Company: RWT-PA
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000930236-25-000020
Chunk: 108

Company: REDWOOD TRUST INC
Filing Date: 2025-05-09
Form: 10-Q
Item: Part I, Item 1
Chunk 108
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(Unaudited) Note 16. Principles of Consolidation - (continued)

The following table presents additional information at March 31, 2025 and December 31, 2024, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012.Table 16.2 – Unconsolidated VIEs Sponsored by Redwood(In Thousands)March 31, 2025December 31, 2024On-balance sheet assets, at fair value:Interest-only, senior and subordinate securities, classified as trading$36,865 $36,811 Subordinate securities, classified as AFS94,552 91,221 Mortgage servicing rights13,110 12,556 Maximum loss exposure (1)$144,527 $140,588 

(1)Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. 

Note 17. Asset-Backed Securities Issued

ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 16 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at March 31, 2025 and December 31, 2024, along with other selected information, are summarized in the following table.Table 17.1 – Asset-Backed Securities IssuedMarch 31, 2025Unpaid Principal BalanceCarrying ValueWeighted Average Interest RateStated MaturitiesNumber of Series(Dollars in Thousands)Sequoia$10,467,540 $9,920,025 2.66% to 8.54%2028-206358CAFL (1)2,654,806 2,590,702 2.78% to 7.89%2027-203319Freddie Mac SLST1,059,336 1,020,138 3.50%2028-20292