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Business Purpose Loans | 6 Months Ended
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Jun. 30, 2021
Receivables [Abstract] |
Business Purpose Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. 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 June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans
June 30, 2021 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 1,160,548 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,160,548 |
Held-for-investment at fair value |  | — |  |  | 260,875 |  |  | 2,222,553 |  |  | 2,098,624 |  |  | 4,582,052 |
Total Residential Loans |  | $ | 1,160,548 |  |  | $ | 260,875 |  |  | $ | 2,222,553 |  |  | $ | 2,098,624 |  |  | $ | 5,742,600 |
December 31, 2020 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | 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 |
At June 30, 2021, we owned mortgage servicing rights associated with $1.10 billion (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value The following table summarizes the characteristics of residential loans held-for-sale at June 30, 2021 and December 31, 2020. Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands) |  | June 30, 2021 |  | December 31, 2020
Number of loans |  | 1,316 |  |  | 198 |
Unpaid principal balance |  | $ | 1,135,356 |  |  | $ | 172,748 |
Fair value of loans |  | $ | 1,160,548 |  |  | $ | 176,641 |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 1,152,267 |  |  | $ | 156,355 |
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | 2 |  |  | 1 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 2,100 |  |  | $ | 1,882 |
Fair value of loans with 90+ day delinquencies |  | $ | 1,397 |  |  | $ | 1,223 |
Number of loans in foreclosure |  | — |  |  | — |
The following table provides the activity of residential loans held-for-sale during the three and six months ended June 30, 2021 and 2020. Table 6.3 – Activity of Residential Loans Held-for-Sale
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Principal balance of loans acquired |  | $ | 3,484,633 |  |  | $ | 57,743 |  |  | $ | 6,580,681 |  |  | $ | 2,687,651 |
Principal balance of loans sold |  | 3,324,919 |  |  | 2,280,076 |  |  | 5,600,751 |  |  | 4,936,795 |
Net market valuation gains (losses) recorded (1) |  | 26,278 |  |  | (2,014) |  |  | 49,707 |  |  | (15,494) |
(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). Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia, and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.4 – Characteristics of Residential Loans Held-for-Investment
June 30, 2021 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,733 |  |  | 2,775 |  |  | 12,902 |
Unpaid principal balance |  |  |  | $ | 295,368 |  |  | $ | 2,193,269 |  |  | $ | 2,107,256 |
Fair value of loans |  |  |  | $ | 260,875 |  |  | $ | 2,222,553 |  |  | $ | 2,098,624 |
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 43 |  |  | 48 |  |  | 1,446 |
Unpaid principal balance of loans with 90+ day delinquencies |  |  |  | $ | 14,878 |  |  | $ | 38,502 |  |  | $ | 261,504 |
Fair value of loans with 90+ day delinquencies (2) |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 18 |  |  | 3 |  |  | 308 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 3,830 |  |  | $ | 2,257 |  |  | $ | 51,191 |
December 31, 2020 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | 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. (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. The following table provides the activity of residential loans held-for-investment at Redwood during the three and six months ended June 30, 2021 and 2020. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2021 |  | 2020 |  | 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) |  | — |  |  | 104 |  |  | — |  |  | (93,532) |
(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 and six months ended June 30, 2021 and 2020. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities
|  | Three Months Ended June 30, 2021 |  | Three Months Ended June 30, 2020
|  | Legacy |  |  |  | Freddie Mac |  | Legacy |  |  |  | Freddie Mac
(In Thousands) |  | Sequoia |  | Sequoia |  | SLST |  | Sequoia |  | Sequoia |  | SLST
Fair value of loans transferred from HFS to HFI (1) |  | N/A |  | $ | 1,205,494 |  |  | N/A |  | N/A |  | $ | 270,506 |  |  | N/A
Net market valuation gains (losses) recorded (1) |  | 4,863 |  |  | (12,835) |  |  | 22,579 |  |  | 8,081 |  |  | 93,932 |  |  | 48,587 |
|  | Six Months Ended June 30, 2021 |  | Six Months Ended June 30, 2020
|  | Legacy |  |  |  | Freddie Mac |  | Legacy |  |  |  | Freddie Mac
(In Thousands) |  | Sequoia |  | Sequoia |  | SLST |  | Sequoia |  | Sequoia |  | SLST
Fair value of loans transferred from HFS to HFI (1) |  | N/A |  | $ | 1,205,494 |  |  | N/A |  | N/A |  | $ | 270,506 |  |  | N/A
Net market valuation gains (losses) recorded (1) |  | 12,476 |  |  | (15,413) |  |  | 19,014 |  |  | (60,933) |  |  | (16,553) |  |  | (144,433) |
(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. (2)For loans held at our consolidated Legacy Sequoia, Sequoia, 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. Business Purpose Loans We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
June 30, 2021 |  | Single-Family Rental |  | Residential |  |
(In Thousands) |  | Redwood |  | CAFL |  | Bridge |  | Total
Held-for-sale at fair value |  | $ | 418,442 |  |  | — |  |  | $ | — |  |  | $ | 418,442 |
Held-for-investment at fair value |  | — |  |  | 3,263,878 |  |  | 726,569 |  |  | 3,990,447 |
Total Business Purpose Loans |  | $ | 418,442 |  |  | $ | 3,263,878 |  |  | $ | 726,569 |  |  | $ | 4,408,889 |
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 and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended June 30, 2021 |  | Three Months Ended June 30, 2020
(In Thousands) |  | SFR at Redwood |  | Bridge |  | SFR at Redwood |  | Bridge
Principal balance of loans originated |  | $ | 312,217 |  |  | $ | 215,160 |  |  | $ | 175,876 |  |  | $ | 58,468 |
