Asset-Backed Securities Issued (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Asset-Backed Securities Issued

The carrying values of ABS issued by our consolidated securitization entities at June 30, 2023 and December 31, 2022, along with other selected information, are summarized in the following table.

Table 15.1 – Asset-Backed Securities Issued


	June 30, 2023
	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST		Freddie Mac K-Series			HEI			Total
(Dollars in Thousands)
Certificates with principal balance	$	171,068	$	4,125,715	$	3,161,740	$	1,184,425	$	406,581		$	104,171		$	9,153,700
Interest-only certificates	162		49,192		103,935		14,413		6,019			—			173,721
Market valuation adjustments	(9,181)		(689,517)		(310,155)		(101,866)		(25,019)			(8,513)			(1,144,251)


ABS Issued, Net	$	162,049	$	3,485,390	$	2,955,520	$	1,096,972	$	387,581		$	95,658		$	8,183,170
Range of weighted average interest rates, by series(3)	0% to 7.02%		2.63% to 5.01%		2.34% to 6.19%		3.50%		3.41		%	3.82		%
Stated maturities(3)	2024-2036		2047-2053		2027-2032		2028-2029		2025			2052
Number of series	20		19		19		2		1			1


	December 31, 2022
	Legacy Sequoia		Sequoia		CAFL(1)		Freddie Mac SLST (2)		Freddie Mac K-Series			HEI			Total
(Dollars in Thousands)
Certificates with principal balance	$	200,047	$	3,595,715	$	3,322,250	$	1,306,652	$	410,725		$	108,962		$	8,944,351
Interest-only certificates	180		57,871		124,928		15,328		7,379			—			205,686
Market valuation adjustments	(16,036)		(682,477)		(331,371)		(99,830)		(25,319)			(8,252)			(1,163,285)


ABS Issued, Net	$	184,191	$	2,971,109	$	3,115,807	$	1,222,150	$	392,785		$	100,710		$	7,986,752
Range of weighted average interest rates, by series(3)	2.69% to 5.19%		2.57% to 6.13%		2.34% to 5.92%		3.50% to 4.75%		3.41		%	3.78		%
Stated maturities(3)	2024 - 2036		2047-2052		2027-2032		2028-2059		2025			2052
Number of series	20		17		19		3		1			1

(1)Includes $485 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at both June 30, 2023 and December 31, 2022.

(2)Includes $86 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at December 31, 2022.

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

Schedule of Accrued Interest Payable on Asset-Backed Securities Issued

The following table summarizes the accrued interest payable on ABS issued at June 30, 2023 and December 31, 2022. Interest due on consolidated ABS issued is payable monthly.

Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued


(In Thousands)	June 30, 2023		December 31, 2022
Legacy Sequoia	$	317	$	282
Sequoia	11,222		8,880
CAFL	10,286		10,918
Freddie Mac SLST (1)	3,455		3,561
Freddie Mac K-Series	1,155		1,167
Total Accrued Interest Payable on ABS Issued	$	26,435	$	24,808

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