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. ABS were also issued by the Commercial Securitization and the Residential Resecuritization, which we also consolidated. During the second quarter of 2016, the debt of the Commercial Securitization was repaid and during the fourth quarter of 2015, the debt of the Residential Resecuritization was repaid. 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.

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, 2016 and December 31, 2015, along with other selected information, are summarized in the following table.

Table 13.1 – Asset-Backed Securities Issued



	December 31, 2016									December 31, 2015
(Dollars in Thousands)	Sequoia			Commercial Securitization			Total			Sequoia			Commercial Securitization			Total
Certificates with principal balance	$	880,517		$	—		$	880,517		$	1,108,785		$	53,137		$	1,161,922
Interest-only certificates	3,774			—			3,774			4,672			—			4,672
Market valuation adjustments	(110,829		)	—			(110,829		)	(116,637		)	—			(116,637		)
Total ABS issued	773,462			—			773,462			996,820			53,137			1,049,957
Deferred debt issuance costs	—			—			—			—			(542		)	(542		)
ABS Issued, Net ⁽¹⁾	$	773,462		$	—		$	773,462		$	996,820		$	52,595		$	1,049,415
Range of weighted average interest rates, by series	0.15% to 1.95%			—		%				0.41% to 2.21%			5.62		%
Stated maturities	2024 - 2036			N/A						2017 - 2037			2018
Number of series	20			—						21			1


(1)	Upon adoption of ASU 2015-03 on January 1, 2016, we began to present ABS issued, net of deferred debt issuance costs. See Note 3 for further discussion.

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, 2016, all of the ABS issued and outstanding had contractual maturities beyond five years. Amortization of Commercial Securitization and Residential Resecuritization deferred ABS issuance costs were $0.4 million, $1 million, and $2 million for the years ended December 31, 2016, 2015, and 2014, respectively. The following table summarizes the accrued interest payable on ABS issued at December 31, 2016 and December 31, 2015. Interest due on consolidated ABS issued is payable monthly.

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



(In Thousands)	December 31, 2016		December 31, 2015
Sequoia	$	518	$	555
Commercial Securitization	—		249
Total Accrued Interest Payable on ABS Issued	$	518	$	804

The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at December 31, 2016 and December 31, 2015.

Table 13.3 – Collateral for Asset-Backed Securities Issued



	December 31, 2016						December 31, 2015
(In Thousands)	Sequoia		Commercial Securitization		Total		Sequoia		Commercial Securitization		Total
Residential loans	$	791,636	$	—	$	791,636	$	1,021,870	$	—	$	1,021,870
Commercial loans	—		—		—		—		166,016		166,016
Restricted cash	148		—		148		228		137		365
Accrued interest receivable	1,000		—		1,000		1,131		1,297		2,428
REO	5,533		—		5,533		4,895		—		4,895
Total Collateral for ABS Issued	$	798,317	$	—	$	798,317	$	1,028,124	$	167,450	$	1,195,574