XML 26 R16.htm IDEA: XBRL DOCUMENT
v3.23.1

Business Purpose Loans | 3 Months Ended
--- | ---
Mar. 31, 2023
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 March 31, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans
March 31, 2023 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 26,975 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 26,975 |
Held-for-investment at fair value |  | — |  |  | 170,000 |  |  | 3,831,538 |  |  | 1,464,345 |  |  | 5,465,883 |
Total Residential Loans |  | $ | 26,975 |  |  | $ | 170,000 |  |  | $ | 3,831,538 |  |  | $ | 1,464,345 |  |  | $ | 5,492,858 |
December 31, 2022 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 780,781 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 780,781 |
Held-for-investment at fair value |  | — |  |  | 184,932 |  |  | 3,190,417 |  |  | 1,457,058 |  |  | 4,832,407 |
Total Residential Loans |  | $ | 780,781 |  |  | $ | 184,932 |  |  | $ | 3,190,417 |  |  | $ | 1,457,058 |  |  | $ | 5,613,188 |
At March 31, 2023, we owned mortgage servicing rights associated with $22 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 March 31, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands) |  | March 31, 2023 |  | December 31, 2022
Number of loans |  | 39 |  |  | 994 |
Unpaid principal balance |  | $ | 27,935 |  |  | $ | 822,063 |
Fair value of loans |  | $ | 26,975 |  |  | $ | 780,781 |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 26,282 |  |  | $ | 775,545 |
Weighted average coupon |  | 6.24 | % |  | 5.12 | %
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | 2 |  |  | 1 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 650 |  |  | $ | 208 |
Fair value of loans with 90+ day delinquencies |  | $ | 576 |  |  | $ | 170 |
Number of loans in foreclosure |  | — |  |  | — |
The following table provides the activity of residential loans held-for-sale during the three months ended March 31, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale
|  | Three Months Ended March 31, |  |
(In Thousands) |  | 2023 |  | 2022 |  |  |  |
Principal balance of loans acquired (1) |  | $ | 53,046 |  |  | $ | 2,115,191 |  |  |  |  |
Principal balance of loans sold |  | 173,153 |  |  | 1,827,364 |  |  |  |  |
Principal balance of loans transferred to HFI |  | 657,295 |  |  | 687,192 |  |  |  |  |
Net market valuation gains (losses) recorded (2) |  | 7,178 |  |  | (31,451) |  |  |  |  |
(1)For the three months ended March 31, 2023 and 2022, includes zero and $102 million, respectively, of loans acquired through calls of zero and three, respectively, seasoned Sequoia securitizations. (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. 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 March 31, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment
March 31, 2023 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,222 |  |  | 5,287 |  |  | 10,748 |
Unpaid principal balance |  |  |  | $ | 189,757 |  |  | $ | 4,449,021 |  |  | $ | 1,695,479 |
Fair value of loans (2) |  |  |  | $ | 170,000 |  |  | $ | 3,831,538 |  |  | $ | 1,464,345 |
Weighted average coupon |  |  |  | 5.57 | % |  | 3.56 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 26 |  |  | 7 |  |  | 1,033 |
Unpaid principal balance of loans with 90+ day delinquencies |  |  |  | $ | 5,856 |  |  | $ | 5,147 |  |  | $ | 174,559 |
Fair value of loans with 90+ day delinquencies |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 10 |  |  | 3 |  |  | 418 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 2,336 |  |  | $ | 2,308 |  |  | $ | 74,676 |
December 31, 2022 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,304 |  |  | 4,624 |  |  | 10,882 |
Unpaid principal balance |  |  |  | $ | 204,404 |  |  | $ | 3,847,091 |  |  | $ | 1,719,236 |
Fair value of loans (2) |  |  |  | $ | 184,932 |  |  | $ | 3,190,417 |  |  | $ | 1,457,058 |
Weighted average coupon |  |  |  | 4.51 | % |  | 3.25 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 30 |  |  | 10 |  |  | 1,211 |
Unpaid principal balance of loans with 90+ day delinquencies |  |  |  | $ | 6,824 |  |  | $ | 7,799 |  |  | $ | 209,397 |
Fair value of loans with 90+ day delinquencies |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 11 |  |  | 5 |  |  | 427 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 1,166 |  |  | $ | 4,654 |  |  | $ | 72,440 |
