Company: RWT-PA
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000930236-25-000020
Chunk: 211

Company: REDWOOD TRUST INC
Filing Date: 2025-05-09
Form: 10-Q
Item: Part I, Item 8
Chunk 211
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 of Financial Instruments - (continued)

Footnotes to table 6.2 continued(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.Table 6.3 – Fair Value Methodology for Level 3 Financial InstrumentsMarch 31, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)AssetsResidential consumer loans (4)$12,752,258Senior credit spread to TBA price (3)$0.94 -$1.81 $1.06 Senior credit spread to Swap rate (3)130 -300 bps186 bpsSubordinate credit spread to Swap rate170 -625 bps268 bpsSenior credit support (3)7 -7 %7 %IO discount rate (3)7 -22 %19 %Liability price$27 -$103 $96 Residential investor loans:Residential investor term loans (4)2,559,176 Whole loan spread (3)245 -245 bps245 bpsLiability price$90 -$100 $94 Residential investor bridge loans (4)1,880,658 Whole loan discount rate7 -13 %8 %Whole loan spread445 -445 bps445 bpsLiability Price$101 -$134 $102 Dollar price of non-performing loans$38 -$100 $80 Consolidated agency multifamily loans(6)423,673Liability price$99 -$99 $99 HEI600,386Discount rate10 -10 %10 %Prepayment rate (Annual CPR)1 -20 %14 %Home price appreciation (depreciation)4 -4 %4 %Liability price (4)$142 -$199 $160 Real estate securities - trading and AFS securities375,965Discount rate5 -40 %13 %Prepayment rate (Annual CPR)— -50 %10 %Default rate— -8 %— %Loss severity25 -50 %24 %Servicing investments298,290Pre