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Residential Loans (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021 and December 31, 2020.

Table 6.1 – Classifications and Carrying Values of Residential Loans


March 31, 2021			Legacy		Sequoia		Freddie Mac
(In Thousands)	Redwood		Sequoia		Choice		SLST		Total
Held-for-sale at fair value	$	996,512	$	—	$	—	$	—	$	996,512
Held-for-investment at fair value	—		274,861		1,276,112		2,154,351		3,705,324
Total Residential Loans	$	996,512	$	274,861	$	1,276,112	$	2,154,351	$	4,701,836


December 31, 2020			Legacy		Sequoia		Freddie Mac
(In Thousands)	Redwood		Sequoia		Choice		SLST		Total
Held-for-sale at fair value	$	176,641	$	—	$	—	$	—	$	176,641
Held-for-investment at fair value	—		285,935		1,565,322		2,221,153		4,072,410
Total Residential Loans	$	176,641	$	285,935	$	1,565,322	$	2,221,153	$	4,249,051

The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at March 31, 2021 and December 31, 2020.

Table 7.1 – Classifications and Carrying Values of Business Purpose Loans


March 31, 2021	Single-Family Rental				Residential
(In Thousands)	Redwood		CAFL		Bridge		Total
Held-for-sale at fair value	$	333,110	—		$	—	$	333,110
Held-for-investment at fair value	—		3,212,526		626,484		3,839,010
Total Business Purpose Loans	$	333,110	$	3,212,526	$	626,484	$	4,172,120


December 31, 2020	Single-Family Rental				Residential
(In Thousands)	Redwood		CAFL		Bridge		Total
Held-for-sale at fair value	$	245,394	$	—	$	—	$	245,394
Held-for-investment at fair value	—		3,249,194		641,765		3,890,959
Total Business Purpose Loans	$	245,394	$	3,249,194	$	641,765	$	4,136,353

The following table provides the activity of business purpose loans at Redwood during the three months ended March 31, 2021 and 2020.

Table 7.2 – Activity of Business Purpose Loans at Redwood


	Three Months Ended March 31, 2021				Three Months Ended March 31, 2020
(Dollars in Thousands)	SFR at Redwood		Bridge		SFR at Redwood		Bridge
Principal balance of loans originated	$	253,098	$	133,229	$	260,129	$	227,368
Principal balance of loans sold to third parties	—		8,877		26,148		20,735
Fair value of loans transferred from HFS to HFI (1)	169,404		N/A		378,109		N/A
Mortgage banking activities income (loss) recorded (2)	10,248		542		10,330		(164)
Investment fair value changes recorded (3)	—		3,304		(23,028)		(38,602)

(1)During the three months ended March 31, 2021 and 2020, we transferred $169 million and $378 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with one and one CAFL securitizations, respectively.

(2)Represents origination fees and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. For the three months ended March 31, 2021 and 2020, we recorded loan origination fee income of $6 million and $8 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss).

(3)Represents net market valuation changes for loans classified as held-for-investment.

The following table provides the activity of single-family rental loans held-for-investment at CAFL during the threes ended March 31, 2021 and 2020.

Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL


	Three Months Ended March 31,
(In Thousands)	2021		2020
Net market valuation gains (losses) recorded (1)	$	(60,901)	$	(271,917)

(1)For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, 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 Table 4.2.

The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at March 31, 2021 and December 31, 2020.

Table 7.4 – Characteristics of Business Purpose Loans


March 31, 2021	Single-Family Rental at Redwood			Single-Family Rental at CAFL			Bridge
(Dollars in Thousands)
Number of loans	77			1,120			2,097
Unpaid principal balance	$	322,181		$	3,029,498		$	629,934
Fair value of loans	$	333,110		$	3,212,526		$	626,484
Weighted average coupon	4.84		%	5.41		%	7.93		%
Weighted average remaining loan term (years)	7			5			1
Market value of loans pledged as collateral under short-term debt facilities	$	74,733		N/A			$	90,096
Market value of loans pledged as collateral under long-term debt facilities	$	228,125		N/A			$	522,050

Delinquency information
Number of loans with 90+ day delinquencies (1)	9			21			31
Unpaid principal balance of loans with 90+ day delinquencies	$	6,883		$	57,985		$	17,850
Fair value of loans with 90+ day delinquencies (2)	$	5,676		N/A			$	14,556
Number of loans in foreclosure	7			11			57
Unpaid principal balance of loans in foreclosure	$	5,976		$	21,234		$	20,424
Fair value of loans in foreclosure (2)	$	4,808		N/A			$	17,183


