At December 31, 2019, we owned 669 loans held-for-sale at fair value with an aggregate unpaid principal balance of $525 million and a fair value of $536 million, compared to 1,484 loans with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.05 billion at December 31, 2018. At December 31, 2019, one of these loans with a fair value of $0.6 million and an unpaid principal balance of $0.7 million was greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, one of these loans with a fair value of $0.6 million and an unpaid principal balance of $0.7 million was greater than 90 days delinquent and none of these loans were in foreclosure.

At December 31, 2019, we owned 2,940 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.05 billion and a fair value of $2.11 billion, compared to 3,296 loans with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.38 billion at December 31, 2018. At December 31, 2019, two of these loans with a total fair value of $1 million and an unpaid principal balance of $2 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, two of these loans with an aggregate fair value and unpaid principal balance of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure.

The outstanding loans held-for-investment at Redwood at December 31, 2019 were prime-quality, first-lien loans, of which 96% were originated between 2013 and 2019, and 4% were originated in 2012 and prior years. The weighted average Fair Isaac Corporation ("FICO") score of borrowers backing these loans was 768 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At December 31, 2019, these loans were comprised of 89% fixed-rate loans with a weighted average coupon of 4.14%, and the remainder were hybrid or ARM loans with a weighted average coupon of 4.16%.

At December 31, 2019, we consolidated 2,198 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $425 million and a fair value of $408 million, as compared to 2,641 loans at December 31, 2018, with an aggregate unpaid principal balance of $545 million and a fair value of $520 million. At origination, the weighted average FICO score of borrowers backing these loans was 727, the weighted average LTV ratio of these loans was 65%, and the loans were nearly all first lien and prime-quality.

At December 31, 2019 and December 31, 2018, the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $10 million and $14 million, respectively, of which the unpaid principal balance of loans in foreclosure was $4 million and $5 million, respectively. During the years ended December 31, 2019 and 2018, we recorded net market valuation gains of $5 million and $37 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5.

At December 31, 2019, we consolidated 3,156 held-for-investment loans at consolidated Sequoia Choice entities, with an aggregate unpaid balance of $2.24 billion and a fair value of $2.29 billion, as compared to 2,800 loans at December 31, 2018, with an aggregate unpaid principal balance of $2.04 billion and a fair value of $2.08 billion. At origination, the weighted average FICO score of borrowers backing these loans was 744, the weighted average LTV ratio of these loans was 75%, and the loans were all first lien and prime-quality. At December 31, 2019, nine of these loans with an aggregate unpaid principal balance of $7 million were greater than 90 days delinquent and three of these loans with an aggregate unpaid principal balance of $2 million were in foreclosure. At December 31, 2018, three of these loans with an aggregate unpaid principal balance of $2 million were greater than 90 days delinquent and none of these loans were in foreclosure.

During the years ended December 31, 2019 and 2018, we transferred loans with a fair value of $1.08 billion and $1.78 billion, respectively, from held-for-sale to held-for-investment associated with Choice securitizations. During the years ended December 31, 2019 and 2018, we recorded net market valuation losses of $15 million and $13 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations. The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5.

Beginning in the fourth quarter of 2018, we invested in subordinate securities issued by certain Freddie Mac SLST securitization trusts and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at these entities for financial reporting purposes in accordance with GAAP. At securitization, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At December 31, 2019, we consolidated 14,502 held-for-investment loans at the consolidated Freddie Mac SLST entities, with an aggregate unpaid principal balance of $2.43 billion and a fair value of $2.37 billion, as compared to 7,900 loans at December 31, 2018, with an aggregate unpaid principal balance of $1.31 billion and a fair value of $1.22 billion. At securitization, the weighted average FICO score of borrowers backing these loans was 600 and the weighted average LTV ratio of these loans was 73%. At December 31, 2019, 587 of these loans with an aggregate unpaid principal balance of $135 million were greater than 90 days delinquent and 208 of these loans with an aggregate unpaid principal balance of $33 million were in foreclosure. At December 31, 2018, 306 of these loans with aggregate unpaid principal balance of $51 million were greater than 90 days delinquent and none of these loans were in foreclosure.

During the years ended December 31, 2019 and 2018, we recorded net market valuation gains of $64 million and $21 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitizations. The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entities is presented in Note 5.



