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 exposed to certain financial risks associated with our role as a sponsor, manager, or depositor of these entities or as a result of our having sold assets directly or indirectly to 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, 2015 and December 31, 2014, along with other selected information, are summarized in the following table.

Table 13.1 – Asset-Backed Securities Issued



	September 30, 2015
(Dollars in Thousands)	Sequoia			Residential Resecuritization			Commercial Securitization			Total
Certificates with principal balance	$	1,220,419		$	5,261		$	67,946		$	1,293,626
Interest-only certificates	4,876			—			—			4,876
Market valuation adjustments ⁽¹⁾	(119,707		)	—			—			(119,707		)
Total ABS Issued	$	1,105,588		$	5,261		$	67,946		$	1,178,795
Range of weighted average interest rates, by series	0.41% to 4.39%			2.20		%	5.62		%
Stated maturities	2017 - 2041			2046			2018
Number of series	24			1			1


(1)	Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for additional information.



	December 31, 2014
(Dollars in Thousands)	Sequoia			Residential Resecuritization			Commercial Securitization			Total
Certificates with principal balance	$	1,427,056		$	45,044		$	83,313		$	1,555,413
Interest-only certificates	2,079			—			—			2,079
Unamortized discount	(12,373		)	—			—			(12,373		)
Total ABS Issued	$	1,416,762		$	45,044		$	83,313		$	1,545,119
Range of weighted average interest rates, by series	0.36% to 4.27%			2.16		%	5.62		%
Stated maturities	2014 - 2041			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 stated maturity. At September 30, 2015, $1.18 billion of ABS issued ($1.29 billion principal balance) had contractual maturities after five years. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were less than $1 million for both for the three months ended September 30, 2015 and 2014, respectively. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were less than $1 million and $2 million for the nine months ended September 30, 2015 and 2014, respectively. The following table summarizes the accrued interest payable on ABS issued at September 30, 2015 and December 31, 2014. Interest due on consolidated ABS issued is payable monthly.

Table 13.2 – Accrued Interest Payable on Asset-Backed Securities Issued



(In Thousands)	September 30, 2015		December 31, 2014
Sequoia	$	770	$	976
Residential Resecuritization	1		5
Commercial Securitization	318		390
Total Accrued Interest Payable on ABS Issued	$	1,089	$	1,371

The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at September 30, 2015 and December 31, 2014.

Table 13.3 – Collateral for Asset-Backed Securities Issued



	September 30, 2015
(In Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Residential loans	$	1,170,246	$	—	$	—	$	1,170,246
Commercial loans	—		—		180,394		180,394
Real estate securities	—		181,253		—		181,253
Restricted cash	191		—		138		329
Accrued interest receivable	1,505		364		1,357		3,226
REO	3,902		—		—		3,902
Total Collateral for ABS Issued	$	1,175,844	$	181,617	$	181,889	$	1,539,350



	December 31, 2014
(In Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Residential loans	$	1,474,386	$	—	$	—	$	1,474,386
Commercial loans	—		—		194,991		194,991
Real estate securities	—		221,676		—		221,676
Restricted cash	147		43		137		327
Accrued interest receivable	2,359		477		1,511		4,347
REO	4,391		—		—		4,391
Total Collateral for ABS Issued	$	1,481,283	$	222,196	$	196,639	$	1,900,118