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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 | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 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 | $ 6,068 | $ 8,413
Expected life (in years) | 2 years | 2 years
Prepayment speed assumption (annual CPR) | 36.00% | 37.00%
Decrease in fair value from: |  |
10% adverse change | $ 502 | $ 906
25% adverse change | $ 1,173 | $ 2,058
Discount rate assumption | 12.00% | 12.00%
Decrease in fair value from: |  |
100 basis point increase | $ 134 | $ 196
200 basis point increase | 261 | 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 | $ 18,380 | $ 17,333
Expected life (in years) | 4 years | 3 years
Prepayment speed assumption (annual CPR) | 25.00% | 31.00%
Decrease in fair value from: |  |
10% adverse change | $ 1,173 | $ 1,557
25% adverse change | $ 2,789 | $ 3,754
Discount rate assumption | 18.00% | 21.00%
Decrease in fair value from: |  |
100 basis point increase | $ 417 | $ 337
200 basis point increase | $ 812 | $ 659
Credit loss assumption | 0.34% | 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 | $ 128,874 | $ 140,124
Expected life (in years) | 8 years | 8 years
Prepayment speed assumption (annual CPR) | 32.00% | 33.00%
Decrease in fair value from: |  |
10% adverse change | $ 57 | $ 452
25% adverse change | $ 141 | $ 2,298
Discount rate assumption | 3.80% | 5.00%
Decrease in fair value from: |  |
100 basis point increase | $ 9,353 | $ 9,769
200 basis point increase | $ 17,829 | $ 18,650
Credit loss assumption | 0.34% | 0.41%
Decrease in fair value from: |  |
10% higher losses | $ 2,190 | $ 2,409
25% higher losses | $ 5,473 | $ 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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- Definition The carrying amount (fair value) as of the balance sheet date of the transferor's interests in transferred financial assets (typically securitized receivables, generally not involved in the collection of principal) following transfer of significant portions of such financial instruments to other parties. Such interests could be ancillary cash flows and interest-only strips. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (a)(3) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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