	December 31, 2019
Geographic Concentration (by Principal)	Held-for-Sale		Held-for- Investment at Legacy Sequoia		Held-for- Investment at Sequoia Choice		Held-for-Investment at Freddie Mac SLST		Held-for- Investment at FVO
California	36	%	18	%	35	%	14	%	45	%
Washington	7	%	1	%	7	%	2	%	5	%
Texas	6	%	6	%	9	%	3	%	8	%
Colorado	6	%	3	%	4	%	—	%	4	%
Florida	4	%	14	%	5	%	10	%	5	%
New Jersey	2	%	4	%	2	%	7	%	2	%
New York	1	%	10	%	4	%	10	%	4	%
Other states (none greater than 5%)	38	%	44	%	34	%	54	%	27	%
Total	100	%	100	%	100	%	100	%	100	%



	December 31, 2018
Geographic Concentration (by Principal)	Held-for-Sale		Held-for- Investment at Legacy Sequoia		Held-for- Investment at Sequoia Choice		Held-for-Investment at Freddie Mac SLST		Held-for- Investment at FVO
California	40	%	19	%	39	%	12	%	47	%
Washington	10	%	1	%	7	%	2	%	5	%
Texas	6	%	6	%	8	%	3	%	8	%
Florida	4	%	13	%	4	%	10	%	5	%
New Jersey	2	%	4	%	1	%	7	%	1	%
New York	3	%	10	%	5	%	10	%	3	%
Other states (none greater than 5%)	35	%	47	%	36	%	56	%	31	%
Total	100	%	100	%	100	%	100	%	100	%

Table 6.3 – Product Types and Characteristics of Residential Loans



December 31, 2019
(In Thousands)
Loan Balance					Number of Loans	Interest Rate⁽¹⁾				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Investment at Redwood:
Hybrid ARM loans
	$	—	to	$250	12	3.50	%	to	4.50%	2043-09	-	2046-01	$	2,423	$	—	$	—
	$	251	to	$500	51	3.25	%	to	5.63%	2041-01	-	2048-08	20,781		—		—
	$	501	to	$750	97	2.88	%	to	5.13%	2041-09	-	2048-08	61,708		1,364		—
	$	751	to	$1,000	90	2.88	%	to	6.00%	2043-12	-	2048-08	77,550		1,784		971
			over	$1,000	49	3.00	%	to	5.50%	2040-10	-	2048-09	64,937		1,428		—
					299								227,399		4,576		971
Fixed loans
	$	—	to	$250	38	2.90	%	to	4.80%	2026-02	-	2047-12	6,549		223		—
	$	251	to	$500	676	2.75	%	to	6.00%	2026-01	-	2049-04	287,984		—		—
	$	501	to	$750	1,091	2.80	%	to	6.75%	2026-04	-	2049-05	669,159		2,325		614
	$	751	to	$1,000	519	2.75	%	to	6.63%	2026-01	-	2049-04	447,499		1,895		—
			over	$1,000	317	3.00	%	to	5.88%	2031-04	-	2049-05	414,188		3,202		—
					2,641								1,825,379		7,645		614
Total HFI at Redwood:					2,940								$	2,052,778	$	12,221	$	1,585

Held-for-Investment at Legacy Sequoia:
ARM loans:
	$	—	to	$250	1,685	1.38	%	to	6.00%	2020-01	-	2035-11	$	169,230	$	5,135	$	3,109
	$	251	to	$500	345	1.25	%	to	5.63%	2022-01	-	2036-05	120,261		6,149		3,835
	$	501	to	$750	87	1.63	%	to	4.38%	2027-04	-	2035-02	53,811		3,628		1,211
	$	751	to	$1,000	45	1.63	%	to	4.38%	2027-11	-	2036-03	37,756		827		1,648
			over	$1,000	24	1.63	%	to	4.00%	2027-12	-	2035-04	38,341		—		—
					2,186								419,399		15,739		9,803
Hybrid ARM loans:
	$	—	to	$250	2	4.25	%	to	4.50%	2033-09	-	2033-10	465		—		—
	$	251	to	$500	7	3.63	%	to	5.13%	2033-07	-	2034-06	2,494		—		—
	$	501	to	$750	2	4.50	%	to	4.50%	2033-08	-	2033-08	1,181		—		—
			over	$1,000	1	4.50	%	to	4.50%	2033-09	-	2033-09	1,291		—		—
					12								5,431		—		—
Total HFI at Legacy Sequoia:					2,198								$	424,830	$	15,739	$	9,803

