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Consolidated Agency Multifamily Loans | 6 Months Ended
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Jun. 30, 2024
Receivables [Abstract] |
Consolidated Agency Multifamily Loans | 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 the consolidated Sequoia and Freddie Mac SLST entities at June 30, 2024 and December 31, 2023. Table 7.1 – Classifications and Carrying Values of Residential Consumer Loans
June 30, 2024 |  |  |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 962,548 |  |  | $ | — |  |  | $ | — |  |  | $ | 962,548 |
Held-for-investment at fair value |  | — |  |  | 6,950,586 |  |  | 1,297,022 |  |  | 8,247,608 |
Total Residential Consumer Loans |  | $ | 962,548 |  |  | $ | 6,950,586 |  |  | $ | 1,297,022 |  |  | $ | 9,210,156 |
December 31, 2023 |  |  |  |  |  | Freddie Mac |  |
(In Thousands) |  | Redwood |  | Sequoia |  | SLST |  | Total
Held-for-sale at fair value |  | $ | 911,192 |  |  | $ | — |  |  | $ | — |  |  | $ | 911,192 |
Held-for-investment at fair value |  | — |  |  | 4,780,203 |  |  | 1,359,242 |  |  | 6,139,445 |
Total Residential Consumer Loans |  | $ | 911,192 |  |  | $ | 4,780,203 |  |  | $ | 1,359,242 |  |  | $ | 7,050,637 |
At June 30, 2024, we owned mortgage servicing rights associated with $946 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 June 30, 2024 and December 31, 2023. Table 7.2 – Characteristics of Residential Consumer Loans Held-for-Sale
(Dollars in Thousands) |  | June 30, 2024 |  | December 31, 2023
Unpaid principal balance |  | $ | 947,691 |  |  | $ | 916,877 |
Fair value of loans |  | $ | 962,548 |  |  | $ | 911,192 |
Market value of loans pledged as collateral under short-term borrowing agreements |  | $ | 957,143 |  |  | $ | 907,742 |
Weighted average coupon |  | 7.14 | % |  | 6.25 | %
At both June 30, 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 and six months ended June 30, 2024 and 2023. Table 7.3 – Activity of Residential Consumer Loans Held-for-Sale
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2024 |  | 2023 |  | 2024 |  | 2023
Principal balance of loans acquired |  | $ | 1,874,201 |  |  | $ | 181,972 |  |  | $ | 2,873,987 |  |  | $ | 235,018 |
Principal balance of loans sold |  | 5,563 |  |  | 8,925 |  |  | 207,144 |  |  | 182,078 |
Principal balance of loans transferred from HFS to HFI |  | 1,424,026 |  |  | — |  |  | 2,611,987 |  |  | 657,295 |
Net market valuation gains (losses) recorded (1) |  | 6,535 |  |  | (1,085) |  |  | 9,032 |  |  | 6,093 |
(1)Net market valuation gains (losses) 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 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 June 30, 2024 and December 31, 2023. Table 7.4 – Characteristics of Residential Consumer Loans Held-for-Investment
June 30, 2024 |  |  |  |  |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  |  |  | Sequoia |  | SLST
Unpaid principal balance |  |  |  |  |  | $ | 7,639,727 |  |  | $ | 1,569,864 |
Average loan balance (UPB) |  |  |  |  |  | $ | 835 |  |  | $ | 156 |
Fair value of loans (1) |  |  |  |  |  | $ | 6,950,586 |  |  | $ | 1,297,022 |
Weighted average coupon |  |  |  |  |  | 4.98 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Unpaid principal balance of loans with 90+ day delinquencies (2) |  |  |  |  |  | $ | 15,653 |  |  | $ | 111,958 |
Average 90+ days delinquent balance (UPB) |  |  |  |  |  | $ | 460 |  |  | $ | 174 |
Unpaid principal balance of loans in foreclosure |  |  |  |  |  | $ | 7,572 |  |  | $ | 42,231 |
Average foreclosure balance (UPB) |  |  |  |  |  | $ | 527 |  |  | $ | 164 |
December 31, 2023 |  |  |  |  |  |  |  | Freddie Mac
(Dollars in Thousands) |  |  |  |  |  | Sequoia |  | SLST
Unpaid principal balance |  |  |  |  |  | $ | 5,398,913 |  |  | $ | 1,614,974 |
Average loan balance (UPB) |  |  |  |  |  | $ | 757 |  |  | $ | 157 |
Fair value of loans (1) |  |  |  |  |  | $ | 4,780,203 |  |  | $ | 1,359,242 |
Weighted average coupon |  |  |  |  |  | 4.15 | % |  | 4.50 | %
Delinquency information |  |  |  |  |  |  |  |
Unpaid principal balance of loans with 90+ day delinquencies (2) |  |  |  |  |  | $ | 13,023 |  |  | $ | 132,307 |
Average 90+ days delinquent balance (UPB) |  |  |  |  |  | $ | 482 |  |  | $ | 166 |
Unpaid principal balance of loans in foreclosure |  |  |  |  |  | $ | 5,234 |  |  | $ | 47,654 |
Average foreclosure balance (UPB) |  |  |  |  |  | $ | 436 |  |  | $ | 163 |
(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 the 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 17.2. (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 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 the measurement alternative provided for collateralized financing entities, 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 and six months ended June 30, 2024 and 2023. Table 7.5 – Activity of Residential Consumer Loans Held-for-Investment at Consolidated Entities
|  |  |  | Three Months Ended June 30, 2024 |  |  | Three Months Ended June 30, 2023
|  |  |  |  |  | Freddie Mac |  |  |  |  | Freddie Mac
(In Thousands) |  |  |  | Sequoia |  | SLST |  |  | Sequoia |  | SLST
Principal value of loans transferred from HFS to HFI (1) |  |  |  | $ | 1,424,026 |  |  | N/A |  |  | N/A |  | N/A
Net market valuation gains (losses) recorded |  |  |  | (48,590) |  |  | (11,171) |  |  |  | (47,047) |  |  | (44,147) |
|  |  |  | Six Months Ended June 30, 2024 |  |  | Six Months Ended June 30, 2023
|  |  |  |  |  | Freddie Mac |  |  |  |  | Freddie Mac
(In Thousands) |  |  |  | Sequoia |  | SLST |  |  | Sequoia |  | SLST
Principal value of loans transferred from HFS to HFI (1) |  |  |  | $ | 2,611,987 |  |  | N/A |  |  | $ | 657,295 |  |  | N/A
Net market valuation gains (losses) recorded |  |  |  | (103,399) |  |  | (15,401) |  |  |  | 14,357 |  |  | (11,710) |
(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 June 30, 2024 and December 31, 2023. Table 8.1 – Classifications and Carrying Values of Residential Investor Loans
June 30, 2024 |  | Residential Investor Term |  | Residential Investor Bridge |  |
(In Thousands) |  | Redwood |  | CAFL |  | Redwood |  | CAFL |  | Total
Held-for-sale at fair value |  | $ | 217,761 |  |  | — |  |  | $ | 41,722 |  |  | $ | — |  |  | $ | 259,483 |
Held-for-investment at fair value |  | — |  |  | 2,737,467 |  |  | 1,197,073 |  |  | 685,627 |  |  | 4,620,167 |
Total Residential Investor Loans |  | $ | 217,761 |  |  | $ | 2,737,467 |  |  | $ | 1,238,795 |  |  | $ | 685,627 |  |  | $ | 4,879,650 |
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 June 30, 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 June 30, 2024 were first-lien, interest-only loans with original maturities of 6 to 36 months and were comprised of 67% one-month SOFR-indexed adjustable-rate loans, and 33% fixed-rate loans. At June 30, 2024, we had $448 million in commitments to fund residential investor bridge loans. See Note 18 for additional information on these commitments. During the three months and six months ended June 30, 2024, we sold $135 million and $187 million, of residential investor bridge loans, net of $6 million and $21 million, respectively, of construction draws, to our joint ventures. See Note 12 for additional information on these joint ventures. The following table provides the activity of residential investor loans at Redwood during the three and six months ended June 30, 2024 and 2023. Table 8.2 – Activity of Residential Investor Loans at Redwood
|  | Three Months Ended June 30, 2024 |  | Three Months Ended June 30, 2023
(In Thousands) |  | Term at Redwood |  | Bridge at Redwood |  | Term at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | $ | 217,538 |  |  | $ | 234,115 |  |  | 128,622 |  |  | 269,713 |
