Asset-Backed Securities Issued

3 Months Ended

Mar. 31, 2026

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, 2026 and December 31, 2025, along with other selected information, are summarized in the following table.

Table 17.1 – Asset-Backed Securities Issued


	March 31, 2026
	Unpaid Principal Balance		Carrying Value		Weighted Average Interest Rate	Stated Maturities	Number of Series
(Dollars in Thousands)
Sequoia (1)	$	18,299,729	$	17,680,048	2.50% to 8.18%	2028-2063	80
CAFL (2)	2,655,443		2,610,837		3.49% to 9.39%	2027-2040	21

HEI	126,548		126,927		6.72%	2053	1
ABS Issued at Fair Value	$	21,081,720	$	20,417,812
Total ABS Issued	$	21,081,720	$	20,417,812


	December 31, 2025
	Unpaid Principal Balance		Carrying Value		Weighted Average Interest Rate	Stated Maturities	Number of Series
(Dollars in Thousands)
Sequoia	$	14,990,305	$	14,540,397	2.50% to 8.38%	2028-2063	72
CAFL (2)	2,787,832		2,765,728		3.04% to 7.89%	2027-2040	21
HEI	127,172		127,475		6.72%	2053	1
ABS Issued at Fair Value	$	17,905,309	$	17,433,600
CAFL ABS at Amortized Cost	58,431		58,431		4.31% to 6.9%	2029	2
Total ABS Issued	$	17,963,740	$	17,492,031

(1)At March 31, 2026, includes three Sequoia re-securitization trusts for which the weighted average interest rate ranges from 6.10% to 8.18%.

(2)At March 31, 2026 and December 31, 2025, includes ABS issued from two consolidated VIE entities formed in connection with the financing of residential investor bridge loans sponsored by one of our joint ventures.

Generally, unless specified below, 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, 2026, 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.

During the three months ended March 31, 2026, 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 $136 million (principal balance) of ABS issued to third parties 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 (loss) income in Investment fair value changes, net. The stated weighted average coupon of the ABS issued was approximately 6.1% at issuance, increasing by 3.0% after the payment date occurring in February 2028. The ABS issued are subject to an optional redemption beginning in February 2028 and have a final stated maturity in September 2056. 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, 2026, the collateral for the Sequoia re-securitization trust included $21 million of consolidated Sequoia and third-party securities as well as $172 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, 2026. See Note 16 for further information regarding our Principles of consolidation on this trust.

During the three months ended March 31, 2026, we completed a $225 million CAFL bridge loan securitization backed by a mix of performing, re-performing and non-performing residential investor loans and REO. In the same period, we exercised our optional redemption rights on three consolidated CAFL bridge securitization entities and paid off the associated underlying ABS. The securitization collateral included approximately $223 million of loans, $38 million of REO and $16 million of restricted cash, primarily sourced from our called CAFL securitizations issued between 2021 and 2023 and $66 million of loans and $19 million of REO from our Legacy Investments portfolio. We consolidated the issuing entity, which we determined to be a VIE for which we are the primary beneficiary, and elected CFE accounting treatment, carrying the ABS issued at fair value with changes recorded through Investment fair value changes, net on our consolidated statements of (loss) income. At issuance, the ABS had a principal balance and net carrying value of $225 million and a weighted average stated coupon of 7.1%. The ABS are subject to optional redemption beginning in March 2027, with interest rate step-ups of 3.0% beginning in April 2029 and 4.0% beginning in April 2030 through final maturity in March 2036.

For additional information related to certain of our asset-backed securities issued that are presented above, see Note 17 to the Consolidated Financial Statements of our 2025 Annual Report on Form 10-K.