Company: RWT-PA
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000930236-25-000037
Chunk: 80

Company: REDWOOD TRUST INC
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 1
Chunk 80
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74 %Discount rate8 -19 %13 %Derivative assets, net (5)26,223Senior credit spread to TBA price (3)$0.88 -$2.38 $1.23 Senior credit spread to Swap rate (3)185 -275 bps217 bpsSubordinate credit spread to Swap rate190 -735 bps294 bpsSenior credit support (3)5 -7 %6 %IO discount rate (3)12 -25 %20 %Pull-through rate98 -98 %98 %Strategic investments6,460Transaction Price$200 -$3,000 $807 Total Assets$21,599,122 

20

REDWOOD TRUST, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS September 30, 2025(Unaudited) Note 6. Fair Value of Financial Instruments - (continued)

September 30, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$16,610,081Discount rate— -20 %1 %Prepayment rate (annual CPR)— -47 %7 %Default rate— -10 %— %Loss severity— -50 %4 %Non-controlling interests (6)78,099Discount rate12 -15 %14 %Total Liabilities$16,688,180 (1)The predominant valuation technique used to determine our Level 3 fair value assets and liabilities is based on the discounted cash flow model.(2)The weighted average input values for all loan types are based on unpaid principal balance ("UPB"). The weighted average input values for all other assets and liabilities are based on relative fair value.(3)Values represent pricing inputs used in a securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise.(4)The fair value of the loans and HEI held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for Collateralized Financing Entities ("CFE"). At September 30, 2025, the fair value of securities we owned at the consolidated Sequoia, CAFL Term,