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Residential Loans (Tables) | 9 Months Ended
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Sep. 30, 2020
Receivables [Abstract] |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2020 |  |  |  | Legacy |  | Sequoia |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Choice |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 105,128 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 105,128 |
Held-for-investment at fair value |  | — |  |  | 296,765 |  |  | 1,836,361 |  |  | 2,256,682 |  |  | 4,389,808 |
Total Residential Loans |  | $ | 105,128 |  |  | $ | 296,765 |  |  | $ | 1,836,361 |  |  | $ | 2,256,682 |  |  | $ | 4,494,936 |
December 31, 2019 |  |  |  | Legacy |  | Sequoia |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Choice |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 536,385 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 536,385 |
Held-for-investment at fair value |  | 2,111,897 |  |  | 407,890 |  |  | 2,291,463 |  |  | 2,367,215 |  |  | 7,178,465 |
Total Residential Loans |  | $ | 2,648,282 |  |  | $ | 407,890 |  |  | $ | 2,291,463 |  |  | $ | 2,367,215 |  |  | $ | 7,714,850 |
The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at September 30, 2020 and December 31, 2019. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
September 30, 2020 |  | Single-Family Rental |  | Residential |  |
(In Thousands) |  | Redwood |  | CAFL |  | Bridge |  | Total
Held-for-sale at fair value |  | $ | 285,549 |  |  | — |  |  | $ | — |  |  | $ | 285,549 |
Held-for-investment at fair value |  | — |  |  | 2,969,692 |  |  | 700,860 |  |  | 3,670,552 |
Total Business Purpose Residential Loans |  | $ | 285,549 |  |  | $ | 2,969,692 |  |  | $ | 700,860 |  |  | $ | 3,956,101 |
December 31, 2019 |  | Single-Family Rental |  | Residential |  |
(In Thousands) |  | Redwood |  | CAFL |  | Bridge |  | Total
Held-for-sale at fair value |  | $ | 331,565 |  |  | $ | — |  |  | $ | — |  |  | $ | 331,565 |
Held-for-investment at fair value |  | 237,620 |  |  | 2,192,552 |  |  | 745,006 |  |  | 3,175,178 |
Total Business Purpose Residential Loans |  | $ | 569,185 |  |  | $ | 2,192,552 |  |  | $ | 745,006 |  |  | $ | 3,506,743 |
The following tables summarize the characteristics of the business purpose residential loans owned at Redwood at September 30, 2020 and December 31, 2019. Table 7.2 – Characteristics of Business Purpose Residential Loans
September 30, 2020 |  | Single-Family Rental at Redwood |  | Single-Family Rental at CAFL |  | Residential Bridge
(Dollars in Thousands) |  |  |
Number of loans |  | 140 |  |  | 1,027 |  |  | 2,262 |
Unpaid principal balance |  | $ | 272,492 |  |  | $ | 2,815,045 |  |  | $ | 708,555 |
Fair value of loans |  | $ | 285,549 |  |  | $ | 2,969,692 |  |  | $ | 700,860 |
Weighted average coupon |  | 5.26 | % |  | 5.50 | % |  | 8.02 | %
Weighted average remaining loan term (years) |  | 7 |  | 6 |  | 1
Number of loans with 90+ day delinquencies (1) |  | 6 |  |  | 26 |  |  | 24 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 3,018 |  |  | $ | 70,949 |  |  | $ | 38,437 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 2,954 |  |  | N/A |  | $ | 33,464 |
Number of loans in foreclosure |  | — |  |  | 9 |  |  | 24 |
Unpaid principal balance of loans in foreclosure |  | $ | — |  |  | $ | 14,032 |  |  | $ | 39,755 |
Fair value of loans in foreclosure (2) |  | $ | — |  |  | N/A |  | $ | 34,489 |
December 31, 2019 |  | Single-Family Rental at Redwood |  | Single-Family Rental at CAFL |  | Residential Bridge