(1)For loans held at consolidated entities, the number of loans 90-or-more 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. The following table provides the activity of residential loans held-for-investment at consolidated entities during the three months ended March 31, 2023 and 2022. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities
|  | Three Months Ended March 31, 2023 |  | Three Months Ended March 31, 2022
|  | 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 |  | $ | 657,295 |  |  | N/A |  | N/A |  | $ | 684,491 |  |  | N/A
Net market valuation gains (losses) recorded |  | (463) |  |  | 61,867 |  |  | 32,437 |  |  | 6,325 |  |  | (270,731) |  |  | (43,768) |
(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 loan REO activity for the three months ended March 31, 2023. Business Purpose Loans We originate and invest in business purpose loans, including term 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 March 31, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
March 31, 2023 |  | BPL Term |  | BPL Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 354,166 |  |  | — |  |  | $ | 17,219 |  |  | $ | — |  |  | $ | 371,385 |
Held-for-investment at fair value |  | — |  |  | 2,891,043 |  |  | 1,616,610 |  |  | 485,611 |  |  | 4,993,264 |
Total Business Purpose Loans |  | $ | 354,166 |  |  | $ | 2,891,043 |  |  | $ | 1,633,829 |  |  | $ | 485,611 |  |  | $ | 5,364,649 |
December 31, 2022 |  | BPL Term |  | BPL Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 358,791 |  |  | $ | — |  |  | $ | 5,282 |  |  | $ | — |  |  | $ | 364,073 |
Held-for-investment at fair value |  | — |  |  | 2,944,984 |  |  | 1,507,146 |  |  | 516,383 |  |  | 4,968,513 |
Total Business Purpose Loans |  | $ | 358,791 |  |  | $ | 2,944,984 |  |  | $ | 1,512,428 |  |  | $ | 516,383 |  |  | $ | 5,332,586 |
Nearly all of the outstanding BPL term loans at March 31, 2023 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 1% (based on unpaid principal balance) having original maturities of 30 years. The outstanding BPL bridge loans held-for-investment at March 31, 2023 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 35% one-month LIBOR-indexed adjustable-rate loans, 57% one-month SOFR-indexed adjustable-rate loans, and 8% fixed-rate loans (in each case based on unpaid principal balance) . At March 31, 2023, we had $811 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three months ended March 31, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended March 31, 2023 |  | Three Months Ended March 31, 2022
(In Thousands) |  | BPL Term at Redwood |  | BPL Bridge at Redwood |  | BPL Term at Redwood |  | BPL Bridge at Redwood
Principal balance of loans originated |  | $ | 174,078 |  |  | $ | 255,152 |  |  | $ | 442,727 |  |  | $ | 411,938 |
Principal balance of loans acquired |  | 3,815 |  |  | 9,085 |  |  | 61,892 |  |  | 2,983 |
Principal balance of loans sold to third parties |  | 217,702 |  |  | 12,547 |  |  | 331,502 |  |  | — |
Fair value of loans transferred (1) |  | — |  |  | 80,792 |  |  | — |  |  | 82,291 |
Mortgage banking activities income (loss) recorded (2) |  | 12,666 |  |  | 1,162 |  |  | (24,468) |  |  | 2,375 |
Investment fair value changes recorded (3) |  | — |  |  | 1,609 |  |  | — |  |  | (759) |
(1)For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (2)Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (3)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 BPL term loans and bridge loans owned by these entities. For loans held at our consolidated CAFL Term 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. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. We did not elect to account for the CAFL Bridge securitizations under the CFE guidelines. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three months ended March 31, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
|  | Three Months Ended March 31, 2023 |  | Three Months Ended March 31, 2022
(In Thousands) |  | BPL Term at CAFL |  | BPL Bridge at CAFL |  | BPL Term at CAFL |  | BPL Bridge at CAFL
Net market valuation gains (losses) recorded |  | $ | 37,179 |  |  | $ | (592) |  |  | $ | (191,903) |  |  | $ | (1,384) |
