XML 60 R38.htm IDEA: XBRL DOCUMENT v3.21.2
Residential Loans (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020.
Table 6.1 – Classifications and Carrying Values of Residential Loans
June 30, 2021LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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, 2020LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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 June 30, 2021 and December 31, 2020.
Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
June 30, 2021Single-Family RentalResidential
(In Thousands)RedwoodCAFLBridgeTotal
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, 2020Single-Family RentalResidential
(In Thousands)RedwoodCAFLBridgeTotal
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 RedwoodBridgeSFR at RedwoodBridge
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/A220,923 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 RedwoodBridgeSFR at RedwoodBridge
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/A599,032 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.
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)2021202020212020
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.
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, 2021Single-Family Rental at RedwoodSingle-Family Rental at CAFL Bridge
(Dollars in Thousands)
Number of loans112 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 coupon4.84 %5.34 %7.63 %
Weighted average remaining loan term (years)751
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 foreclosure7 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, 2020Single-Family Rental at RedwoodSingle-Family Rental at CAFLBridge
(Dollars in Thousands)
Number of loans65 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 coupon4.84 %5.44 %8.09 %
Weighted average remaining loan term (years)851
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 June 30, 2021 and December 31, 2020.
Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands)June 30, 2021December 31, 2020
Number of loans1,316 198 
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 delinquencies2 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— — 
Quarterly Activity of Residential Loans Held-for-Sale
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)2021202020212020
Principal balance of loans acquired$3,484,633 $57,743 $6,580,681 $2,687,651 
Principal balance of loans sold3,324,919 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).
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 June 30, 2021 and December 31, 2020.
Table 6.4 – Characteristics of Residential Loans Held-for-Investment
June 30, 2021LegacyFreddie Mac
(Dollars in Thousands)SequoiaSequoiaSLST
Number of loans1,733 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/AN/AN/A
Number of loans in foreclosure18 3 308 
Unpaid principal balance of loans in foreclosure$3,830 $2,257 $51,191 
December 31, 2020LegacyFreddie Mac
(Dollars in Thousands)SequoiaSequoiaSLST
Number of loans1,908 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/AN/AN/A
Number of loans in foreclosure21 3 245 
Unpaid principal balance of loans in foreclosure$4,939 $2,251 $38,610 
(1)For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure.
(2)The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities.
Quarterly Activity of Residential Loans Held-for-Investment
The following table provides the activity of residential loans held-for-investment at Redwood during the three and six months ended June 30, 2021 and 2020.
Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2021202020212020
Fair value of loans transferred from HFS to HFI$— $— $— $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, 2021Three Months Ended June 30, 2020
LegacyFreddie MacLegacyFreddie Mac
(In Thousands)SequoiaSequoiaSLSTSequoiaSequoiaSLST
Fair value of loans transferred from HFS to HFI (1)
N/A$1,205,494 N/AN/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, 2021Six Months Ended June 30, 2020
LegacyFreddie MacLegacyFreddie Mac
(In Thousands)SequoiaSequoiaSLSTSequoiaSequoiaSLST
Fair value of loans transferred from HFS to HFI (1)
N/A$1,205,494 N/AN/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.