Consolidated Agency Multifamily Loans

3 Months Ended

Mar. 31, 2024

Residential Consumer Loans

We acquire residential consumer 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 consumer loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2024 and December 31, 2023.

Table 6.1 – Classifications and Carrying Values of Residential Consumer Loans


March 31, 2024			Legacy				Freddie Mac
(In Thousands)	Redwood		Sequoia		Sequoia		SLST		Total
Held-for-sale at fair value	$	511,706	$	—	$	—	$	—	$	511,706
Held-for-investment at fair value	—		131,859		5,640,341		1,332,686		7,104,886
Total Residential Consumer Loans	$	511,706	$	131,859	$	5,640,341	$	1,332,686	$	7,616,592


December 31, 2023			Legacy				Freddie Mac
(In Thousands)	Redwood		Sequoia		Sequoia		SLST		Total
Held-for-sale at fair value	$	911,192	$	—	$	—	$	—	$	911,192
Held-for-investment at fair value	—		139,739		4,640,464		1,359,242		6,139,445
Total Residential Consumer Loans	$	911,192	$	139,739	$	4,640,464	$	1,359,242	$	7,050,637

At March 31, 2024, we owned mortgage servicing rights associated with $504 million (principal balance) of residential consumer 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 Consumer Loans Held-for-Sale

The following table summarizes the characteristics of residential consumer loans held-for-sale at March 31, 2024 and December 31, 2023.

Table 6.2 – Characteristics of Residential Consumer Loans Held-for-Sale


(Dollars in Thousands)	March 31, 2024			December 31, 2023
Number of loans	448			874
Unpaid principal balance	$	508,708		$	916,877
Fair value of loans	$	511,706		$	911,192
Market value of loans pledged as collateral under short-term borrowing agreements	$	507,450		$	907,742
Weighted average coupon	6.74		%	6.25		%

At both March 31, 2024 and December 31, 2023, there were no residential consumer loans held-for-sale that were 90 days or more delinquent or in foreclosure.

The following table provides the activity of residential consumer loans held-for-sale during the three months ended March 31, 2024 and 2023.

Table 6.3 – Activity of Residential Consumer Loans Held-for-Sale


	Three Months Ended March 31,
(In Thousands)	2024		2023
Principal balance of loans acquired	$	999,786	$	53,046
Principal balance of loans sold	201,581		173,153
Principal balance of loans transferred from HFS to HFI	1,187,961		657,295
Net market valuation gains recorded (1)	2,497		7,178

(1)Net market valuation gains on residential consumer loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income.

Residential Consumer 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 consumer loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential consumer loans owned at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2024 and December 31, 2023.

Table 6.4 – Characteristics of Residential Consumer Loans Held-for-Investment


March 31, 2024	Legacy						Freddie Mac
(Dollars in Thousands)	Sequoia			Sequoia			SLST
Number of loans	1,017			7,078			10,187
Unpaid principal balance	$	146,688		$	6,294,974		$	1,593,040
Fair value of loans (1)	$	131,859		$	5,640,341		$	1,332,686
Weighted average coupon	6.59		%	4.52		%	4.50		%

Delinquency information
Number of loans with 90+ day delinquencies (2)	15			14			743
Unpaid principal balance of loans with 90+ day delinquencies (2)	$	4,328		$	11,904		$	125,401

Number of loans in foreclosure	5			6			286
Unpaid principal balance of loans in foreclosure	$	1,086		$	5,335		$	47,490


December 31, 2023	Legacy						Freddie Mac
(Dollars in Thousands)	Sequoia			Sequoia			SLST
Number of loans	1,059			6,070			10,302
Unpaid principal balance	$	156,053		$	5,242,860		$	1,614,974
Fair value of loans (1)	$	139,739		$	4,640,464		$	1,359,242
Weighted average coupon	6.54		%	4.08		%	4.50		%

Delinquency information
Number of loans with 90+ day delinquencies (2)	16			11			796
Unpaid principal balance of loans with 90+ day delinquencies (2)	$	4,141		$	8,882		$	132,307

Number of loans in foreclosure	7			5			292
Unpaid principal balance of loans in foreclosure	$	1,848		$	3,386		$	47,654

(1)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.

(2)For loans held at consolidated entities, the number and unpaid principal balance of loans 90+ days delinquent includes loans in foreclosure.

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 consumer loans held-for-investment at consolidated entities during the three months ended March 31, 2024 and 2023.

Table 6.5 – Activity of Residential Consumer Loans Held-for-Investment at Consolidated Entities

Three Months Ended March 31, 2024

Three Months Ended March 31, 2023

Legacy

Freddie Mac

Legacy

Freddie Mac

(In Thousands)

Sequoia

SLST

Sequoia

SLST

Principal value of loans transferred from HFS to HFI (1)

N/A

1,187,961

N/A

657,295

N/A

Net market valuation gains (losses) recorded

1,516

(56,324)

(4,231)

(463)

61,867

32,437

(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations.