Held-for-Investment at Sequoia Choice:
Fixed loans:
	$	—	to	$250	56	2.75	%	to	5.50%	2038-02	-	2049-07	$	10,743	$	—	$	—
	$	251	to	$500	420	3.13	%	to	6.13%	2037-12	-	2049-09	184,455		2,282		—
	$	501	to	$750	1,528	3.13	%	to	6.75%	2037-02	-	2049-09	940,914		13,020		2,366
	$	751	to	$1,000	835	3.25	%	to	6.50%	2035-04	-	2049-09	719,609		7,856		3,297
			over	$1,000	317	3.50	%	to	5.88%	2038-01	-	2049-09	384,959		1,108		1,093
Total HFI at Sequoia Choice:					3,156								$	2,240,680	$	24,266	$	6,756



December 31, 2019
(In Thousands)
Loan Balance					Number of Loans	Interest Rate⁽¹⁾				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Investment at Freddie Mac SLST:
Fixed loans:
	$	—	to	$250	11,639	2.00	%	to	11.00%	2019-11	-	2059-10	$	1,501,538	$	477,592	$	79,632
	$	251	to	$500	2,805	2.00	%	to	7.75%	2033-08	-	2058-11	894,125		297,732		52,920
	$	501	to	$750	57	2.00	%	to	6.75%	2043-08	-	2058-07	31,350		8,787		2,623
			over	$1,000	1	4.00	%	to	4.00%	2056-03	-	2056-03	1,021		1,021		—
Total HFI at Freddie Mac SLST:					14,502								$	2,428,034	$	785,132	$	135,175

Held-for-Sale:
Hybrid ARM loans
	$	—	to	$250	7	5.20	%	to	7.00%	2047-08		2048-12	$	1,254	$	—	$	—
	$	251	to	$500	1	4.25	%	to	4.25%	2049-08	-	2049-08	432		—		—
	$	501	to	$750	52	3.00	%	to	5.50%	2047-04	-	2049-12	33,611		—		—
	$	751	to	$1,000	33	3.25	%	to	4.88%	2047-04	-	2049-11	28,573		—		—
			over	$1,000	22	3.25	%	to	5.25%	2048-06	-	2049-11	28,013		—		—
					115								91,883		—		—
Fixed loans
	$	—	to	$250	2	3.88	%	to	7.13%	2034-08	-	2049-07	481		—		—
	$	251	to	$500	13	3.63	%	to	6.50%	2048-01	-	2050-01	6,234		—		—
	$	501	to	$750	301	3.20	%	to	5.88%	2034-05	-	2050-01	186,251		—		747
	$	751	to	$1,000	161	3.50	%	to	6.50%	2034-07	-	2050-01	139,786		—		—
			over	$1,000	77	3.20	%	to	5.00%	2034-08	-	2050-01	100,293		1,650		—
					554								433,045		1,650		747
Total Held-for-Sale					669								$	524,928	$	1,650	$	747



December 31, 2018
(In Thousands)
Loan Balance					Number of Loans	Interest Rate⁽¹⁾					Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Investment at Redwood:
Hybrid ARM loans
	$	—	to	$250	12	2.88	%	to	4.88%		2043-09	-	2046-01	$	2,190	$	59	$	—
	$	251	to	$500	59	2.63	%	to	5.75%		2043-08	-	2048-08	23,986		—		—
	$	501	to	$750	116	2.88	%	to	5.75%		2043-03	-	2048-08	73,360		692		—
	$	751	to	$1,000	129	2.88	%	to	6.38%		2043-09	-	2048-09	111,879		—		—
			over	$1,000	69	3.00	%	to	5.50%		2040-10	-	2048-10	92,151		1,112		—
					385									303,566		1,863		—
Fixed loans
	$	—	to	$250	36	3.30	%	to	5.08%		2028-11	-	2047-12	6,737		—		—
	$	251	to	$500	679	2.75	%	to	5.75%		2027-09	-	2048-11	292,730		—		—
	$	501	to	$750	1,213	2.75	%	to	6.75%		2027-10	-	2048-11	746,503		1,320		1,224
	$	751	to	$1,000	599	2.75	%	to	6.13%		2027-07	-	2048-11	517,075		903		—
			over	$1,000	384	2.80	%	to	5.88%		2031-04	-	2048-11	518,719		2,000		—
					2,911									2,081,764		4,223		1,224
Total HFI at Redwood:					3,296									$	2,385,330	$	6,086	$	1,224

