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Asset-Backed Securities Issued | 9 Months Ended
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Sep. 30, 2020
Debt Disclosure [Abstract] |
Asset-Backed Securities Issued | Asset-Backed Securities Issued The carrying values of ABS issued by our consolidated securitization entities at September 30, 2020 and December 31, 2019, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued
September 30, 2020 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST (1) |  | Freddie Mac K-Series |  | CAFL |  | Total
(Dollars in Thousands) |  |  |  |  |  |
Certificates with principal balance |  | $ | 347,985 |  |  | $ | 1,571,714 |  |  | $ | 1,925,144 |  |  | $ | 418,212 |  |  | $ | 2,528,974 |  |  | $ | 6,792,029 |
Interest-only certificates |  | 1,268 |  |  | 6,805 |  |  | 24,053 |  |  | 13,122 |  |  | 137,064 |  |  | 182,312 |
Market valuation adjustments |  | (56,769) |  |  | 48,045 |  |  | 95,138 |  |  | 33,531 |  |  | 78,112 |  |  | 198,057 |
ABS Issued, Net |  | $ | 292,484 |  |  | $ | 1,626,564 |  |  | $ | 2,044,335 |  |  | $ | 464,865 |  |  | $ | 2,744,150 |  |  | $ | 7,172,398 |
Range of weighted average interest rates, by series |  | 0.35% to 1.96% |  | 2.23% to 5.02% |  | 3.50% to 4.75% |  | 3.39 | % |  | 3.18% to 5.53% |  |
Stated maturities |  | 2024 - 2036 |  | 2047 - 2050 |  | 2028 - 2059 |  | 2025 |  | 2022 - 2048 |  |
Number of series |  | 20 |  |  | 10 |  |  | 3 |  |  | 1 |  |  | 13 |  |  |
December 31, 2019 |  | Legacy Sequoia |  | Sequoia Choice |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | CAFL |  | Total
(Dollars in Thousands) |  |  |  |  |  |
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 |  |  |
(1)Includes $208 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost. During the third quarter of 2020, we transferred all of the subordinate securities we owned from two consolidated re-performing loan securitization VIEs sponsored by Freddie Mac SLST to a re-securitization trust, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $210 million (principal balance) of ABS issued to third parties and retained 100% of the remaining beneficial ownership interest in the trust through ownership of a subordinate security issued by the trust. The ABS was issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2020, the carrying value of the ABS issued was $203 million and the debt discount was $5 million. The stated coupon of the ABS issued was 4.75% at issuance and the final stated maturity occurs in July 2059. The ABS issued is subject to optional redemption and interest rate step-ups prior to the stated maturity according to the terms of the respective governing agreements. 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, 2020, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 4 for detail on the carrying value components of the collateral for ABS issued and outstanding. The following table summarizes the accrued interest payable on ABS issued at September 30, 2020 and December 31, 2019. Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued
(In Thousands) |  | September 30, 2020 |  | December 31, 2019
Legacy Sequoia |  | $ | 180 |  |  | $ | 395 |
Sequoia Choice |  | 5,652 |  |  | 7,732 |
Freddie Mac SLST (1) |  | 5,831 |  |  | 5,374 |
Freddie Mac K-Series |  | 1,182 |  |  | 12,887 |
CAFL |  | 9,180 |  |  | 7,298 |
Total Accrued Interest Payable on ABS Issued |  | $ | 22,025 |  |  | $ | 33,686 |

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