Residential Investor Loans

We originate and invest in residential investor loans, including term loans and bridge loans. The following table summarizes the classifications and carrying values of the residential investor loans owned at Redwood and at consolidated CAFL entities at March 31, 2024 and December 31, 2023.

Table 7.1 – Classifications and Carrying Values of Residential Investor Loans


March 31, 2024	Residential Investor Term				Residential Investor Bridge
(In Thousands)	Redwood		CAFL		Redwood		CAFL		Total
Held-for-sale at fair value	$	253,774	—		$	26,777	$	—	$	280,551
Held-for-investment at fair value	—		2,853,052		1,286,233		762,158		4,901,443
Total Residential Investor Loans	$	253,774	$	2,853,052	$	1,313,010	$	762,158	$	5,181,994


December 31, 2023	Residential Investor Term				Residential Investor Bridge
(In Thousands)	Redwood		CAFL		Redwood		CAFL		Total
Held-for-sale at fair value	$	144,359	$	—	$	35,891	$	—	$	180,250
Held-for-investment at fair value	—		2,971,725		1,305,727		762,596		5,040,048
Total Residential Investor Loans	$	144,359	$	2,971,725	$	1,341,618	$	762,596	$	5,220,298

Nearly all of the outstanding residential investor term loans at March 31, 2024 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years.

The outstanding residential investor bridge loans held-for-investment at March 31, 2024 were first-lien, interest-only loans with original maturities of 6 to 36 months and were comprised of 73% one-month SOFR-indexed adjustable-rate loans, and 27% fixed-rate loans.

At March 31, 2024, we had $513 million in commitments to fund residential investor bridge loans. See Note 17 for additional information on these commitments.

The following table provides the activity of residential investor loans at Redwood during the three months ended March 31, 2024 and 2023.

Table 7.2 – Activity of Residential Investor Loans at Redwood


	Three Months Ended March 31, 2024				Three Months Ended March 31, 2023
(In Thousands)	Residential Investor Term at Redwood		Residential Investor Bridge at Redwood		Residential Investor Term at Redwood		Residential Investor Bridge at Redwood
Principal balance of loans originated	$	117,090	$	194,029	$	174,078	$	255,152
Principal balance of loans acquired	—		15,677		—		9,085
Principal balance of loans sold to third parties (1)	6,032		53,221		217,702		12,547
Fair value of loans transferred (2)	—		(98,731)		—		(80,792)

Mortgage banking activities income (loss) recorded (3)	(296)		946		12,700		1,119
Investment fair value changes recorded	(1,000)		(3,218)		—		1,608

(1)The principal balance of loans sold to third parties is net of $15 million related to construction draws on residential investor bridge loans sold to the Oaktree joint venture.

(2)For residential investor term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For residential investor bridge at Redwood, represents the transfer of residential investor bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in one of our bridge loan securitizations, which generally have replenishment features.

(3)Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold, securitized or transferred to our investment portfolio. See Table 20.1 for additional detail on Mortgage banking activities income (loss).

Residential Investor Loans Held-for-Investment at CAFL

We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying residential investor term loans and bridge loans owned by these entities. For loans held at our consolidated CAFL Term entities and one CAFL Bridge 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, 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 the CAFL Term entities is presented in Table 4.2. We did not elect to account for two of our CAFL Bridge securitizations under the collateralized financing entity guidelines but have elected to account for the loans in these securitizations at fair value, and changes in fair value for these loans are recorded through Investment fair value changes, net on our consolidated statements of income.

The following table provides the activity of residential investor loans held-for-investment at CAFL during the three months ended March 31, 2024 and 2023.

Table 7.3 – Activity of Residential Investor Loans Held-for-Investment at CAFL


	Three Months Ended March 31, 2024				Three Months Ended March 31, 2023
(In Thousands)	Residential Investor Term at CAFL		Residential Investor Bridge at CAFL		Residential Investor Term at CAFL		Residential Investor Bridge at CAFL
Net market valuation gains (losses) recorded(1)	$	7,583	$	3,690	$	37,179	$	(592)
Fair value of loans transferred to HFI	—		98,731		—		80,792

Footnote to Table 7.3

(1)Net market valuation gains (losses) on residential investor 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 and one CAFL Bridge 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.

Residential Investor Loan Characteristics

The following tables summarize the characteristics of the residential investor loans owned at Redwood and at consolidated CAFL entities at March 31, 2024 and December 31, 2023.

