | % | |||||||||||||||||||||||
Sequoia 10 B1 |
AA | 09/26/02 | 12,600 | 1m LIBOR | 2027 | 2008 | 9,971 | 5.58 | % | |||||||||||||||||||||||
Sequoia 10 B2 |
A | 09/26/02 | 8,400 | 1m LIBOR | 2027 | 2008 | 6,647 | 5.58 | % | |||||||||||||||||||||||
Sequoia 10 B3 |
BBB | 09/26/02 | 4,725 | 1m LIBOR | 2027 | 2008 | 3,739 | 6.18 | % | |||||||||||||||||||||||
Sequoia 11 A |
AAA | 10/30/02 | 695,210 | 1m LIBOR | 2032 | 2008 | 219,685 | 5.23 | % | |||||||||||||||||||||||
Sequoia 11 B1 |
AA | 10/30/02 | 9,726 | 1m LIBOR | 2032 | 2008 | 7,095 | 5.75 | % | |||||||||||||||||||||||
Sequoia 12 A |
AAA | 12/19/02 | 1,080,076 | 1m LIBOR | 2033 | 2007 | 337,757 | 4.82 | % | |||||||||||||||||||||||
Sequoia 12 B1 |
AA | 12/19/02 | 16,815 | 1m LIBOR | 2033 | 2007 | 12,434 | 5.22 | % | |||||||||||||||||||||||
Sequoia 2003-1 A1 |
AAA | 02/27/03 | 798,206 | 1m LIBOR | 2033 | 2007 | 271,692 | 5.16 | % | |||||||||||||||||||||||
Sequoia 2003-1 A2 |
AAA | 02/27/03 | 190,000 | 6m LIBOR | 2033 | 2007 | 54,188 | 5.34 | % | |||||||||||||||||||||||
Sequoia 2003-1 B1 |
AA | 02/27/03 | 15,905 | 1m LIBOR | 2033 | 2007 | 13,202 | 5.66 | % | |||||||||||||||||||||||
Sequoia 2003-1 B2 |
A | 02/27/03 | 8,210 | Pass Through | 2033 | 2007 | 6,815 | 5.84 | % | |||||||||||||||||||||||
Sequoia 2003-2 A1 |
AAA | 04/29/03 | 500,000 | 1m LIBOR | 2022 | 2007 | 189,881 | 5.11 | % | |||||||||||||||||||||||
Sequoia 2003-2 A2 |
AAA | 04/29/03 | 303,600 | 6m LIBOR | 2022 | 2007 | 104,414 | 4.70 | % | |||||||||||||||||||||||
Sequoia 2003-2 M1 |
AA | 04/29/03 | 11,480 | 1m LIBOR | 2016 | 2007 | 11,480 | 5.43 | % | |||||||||||||||||||||||
Sequoia 2003-3 A1 |
AAA | 06/26/03 | 379,455 | 1m LIBOR | 2023 | 2007 | 133,057 | 5.11 | % | |||||||||||||||||||||||
Sequoia 2003-3 A2 |
AAA | 06/26/03 | 149,922 | 6m LIBOR | 2023 | 2007 | 43,095 | 5.02 | % | |||||||||||||||||||||||
Sequoia 2003-3 B1 |
AA | 06/26/03 | 9,075 | 1m LIBOR | 2025 | 2007 | 7,741 | 5.43 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 20 Sequoia Loans | A-25 |
Principal | Interest | |||||||||||||||||||||||||||||||
Original | Estimated | Outstanding At | Rate At | |||||||||||||||||||||||||||||
Sequoia | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||||||||||
ABS Issued (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||||||||||
MLCC 2003-C A1 |
AAA | 06/26/03 | 773,795 | 1m LIBOR | 2023 | 2008 | 282,347 | 5.15 | % | |||||||||||||||||||||||
MLCC 2003-C A2 |
AAA | 06/26/03 | 200,002 | 6m LIBOR | 2023 | 2008 | 73,485 | 5.06 | % | |||||||||||||||||||||||
MLCC 2003-C B1 |
AA | 06/26/03 | 10,553 | 1m LIBOR | 2025 | 2008 | 9,238 | 5.47 | % | |||||||||||||||||||||||
MLCC 2003-D A |
AAA | 07/29/03 | 992,833 | 1m LIBOR | 2028 | 2008 | 395,942 | 5.13 | % | |||||||||||||||||||||||
MLCC 2003-D B1 |
AA | 07/29/03 | 10,758 | 1m LIBOR | 2028 | 2008 | 9,851 | 5.45 | % | |||||||||||||||||||||||
Sequoia 2003-4 1A1 |
AAA | 07/29/03 | 148,641 | 1m LIBOR | 2033 | 2007 | 63,157 | 5.09 | % | |||||||||||||||||||||||
Sequoia 2003-4 1A2 |
AAA | 07/29/03 | 150,000 | 6m LIBOR | 2033 | 2007 | 61,876 | 5.05 | % | |||||||||||||||||||||||
Sequoia 2003-4 1B1 |
AA | 07/29/03 | 3,864 | 1m LIBOR | 2033 | 2007 | 3,670 | 5.43 | % | |||||||||||||||||||||||
Sequoia 2003-4 2A1 |
AAA | 07/29/03 | 189,415 | 1m LIBOR | 2033 | 2008 | 114,110 | 5.13 | % | |||||||||||||||||||||||