Held-for-Investment at Legacy Sequoia:
ARM loans:
	$	—	to	$250	1,988	1.25	%	to	5.50%		2019-02	-	2035-11	$	206,490	$	7,179	$	3,952
	$	251	to	$500	424	1.25	%	to	5.63%		2023-05	-	2036-05	148,154		5,989		4,368
	$	501	to	$750	110	1.63	%	to	4.50%		2022-01	-	2035-02	67,471		1,309		1,880
	$	751	to	$1,000	61	1.63	%	to	4.38%		2027-11	-	2036-03	51,918		791		2,561
			over	$1,000	37	1.63	%	to	4.38%		2027-12	-	2036-05	61,710		1,023		1,194
					2,620									535,743		16,291		13,955
Hybrid ARM loans:
	$	—	to	$250	4	4.63	%	to	5.00%		2033-08	-	2034-06	769		—		—
	$	251	to	$500	10	2.63	%	to	4.88%		2033-07	-	2034-06	3,675		—		—
	$	501	to	$750	6	4.38	%	to	5.00%		2033-08	-	2034-11	3,667		—		—
			over	$1,000	1	4.88	%	to	4.88%		2033-09	-	2033-09	1,355		—		—
					21									9,466		—		—
Total HFI at Legacy Sequoia:					2,641									$	545,209	$	16,291	$	13,955

Held-for-Investment at Sequoia Choice:
Fixed loans:
	$	—	to	$250	29	2.75	%	to	5.63	%	2038-03	-	2048-09	$	5,484	$	—	$	—
	$	251	to	$500	336	3.13	%	to	6.13	%	2037-12	-	2048-09	149,917		1,419		925
	$	501	to	$750	1,363	3.13	%	to	6.38	%	2037-02	-	2048-09	841,692		3,633		—
	$	751	to	$1,000	761	3.25	%	to	6.50	%	2035-04	-	2048-09	659,845		3,549		980
			over	$1,000	311	3.13	%	to	5.88	%	2038-01	-	2048-09	384,072		2,188		—
Total HFI at Sequoia Choice:					2,800									$	2,041,010	$	10,789	$	1,905



December 31, 2018
(In Thousands)
Loan Balance					Number of Loans	Interest Rate⁽¹⁾				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Investment at Freddie Mac SLST:
Fixed loans:
	$	—	to	$250	6,404	2.00	%	to	10.50%	2018-12	-	2058-10	$	830,118	$	130,608	$	30,686
	$	251	to	$500	1,469	2.00	%	to	7.38%	2033-08	-	2058-11	466,222		66,706		19,319
	$	501	to	$750	27	2.00	%	to	5.88%	2050-02	-	2057-12	14,634		1,631		523
					7,900								1,310,974		198,945		50,528

Held-for-Sale:
Hybrid ARM loans
	$	251	to	$500	8	3.88	%	to	5.38%	2048-05	-	2048-12	$	3,795	$	—	$	—
	$	501	to	$750	50	3.63	%	to	7.38%	2048-01	-	2049-01	31,759		—		—
	$	751	to	$1,000	27	3.88	%	to	5.25%	2048-02	-	2049-01	23,478		—		—
			over	$1,000	23	3.50	%	to	5.50%	2047-04	-	2048-12	28,112		—		—
					108								87,144		—		—
Fixed loans
	$	—	to	$250	6	4.38	%	to	5.75%	2048-08	-	2048-11	1,180		—		—
	$	251	to	$500	188	3.13	%	to	6.38%	2029-04	-	2049-01	88,204		—		—
	$	501	to	$750	788	3.75	%	to	7.00%	2033-11	-	2049-01	475,935		559		747
	$	751	to	$1,000	295	3.25	%	to	6.63%	2033-12	-	2049-01	255,429		—		—
			over	$1,000	99	3.75	%	to	6.13%	2032-10	-	2049-01	126,392		—		—
					1,376								947,140		559		747
Total Held-for-Sale					1,484								$	1,034,284	$	559	$	747