REO See Note 13 for detail on business purpose loan REO activity for the three months ended March 31, 2023. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at March 31, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans
March 31, 2023 |  | BPL Term at Redwood |  | BPL Term at CAFL(1) |  | BPL Bridge at Redwood |  | BPL Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 94 |  |  | 1,094 |  |  | 1,473 |  |  | 1,796 |
Unpaid principal balance |  | $ | 349,190 |  |  | $ | 3,172,026 |  |  | $ | 1,636,460 |  |  | $ | 484,124 |
Fair value of loans |  | $ | 354,166 |  |  | $ | 2,891,043 |  |  | $ | 1,633,829 |  |  | $ | 485,611 |
Weighted average coupon |  | 6.98 | % |  | 5.21 | % |  | 10.20 | % |  | 10.41 | %
Weighted average remaining loan term (years) |  | 9 |  | 5 |  | 1 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 345,080 |  |  | N/A |  | $ | 675,971 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | — |  |  | N/A |  | $ | 922,296 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 2 |  |  | 19 |  |  | 53 |  |  | 51 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 1,566 |  |  | $ | 60,740 |  |  | $ | 32,526 |  |  | $ | 11,416 |
Fair value of loans with 90+ day delinquencies (3) |  | $ | 1,157 |  |  | N/A |  | $ | 28,387 |  |  | $ | 11,416 |
Number of loans in foreclosure |  | 1 |  |  | 8 |  |  | 52 |  |  | 49 |
Unpaid principal balance of loans in foreclosure |  | $ | 536 |  |  | $ | 9,378 |  |  | $ | 31,446 |  |  | $ | 7,628 |
Fair value of loans in foreclosure (3) |  | $ | 536 |  |  | N/A |  | $ | 27,308 |  |  | $ | 7,628 |
December 31, 2022 |  | BPL Term at Redwood |  | BPL Term at CAFL(1) |  | BPL Bridge at Redwood |  | BPL Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 91 |  |  | 1,131 |  |  | 1,601 |  |  | 1,875 |
Unpaid principal balance |  | $ | 389,846 |  |  | $ | 3,263,421 |  |  | $ | 1,518,427 |  |  | $ | 514,666 |
Fair value of loans |  | $ | 358,791 |  |  | $ | 2,944,984 |  |  | $ | 1,512,428 |  |  | $ | 516,383 |
Weighted average coupon |  | 5.98 | % |  | 5.22 | % |  | 9.61 | % |  | 9.67 | %
Weighted average remaining loan term (years) |  | 10 |  | 6 |  | 2 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 291,406 |  |  | N/A |  | $ | 579,666 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 66,567 |  |  | N/A |  | $ | 897,782 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 1 |  |  | 16 |  |  | 49 |  |  | 48 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 536 |  |  | $ | 37,072 |  |  | $ | 34,264 |  |  | $ | 7,328 |
Fair value of loans with 90+ day delinquencies (3) |  | $ | 536 |  |  | N/A |  | $ | 29,663 |  |  | $ | 7,438 |
Number of loans in foreclosure |  | 1 |  |  | 9 |  |  | 48 |  |  | 48 |
Unpaid principal balance of loans in foreclosure |  | $ | 536 |  |  | $ | 13,686 |  |  | $ | 34,039 |  |  | $ | 7,328 |
Fair value of loans in foreclosure (3) |  | $ | 536 |  |  | N/A |  | $ | 29,438 |  |  | $ | 7,438 |
(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 CFEs. (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 the multifamily loans consolidated at Redwood at March 31, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans
(Dollars in Thousands) |  | March 31, 2023 |  | December 31, 2022
Number of loans |  | 28 |  |  | 28 |
Unpaid principal balance |  | $ | 445,080 |  |  | $ | 447,193 |
Fair value of loans |  | $ | 426,599 |  |  | $ | 424,551 |
Weighted average coupon |  | 4.25 | % |  | 4.25 | %
Weighted average remaining loan term (years) |  | 2 |  | 3
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 March 31, 2023 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 months ended March 31, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment
|  | Three Months Ended March 31, |  |
(In Thousands) |  | 2023 |  | 2022 |  |  |  |
Net market valuation gains (losses) recorded (1) |  | $ | 4,160 |  |  | $ | (19,681) |  |  |  |  |
(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. 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.

X
- 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
Name: | us-gaap_LoansNotesTradeAndOtherReceivablesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_ReceivablesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration