
September 30, 2024					Freddie Mac
(In Thousands)	Redwood		Sequoia		SLST		Total
Held-for-sale at fair value	$	1,362,349	$	—	$	—	$	1,362,349
Held-for-investment at fair value	—		8,476,004		1,318,806		9,794,810
Total Residential Consumer Loans	$	1,362,349	$	8,476,004	$	1,318,806	$	11,157,159


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 September 30, 2024, we owned mortgage servicing rights associated with $1.3 billion (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.


(Dollars in Thousands)	September 30, 2024			December 31, 2023

Unpaid principal balance	$	1,348,819		$	916,877
Fair value of loans	$	1,362,349		$	911,192
Market value of loans pledged as collateral under short-term borrowing agreements	$	1,350,551		$	907,742
Weighted average coupon	6.63		%	6.25		%


	Three Months Ended September 30,				Nine Months Ended September 30,
(In Thousands)	2024		2023		2024		2023
Principal balance of loans acquired	$	1,999,621	$	857,974	$	4,873,608	$	1,092,992
Principal balance of loans sold	39,497		53,743		246,641		235,821
Principal balance of loans transferred from HFS to HFI	1,528,163		337,752		4,140,150		995,047
Net market valuation gains (losses) recorded (1)	11,047		(8,683)		20,079		(2,590)

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 September 30, 2024 and December 31, 2023.


September 30, 2024				Freddie Mac
(Dollars in Thousands)	Sequoia			SLST

Unpaid principal balance	$	8,880,569		$	1,538,972
Average loan balance (UPB)	$	868		$	156
Fair value of loans (1)	$	8,476,004		$	1,318,806
Weighted average coupon	4.95		%	4.50		%

Delinquency information

Unpaid principal balance of loans with 90+ day delinquencies (2)	$	16,802		$	103,379


Average 90+ days delinquent balance (UPB)	$	525		$	171
Unpaid principal balance of loans in foreclosure	$	7,079		$	39,790
Average foreclosure balance (UPB)	$	442		$	181


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.

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 nine months ended September 30, 2024 and 2023.

Three Months Ended September 30, 2024

Three Months Ended September 30, 2023

Freddie Mac

(In Thousands)

Sequoia

SLST

Sequoia

SLST

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

1,528,163

N/A

337,752

N/A

Net market valuation gains (losses) recorded

256,034

53,555

(177,253)

(51,046)

Nine Months Ended September 30, 2024

Nine Months Ended September 30, 2023

Freddie Mac

(In Thousands)

Sequoia

SLST

Sequoia

SLST

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

4,140,150

N/A

995,047

N/A

Net market valuation gains (losses) recorded

152,635

38,154

(162,895)

(62,756)

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 September 30, 2024 and December 31, 2023.


September 30, 2024	Residential Investor Term				Residential Investor Bridge
(In Thousands)	Redwood		CAFL		Redwood		CAFL		Total
Held-for-sale at fair value	$	174,485	$	—	$	91,393	$	—	$	265,878
Held-for-investment at fair value	—		2,661,885		1,211,081		607,330		4,480,296
Total Residential Investor Loans	$	174,485	$	2,661,885	$	1,302,474	$	607,330	$	4,746,174


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

During the three and nine months ended September 30, 2024, we sold $66 million and $253 million, of residential investor bridge loans, net of $13 million and $34 million, respectively, of construction draws to our joint ventures. See Note 11 for additional information on these joint ventures.


	Three Months Ended September 30, 2024				Three Months Ended September 30, 2023
(In Thousands)	Term at Redwood		Bridge at Redwood		Term at Redwood		Bridge at Redwood
Principal balance of loans originated	$	158,584	$	286,833	$	105,777	$	303,284
Principal balance of loans acquired	3,145		—		—		1,820
Principal balance of loans sold to third parties (1)	206,380		67,655		27,436		34,061
Fair value of loans transferred (2)	—		(62,386)		(278,751)		(116,679)

Mortgage banking activities income (loss) recorded (3)	6,061		694		1,600		1,438
Investment fair value changes recorded	(1,500)		(10,293)		—		(16,899)


	Nine Months Ended September 30, 2024				Nine Months Ended September 30, 2023
(In Thousands)	Term at Redwood		Bridge at Redwood		Term at Redwood		Bridge at Redwood
Principal balance of loans originated	$	493,212	$	714,977	$	408,477	$	828,149
Principal balance of loans acquired	3,793		15,677		—		19,054
Principal balance of loans sold to third parties (1)	464,836		277,170		425,542		65,868
Fair value of loans transferred (2)	—		(250,319)		(278,751)		(337,657)

Mortgage banking activities income recorded (3)	11,833		2,748		13,214		4,808
Investment fair value changes recorded	(2,837)		(27,503)		(14,430)		(22,867)

(1)For the three and nine months ended September 30, 2024 the principal balance of loans sold to third parties is net of $13 million and $34 million, respectively, related to construction draws on residential investor bridge loans sold to our joint ventures. See Note 11 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 for a set period of time from the closing date.

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 nine months ended September 30, 2024 and 2023.


	Three Months Ended September 30, 2024				Three Months Ended September 30, 2023
(In Thousands)	Term at CAFL		Bridge at CAFL		Term at CAFL		Bridge at CAFL
Net market valuation gains (losses) recorded (1)	$	78,275	$	1,623	$	(1,360)	$	(2,560)
Fair value of loans transferred to HFI	—		62,386		278,751		116,679


	Nine Months Ended September 30, 2024				Nine Months Ended September 30, 2023
(In Thousands)	Term at CAFL		Bridge at CAFL		Term at CAFL		Bridge at CAFL
Net market valuation gains (losses) recorded (1)	$	89,388	$	443	$	(1,961)	$	(1,960)
Fair value of loans transferred to HFI	—		250,319		278,751		337,657

(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 CFE guidelines. We did not elect to account for two of our CAFL Bridge securitizations under the CFE 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.


September 30, 2024	Term at Redwood			Term at CAFL(1)			Bridge at Redwood			Bridge at CAFL
(Dollars in Thousands)


Unpaid principal balance	$	183,358		$	2,790,755		$	1,336,767		$	600,267
Average UPB of loans	$	2,108		$	3,037		$	5,161		$	2,035
Fair value of loans	$	174,485		$	2,661,885		$	1,302,474		$	607,330
Weighted average coupon	6.88		%	5.36		%	9.14		%	10.16		%
Weighted average remaining loan term (years)	7			4			1			1
Market value of loans pledged as collateral under debt facilities	$	133,022		N/A			$	1,250,392		N/A
Delinquency information


Unpaid principal balance of loans with 90+ day delinquencies (2)	$	34,083		$	161,874		$	132,286		$	24,993
Average UPB of 90+ days delinquent loans (2)	$	11,361		$	3,948		$	7,782		$	1,785
Fair value of loans with 90+ day delinquencies (2)	$	19,320		N/A			$	113,904		N/A


Unpaid principal balance of loans in foreclosure (3)	$	27,529		$	18,646		$	86,019		$	13,426
Average UPB of loans in foreclosure (3)	$	27,529		$	2,936		$	7,820		$	1,918
Fair value of loans in foreclosure (3)	$	13,250		N/A			$	72,212		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 CFEs.


September 30, 2024	Term at Redwood		Term at CAFL(1)		Bridge at Redwood		Bridge at CAFL(1)
(Dollars in Thousands)
Term
Single family rental	$	85,307	$	2,163,862	$	—	$	—
Multifamily	98,051		626,893		—		—
Bridge
Renovate / Build for Rent ("BFR")(2)	—		—		575,782		279,820
Single Asset Bridge ("SAB")(3)	—		—		90,678		171,489
Multifamily(4)	—		—		664,060		147,903
Third-Party Originated	—		—		6,247		1,055
Total Residential Investor Loans	$	183,358	$	2,790,755	$	1,336,767	$	600,267

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 other instances, including in the case of Build for Rent ("BFR") loans, a loan modification may amend the project's underlying budget (including allocation of hard/soft costs, interest reserves and other items) or construction or completion milestones, if warranted, based on progress versus the initial budget. Because they finance the construction of rental housing, many BFR projects do not generate net operating income until the later stages of the loan term. As such, BFR loans are sized to include allocations for interest expense as well as construction costs and other standard budget items. 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.

The fair value of residential investor bridge loans of $1.91 billion at September 30, 2024 declined from $2.10 billion at December 31, 2023. Changes in the fair value of these loans during the three months ending September 30, 2024 primarily reflect principal repayments and reductions in the fair values for non-accrual bridge loans and certain modified bridge loans since the fourth quarter of 2023. For the three months ending September 30, 2024, we modified or put into forbearance loans with a total aggregate unpaid principal balance of $228 million. Of this balance, loans with reductions in contractual interest rates (including, in certain cases, deferrals of interest) had an aggregate unpaid principal balance of $113 million, and an aggregate fair value of $111 million at September 30, 2024. The modification terms on these loans involved conversions of the contractual interest rates on the loans from floating to fixed and/or deferrals of a portion of the stated pay rate to an extended date or to maturity. In the third quarter of 2024, modifications on these loans maintained a weighted average contractual interest rate of approximately 10.49%, of which 4.86% represented deferred interest.

In addition, for the three months ending September 30, 2024, we modified two BFR loans with a total aggregate unpaid principal balance of $116 million and an aggregate fair value of $115 million, respectively, at September 30, 2024, that had previously been modified in 2024. The previous modifications on these loans amended the interest rate to a combination of current pay and deferred interest. During the three months ending September 30, 2024, the modifications on these loans amended the allocation of loan commitments between hard and soft costs, interest expense and other expenses, provided maturity extensions of 16-19 months (subject to mandatory partial repayments during the loan term), and established a hard lockbox and funding of interest reserves to cover debt service shortfalls.

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. 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 when it is received. A loan remains on non-accrual status until 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 September 30, 2024 and December 31, 2023, residential investor loans with an aggregate unpaid principal balance of $364 million and $340 million, respectively, and an aggregate fair value of $320 million and $312 million, respectively, were on non-accrual status. Of this balance, loans with an aggregate unpaid principal balance of $215 million and $207 million were less than 90 days past due (including loans that were contractually current) as of September 30, 2024 and December 31, 2023, respectively.