Company: RWT-PA
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000930236-25-000037
Chunk: 231

Company: REDWOOD TRUST INC
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 8
Chunk 231
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 million of residential investor bridge loans to the joint venture under the replenishment feature of this securitization. During the nine months ended September 30, 2025, we completed our second CAFL securitization sponsored by one of our joint ventures that we consolidate under GAAP as we are the primary beneficiary, and transferred $339 million of residential investor bridge loans to the joint venture related to this securitization. For additional information on our principles of consolidation, see Note 16 of the Notes to Consolidated Financial Statements, included in Part I, Item 1 of the 2025 Quarterly Report on Form 10-Q.

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

Footnotes to 6.2 Continued(3)Other settlements, net: for residential consumer and residential investor loans, primarily represents the transfer of loans to REO; for HEI, represents the share of HEI disposition fees paid to 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.(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 -