Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 86

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 1
Chunk 86
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 INC. AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS June 30, 2025(Unaudited) Note 6. Fair Value of Financial Instruments - (continued)

(3)Other settlements, net: for residential consumer and residential investor loans, primarily represents the transfer of loans to REO; for HEI, represents the share of HEI disposition fees paid to our third party originators for our purchased HEI portfolio; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential consumer and investor loans; and for mortgage servicing rights ("MSRs) and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.(4)All changes in unrealized gains or (losses) are included in net income, with the exception of Real Estate AFS Securities, which are included in comprehensive income.

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

The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value.Table 6.3 – Fair Value Methodology for Level 3 Financial InstrumentsJune 30, 2025FairValue (1)Input Values(Dollars in Thousands, except Input Values)Unobservable InputRangeWeighted Average (2)AssetsResidential consumer loans (4)$14,201,893Senior credit spread to TBA price (3)$0.88 -$1.50 $1.04 Senior credit spread to Swap rate (3)130 -300 bps162 bpsSubordinate credit spread to Swap rate190 -675 bps293 bpsSenior credit support (3)7 -7 %7 %IO discount rate (3)22 -23 %22 %Liability price$24 -$104 $96 Dollar price of Aspire non-QM loans$99 -$106 $103 Residential investor loans:Residential investor term loans (4)2,445,687 Whole loan spread (3)235 -235 bps235 bpsLiability price$91 -$102 $95 Residential investor bridge loans (