Sequoia 2003-4 2M1 |
AA | 07/29/03 | 9,986 | 1m LIBOR | 2033 | 2008 | 9,986 | 5.25 | % | |||||||||||||||||||||||
Sequoia 2003-4 2B1 |
AA | 07/29/03 | 2,367 | 1m LIBOR | 2033 | 2008 | 2,367 | 5.43 | % | |||||||||||||||||||||||
Sequoia 2003-5 A1 |
AAA | 08/27/03 | 675,596 | 1m LIBOR | 2033 | 2007 | 220,137 | 5.09 | % | |||||||||||||||||||||||
Sequoia 2003-5 A2 |
AAA | 08/27/03 | 149,609 | 6m LIBOR | 2033 | 2007 | 53,370 | 5.27 | % | |||||||||||||||||||||||
Sequoia 2003-5 B1 |
AA | 08/27/03 | 15,043 | 1m LIBOR | 2033 | 2007 | 13,028 | 5.38 | % | |||||||||||||||||||||||
Sequoia 2003-6 A1 |
AAA | 10/29/03 | 458,238 | 1m LIBOR | 2033 | 2007 | 146,770 | 5.09 | % | |||||||||||||||||||||||
Sequoia 2003-6 A2 |
AAA | 10/29/03 | 180,474 | 6m LIBOR | 2033 | 2007 | 63,782 | 4.69 | % | |||||||||||||||||||||||
Sequoia 2003-6 B1 |
AA | 10/29/03 | 11,287 | 1m LIBOR | 2033 | 2007 | 9,479 | 5.36 | % | |||||||||||||||||||||||
Sequoia 2003-7 A1 |
AAA | 11/25/03 | 290,000 | 1m LIBOR | 2034 | 2007 | 100,981 | 5.10 | % | |||||||||||||||||||||||
Sequoia 2003-7 A2 |
AAA | 11/25/03 | 505,100 | 6m LIBOR | 2034 | 2007 | 164,501 | 4.93 | % | |||||||||||||||||||||||
Sequoia 2003-7 B1 |
AA | 11/25/03 | 16,607 | 1m LIBOR | 2034 | 2007 | 14,360 | 5.33 | % | |||||||||||||||||||||||
Sequoia 2003-8 A1 |
AAA | 12/23/03 | 791,768 | 1m LIBOR | 2034 | 2007 | 306,415 | 5.10 | % | |||||||||||||||||||||||
Sequoia 2003-8 A2 |
AAA | 12/23/03 | 150,000 | 6m LIBOR | 2034 | 2007 | 62,765 | 4.99 | % | |||||||||||||||||||||||
Sequoia 2003-8 B1 |
AA | 12/23/03 | 14,166 | 1m LIBOR | 2034 | 2007 | 13,134 | 5.37 | % | |||||||||||||||||||||||
Sequoia 2003-8 B2 |
A | 12/23/03 | 8,304 | 1m LIBOR | 2034 | 2007 | 7,699 | 6.03 | % | |||||||||||||||||||||||
MLCC 2003-E A1 |
AAA | 08/28/03 | 823,305 | 1m LIBOR | 2028 | 2008 | 330,164 | 5.13 | % | |||||||||||||||||||||||
MLCC 2003-E A2 |
AAA | 08/28/03 | 150,000 | 6m LIBOR | 2028 | 2008 | 52,116 | 5.29 | % | |||||||||||||||||||||||
MLCC 2003-E B1 |
AA | 08/28/03 | 10,547 | 1m LIBOR | 2028 | 2008 | 9,783 | 5.42 | % | |||||||||||||||||||||||
MLCC 2003-F A1 |
AAA | 09/25/03 | 839,000 | 1m LIBOR | 2028 | 2008 | 344,521 | 5.14 | % | |||||||||||||||||||||||
MLCC 2003-F A2 |
AAA | 09/25/03 | 270,000 | 6m LIBOR | 2028 | 2008 | 102,232 | 5.42 | % | |||||||||||||||||||||||
MLCC 2003-F A3 |
AAA | 09/25/03 | 175,000 | Pass Through | 2028 | 2008 | 75,052 | 6.14 | % | |||||||||||||||||||||||
MLCC 2003-F B1 |
AA | 09/25/03 | 13,913 | 1m LIBOR | 2028 | 2008 | 12,999 | 5.42 | % | |||||||||||||||||||||||
MLCC 2003-H A1 |
AAA | 12/22/03 | 365,708 | 1m LIBOR | 2029 | 2008 | 145,398 | 5.14 | % | |||||||||||||||||||||||
MLCC 2003-H A2 |
AAA | 12/22/03 | 240,000 | 6m LIBOR | 2029 | 2008 | 95,780 | 5.05 | % | |||||||||||||||||||||||
MLCC 2003-H A3A |
AAA | 12/22/03 | 119,613 | Pass Through | 2029 | 2008 | 45,364 | 5.84 | % | |||||||||||||||||||||||
MLCC 2003-H B1 |
AA | 12/22/03 | 7,875 | 1m LIBOR | 2029 | 2008 | 7,392 | 5.37 | % | |||||||||||||||||||||||
MLCC 2003-H B2 |
A | 12/22/03 | 6,000 | 1m LIBOR | 2029 | 2008 | 5,632 | 6.07 | % | |||||||||||||||||||||||
Sequoia 2004-1 A1 |
AAA | 01/28/04 | 601,250 | 6m LIBOR | 2034 | 2007 | 212,346 | 5.05 | % | |||||||||||||||||||||||
Sequoia 2004-1 B1 |
