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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 | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2021 | Dec. 31, 2020
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 | $ 7,648 | $ 8,413
Expected life (in years) | 2 years | 2 years
Prepayment speed assumption (annual CPR) | 38.00% | 37.00%
Decrease in fair value from: |  |
10% adverse change | $ 786 | $ 906
25% adverse change | $ 1,752 | $ 2,058
Discount rate assumption | 12.00% | 12.00%
Decrease in fair value from: |  |
100 basis point increase | $ 176 | $ 196
200 basis point increase | 346 | 380
Senior 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 | $ 21,692 | $ 17,333
Expected life (in years) | 4 years | 3 years
Prepayment speed assumption (annual CPR) | 27.00% | 31.00%
Decrease in fair value from: |  |
10% adverse change | $ 1,541 | $ 1,557
25% adverse change | $ 3,508 | $ 3,754
Discount rate assumption | 19.00% | 21.00%
Decrease in fair value from: |  |
100 basis point increase | $ 477 | $ 337
200 basis point increase | $ 930 | $ 659
Credit loss assumption | 0.40% | 0.41%
Decrease in fair value from: |  |
10% higher losses | $ 0 | $ 0
25% higher losses | 0 | 0
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 | $ 141,632 | $ 140,124
Expected life (in years) | 8 years | 8 years
Prepayment speed assumption (annual CPR) | 33.00% | 33.00%
Decrease in fair value from: |  |
10% adverse change | $ 288 | $ 452
25% adverse change | $ 759 | $ 2,298
Discount rate assumption | 4.00% | 5.00%
Decrease in fair value from: |  |
100 basis point increase | $ 9,937 | $ 9,769
200 basis point increase | $ 18,961 | $ 18,650
Credit loss assumption | 0.40% | 0.41%
Decrease in fair value from: |  |
10% higher losses | $ 2,519 | $ 2,409
25% higher losses | $ 6,187 | $ 5,915
Minimum | MSRs |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 10.00% | 10.00%
Impact of increase in discount rate assumption | 1.00% | 1.00%
Impact of adverse change in expected credit losses | 10.00% | 10.00%
Minimum | Senior Securities |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 10.00% | 10.00%
Impact of increase in discount rate assumption | 1.00% | 1.00%
Impact of adverse change in expected credit losses | 10.00% | 10.00%
Minimum | Subordinate Securities |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 10.00% | 10.00%
Impact of increase in discount rate assumption | 1.00% | 1.00%
Impact of adverse change in expected credit losses | 10.00% | 10.00%
Maximum | MSRs |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 25.00% | 25.00%
Impact of increase in discount rate assumption | 2.00% | 2.00%
Impact of adverse change in expected credit losses | 25.00% | 25.00%
Maximum | Senior Securities |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 25.00% | 25.00%
Impact of increase in discount rate assumption | 2.00% | 2.00%
Impact of adverse change in expected credit losses | 25.00% | 25.00%
Maximum | Subordinate Securities |  |
Decrease in fair value from: |  |
Impact of adverse change in prepayment speed | 25.00% | 25.00%
Impact of increase in discount rate assumption | 2.00% | 2.00%
Impact of adverse change in expected credit losses | 25.00% | 25.00%

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