Business Purpose Loans

12 Months Ended

Dec. 31, 2023

Receivables [Abstract]

Business Purpose Loans

Residential Loans

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 December 31, 2023 and 2022.

Table 6.1 – Classifications and Carrying Values of Residential Loans

December 31, 2023			Legacy		Sequoia		Freddie Mac
(In Thousands)	Redwood		Sequoia				SLST		Total
Held-for-sale at fair value	$	911,192	$	—	$	—	$	—	$	911,192
Held-for-investment at fair value	—		139,739		4,640,464		1,359,242		6,139,445
Total Residential Loans	$	911,192	$	139,739	$	4,640,464	$	1,359,242	$	7,050,637

December 31, 2022			Legacy		Sequoia		Freddie Mac
(In Thousands)	Redwood		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 December 31, 2023, we owned mortgage servicing rights associated with $912 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.

Residential Loans Held-for-Sale

At Fair Value

The following table summarizes the characteristics of residential loans held-for-sale at December 31, 2023 and 2022.

Table 6.2 – Characteristics of Residential Loans Held-for-Sale

(Dollars in Thousands)	December 31, 2023			December 31, 2022
Number of loans	874			994
Unpaid principal balance	$	916,877		$	822,063
Fair value of loans	$	911,192		$	780,781
Market value of loans pledged as collateral under short-term borrowing agreements	$	907,742		$	775,545
Weighted average coupon	6.25		%	5.12		%
Delinquency information
Number of loans with 90+ day delinquencies	—			1
Unpaid principal balance of loans with 90+ day delinquencies	$	—		$	208
Fair value of loans with 90+ day delinquencies	$	—		$	170
Number of loans in foreclosure	—			—

The following table provides the activity of residential loans held-for-sale during the years ended December 31, 2023 and 2022.

Table 6.3 – Activity of Residential Loans Held-for-Sale

	Year Ended December 31,
(In Thousands)	2023		2022
Principal balance of loans acquired (1)	$	2,101,161	$	3,704,196
Principal balance of loans sold	270,482		3,858,647
Principal balance of loans transferred from HFS to HFI	1,703,442		687,192
Net market valuation gains (losses) recorded (2)	20,560		(93,843)

(1)For the year ended December 31, 2022, includes $102 million of loans acquired through calls of three 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 (loss).

Residential Loans Held-for-Investment at Fair Value

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 purposed in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at December 31, 2023 and 2022.

Table 6.4 – Characteristics of Residential Loans Held-for-Investment

December 31, 2023	Legacy			Sequoia			Freddie Mac
(Dollars in Thousands)	Sequoia						SLST
Number of loans	1,059			6,070			10,302
Unpaid principal balance	$	156,053		$	5,242,860		$	1,614,974
Fair value of loans (2)	$	139,739		$	4,640,464		$	1,359,242
Weighted average coupon	6.54		%	4.08		%	4.50		%
Delinquency information
Number of loans with 90+ day delinquencies (1)	16			11			796
Unpaid principal balance of loans with 90+ day delinquencies (1)	$	4,141		$	8,882		$	132,307
Fair value of loans with 90+ day delinquencies	N/A			N/A			N/A
Number of loans in foreclosure	7			5			292
Unpaid principal balance of loans in foreclosure	$	1,848		$	3,386		$	47,654

Table 6.4 – Characteristics of Residential Loans Held-for-Investment (continued)

December 31, 2022	Legacy			Sequoia			Freddie Mac
(Dollars in Thousands)	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 (1)	$	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

(1)For loans held at consolidated entities, the number and unpaid principal balance 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. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2.

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 (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the years ended December 31, 2023 and 2022.

Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities

	Year Ended December 31, 2023				Year Ended December 31, 2022
	Legacy			Freddie Mac	Legacy			Freddie Mac
(In Thousands)	Sequoia	Sequoia		SLST	Sequoia	Sequoia		SLST
Principal of loans transferred from HFS to HFI (1)	N/A	$	1,703,442	N/A	N/A	$	687,192	N/A
Net market valuation gains (losses) recorded	2,259	104,121		11,132	12,956	(675,659)		(215,687)

(1)Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations.