AA | 01/28/04 | 9,375 | 1m LIBOR | 2034 | 2007 | 8,149 | 5.33 | % | |||||||||||||||||||||||
Sequoia 2004-1 B2 |
A | 01/28/04 | 5,937 | 1m LIBOR | 2034 | 2007 | 5,161 | 5.83 | % | |||||||||||||||||||||||
Sequoia 2004-2 A1 |
AAA | 02/25/04 | 671,998 | 6m LIBOR | 2034 | 2007 | 259,254 | 5.21 | % | |||||||||||||||||||||||
Sequoia 2004-2 B1 |
AA | 02/25/04 | 11,550 | 1m LIBOR | 2034 | 2007 | 10,455 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-2 B2 |
A | 02/25/04 | 7,000 | 1m LIBOR | 2034 | 2007 | 6,336 | 5.76 | % | |||||||||||||||||||||||
Sequoia 2004-3 A1 |
AAA | 03/30/04 | 894,673 | 6m LIBOR | 2034 | 2006 | 330,380 | 5.31 | % | |||||||||||||||||||||||
Sequoia 2004-3 M1 |
AA | 03/30/04 | 13,800 | 1m LIBOR | 2034 | 2006 | 13,800 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-3 M2 |
A | 03/30/04 | 9,200 | 1m LIBOR | 2034 | 2006 | 9,200 | 5.68 | % | |||||||||||||||||||||||
Sequoia 2004-4 A1 |
AAA | 04/29/04 | 785,971 | 6m LIBOR | 2010 | 2007 | 291,051 | 4.62 | % | |||||||||||||||||||||||
Sequoia 2004-4 B1 |
AA | 04/29/04 | 14,612 | 1m LIBOR | 2010 | 2007 | 13,158 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-4 B2 |
A | 04/29/04 | 8,350 | 1m LIBOR | 2010 | 2007 | 7,519 | 5.68 | % | |||||||||||||||||||||||
Sequoia 2004-5 A1 |
AAA | 05/27/04 | 547,657 | Pass Through | 2012 | 2008 | 199,336 | 5.53 | % | |||||||||||||||||||||||
Sequoia 2004-5 A2 |
AAA | 05/27/04 | 185,613 | 1m LIBOR | 2012 | 2008 | 73,868 | 5.04 | % | |||||||||||||||||||||||
Sequoia 2004-5 A3 |
AAA | 05/27/04 | 74,897 | 6m LIBOR | 2012 | 2008 | 29,807 | 4.86 | % | |||||||||||||||||||||||
Sequoia 2004-5 B1 |
AA | 05/27/04 | 14,874 | 1m LIBOR | 2012 | 2008 | 13,665 | 5.26 | % | |||||||||||||||||||||||
Sequoia 2004-5 B2 |
A | 05/27/04 | 8,499 | 1m LIBOR | 2012 | 2008 | 7,808 | 5.66 | % | |||||||||||||||||||||||
Sequoia 2004-6 A1 |
AAA | 06/29/04 | 500,000 | Pass Through | 2012 | 2008 | 184,782 | 5.75 | % | |||||||||||||||||||||||
Sequoia 2004-6 A2 |
AAA | 06/29/04 | 185,687 | 1m LIBOR | 2012 | 2008 | 86,148 | 5.06 | % | |||||||||||||||||||||||
Sequoia 2004-6 A3a |
AAA | 06/29/04 | 196,500 | 6m LIBOR | 2012 | 2008 | 79,444 | 4.96 | % | |||||||||||||||||||||||
Sequoia 2004-6 A3b |
AAA | 06/29/04 | 3,500 | 6m LIBOR | 2012 | 2008 | 1,415 | 5.11 | % | |||||||||||||||||||||||
Sequoia 2004-6 B1 |
AA | 06/29/04 | 15,725 | 1m LIBOR | 2012 | 2008 | 14,840 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-6 B2 |
A | 06/29/04 | 9,250 | 1m LIBOR | 2012 | 2008 | 8,730 | 5.66 | % |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 20 Sequoia Loans | A-26 |
Principal | Interest | |||||||||||||||||||||||||||||||
Original | Estimated | Outstanding At | Rate At | |||||||||||||||||||||||||||||
Sequoia | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||||||||||
ABS Issued (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||||||||||
SEMHT 2004-01 A |
AAA | 06/29/04 | 317,044 | 1m LIBOR | 2014 | 2008 | 155,318 | 4.60 | % | |||||||||||||||||||||||
Sequoia 2004-7 A1 |
AAA | 07/29/04 | 498,828 | Pass Through | 2034 | 2008 | 103,543 | 5.92 | % | |||||||||||||||||||||||
Sequoia 2004-7 A2 |
AAA | 07/29/04 | 252,102 | 1m LIBOR | 2034 | 2008 | 122,518 | 5.09 | % | |||||||||||||||||||||||
Sequoia 2004-7 A3a |
AAA | 07/29/04 | 247,874 | 6m LIBOR | 2034 | 2008 | 105,387 | 5.05 | % | |||||||||||||||||||||||