Principal balance of loans acquired |  | 648 |  |  | — |  |  | — |  |  | 8,149 |
Principal balance of loans sold to third parties (1) |  | 252,424 |  |  | 156,294 |  |  | 180,404 |  |  | 19,260 |
Fair value of loans transferred (2) |  | — |  |  | (89,202) |  |  | — |  |  | (140,186) |
Mortgage banking activities income (loss) recorded (3) |  | 5,957 |  |  | 1,108 |  |  | (1,132) |  |  | 2,291 |
Investment fair value changes recorded |  | (337) |  |  | (13,992) |  |  | (13,625) |  |  | (8,778) |
|  | Six Months Ended June 30, 2024 |  | Six Months Ended June 30, 2023
(In Thousands) |  | Term at Redwood |  | Bridge at Redwood |  | Term at Redwood |  | Bridge at Redwood
Principal balance of loans originated |  | 334,628 |  |  | 428,144 |  |  | 302,700 |  |  | 524,865 |
Principal balance of loans acquired |  | 648 |  |  | 15,677 |  |  | — |  |  | 17,234 |
Principal balance of loans sold to third parties (1) |  | 258,456 |  |  | 209,515 |  |  | 398,106 |  |  | 31,807 |
Fair value of loans transferred (2) |  | — |  |  | (187,933) |  |  | — |  |  | (220,978) |
Mortgage banking activities income recorded (3) |  | 5,661 |  |  | 2,054 |  |  | 11,534 |  |  | 3,453 |
Investment fair value changes recorded |  | (1,337) |  |  | (17,210) |  |  | (13,625) |  |  | (7,266) |
(1)For the three and six months ended June 30, 2024 the principal balance of loans sold to third parties is net of $6 million and $21 million, respectively, related to construction draws on residential investor bridge loans sold to our joint ventures. See Note 12 for additional information on these joint ventures. (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 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 5.1 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. The following table provides the activity of residential investor loans held-for-investment at CAFL during the three and six months ended June 30, 2024 and 2023. Table 8.3 – Activity of Residential Investor Loans Held-for-Investment at CAFL
|  | Three Months Ended June 30, 2024 |  | Three Months Ended June 30, 2023
(In Thousands) |  | Term at CAFL |  | Bridge at CAFL |  | Term at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded(1) |  | $ | 3,530 |  |  | $ | (4,870) |  |  | $ | (37,780) |  |  | $ | 1,192 |
Fair value of loans transferred to HFI |  | $ | — |  |  | $ | 89,202 |  |  | — |  |  | 140,186 |
|  | Six Months Ended June 30, 2024 |  | Six Months Ended June 30, 2023
(In Thousands) |  | Term at CAFL |  | Bridge at CAFL |  | Term at CAFL |  | Bridge at CAFL
Net market valuation gains (losses) recorded(1) |  | $ | 11,113 |  |  | $ | (1,180) |  |  | $ | (601) |  |  | $ | 600 |
Fair value of loans transferred to HFI |  | $ | — |  |  | $ | 187,933 |  |  | — |  |  | 220,978 |
(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 associated with our economic investment in these securitization entities is presented in Tables 15.1 and 15.2. 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. Residential Investor Loan Characteristics The following tables summarize the characteristics of the residential investor loans owned at Redwood and at consolidated CAFL entities at June 30, 2024 and December 31, 2023. Table 8.4 – Characteristics of Residential Investor Loans
June 30, 2024 |  | Term at Redwood |  | Term at CAFL(1) |  | Bridge at Redwood |  | Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Unpaid principal balance |  | $ | 228,059 |  |  | $ | 2,946,186 |  |  | $ | 1,266,729 |  |  | $ | 680,187 |
Average UPB of loans |  | $ | 2,887 |  |  | $ | 3,044 |  |  | $ | 7,917 |  |  | $ | 2,001 |
Fair value of loans |  | $ | 217,761 |  |  | $ | 2,737,466 |  |  | $ | 1,238,795 |  |  | $ | 685,627 |
Weighted average coupon |  | 7.20 | % |  | 5.34 | % |  | 10.19 | % |  | 10.59 | %