REO

See Note 13 for detail on residential loans transferred to REO during 2023 and 2022.

Residential Loan Characteristics

The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2023 and 2022.

Table 6.6 – Geographic Concentration of Residential Loans

	December 31, 2023
Geographic Concentration (by Principal)	Held-for-Sale		Held-for- Investment at Legacy Sequoia		Held-for- Investment at Sequoia		Held-for-Investment at Freddie Mac SLST
California	25	%	18	%	33	%	14	%
Washington	16	%	2	%	7	%	2	%
Texas	8	%	5	%	11	%	3	%
Florida	7	%	12	%	5	%	10	%
Colorado	4	%	3	%	7	%	1	%
New Jersey	2	%	5	%	1	%	7	%
Illinois	2	%	3	%	3	%	5	%
New York	1	%	12	%	2	%	11	%
Maryland	1	%	1	%	2	%	5	%
Ohio	1	%	5	%	—	%	2	%
Other states (none greater than 5%)	33	%	34	%	29	%	40	%
Total	100	%	100	%	100	%	100	%

	December 31, 2022
Geographic Concentration (by Principal)	Held-for-Sale		Held-for- Investment at Legacy Sequoia		Held-for- Investment at Sequoia		Held-for-Investment at Freddie Mac SLST
California	26	%	18	%	35	%	14	%
Texas	12	%	6	%	12	%	3	%
Washington	11	%	1	%	5	%	2	%
Colorado	9	%	2	%	6	%	1	%
Florida	9	%	13	%	4	%	10	%
New York	3	%	11	%	2	%	11	%
New Jersey	1	%	5	%	1	%	7	%
Illinois	1	%	3	%	3	%	5	%
Maryland	1	%	2	%	2	%	5	%
Ohio	—	%	5	%	—	%	2	%
Other states (none greater than 5%)	27	%	34	%	30	%	40	%
Total	100	%	100	%	100	%	100	%

The following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2023 and 2022.

Table 6.7 – Product Types and Characteristics of Residential Loans

December 31, 2023
(In Thousands)
Loan Balance					Number of Loans	Interest  Rate(1)				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Sale:
Hybrid ARM loans
	$	—	to	$250	1	7.63	%	to	7.63%	2032-11	-	2032-11	$	38	$	—	$	—
	$	501	to	$750	1	6.25	%	to	6.25%	2042-06	-	2042-06	749		—		—
					2								787		—		—
Fixed loans
	$	—	to	$250	4	3.50	%	to	4.38%	2027-01	-	2051-11	699		—		—
	$	251	to	$500	13	3.00	%	to	8.25%	2042-01	-	2053-12	5,092		—		—
	$	501	to	$750	87	2.50	%	to	7.75%	2036-12	-	2054-01	58,011		2,472		—
	$	751	to	$1,000	367	2.50	%	to	8.50%	2037-01	-	2054-01	325,880		4,045		—
			over	$1,000	401	2.75	%	to	8.50%	2043-12	-	2054-01	526,408		1,434		—
					872								916,090		7,951		—
Total Held-for-Sale					874								$	916,877	$	7,951	$	—
Held-for-Investment at Legacy Sequoia:
ARM loans:
	$	—	to	$250	886	1.25	%	to	7.88%	2024-04	-	2035-11	$	74,241	$	3,085	$	1,581
	$	251	to	$500	116	1.25	%	to	7.75%	2027-04	-	2035-02	39,469		973		434
	$	501	to	$750	35	1.63	%	to	7.63%	2027-05	-	2034-12	21,126		1,206		579
	$	751	to	$1,000	11	1.63	%	to	7.75%	2028-03	-	2036-03	9,412		914		1,547
			over	$1,000	6	1.63	%	to	7.25%	2029-11	-	2035-04	10,402		—		—
					1,054								154,650		6,178		4,141
Hybrid ARM loans:
	$	—	to	$250	2	6.63	%	to	6.63%	2033-09	-	2033-09	380		—		—
	$	251	to	$500	3	4.88	%	to	6.50%	2033-07	-	2034-03	1,023		—		—
					5								1,403		—		—
Total HFI at Legacy Sequoia:					1,059								$	156,053	$	6,178	$	4,141

Table 6.7 – Product Types and Characteristics of Residential Loans (continued)

December 31, 2023
(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 Sequoia:
Hybrid ARM loans
	$	251	to	$500	1	3.50	%	to	3.50%	2049-06	-	2049-06	459		—		—
	$	501	to	$750	10	3.38	%	to	7.13%	2042-06	-	2049-08	6,570		624		—
	$	751	to	$1,000	3	4.25	%	to	7.63%	2047-07	-	2048-01	2,512		—		—
			over	$1,000	3	4.00	%	to	6.88%	2045-07	-	2049-04	3,751		—		—
					17								13,292		624		—
Fixed loans:
	$	—	to	$250	68	2.50	%	to	7.00%	2026-08	-	2053-10	$	11,708	$	—	$	—
	$	251	to	$500	195	2.38	%	to	7.50%	2026-12	-	2053-09	81,978		1,294		454
	$	501	to	$750	2,187	2.13	%	to	8.00%	2031-04	-	2053-10	1,404,672		6,356		3,272
	$	751	to	$1,000	2,118	2.13	%	to	8.38%	2036-12	-	2053-11	1,844,914		6,239		2,476
			over	$1,000	1,485	1.88	%	to	8.50%	2036-07	-	2053-11	1,886,296		9,986		2,680
					6,053								5,229,568		23,875		8,882
					6,070								$	5,242,860	$	24,499	$	8,882
Held-for-Investment at Freddie Mac SLST:
Fixed loans:
	$	—	to	$250	8,545	2.00	%	to	11.00%	2023-12		2063-11	$	1,048,487	$	200,761	$	77,435
	$	251	to	$500	1,721	2.00	%	to	7.75%	2036-03		2063-08	546,236		106,309		49,530
	$	501	to	$750	35	2.00	%	to	5.50%	2045-02		2059-01	19,241		2,182		4,332
			over	$1,000	1	4.00	%	to	4.00%	2056-03		2056-03	1,010		—		1,010
Total Held-for-Investment					10,302								$	1,614,974	$	309,252	$	132,307

Table 6.7 – Product Types and Characteristics of Residential Loans (continued)

December 31, 2022
(In Thousands)
Loan Balance					Number of Loans	Interest  Rate(1)				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Held-for-Sale:
Hybrid ARM loans
	$	—	to	$250	1	6.00	%	to	6.00%	2032-11	-	2032-11	$	41	$	—	$	—
	$	501	to	$750	6	3.63	%	to	6.50%	2042-04	-	2052-12	3,590		—		—
	$	751	to	$1,000	1	4.25	%	to	4.25%	2042-06	-	2042-06	772		—		—
					8								4,403		—		—
Fixed loans
	$	—	to	$250	25	3.13	%	to	5.63%	2026-04	-	2052-06	4,088		—		208
	$	251	to	$500	138	3.38	%	to	8.25%	2026-12	-	2052-12	57,202		444		—
	$	501	to	$750	283	2.88	%	to	8.25%	2038-09	-	2052-12	186,202		537		—
	$	751	to	$1,000	286	2.75	%	to	9.25%	2042-04	-	2053-01	248,246		1,726		—
			over	$1,000	254	2.88	%	to	9.13%	2042-03	-	2053-01	321,922		2,575		—
					986								817,660		5,282		208
Total Held-for-Sale					994								$	822,063	$	5,282	$	208
Held-for-Investment at Legacy Sequoia:
ARM loans:
	$	—	to	$250	1,070	1.25	%	to	6.13%	2022-06	-	2035-11	$	93,286	$	3,792	$	2,607
	$	251	to	$500	158	1.25	%	to	6.13%	2027-04	-	2035-11	54,904		1,232		1,649
	$	501	to	$750	47	1.63	%	to	5.38%	2027-05	-	2035-07	28,796		—		1,796
	$	751	to	$1,000	13	1.63	%	to	6.00%	2028-03	-	2036-03	11,047		929		772
			over	$1,000	9	1.63	%	to	5.63%	2028-06	-	2035-04	14,340		1,048		—
					1,297								202,373		7,001		6,824
Hybrid ARM loans:
	$	—	to	$250	3	4.63	%	to	4.63%	2033-09	-	2033-09	610		—		—
	$	251	to	$500	4	2.88	%	to	4.63%	2033-07	-	2034-03	1,421		—		—
					7								2,031		—		—
Total HFI at Legacy Sequoia:					1,304								$	204,404	$	7,001	$	6,824

