We acquire residential 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 loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2023 and December 31, 2022.


March 31, 2023			Legacy				Freddie Mac
(In Thousands)	Redwood		Sequoia		Sequoia		SLST		Total
Held-for-sale at fair value	$	26,975	$	—	$	—	$	—	$	26,975
Held-for-investment at fair value	—		170,000		3,831,538		1,464,345		5,465,883
Total Residential Loans	$	26,975	$	170,000	$	3,831,538	$	1,464,345	$	5,492,858


December 31, 2022			Legacy				Freddie Mac
(In Thousands)	Redwood		Sequoia		Sequoia		SLST		Total
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

At March 31, 2023, we owned mortgage servicing rights associated with $22 million (principal balance) of residential 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)	March 31, 2023			December 31, 2022
Number of loans	39			994
Unpaid principal balance	$	27,935		$	822,063
Fair value of loans	$	26,975		$	780,781
Market value of loans pledged as collateral under short-term borrowing agreements	$	26,282		$	775,545
Weighted average coupon	6.24		%	5.12		%

Delinquency information
Number of loans with 90+ day delinquencies	2			1
Unpaid principal balance of loans with 90+ day delinquencies	$	650		$	208
Fair value of loans with 90+ day delinquencies	$	576		$	170
Number of loans in foreclosure	—			—


	Three Months Ended March 31,
(In Thousands)	2023		2022
Principal balance of loans acquired (1)	$	53,046	$	2,115,191
Principal balance of loans sold	173,153		1,827,364
Principal balance of loans transferred to HFI	657,295		687,192
Net market valuation gains (losses) recorded (2)	7,178		(31,451)

We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2023 and December 31, 2022.


March 31, 2023	Legacy						Freddie Mac
(Dollars in Thousands)	Sequoia			Sequoia			SLST
Number of loans	1,222			5,287			10,748
Unpaid principal balance	$	189,757		$	4,449,021		$	1,695,479
Fair value of loans (2)	$	170,000		$	3,831,538		$	1,464,345
Weighted average coupon	5.57		%	3.56		%	4.50		%

Delinquency information
Number of loans with 90+ day delinquencies (1)	26			7			1,033
Unpaid principal balance of loans with 90+ day delinquencies	$	5,856		$	5,147		$	174,559
Fair value of loans with 90+ day delinquencies	N/A			N/A			N/A
Number of loans in foreclosure	10			3			418
Unpaid principal balance of loans in foreclosure	$	2,336		$	2,308		$	74,676


December 31, 2022	Legacy						Freddie Mac
(Dollars in Thousands)	Sequoia			Sequoia			SLST
Number of loans	1,304			4,624			10,882
Unpaid principal balance	$	204,404		$	3,847,091		$	1,719,236
Fair value of loans (2)	$	184,932		$	3,190,417		$	1,457,058
Weighted average coupon	4.51		%	3.25		%	4.50		%

Delinquency information
Number of loans with 90+ day delinquencies (1)	30			10			1,211
Unpaid principal balance of loans with 90+ day delinquencies	$	6,824		$	7,799		$	209,397
Fair value of loans with 90+ day delinquencies	N/A			N/A			N/A
Number of loans in foreclosure	11			5			427
Unpaid principal balance of loans in foreclosure	$	1,166		$	4,654		$	72,440

(2)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.

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 loans held-for-investment at consolidated entities during the three months ended March 31, 2023 and 2022.

Three Months Ended March 31, 2023

Three Months Ended March 31, 2022

Legacy

Freddie Mac

Legacy

Freddie Mac

(In Thousands)

Sequoia

SLST

Sequoia

SLST

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

N/A

657,295

N/A

684,491

N/A

Net market valuation gains (losses) recorded

(463)

61,867

32,437

6,325

(270,731)

(43,768)

We originate and invest in business purpose loans, including term loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at March 31, 2023 and December 31, 2022.


March 31, 2023	BPL Term				BPL Bridge
(In Thousands)	Redwood		CAFL		Redwood		CAFL		Total
Held-for-sale at fair value	$	354,166	—		$	17,219	$	—	$	371,385
Held-for-investment at fair value	—		2,891,043		1,616,610		485,611		4,993,264
Total Business Purpose Loans	$	354,166	$	2,891,043	$	1,633,829	$	485,611	$	5,364,649


December 31, 2022	BPL Term				BPL Bridge
(In Thousands)	Redwood		CAFL		Redwood		CAFL		Total
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

Nearly all of the outstanding BPL term loans at March 31, 2023 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 1% (based on unpaid principal balance) having original maturities of 30 years.

