Asset-Backed Securities Issued

9 Months Ended

Sep. 30, 2021

ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 4 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at September 30, 2021 and December 31, 2020, along with other selected information, are summarized in the following table.

Table 14.1 – Asset-Backed Securities Issued


September 30, 2021	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series			Point HEI			Total
(Dollars in Thousands)
Certificates with principal balance	$	273,957	$	2,199,488	$	3,134,946	$	1,630,252	$	420,654		$	145,320		$	7,804,617
Interest-only certificates	739		21,003		189,946		19,787		10,885			—			242,360
Market valuation adjustments	(35,249)		22,808		68,684		60,625		19,863			117			136,848


ABS Issued, Net	$	239,447	$	2,243,299	$	3,393,576	$	1,710,664	$	451,402		$	145,437		$	8,183,825
Range of weighted average interest rates, by series(3)	0.49% to 1.45%		2.34% to 5.07%		2.34% to 5.21%		3.50% to 4.75%		3.41		%	3.27		%
Stated maturities(3)	2024 - 2036		2047 - 2051		2021 - 2031		2028 - 2059		2025			2052
Number of series	20		13		16		3		1			1


December 31, 2020	Legacy Sequoia		Sequoia		CAFL		Freddie Mac SLST (2)		Freddie Mac K-Series			Point HEI			Total
(Dollars in Thousands)
Certificates with principal balance	$	329,039	$	1,309,957	$	2,716,425	$	1,866,145	$	416,339		$	—		$	6,637,905
Interest-only certificates	1,092		4,591		162,934		23,335		13,026			—			204,978
Market valuation adjustments	(47,805)		32,809		133,734		104,439		34,601			—			257,778


ABS Issued, Net	$	282,326	$	1,347,357	$	3,013,093	$	1,993,919	$	463,966		$	—		$	7,100,661
Range of weighted average interest rates, by series(3)	0.35% to 1.55%		2.25% to 5.04%		2.68% to 5.42%		3.50% to 4.75%		3.39		%	—		%
Stated maturities(3)	2024 - 2036		2047 - 2050		2021 - 2031		2028 - 2059		2025			—
Number of series	20		10		14		3		1			—

(1)Includes $270 million (principal balance) of ABS issued by a CAFL bridge securitization trust sponsored by Redwood and accounted for at amortized cost at September 30, 2021.

(2)Includes $163 million and $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at September 30, 2021 and December 31, 2020, respectively.

(3)Certain ABS issued by CAFL, Freddie Mac SLST, and Point HEI entities is subject to early redemption and interest rate step-ups as described below.

During the third quarter of 2021, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest bridge loans (presented within CAFL in table 14.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $270 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2021, the principal balance of the ABS issued was $270 million, and the debt discount and deferred issuance costs were $3 million, for a net carrying value of $267 million. The weighted average stated coupon of the ABS issued was 2.34% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in March 2024, and beginning in March 2025 the interest rate on the ABS issued increases by 2% through final maturity in March 2029. The ABS issued by this securitization were backed by assets including $276 million of bridge loans and $28 million of restricted cash at September 30, 2021. The securitization is structured with $300 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 30 months of the transaction (through March 2024).

During the third quarter of 2021, we consolidated the assets and liabilities of the Point HEI entity formed in connection with the securitization of HEIs, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $146 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through Investment fair value changes, net on our consolidated statements of income (loss). The ABS issued by the Point HEI entity are subject to an optional redemption in September 2023, and beginning in September 2024 the interest rate on the ABS issued increases by 2% through final maturity in 2052.

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, 2021, the principal balance of the ABS issued was $163 million, and the debt discount and deferred issuance costs were $3 million, for a carrying value of $161 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 an optional redemption in July 2022 and in July 2023 the ABS interest rate steps up to 7.75%.

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, 2021, 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, 2021 and December 31, 2020. Interest due on consolidated ABS issued is payable monthly.

Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued


(In Thousands)	September 30, 2021		December 31, 2020
Legacy Sequoia	$	107	$	141
Sequoia	5,918		4,697
CAFL	10,760		10,122
Freddie Mac SLST (1)	4,925		5,656
Freddie Mac K-Series	1,195		1,177
Total Accrued Interest Payable on ABS Issued	$	22,905	$	21,793

(1)Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood.