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Asset-Backed Securities Issued | 9 Months Ended
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Sep. 30, 2024
Debt Disclosure [Abstract] |
Asset-Backed Securities Issued | Asset-Backed Securities Issued ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 15 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at September 30, 2024 and December 31, 2023, along with other selected information, are summarized in the following table. Table 16.1 – Asset-Backed Securities Issued
|  | September 30, 2024
|  | Unpaid Principal Balance |  | Fair Value |  | Weighted Average Interest Rate |  | Stated Maturities |  | Number of Series
(Dollars in Thousands) |  |  |  |  |
Sequoia |  | $ | 8,789,284 |  |  | $ | 8,336,670 |  |  | 2.67% to 8.51% |  | 2024-2054 |  | 52
CAFL |  | 2,602,033 |  |  | 2,568,074 |  |  | 2.74% to 7.89% |  | 2027-2033 |  | 18
Freddie Mac SLST |  | 1,092,540 |  |  | 1,053,882 |  |  | 3.50% |  | 2028-2029 |  | 2
Freddie Mac K-Series |  | 395,982 |  |  | 391,194 |  |  | 3.41% |  | 2025 |  | 1
HEI |  | 215,415 |  |  | 214,209 |  |  | 3.94% to 6.71% |  | 2052-2053 |  | 2
ABS Issued at Fair Value |  | $ | 13,095,254 |  |  | $ | 12,564,029 |  |  |  |  |  |  |
CAFL |  | 302,184 |  |  | 302,184 |  |  | 2.31% to 4.35% |  | 2029 |  | 2
Freddie Mac SLST |  | 155,977 |  |  | 153,303 |  |  | 7.50% |  | 2059 |  | 1
ABS Issued at Amortized Cost |  | $ | 458,161 |  |  | $ | 455,487 |  |  |  |  |  |  |
Total ABS Issued |  | $ | 13,553,415 |  |  | $ | 13,019,516 |  |  |  |  |  |  |
|  | December 31, 2023
|  | Unpaid Principal Balance |  | Fair Value |  | Weighted Average Interest Rate |  | Stated Maturities |  | Number of Series
(Dollars in Thousands) |  |  |  |  |
Sequoia |  | $ | 5,151,646 |  |  | $ | 4,568,660 |  |  | 2.67% to 6.66% |  | 2024-2053 |  | 42
CAFL |  | 2,987,825 |  |  | 2,879,913 |  |  | 2.69% to 7.89% |  | 2027-2033 |  | 19
Freddie Mac SLST |  | 1,147,111 |  |  | 1,088,225 |  |  | 3.50% |  | 2028-2029 |  | 2
Freddie Mac K-Series |  | 402,400 |  |  | 391,977 |  |  | 3.55% |  | 2025 |  | 1
HEI |  | 233,131 |  |  | 222,488 |  |  | 3.86% to 6.70% |  | 2052-2053 |  | 2
ABS Issued at Fair Value |  | $ | 9,922,113 |  |  | $ | 9,151,263 |  |  |  |  |  |  |
CAFL |  | 485,000 |  |  | 483,065 |  |  | 2.34% to 4.36% |  | 2029 |  | 2
Freddie Mac SLST |  | 181,546 |  |  | 177,552 |  |  | 7.50% |  | 2059 |  | 1
ABS Issued at Amortized Cost |  | $ | 666,546 |  |  | $ | 660,617 |  |  |  |  |  |  |
Total ABS Issued |  | $ | 10,588,659 |  |  | $ | 9,811,880 |  |  |  |  |  |  |
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 the stated maturity. At September 30, 2024, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 15 for detail on the carrying value components of the collateral for ABS issued and outstanding. During the third quarter of 2024, we transferred subordinate securities we owned in certain consolidated and unconsolidated Sequoia securitization trusts to a Sequoia re-securitization trust that we sponsored, which we determined was a VIE. At issuance, we sold $205 million (principal balance) of ABS issued to third parties at a discount and elected to account for the ABS issued under the fair value option, with changes in the fair value of the ABS reported through our consolidated statements of income (loss) in Investment fair value changes, net. The stated coupon of the ABS issued was approximately 8.5% at issuance, increasing by 3.0% after the payment date occurring in July 2026. The ABS issued are subject to an optional redemption beginning in July 2025 and have a final stated maturity in December 2054. At issuance, we retained 100% of the remaining beneficial ownership interest in the trust through ownership of a subordinate security issued by the trust. We maintained certain discretionary rights associated with the ownership of this investment that we determined reflected a controlling financial interest in the trust and as such, we consolidated the trust. At September 30, 2024, the collateral for the Sequoia re-securitization trust included $83 million of Sequoia securities we owned from unconsolidated Sequoia securitization trusts as well as $152 million of Sequoia securities that we have retained from certain consolidated Sequoia securitization entities. The Sequoia re-securitization ABS are included in "Sequoia" in Table 16.1 above at September 30, 2024. See Note 15 for further information regarding our Principles of consolidation on this trust. For additional information related to certain of our asset-backed securities issued that are presented above, see Note 15 to the Consolidated Financial Statements of our 2023 Annual Report on Form 10-K.

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