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Business Purpose Loans (Tables)
 9 Months Ended
Sep. 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 September 30, 2023 and December 31, 2022.
Table 6.1 – Classifications and Carrying Values of Residential Loans
September 30, 2023LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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, 2022LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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 September 30, 2023 and December 31, 2022.
Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
September 30, 2023BPL TermBPL Bridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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, 2022BPL TermBPL Bridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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 RedwoodBPL Bridge at RedwoodBPL Term at RedwoodBPL 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, 2023Nine Months Ended September 30, 2022
(In Thousands)BPL Term at RedwoodBPL Bridge at RedwoodBPL Term at RedwoodBPL 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.
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 CAFLBPL Term at
CAFL		BPL Bridge at CAFL
Net market valuation gains (losses) recorded(1)
$(1,360)$(2,560)$(108,980)$1,906 
Transfers278,751 116,679 — — 
Nine Months Ended 
 September 30, 2023		Nine Months Ended 
 September 30, 2022
(In Thousands)BPL Term at
CAFL		BPL Bridge at CAFLBPL Term at
CAFL		BPL Bridge at CAFL
Net market valuation gains (losses) recorded(1)
$(1,961)$(1,960)$(419,182)$50 
Transfers278,751 337,657 — — 
(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.
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, 2023BPL Term at Redwood
BPL Term at
CAFL(1)
BPL Bridge at RedwoodBPL Bridge at CAFL
(Dollars in Thousands)
Number of loans45 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 coupon6.98 %5.35 %10.46 %10.79 %
Weighted average remaining loan term (years)8511
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, 2022BPL Term at Redwood
BPL Term at
CAFL(1)
BPL Bridge at RedwoodBPL Bridge at CAFL
(Dollars in Thousands)
Number of loans91 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 coupon5.98 %5.22 %9.61 %9.67 %
Weighted average remaining loan term (years)10621
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 foreclosure1 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.