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Consolidated Agency Multifamily Loans | 9 Months Ended
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Sep. 30, 2023
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, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2023 |  |  |  | Legacy |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 610,946 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 610,946 |
Held-for-investment at fair value |  | — |  |  | 150,152 |  |  | 3,774,090 |  |  | 1,312,149 |  |  | 5,236,391 |
Total Residential Loans |  | $ | 610,946 |  |  | $ | 150,152 |  |  | $ | 3,774,090 |  |  | $ | 1,312,149 |  |  | $ | 5,847,337 |
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 September 30, 2023, we owned mortgage servicing rights associated with $653 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, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands) |  | September 30, 2023 |  | December 31, 2022
Number of loans |  | 665 |  |  | 994 |
Unpaid principal balance |  | $ | 658,540 |  |  | $ | 822,063 |
Fair value of loans |  | $ | 610,946 |  |  | $ | 780,781 |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 608,649 |  |  | $ | 775,545 |
Weighted average coupon |  | 5.43 | % |  | 5.12 | %
Delinquency information |  |  |  |
Number of loans with 90+ day delinquencies |  | — |  |  | 1 |
Unpaid principal balance of loans with 90+ day delinquencies |  | $ | — |  |  | $ | 208 |
Fair value of loans with 90+ day delinquencies |  | $ | — |  |  | $ | 170 |
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, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022
Principal balance of loans acquired (1) |  | $ | 857,974 |  |  | $ | 336,698 |  |  | $ | 1,092,992 |  |  | $ | 3,597,339 |
Principal balance of loans sold |  | 53,743 |  |  | 662,302 |  |  | 235,821 |  |  | 3,727,993 |
Principal balance of loans transferred to HFI |  | 337,752 |  |  | — |  |  | 995,047 |  |  | 687,192 |
Net market valuation gains (losses) recorded (2) |  | (8,683) |  |  | (26,674) |  |  | (2,590) |  |  | (90,652) |
(1)For the nine months ended September 30, 2022, includes $102 million, of loans acquired through calls of three 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 September 30, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment
September 30, 2023 |  |  |  | Legacy |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  | Sequoia |  | Sequoia |  | SLST
Number of loans |  |  |  | 1,098 |  |  | 5,460 |  |  | 10,448 |
Unpaid principal balance |  |  |  | $ | 164,904 |  |  | $ | 4,624,113 |  |  | $ | 1,641,178 |
Fair value of loans (2) |  |  |  | $ | 150,152 |  |  | $ | 3,774,090 |  |  | $ | 1,312,149 |
Weighted average coupon |  |  |  | 6.35 | % |  | 3.73 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (1) |  |  |  | 24 |  |  | 9 |  |  | 818 |
Unpaid principal balance of loans with 90+ day delinquencies (1) |  |  |  | $ | 5,460 |  |  | $ | 7,599 |  |  | $ | 139,349 |
Fair value of loans with 90+ day delinquencies |  |  |  | N/A |  | N/A |  | N/A
Number of loans in foreclosure |  |  |  | 14 |  |  | 6 |  |  | 317 |
Unpaid principal balance of loans in foreclosure |  |  |  | $ | 2,742 |  |  | $ | 4,842 |  |  | $ | 52,918 |
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 (1) |  |  |  | $ | 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 and UPB 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. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2. 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 and nine months ended September 30, 2023 and 2022. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities
|  | Three Months Ended September 30, 2023 |  | Three Months Ended September 30, 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 |  | $ | 337,752 |  |  | N/A |  | N/A |  | $ | — |  |  | N/A
Net market valuation gains (losses) recorded |  | (2,242) |  |  | (175,011) |  |  | (51,046) |  |  | 5,182 |  |  | (202,825) |  |  | (104,040) |
|  | Nine Months Ended September 30, 2023 |  | Nine Months Ended September 30, 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 |  | $ | 995,047 |  |  | N/A |  | N/A |  | $ | 684,491 |  |  | N/A
Net market valuation gains (losses) recorded |  | 4,014 |  |  | (166,909) |  |  | (62,756) |  |  | 12,286 |  |  | (685,042) |  |  | (224,543) |
(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 during 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 September 30, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
September 30, 2023 |  | BPL Term |  | BPL Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 72,149 |  |  | — |  |  | $ | 30,628 |  |  | $ | — |  |  | $ | 102,777 |
Held-for-investment at fair value |  | — |  |  | 2,969,217 |  |  | 1,651,883 |  |  | 525,453 |  |  | 5,146,553 |
Total Business Purpose Loans |  | $ | 72,149 |  |  | $ | 2,969,217 |  |  | $ | 1,682,511 |  |  | $ | 525,453 |  |  | $ | 5,249,330 |
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 September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 78% one-month SOFR-indexed adjustable-rate loans, and 22% fixed-rate loans (in each case based on unpaid principal balance). At September 30, 2023, we had $623 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 nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood
|  | Three Months Ended September 30, 2023 |  | Three Months Ended September 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 |  | $ | 105,777 |  |  | $ | 303,284 |  |  | $ | 99,281 |  |  | $ | 470,425 |
