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Consolidated Agency Multifamily Loans | 9 Months Ended
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Sep. 30, 2022
Receivables [Abstract] |
Consolidated Agency Multifamily 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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2022 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 834,262 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 834,262 |
Held-for-investment at fair value |  | — |  |  | 198,160 |  |  | 3,237,170 |  |  | 1,482,964 |  |  | 4,918,294 |
Total Residential Loans |  | $ | 834,262 |  |  | $ | 198,160 |  |  | $ | 3,237,170 |  |  | $ | 1,482,964 |  |  | $ | 5,752,556 |
December 31, 2021 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 1,845,282 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,845,282 |
Held-for-investment at fair value |  | — |  |  | 230,455 |  |  | 3,628,465 |  |  | 1,888,230 |  |  | 5,747,150 |
Total Residential Loans |  | $ | 1,845,282 |  |  | $ | 230,455 |  |  | $ | 3,628,465 |  |  | $ | 1,888,230 |  |  | $ | 7,592,432 |
At September 30, 2022, we owned mortgage servicing rights associated with $853 million (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 The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2022 and December 31, 2021. Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands) |  | September 30, 2022 |  | December 31, 2021
Number of loans |  | 1,054 |  |  | 2,196 |
Unpaid principal balance |  | $ | 874,412 |  |  | $ | 1,813,865 |
Fair value of loans |  | $ | 834,262 |  |  | $ | 1,845,282 |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 828,192 |  |  | $ | 1,838,797 |
Weighted average coupon |  | 4.99 | % |  | 3.27 | %
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | 1 |  |  | 3 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 209 |  |  | $ | 2,923 |
Fair value of loans with 90+ day delinquencies |  | $ | 170 |  |  | $ | 2,304 |
Number of loans in foreclosure |  | — |  |  | — |
The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2022 and 2021. Table 6.3 – Activity of Residential Loans Held-for-Sale
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Principal balance of loans acquired (1) |  | $ | 336,698 |  |  | $ | 3,167,186 |  |  | $ | 3,597,339 |  |  | $ | 9,747,867 |
Principal balance of loans sold |  | 662,302 |  |  | 2,360,862 |  |  | 3,727,993 |  |  | 6,787,490 |
Principal balance of loans transferred to HFI |  | — |  |  | 448,878 |  |  | 687,192 |  |  | 1,623,000 |
Net market valuation gains (losses) recorded (2) |  | (26,674) |  |  | 9,861 |  |  | (90,652) |  |  | 59,568 |
(1)For the three and nine months ended September 30, 2022, includes zero and $102 million of loans acquired through calls of zero and three seasoned Sequoia securitizations, respectively. (2)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 September 30, 2022 and December 31, 2021. Table 6.4 – Characteristics of Residential Loans Held-for-Investment
September 30, 2022 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,372 |  |  | 4,666 |  |  | 11,054 |
Unpaid principal balance |  |  |  | $ | 218,298 |  |  | $ | 3,902,938 |  |  | $ | 1,753,301 |
Fair value of loans |  |  |  | $ | 198,160 |  |  | $ | 3,237,170 |  |  | $ | 1,482,964 |
Weighted average coupon |  |  |  | 3.23 | % |  | 3.25 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 33 |  |  | 13 |  |  | 1,295 |
Unpaid principal balance of loans with 90+ day delinquencies |  |  |  | $ | 5,532 |  |  | $ | 11,404 |  |  | $ | 223,260 |
Fair value of loans with 90+ day delinquencies (2) |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 16 |  |  | 6 |  |  | 332 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 1,852 |  |  | $ | 5,928 |  |  | $ | 56,755 |
December 31, 2021 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,583 |  |  | 4,300 |  |  | 11,986 |
Unpaid principal balance |  |  |  | $ | 264,057 |  |  | $ | 3,605,469 |  |  | $ | 1,932,241 |
Fair value of loans |  |  |  | $ | 230,455 |  |  | $ | 3,628,465 |  |  | $ | 1,888,230 |
Weighted average coupon |  |  |  | 1.87 | % |  | 3.39 | % |  | 4.51 | %
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 32 |  |  | 18 |  |  | 1,208 |
Unpaid principal balance of loans with 90+ day delinquencies |  |  |  | $ | 7,482 |  |  | $ | 15,124 |  |  | $ | 212,961 |
Fair value of loans with 90+ day delinquencies (2) |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 10 |  |  | 2 |  |  | 241 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 2,188 |  |  | $ | 1,624 |  |  | $ | 43,637 |
