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v3.23.2

Business Purpose Loans (Tables) | 6 Months Ended
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Jun. 30, 2023
Receivables [Abstract] |
Schedule of 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, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans
June 30, 2023 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 196,737 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 196,737 |
Held-for-investment at fair value |  | — |  |  | 163,222 |  |  | 3,703,754 |  |  | 1,392,186 |  |  | 5,259,162 |
Total Residential Loans |  | $ | 196,737 |  |  | $ | 163,222 |  |  | $ | 3,703,754 |  |  | $ | 1,392,186 |  |  | $ | 5,455,899 |
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 |
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, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
June 30, 2023 |  | BPL Term |  | BPL Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 269,886 |  |  | — |  |  | $ | 12,950 |  |  | $ | — |  |  | $ | 282,836 |
Held-for-investment at fair value |  | — |  |  | 2,783,731 |  |  | 1,663,802 |  |  | 496,354 |  |  | 4,943,887 |
Total Business Purpose Loans |  | $ | 269,886 |  |  | $ | 2,783,731 |  |  | $ | 1,676,752 |  |  | $ | 496,354 |  |  | $ | 5,226,723 |
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 |
All of the outstanding BPL term loans at June 30, 2023 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at June 30, 2023 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 33% one-month LIBOR-indexed adjustable-rate loans, 60% one-month SOFR-indexed adjustable-rate loans, and 7% fixed-rate loans (in each case based on unpaid principal balance). As described above within Note 3, LIBOR-indexed BPL bridge loans we hold have fallback provisions for benchmark rate replacement in connection with the cessation of LIBOR in 2023. At June 30, 2023, we had $755 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 and six months ended June 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended June 30, 2023 |  | Three Months Ended June 30, 2022
(In Thousands) |  | BPL Term at Redwood |  | BPL Bridge at Redwood |  | BPL Term at Redwood |  | BPL Bridge at Redwood
Principal balance of loans originated |  | $ | 128,622 |  |  | $ | 269,713 |  |  | $ | 323,245 |  |  | $ | 542,241 |
Principal balance of loans acquired |  | — |  |  | 8,149 |  |  | 38,457 |  |  | 19,023 |
Principal balance of loans sold to third parties |  | 180,404 |  |  | 19,260 |  |  | — |  |  | — |
Fair value of loans transferred (1)(2) |  | — |  |  | (140,186) |  |  | (295,037) |  |  | (306,313) |
Mortgage banking activities income (loss) recorded (3) |  | (1,132) |  |  | 2,291 |  |  | (40,034) |  |  | (1,136) |
Investment fair value changes recorded (2)(4) |  | (13,625) |  |  | (8,778) |  |  | — |  |  | (5,309) |
|  | Six Months Ended June 30, 2023 |  | Six Months Ended June 30, 2022
(In Thousands) |  | BPL Term at Redwood |  | BPL Bridge at Redwood |  | BPL Term at Redwood |  | BPL Bridge at Redwood
Principal balance of loans originated |  | $ | 302,700 |  |  | $ | 524,865 |  |  | $ | 765,972 |  |  | $ | 954,179 |
Principal balance of loans acquired |  | — |  |  | 17,234 |  |  | 100,349 |  |  | 22,006 |
Principal balance of loans sold to third parties |  | 398,106 |  |  | 31,807 |  |  | 331,502 |  |  | — |
Fair value of loans transferred (1)(2) |  | — |  |  | (220,978) |  |  | (295,037) |  |  | (388,604) |
Mortgage banking activities income (loss) recorded (3) |  | 11,534 |  |  | 3,453 |  |  | (64,502) |  |  | 1,240 |
Investment fair value changes recorded (2)(4) |  | (13,625) |  |  | (7,266) |  |  | — |  |  | (6,068) |
(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)During the three months ended June 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the three and six months ended June 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3)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). (4)For BPL Bridge at Redwood, 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 six months ended June 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
|  | Three Months Ended June 30, 2023 |  | Three Months Ended June 30, 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 |  | $ | (37,780) |  |  | $ | 1,192 |  |  | $ | (118,299) |  |  | $ | (281) |
Transfers |  | — |  |  | 140,186 |  |  | 295,037 |  |  | 306,313 |
|  | Six Months Ended June 30, 2023 |  | Six Months Ended June 30, 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 |  | $ | (601) |  |  | $ | 600 |  |  | $ | (310,202) |  |  | $ | (1,856) |
Transfers |  | — |  |  | 220,978 |  |  | 295,037 |  |  | 388,604 |
The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans
June 30, 2023 |  | BPL Term at Redwood |  | BPL Term at CAFL(1) |  | BPL Bridge at Redwood |  | BPL Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Number of loans |  | 60 |  |  | 1,072 |  |  | 1,341 |  |  | 1,683 |
Unpaid principal balance |  | $ | 283,650 |  |  | $ | 3,101,083 |  |  | $ | 1,687,258 |  |  | $ | 491,909 |
Fair value of loans |  | $ | 269,886 |  |  | $ | 2,783,731 |  |  | $ | 1,676,752 |  |  | $ | 496,354 |
Weighted average coupon |  | 6.96 | % |  | 5.20 | % |  | 10.74 | % |  | 10.93 | %
Weighted average remaining loan term (years) |  | 7 |  | 5 |  | 1 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 196,538 |  |  | N/A |  | $ | 587,094 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 20,564 |  |  | N/A |  | $ | 971,338 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 2 |  |  | 45 |  |  | 53 |  |  | 53 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | 28,494 |  |  | $ | 99,198 |  |  | $ | 93,045 |  |  | $ | 12,196 |
Fair value of loans with 90+ day delinquencies (3) |  | $ | 16,822 |  |  | N/A |  | $ | 81,378 |  |  | $ | 10,489 |
Number of loans in foreclosure |  | 2 |  |  | 7 |  |  | 52 |  |  | 50 |
Unpaid principal balance of loans in foreclosure |  | $ | 28,494 |  |  | $ | 8,183 |  |  | $ | 55,238 |  |  | $ | 10,016 |
Fair value of loans in foreclosure (3) |  | $ | 16,822 |  |  | N/A |  | $ | 48,306 |  |  | $ | 9,431 |
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 |
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 CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2. Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2)The number of loans 90-or-more days delinquent includes all loans in foreclosure. (3)May include loans that are less than 90 days delinquent.

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