Company: RWT-PA
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000930236-25-000037
Chunk: 232

Company: REDWOOD TRUST INC
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 8
Chunk 232
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7 %7 %IO discount rate (3)22 -25 %24 %Liability price$21 -$105 $98 Residential investor loans:Residential investor term loans (4)2,300,565 Whole loan spread (3)230 -230 bps230 bpsLiability price$92 -$102 $95 Residential investor bridge loans (4)1,455,196 Whole loan discount rate7 -13 %9 %Liability Price$96 -$158 $102 Dollar price of loans$35 -$100 $66 HEI326,223Discount rate9 -9 %9 %Prepayment rate (Annual CPR)7 -15 %15 %Home price appreciation (depreciation)4 -4 %4 %Liability price (4)$150 -$150 $150 Real estate securities - trading and AFS securities418,918Discount rate3 -30 %8 %Prepayment rate (Annual CPR)— -32 %6 %Default rate— -76 %49 %Loss severity— -50 %19 %Servicing investments282,256Prepayment rate (Annual CPR)2 -30 %11 %Prepayment yield (Annual CPY)50 -100 %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