Asset-Backed Securities Issued

12 Months Ended

Dec. 31, 2024

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 December 31, 2024 and 2023 along with other selected information, are summarized in the following table.

Table 16.1 – Asset-Backed Securities Issued


	December 31, 2024
	Unpaid Principal Balance		Carrying Value		Weighted Average Interest Rate	Stated Maturities	Number of Series
(Dollars in Thousands)
Sequoia	$	9,220,157	$	8,585,077	2.66% to 8.52%	2028-2063	54
CAFL	2,752,657		2,687,977		2.76% to 7.89%	2027-2033	19
Freddie Mac SLST	1,075,249		1,005,945		3.50%	2028-2029	2
Freddie Mac K-Series	393,762		389,434		3.41%	2025	1
HEI	212,484		211,097		3.96% to 6.71%	2052-2053	2
ABS Issued at Fair Value	$	13,654,309	$	12,879,530
CAFL	244,772		244,772		2.31% to 4.38%	2029	2
Freddie Mac SLST	148,180		145,902		7.50%	2059	1
ABS Issued at Amortized Cost	$	392,952	$	390,674
Total ABS Issued	$	14,047,261	$	13,270,204


	December 31, 2023
	Unpaid Principal Balance		Carrying 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

During the fourth quarter of 2024, we consolidated the assets and liabilities of an entity formed in connection with the financing of residential investor bridge loans (presented within CAFL in table 15.1 above) and sponsored by our joint venture. We determined the entity was a VIE for which we determined we are the primary beneficiary. At issuance, we recognized $300 million of loans and other assets and $297 million of ABS issued and other liabilities and acquired a $3 million beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued recorded through Investment fair value changes, net on our consolidated statements of income. At December 31, 2024, the principal balance of the ABS issued was $285 million, and the net carrying value was $286 million. The weighted average stated coupon of the ABS issued was 7.13% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in May 2027 and beginning in June 2027, the interest rate on the ABS issued increases by 1.5% through final maturity in November 2031. The ABS issued by this securitization were collateralized by $293 million of residential investor bridge loans, $11 million of restricted cash and $6 million of other assets at December 31, 2024. The securitization is structured with $300 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through November 2026), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold.

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 December 31, 2024, the collateral for the Sequoia re-securitization trust included $79 million of Sequoia securities we owned from unconsolidated Sequoia securitization trusts as well as $148 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 December 31, 2024. See Note 15 for further information regarding our Principles of consolidation on this trust.

During the fourth quarter of 2023, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest residential investor bridge loans (presented within CAFL in Table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $231 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interests in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued recorded through Investment fair value changes, net on our consolidated statements of income. At December 31, 2024, the principal balance of the ABS issued was $231 million, and the net carrying value was $234 million. The weighted average stated coupon of the ABS issued was 7.89% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in December 2025, and beginning in July 2026, the interest rate on the ABS issued increases by 1.5% through final maturity in December 2030. The ABS issued by this securitization were collateralized by $229 million of residential investor bridge loans, $4 million of restricted cash and $25 million of other assets at December 31, 2024. The securitization is structured with $250 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through December 2025), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold.

During the fourth quarter of 2023, we consolidated the assets and liabilities of a HEI securitization entity formed in connection with the securitization of HEI, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $139 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through HEI income, net on our consolidated statements of income (loss). The ABS issued by the HEI securitization entity are subject to an optional redemption in October 2025, and beginning in October 2026, the interest rate on the ABS issued increases by 3% through final maturity in 2053.

During the fourth quarter of 2023, 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 $184 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, 2024, the principal balance of the ABS issued was $148 million and the unamortized debt discount and deferred issuance costs totaled $2 million, for a net carrying value of $146 million. The stated coupon of the ABS issued was 7.50% at issuance and the final stated maturity occurs in July 2059. The ABS issued are subject to an optional redemption through November 2025, at which time, if the redemption right has not been exercised, the ABS interest rate steps up to 10.50%.

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 December 31, 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.