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Asset-Backed Securities Issued | 9 Months Ended
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Sep. 30, 2019
Debt Disclosure [Abstract] |
Asset-Backed Securities Issued | Asset-Backed Securities Issued Through our Sequoia securitization program, we sponsor securitization transactions in which securities backed by residential mortgage loans (ABS) are issued by Sequoia entities. We consolidated the Legacy Sequoia and Sequoia Choice securitization entities, and beginning in 2018, certain third-party Freddie Mac K-Series and SLST securitization entities, 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, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. We account for the ABS issued under our consolidated entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. Pursuant to the CFE guidelines, the market valuation changes on our loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in each of these securitization entities is presented in Note 5. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly basis. All ABS issued by the Sequoia Choice and Freddie Mac K-Series, and Freddie Mac SLST entities pay fixed rates of interest and substantially all ABS issued by the Legacy Sequoia entities pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. 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 September 30, 2019 and December 31, 2018, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued
September 30, 2019 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Total
(Dollars in Thousands) |  |  |  |  |
Certificates with principal balance |  | $ | 437,793 |  |  | $ | 2,285,479 |  |  | $ | 1,885,106 |  |  | $ | 3,239,009 |  |  | $ | 7,847,387 |
Interest-only certificates |  | 1,486 |  |  | 16,619 |  |  | 28,758 |  |  | 202,730 |  |  | 249,593 |
Market valuation adjustments |  | (19,389 | ) |  | 59,013 |  |  | 73,609 |  |  | 135,838 |  |  | 249,071 |
ABS Issued, Net |  | $ | 419,890 |  |  | $ | 2,361,111 |  |  | $ | 1,987,473 |  |  | $ | 3,577,577 |  |  | $ | 8,346,051 |
Range of weighted average interest rates, by series |  | 2.22% to 3.49% |  |  | 4.41% to 5.06% |  |  | 3.50 | % |  | 3.39% to 4.20% |  |  |
Stated maturities |  | 2024 - 2036 |  |  | 2047 - 2049 |  |  | 2028 - 2029 |  |  | 2025 - 2049 |  |  |
Number of series |  | 20 |  |  | 9 |  |  | 2 |  |  | 4 |  |  |
December 31, 2018 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Total
(Dollars in Thousands) |  |  |  |  |
Certificates with principal balance |  | $ | 540,456 |  |  | $ | 1,838,758 |  |  | $ | 993,659 |  |  | $ | 1,936,691 |  |  | $ | 5,309,564 |
Interest-only certificates |  | 1,537 |  |  | 25,662 |  |  | — |  |  | 131,600 |  |  | 158,799 |
Market valuation adjustments |  | (29,753 | ) |  | 20,590 |  |  | 89 |  |  | (49,216 | ) |  | (58,290 | )
ABS Issued, Net |  | $ | 512,240 |  |  | $ | 1,885,010 |  |  | $ | 993,748 |  |  | $ | 2,019,075 |  |  | $ | 5,410,073 |
Range of weighted average interest rates, by series |  | 1.36% to 3.60% |  |  | 4.46% to 4.97% |  |  | 3.51 | % |  | 3.39% to 4.08% |  |  |
Stated maturities |  | 2024 - 2036 |  |  | 2047 - 2048 |  |  | 2028 |  |  | 2025 - 2049 |  |  |
Number of series |  | 20 |  |  | 6 |  |  | 1 |  |  | 3 |  |  |
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, 2019, all of the ABS issued and outstanding had contractual maturities beyond five years. The following table summarizes the accrued interest payable on ABS issued at September 30, 2019 and December 31, 2018. Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued
(In Thousands) |  | September 30, 2019 |  | December 31, 2018
Legacy Sequoia |  | $ | 456 |  |  | $ | 571 |
Sequoia Choice |  | 8,949 |  |  | 7,180 |
Freddie Mac SLST |  | 5,498 |  |  | 2,907 |
Freddie Mac K-Series |  | 10,805 |  |  | 6,239 |
Total Accrued Interest Payable on ABS Issued |  | $ | 25,708 |  |  | $ | 16,897 |
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at September 30, 2019 and December 31, 2018. Table 14.3 – Collateral for Asset-Backed Securities Issued
September 30, 2019 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Total
(In Thousands) |  |  |  |  |
Residential loans |  | $ | 429,159 |  |  | $ | 2,618,316 |  |  | $ | 2,441,223 |  |  | $ | — |  |  | $ | 5,488,698 |
Multifamily loans |  | — |  |  | — |  |  | — |  |  | 3,791,622 |  |  | 3,791,622 |
Restricted cash |  | 143 |  |  | 15 |  |  | — |  |  | — |  |  | 158 |
Accrued interest receivable |  | 716 |  |  | 10,806 |  |  | 7,215 |  |  | 11,300 |  |  | 30,037 |
REO |  | 460 |  |  | — |  |  | 84 |  |  | — |  |  | 544 |
Total Collateral for ABS Issued |  | $ | 430,478 |  |  | $ | 2,629,137 |  |  | $ | 2,448,522 |  |  | $ | 3,802,922 |  |  | $ | 9,311,059 |
December 31, 2018 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Total
(In Thousands) |  |  |  |  |
Residential loans |  | $ | 519,958 |  |  | $ | 2,079,382 |  |  | $ | 1,222,669 |  |  | $ | — |  |  | $ | 3,822,009 |
Multifamily loans |  | — |  |  | — |  |  | — |  |  | 2,144,598 |  |  | 2,144,598 |
Restricted cash |  | 146 |  |  | 1,022 |  |  | — |  |  | — |  |  | 1,168 |
Accrued interest receivable |  | 822 |  |  | 8,988 |  |  | 3,926 |  |  | 6,595 |  |  | 20,331 |
REO |  | 3,943 |  |  | — |  |  | — |  |  | — |  |  | 3,943 |
Total Collateral for ABS Issued |  | $ | 524,869 |  |  | $ | 2,089,392 |  |  | $ | 1,226,595 |  |  | $ | 2,151,193 |  |  | $ | 5,992,049 |

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- Definition This item represents the disclosure related to the asset-backed securities issued under the Sequoia and Acacia securitization entities, and the Residential Resecuritization and Commercial Securitization entities, including their respective components, collateral, and accrued interest payable. + References No definition available. + Details
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- References No definition available. + Details
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