Asset-Backed Securities Issued

6 Months Ended

Jun. 30, 2024

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 15 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at June 30, 2024 and December 31, 2023, along with other selected information, are summarized in the following table.

Table 16.1 – Asset-Backed Securities Issued


	June 30, 2024
	Sequoia		CAFL (1)		Freddie Mac SLST (2)		Freddie Mac K-Series		HEI		Total
(Dollars in Thousands)
Certificates with principal balance	$	7,393,323	$	3,172,393	$	1,280,405	$	398,127	$	222,301	$	12,466,549
Interest-only certificates at fair value	50,849		86,701		12,172		3,056		—		152,778
Market valuation adjustments	(757,641)		(200,903)		(84,650)		(13,392)		(4,098)		(1,060,684)
Unamortized debt discount and deferred debt issuance costs	—		—		(3,093)		—		—		(3,093)
ABS Issued, Net	$	6,686,531	$	3,058,191	$	1,204,834	$	387,791	$	218,203	$	11,555,550
Range of weighted average interest rates, by series(3)	2.67% to 6.71%		2.31% to 7.89%		3.50% to 7.50%		3.41%		3.94% to 6.77%
Stated maturities(3)	2024-2054		2027-2033		2028-2059		2025		2052-2053
Number of series	48		20		3		1		2


	December 31, 2023
	Sequoia		CAFL(1)		Freddie Mac SLST (2)		Freddie Mac K-Series			HEI		Total
(Dollars in Thousands)
Certificates with principal balance	$	5,151,646	$	3,472,825	$	1,328,657	$	402,400		$	233,131	$	10,588,659
Interest-only certificates at fair value	52,274		101,828		13,856		4,562			—		172,520
Market valuation adjustments	(635,260)		(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	$	4,568,660	$	3,362,978	$	1,265,777	$	391,977		$	222,488	$	9,811,880
Range of weighted average interest rates, by series(3)	2.67% to 6.66%		2.34% to 7.89%		3.50% to 7.50%		3.55		%	3.86% to 6.70%
Stated maturities(3)	2024-2053		2027-2033		2028-2059		2025			2052-2053
Number of series	42		21		3		1			2

(1)Includes $417 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 June 30, 2024 and December 31, 2023, respectively.

(2)Includes $166 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 June 30, 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.

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 June 30, 2024, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 15 for detail on the carrying value components of the collateral for ABS issued and outstanding.

For additional information related to certain of our asset-backed securities issued that are presented above, see Note 15 to the Consolidated Financial Statements of our 2023 Annual Report on Form 10-K.