During the period from March 1, 2019 to December 31, 2019, we funded $1.02 billion of business purpose residential loans, of which $56 million of residential bridge loans and $20 million of single-family rental loans were sold to third parties. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans and certain single-family rental loans), or retained in our mortgage banking business (single-family rental loans) for future securitizations. Prior to the transfer of residential bridge loans to our investment portfolio, we recorded a net market valuation gain of $5 million on these loans through Mortgage banking activities, net on our consolidated statements of income for the period from March 1, 2019 to December 31, 2019, respectively. Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income prior to their sale or transfer to our investment portfolio. Additionally, during the period from March 1, 2019 to December 31, 2019, we recorded loan origination fee income associated with business purpose loans of $16 million through Mortgage banking activities, net on our consolidated statements of income.

At December 31, 2019, we owned 201 single-family rental loans with an aggregate unpaid principal balance of $322 million and a fair value of $332 million, as compared to 11 loans at December 31, 2018 with an aggregate unpaid principal balance of $28 million and a fair value of $28 million. At December 31, 2019, two of these loans with an aggregate unpaid principal balance and fair value of $2 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. At December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure.

During the period from March 1, 2019 to December 31, 2019, we originated $514 million of single-family rental loans. Additionally, we acquired $407 million of single-family rental loans as part of our acquisition of CoreVest in the fourth quarter of 2019. During the period from March 1, 2019 to December 31, 2019, $238 million of single-family rental loans were transferred to our investment portfolio and financed with FHLB borrowings, and the remaining loans were retained in our mortgage banking business. During this same period, we transferred $394 million of single-family rental loans from held-for-sale to held-for-investment associated with a CAFL securitization and sold $20 million to third parties. During the first two months of 2019, prior to our acquisition of 5 Arches on March 1, 2019, we purchased $19 million of single-family rental loans from 5 Arches. During the year ended December 31, 2019, we recorded a net market valuation gain of $13 million on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income.

At December 31, 2019, we owned 107 single-family rental loans held-for-investment with an aggregate unpaid principal balance of $231 million and a fair value of $238 million. At December 31, 2019, none of these loans were greater than 90 days delinquent or in foreclosure. During the year ended December 31, 2019, we transferred loans with a fair value of $238 million from held-for-sale to held-for-investment. During the year ended December 31, 2019, we recorded a net market valuation gain of $0.3 million on single-family rental loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income.

In conjunction with our acquisition of CoreVest in the fourth quarter of 2019, we consolidated the single-family rental loans owned at certain CAFL securitization entities. At December 31, 2019, we consolidated 783 held-for-investment single-family rental loans at the consolidated CAFL entities, with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.19 billion. The outstanding single-family rental loans held-for-investment at CAFL at December 31, 2019 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. At December 31, 2019, the weighted average coupon of our single-family rental loans was 5.70% and the weighted average remaining loan term was seven years. At origination, the weighted average LTV ratio of these loans was 68% and the weighted average DSCR was 1.35 times. At December 31, 2019, 18 of these loans with an aggregate unpaid principal balance of $29 million were greater than 90 days delinquent and five of these loans with an aggregate unpaid principal balance of $9 million were in foreclosure.

During the year ended December 31, 2019, we recorded a net market valuation loss of $15 million on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with CAFL securitizations. The net impact to our income statement associated with our retained economic investment in the CAFL securitization entities is presented in Note 5. Additionally, as part of our acquisition of CoreVest during the year ended December 31, 2019, we acquired REO with a fair value of $2 million related to loans at CAFL entities, which is included in Other assets on our consolidated balance sheets.

As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At December 31, 2019, 31 loans with an aggregate fair value of $12 million and an unpaid principal balance of $14 million were in foreclosure, of which 15 of these loans with an aggregate fair value of $7 million and an unpaid principal balance of $9 million were greater than 90 days delinquent. At December 31, 2018, seven loans with an aggregate fair value of $12 million were greater than 90 days delinquent and four of these loans with an aggregate fair value of $11 million were in foreclosure. During the year ended December 31, 2019, we transferred three loans with a fair value of $8 million to REO, which is included in Other assets on our consolidated balance sheets.