The outstanding BPL bridge loans held-for-investment at March 31, 2023 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 35% one-month LIBOR-indexed adjustable-rate loans, 57% one-month SOFR-indexed adjustable-rate loans, and 8% fixed-rate loans (in each case based on unpaid principal balance) .


	Three Months Ended March 31, 2023				Three Months Ended March 31, 2022
(In Thousands)	BPL Term at Redwood		BPL Bridge at Redwood		BPL Term at Redwood		BPL Bridge at Redwood
Principal balance of loans originated	$	174,078	$	255,152	$	442,727	$	411,938
Principal balance of loans acquired	3,815		9,085		61,892		2,983
Principal balance of loans sold to third parties	217,702		12,547		331,502		—
Fair value of loans transferred (1)	—		80,792		—		82,291

Mortgage banking activities income (loss) recorded (2)	12,666		1,162		(24,468)		2,375
Investment fair value changes recorded (3)	—		1,609		—		(759)

(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 securitization.

(2)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).

We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying BPL term loans and bridge loans owned by these entities. 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, 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 these securitization entities is presented in Table 4.2. We did not elect to account for the CAFL Bridge securitizations under the CFE guidelines.


	Three Months Ended March 31, 2023				Three Months Ended March 31, 2022
(In Thousands)	BPL Term at CAFL		BPL Bridge at CAFL		BPL Term at CAFL		BPL Bridge at CAFL
Net market valuation gains (losses) recorded	$	37,179	$	(592)	$	(191,903)	$	(1,384)


March 31, 2023	BPL Term at Redwood			BPL Term at CAFL(1)			BPL Bridge at Redwood			BPL Bridge at CAFL
(Dollars in Thousands)
Number of loans	94			1,094			1,473			1,796
Unpaid principal balance	$	349,190		$	3,172,026		$	1,636,460		$	484,124
Fair value of loans	$	354,166		$	2,891,043		$	1,633,829		$	485,611
Weighted average coupon	6.98		%	5.21		%	10.20		%	10.41		%
Weighted average remaining loan term (years)	9			5			1			1
Market value of loans pledged as collateral under short-term debt facilities	$	345,080		N/A			$	675,971		N/A
Market value of loans pledged as collateral under long-term debt facilities	$	—		N/A			$	922,296		N/A
Delinquency information
Number of loans with 90+ day delinquencies (2)	2			19			53			51
Unpaid principal balance of loans with 90+ day delinquencies	$	1,566		$	60,740		$	32,526		$	11,416
Fair value of loans with 90+ day delinquencies (3)	$	1,157		N/A			$	28,387		$	11,416
Number of loans in foreclosure	1			8			52			49
Unpaid principal balance of loans in foreclosure	$	536		$	9,378		$	31,446		$	7,628
Fair value of loans in foreclosure (3)	$	536		N/A			$	27,308		$	7,628


December 31, 2022	BPL Term at Redwood			BPL Term at CAFL(1)			BPL Bridge at Redwood			BPL Bridge at CAFL
(Dollars in Thousands)
Number of loans	91			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 coupon	5.98		%	5.22		%	9.61		%	9.67		%
Weighted average remaining loan term (years)	10			6			2			1
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	$	536		$	37,072		$	34,264		$	7,328
Fair value of loans with 90+ day delinquencies (3)	$	536		N/A			$	29,663		$	7,438
Number of loans in foreclosure	1			9			48			48
Unpaid principal balance of loans in foreclosure	$	536		$	13,686		$	34,039		$	7,328
Fair value of loans in foreclosure (3)	$	536		N/A			$	29,438		$	7,438

(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.

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, 2023 and December 31, 2022.


(Dollars in Thousands)	March 31, 2023			December 31, 2022
Number of loans	28			28
Unpaid principal balance	$	445,080		$	447,193
Fair value of loans	$	426,599		$	424,551
Weighted average coupon	4.25		%	4.25		%
Weighted average remaining loan term (years)	2			3

Delinquency information
Number of loans with 90+ day delinquencies	—			—


Number of loans in foreclosure	—			—

The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at March 31, 2023 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, 2023 and 2022.

(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.