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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, 2022 | Dec. 31, 2021
--- | --- | ---
Assets |  |  |
Real estate securities, at fair value |  | $ 116,933 | $ 170,619
Other investments | [1] | 412,762 | 449,229
Derivative assets | [1] | 65,213 | 26,467
Liabilities |  |  |
Derivative liabilities | [1] | 6,782 | 3,317
ABS issued |  | 7,564,312 | 8,843,147
Fair Value, Measurements, Recurring |  |  |
Assets |  |  |
Business purpose loans |  | 5,257,218 | 4,790,989
Consolidated Agency multifamily loans |  | 427,458 | 473,514
Real estate securities, at fair value |  | 259,212 | 377,411
Servicer advance investments |  | 274,934 | 350,923
MSRs |  | 24,796 | 12,438
Excess MSRs |  | 40,452 | 44,231
HEIs |  | 340,437 | 192,740
Other investments |  | 11,174 | 17,574
Derivative assets |  | 65,213 | 26,467
FHLBC stock |  |  | 10
Liabilities |  |  |
HEI securitization non-controlling interest |  | 24,355 | 17,035
Derivative liabilities |  | 6,782 | 3,317
ABS issued |  | 7,564,312 | 8,843,147
Fair Value, Measurements, Recurring | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | 5,752,524 | 7,592,398
Fair Value, Measurements, Recurring | Level 1 |  |  |
Assets |  |  |
Business purpose loans |  | 0 | 0
Consolidated Agency multifamily loans |  | 0 | 0
Real estate securities, at fair value |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
HEIs |  | 0 | 0
Other investments |  | 0 | 0
Derivative assets |  | 39,843 | 2,906
FHLBC stock |  |  | 0
Liabilities |  |  |
HEI securitization non-controlling interest |  | 0 | 0
Derivative liabilities |  | 6,547 | 1,563
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
Consolidated Agency multifamily loans |  | 0 | 0
Real estate securities, at fair value |  | 0 | 0
Servicer advance investments |  | 0 | 0
MSRs |  | 0 | 0
Excess MSRs |  | 0 | 0
HEIs |  | 0 | 0
Other investments |  | 0 | 0
Derivative assets |  | 24,626 | 18,928
FHLBC stock |  |  | 10
Liabilities |  |  |
HEI securitization non-controlling interest |  | 0 | 0
Derivative liabilities |  | 23 | 1,251
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 |  | 5,257,218 | 4,790,989
Consolidated Agency multifamily loans |  | 427,458 | 473,514
Real estate securities, at fair value |  | 259,212 | 377,411
Servicer advance investments |  | 274,934 | 350,923
MSRs |  | 24,796 | 12,438
Excess MSRs |  | 40,452 | 44,231
HEIs |  | 340,437 | 192,740
Other investments |  | 11,174 | 17,574
Derivative assets |  | 744 | 4,633
FHLBC stock |  |  | 0
Liabilities |  |  |
HEI securitization non-controlling interest |  | 24,355 | 17,035
Derivative liabilities |  | 212 | 503
ABS issued |  | 7,564,312 | 8,843,147
Fair Value, Measurements, Recurring | Level 3 | Residential Loans |  |  |
Assets |  |  |
Residential loans |  | $ 5,752,524 | $ 7,592,398
[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, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion.

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