Asset-Backed Securities Issued (Tables)

12 Months Ended

Dec. 31, 2021

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

Table 14.1 – Asset-Backed Securities Issued


	December 31, 2021
(Dollars in Thousands)	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series			Point HEI			Total

Certificates with principal balance	$	259,505	$	3,353,073	$	3,264,766	$	1,535,638	$	418,700		$	138,792		$	8,970,474
Interest-only certificates	619		32,749		193,725		11,714		10,184			—			248,991
Market valuation adjustments	(32,243)		(2,774)		16,407		41,111		12,973			(1,382)			34,092


ABS Issued, Net	$	227,881	$	3,383,048	$	3,474,898	$	1,588,463	$	441,857		$	137,410		$	9,253,557
Range of weighted average interest rates, by series(3)	0.23% to 1.44%		2.4% to 5.03%		2.64% to 5.24%		3.50% to 4.75%		3.41		%	3.31		%
Stated maturities(3)	2024 - 2036		2047-2052		2027-2031		2028-2059		2025			2052
Number of series	20		16		16		3		1			1


	December 31, 2020
(Dollars in Thousands)	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series		Point HEI		Total
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	0.35% to 1.55%		2.25% to 5.04%		2.68% to 5.42%		3.50% to 4.75%		3.39% to 3.39%		—
Stated maturities	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 December 31, 2021.

(2)Includes $145 million and $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at December 31, 2021 and December 31, 2020, respectively.

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

Schedule of Interest Payable On Asset-Backed Securities Issued

The following table summarizes the accrued interest payable on ABS issued at December 31, 2021 and 2020. Interest due on consolidated ABS issued is payable monthly.

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


(In Thousands)	December 31, 2021		December 31, 2020
Legacy Sequoia	$	99	$	141
Sequoia	8,452		4,697
Freddie Mac SLST (1)	4,630		5,656
Freddie Mac K-Series	1,190		1,177
CAFL	11,030		10,122
Total Accrued Interest Payable on ABS Issued	$	25,401	$	21,793

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