Company: RWT-PA
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000930236-25-000037
Chunk: 233

Company: REDWOOD TRUST INC
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 8
Chunk 233
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 Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$16,610,081Discount rate— -20 %1 %Prepayment rate (annual CPR)— -47 %7 %Default rate— -10 %— %Loss severity— -50 %4 %Non-controlling interests (6)78,099Discount rate12 -15 %14 %Total Liabilities$16,688,180 (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 ("UPB"). 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 observable in accordance with accounting guidance for Collateralized Financing Entities ("CFE"). At September 30, 2025, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, and Freddie Mac SLST was $650 million, $333 million, and $254 million, respectively. At September 30, 2025, the fair value of our securities in the three CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entities was $40 million and $25 million, respectively.(5)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.(6)Of the total $102 million payable to non-controlling interests, $78 million is measured at fair value on a recurring basis.The following table summarizes the estimated fair values of assets and liabilities that are not measured at fair value at September 30, 2025 and December 31, 2024.Table 6.4 – Carrying Values and Estimated Fair Values of Assets and LiabilitiesSeptember 30, 2025December 31, 2024Level in Fair Value HierarchyCarryingValueEstimated FairValueCarryingValueEstimated FairValue(In Thousands)AssetsResidential investor