Asset-Backed Securities Issued (Tables)

12 Months Ended

Dec. 31, 2023

Schedule of Asset-Backed Securities Issued

Table 15.1 – Asset-Backed Securities Issued


	December 31, 2023
(Dollars in Thousands)	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series			HEI		Total

Certificates with principal balance	$	151,106	$	5,000,540	$	3,472,825	$	1,328,657	$	402,400		$	233,131	$	10,588,659
Interest-only certificates at fair value	162		52,112		101,828		13,856		4,562			—		172,520
Market valuation adjustments	(12,738)		(622,522)		(209,740)		(72,742)		(14,985)			(10,643)		(943,370)
Unamortized debt discount and deferred debt issuance costs	—		—		(1,935)		(3,994)		—			—		(5,929)
ABS Issued, Net	$	138,530	$	4,430,130	$	3,362,978	$	1,265,777	$	391,977		$	222,488	$	9,811,880
Range of weighted average interest rates, by series(3)	3.59% to 6.66%		2.67% to 6.24%		2.34% to 7.89%		3.50% to 7.5%		3.55		%	3.86% to 6.70%
Stated maturities(3)	2024-2036		2047-2053		2027-2033		2028-2059		2025			2052-2053
Number of series	20		22		21		3		1			2


	December 31, 2022
(Dollars in Thousands)	Legacy Sequoia		Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series		HEI			Total
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 at fair value	180		57,871		124,928		15,328		7,379		—			205,686
Market valuation adjustments	(16,036)		(682,477)		(323,995)		(99,072)		(25,319)		(8,252)			(1,155,151)
Unamortized debt discount and deferred debt issuance costs	—		—		(7,376)		(758)		—		—			(8,134)
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 December 31, 2023 and 2022, respectively.

(2)Includes $182 million and $86 million (principal balance) of ABS issued by re-securitization trusts sponsored by Redwood and accounted for at amortized cost at December 31, 2023 and 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 Interest Payable on Asset-Backed Securities Issued

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

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


(In Thousands)	December 31, 2023		December 31, 2022
Legacy Sequoia	$	303	$	282
Sequoia	15,990		8,880
CAFL	11,537		10,918
Freddie Mac SLST (1)	4,496		3,561
Freddie Mac K-Series	1,190		1,167
Total Accrued Interest Payable on ABS Issued	$	33,516	$	24,808

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