Securitized Debt at Amortized Cost and Securitized Debt at Fair Value

9 Months Ended

Sep. 30, 2025

Securitized Debt at Amortized Cost and Securitized Debt at Fair Value

Note 11 — Securitized Debt at Amortized Cost and Securitized Debt at Fair Value

As of September 30, 2025, the Company is the sole beneficial interest holder of 33 Trusts, which are variable interest entities included in the consolidated financial statements. The securitization transactions are accounted for as secured borrowings under U.S. GAAP. The securities are subject to redemption by the Company when the stated principal balance is less than a certain percentage, ranging from 10% to 30% of the original stated principal balance of loans at issuance. As a result, the actual maturity dates of the securities issued could be earlier than their respective stated maturity dates, ranging from July 2028 through September 2055.

The following tables summarize securitized debt at amortized cost and securitized debt at fair value as of September 30, 2025 and December 31, 2024:


Securitized Debt, at Amortized Cost	September 30, 2025			December 31, 2024
	(In thousands)
Unpaid principal balance	$	1,813,334		$	2,049,790
Deferred issuance costs and discounts		(30,184	)		(30,734	)
Total securitized debt, at amortized cost	$	1,783,150		$	2,019,056


Securitized Debt, at Fair Value	September 30, 2025			December 31, 2024
	(In thousands)
Unpaid principal balance	$	3,739,705		$	2,219,218
Adjustment at issuance to recognize fair value (1)		(26,608	)		(18,231	)
Fair value at issuance		3,713,097			2,200,987
Valuation adjustment subsequent to issuance (2)		37,675			6,421
Fair value adjustment related to refinance of securitization trust		(1,883	)		—
Total securitized debt at fair value	$	3,748,889		$	2,207,408

(1)

Balance sheet adjustment to recognize fair value at issuance. This valuation adjustment is not recognized in net income.

(2)

Valuation adjustment recognized in net income. No valuation change is due to instrument specific credit risk as the Company’s (issuer) credit risk has not changed.

The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of securitized debt at fair value as of September 30, 2025 and December 31, 2024:


	Fair Value		Unpaid Principal Balance		Difference
	(In thousands)
September 30, 2025	$	3,748,889	$	3,739,705	$	9,184
December 31, 2024		2,207,408		2,219,218		(11,810	)

The following table presents the effective interest rate of securitized debt at amortized cost and securitized debt at fair value for the nine months ended September 30, 2025 and 2024:


	Nine Months Ended September 30,
	2025			2024
	($ in thousands)
Interest expense	$	220,788		$	159,122
Average outstanding unpaid principal balance		4,829,808			3,668,377
Effective interest rate (1)		6.10	%		5.78	%

(1)

Effective interest rate represents annualized interest expense divided by average gross outstanding balance, which includes average rates of 5.96% and 5.53%, and debt issuance cost amortization of 0.14% and 0.25% for the nine months ended September 30, 2025 and 2024, respectively.