Asset-Backed Securities Issued

12 Months Ended

Dec. 31, 2020

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

Table 14.1 – Asset-Backed Securities Issued


	December 31, 2020
(Dollars in Thousands)	Legacy Sequoia		Sequoia Choice		Freddie Mac SLST (1)		Freddie Mac K-Series			CAFL		Total
Certificates with principal balance	$	329,039	$	1,309,957	$	1,866,145	$	416,339		$	2,716,425	$	6,637,905
Interest-only certificates	1,092		4,591		23,335		13,026			162,934		204,978
Market valuation adjustments	(47,805)		32,809		104,439		34,601			133,734		257,778
ABS Issued, Net	$	282,326	$	1,347,357	$	1,993,919	$	463,966		$	3,013,093	$	7,100,661
Range of weighted average interest rates, by series	0.35% to 1.55%		2.25% to 5.04%		3.50% to 4.75%		3.39		%	2.68% to 5.42%
Stated maturities	2024 - 2036		2047 - 2050		2028 - 2059		2025			2022 - 2052
Number of series	20		10		3		1			14


	December 31, 2019
(Dollars in Thousands)	Legacy Sequoia		Sequoia Choice		Freddie Mac SLST			Freddie Mac K-Series		CAFL		Total
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 $205 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 December 31, 2020, the carrying value of the ABS issued was $200 million and the debt discount was $4 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 December 31, 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 December 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)	December 31, 2020		December 31, 2019
Legacy Sequoia	$	141	$	395
Sequoia Choice	4,697		7,732
Freddie Mac SLST (1)	5,656		5,374
Freddie Mac K-Series	1,177		12,887
CAFL	10,122		7,298
Total Accrued Interest Payable on ABS Issued	$	21,793	$	33,686

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