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Asset-Backed Securities Issued (Tables) | 9 Months Ended
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Sep. 30, 2022
Debt Disclosure [Abstract] |
Asset-Backed Securities Issued | The carrying values of ABS issued by our consolidated securitization entities at September 30, 2022 and December 31, 2021, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued
September 30, 2022 |  | Legacy Sequoia |  | Sequoia |  | CAFL (1) |  | Freddie Mac SLST (2) |  | Freddie Mac K-Series |  | HEI |  | Total
(Dollars in Thousands) |  |  |  |  |  |  |
Certificates with principal balance |  | $ | 213,786 |  |  | $ | 3,650,411 |  |  | $ | 3,375,688 |  |  | $ | 1,344,521 |  |  | $ | 412,764 |  |  | $ | 112,380 |  |  | $ | 9,109,550 |
Interest-only certificates |  | 170 |  |  | 62,311 |  |  | 134,348 |  |  | 13,930 |  |  | 8,075 |  |  | — |  |  | 218,834 |
Market valuation adjustments |  | (16,602) |  |  | (699,473) |  |  | (330,549) |  |  | (109,410) |  |  | (25,428) |  |  | (7,629) |  |  | (1,189,091) |
ABS Issued, Net |  | $ | 197,354 |  |  | $ | 3,013,249 |  |  | $ | 3,179,487 |  |  | $ | 1,249,041 |  |  | $ | 395,411 |  |  | $ | 104,751 |  |  | $ | 8,139,293 |
Range of weighted average interest rates, by series(3) |  | 2.52% to 3.90% |  | 2.56% to 4.99% |  | 2.34% to 5.93% |  | 3.50% to 4.75% |  | 3.41 | % |  | 3.76 | % |  |
Stated maturities(3) |  | 2024 - 2036 |  | 2047-2052 |  | 2027-2032 |  | 2028-2059 |  | 2025 |  | 2052 |  |
Number of series |  | 20 |  |  | 17 |  |  | 19 |  |  | 3 |  |  | 1 |  |  | 1 |  |  |
December 31, 2021 |  | Legacy Sequoia |  | Sequoia |  | CAFL(1) |  | Freddie Mac SLST (2) |  | Freddie Mac K-Series |  | HEI |  | Total
(Dollars in Thousands) |  |  |  |  |  |  |
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% |  | 2.40% 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 |  |  |
(1)Includes $485 million and $270 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (2)Includes $100 million and $145 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (3)Certain ABS issued by CAFL, Freddie Mac SLST, and HEI securitization entities are 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, 2022 and December 31, 2021. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued
(In Thousands) |  | September 30, 2022 |  | December 31, 2021
Legacy Sequoia |  | $ | 223 |  |  | $ | 99 |
Sequoia |  | 9,003 |  |  | 8,452 |
CAFL |  | 11,202 |  |  | 11,030 |
Freddie Mac SLST (1) |  | 4,026 |  |  | 4,630 |
Freddie Mac K-Series |  | 1,173 |  |  | 1,190 |
Total Accrued Interest Payable on ABS Issued |  | $ | 25,627 |  |  | $ | 25,401 |
(1)Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood.

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