Asset-Backed Securities Issued (Tables)

3 Months Ended

Mar. 31, 2020

Debt Disclosure [Abstract]

Asset-Backed Securities Issued

The carrying values of ABS issued by our consolidated securitization entities at March 31, 2020 and December 31, 2019, along with other selected information, are summarized in the following table.

Table 14.1 – Asset-Backed Securities Issued

March 31, 2020	Legacy Sequoia			Sequoia Choice		Freddie Mac SLST			Freddie Mac K-Series			CAFL			Total
(Dollars in Thousands)
Certificates with principal balance	$	398,352		$	1,776,396	$	1,800,218		$	418,212		$	2,141,434		$	6,534,612
Interest-only certificates	1,356			10,862		24,782			14,383			93,801			145,184
Market valuation adjustments	(87,507		)	2,836		—			15,104			(148,365		)	(217,932		)
ABS Issued, Net	$	312,201		$	1,790,094	$	1,825,000		$	447,699		$	2,086,870		$	6,461,864
Range of weighted average interest rates, by series	1.81% to 2.91%			4.37% to 5.04%		3.50		%	3.53		%	3.22% to 5.22%
Stated maturities	2024 - 2036			2047 - 2049		2028 - 2029			2025			2022 - 2048
Number of series	20			9		2			1			11

December 31, 2019	Legacy Sequoia			Sequoia Choice		Freddie Mac SLST			Freddie Mac K-Series		CAFL		Total
(Dollars in Thousands)
Certificates with principal balance	$	420,056		$	1,979,719	$	1,842,682		$	3,844,789	$	1,875,007	$	9,962,253
Interest-only certificates	1,282			16,514		30,291			217,891		90,134		356,112
Market valuation adjustments	(18,873		)	40,965		45,349			93,559		36,110		197,110
ABS Issued, Net	$	402,465		$	2,037,198	$	1,918,322		$	4,156,239	$	2,001,251	$	10,515,475
Range of weighted average interest rates, by series	1.94% to 3.26%			4.40% to 5.05%		3.50		%	3.35% to 4.35%		3.25% to 5.36%
Stated maturities	2024 - 2036			2047 - 2049		2028 - 2029			2025 - 2049		2022 - 2048
Number of series	20			9		2			5		10

Accrued Interest Payable on Asset-Backed Securities Issued

The following table summarizes the accrued interest payable on ABS issued at March 31, 2020 and December 31, 2019. Interest due on consolidated ABS issued is payable monthly.

Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued

(In Thousands)	March 31, 2020		December 31, 2019
Legacy Sequoia	$	351	$	395
Sequoia Choice	6,920		7,732
Freddie Mac SLST	5,251		5,374
Freddie Mac K-Series	1,230		12,887
CAFL	8,078		7,298
Total Accrued Interest Payable on ABS Issued	$	21,830	$	33,686