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Asset-Backed Securities Issued | 3 Months Ended
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Mar. 31, 2024
Debt Disclosure [Abstract] |
Asset-Backed Securities Issued | Asset-Backed Securities Issued ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 4 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at March 31, 2024 and December 31, 2023, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued
|  | March 31, 2024
|  | Legacy Sequoia |  | Sequoia |  | CAFL (1) |  | Freddie Mac SLST (2) |  | Freddie Mac K-Series |  | HEI |  | Total
(Dollars in Thousands) |  |  |  |  |  |  |
Certificates with principal balance |  | $ | 141,686 |  |  | $ | 6,060,855 |  |  | $ | 3,339,432 |  |  | $ | 1,305,826 |  |  | $ | 400,250 |  |  | $ | 226,752 |  |  | $ | 11,474,801 |
Interest-only certificates at fair value |  | 122 |  |  | 53,814 |  |  | 94,096 |  |  | 12,984 |  |  | 3,712 |  |  | — |  |  | 164,728 |
Market valuation adjustments |  | (10,933) |  |  | (691,532) |  |  | (204,149) |  |  | (79,468) |  |  | (14,724) |  |  | (6,427) |  |  | (1,007,233) |
Unamortized debt discount and deferred debt issuance costs |  | — |  |  | — |  |  | (575) |  |  | (3,532) |  |  | — |  |  | — |  |  | (4,107) |
ABS Issued, Net |  | $ | 130,875 |  |  | $ | 5,423,137 |  |  | $ | 3,228,804 |  |  | $ | 1,235,810 |  |  | $ | 389,238 |  |  | $ | 220,325 |  |  | $ | 10,628,189 |
Range of weighted average interest rates, by series(3) |  | 3.75% to 6.69% |  | 2.67% to 6.23% |  | 2.31% to 7.89% |  | 3.50% to 7.50% |  | 3.55 | % |  | 3.88% to 6.71% |  |
Stated maturities(3) |  | 2024-2036 |  | 2047-2054 |  | 2027-2033 |  | 2028-2059 |  | 2025 |  | 2052-2053 |  |
Number of series |  | 20 |  |  | 25 |  |  | 21 |  |  | 3 |  |  | 1 |  |  | 2 |  |  |
|  | December 31, 2023
|  | Legacy Sequoia |  | Sequoia |  | CAFL(1) |  | Freddie Mac SLST (2) |  | Freddie Mac K-Series |  | HEI |  | Total
(Dollars in Thousands) |  |  |  |  |  |  |
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 6.7% |  |
Stated maturities(3) |  | 2024-2036 |  | 2047-2053 |  | 2027-2033 |  | 2028-2059 |  | 2025 |  | 2052-2053 |  |
Number of series |  | 20 |  |  | 22 |  |  | 21 |  |  | 3 |  |  | 1 |  |  | 2 |  |  |
(1)Includes $478 million and $485 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at March 31, 2024 and December 31, 2023, respectively. (2)Includes $175 million and $182 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at both March 31, 2024 and December 31, 2023, respectively. (3)Certain ABS issued by CAFL and HEI securitization entities are subject to early redemption and interest rate step-ups as described below. During the fourth quarter of 2023, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest residential investor bridge loans (presented within CAFL in Table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $231 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interests in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued recorded through Investment fair value changes, net on our consolidated statements of income. At March 31, 2024, the principal balance of the ABS issued was $231 million, and the net carrying value was $232 million. The weighted average stated coupon of the ABS issued was 7.89% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in December 2025, and beginning in July 2026, the interest rate on the ABS issued increases by 1.5% through final maturity in December 2030. The ABS issued by this securitization were collateralized by $230 million of residential investor bridge loans, $1 million of restricted cash and $25 million of other assets at March 31, 2024. The securitization is structured with $250 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through December 2025), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the second quarter of 2022, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest residential investor bridge loans (presented within CAFL in Table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $215 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At March 31, 2024, the principal balance of the ABS issued was $215 million, and the unamortized debt discount and deferred issuance costs were $1 million in total, for a net carrying value of $214 million. The weighted average stated coupon of the ABS issued was 4.32% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in May 2024, and beginning in June 2025, the interest rate on the ABS issued increases by 2% through final maturity in May 2029. The ABS issued by this securitization were collateralized by $228 million of residential investor bridge loans, $18 million of restricted cash and $7 million other assets at March 31, 2024. The securitization is structured with $250 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through May 2024), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the third quarter of 2021, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest residential investor bridge loans (presented within CAFL in table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $270 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At March 31, 2024, the principal balance of the ABS issued was $263 million, and the unamortized debt discount and deferred issuance costs were zero, for a net carrying value of $263 million. During the three months ended March 31, 2024, we repurchased of $7 million of this CAFL bridge ABS issuance for a net gain on extinguishment of debt of $0.3 million which was recorded in Realized gains, net on our consolidated statements of income. The weighted average stated coupon of the ABS issued was 2.34% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in March 2024, and beginning in March 2025 the interest rate on the ABS issued increases by 2% through final maturity in March 2029. The ABS issued by this securitization were backed by assets including $304 million of residential investor bridge loans and $8 million of restricted cash and other assets at March 31, 2024. The securitization is structured with $300 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 30 months of the transaction (through March 2024), unless an amortization event occurs prior to the expiration of the 30-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the fourth quarter of 2023, we consolidated the assets and liabilities of a HEI securitization entity formed in connection with the securitization of HEI, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $139 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through HEI income, net on our consolidated statements of income. The ABS issued by the HEI securitization entity are subject to an optional redemption in October 2025, and beginning in October 2026, the interest rate on the ABS issued increases by 3% through final maturity in 2053. During the third quarter of 2021, we consolidated the assets and liabilities of an HEI entity formed in connection with the securitization of HEI, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $146 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through Investment fair value changes, net on our consolidated statements of income. The ABS issued by the HEI securitization entity were subject to an optional redemption in September 2023, and beginning in September 2024 the interest rate on the ABS issued increases by 2% through final maturity in 2052. During the third quarter of 2020, we transferred all of the subordinate securities we owned from two consolidated re-performing loan securitization VIEs sponsored by Freddie Mac SLST to a re-securitization trust, which we determined was a VIE and for which we determined we are the primary beneficiary. During the first quarter of 2023, we called the Freddie Mac SLST re-securitization and paid off the associated outstanding ABS. The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than the stated maturity. At March 31, 2024, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 4 for detail on the carrying value components of the collateral for ABS issued and outstanding. The following table summarizes the accrued interest payable on ABS issued at March 31, 2024 and December 31, 2023. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued
(In Thousands) |  | March 31, 2024 |  | December 31, 2023
Legacy Sequoia |  | $ | 283 |  |  | $ | 303 |
Sequoia |  | 21,428 |  |  | 15,990 |
CAFL |  | 10,653 |  |  | 11,537 |
Freddie Mac SLST (1) |  | 4,391 |  |  | 4,496 |
Freddie Mac K-Series |  | 1,184 |  |  | 1,190 |
Total Accrued Interest Payable on ABS Issued |  | $ | 37,939 |  |  | $ | 33,516 |
(1)Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood.

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