Company: RWT-PA
Filing Date: 2025-08-08
Form Type: 10-Q
Source: 0000930236-25-000029
Chunk: 247

Company: REDWOOD TRUST INC
Filing Date: 2025-08-08
Form: 10-Q
Item: Part I, Item 8
Chunk 247
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 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 (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