Sequoia 2004-7 A3b |
AAA | 07/29/04 | 3,956 | 6m LIBOR | 2034 | 2008 | 1,682 | 5.27 | % | |||||||||||||||||||||||
Sequoia 2004-7 B1 |
AA | 07/29/04 | 18,900 | 1m LIBOR | 2034 | 2008 | 18,319 | 5.33 | % | |||||||||||||||||||||||
Sequoia 2004-7 B2 |
A | 07/29/04 | 11,025 | 1m LIBOR | 2034 | 2008 | 10,686 | 5.72 | % | |||||||||||||||||||||||
Sequoia 2004-8 A1 |
AAA | 08/27/04 | 365,049 | 1m LIBOR | 2034 | 2008 | 167,805 | 5.13 | % | |||||||||||||||||||||||
Sequoia 2004-8 A2 |
AAA | 08/27/04 | 418,050 | 6m LIBOR | 2034 | 2008 | 181,227 | 5.31 | % | |||||||||||||||||||||||
Sequoia 2004-8 B1 |
AA | 08/27/04 | 16,400 | 1m LIBOR | 2034 | 2008 | 16,029 | 5.30 | % | |||||||||||||||||||||||
Sequoia 2004-8 B2 |
A | 08/27/04 | 8,200 | 1m LIBOR | 2034 | 2008 | 8,015 | 5.68 | % | |||||||||||||||||||||||
Sequoia 2004-9 A1 |
AAA | 09/29/04 | 453,364 | 1m LIBOR | 2034 | 2008 | 229,546 | 5.12 | % | |||||||||||||||||||||||
Sequoia 2004-9 A2 |
AAA | 09/29/04 | 296,310 | 6m LIBOR | 2034 | 2008 | 141,206 | 5.42 | % | |||||||||||||||||||||||
Sequoia 2004-9 B1 |
AA | 09/29/04 | 14,915 | 1m LIBOR | 2034 | 2008 | 14,915 | 5.29 | % | |||||||||||||||||||||||
Sequoia 2004-9 B2 |
A | 09/29/04 | 8,242 | 1m LIBOR | 2034 | 2008 | 8,242 | 5.66 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-1A |
AAA | 10/28/04 | 110,000 | 1m LIBOR | 2034 | 2008 | 57,403 | 5.09 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-1B |
AAA | 10/28/04 | 12,225 | 1m LIBOR | 2034 | 2008 | 6,380 | 5.15 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-2 |
AAA | 10/28/04 | 203,441 | 1m LIBOR | 2034 | 2008 | 106,164 | 5.10 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-3A |
AAA | 10/28/04 | 180,000 | 6m LIBOR | 2034 | 2008 | 79,688 | 4.69 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-3B |
AAA | 10/28/04 | 20,000 | 6m LIBOR | 2034 | 2008 | 8,854 | 4.75 | % | |||||||||||||||||||||||
Sequoia 2004-10 A-4 |
AAA | 10/28/04 | 126,799 | 6m LIBOR | 2034 | 2008 | 56,136 | 4.70 | % | |||||||||||||||||||||||
Sequoia 2004-10 B-1 |
AA | 10/28/04 | 14,042 | 1m LIBOR | 2034 | 2008 | 14,042 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-10 B-2 |
A | 10/28/04 | 6,849 | 1m LIBOR | 2034 | 2008 | 6,849 | 5.63 | % | |||||||||||||||||||||||
Sequoia 2004-11 A1 |
AAA | 11/23/04 | 433,985 | 1m LIBOR | 2034 | 2009 | 214,419 | 5.08 | % | |||||||||||||||||||||||
Sequoia 2004-11 A2 |
AAA | 11/23/04 | 86,036 | 6m LIBOR | 2034 | 2009 | 44,994 | 4.90 | % | |||||||||||||||||||||||
Sequoia 2004-11 A3 |
AAA | 11/23/04 | 170,694 | 1m LIBOR | 2034 | 2009 | 123,287 | 5.08 | % | |||||||||||||||||||||||
Sequoia 2004-11 B1 |
AA | 11/23/04 | 8,947 | 1m LIBOR | 2034 | 2009 | 8,947 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-11 B2 |
A | 11/23/04 | 6,084 | 1m LIBOR | 2034 | 2009 | 6,084 | 5.63 | % | |||||||||||||||||||||||
Sequoia 2004-12 A1 |
AAA | 12/22/04 | 380,510 | 1m LIBOR | 2035 | 2009 | 195,421 | 5.05 | % | |||||||||||||||||||||||
Sequoia 2004-12 A2 |
AAA | 12/22/04 | 208,392 | 6m LIBOR | 2035 | 2009 | 104,058 | 4.96 | % | |||||||||||||||||||||||
Sequoia 2004-12 A3 |
AAA | 12/22/04 | 218,331 | 6m LIBOR | 2035 | 2009 | 89,305 | 4.99 | % | |||||||||||||||||||||||
Sequoia 2004-12 B1 |
AA | 12/22/04 | 8,588 | 1m LIBOR | 2035 | 2009 | 8,588 | 5.28 | % | |||||||||||||||||||||||
