Asset-Backed Securities Issued (Tables)

9 Months Ended

Sep. 30, 2021

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.

Accrued Interest Payable on Asset-Backed Securities Issued

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.