(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. 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, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities
|  | Three Months Ended September 30, 2022 |  | Three Months Ended September 30, 2021
|  | 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 |  | $ | — |  |  | N/A |  | N/A |  | $ | 464,189 |  |  | N/A
Net market valuation gains (losses) recorded |  | 5,182 |  |  | (202,825) |  |  | (104,040) |  |  | (2,580) |  |  | (11,663) |  |  | (13,836) |
|  | Nine Months Ended September 30, 2022 |  | Nine Months Ended September 30, 2021
|  | 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 |  | $ | 684,491 |  |  | N/A |  | N/A |  | $ | 1,669,683 |  |  | N/A
Net market valuation gains (losses) recorded |  | 12,286 |  |  | (685,042) |  |  | (224,543) |  |  | 9,896 |  |  | (27,076) |  |  | 5,177 |
(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loans transferred to REO during 2022. 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 September 30, 2022 and December 31, 2021. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
September 30, 2022 |  | Single-Family Rental |  | Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 281,105 |  |  | — |  |  | $ | 56,133 |  |  | $ | — |  |  | $ | 337,238 |
Held-for-investment at fair value |  | — |  |  | 3,018,994 |  |  | 1,388,750 |  |  | 512,236 |  |  | 4,919,980 |
Total Business Purpose Loans |  | $ | 281,105 |  |  | $ | 3,018,994 |  |  | $ | 1,444,883 |  |  | $ | 512,236 |  |  | $ | 5,257,218 |
December 31, 2021 |  | Single-Family Rental |  | Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 358,309 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 358,309 |
Held-for-investment at fair value |  | — |  |  | 3,488,074 |  |  | 666,364 |  |  | 278,242 |  |  | 4,432,680 |
Total Business Purpose Loans |  | $ | 358,309 |  |  | $ | 3,488,074 |  |  | $ | 666,364 |  |  | $ | 278,242 |  |  | $ | 4,790,989 |
Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 39% one-month LIBOR-indexed adjustable-rate loans, 48% one-month SOFR-indexed adjustable-rate loans, and 13% fixed-rate loans. At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended September 30, 2022 |  | Three Months Ended September 30, 2021
(In Thousands) |  | SFR at Redwood |  | Bridge at Redwood |  | SFR at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | $ | 99,281 |  |  | $ | 470,425 |  |  | $ | 392,620 |  |  | $ | 208,938 |
Principal balance of loans acquired (1) |  | — |  |  | 59,977 |  |  | 2,463 |  |  | 35,713 |
Principal balance of loans sold to third parties |  | 37,202 |  |  | 48,279 |  |  | — |  |  | 253 |
Fair value of loans transferred (2) |  | 266,181 |  |  | 77,362 |  |  | 332,670 |  |  | 276,354 |
Mortgage banking activities income (loss) recorded (4) |  | (19,325) |  |  | (110) |  |  | 19,205 |  |  | 3,691 |
Investment fair value changes recorded (5) |  | — |  |  | (679) |  |  | — |  |  | 900 |
|  | Nine Months Ended September 30, 2022 |  | Nine Months Ended September 30, 2021
(In Thousands) |  | SFR at Redwood |  | Bridge at Redwood |  | SFR at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | $ | 865,253 |  |  | $ | 1,424,604 |  |  | $ | 957,935 |  |  | $ | 557,327 |
Principal balance of loans acquired (1) |  | 100,349 |  |  | 81,983 |  |  | 2,463 |  |  | 35,713 |
Principal balance of loans sold to third parties |  | 368,704 |  |  | 48,279 |  |  | — |  |  | 9,484 |
Fair value of loans transferred (2) |  | 561,218 |  |  | 465,966 |  |  | 799,375 |  |  | 276,354 |
Fair value of loans transferred from HFI to HFS (3) |  | — |  |  | — |  |  | 44,922 |  |  | N/A
Mortgage banking activities income (loss) recorded (4) |  | (83,827) |  |  | 1,129 |  |  | 54,675 |  |  | 5,212 |
Investment fair value changes recorded (5) |  | — |  |  | (6,747) |  |  | — |  |  | 4,142 |
(1)Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2)For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3)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. (4)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, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5)Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose 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 and bridge loans owned by these entities. 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, and are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2022 and 2021. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
|  | Three Months Ended September 30, 2022 |  | Three Months Ended September 30, 2021
(In Thousands) |  | SFR at CAFL |  | Bridge at CAFL |  | SFR at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded |  | $ | (108,980) |  |  | $ | 1,906 |  |  | $ | (34,803) |  |  | $ | — |