Sequoia 2004-12 B2 |
A | 12/22/04 | 6,134 | 1m LIBOR | 2035 | 2009 | 6,134 | 5.63 | % | |||||||||||||||||||||||
Sequoia 2005-1 A1 |
AAA | 01/27/05 | 298,055 | 1m LIBOR | 2035 | 2009 | 160,345 | 5.01 | % | |||||||||||||||||||||||
Sequoia 2005-1 A2 |
AAA | 01/27/05 | 100,000 | 6m LIBOR | 2035 | 2009 | 57,278 | 4.97 | % | |||||||||||||||||||||||
Sequoia 2005-1 B1 |
AA | 01/27/05 | 7,067 | 1m LIBOR | 2035 | 2009 | 7,067 | 5.20 | % | |||||||||||||||||||||||
Sequoia 2005-1 B2 |
A | 01/27/05 | 3,949 | 1m LIBOR | 2035 | 2009 | 3,949 | 5.48 | % | |||||||||||||||||||||||
Sequoia 2005-2 A1 |
AAA | 02/24/05 | 202,462 | 1m LIBOR | 2035 | 2008 | 101,463 | 5.00 | % | |||||||||||||||||||||||
Sequoia 2005-2 A2 |
AAA | 02/24/05 | 126,737 | 6m LIBOR | 2035 | 2008 | 59,110 | 5.19 | % | |||||||||||||||||||||||
Sequoia 2005-2 B1 |
AA | 02/24/05 | 6,016 | 1m LIBOR | 2035 | 2008 | 6,016 | 5.17 | % | |||||||||||||||||||||||
Sequoia 2005-2 B2 |
A | 02/24/05 | 3,266 | 1m LIBOR | 2035 | 2008 | 3,266 | 5.45 | % | |||||||||||||||||||||||
Sequoia 2005-3 A1 |
AAA | 04/28/05 | 349,687 | 1m LIBOR | 2035 | 2009 | 218,340 | 4.98 | % | |||||||||||||||||||||||
Sequoia 2005-3 B1 |
AA | 04/28/05 | 6,208 | 1m LIBOR | 2035 | 2009 | 6,208 | 5.15 | % | |||||||||||||||||||||||
Sequoia 2005-3 B2 |
A | 04/28/05 | 3,287 | 1m LIBOR | 2035 | 2009 | 3,287 | 5.42 | % | |||||||||||||||||||||||
Madrona 2005-A |
BBB | 08/25/05 | 5,400 | 1m LIBOR | 2008 | 2008 | 5,400 | 6.33 | % | |||||||||||||||||||||||
SEMT 2005-4 1-A1 |
AAA | 09/29/05 | 133,459 | 1m LIBOR | 2035 | 2009 | 103,280 | 5.00 | % | |||||||||||||||||||||||
SEMT 2005-4 1-A2 |
AAA | 09/29/05 | 14,829 | 1m LIBOR | 2035 | 2009 | 11,476 | 5.15 | % | |||||||||||||||||||||||
SEMT 2005-4 1-B1 |
AA | 09/29/05 | 2,093 | 1m LIBOR | 2035 | 2009 | 2,093 | 5.23 | % | |||||||||||||||||||||||
SEMT 2005-4 1-B2 |
AA | 09/29/05 | 1,395 | 1m LIBOR | 2035 | 2009 | 1,395 | 5.41 | % | |||||||||||||||||||||||
SEMT 2005-4 2-A1 |
AAA | 09/29/05 | 160,096 | Pass Through | 2035 | 2013 | 144,136 | 4.08 | % | |||||||||||||||||||||||
SEMT 2005-4 2-A2 |
AAA | 09/29/05 | 10,268 | Pass Through | 2035 | 2013 | 9,244 | 4.08 | % | |||||||||||||||||||||||
SEMT 2005-4 2-B1 |
AA | 09/29/05 | 1,740 | Pass Through | 2035 | 2013 | 1,740 | 4.08 | % | |||||||||||||||||||||||
SEMT 2005-4 2-B2 |
A | 09/29/05 | 696 | Pass Through | 2035 | 2013 | 696 | 4.08 | % | |||||||||||||||||||||||
Total Sequoia ABS
Issuance |
$ | 30,575,223 | $ | 11,362,031 | 5.12 | % | ||||||||||||||||||||||||||
(1) | Does not include Sequoia ABS acquired by Redwood or Acacia |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 20 Sequoia Loans | A-27 |
Adjusted Issue | Interest | |||||||||||||||||||||||||
Original | Estimated | Amount At | Rate At | |||||||||||||||||||||||
Sequoia ABS | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||||
IOs Issued (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||||
MLCC 2003-C X-A-2 |
AAA | 06/26/03 | $ | 12,662 | Fixed | 2007 | 2011 | $ | 1,234 | 4.50 | % | |||||||||||||||
MLCC 2003-D X-A-1 |
AAA | 07/29/03 | 22,371 | Fixed | 2007 | 2012 | 2,749 | 4.50 | % | |||||||||||||||||
MLCC 2003-E X-A-1 |
AAA | 08/28/03 | 16,550 | Fixed | 2007 | 2012 | 2,930 | 4.25 | % | |||||||||||||||||
MLCC 2003-F X-A-1 |