Table 6.7 – Product Types and Characteristics of Residential Loans (continued)

December 31, 2022
(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 Sequoia:
Hybrid ARM loans
	$	251	to	$500	2	3.50	%	to	3.63%	2047-04	-	2049-06	798		—		—
	$	501	to	$750	8	3.38	%	to	4.38%	2044-04	-	2049-08	5,370		—		637
	$	751	to	$1,000	4	4.00	%	to	5.63%	2047-07	-	2048-01	3,294		—		—
			over	$1,000	3	4.00	%	to	5.00%	2045-07	-	2049-04	3,833		—		—
					17								13,295		—		637
Fixed loans:
	$	—	to	$250	52	2.63	%	to	5.25%	2029-04	-	2051-12	$	9,145	$	—	$	—
	$	251	to	$500	146	2.38	%	to	6.75%	2038-04	-	2051-12	61,208		2,348		877
	$	501	to	$750	1,884	2.13	%	to	6.38%	2031-04	-	2052-01	1,211,531		7,064		1,840
	$	751	to	$1,000	1,600	2.13	%	to	6.00%	2036-12	-	2052-01	1,396,210		2,425		1,849
			over	$1,000	925	1.88	%	to	5.88%	2036-07	-	2052-01	1,155,702		3,685		2,596
					4,607								3,833,796		15,522		7,162
					4,624								$	3,847,091	$	15,522	$	7,799
Held-for-Investment at Freddie Mac SLST:
Fixed loans:
	$	—	to	$250	8,979	2.00	%	to	11.00%	2022-12		2062-11	$	1,105,116	$	197,718	$	120,210
	$	251	to	$500	1,867	2.00	%	to	7.75%	2036-03		2062-09	593,781		103,339		80,993
	$	501	to	$750	35	2.00	%	to	5.50%	2045-02		2059-01	19,328		1,038		7,184
			over	$1,000	1	4.00	%	to	4.00%	2056-03		2056-03	1,010		—		1,010
Total Held-for-Investment					10,882								$	1,719,236	$	302,095	$	209,397

(1)Rate is net of servicing fee for consolidated loans for which we do not own the MSR.Business Purpose Loans

We originate and invest in business purpose loans, including term and bridge loans (see Note 3 for a full description of these loans). The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at December 31, 2023 and 2022.

Table 7.1 – Classifications and Carrying Values of Business Purpose Loans

December 31, 2023	BPL Term				BPL 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 Business Purpose Loans	$	144,359	$	2,971,725	$	1,341,618	$	762,596	$	5,220,298

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 December 31, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years.

The outstanding BPL bridge loans held-for-investment at December 31, 2023 were first-lien, interest-only loans with original maturities of six to 36 months and were comprised of 76% one-month SOFR-indexed adjustable-rate loans, and 24% fixed-rate loans.

At December 31, 2023, we had a $542 million commitment to fund BPL bridge loans. See Note 17 for additional information on this commitment.

