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Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015
--- | --- | ---
Assets |  |  |  |
Trading securities |  | $ 221,571 | $ 404,011 |
Available-for-sale securities |  | 698,356 | 829,245 |
Derivative assets | [1] | 31,975 | 16,393 |
MSRs |  | 126,620 | 191,976 | [1]
Pledged collateral |  | 59,664 | 53,600 |
Liabilities |  |  |  |
Derivative liabilities | [1] | 97,468 | 62,794 |
Commercial secured borrowings |  | 65,181 | 63,152 |
Fair Value, Measurements, Recurring |  |  |  |
Assets |  |  |  |
Trading securities |  | 221,571 | 404,011 |
Available-for-sale securities |  | 698,356 | 829,245 |
Derivative assets |  | 31,975 | 16,393 |
MSRs |  | 126,620 | 191,976 |
Pledged collateral |  | 59,664 | 53,600 |
FHLBC stock |  | 44,071 | 34,437 |
Guarantees asset |  | 4,272 | 5,697 |
Liabilities |  |  |  |
Derivative liabilities |  | 97,468 | 62,794 |
Commercial secured borrowings |  | 65,181 | 63,152 |
ABS issued |  | 907,023 | 996,820 |
Fair Value, Measurements, Recurring | Residential Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  | 3,713,654 | 3,927,370 |
Fair Value, Measurements, Recurring | Commercial Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  | 69,674 | 106,798 |
Fair Value, Measurements, Recurring | Level 1 |  |  |  |
Assets |  |  |  |
Trading securities |  |  | 0 |
Available-for-sale securities |  |  | 0 |
Derivative assets |  | 2,843 | 2,734 |
MSRs |  |  | 0 |
Pledged collateral |  | 59,664 | 53,600 |
FHLBC stock |  | 0 | 0 |
Liabilities |  |  |  |
Derivative liabilities |  | 5,063 | 2,963 |
Commercial secured borrowings |  |  | 0 |
Fair Value, Measurements, Recurring | Level 1 | Residential Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  |  | 0 |
Fair Value, Measurements, Recurring | Level 1 | Commercial Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  |  | 0 |
Fair Value, Measurements, Recurring | Level 2 |  |  |  |
Assets |  |  |  |
Trading securities |  |  | 0 |
Available-for-sale securities |  |  | 0 |
Derivative assets |  | 24,188 | 8,988 |
MSRs |  |  | 0 |
Pledged collateral |  |  | 0 |
FHLBC stock |  | 44,071 | 34,437 |
Liabilities |  |  |  |
Derivative liabilities |  | 92,100 | 58,368 |
Commercial secured borrowings |  |  | 0 |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  | 1,387 | 129,819 |
Fair Value, Measurements, Recurring | Level 2 | Commercial Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  |  | 0 |
Fair Value, Measurements, Recurring | Level 3 |  |  |  |
Assets |  |  |  |
Trading securities |  | 221,571 | 404,011 |
Available-for-sale securities |  | 698,356 | 829,245 |
Derivative assets |  | 4,944 | 4,671 |
MSRs |  | 126,620 | 191,976 |
Pledged collateral |  |  | 0 |
FHLBC stock |  |  | 0 |
Guarantees asset |  | 4,272 | 5,697 |
Liabilities |  |  |  |
Derivative liabilities |  | 305 | 1,463 |
Commercial secured borrowings |  | 65,181 | 63,152 |
ABS issued |  | 907,023 | 996,820 |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  | 3,712,267 | 3,797,551 |
Fair Value, Measurements, Recurring | Level 3 | Commercial Loans at Fair Value |  |  |  |
Assets |  |  |  |
Loans at fair value |  | $ 69,674 | $ 106,798 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2016 and December 31, 2015, assets of consolidated VIEs totaled $1,102,195 and $1,195,574, respectively. At March 31, 2016 and December 31, 2015, liabilities of consolidated VIEs totaled $959,464 and $1,050,861, respectively. See Note 4 for further discussion.

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