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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, 2021 | Dec. 31, 2020
--- | --- | ---
Assets |  |  |
Real estate securities |  | $ 153,010 | $ 125,667
MSRs |  | 159,408 | 217,656
Other investments | [1] | 422,366 | 348,175
Derivative assets | [1] | 51,103 | 53,238
Pledged collateral |  | 0 | 1,177
Liabilities |  |  |
Derivative liabilities | [1] | 10,972 | 16,072
ABS issued |  | 7,756,101 | 6,900,362
Fair Value, Measurements, Recurring |  |  |
Assets |  |  |
Business purpose loans |  | 4,693,555 | 4,136,353
Multifamily loans |  | 482,791 | 492,221
Real estate securities |  | 353,286 | 344,125
Servicer advance investments |  | 170,062 | 231,489
MSRs |  | 12,389 | 8,815
Excess MSRs |  | 29,185 | 34,418
HEIs |  | 167,856 | 42,440
Other investments |  | 17,574 | 18,847
Derivative assets |  | 51,103 | 53,238
Pledged collateral |  |  | 1,177
FHLBC stock |  |  | 5,000
Liabilities |  |  |
Point HEI non-controlling interest |  | 16,722 |
Derivative liabilities |  | 10,972 | 16,072
ABS issued |  | 7,756,101 | 6,900,362
Fair Value, Measurements, Recurring | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 6,216,433 | 4,249,014
Fair Value, Measurements, Recurring | Level 1 |  |  |
Assets |  |  |
Business purpose loans |  | 0 | 0
Multifamily loans |  | 0 | 0
Real estate securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
HEIs |  | 0 | 0
Other investments |  | 0 | 0
Derivative assets |  | 8,213 | 18,260
Pledged collateral |  |  | 1,177
FHLBC stock |  |  | 0
Liabilities |  |  |
Point HEI non-controlling interest |  | 0 |
Derivative liabilities |  | 8,348 | 15,495
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 loans |  | 0 | 0
Multifamily loans |  | 0 | 0
Real estate securities |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
HEIs |  | 0 | 0
Other investments |  | 0 | 0
Derivative assets |  | 33,628 | 19,951
Pledged collateral |  |  | 0
FHLBC stock |  |  | 5,000
Liabilities |  |  |
Point HEI non-controlling interest |  | 0 |
Derivative liabilities |  | 74 | 0
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 loans |  | 4,693,555 | 4,136,353
Multifamily loans |  | 482,791 | 492,221
Real estate securities |  | 353,286 | 344,125
Servicer advance investments |  | 170,062 | 231,489
MSRs |  | 12,389 | 8,815
Excess MSRs |  | 29,185 | 34,418
HEIs |  | 167,856 | 42,440
Other investments |  | 17,574 | 18,847
Derivative assets |  | 9,262 | 15,027
Pledged collateral |  |  | 0
FHLBC stock |  |  | 0
Liabilities |  |  |
Point HEI non-controlling interest |  | 16,722 |
Derivative liabilities |  | 2,550 | 577
ABS issued |  | 7,756,101 | 6,900,362
Fair Value, Measurements, Recurring | Level 3 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | $ 6,216,433 | $ 4,249,014
[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, 2021 and December 31, 2020, assets of consolidated VIEs totaled $9,358,317 and $8,141,069, respectively. At September 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $8,391,761 and $7,348,713, respectively. See Note 4 for further discussion.

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