AAA | 09/25/03 | 18,666 | Fixed | 2007 | 2012 | 3,300 | 4.50 | % | |||||||||||||||||
Sequoia 2003-6 X-1 |
AAA | 10/29/03 | 8,220 | Fixed | 2007 | 2009 | 1,317 | 4.50 | % | |||||||||||||||||
SMFC 2003A AX1 |
AAA | 10/31/03 | 70,568 | Fixed | 2007 | 2007 | 8,695 | 4.50 | % | |||||||||||||||||
Sequoia 2003-7 X-1 |
AAA | 11/25/03 | 10,345 | Fixed | 2007 | 2012 | 1,805 | 4.25 | % | |||||||||||||||||
Sequoia 2003-8 X-1 |
AAA | 12/23/03 | 12,256 | Fixed | 2007 | 2009 | 2,359 | 4.50 | % | |||||||||||||||||
Sequoia 2004-1 X-1 |
AAA | 01/28/04 | 7,801 | Fixed | 2007 | 2009 | 1,644 | 4.00 | % | |||||||||||||||||
Sequoia 2004-2 X-1 |
AAA | 02/25/04 | 8,776 | Fixed | 2007 | 2009 | 1,994 | 3.75 | % | |||||||||||||||||
SMFC 2004A AX1 |
AAA | 02/26/04 | 10,626 | Fixed | 2007 | 2007 | 2,651 | 3.75 | % | |||||||||||||||||
MLCC 2003-H X-A-1 |
AAA | 12/22/03 | 10,430 | Fixed | 2007 | 2012 | 2,461 | 4.25 | % | |||||||||||||||||
Sequoia 2004-4 X-1 |
AAA | 05/28/04 | 9,789 | Fixed | 2010 | 2009 | 2,753 | 4.25 | % | |||||||||||||||||
Sequoia 2004-5 X-1 |
AAA | 05/27/04 | 3,371 | Fixed | 2012 | 2012 | 968 | 4.15 | % | |||||||||||||||||
Sequoia 2004-6 X-A |
AAA | 06/29/04 | 10,884 | Pass Through | 2012 | 2012 | 6,141 | N/A | ||||||||||||||||||
Sequoia 2004-7 X-A |
AAA | 07/29/04 | 12,145 | Pass Through | 2034 | 2012 | 6,910 | N/A | ||||||||||||||||||
Sequoia 2004-8 X-A |
AAA | 08/27/04 | 18,270 | Pass Through | 2034 | 2012 | 10,833 | N/A | ||||||||||||||||||
Sequoia 2004-9 X-A |
AAA | 09/29/04 | 16,951 | Pass Through | 2034 | 2012 | 10,291 | N/A | ||||||||||||||||||
Sequoia 2004-10 X-A |
AAA | 10/28/04 | 14,735 | Pass Through | 2034 | 2012 | 9,141 | N/A | ||||||||||||||||||
Sequoia 2004-11 X-A-1 |
AAA | 11/23/04 | 12,603 | Pass Through | 2034 | 2013 | 8,107 | N/A | ||||||||||||||||||
Sequoia 2004-11 X-A-2 |
AAA | 11/23/04 | 4,697 | Pass Through | 2034 | 2013 | 3,105 | N/A | ||||||||||||||||||
Sequoia 2004-12 X-A-1 |
AAA | 12/22/04 | 14,453 | Pass Through | 2035 | 2013 | 9,514 | N/A | ||||||||||||||||||
Sequoia 2004-12 X-A-2 |
AAA | 12/22/04 | 4,619 | Pass Through | 2035 | 2013 | 5,081 | N/A | ||||||||||||||||||
Sequoia 2005-1 X-A |
AAA | 01/27/05 | 9,669 | Pass Through | 2035 | 2013 | 6,584 | N/A | ||||||||||||||||||
Sequoia 2005-2 X-A |
AAA | 02/24/05 | 7,484 | Pass Through | 2035 | 2013 | 5,132 | N/A | ||||||||||||||||||
Sequoia 2005-3 X-A |
AAA | 04/28/05 | 8,183 | Pass Through | 2035 | 2013 | 6,060 | N/A | ||||||||||||||||||
Total Sequoia Issuance |
$ | 357,124 | $ | 123,761 | 4.31 | % | ||||||||||||||||||||
(1) | Does not include Sequoia IOs acquired by Redwood or Acacia |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 21 Residential IOs | A-28 |
Principal | Interest | |||||||||||||||||||||||
Original | Estimated | Outstanding At | Rate At | |||||||||||||||||||||
Commercial | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||
ABS Issued | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||
Commercial 1 |
NR | 03/30/01 | $ | 9,010 | 1m LIBOR | 2002 | Paid Off | $ | | N/A | ||||||||||||||
Commercial 2 |
NR | 03/30/01 | 8,320 | 1m LIBOR | 2003 | Paid Off | | N/A | ||||||||||||||||
Commercial 3 |
NR | 03/01/02 | 8,318 | 1m LIBOR | 2003 | Paid Off | | N/A | ||||||||||||||||
Commercial 4 |
NR | 08/18/03 | 5,595 | 6m LIBOR | 2009 | Paid Off | | N/A | ||||||||||||||||
