Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 87

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 1
Chunk 87
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4)1,868,248 Whole loan discount rate7 -15 %10 %Whole loan spread445 -445 bps445 bpsLiability Price$96 -$171 $102 Dollar price of non-performing loans$35 -$100 $78 Consolidated agency multifamily loans(6)423,097Liability price$99 -$99 $99 HEI587,636Discount rate10 -12 %12 %Prepayment rate (Annual CPR)1 -20 %14 %Home price appreciation (depreciation)3.5 -3.5 %3.5 %Liability price (4)$146 -$208 $168 Real estate securities - trading and AFS securities264,997Discount rate5 -32 %12 %Prepayment rate (Annual CPR)2 -32 %10 %Default rate— -8 %— %Loss severity— -50 %24 %Servicing investments298,004Prepayment rate (Annual CPR)2 -52 %13 %Discount rate8 -19 %13 %Derivative assets, net (7)13,308Senior credit spread to TBA price (3)$0.88 -$1.5 $1.04 Senior credit spread to Swap rate (3)185 -300 bps204 bpsSubordinate credit spread to Swap rate190 -675 bps293 bpsSenior credit support (3)7 -7 %7 %IO discount rate (3)22 -23 %22 %Pull-through rate6 -100 %63 %Dollar price of Aspire non-QM loans$94 -$106 $103 Strategic investments3,460Transaction Price$200 -$1,000 $494 Total Assets$20,106,330 

21

REDWOOD TRUST, INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS June 30, 2025(Unaudited) Note 6. Fair Value of Financial Instruments - (continued)

June 30, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)LiabilitiesABS issued (4)$15,714,392Discount rate— -20 %3