The following table provides the activity of business purpose loans during the years ended December 31, 2023 and 2022.

Table 7.2 – Activity of Business Purpose Loans at Redwood

	Year Ended December 31, 2023				Year Ended December 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	$	525,130	$	1,153,568	$	1,000,109	$	1,698,227
Principal balance of loans acquired	—		19,500		100,349		97,787
Principal balance of loans sold to third parties	473,677		128,664		429,873		79,608
Fair value of loans transferred (1)	(278,751)		(641,194)		561,218		584,233
Mortgage banking activities income (loss) recorded (2)	16,500		5,704		(91,024)		1,881
Investment fair value changes recorded (3)	(14,430)		(39,361)		—		(5,805)

(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 inclusion in one of our bridge loan securitizations, which each have replenishment features.

(2)Represents loan origination fee income and 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 20.1 for additional detail on Mortgage banking activities income (loss).

(3)For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. During the year ended December 31, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the year ended December 31, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization).

Business Purpose Loans Held-for-Investment at CAFL

    We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying BPL term and bridge loans owned by these entities. 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, and are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in the CAFL Term entities is presented in Table 4.2. 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 securitization 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 (loss). The following table provides the activity of business purpose loans held-for-investment at CAFL during the years ended December 31, 2023 and 2022.

Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL

	Year Ended   December 31, 2023				Year Ended   December 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(1)	$	89,013	$	(1,775)	$	(441,318)	$	(435)
Fair value of loans transferred to HFI	278,751		641,779		—		—

(1)Net market valuation gains (losses) on business purpose 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 to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2.

Business Purpose Loan Characteristics

The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2023 and 2022.

Table 7.4 – Characteristics of Business Purpose Loans

December 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	38			1,055			925			1,912
Unpaid principal balance	$	152,213		$	3,194,131		$	1,360,957		$	756,574
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 short-term debt facilities	$	2,393		N/A			$	92,832		N/A
Market value of loans pledged as collateral under long-term debt facilities	$	122,541		N/A			$	1,205,366		N/A
Delinquency information
Number of loans with 90+ day delinquencies (2)	2			45			54			52
Unpaid principal balance of loans with 90+ day delinquencies	$	28,263		$	143,623		$	96,934		$	10,646
Fair value of loans with 90+ day delinquencies (2)	$	16,822		N/A			$	86,137		N/A
Number of loans in foreclosure	2			7			36			47
Unpaid principal balance of loans in foreclosure	$	28,263		$	15,708		$	79,841		$	3,931
Fair value of loans in foreclosure (3)	$	16,822		N/A			$	69,046		N/A

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 (2)	$	536		N/A			$	29,663		N/A
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		N/A

Footnotes to Table 7.4

(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 accounting guidance for collateralized financing entities.

(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.

At December 31, 2023, in addition to BPL bridge loans that were 90 or more days delinquent, BPL bridge loans with an unpaid principal balance of $207 million and a fair value of $201 million, were on non-accrual status. At December 31, 2022, there were no BPL bridge loans, other than those that were 90 or more days delinquent, that were on non-accrual status.

The following table presents the unpaid principal balance of business purpose loans recorded on our consolidated balance sheets at December 31, 2023 by collateral/strategy type.

Table 7.5 – Business Purpose Loans Collateral/Strategy Type

December 31, 2023	BPL Term at Redwood		BPL Term at CAFL(1)		BPL Bridge at Redwood		BPL Bridge at CAFL(1)
(Dollars in Thousands)
Term
Single family rental	93,863		2,497,851		—		—
Multifamily	58,350		696,280		—		—
Bridge
Renovate / Build for Rent ("BFR")(2)	—		—		609,450		432,438
Single Asset Bridge ("SAB")(3)	—		—		34,959		119,130
Multifamily(4)	—		—		690,157		199,994
Third-Party Originated	—		—		26,391		5,012
Total Business Purpose Loans	$	152,213	$	3,194,131	$	1,360,957	$	756,574

(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 accounting guidance 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 rehab projects on multifamily properties.