(Dollars in Thousands) |  |  |
Number of loans |  | 308 |  |  | 783 |  |  | 2,653 |
Unpaid principal balance |  | $ | 552,848 |  |  | $ | 2,078,214 |  |  | $ | 742,528 |
Fair value of loans |  | $ | 569,185 |  |  | $ | 2,192,552 |  |  | $ | 745,006 |
Weighted average coupon |  | 4.96 | % |  | 5.70 | % |  | 8.11 | %
Weighted average remaining loan term (years) |  | 9 |  | 7 |  | 2
Number of loans with 90+ day delinquencies (1) |  | 2 |  |  | 18 |  |  | 31 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 1,688 |  |  | $ | 29,039 |  |  | $ | 14,186 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 1,818 |  |  | N/A |  | $ | 12,111 |
Number of loans in foreclosure |  | 1 |  |  | 5 |  |  | 15 |
Unpaid principal balance of loans in foreclosure |  | $ | 130 |  |  | $ | 9,169 |  |  | $ | 8,987 |
Fair value of loans in foreclosure (2) |  | $ | 130 |  |  | N/A |  | $ | 6,917 |
(1)The number of loans greater than 90 days delinquent includes loans in foreclosure. (2)The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities.
Characteristics of Residential Loans Held-For-Sale | The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2020 and December 31, 2019. Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands) |  | September 30, 2020 |  | December 31, 2019
Number of loans |  | 118 |  |  | 669 |
Unpaid principal balance |  | $ | 102,921 |  |  | $ | 524,928 |
Fair value of loans |  | $ | 105,128 |  |  | $ | 536,280 |
Number of loans with 90+ day delinquencies |  | 2 |  |  | 1 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 2,356 |  |  | $ | 747 |
Fair value of loans with 90+ day delinquencies |  | $ | 1,767 |  |  | $ | 616 |
Number of loans in foreclosure |  | — |  |  | — |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 95,023 |  |  | $ | 201,949 |
Quarterly Activity of Residential Loans Held-for-Sale | The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2020 and 2019. Table 6.3 – Quarterly Activity of Residential Loans Held-for-Sale
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Principal balance of loans acquired |  | $ | 172,162 |  |  | $ | 1,446,750 |  |  | $ | 2,859,813 |  |  | $ | 3,936,111 |
Principal balance of loans sold |  | 87,868 |  |  | 1,534,315 |  |  | 5,024,663 |  |  | 3,921,280 |
Net market valuation gains (losses) recorded (1) |  | (478) |  |  | (6,623) |  |  | (15,972) |  |  | 286 |
(1)Net market valuation gains (losses) on residential loans held-for-sale are recorded through Mortgage banking activities, net on our consolidated statements of income (loss).
Characteristics of Residential Loans Held-for-Investment | The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2020 and December 31, 2019. Table 6.4 – Characteristics of Residential Loans Held-for-Investment
September 30, 2020 |  |  |  | Legacy |  | Sequoia |  | Freddie Mac
(Dollars in Thousands) |  | Redwood |  | Sequoia |  | Choice |  | SLST
Number of loans |  | — |  |  | 1,976 |  |  | 2,546 |  |  | 13,893 |
Unpaid principal balance |  | $ | — |  |  | $ | 352,392 |  |  | $ | 1,811,967 |  |  | $ | 2,304,047 |
Fair value of loans |  | $ | — |  |  | $ | 296,765 |  |  | $ | 1,836,361 |  |  | $ | 2,256,683 |
Number of loans with 90+ day delinquencies (1) |  | — |  |  | 49 |  |  | 132 |  |  | 1,772 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | — |  |  | $ | 16,076 |  |  | $ | 102,693 |  |  | $ | 339,537 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | — |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  | — |  |  | 21 |  |  | 3 |  |  | 175 |
