Asset-Backed Securities Issued (Tables)

9 Months Ended

Sep. 30, 2020

Debt Disclosure [Abstract]

Asset-Backed Securities Issued

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.

Accrued Interest Payable on Asset-Backed Securities Issued

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

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