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Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |  |  | 12 Months Ended
--- | --- | --- | ---
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2019 | Dec. 31, 2018
MSRs |  |  |  |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] |  |  |  |
Fair value | $ 40,254 | $ 58,572 | $ 40,254 | $ 58,572
Expected life (in years) | 6 years | 8 years |  |
Prepayment speed assumption (annual CPR) | 11.00% | 7.00% |  |
Decrease in fair value from: |  |  |  |
10% adverse change | $ 1,643 | $ 1,668 | 1,643 | 1,668
25% adverse change | $ 3,913 | $ 4,027 | $ 3,913 | $ 4,027
Discount rate assumption | 11.00% | 11.00% |  |
Impact of adverse change in prepayment speed |  |  | 25.00% | 25.00%
Decrease in fair value from: |  |  |  |
100 basis point increase | $ 1,447 | $ 2,323 | $ 1,447 | $ 2,323
200 basis point increase | 2,795 | 4,493 | $ 2,795 | $ 4,493
Impact of increase in discount rate assumption |  |  | 1.00% | 1.00%
Decrease in fair value from: |  |  |  |
Impact of adverse change in expected credit losses |  |  | 25.00% | 25.00%
Senior IO Securities |  |  |  |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] |  |  |  |
Fair value | $ 48,765 | $ 61,178 | $ 48,765 | $ 61,178
Expected life (in years) | 6 years | 7 years |  |
Prepayment speed assumption (annual CPR) | 14.00% | 10.00% |  |
Decrease in fair value from: |  |  |  |
10% adverse change | $ 1,908 | $ 2,151 | 1,908 | 2,151
25% adverse change | $ 5,086 | $ 5,127 | $ 5,086 | $ 5,127
Discount rate assumption | 12.00% | 12.00% |  |
Impact of adverse change in prepayment speed |  |  | 25.00% | 25.00%
Decrease in fair value from: |  |  |  |
100 basis point increase | $ 1,079 | $ 2,190 | $ 1,079 | $ 2,190
200 basis point increase | $ 2,482 | $ 4,226 | $ 2,482 | $ 4,226
Credit loss assumption | 0.21% | 0.20% |  |
Impact of increase in discount rate assumption |  |  | 1.00% | 1.00%
Decrease in fair value from: |  |  |  |
10% higher losses | $ 0 | $ 0 | $ 0 | $ 0
25% higher losses | 0 | 0 | $ 0 | $ 0
Impact of adverse change in expected credit losses |  |  | 25.00% | 25.00%
Subordinate Securities |  |  |  |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] |  |  |  |
Fair value | $ 180,309 | $ 230,247 | $ 180,309 | $ 230,247
Expected life (in years) | 14 years | 15 years |  |
Prepayment speed assumption (annual CPR) | 16.00% | 9.00% |  |
Decrease in fair value from: |  |  |  |
10% adverse change | $ 205 | $ 201 | 205 | 201
25% adverse change | $ 1,434 | $ 1,372 | $ 1,434 | $ 1,372
Discount rate assumption | 5.00% | 6.00% |  |
Impact of adverse change in prepayment speed |  |  | 25.00% | 25.00%
Decrease in fair value from: |  |  |  |
100 basis point increase | $ 18,127 | $ 21,982 | $ 18,127 | $ 21,982
200 basis point increase | $ 33,630 | $ 40,641 | $ 33,630 | $ 40,641
Credit loss assumption | 0.21% | 0.20% |  |
Impact of increase in discount rate assumption |  |  | 1.00% | 1.00%
Decrease in fair value from: |  |  |  |
10% higher losses | $ 1,804 | $ 1,387 | $ 1,804 | $ 1,387
25% higher losses | $ 4,520 | $ 3,471 | $ 4,520 | $ 3,471
Impact of adverse change in expected credit losses |  |  | 25.00% | 25.00%

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