Asset-Backed Securities Issued (Tables)

6 Months Ended

Jun. 30, 2025

Schedule of Asset-Backed Securities Issued

The carrying values of ABS issued by our consolidated securitization entities at June 30, 2025 and December 31, 2024, along with other selected information, are summarized in the following table.

Table 17.1 – Asset-Backed Securities Issued


	June 30, 2025
	Unpaid Principal Balance		Carrying Value		Weighted Average Interest Rate	Stated Maturities	Number of Series
(Dollars in Thousands)
Sequoia	$	11,933,011	$	11,360,847	2.52% to 8.54%	2028-2063	63
CAFL (1)	2,800,872		2,750,196		2.97% to 7.89%	2027-2040	20
Freddie Mac SLST	1,043,996		1,010,279		3.50%	2028-2029	2
Freddie Mac K-Series	389,250		387,120		3.41%	2025	1
HEI	205,459		205,950		3.97% to 6.72%	2052-2053	2
ABS Issued at Fair Value	$	16,372,588	$	15,714,392
CAFL	139,543		139,543		4.31% to 6.46%	2029	2
Freddie Mac SLST	132,822		131,271		7.50%	2059	1
ABS Issued at Amortized Cost	$	272,365	$	270,814
Total ABS Issued	$	16,644,953	$	15,985,206


	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)At June 30, 2025, includes ABS issued from two consolidated VIE entities formed in connection with the financing of residential investor bridge loans sponsored by our joint ventures. At December 31, 2024 includes ABS issued from one consolidated VIE entity formed in connection with the financing of residential investor bridge loans sponsored by our joint ventures.

One of the ABS issued by the CAFL bridge entity during the fourth quarter of 2024 is 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.