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Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019
--- | --- | ---
Assets |  |  |
Real estate securities |  | $ 144,162 | $ 860,540
MSRs |  | 242,059 | 151,582
Derivative assets | [1] | 14,709 | 35,701
Pledged collateral |  | 8,172 | 32,945
Liabilities |  |  |
Contingent consideration |  | 0 | 28,484
Derivative liabilities | [1] | 1,612 | 163,424
ABS issued |  | 6,969,376 | 10,515,475
Fair Value, Measurements, Recurring |  |  |
Assets |  |  |
Business purpose residential loans |  | 3,956,101 | 3,506,743
Multifamily loans |  | 491,415 | 4,408,524
Real estate securities |  | 351,335 | 1,099,874
Servicer advance investments |  | 258,621 | 169,204
MSRs |  | 14,878 | 42,224
Excess MSRs |  | 35,070 | 31,814
Shared home appreciation options |  | 41,758 | 45,085
Derivative assets |  | 14,709 | 35,701
Pledged collateral |  | 8,172 | 32,945
FHLBC stock |  | 5,000 | 43,393
Guarantee asset |  | 579 | 1,686
Liabilities |  |  |
Contingent consideration |  |  | 28,484
Derivative liabilities |  | 1,612 | 163,424
ABS issued |  | 6,969,376 | 10,515,475
Fair Value, Measurements, Recurring | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 4,494,899 | 7,714,745
Fair Value, Measurements, Recurring | Level 1 |  |  |
Assets |  |  |
Business purpose residential loans |  | 0 | 0
Multifamily loans |  | 0 | 0
Real estate securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
Shared home appreciation options |  | 0 | 0
Derivative assets |  | 464 | 6,531
Pledged collateral |  | 8,172 | 32,945
FHLBC stock |  | 0 | 0
Guarantee asset |  | 0 | 0
Liabilities |  |  |
Contingent consideration |  |  | 0
Derivative liabilities |  | 263 | 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
Real estate securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
Shared home appreciation options |  | 0 | 0
Derivative assets |  | 3,472 | 19,020
Pledged collateral |  | 0 | 0
FHLBC stock |  | 5,000 | 43,393
Guarantee asset |  | 0 | 0
Liabilities |  |  |
Contingent consideration |  |  | 0
Derivative liabilities |  | 15 | 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 |  | 3,956,101 | 3,506,743
Multifamily loans |  | 491,415 | 4,408,524
Real estate securities |  | 351,335 | 1,099,874
Servicer advance investments |  | 258,621 | 169,204
MSRs |  | 14,878 | 42,224
Excess MSRs |  | 35,070 | 31,814
Shared home appreciation options |  | 41,758 | 45,085
Derivative assets |  | 10,773 | 10,150
Pledged collateral |  | 0 | 0
FHLBC stock |  | 0 | 0
Guarantee asset |  | 579 | 1,686
Liabilities |  |  |
Contingent consideration |  |  | 28,484
Derivative liabilities |  | 1,334 | 1,290
ABS issued |  | 6,969,376 | 10,515,475
Fair Value, Measurements, Recurring | Level 3 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | $ 4,494,899 | $ 7,714,745
[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 September 30, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,197,095 and $11,931,869, respectively. At September 30, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,238,047 and $10,717,072, respectively. See Note 4 for further discussion.

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