Company: RWT-PA
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000930236-25-000020
Chunk: 212

Company: REDWOOD TRUST INC
Filing Date: 2025-05-09
Form: 10-Q
Item: Part I, Item 8
Chunk 212
---
payment rate (Annual CPR)2 -50 %13 %Discount rate8 -19 %13 %Derivative assets, net (7)16,807Senior 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 %Pull-through rate1 -100 %58 %Strategic investments3,460Transaction Price$200 -$1,000 $494 Total Assets$18,910,673 

17

REDWOOD TRUST, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS March 31, 2025(Unaudited) Note 6. Fair Value of Financial Instruments - (continued)

March 31, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$14,127,674Discount rate4 -18 %6 %Prepayment rate (annual CPR)— -57 %5 %Default rate— -13 %— %Loss severity— -50 %3 %Non-controlling interests (8)106,160Discount rate13 -20 %16 %Total Liabilities$14,233,834 (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 observable in accordance with accounting guidance for Collateralized Financing Entities ("CFE"). At March 31, 2025, the fair value of securities we owned at the