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 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 December 31, 2015 and December 31, 2014, along with other selected information, are summarized in the following table.

Table 13.1 – Asset-Backed Securities Issued



	December 31, 2015
(Dollars in Thousands)	Sequoia			Residential Resecuritization			Commercial Securitization			Total
Certificates with principal balance	$	1,108,785		$	—		$	53,137		$	1,161,922
Interest-only certificates	4,672			—			—			4,672
Market valuation adjustments ⁽¹⁾	(116,637		)	—			—			(116,637		)
Total ABS Issued	$	996,820		$	—		$	53,137		$	1,049,957
Range of weighted average interest rates, by series	0.41% to 2.21%			—		%	5.62		%
Stated maturities	2017 - 2037			—			2018
Number of series	21			—			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

We consolidated the assets and liabilities of an entity formed in connection with our Residential Resecuritization from its creation in 2011 through the fourth quarter of 2015, when the debt of the entity was repaid, the assets of the entity were distributed to us, and the entity was dissolved. In addition, during the fourth quarter of 2015, we exercised our rights to call three Sequoia securitization entities, whereby we purchased the loans remaining in each securitization at par, repaid the outstanding debt, and dissolved the entities.

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 December 31, 2015, $1.04 billion of ABS issued ($1.15 billion principal balance) had contractual maturities after five years. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were $1 million, $2 million, and $3 million for the years ended December 31, 2015, 2014, and 2013, respectively. The following table summarizes the accrued interest payable on ABS issued at December 31, 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)	December 31, 2015		December 31, 2014
Sequoia	$	555	$	976
Residential Resecuritization	—		5
Commercial Securitization	249		390
Total Accrued Interest Payable on ABS Issued	$	804	$	1,371

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

Table 13.3 – Collateral for Asset-Backed Securities Issued



	December 31, 2015
(In Thousands)	Sequoia		Residential Resecuritization		Commercial Securitization		Total
Residential loans	$	1,021,870	$	—	$	—	$	1,021,870
Commercial loans	—		—		166,016		166,016
Real estate securities	—		—		—		—
Restricted cash	228		—		137		365
Accrued interest receivable	1,131		—		1,297		2,428
REO	4,895		—		—		4,895
Total Collateral for ABS Issued	$	1,028,124	$	—	$	167,450	$	1,195,574



	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