Asset-Backed Securities Issued (Tables)

12 Months Ended

Dec. 31, 2019

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

The carrying values of ABS issued by our consolidated securitization entities at December 31, 2019 and December 31, 2018, along with other selected information, are summarized in the following table.

Table 14.1 – Asset-Backed Securities Issued



	December 31, 2019
(Dollars in Thousands)	Legacy Sequoia			Sequoia Choice		Freddie Mac SLST			Freddie Mac K-Series		CAFL		Total
Certificates with principal balance	$	420,056		$	1,979,719	$	1,842,682		$	3,844,789	$	1,875,007	$	9,962,253
Interest-only certificates	1,282			16,514		30,291			217,891		90,134		356,112
Market valuation adjustments	(18,873		)	40,965		45,349			93,559		36,110		197,110
ABS Issued, Net	$	402,465		$	2,037,198	$	1,918,322		$	4,156,239	$	2,001,251	$	10,515,475
Range of weighted average interest rates, by series	1.94% to 3.26%			4.40% to 5.05%		3.50		%	3.35% to 4.35%		3.25% to 5.36%
Stated maturities	2024 - 2036			2047 - 2049		2028 - 2029			2025 - 2049		2022 - 2048
Number of series	20			9		2			5		10



	December 31, 2018
(Dollars in Thousands)	Legacy Sequoia			Sequoia Choice		Freddie Mac SLST			Freddie Mac K-Series			CAFL			Total
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			—

Schedule of Interest Payable On Asset-Backed Securities Issued

The following table summarizes the accrued interest payable on ABS issued at December 31, 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)	December 31, 2019		December 31, 2018
Legacy Sequoia	$	395	$	571
Sequoia Choice	7,732		7,180
Freddie Mac SLST	5,374		2,907
Freddie Mac K-Series	12,887		6,239
CAFL	7,298		—
Total Accrued Interest Payable on ABS Issued	$	33,686	$	16,897

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 December 31, 2019 and December 31, 2018.

Table 14.3 – Collateral for Asset-Backed Securities Issued



	December 31, 2019
(In Thousands)	Legacy Sequoia		Sequoia Choice		Freddie Mac SLST		Freddie Mac K-Series		CAFL		Total
Residential loans	$	407,890	$	2,291,463	$	2,367,215	$	—	$	—	$	5,066,568
Business purpose residential loans	—		—		—		—		2,192,552		2,192,552
Multifamily loans	—		—		—		4,408,524		—		4,408,524
Restricted cash	143		27		—		—		—		170
Accrued interest receivable	655		9,824		7,313		13,539		9,572		40,903
REO	460		—		445		—		1,795		2,700
Total Collateral for ABS Issued	$	409,148	$	2,301,314	$	2,374,973	$	4,422,063	$	2,203,919	$	11,711,417



	December 31, 2018
(In Thousands)	Legacy Sequoia		Sequoia Choice		Freddie Mac SLST		Freddie Mac K-Series		CAFL		Total
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