Asset-Backed Securities Issued (Tables)

9 Months Ended

Sep. 30, 2024

Schedule of Asset-Backed Securities Issued

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