Note 13. Asset-Backed Securities Issued

Through our Sequoia securitization program, we sponsor securitization transactions in which ABS backed by residential mortgage loans are issued by Sequoia Entities. ABS were also issued by securitization entities in the Residential Resecuritization and the Commercial Securitization. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood. Our exposure to these entities is primarily through the financial interests we have retained, although we are also exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities.

As a general matter, ABS have been issued by these securitization entities to fund the acquisition of assets from us or from third parties. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly or quarterly basis. Substantially all ABS issued pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. Some ABS issued pay fixed rates of interest or pay hybrid rates, which are fixed rates that subsequently adjust to variable rates. ABS issued also includes some interest-only classes with coupons set at a fixed rate or a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity.

The carrying values of ABS issued by consolidated securitization entities we sponsored at September 30, 2014 and December 31, 2013, along with other selected information, are summarized in the following table.

Asset-Backed Securities Issued


	September 30, 2014
(Dollars in Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Certificates with principal balance	$	1,495,988	$	56,508	$	114,943	$	1,667,439
Interest-only certificates		2,318		-		-		2,318
Unamortized discount		(13,555)		-		-		(13,555)

Total ABS Issued	$	1,484,751	$	56,508	$	114,943	$	1,656,202

Range of weighted average interest rates, by series		0.08% to 4.26%		2.16%		5.62%
Stated maturities		2014 - 2047		2046		2018
Number of series		24		1		1

	December 31, 2013
(Dollars in Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Certificates with principal balance	$	1,708,324	$	94,934	$	153,693	$	1,956,951
Interest-only certificates		3,400		-		-		3,400
Unamortized discount		(17,389)		-		-		(17,389)

Total ABS Issued	$	1,694,335	$	94,934	$	153,693	$	1,942,962

Range of weighted average interest rates, by series		0.24% to 4.23%		2.21%		5.62%
Stated maturities		2014 - 2047		2046		2018
Number of series		24		1		1

The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its contractual maturity. At September 30, 2014, $1.64 billion of ABS issued ($1.65 billion principal balance) had contractual maturities beyond five years and $18 million of ABS issued ($18 million principal balance) had contractual maturities of less than one year. Amortization of Sequoia, Commercial Securitization, and Residential Resecuritization deferred ABS issuance costs was $2 million and $3 million for the nine months ended September 30, 2014 and 2013, respectively. The following table summarizes the accrued interest payable on ABS issued at September 30, 2014 and December 31, 2013. Interest due on consolidated ABS issued is payable monthly.

Accrued Interest Payable on Asset-Backed Securities Issued


(In Thousands)	September 30, 2014		December 31, 2013
Sequoia	$	1,034	$	1,218
Residential Resecuritization		7		11
Commercial Securitization		539		720

Total Accrued Interest Payable on ABS Issued	$	1,580	$	1,949

The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at September 30, 2014 and December 31, 2013.

Collateral for Asset-Backed Securities Issued


	September 30, 2014
(In Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Residential loans	$	1,546,507	$	-	$	-	$	1,546,507
Commercial loans		-		-		204,741		204,741
Real estate securities		-		233,311		-		233,311
Restricted cash		147		-		138		285
Accrued interest receivable		1,882		506		1,527		3,915
Other assets		3,349		-		21,699		25,048

Total Collateral for ABS Issued	$	1,551,885	$	233,817	$	228,105	$	2,013,807


	December 31, 2013
(In Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Residential loans	$	1,762,167	$	-	$	-	$	1,762,167
Commercial loans		-		-		257,741		257,741
Real estate securities		-		263,204		-		263,204
Restricted cash		152		-		137		289
Accrued interest receivable		2,714		627		1,975		5,316
REO		3,661		-		-		3,661

Total Collateral for ABS Issued	$	1,768,694	$	263,831	$	259,853	$	2,292,378