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Business Purpose Loans (Tables)
 9 Months Ended
Sep. 30, 2022
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, 2022 and December 31, 2021.
Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2022LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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, 2021LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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 
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, 2022Single-Family RentalBridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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, 2021Single-Family RentalBridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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 RedwoodBridge at RedwoodSFR at RedwoodBridge 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, 2022Nine Months Ended September 30, 2021
(In Thousands)SFR at RedwoodBridge at RedwoodSFR at RedwoodBridge 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 $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss).
(5)Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities.
The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2022 and 2021.
Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
Three Months Ended 
 September 30, 2022		Three Months Ended 
 September 30, 2021
(In Thousands)SFR at
CAFL		Bridge at CAFLSFR at
CAFL		Bridge at CAFL
Net market valuation gains (losses) recorded$(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 CAFLSFR at
CAFL		Bridge at CAFL
Net market valuation gains (losses) recorded$(419,182)$50 $(96,934)$— 
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, 2022SFR at Redwood
SFR at
CAFL(1)
 Bridge at RedwoodBridge at CAFL
(Dollars in Thousands)
Number of loans202 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 coupon5.14 %5.22 %8.06 %8.04 %
Weighted average remaining loan term (years)15621
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, 2021SFR at Redwood
SFR at
CAFL(1)
Bridge at RedwoodBridge at CAFL
(Dollars in Thousands)
Number of loans245 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 coupon4.73 %5.17 %6.91 %7.05 %
Weighted average remaining loan term (years)12611
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.