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Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |  |
Trading securities |  | $ 164,219 | $ 860,540
Available-for-sale securities |  | 129,243 | 239,334
MSRs |  | 282,743 | 151,582
Derivative assets | [1] | 90,717 | 35,701
Pledged collateral |  | 33,191 | 32,945
Liabilities |  |  |
Contingent consideration |  | 14,819 | 28,484
Derivative liabilities | [1] | 114,614 | 163,424
Fair Value, Measurements, Recurring |  |  |
Assets |  |  |
Business purpose residential loans |  | 3,463,742 | 3,506,743
Multifamily loans |  | 470,484 | 4,408,524
Trading securities |  | 164,219 | 860,540
Available-for-sale securities |  | 129,243 | 239,334
Servicer advance investments |  | 298,946 | 169,204
MSRs |  | 23,616 | 42,224
Excess MSRs |  | 31,788 | 31,814
Shared home appreciation options |  | 40,642 | 45,085
Derivative assets |  | 90,717 | 35,701
Pledged collateral |  | 33,191 | 32,945
FHLBC stock |  | 43,393 | 43,393
Guarantee asset |  | 905 | 1,686
Liabilities |  |  |
Contingent consideration |  | 14,819 | 28,484
Derivative liabilities |  | 114,614 | 163,424
ABS issued |  | 6,461,864 | 10,515,475
Fair Value, Measurements, Recurring | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 6,711,025 | 7,714,745
Fair Value, Measurements, Recurring | Level 1 |  |  |
Assets |  |  |
Business purpose residential loans |  | 0 | 0
Multifamily loans |  | 0 | 0
Trading securities |  | 0 | 0
Available-for-sale securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
Shared home appreciation options |  | 0 | 0
Derivative assets |  | 90,717 | 6,531
Pledged collateral |  | 33,191 | 32,945
FHLBC stock |  | 0 | 0
Guarantee asset |  | 0 | 0
Liabilities |  |  |
Contingent consideration |  | 0 | 0
Derivative liabilities |  | 110,648 | 13,368
ABS issued |  | 0 | 0
Fair Value, Measurements, Recurring | Level 1 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 0 | 0
Fair Value, Measurements, Recurring | Level 2 |  |  |
Assets |  |  |
Business purpose residential loans |  | 0 | 0
Multifamily loans |  | 0 | 0
Trading securities |  | 0 | 0
Available-for-sale securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
Shared home appreciation options |  | 0 | 0
Derivative assets |  | 0 | 19,020
Pledged collateral |  | 0 | 0
FHLBC stock |  | 43,393 | 43,393
Guarantee asset |  | 0 | 0
Liabilities |  |  |
Contingent consideration |  | 0 | 0
Derivative liabilities |  | 0 | 148,766
ABS issued |  | 0 | 0
Fair Value, Measurements, Recurring | Level 2 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 0 | 0
Fair Value, Measurements, Recurring | Level 3 |  |  |
Assets |  |  |
Business purpose residential loans |  | 3,463,742 | 3,506,743
Multifamily loans |  | 470,484 | 4,408,524
Trading securities |  | 164,219 | 860,540
Available-for-sale securities |  | 129,243 | 239,334
Servicer advance investments |  | 298,946 | 169,204
MSRs |  | 23,616 | 42,224
Excess MSRs |  | 31,788 | 31,814
Shared home appreciation options |  | 40,642 | 45,085
Derivative assets |  | 0 | 10,150
Pledged collateral |  | 0 | 0
FHLBC stock |  | 0 | 0
Guarantee asset |  | 905 | 1,686
Liabilities |  |  |
Contingent consideration |  | 14,819 | 28,484
Derivative liabilities |  | 3,966 | 1,290
ABS issued |  | 6,461,864 | 10,515,475
Fair Value, Measurements, Recurring | Level 3 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 6,711,025 | 7,714,745
Residential Loans |  |  |
Assets |  |  |
MSRs |  | 298,946 | 169,204
Fair Value |  |  |
Assets |  |  |
Trading securities |  | 164,219 | 860,540
Available-for-sale securities |  | 129,243 | 239,334
Derivative assets |  | 90,717 | 35,701
Pledged collateral |  | 33,191 | 32,945
FHLBC stock |  | 43,393 | 43,393
Guarantee asset |  | 905 | 1,686
Liabilities |  |  |
Contingent consideration |  | 14,819 | 28,484
Derivative liabilities |  | 114,614 | 163,424
ABS issued |  | 6,461,864 | 10,515,475
Carrying Value |  |  |
Assets |  |  |
Trading securities |  | 164,219 | 860,540
Available-for-sale securities |  | 129,243 | 239,334
Derivative assets |  | 90,717 | 35,701
Pledged collateral |  | 33,191 | 32,945
FHLBC stock |  | 43,393 | 43,393
Guarantee asset |  | 905 | 1,686
Liabilities |  |  |
Contingent consideration |  | 14,819 | 28,484
Derivative liabilities |  | 114,614 | 163,424
ABS issued |  | $ 6,461,864 | $ 10,515,475
[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, 2020 and December 31, 2019, assets of consolidated VIEs totaled $7,470,706 and $11,931,869, respectively. At March 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072, respectively. See Note 4 for further discussion.

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