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Asset-Backed Securities Issued | 3 Months Ended
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Mar. 31, 2025
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 16 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at March 31, 2025 and December 31, 2024, along with other selected information, are summarized in the following table. Table 17.1 – Asset-Backed Securities Issued
|  | March 31, 2025
|  | Unpaid Principal Balance |  | Carrying Value |  | Weighted Average Interest Rate |  | Stated Maturities |  | Number of Series
(Dollars in Thousands) |  |  |  |  |
Sequoia |  | $ | 10,467,540 |  |  | $ | 9,920,025 |  |  | 2.66% to 8.54% |  | 2028-2063 |  | 58
CAFL (1) |  | 2,654,806 |  |  | 2,590,702 |  |  | 2.78% to 7.89% |  | 2027-2033 |  | 19
Freddie Mac SLST |  | 1,059,336 |  |  | 1,020,138 |  |  | 3.50% |  | 2028-2029 |  | 2
Freddie Mac K-Series |  | 391,468 |  |  | 388,109 |  |  | 3.42% |  | 2025 |  | 1
HEI |  | 209,301 |  |  | 208,700 |  |  | 4.0% to 6.71% |  | 2052-2053 |  | 2
ABS Issued at Fair Value |  | $ | 14,782,451 |  |  | $ | 14,127,674 |  |  |  |  |  |  |
CAFL |  | 191,960 |  |  | 191,960 |  |  | 2.31% to 4.42% |  | 2029 |  | 2
Freddie Mac SLST |  | 140,512 |  |  | 138,609 |  |  | 7.50% |  | 2059 |  | 1
ABS Issued at Amortized Cost |  | $ | 332,472 |  |  | $ | 330,569 |  |  |  |  |  |  |
Total ABS Issued |  | $ | 15,114,923 |  |  | $ | 14,458,243 |  |  |  |  |  |  |
|  | 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 (1) |  | 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 |  |  |  |  |  |  |
(1)Includes ABS issued from a consolidated VIE entity formed in connection with the financing of residential investor bridge loans sponsored by our joint venture. 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 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. 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 March 31, 2025, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 16 for detail on the carrying value components of the collateral for ABS issued and outstanding. In February 2025, 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 $100 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 in Investment fair value changes, net. The stated weighted average coupon of the ABS issued was approximately 8.5% at issuance, increasing by 3.0% after the payment date occurring in January 2027. The ABS issued are subject to an optional redemption beginning in January 2026 and have a final stated maturity in May 2055. 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 March 31, 2025, the collateral for the Sequoia re-securitization trust included $20 million of Sequoia securities we owned from unconsolidated Sequoia securitization trusts as well as $88 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 17.1 above at March 31, 2025. See Note 16 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 16 to the Consolidated Financial Statements of our 2024 Annual Report on Form 10-K.

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- Definition This item represents the disclosure related to the asset-backed securities issued under the Sequoia and Acacia securitization entities, and the Residential Resecuritization and Commercial Securitization entities, including their respective components, collateral, and accrued interest payable. + References No definition available. + Details
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