Asset-Backed Securities Issued (Tables)

9 Months Ended

Sep. 30, 2015

Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information

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

Summary of Accrued Interest Payable on ABS Issued

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

Summary of Carrying Value Components of Collateral for ABS Issued and Outstanding

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