Company: RWT-PA
Filing Date: 2025-03-03
Form Type: 10-K
Source: 0000930236-25-000007
Chunk: 90

Company: REDWOOD TRUST INC
Filing Date: 2025-03-03
Form: 10-K
Item: Item 16
Chunk 90
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)1,943,384 Whole loan discount rate9 -12 %10 %Whole loan spread445 -445 bps445 bpsLiability Price (4)$100 -$138 $122 Dollar price of non-performing loans$29 -$100 $79 Consolidated agency multifamily loans(6)424,597Liability price (4)$99 -$99 $99 Trading and AFS securities405,223Discount rate6 -40 %12 %Prepayment rate (Annual CPR)— -27 %8 %Default rate— -10 %0.1 %Loss severity25 -50 %24 %HEI589,785Discount rate10 -10 %10 %Prepayment rate (Annual CPR)1 -20 %14 %Home price appreciation (depreciation)4 -4 %4 %Liability price (4)$138 -$191 $157 Servicer advance investments233,820Prepayment rate (Annual CPR)12 -30 %14 %Expected remaining life (5)5-5yrs5yrsMortgage servicing amount1 -58 bps9 bpsExcess MSRs & MSRs63,863Discount rate9 -46 %14 %Prepayment rate (Annual CPR)2 -48 %11 %Residential loan purchase commitments, net5,272Senior credit spread to TBA price (3)$0.63 -$1.25 $0.68 Senior credit spread to Swap rate (3)150 -170 bps151 bps

F- 34

REDWOOD TRUST, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2024Note 6. Fair Value of Financial Instruments - (continued)

Subordinate credit spread to Swap rate185 -600 bps274 bpsSenior credit support (3)7 -10 %7 %IO discount rate (3)28 -28 %28 %Pull-through rate12 -100 %73 %Strategic investments3,460Transaction price$200 -$1,000 $494 Other assets (8)547Total Assets$17,391,480 December 31, 2024Fair Value (1)Input Values(Dollars in Thousands,