Principal balance of loans acquired |  | — |  |  | 1,820 |  |  | — |  |  | 59,977 |
Principal balance of loans sold to third parties |  | 27,436 |  |  | 34,061 |  |  | 37,202 |  |  | 48,279 |
Fair value of loans transferred (1) |  | (278,751) |  |  | (116,679) |  |  | 266,181 |  |  | (77,362) |
Mortgage banking activities income (loss) recorded (3) |  | 1,600 |  |  | 1,438 |  |  | (19,325) |  |  | (110) |
Investment fair value changes recorded (4) |  | — |  |  | (16,899) |  |  | — |  |  | (679) |
|  | Nine Months Ended September 30, 2023 |  | Nine Months Ended September 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 |  | $ | 408,477 |  |  | $ | 828,149 |  |  | $ | 865,253 |  |  | $ | 1,424,604 |
Principal balance of loans acquired |  | — |  |  | 19,054 |  |  | 100,349 |  |  | 81,983 |
Principal balance of loans sold to third parties |  | 425,542 |  |  | 65,868 |  |  | 368,704 |  |  | 48,279 |
Fair value of loans transferred (1)(2) |  | (278,751) |  |  | (337,657) |  |  | 561,218 |  |  | (465,966) |
Mortgage banking activities income (loss) recorded (3) |  | 13,214 |  |  | 4,808 |  |  | (83,827) |  |  | 1,129 |
Investment fair value changes recorded (2)(4) |  | (14,430) |  |  | (22,867) |  |  | — |  |  | (6,747) |
(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 inclusion in an existing bridge loan securitization with a replenishment feature. (2)During the nine months ended September 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 nine months ended September 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. 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. REO See Note 13 for detail on business purpose loan REO activity during 2023. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
|  | Three Months Ended September 30, 2023 |  | Three Months Ended September 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(1) |  | $ | (1,360) |  |  | $ | (2,560) |  |  | $ | (108,980) |  |  | $ | 1,906 |
Transfers |  | 278,751 |  |  | 116,679 |  |  | — |  |  | — |
|  | Nine Months Ended September 30, 2023 |  | Nine Months Ended September 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(1) |  | $ | (1,961) |  |  | $ | (1,960) |  |  | $ | (419,182) |  |  | $ | 50 |
Transfers |  | 278,751 |  |  | 337,657 |  |  | — |  |  | — |
(1)Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. 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. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2. 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, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans
September 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 |  | 45 |  |  | 1,093 |  |  | 1,853 |  |  | 1,344 |
Unpaid principal balance |  | $ | 83,300 |  |  | $ | 3,283,186 |  |  | $ | 1,704,418 |  |  | $ | 521,214 |
Fair value of loans |  | $ | 72,149 |  |  | $ | 2,969,217 |  |  | $ | 1,682,511 |  |  | $ | 525,453 |
Weighted average coupon |  | 6.98 | % |  | 5.35 | % |  | 10.46 | % |  | 10.79 | %
Weighted average remaining loan term (years) |  | 8 |  | 5 |  | 1 |  | 1
Market value of loans pledged as collateral under short-term debt facilities |  | $ | 789 |  |  | N/A |  | $ | 91,561 |  |  | N/A
Market value of loans pledged as collateral under long-term debt facilities |  | $ | 46,915 |  |  | N/A |  | $ | 1,497,589 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Number of loans with 90+ day delinquencies (2) |  | 2 |  |  | 43 |  |  | 45 |  |  | 56 |
Unpaid principal balance of loans with 90+ day delinquencies(2) |  | $ | 27,836 |  |  | $ | 102,676 |  |  | $ | 80,924 |  |  | $ | 7,656 |
Fair value of loans with 90+ day delinquencies |  | $ | 16,822 |  |  | N/A |  | $ | 71,277 |  |  | $ | 7,656 |
Number of loans in foreclosure |  | 2 |  |  | 6 |  |  | 42 |  |  | 49 |
Unpaid principal balance of loans in foreclosure |  | $ | 27,836 |  |  | $ | 4,557 |  |  | $ | 56,272 |  |  | $ | 4,424 |
Fair value of loans in foreclosure |  | $ | 16,822 |  |  | N/A |  | $ | 49,886 |  |  | $ | 4,424 |
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(2) |  | $ | 536 |  |  | $ | 37,072 |  |  | $ | 34,264 |  |  | $ | 7,328 |
Fair value of loans with 90+ day delinquencies |  | $ | 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 |  | $ | 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 and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. At September 30, 2023, in addition to bridge loans that were 90 or more days delinquent, BPL bridge loans with a UPB of $216 million and a fair value of $203 million were on non-accrual status. Included in these amounts were bridge loans with $174 million of UPB that were modified during the third quarter of 2023 with first contractual payments under these modifications due in November 2023. 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 September 30, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans
(Dollars in Thousands) |  | September 30, 2023 |  | December 31, 2022
Number of loans |  | 28 |  |  | 28 |
Unpaid principal balance |  | $ | 440,996 |  |  | $ | 447,193 |
Fair value of loans |  | $ | 420,554 |  |  | $ | 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 September 30, 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 and nine months ended September 30, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022
Net market valuation gains (losses) recorded (1) |  | $ | 2,512 |  |  | $ | (13,691) |  |  | $ | 2,200 |  |  | $ | (40,120) |
(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.

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