Weighted average remaining loan term (years) |  | 7 |  | 5 |  | 1 |  | 1
Market value of loans pledged as collateral under debt facilities |  | $ | 166,221 |  |  | N/A |  | $ | 1,201,822 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Unpaid principal balance of loans with 90+ day delinquencies (2) |  | $ | 27,529 |  |  | $ | 139,628 |  |  | $ | 107,094 |  |  | $ | 20,593 |
Average UPB of 90+ days delinquent loans (2) |  | $ | 27,529 |  |  | $ | 3,103 |  |  | $ | 7,650 |  |  | $ | 1,872 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 14,750 |  |  | N/A |  | $ | 94,730 |  |  | N/A
Unpaid principal balance of loans in foreclosure (3) |  | $ | 27,529 |  |  | $ | 18,646 |  |  | $ | 87,804 |  |  | $ | 13,771 |
Average UPB of loans in foreclosure (3) |  | $ | 27,529 |  |  | $ | 2,664 |  |  | $ | 7,317 |  |  | $ | 1,967 |
Fair value of loans in foreclosure (3) |  | $ | 14,750 |  |  | N/A |  | $ | 76,299 |  |  | N/A
December 31, 2023 |  | Term at Redwood |  | Term at CAFL(1) |  | Bridge at Redwood |  | Bridge at CAFL
(Dollars in Thousands) |  |  |  |
Unpaid principal balance |  | $ | 152,213 |  |  | $ | 3,194,131 |  |  | $ | 1,360,957 |  |  | $ | 756,574 |
Average UPB of loans |  | $ | 4,006 |  |  | $ | 3,028 |  |  | $ | 8,453 |  |  | $ | 2,162 |
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 debt facilities |  | $ | 124,934 |  |  | N/A |  | $ | 1,298,198 |  |  | N/A
Delinquency information |  |  |  |  |  |  |  |
Unpaid principal balance of loans with 90+ day delinquencies (2) |  | $ | 28,263 |  |  | $ | 143,623 |  |  | $ | 96,934 |  |  | $ | 10,646 |
Average UPB of 90+ days delinquent loans (2) |  | $ | 14,132 |  |  | $ | 3,192 |  |  | $ | 5,702 |  |  | $ | 1,774 |
Fair value of loans with 90+ day delinquencies (2) |  | $ | 16,822 |  |  | N/A |  | $ | 86,137 |  |  | N/A
Unpaid principal balance of loans in foreclosure (3) |  | $ | 28,263 |  |  | $ | 15,708 |  |  | $ | 79,841 |  |  | $ | 3,931 |
Average UPB of loans in foreclosure (3) |  | $ | 14,132 |  |  | $ | 2,244 |  |  | $ | 5,323 |  |  | $ | 1,310 |
Fair value of loans in foreclosure (3) |  | $ | 16,822 |  |  | N/A |  | $ | 69,046 |  |  | N/A
(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 the 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. The following table presents the unpaid principal balance of business purpose loans recorded on our consolidated balance sheets at June 30, 2024 by collateral/strategy type. Table 8.5 – Residential Investor Loans Collateral/Strategy Type
June 30, 2024 |  | Term at Redwood |  | Term at CAFL(1) |  | Bridge at Redwood |  | Bridge at CAFL(1)
(Dollars in Thousands) |  |  |  |
Term |  |  |  |  |  |  |  |
Single family rental |  | 137,347 |  |  | 2,296,676 |  |  | — |  |  | — |
Multifamily |  | 90,712 |  |  | 649,510 |  |  | — |  |  | — |
Bridge |  |  |  |  |  |  |  |
Renovate / Build for Rent ("BFR")(2) |  | — |  |  | — |  |  | 548,841 |  |  | 374,262 |
Single Asset Bridge ("SAB")(3) |  | — |  |  | — |  |  | 31,629 |  |  | 117,888 |
Multifamily(4) |  | — |  |  | — |  |  | 664,680 |  |  | 186,637 |
Third-Party Originated |  | — |  |  | — |  |  | 21,579 |  |  | 1,400 |
Total Residential Investor Loans |  | $ | 228,059 |  |  | $ | 2,946,186 |  |  | $ | 1,266,729 |  |  | $ | 680,187 |