REO

See Note 13 for detail on business purpose loans transferred to REO during 2023 and 2022.

The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2023 and December 31, 2022.

Table 7.6 – Geographic Concentration of Business Purpose Loans

	December 31, 2023
Geographic Concentration (by Principal)	BPL Term at Redwood		BPL Term at CAFL		BPL Bridge at Redwood		BPL Bridge at CAFL
Florida	10	%	7	%	10	%	7	%
California	8	%	4	%	5	%	8	%
Texas	8	%	16	%	13	%	22	%
Georgia	5	%	5	%	18	%	13	%
New Jersey	4	%	7	%	6	%	4	%
Tennessee	2	%	2	%	3	%	7	%
Alabama	1	%	3	%	6	%	3	%
Connecticut	—	%	8	%	2	%	2	%
New York	—	%	7	%	2	%	3	%
Illinois	—	%	5	%	13	%	6	%
Other states (none greater than 5%)	62	%	36	%	22	%	25	%
Total	100	%	100	%	100	%	100	%

	December 31, 2022
Geographic Concentration (by Principal)	BPL Term at Redwood		BPL Term at CAFL		BPL Bridge at Redwood		BPL Bridge at CAFL
California	34	%	4	%	2	%	3	%
Connecticut	10	%	8	%	4	%	1	%
Illinois	6	%	5	%	8	%	3	%
New York	5	%	5	%	2	%	3	%
Florida	4	%	7	%	6	%	5	%
Texas	3	%	16	%	13	%	1	%
Alabama	2	%	3	%	6	%	33	%
New Jersey	2	%	8	%	7	%	6	%
Georgia	2	%	5	%	21	%	14	%
Tennessee	1	%	2	%	6	%	2	%
Other states (none greater than 5%)	31	%	37	%	25	%	29	%
Total	100	%	100	%	100	%	100	%

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 December 31, 2023 and 2022.

Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans

(Dollars in Thousands)	December 31, 2023			December 31, 2022
Number of loans	28			28
Unpaid principal balance	$	438,868		$	447,193
Fair value of loans	$	425,285		$	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 December 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 years ended December 31, 2023 and 2022.

Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment

	Year Ended December 31,
(In Thousands)	2023		2022
Net market valuation gains (losses) recorded (1)	$	9,059	$	(40,987)

(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 (loss). 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.

Multifamily Loan Characteristics

The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2023.

Table 8.3 – Geographic Concentration of Consolidated Agency Multifamily Loans

Geographic Concentration (by Principal)	December 31, 2023		December 31, 2022
California	13	%	13	%
Florida	13	%	13	%
North Carolina	9	%	9	%
Oregon	7	%	7	%
Hawaii	5	%	5	%
Tennessee	5	%	5	%
Other states (none greater than 5%)	48	%	48	%
Total	100	%	100	%

The following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2023.

Table 8.4 – Product Types and Characteristics of Multifamily Loans

December 31, 2023
(In Thousands)
Loan Balance					Number of Loans	Interest  Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Fixed loans:
	$	10,001	to	$20,000	26	4.25	%	to	4.25%	2025-09	-	2025-09	$	391,383	$	—	$	—
	$	20,001	to	$30,000	2	4.25	%	to	4.25%	2025-09	-	2025-09	47,485		—		—
Total:					28								$	438,868	$	—	$	—

December 31, 2022
(In Thousands)
Loan Balance					Number of Loans	Interest  Rate				Maturity Date			Total Principal		30-89 Days DQ		90+ Days DQ
Fixed loans:
	$	10,001	to	$20,000	24	4.25	%	to	4.25%	2025-09	-	2025-09	$	358,419	$	—	$	—
	$	20,001	to	$30,000	4	4.25	%	to	4.25%	2025-09	-	2025-09	88,774		—		—
Total:					28								$	447,193	$	—	$	—