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. We consolidated certain Sequoia securitizations issued prior to 2012 that we determined were VIEs and for which we determined we were the primary beneficiary. Each consolidated 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.

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 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 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 Sequoia securitization entities we sponsored at June 30, 2017 and December 31, 2016, along with other selected information, are summarized in the following table.

Table 12.1 – Asset-Backed Securities Issued



June 30, 2017	Consolidated Sequoia Entities
(Dollars in Thousands)	Consolidated Sequoia Entities
Certificates with principal balance	$	775,527
Interest-only certificates	2,989
Market valuation adjustments	(85,910		)
ABS Issued, Net	$	692,606
Range of weighted average interest rates, by series	0.39% to 2.28%
Stated maturities	2024 - 2036
Number of series	20



December 31, 2016	Consolidated Sequoia Entities
(Dollars in Thousands)	Consolidated Sequoia Entities
Certificates with principal balance	$	880,517
Interest-only certificates	3,774
Market valuation adjustments	(110,829		)
ABS Issued, Net	$	773,462
Range of weighted average interest rates, by series	0.15% to 1.95%
Stated maturities	2024 - 2036
Number of series	20

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 June 30, 2017, all of the ABS issued and outstanding had contractual maturities beyond five years.

At both June 30, 2017 and December 31, 2016, accrued interest payable on ABS issued was $1 million. Interest due on consolidated ABS issued is payable monthly.

The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2017 and December 31, 2016.

Table 12.2 – Collateral for Asset-Backed Securities Issued



June 30, 2017	Consolidated Sequoia Entities
(In Thousands)	Consolidated Sequoia Entities
Residential loans	$	707,686
Restricted cash	148
Accrued interest receivable	925
REO	4,645
Total Collateral for ABS Issued	$	713,404



December 31, 2016	Consolidated Sequoia Entities
(In Thousands)	Consolidated Sequoia Entities
Residential loans	$	791,636
Restricted cash	148
Accrued interest receivable	1,000
REO	5,533
Total Collateral for ABS Issued	$	798,317