Asset-Backed Securities Issued (Tables)

12 Months Ended

Dec. 31, 2020

Debt Disclosure [Abstract]

Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information

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.

Schedule of Interest Payable On Asset-Backed Securities Issued

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.