Asset-Backed Securities Issued (Tables)

3 Months Ended

Mar. 31, 2025

Schedule of Asset-Backed Securities Issued

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.