Principal balance of loans sold to third parties |  | — |  |  | 354 |  |  | — |  |  | 1,558 |
Fair value of loans transferred from HFS to HFI (1) |  | 297,301 |  |  | N/A |  | 220,923 |  |  | N/A
Fair value of loans transferred from HFI to HFS (2) |  | 44,922 |  |  | — |  |  | — |  |  | — |
Mortgage banking activities income (loss) recorded (3) |  | 25,222 |  |  | 978 |  |  | 1,210 |  |  | (3,277) |
Investment fair value changes recorded (4) |  | — |  |  | (62) |  |  | 2,222 |  |  | 21,774 |
|  | Six Months Ended June 30, 2021 |  | Six Months Ended June 30, 2020
(In Thousands) |  | SFR at Redwood |  | Bridge |  | SFR at Redwood |  | Bridge
Principal balance of loans originated |  | $ | 565,315 |  |  | $ | 348,389 |  |  | $ | 436,005 |  |  | $ | 285,836 |
Principal balance of loans sold to third parties |  | — |  |  | 9,231 |  |  | 26,148 |  |  | 22,293 |
Fair value of loans transferred from HFS to HFI (1) |  | 466,705 |  |  | N/A |  | 599,032 |  |  | N/A
Fair value of loans transferred from HFI to HFS (2) |  | 44,922 |  |  | — |  |  | — |  |  | — |
Mortgage banking activities income (loss) recorded (3) |  | 35,470 |  |  | 1,521 |  |  | 11,540 |  |  | (3,441) |
Investment fair value changes recorded (4) |  | — |  |  | 3,242 |  |  | (20,806) |  |  | (16,828) |
(1)Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2)Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3)Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4)Represents net market valuation changes for loans classified as held-for-investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at June 30, 2021 were first lien, interest-only loans with original maturities of six to 24 months and were comprised of 63% one-month LIBOR-indexed adjustable-rate loans and 37% fixed-rate loans. During the six months ended June 30, 2021, we transferred four loans with a fair value of $2 million to REO, which is included in Other assets on our consolidated balance sheets. At June 30, 2021, we had a $374 million commitment to fund bridge loans. See Note 16 for additional information on this commitment. Single-Family Rental Loans Held-for-Investment at CAFL We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying single-family rental loans owned by these entities. The outstanding single-family rental loans held-for-investment at CAFL at June 30, 2021 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. During the six months ended June 30, 2021, we transferred two CAFL loans with a fair value of $12 million to REO, which is included in Other assets on our consolidated balance sheets. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the three and six months ended June 30, 2021 and 2020. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Net market valuation gains (losses) recorded (1) |  | $ | (1,230) |  |  | $ | 169,327 |  |  | $ | (62,132) |  |  | $ | (102,590) |
(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. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans
June 30, 2021 |  | Single-Family Rental at Redwood |  | Single-Family Rental at CAFL |  | Bridge
(Dollars in Thousands) |  |  |
Number of loans |  | 112 |  |  | 1,121 |  |  | 2,471 |
Unpaid principal balance |  | $ | 399,900 |  |  | $ | 3,060,949 |  |  | $ | 729,149 |
Fair value of loans |  | $ | 418,442 |  |  | $ | 3,263,878 |  |  | $ | 726,569 |
Weighted average coupon |  | 4.84 | % |  | 5.34 | % |  | 7.63 | %
Weighted average remaining loan term (years) |  | 7 |  | 5 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 122,277 |  |  | N/A |  | $ | 127,133 |
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 246,903 |  |  | N/A |  | $ | 555,791 |
Delinquency information |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  | 9 |  |  | 21 |  |  | 40 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 6,586 |  |  | $ | 59,841 |  |  | $ | 35,018 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 5,369 |  |  | N/A |  | $ | 31,512 |
Number of loans in foreclosure |  | 7 |  |  | 10 |  |  | 43 |
Unpaid principal balance of loans in foreclosure |  | $ | 5,976 |  |  | $ | 24,212 |  |  | $ | 32,611 |
Fair value of loans in foreclosure (2) |  | $ | 4,798 |  |  | N/A |  | $ | 28,963 |
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. Multifamily Loans We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at June 30, 2021 and December 31, 2020. Table 8.1 – Characteristics of Multifamily Loans
(Dollars in Thousands) |  | June 30, 2021 |  | December 31, 2020
Number of loans |  | 28 |  |  | 28 |
Unpaid principal balance |  | $ | 459,002 |  |  | $ | 462,808 |
Fair value of loans |  | $ | 485,157 |  |  | $ | 492,221 |
Weighted average coupon |  | 4.25 | % |  | 4.25 | %
Weighted average remaining loan term (years) |  | 4 |  | 5
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | — |  |  | — |
Number of loans in foreclosure |  | — |  |  | — |
The outstanding multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 2021 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and six months ended June 30, 2021 and 2020. Table 8.2 – Activity of Multifamily Loans Held-for-Investment
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Net market valuation gains (losses) recorded (1) |  | $ | (2,528) |  |  | $ | 18,591 |  |  | $ | (3,258) |  |  | $ | (63,840) |
(1)Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income (loss). For loans held at our consolidated Freddie Mac K-Series entity, 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 investment in these securitization entities is presented in Table 4.2.

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- Definition The entire disclosure for claims held for amounts due a entity, excluding financing receivables. Examples include, but are not limited to, trade accounts receivables, notes receivables, loans receivables. Includes disclosure for allowance for credit losses. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 10 -URI http://asc.fasb.org/subtopic&trid=2196772 + Details
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