Unpaid principal balance of loans in foreclosure |  | $ | — |  |  | $ | 4,820 |  |  | $ | 1,814 |  |  | $ | 28,380 |
December 31, 2019 |  |  |  | Legacy |  | Sequoia |  | Freddie Mac
(Dollars in Thousands) |  | Redwood |  | Sequoia |  | Choice |  | SLST
Number of loans |  | 2,940 |  |  | 2,198 |  |  | 3,156 |  |  | 14,502 |
Unpaid principal balance |  | $ | 2,052,778 |  |  | $ | 424,829 |  |  | $ | 2,240,679 |  |  | $ | 2,428,035 |
Fair value of loans |  | $ | 2,111,897 |  |  | $ | 407,890 |  |  | $ | 2,291,463 |  |  | $ | 2,367,215 |
Number of loans with 90+ day delinquencies (1) |  | 2 |  |  | 39 |  |  | 9 |  |  | 587 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 1,585 |  |  | $ | 9,803 |  |  | $ | 6,755 |  |  | $ | 134,680 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 1,424 |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  | — |  |  | 16 |  |  | 3 |  |  | 208 |
Unpaid principal balance of loans in foreclosure |  | $ | — |  |  | $ | 3,673 |  |  | $ | 2,290 |  |  | $ | 33,042 |
(1)For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure. (2)The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities.
Quarterly Activity of Residential Loans Held-for-Investment | The following table provides the activity of residential loans held-for-investment at Redwood during the three and nine months ended September 30, 2020 and 2019. Table 6.5 – Quarterly Activity of Residential Loans Held-for-Investment at Redwood
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Principal balance of loans acquired |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 39,194 |
Principal balance of loans sold |  | — |  |  | — |  |  | — |  |  | — |
Fair value of loans transferred from HFS to HFI |  | — |  |  | — |  |  | 13,258 |  |  | 68,703 |
Fair value of loans transferred from HFI to HFS |  | — |  |  | — |  |  | 1,870,986 |  |  | 22,814 |
Net market valuation gains (losses) recorded (1) |  | 218 |  |  | 7,667 |  |  | (93,314) |  |  | 71,323 |
(1)Net market valuation gains (losses) on residential loans held-for-investment at Redwood are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the three and nine months ended September 30, 2020 and 2019. Table 6.6 – Quarterly Activity of Residential Loans Held-for-Investment at Consolidated Entities
|  | Three Months Ended September 30, 2020 |  | Nine Months Ended September 30, 2020
|  | Legacy |  | Sequoia |  | Freddie Mac |  | Legacy |  | Sequoia |  | Freddie Mac
(In Thousands) |  | Sequoia |  | Choice |  | SLST |  | Sequoia |  | Choice |  | SLST
Fair value of loans transferred from HFS to HFI (1) |  | N/A |  | $ | — |  |  | N/A |  | N/A |  | $ | 270,506 |  |  | N/A
Net market valuation gains (losses) recorded (2) |  | $ | 21,938 |  |  | $ | (5,175) |  |  | $ | 159,687 |  |  | $ | (38,996) |  |  | $ | (21,727) |  |  | $ | 15,254 |
|  | Three Months Ended September 30, 2019 |  | Nine Months Ended September 30, 2019
|  | Legacy |  | Sequoia |  | Freddie Mac |  | Legacy |  | Sequoia |  | Freddie Mac
(In Thousands) |  | Sequoia |  | Choice |  | SLST |  | Sequoia |  | Choice |  | SLST
Fair value of loans transferred from HFS to HFI (1) |  | N/A |  | $ | 727,088 |  |  | N/A |  | N/A |  | $ | 1,076,671 |  |  | N/A
Net market valuation gains (losses) recorded (2) |  | $ | (103) |  |  | $ | (11,029) |  |  | $ | 39,783 |  |  | $ | 5,271 |  |  | $ | 4,841 |  |  | $ | 94,788 |
(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia Choice securitizations. (2)For loans held at our consolidated Legacy Sequoia, Sequoia Choice, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5.

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