During the period from March 1, 2019 to December 31, 2019, $448 million of newly originated residential bridge loans were transferred to our investment portfolio. Additionally, we acquired $375 million of residential bridge loans as part of our acquisition of CoreVest during the fourth quarter of 2019. During the first two months of 2019, prior to our acquisition of 5 Arches on March 1, 2019, we purchased $10 million of residential bridge loans from 5 Arches. During the year ended December 31, 2019, we recorded a net market valuation loss of $2 million on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income.



	December 31, 2019
Geographic Concentration (by Principal)	Single-Family Rental Held-for-Sale		Single-Family Rental Held-for-Investment at Redwood		Single-Family Rental Held-for-Investment at CAFL		Residential Bridge
Florida	5	%	—	%	8	%	9	%
Texas	19	%	12	%	15	%	3	%
New Jersey	12	%	5	%	11	%	8	%
New York	5	%	1	%	1	%	6	%
California	2	%	1	%	7	%	21	%
Utah	—	%	—	%	—	%	5	%
Georgia	8	%	—	%	5	%	7	%
Alabama	5	%	—	%	4	%	4	%
Arkansas	6	%	—	%	2	%	—	%
Maryland	6	%	—	%	2	%	—	%
Illinois	1	%	—	%	5	%	3	%
Other states (none greater than 5%)	31	%	81	%	40	%	34	%
Total	100	%	100	%	100	%	100	%



	December 31, 2018
Geographic Concentration (by Principal)	Single-Family Rental Held-for-Sale		Single-Family Rental Held-for-Investment at Redwood		Single-Family Rental Held-for-Investment at CAFL		Residential Bridge
Florida	69	%	—	%	—	%	7	%
Texas	14	%	—	%	—	%	—	%
California	—	%	—	%	—	%	79	%
Utah	—	%	—	%	—	%	5	%
Other states (none greater than 5%)	17	%	—	%	—	%	9	%
Total	100	%	—	%	—	%	100	%



December 31, 2019
(In Thousands)
Loan Balance					Number of Loans	Interest Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Single-Family Rental Held-for-Investment at Redwood:
Fixed loans:
	$	251	to	$500	20	4.88	%	to	7.47%	2024-02	-	2030-01	$	7,925	$	—	$	—
	$	501	to	$750	26	4.45	%	to	7.25%	2023-09	-	2030-01	15,620		—		—
	$	751	to	$1,000	16	4.91	%	to	6.58%	2023-11	-	2029-09	13,616		—		—
			over	$1,000	45	3.93	%	to	6.94%	2023-10	-	2030-01	194,050		—		—
Total SFR HFI at Redwood:					107								$	231,211	$	—	$	—

Single-Family Rental Held-for-Investment at CAFL:
Fixed loans:
	$	—	to	$250	2	5.46	%	to	5.80%	2019-11	-	2021-09	$	398	$	—	$	—
	$	251	to	$500	56	4.92	%	to	7.05%	2020-03	-	2029-10	$	25,643	$	1,306	$	—
	$	501	to	$750	148	4.75	%	to	7.31%	2020-03	-	2029-10	91,414		1,259		1,990
	$	751	to	$1,000	98	4.62	%	to	7.23%	2020-03	-	2029-10	85,472		1,639		879
			over	$1,000	479	4.31	%	to	7.57%	2019-12	-	2029-11	1,875,287		18,567		26,170
Total SFR HFI at CAFL:					783								$	2,078,214	$	22,771	$	29,039

Single-Family Rental Held-for-Sale:
Fixed loans:
	$	—	to	$250	85	5.50	%	to	7.63%	2027-03	-	2050-01	$	10,506	$	—	$	130
	$	251	to	$500	9	4.94	%	to	6.00%	2024-11	-	2050-01	3,708		—		—
	$	501	to	$750	21	4.55	%	to	5.96%	2024-01	-	2030-01	13,335		—		—
	$	751	to	$1,000	13	5.00	%	to	5.93%	2024-01	-	2030-01	11,676		—		—
			over	$1,000	73	4.35	%	to	6.28%	2024-01	-	2030-01	282,411		—		1,688
Total Single-Family Rental HFS:					201								$	321,636	$	—	$	1,818

