Company: RWT-PA
Filing Date: 2025-03-03
Form Type: 10-K
Source: 0000930236-25-000007
Chunk: 91

Company: REDWOOD TRUST INC
Filing Date: 2025-03-03
Form: 10-K
Item: Item 16
Chunk 91
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 except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$12,879,530Discount rate4 -45 %7 %Prepayment rate (annual CPR)— -100 %3 %Default rate— -24 %5 %Loss severity— -50 %20 %Non-controlling interests (7)99,510Discount rate13 -20 %16 %Other liabilities (8)496Total Liabilities$12,979,536 (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. At December 31, 2024, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, Freddie Mac SLST, and Freddie Mac K-Series was $419 million, $326 million, $242 million and $35 million, respectively. At December 31, 2024, the fair value of our securities in the two CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entities was $21 million and $47 million, respectively.(5)Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).(6)Consolidated agency multifamily loans represent securitized financial assets and liabilities of the Company's CFEs.(7)Of the total $123 million payable to non-controlling interests, $100 million is measured at fair value on a recurring basis.(8)Represents less than 1% of the individual and aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis.

F- 35

REDWOOD TRUST, INC. AND SUBSIDIARIES NOTES TO