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Business Purpose Loans (Tables) | 9 Months Ended
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Sep. 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 September 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2021 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 1,495,079 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,495,079 |
Held-for-investment at fair value |  | — |  |  | 242,234 |  |  | 2,479,750 |  |  | 1,999,405 |  |  | 4,721,389 |
Total Residential Loans |  | $ | 1,495,079 |  |  | $ | 242,234 |  |  | $ | 2,479,750 |  |  | $ | 1,999,405 |  |  | $ | 6,216,468 |
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 |
The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2021 and December 31, 2020. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
September 30, 2021 |  | Single-Family Rental |  | Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 466,346 |  |  | — |  |  | $ | — |  |  | $ | — |  |  | $ | 466,346 |
Held-for-investment at fair value |  | — |  |  | 3,402,410 |  |  | 548,445 |  |  | 276,354 |  |  | 4,227,209 |
Total Business Purpose Loans |  | $ | 466,346 |  |  | $ | 3,402,410 |  |  | $ | 548,445 |  |  | $ | 276,354 |  |  | $ | 4,693,555 |
December 31, 2020 |  | Single-Family Rental |  | Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | 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 |
Single-Family Rental Loans Nearly all of the outstanding single-family rental loans at September 30, 2021 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with less than 1% with original maturities of 30 years. Bridge Loans The outstanding bridge loans held-for-investment at September 30, 2021 were first-lien, interest-only loans with original maturities of six to 24 months and were comprised of 69% one-month LIBOR-indexed adjustable-rate loans and 31% fixed-rate loans. At September 30, 2021, we had a $426 million commitment to fund bridge loans. See Note 16 for additional information on this commitment. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended September 30, 2021 |  | Three Months Ended September 30, 2020
(In Thousands) |  | SFR at Redwood |  | Bridge at Redwood |  | SFR at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | $ | 392,620 |  |  | $ | 208,938 |  |  | $ | 195,744 |  |  | $ | 65,517 |
Principal balance of loans acquired |  | 2,463 |  |  | 35,713 |  |  | — |  |  | — |
Principal balance of loans sold to third parties |  | — |  |  | 253 |  |  | 7,695 |  |  | 1,567 |
Fair value of loans transferred from HFS to HFI (1) |  | 332,670 |  |  | 276,354 |  |  | 326,405 |  |  | N/A
Fair value of loans transferred from HFI to HFS (2) |  | — |  |  | N/A |  | — |  |  | N/A
Mortgage banking activities income (loss) recorded (3) |  | 19,205 |  |  | 3,691 |  |  | 43,191 |  |  | 29 |
Investment fair value changes recorded (4) |  | — |  |  | 900 |  |  | — |  |  | 6,812 |
|  | Nine Months Ended September 30, 2021 |  | Nine Months Ended September 30, 2020
(In Thousands) |  | SFR at Redwood |  | Bridge at Redwood |  | SFR at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | $ | 957,935 |  |  | $ | 557,327 |  |  | $ | 631,749 |  |  | $ | 351,353 |
Principal balance of loans acquired |  | 2,463 |  |  | 35,713 |  |  | — |  |  | — |
Principal balance of loans sold to third parties |  | — |  |  | 9,484 |  |  | 33,843 |  |  | 23,860 |
Fair value of loans transferred from HFS to HFI (1) |  | 799,375 |  |  | 276,354 |  |  | 925,437 |  |  | N/A
Fair value of loans transferred from HFI to HFS (2) |  | 44,922 |  |  | N/A |  | — |  |  | N/A
Mortgage banking activities income (loss) recorded (3) |  | 54,675 |  |  | 5,212 |  |  | 54,731 |  |  | (3,412) |
Investment fair value changes recorded (4) |  | — |  |  | 4,142 |  |  | (20,806) |  |  | (10,016) |
(1)Represents the transfer of 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 nine months ended September 30, 2021, we recorded loan origination fee income of $9 million and $22 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and nine months ended September 30, 2020, we recorded loan origination fee income of $3 million and $13 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 business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2021 and 2020. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
|  | Three Months Ended September 30, 2021 |  | Three Months Ended September 30, 2020
(In Thousands) |  | SFR at CAFL |  | Bridge at CAFL |  | SFR at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded (1) |  | $ | (34,803) |  |  | $ | — |  |  | $ | 88,271 |  |  | $ | — |
|  | Nine Months Ended September 30, 2021 |  | Nine Months Ended September 30, 2020
(In Thousands) |  | SFR at CAFL |  | Bridge at CAFL |  | SFR at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded (1) |  | $ | (96,934) |  |  | $ | — |  |  | $ | (14,319) |  |  | $ | — |
(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 September 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans
September 30, 2021 |  | SFR at Redwood |  | SFR at CAFL |  | Bridge at Redwood |  | Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 123 |  |  | 1,157 |  |  | 1,092 |  |  | 1,589 |
Unpaid principal balance |  | $ | 451,295 |  |  | $ | 3,207,118 |  |  | $ | 550,711 |  |  | $ | 272,243 |
Fair value of loans |  | $ | 466,346 |  |  | $ | 3,402,411 |  |  | $ | 548,445 |  |  | $ | 276,354 |
Weighted average coupon |  | 4.57 | % |  | 5.27 | % |  | 7.48 | % |  | 7.19 | %
Weighted average remaining loan term (years) |  | 7 |  | 6 |  | 1 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 127,930 |  |  | N/A |  | $ | 126,725 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 298,014 |  |  | N/A |  | $ | 373,597 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  | 7 |  |  | 15 |  |  | 35 |  |  | — |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 5,067 |  |  | $ | 39,423 |  |  | $ | 30,132 |  |  | $ | — |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 2,664 |  |  | N/A |  | $ | 26,525 |  |  | $ | — |
Number of loans in foreclosure |  | 6 |  |  | 10 |  |  | 34 |  |  | — |
Unpaid principal balance of loans in foreclosure |  | $ | 4,978 |  |  | $ | 22,004 |  |  | $ | 26,177 |  |  | $ | — |
Fair value of loans in foreclosure (2) |  | $ | 2,619 |  |  | N/A |  | $ | 22,570 |  |  | $ | — |
December 31, 2020 |  | SFR at Redwood |  | SFR at CAFL |  | Bridge at Redwood |  | Bridge at CAFL
(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 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 154,774 |  |  | N/A |  | $ | 544,151 |  |  | N/A
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.

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