|  | Nine Months Ended September 30, 2022 |  | Nine Months Ended September 30, 2021
(In Thousands) |  | SFR at CAFL |  | Bridge at CAFL |  | SFR at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded |  | $ | (419,182) |  |  | $ | 50 |  |  | $ | (96,934) |  |  | $ | — |
REO See Note 13 for detail on business purpose loans transferred to REO during 2022. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans
September 30, 2022 |  | SFR at Redwood |  | SFR at CAFL(1) |  | Bridge at Redwood |  | Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 202 |  |  | 1,142 |  |  | 1,585 |  |  | 1,994 |
Unpaid principal balance |  | $ | 317,556 |  |  | $ | 3,316,706 |  |  | $ | 1,452,180 |  |  | $ | 510,839 |
Fair value of loans |  | $ | 281,105 |  |  | $ | 3,018,994 |  |  | $ | 1,444,883 |  |  | $ | 512,236 |
Weighted average coupon |  | 5.14 | % |  | 5.22 | % |  | 8.06 | % |  | 8.04 | %
Weighted average remaining loan term (years) |  | 15 |  | 6 |  | 2 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 279,846 |  |  | N/A |  | $ | 702,899 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | — |  |  | N/A |  | $ | 699,704 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 1 |  |  | 15 |  |  | 51 |  |  | 47 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 536 |  |  | $ | 31,296 |  |  | $ | 33,822 |  |  | $ | 7,063 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 528 |  |  | N/A |  | $ | 31,140 |  |  | $ | 7,144 |
Number of loans in foreclosure (3) |  | 1 |  |  | 7 |  |  | 49 |  |  | — |
Unpaid principal balance of loans in foreclosure |  | $ | 536 |  |  | $ | 10,335 |  |  | $ | 33,471 |  |  | $ | — |
Fair value of loans in foreclosure (3) |  | $ | 528 |  |  | N/A |  | $ | 30,789 |  |  | $ | — |
December 31, 2021 |  | SFR at Redwood |  | SFR at CAFL(1) |  | Bridge at Redwood |  | Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 245 |  |  | 1,173 |  |  | 1,134 |  |  | 1,640 |
Unpaid principal balance |  | $ | 348,232 |  |  | $ | 3,340,949 |  |  | $ | 670,392 |  |  | $ | 274,617 |
Fair value of loans |  | $ | 358,309 |  |  | $ | 3,488,074 |  |  | $ | 666,364 |  |  | $ | 278,242 |
Weighted average coupon |  | 4.73 | % |  | 5.17 | % |  | 6.91 | % |  | 7.05 | %
Weighted average remaining loan term (years) |  | 12 |  | 6 |  | 1 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 75,873 |  |  | N/A |  | $ | 91,814 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 244,703 |  |  | N/A |  | $ | 554,597 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 6 |  |  | 18 |  |  | 31 |  |  | — |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 5,384 |  |  | $ | 41,998 |  |  | $ | 18,032 |  |  | $ | — |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 4,238 |  |  | N/A |  | $ | 14,218 |  |  | $ | — |
Number of loans in foreclosure (3) |  | 7 |  |  | 9 |  |  | 28 |  |  | — |
Unpaid principal balance of loans in foreclosure |  | $ | 5,473 |  |  | $ | 12,648 |  |  | $ | 18,043 |  |  | $ | — |
Fair value of loans in foreclosure (3) |  | $ | 4,305 |  |  | N/A |  | $ | 14,257 |  |  | $ | — |
Footnotes to Table 7.4 (1)The fair value of the loans held by consolidated CAFL 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. (2)The number of loans 90-or-more days delinquent includes loans in foreclosure. (3)May include loans that are less than 90 days delinquent. Consolidated Agency 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 our consolidated Agency multifamily loans at September 30, 2022 and December 31, 2021. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans
(Dollars in Thousands) |  | September 30, 2022 |  | December 31, 2021
Number of loans |  | 28 |  |  | 28 |
Unpaid principal balance |  | $ | 449,232 |  |  | $ | 455,168 |
Fair value of loans |  | $ | 427,458 |  |  | $ | 473,514 |
Weighted average coupon |  | 4.25 | % |  | 4.25 | %
Weighted average remaining loan term (years) |  | 3 |  | 4
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | — |  |  | — |
Number of loans in foreclosure |  | — |  |  | — |
The outstanding consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2022 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 nine months ended September 30, 2022 and 2021. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Net market valuation gains (losses) recorded (1) |  | $ | (13,691) |  |  | $ | (487) |  |  | $ | (40,120) |  |  | $ | (3,745) |
(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 https://asc.fasb.org/subtopic&trid=2196772 + Details
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