Residential Bridge:
Fixed loans:
	$	—	to	$250	2,207	6.53	%	to	12.00%	2019-07	-	2022-01	$	197,449	$	1,447	$	369
	$	251	to	$500	198	6.99	%	to	13.00%	2019-10	-	2022-01	71,361		2,811		675
	$	501	to	$750	71	6.99	%	to	9.99%	2019-11	-	2021-10	42,862		2,072		508
	$	751	to	$1,000	40	7.28	%	to	10.00%	2018-10	-	2022-01	34,646		1,771		2,443
			over	$1,000	137	5.79	%	to	10.25%	2019-11	-	2022-01	394,914		31,452		4,994
Total Residential Bridge:					2,653								$	741,232	$	39,553	$	8,989



December 31, 2018
(In Thousands)
Loan Balance					Number of Loans	Interest Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Single-Family Rental Held-for-Sale:
Fixed loans:
	$	251	to	$500	2	6.79	%	to	7.47%	2028-08	-	2028-12	$	787	$	—	$	—
	$	501	to	$750	2	6.12	%	to	7.25%	2023-09	-	2028-11	1,252		—		—
	$	751	to	$1,000	3	5.91	%	to	6.58%	2023-11	-	2028-12	2,488		—		—
			over	$1,000	4	5.62	%	to	6.94%	2023-10	-	2025-12	23,039		—		—
Total Single-Family Rental HFS:					11								$	27,566	$	—	$	—

Residential Bridge:
Fixed loans:
	$	—	to	$250	50	8.00	%	to	12.00%	2018-07	-	2020-05	$	7,941	$	262	$	695
	$	251	to	$500	38	8.00	%	to	10.00%	2018-09	-	2019-12	13,297		636		469
	$	501	to	$750	21	7.50	%	to	10.00%	2019-01	-	2019-12	12,410		1,769		—
	$	751	to	$1,000	19	7.50	%	to	10.00%	2019-04	-	2019-12	16,937		840		—
			over	$1,000	29	8.00	%	to	10.00%	2018-09	-	2019-12	61,775		1,484		10,970
Total Residential Bridge:					157								$	112,360	$	4,991	$	12,134

Since 2018, we have invested in multifamily subordinate securities issued by three Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. At December 31, 2019, we consolidated 279 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $4.20 billion and a fair value of $4.41 billion, as compared to 162 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.13 billion and a fair value of $2.14 billion. The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at December 31, 2019 were first-lien, fixed-rate loans that were originated between 2015 and 2017 and had original loan terms of seven to ten years and an original weighted average LTV ratio of 69%. At December 31, 2019, the weighted average coupon of these multifamily loans was 4.13% and the weighted average remaining loan term was six years. At December 31, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure.

During the years ended December 31, 2019 and 2018, we recorded net market valuation gains of $130 million and $47 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations. The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in Note 5.



December 31, 2019
(In Thousands)
Loan Balance					Number of Loans	Interest Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Fixed loans:
	$	1,000	to	$10,000	114	3.29	%	to	4.73%	2023-02	-	2029-10	$	674,666	$	—	$	—
	$	10,001	to	$20,000	102	3.54	%	to	4.94%	2023-09	-	2029-08	1,489,118		—		—
	$	20,001	to	$30,000	32	3.54	%	to	4.69%	2024-01	-	2026-12	750,712		—		—
	$	30,001	to	$40,000	19	3.52	%	to	4.79%	2025-05	-	2029-10	654,729		—		—
			over	$40,000	12	3.55	%	to	4.65%	2024-10	-	2026-09	625,775		—		—
Total:					279								$	4,195,000	$	—	$	—



December 31, 2018
(In Thousands)
Loan Balance					Number of Loans	Interest Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Fixed loans:
	$	1,000	to	$10,000	70	3.29	%	to	4.73%	2023-02	-	2027-01	$	394,373	$	—	$	—
	$	10,001	to	$20,000	66	3.54	%	to	4.61%	2023-09	-	2027-01	960,992		—		—
	$	20,001	to	$30,000	16	3.65	%	to	4.72%	2024-01	-	2026-12	373,036		—		—
	$	30,001	to	$40,000	7	3.62	%	to	4.71%	2025-11	-	2026-06	244,074		—		—
			over	$40,000	3	3.74	%	to	4.18%	2024-10	-	2026-06	154,223		—		—
Total:					162								$	2,126,698	$	—	$	—