Commercial 5 |
NR | 12/10/04 | 4,030 | 6m LIBOR | 2005 | Paid Off | | N/A | ||||||||||||||||
Commercial 6 |
NR | 02/07/05 | 4,250 | Fixed | 2009 | Not Callable | 4,250 | 12.00 | % | |||||||||||||||
Total Commercial
Issuance |
$ | 39,523 | $ | 4,250 | 12.00 | % | ||||||||||||||||||
The Redwood Review 1st Quarter 2006 | APPENDIX Table 22 Commercial ABS | A-29 |
Principal | Interest | |||||||||||||||||||
Original | Estimated | Outstanding At | Rate At | |||||||||||||||||
Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | ||||||||||||||
CDO Issuance (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||
Acacia CDO 2 A |
AAA | 05/13/03 | 222,000 | 3m LIBOR | 2023 | 2011 | 168,460 | 5.11% | ||||||||||||
Acacia CDO 2 B |
AA | 05/13/03 | 45,375 | 3m LIBOR | 2038 | 2011 | 45,375 | 5.76% | ||||||||||||
Acacia CDO 2 C |
BBB | 05/13/03 | 16,500 | 3m LIBOR | 2038 | 2011 | 16,500 | 7.71% | ||||||||||||
Acacia CDO 3 A |
AAA | 11/04/03 | 222,000 | 3m LIBOR | 2038 | 2011 | 197,036 | 5.03% | ||||||||||||
Acacia CDO 3 B |
AA | 11/04/03 | 45,750 | 3m LIBOR | 2038 | 2011 | 45,750 | 6.65% | ||||||||||||
Acacia CDO 3 C |
BBB | 11/04/03 | 16,500 | 3m LIBOR | 2038 | 2011 | 16,500 | 7.85% | ||||||||||||
Acacia CDO 4 A |
AAA | 04/08/04 | 229,400 | 3m LIBOR | 2039 | 2012 | 226,934 | 4.50% | ||||||||||||
Acacia CDO 4 B1 |
AA | 04/08/04 | 45,300 | 3m LIBOR | 2039 | 2012 | 45,300 | 4.97% | ||||||||||||
Acacia CDO 4 B2 |
AA | 04/08/04 | 2,000 | Fixed | 2039 | 2012 | 2,000 | 4.81% | ||||||||||||
Acacia CDO 4 C1 |
BBB | 04/08/04 | 13,700 | 3m LIBOR | 2039 | 2012 | 13,700 | 6.97% | ||||||||||||
Acacia CDO 4 C2 |
BBB | 04/08/04 | 3,000 | Fixed | 2039 | 2012 | 3,000 | 6.81% | ||||||||||||
Acacia CDO 5 A |
AAA | 07/14/04 | 222,500 | 3m LIBOR | 2039 | 2012 | 222,275 | 4.68% | ||||||||||||
Acacia CDO 5 B |
AA | 07/14/04 | 42,250 | 3m LIBOR | 2039 | 2012 | 42,250 | 5.15% | ||||||||||||
Acacia CDO 5 C |
A | 07/14/04 | 9,000 | 3m LIBOR | 2039 | 2012 | 9,000 | 5.75% | ||||||||||||
Acacia CDO 5 D |
A | 07/14/04 | 3,000 | 3m LIBOR | 2039 | 2012 | 3,000 | 6.30% | ||||||||||||
Acacia CDO 5 E |
BBB | 07/14/04 | 5,375 | 3m LIBOR | 2039 | 2012 | 5,375 | 7.10% | ||||||||||||
Acacia CDO 6 A1 |
AAA | 11/09/04 | 222,000 | 3m LIBOR | 2040 | 2012 | 221,443 | 4.69% | ||||||||||||
Acacia CDO 6 A2 |
AAA | 11/09/04 | 15,000 | 3m LIBOR | 2040 | 2012 | 15,000 | 4.98% | ||||||||||||
Acacia CDO 6 B |
AA | 11/09/04 | 27,000 | 3m LIBOR | 2040 | 2012 | 27,000 | 5.13% | ||||||||||||
Acacia CDO 6 C |
A | 11/09/04 | 6,500 | 3m LIBOR | 2040 | 2012 | 6,500 | 5.68% | ||||||||||||
Acacia CDO 6 D |
A | 11/09/04 | 3,000 | 3m LIBOR | 2040 | 2012 | 3,000 | 6.33% | ||||||||||||
Acacia CDO 6 E1 |
BBB | 11/09/04 | 1,500 | 3m LIBOR | 2040 | 2012 | 1,500 | 7.13% | ||||||||||||
Acacia CDO 6 E2 |
BBB | 11/09/04 | 7,000 | Fixed | 2040 | 2012 | 7,000 | 6.95% | ||||||||||||
Acacia CDO 7 A |
AAA | 03/10/05 | 231,700 | 3m LIBOR | 2045 | 2013 | 231,690 | 4.86% | ||||||||||||
Acacia CDO 7 B |
AA | 03/10/05 | 28,100 | 3m LIBOR | 2045 | 2013 | 28,100 | 5.15% | ||||||||||||
Acacia CDO 7 C |
A | 03/10/05 | 6,000 | 3m LIBOR | 2045 | 2013 | 6,000 | 5.75% | ||||||||||||
Acacia CDO 7 D |
BBB | 03/10/05 | 16,200 | 3m LIBOR | 2045 | 2013 | 16,200 | 7.17% | ||||||||||||
Acacia CDO 8 A1 |