Table 7.4 – Characteristics of Residential Investor Loans


March 31, 2024	Term at Redwood			Term at CAFL(1)			Bridge at Redwood			Bridge at CAFL
(Dollars in Thousands)
Number of loans	73			1,022			850			1,849
Unpaid principal balance	$	263,048		$	3,066,563		$	1,336,820		$	752,084
Fair value of loans	$	253,774		$	2,853,052		$	1,313,010		$	762,158
Weighted average coupon	6.95		%	5.34		%	10.35		%	10.62		%
Weighted average remaining loan term (years)	7			5			1			1
Market value of loans pledged as collateral under short-term debt facilities	$	5,307		N/A			$	35,653		N/A
Market value of loans pledged as collateral under long-term debt facilities	$	212,589		N/A			$	1,223,044		N/A
Delinquency information
Number of loans with 90+ day delinquencies (2)	2			42			48			61
Unpaid principal balance of loans with 90+ day delinquencies	$	28,064		$	137,447		$	92,810		$	11,741
Fair value of loans with 90+ day delinquencies (2)	$	15,623		N/A			$	81,326		N/A
Number of loans in foreclosure	2			10			34			59
Unpaid principal balance of loans in foreclosure (3)	$	28,064		$	25,158		$	76,483		$	5,295
Fair value of loans in foreclosure (3)	$	15,623		N/A			$	64,999		N/A


December 31, 2023	Term at Redwood			Term at CAFL(1)			Bridge at Redwood			Bridge at CAFL
(Dollars in Thousands)
Number of loans	38			1,055			925			1,912
Unpaid principal balance	$	152,213		$	3,194,131		$	1,360,957		$	756,574
Fair value of loans	$	144,359		$	2,971,725		$	1,341,618		$	762,596
Weighted average coupon	6.92		%	5.34		%	10.41		%	10.82		%
Weighted average remaining loan term (years)	7			5			1			1
Market value of loans pledged as collateral under short-term debt facilities	$	2,393		N/A			$	92,832		N/A
Market value of loans pledged as collateral under long-term debt facilities	$	122,541		N/A			$	1,205,366		N/A
Delinquency information
Number of loans with 90+ day delinquencies (2)	2			45			54			52
Unpaid principal balance of loans with 90+ day delinquencies	$	28,263		$	143,623		$	96,934		$	10,646
Fair value of loans with 90+ day delinquencies (2)	$	16,822		N/A			$	86,137		N/A
Number of loans in foreclosure	2			7			36			47
Unpaid principal balance of loans in foreclosure (3)	$	28,263		$	15,708		$	79,841		$	3,931
Fair value of loans in foreclosure (3)	$	16,822		N/A			$	69,046		N/A

Footnotes to Table 7.4

(1)The fair value of the loans held by consolidated CAFL Term entities and one CAFL Bridge entity were 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+ days delinquent includes loans in foreclosure.

(3)May include loans that are less than 90 days delinquent.

At March 31, 2024 and December 31, 2023, in addition to residential investor bridge and term loans that were 90 or more days delinquent, residential investor bridge loans with an aggregate unpaid principal balance of $142 million and $207 million, respectively, and an aggregate fair value of $137 million and $201 million, respectively, were on non-accrual status.

The following table presents the unpaid principal balance of business purpose loans recorded on our consolidated balance sheets at March 31, 2024 by collateral/strategy type.

Table 7.5 – Residential Investor Loans Collateral/Strategy Type


March 31, 2024	Term at Redwood		Term at CAFL(1)		Bridge at Redwood		Bridge at CAFL(1)
(Dollars in Thousands)
Term
Single family rental	185,581		2,393,902		—		—
Multifamily	77,467		672,661		—		—
Bridge
Renovate / Build for Rent ("BFR")(2)	—		—		602,774		389,451
Single Asset Bridge ("SAB")(3)	—		—		23,023		136,475
Multifamily(4)	—		—		686,456		221,635
Third-Party Originated	—		—		24,567		4,523
Total Residential Investor Loans	$	263,048	$	3,066,563	$	1,336,820	$	752,084

(2) Includes loans to finance acquisition and/or stabilization of existing housing stock or to finance new construction of residential properties for
rent.

(3) Includes loans for light to moderate renovation of residential and small multifamily properties (generally less than 20 units).

(4) Includes loans for predominantly light to moderate rehabilitation projects on multifamily properties.

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, 2024 and December 31, 2023.

Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans


(Dollars in Thousands)	March 31, 2024			December 31, 2023
Number of loans	28			28
Unpaid principal balance	$	436,718		$	438,868
Fair value of loans	$	422,788		$	425,285
Weighted average coupon	4.25		%	4.25		%
Weighted average remaining loan term (years)	1			2

There were no consolidated agency multifamily loans with 90+ day delinquencies and no multifamily loans in foreclosure at March 31, 2024 and December 31, 2023.

The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at March 31, 2024 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, 2024 and 2023.

Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment


	Three Months Ended March 31,
(In Thousands)	2024		2023
Net market valuation gains (losses) recorded (1)	$	(347)	$	4,160

(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.