Company: RWT-PA
Filing Date: 2025-03-03
Form Type: 10-K
Source: 0000930236-25-000007
Chunk: 89

Company: REDWOOD TRUST INC
Filing Date: 2025-03-03
Form: 10-K
Item: Item 16
Chunk 89
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ARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2024Note 6. Fair Value of Financial Instruments - (continued)

Footnotes to table 6.2(1)Other settlements, net: for residential consumer and residential investor loans, represents the transfer of loans to REO; for HEI, represents the profit share fee we pay our third party originators for our purchased HEI portfolio; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential consumer and investor loans; and for mortgage servicing rights ("MSRs) and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.(2)All changes in unrealized gains or (losses) are included in earnings with the exception of Real Estate AFS Securities, which are included in comprehensive income. (3)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.(4)Includes $285 million of ABS and $12 million of non-controlling interests associated with the consolidation of securitized CAFL bridge loans.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 for the years ended December 31, 2024.Table 6.3 – Fair Value Methodology for Level 3 Financial InstrumentsDecember 31, 2024Fair Value (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)AssetsResidential consumer loans (4)$11,077,823Senior Credit Spread to TBA price (3)$0.63 -$1.25 $0.68 Senior credit spread to Swap rate (3)150 -170 bps151 bpsSubordinate credit spread to Swap rate185 -600 bps274 bpsSenior credit support (3)7 -10 %7 %IO discount rate (3)28 -28 %28 %Liability price (4)$34 -$103 $94 Residential investor loans:Residential investor term loans (4)2,643,706 Whole loan spread (3)243 -243 bps243 bpsLiability price (4)$91 -$102 $94 Residential investor bridge loans (4