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Residential Loans (Tables)
 3 Months Ended
Mar. 31, 2023
Receivables [Abstract]  
Classifications and Carrying Value of Loans 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.
Table 6.1 – Classifications and Carrying Values of Residential Loans
March 31, 2023LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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, 2022LegacyFreddie Mac
(In Thousands)RedwoodSequoiaSequoiaSLSTTotal
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 
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.
Table 7.1 – Classifications and Carrying Values of Business Purpose Loans
March 31, 2023BPL TermBPL Bridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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, 2022BPL TermBPL Bridge
(In Thousands)RedwoodCAFLRedwoodCAFLTotal
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) .
At March 31, 2023, we had $811 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments.
The following table provides the activity of business purpose loans at Redwood during the three months ended March 31, 2023 and 2022.
Table 7.2 – Activity of Business Purpose Loans at Redwood
Three Months Ended 
 March 31, 2023		Three Months Ended 
 March 31, 2022
(In Thousands)BPL Term at RedwoodBPL Bridge at RedwoodBPL Term at RedwoodBPL Bridge at Redwood
Principal balance of loans originated$174,078 $255,152 $442,727 $411,938 
Principal balance of loans acquired3,815 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).
(3)Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities.
The following table provides the activity of business purpose loans held-for-investment at CAFL during the three months ended March 31, 2023 and 2022.
Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL
Three Months Ended 
 March 31, 2023		Three Months Ended 
 March 31, 2022
(In Thousands)BPL Term at
CAFL		BPL Bridge at CAFLBPL Term at
CAFL		BPL Bridge at CAFL
Net market valuation gains (losses) recorded$37,179 $(592)$(191,903)$(1,384)
The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at March 31, 2023 and December 31, 2022.
Table 7.4 – Characteristics of Business Purpose Loans
March 31, 2023BPL Term at Redwood
BPL Term at
CAFL(1)
BPL Bridge at RedwoodBPL Bridge at CAFL
(Dollars in Thousands)
Number of loans94 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 coupon6.98 %5.21 %10.20 %10.41 %
Weighted average remaining loan term (years)9511
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, 2022BPL Term at Redwood
BPL Term at
CAFL(1)
BPL Bridge at RedwoodBPL Bridge at CAFL
(Dollars in Thousands)
Number of loans91 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 coupon5.98 %5.22 %9.61 %9.67 %
Weighted average remaining loan term (years)10621
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 foreclosure1 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.
(2)The number of loans 90-or-more days delinquent includes loans in foreclosure.
(3)May include loans that are less than 90 days delinquent.
Characteristics of Residential Loans Held-For-Sale
The following table summarizes the characteristics of residential loans held-for-sale at March 31, 2023 and December 31, 2022.
Table 6.2 – Characteristics of Residential Loans Held-for-Sale
(Dollars in Thousands)March 31, 2023December 31, 2022
Number of loans39 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 coupon6.24 %5.12 %
Delinquency information
Number of loans with 90+ day delinquencies2 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— — 
Quarterly Activity of Residential Loans Held-for-Sale
The following table provides the activity of residential loans held-for-sale during the three months ended March 31, 2023 and 2022.
Table 6.3 – Activity of Residential Loans Held-for-Sale
Three Months Ended March 31,
(In Thousands)20232022
Principal balance of loans acquired (1)
$53,046 $2,115,191 
Principal balance of loans sold173,153 1,827,364 
Principal balance of loans transferred to HFI657,295 687,192 
Net market valuation gains (losses) recorded (2)
7,178 (31,451)
(1)For the three months ended March 31, 2023 and 2022, includes zero and $102 million, respectively, of loans acquired through calls of zero and three, respectively, seasoned Sequoia securitizations.
(2)Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income.
Characteristics of Residential Loans Held-for-Investment 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.
Table 6.4 – Characteristics of Residential Loans Held-for-Investment
March 31, 2023LegacyFreddie Mac
(Dollars in Thousands)SequoiaSequoiaSLST
Number of loans1,222 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 coupon5.57 %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 delinquenciesN/AN/AN/A
Number of loans in foreclosure10 3 418 
Unpaid principal balance of loans in foreclosure$2,336 $2,308 $74,676 
December 31, 2022LegacyFreddie Mac
(Dollars in Thousands)SequoiaSequoiaSLST
Number of loans1,304 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 coupon4.51 %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 delinquenciesN/AN/AN/A
Number of loans in foreclosure11 5 427 
Unpaid principal balance of loans in foreclosure$1,166 $4,654 $72,440 
(1)For loans held at consolidated entities, the number of loans 90-or-more days delinquent includes loans in foreclosure.
(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.
Quarterly Activity of Residential Loans Held-for-Investment
Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities
Three Months Ended March 31, 2023Three Months Ended March 31, 2022
LegacyFreddie MacLegacyFreddie Mac
(In Thousands)SequoiaSequoiaSLSTSequoiaSequoiaSLST
Fair value of loans transferred from HFS to HFI (1)
N/A$657,295 N/AN/A$684,491 N/A
Net market valuation gains (losses) recorded(463)61,867 32,437 6,325 (270,731)(43,768)
(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations.