Asset-Backed Securities Issued

9 Months Ended

Sep. 30, 2020

The carrying values of ABS issued by our consolidated securitization entities at September 30, 2020 and December 31, 2019, along with other selected information, are summarized in the following table.

Table 14.1 – Asset-Backed Securities Issued


September 30, 2020	Legacy Sequoia		Sequoia Choice		Freddie Mac SLST (1)		Freddie Mac K-Series			CAFL		Total
(Dollars in Thousands)
Certificates with principal balance	$	347,985	$	1,571,714	$	1,925,144	$	418,212		$	2,528,974	$	6,792,029
Interest-only certificates	1,268		6,805		24,053		13,122			137,064		182,312
Market valuation adjustments	(56,769)		48,045		95,138		33,531			78,112		198,057


ABS Issued, Net	$	292,484	$	1,626,564	$	2,044,335	$	464,865		$	2,744,150	$	7,172,398
Range of weighted average interest rates, by series	0.35% to 1.96%		2.23% to 5.02%		3.50% to 4.75%		3.39		%	3.18% to 5.53%
Stated maturities	2024 - 2036		2047 - 2050		2028 - 2059		2025			2022 - 2048
Number of series	20		10		3		1			13


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

(1)Includes $208 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost.

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. At issuance, we sold $210 million (principal balance) of ABS issued to third parties and retained 100% of the remaining beneficial ownership interest in the trust through ownership of a subordinate security issued by the trust. The ABS was issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2020, the carrying value of the ABS issued was $203 million and the debt discount was $5 million. The stated coupon of the ABS issued was 4.75% at issuance and the final stated maturity occurs in July 2059. The ABS issued is subject to optional redemption and interest rate step-ups prior to the stated maturity according to the terms of the respective governing agreements.

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 its stated maturity. At September 30, 2020, 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 September 30, 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)	September 30, 2020		December 31, 2019
Legacy Sequoia	$	180	$	395
Sequoia Choice	5,652		7,732
Freddie Mac SLST (1)	5,831		5,374
Freddie Mac K-Series	1,182		12,887
CAFL	9,180		7,298
Total Accrued Interest Payable on ABS Issued	$	22,025	$	33,686