Company: RWT-PA
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000930236-25-000037
Chunk: 79

Company: REDWOOD TRUST INC
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 1
Chunk 79
---
 was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.(4)All changes in unrealized gains or (losses) are included in net income, with the exception of Real Estate AFS Securities, which are included in comprehensive income.

The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value at September 30, 2025.Table 6.3 – Fair Value Methodology for Level 3 Financial InstrumentsSeptember 30, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)AssetsResidential consumer loans (4)$16,783,281Senior credit spread to TBA price (3)$0.88 -$1.50 $0.98 Senior credit spread to Swap rate (3)185 -275 bps234 bpsSubordinate credit spread to Swap rate190 -675 bps287 bpsSenior credit support (3)7 -7 %7 %IO discount rate (3)22 -25 %24 %Liability price$21 -$105 $98 Residential investor loans:Residential investor term loans (4)2,300,565 Whole loan spread (3)230 -230 bps230 bpsLiability price$92 -$102 $95 Residential investor bridge loans (4)1,455,196 Whole loan discount rate7 -13 %9 %Liability Price$96 -$158 $102 Dollar price of loans$35 -$100 $66 HEI326,223Discount rate9 -9 %9 %Prepayment rate (Annual CPR)7 -15 %15 %Home price appreciation (depreciation)4 -4 %4 %Liability price (4)$150 -$150 $150 Real estate securities - trading and AFS securities418,918Discount rate3 -30 %8 %Prepayment rate (Annual CPR)— -32 %6 %Default rate— -76 %49 %Loss severity— -50 %19 %Servicing investments282,256Prepayment rate (Annual CPR)2 -30 %11 %Prepayment yield (Annual CPY)50 -100 %