December 31, 2020	Single-Family Rental at Redwood			Single-Family Rental at CAFL			Bridge
(Dollars in Thousands)
Number of loans	65			1,094			1,725
Unpaid principal balance	$	234,475		$	3,017,137		$	649,532
Fair value of loans	$	245,394		$	3,249,194		$	641,765
Weighted average coupon	4.84		%	5.44		%	8.09		%
Weighted average remaining loan term (years)	8			5			1
Market value of loans pledged as collateral under short-term debt facilities	$	34,098		N/A			$	92,931
Market value of loans pledged as collateral under long-term debt facilities	$	154,774		N/A			$	544,151

Delinquency information
Number of loans with 90+ day delinquencies (1)	10			22			31
Unpaid principal balance of loans with 90+ day delinquencies	$	7,127		$	61,440		$	39,415
Fair value of loans with 90+ day delinquencies (2)	$	6,143		N/A			$	33,605
Number of loans in foreclosure	—			10			25
Unpaid principal balance of loans in foreclosure	$	—		$	24,745		$	38,552
Fair value of loans in foreclosure (2)	$	—		N/A			$	33,066

(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 March 31, 2021 and December 31, 2020.

Table 6.2 – Characteristics of Residential Loans Held-for-Sale


(Dollars in Thousands)	March 31, 2021		December 31, 2020
Number of loans	1,115		198
Unpaid principal balance	$	990,841	$	172,748
Fair value of loans	$	996,512	$	176,641
Market value of loans pledged as collateral under short-term borrowing agreements	$	926,076	$	156,355

Delinquency information
Number of loans with 90+ day delinquencies	1		1
Unpaid principal balance of loans with 90+ day delinquencies	$	1,882	$	1,882
Fair value of loans with 90+ day delinquencies	$	1,223	$	1,223
Number of loans in foreclosure	—		—

Quarterly Activity of Residential Loans Held-for-Sale

The following table provides the activity of residential loans held-for-sale during the three months ended March 31, 2021 and 2020.

Table 6.3 – Activity of Residential Loans Held-for-Sale


	Three Months Ended March 31,
(In Thousands)	2021		2020
Principal balance of loans acquired	$	3,096,048	$	2,629,908
Principal balance of loans sold	2,275,832		2,656,719
Net market valuation gains (losses) recorded (1)	23,429		(13,480)

(1)Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily 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 consolidated Sequoia and Freddie Mac SLST entities at March 31, 2021 and December 31, 2020.

Table 6.4 – Characteristics of Residential Loans Held-for-Investment


March 31, 2021	Legacy		Sequoia		Freddie Mac
(Dollars in Thousands)	Sequoia		Choice		SLST
Number of loans	1,814		1,780		13,294
Unpaid principal balance	$	314,243	$	1,264,645	$	2,184,111
Fair value of loans	$	274,861	$	1,276,112	$	2,154,351

Delinquency information
Number of loans with 90+ day delinquencies (1)	46		68		1,982
Unpaid principal balance of loans with 90+ day delinquencies	$	15,831	$	54,546	$	362,785
Fair value of loans with 90+ day delinquencies (2)	N/A		N/A		N/A
Number of loans in foreclosure	17		3		251
Unpaid principal balance of loans in foreclosure	$	4,214	$	2,248	$	41,044


December 31, 2020	Legacy		Sequoia		Freddie Mac
(Dollars in Thousands)	Sequoia		Choice		SLST
Number of loans	1,908		2,177		13,605
Unpaid principal balance	$	333,474	$	1,550,454	$	2,247,771
Fair value of loans	$	285,935	$	1,565,322	$	2,221,153

Delinquency information
Number of loans with 90+ day delinquencies (1)	52		94		2,110
Unpaid principal balance of loans with 90+ day delinquencies	$	17,285	$	74,742	$	389,245
Fair value of loans with 90+ day delinquencies (2)	N/A		N/A		N/A
Number of loans in foreclosure	21		3		245
Unpaid principal balance of loans in foreclosure	$	4,939	$	2,251	$	38,610

(1)For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure.

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 months ended March 31, 2021 and 2020.

Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood


	Three Months Ended March 31,
(In Thousands)	2021		2020


Fair value of loans transferred from HFS to HFI	$	—	$	13,258
Fair value of loans transferred from HFI to HFS	—		1,870,986
Net market valuation gains (losses) recorded (1)	—		(93,636)

(1)Subsequent to the transfer of these loans to our investment portfolio, 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 months ended March 31, 2021 and 2020.

Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities


	Three Months Ended March 31, 2021						Three Months Ended March 31, 2020
	Legacy		Sequoia		Freddie Mac		Legacy		Sequoia		Freddie Mac
(In Thousands)	Sequoia		Choice		SLST		Sequoia		Choice		SLST

Net market valuation gains (losses) recorded (1)	$	7,613	$	(2,578)	$	(3,566)	$	(69,014)	$	(110,485)	$	(193,020)

(1)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 Table 4.2.