AAA | 07/14/05 | 175,000 | 3m LIBOR | 2045 | 2013 | 174,790 | 3.92% | ||||||||||||
Acacia CDO 8 A2 |
AAA | 07/14/05 | 15,000 | 3m LIBOR | 2045 | 2013 | 15,000 | 4.07% | ||||||||||||
Acacia CDO 8 B |
AA | 07/14/05 | 22,000 | 3m LIBOR | 2045 | 2013 | 22,000 | 4.19% | ||||||||||||
Acacia CDO 8 C |
A | 07/14/05 | 20,000 | 3m LIBOR | 2045 | 2013 | 20,000 | 4.84% | ||||||||||||
Acacia CDO 8 D |
A- | 07/14/05 | 10,000 | 3m LIBOR | 2045 | 2013 | 10,000 | 5.29% | ||||||||||||
Acacia CDO 8 E |
BBB | 07/14/05 | 10,000 | 3m LIBOR | 2045 | 2013 | 10,000 | 6.49% | ||||||||||||
Acacia CRE1 Class A |
AAA | 12/14/05 | 159,000 | 3m LIBOR | 2045 | 2013 | 159,000 | 4.85% | ||||||||||||
Acacia CRE1 Class B |
AA | 12/14/05 | 39,000 | 3m LIBOR | 2046 | 2013 | 39,000 | 4.98% | ||||||||||||
Acacia CRE1 Class C |
A+ | 12/14/05 | 21,000 | 3m LIBOR | 2046 | 2013 | 21,000 | 5.53% | ||||||||||||
Acacia CRE1 Class D |
A- | 12/14/05 | 18,000 | 3m LIBOR | 2046 | 2013 | 18,000 | 5.83% | ||||||||||||
Acacia CRE1 Class E |
BBB+ | 12/14/05 | 11,250 | 3m LIBOR | 2046 | 2013 | 11,250 | 6.53% | ||||||||||||
Acacia CRE1 Class F |
BBB- | 12/14/05 | 13,500 | 3m LIBOR | 2046 | 2013 | 13,500 | 7.13% | ||||||||||||
Acacia 9 Class A |
AAA | 03/09/06 | 235,000 | 3m LIBOR | 2046 | 2013 | 235,000 | 5.16% | ||||||||||||
Acacia 9 Class B |
AA- | 03/09/06 | 21,800 | 3m LIBOR | 2046 | 2013 | 21,800 | 5.36% | ||||||||||||
Acacia 9 Class C |
A | 03/09/06 | 9,000 | 3m LIBOR | 2046 | 2013 | 9,000 | 6.11% | ||||||||||||
Acacia 9 Class D |
BBB | 03/09/06 | 12,000 | 3m LIBOR | 2046 | 2013 | 12,000 | 8.01% | ||||||||||||
Total CDO Issuance |
$ | 2,499,200 | $ | 2,417,228 | 5.00% | |||||||||||||||
(1) | Does not include ABS acquired by Redwood or Acacia |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 23 CDO ABS | A-30 |
Principal | Interest | |||||||||||||||||||||||
Other | Original | Estimated | Outstanding At | Rate At | ||||||||||||||||||||
Resecuritization | Debt | Issue | Issue | Stated | Callable | March 31, | March 31, | |||||||||||||||||
Issuance (1) | Rating | Date | Amount | Index | Maturity | Date | 2006 | 2006 | ||||||||||||||||
SMFC 2002A A1 |
AAA | 04/30/02 | $ | 64,761 | 1m LIBOR | 2030 | 2006 | $ | | N/A | ||||||||||||||
SMFC 2002A A2 |
AAA | 04/30/02 | 15,861 | 1m LIBOR | 2029 | 2006 | | N/A | ||||||||||||||||
SMFC 2002B I A1 |
AA | 12/19/02 | 16,855 | Fixed | 2031 | 2006 | 489 | 5.43 | % | |||||||||||||||
SMFC 2002B I A2 |
A | 12/19/02 | 18,274 | Fixed | 2031 | 2006 | 530 | 5.68 | % | |||||||||||||||
SMFC 2002B I A3 |
BBB | 12/19/02 | 17,221 | Fixed | 2031 | 2006 | 499 | 6.38 | % | |||||||||||||||
SMFC 2002B I A4 |
BB | 12/19/02 | 25,133 | Fixed | 2031 | 2006 | 729 | 6.75 | % | |||||||||||||||
SMFC 2002B II A1 |
AA | 12/19/02 | 15,517 | Fixed | 2039 | 2006 | 613 | 4.82 | % | |||||||||||||||
SMFC 2002B II A2 |
A | 12/19/02 | 18,345 | Fixed | 2039 | 2006 | 725 | 4.92 | % | |||||||||||||||
SMFC 2002B II A3 |
BBB | 12/19/02 | 14,989 | Fixed | 2039 | 2006 | 593 | 5.35 | % | |||||||||||||||
SMFC 2002B II A4 |
BB | 12/19/02 | 8,347 | Fixed | 2039 | 2006 | 330 | 6.00 | % | |||||||||||||||
Total
Resecuritizations |
$ | 215,303 | $ | 4,507 | 5.64 | % | ||||||||||||||||||
(1) | Does not include ABS acquired by Redwood or Acacia |
The Redwood Review 1st Quarter 2006 | APPENDIX Table 24 SMFC ABS | A-31 |