Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 88

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 1
Chunk 88
---
 %Prepayment rate (annual CPR)— -47 %7 %Default rate— -19 %— %Loss severity— -50 %1 %Non-controlling interests (8)127,612Discount rate13 -20 %16 %Total Liabilities$15,842,004 (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 June 30, 2025, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, Freddie Mac SLST, and Freddie Mac K-Series was $611 million, $330 million, $257 million and $36 million, respectively. At June 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 $38 million and $51 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)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.(8)Of the total $151 million payable to non-controlling interests, $128 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 June 30, 2025 and December 31, 2024.Table 6.4 – Carrying Values and Estimated Fair Values of Assets and LiabilitiesJune 30, 2025December 31, 202