Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 287

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 8
Chunk 287
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.2 – Unconsolidated VIEs Sponsored by Redwood(In Thousands)June 30, 2025December 31, 2024On-balance sheet assets, at fair value:Interest-only, senior and subordinate securities, classified as trading$35,482 $36,811 Subordinate securities, classified as AFS95,602 91,221 Mortgage servicing rights12,657 12,556 Maximum loss exposure (1)$143,741 $140,588 

(1)Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. 

Note 17. Asset-Backed Securities Issued

ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 16 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at June 30, 2025 and December 31, 2024, along with other selected information, are summarized in the following table.Table 17.1 – Asset-Backed Securities IssuedJune 30, 2025Unpaid Principal BalanceCarrying ValueWeighted Average Interest RateStated MaturitiesNumber of Series(Dollars in Thousands)Sequoia$11,933,011 $11,360,847 2.52% to 8.54%2028-206363CAFL (1)2,800,872 2,750,196 2.97% to 7.89%2027-204020Freddie Mac SLST1,043,996 1,010,279 3.50%2028-20292Freddie Mac K-Series389,250 387,120 3.41%20251HEI205,459 205,950 3.97% to 6.72%2052-20532ABS Issued at Fair Value$16,372,588 $15,714,392