Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 248

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 8
Chunk 248
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— -50 %24 %Servicing investments298,004Prepayment rate (Annual CPR)2 -52 %13 %Discount rate8 -19 %13 %Derivative assets, net (7)13,308Senior credit spread to TBA price (3)$0.88 -$1.5 $1.04 Senior credit spread to Swap rate (3)185 -300 bps204 bpsSubordinate credit spread to Swap rate190 -675 bps293 bpsSenior credit support (3)7 -7 %7 %IO discount rate (3)22 -23 %22 %Pull-through rate6 -100 %63 %Dollar price of Aspire non-QM loans$94 -$106 $103 Strategic investments3,460Transaction Price$200 -$1,000 $494 Total Assets$20,106,330 

21

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

June 30, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$15,714,392Discount rate— -20 %3 %Prepayment rate (annual CPR)— -47 %7 %Default rate— -19 %— %Loss severity— -50 %1 %Non-controlling interests (8)127,612Discount rate13 -20 %16 %Total Liabilities$15,842,004 (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. 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