(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 GAAP for collateralized financing entities. (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. Loan Modifi cations We may amend or modify a loan depending on the loan's specific facts and circumstances. These loan modifications typically include amendments and restructuring and include terms such as additional time for the borrower to refinance or sell the collateral property, interest rate reductions and/or deferral of scheduled principal and/or interest payments. In some instances, a loan amendment or restructuring may bring the loan out of delinquent status. In exchange for a modification, we may receive a partial repayment of principal, a short-term accrual of capitalized interest for a portion of interest due, a capital infusion to replenish interest or capital improvement reserves and/or termination of all or a portion of the remaining unfunded loan commitment. For the three and six months ended June 30, 2024, we modified residential investor loans with an aggregate unpaid principal balance of $379 million and $429 million, respectively, with an aggregate fair value of $369 million and $417 million, respectively. At the time of modification, the weighted average length of time these loans were past due was under three months for both the three and six months ended June 30, 2024. Of the modified loans for the three months ending June 30, 2024, $43 million included loans in forbearance without a rate reduction and $335 million included reductions in interest rates (including, in certain cases, deferrals of interest), among other terms, and in certain cases, combined with infusions of fresh capital from either the existing sponsor or new sources. For the three and six months ended June 30, 2024, the average length of maturity extensions granted on residential investor bridge loans was just under five months and seven months, respectively. Nonaccrual Loans Interest income is accrued on loans in the period the coupon interest is contractually earned until such time a loan is placed on non-accrual status. A loan is placed on non-accrual status when it is probable that all principal and interest due under the contractual terms will not be collected and a loan is past due more than 90 days. Income from non-accrual loans is generally recognized on a cash basis when it is received. At the time a loan is placed on non-accrual status, all previously accrued but uncollected interest is reversed against interest income and interest subsequently collected is recognized on a cash basis to the extent the loan balance is deemed collectible or until such time the loan qualifies to be placed back on accrual status. Generally, a loan is placed back on accrual status when the loan becomes contractually current or the collection of past due and future payments is reasonably assured either through reinstatement by the borrower, estimated net equity in the underlying real estate property or both. At June 30, 2024 and December 31, 2023, residential investor loans with an aggregate unpaid principal balance of $324 million and $340 million, respectively, and an aggregate fair value of $290 million and $312 million, respectively, were on non-accrual status. Of this balance, loans with an aggregate unpaid principal balance of $204 million and $207 million were less than 90 days past due (including loans that were contractually current) as of June 30, 2024 and December 31, 2023, respectively. 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 June 30, 2024 and December 31, 2023. Table 9.1 – Characteristics of Consolidated Agency Multifamily Loans
(Dollars in Thousands) |  | June 30, 2024 |  | December 31, 2023
Unpaid principal balance |  | $ | 434,595 |  |  | $ | 438,868 |
Fair value of loans |  | $ | 421,794 |  |  | $ | 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 June 30, 2024 and December 31, 2023. The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 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 and six months ended June 30, 2024 and 2023. Table 9.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2024 |  | 2023 |  | 2024 |  | 2023
Net market valuation gains (losses) recorded (1) |  | $ | 1,128 |  |  | $ | (4,471) |  |  | $ | 781 |  |  | $ | (311) |
(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 15.2.

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