Structured Finance

CDOs/CLOs/CBOs

Collateralized Debt Obligations Collateralized Loan Obligations Collateralized Bond Obligations

WHY SECURITIZATION?

HOUSING

Lower mortgage rates Higher mortgage loan availability Elimination of regional funding shortages Equalization of mortgage rates nationwide Standardization of the application process Faster decisions for applicants Higher rate of home ownership Home equity loans Home equity lines of credit

WHAT ARE THE TYPES OF SECURITIZATION STRUCTURES?

Amortizing

RMBS CMBS Auto loan ABS

Non-amortizing or revolving

Credit card ABS

Bear Stearns, JPMorgan Chase, and Maiden Lane LLC

https://www.federalreserve.gov/regreform/reform-bearstearns.htm

Loss Mitigation and the Decision to Foreclose

COLLATERALIZED MORTGAGE OBLIGATIONS

Figure Technologies

Subsidiary

Jurisdiction

Figure Lending Corp.

Delaware

DART Trademark LLC

Delaware

Figure Lending LLC

Delaware

DART Collateral Manager LLC

Delaware

Figure Loan Trust 2023

Delaware

Figure Asset Funding LLC

Delaware

Figure Line of Credit Trust 2020-1

Delaware

Figure HELOC Master Depositor Trust

Delaware

Figure Lending Borrower I, LLC

Delaware

Figure REPO Warehouse I, LLC

Delaware

Figure Lending Borrower II Trust

Delaware

Figure PL I, LLC

Delaware

Figure TCB Borrower LLC

Delaware

Figure Lending Borrower II LLC

Delaware

Fig SSP Member LLC

Delaware

Fig Six Mortgage LLC

Delaware

Fig Six Realty Investment LLC

Delaware

Fig Six Mortgage Sponsor LLC

Delaware

Fig Six Offshore Holdco, LLC

Delaware

Fig Six Finance 1 LLC

Delaware

Fig Six Purchaser Trust

Delaware

Fig Six Depositor Trust

Delaware

Fig Six Finance 1 Trust

Delaware

FIGRE Trust 2023-HE1

Delaware

FIGRE Trust 2023-HE1a2

Delaware

FIGRE Trust 2023-HE2

Delaware

FIGRE Trust 2023-HE3

Delaware

FIGRE Trust 2024-HE1

Delaware

FIGRE Trust 2024-HE2

Delaware

FIGRE Trust 2024-HE3

Delaware

FIGRE Trust 2024-HE4

Delaware

FIGRE Trust 2024-HE5

Delaware

FIGRE Trust 2024-SL1

Delaware

FIGRE Trust 2024-HE6

Delaware

FIGRE Trust 2026-HE1

Delaware

FIGRE Trust 2025-HE1

Delaware

FIGRE Trust 2025-HE2

Delaware

FIGRE Trust 2025-HE3

Delaware

FIGRE Trust 2025-HE4

Delaware

FIGRE Trust 2025-HE5

Delaware

FIGRE Trust 2025-HE6

Delaware

FIGRE Trust 2025-HE7

Delaware

FIGRE Trust 2025-HE8

Delaware

FIGRE Trust 2025-PF1

Delaware

FIGRE Trust 2025-PF2

Delaware

FIGRE Trust 2025-FL1

Delaware

FIGRE Trust 2025-FL2

Delaware

Figure Markets Holdings, Inc.

Delaware

Figure Technologies, LLC

Delaware

Figure Asset Management LLC

Delaware

Figure Equity Solutions, Inc.

Delaware

Figure Certificate Company

Delaware

Figure Markets, Inc.

Delaware

Figure Payments Corporation

Nevada

Figure Payments of California, Inc.

California

Figure Markets Trading, LLC

Delaware

Figure Securities, Inc.

Delaware

Figure Markets Credit LLC

Delaware

Figure Markets Credit Cayman Islands, Ltd

Cayman Islands

Figure Markets Cayman Islands Ltd

Cayman Islands

Figure Markets Middle East Holdings Limited

Dubai

Figure Markets Ireland Limited

Ireland

Figure Markets (BVI) GP Limited

British Virgin Islands

Fam GP Sub 1, LLC

Delaware

Fam GP Sub 2, LLC

Delaware

Figure Investment Advisors, LLC

Delaware

Figure Market Margin LLC

Delaware

Figure Demo Prime 1, LLC

Delaware

Figure Markets ME Exchange DMCC

Dubai

Figure Markets Opportunity Investment LP

British Virgin Islands

Figure Markets Cayman GP Limited

Cayman Islands

SOL Opportunity Fund LP

Delaware

Figure REIT, Inc.

Maryland

Figure Markets Real World Asset Fund, LP

Cayman Islands

Figure Financial, Inc.

Delaware

Figure REIT Trust I

Delaware

Figure REIT Trust II

Delaware

Figure REIT TRS LLC

Delaware

Demo Prime 1 Trust

Delaware

Demo Prime 2 Trust

Delaware

Demo Prime 3 Trust

Delaware

Demo Prime DSCR Trust

Delaware

Demo Prime CBL Trust

Delaware

Demo Prime Auto Loan Trust

Delaware

FIGRE Trust 2025-FL2 Prime RMBS

FIGRE Trust 2026-HE1

FIGRE Trust 2025-HE3 A 5.56% 25-MAY-2055, 5.56%, 05/25/55

FIGRE 2025-HE3 31684LAA9

FIGRE Trust 2026-HE1 C 5.434% 25-JAN-2056, 5.43%, 01/25/56 FIGRE 2026-HE1 30249NAE7 FIGRE Trust 2026-HE1 B 5.183% 25-JAN-2056, 5.18%, 01/25/56 FIGRE 2026-HE1 30249NAD9

491KB

FIGRE Trust 2026-HE1 Presale Report.pdf

PDF

Open

Date Issued Debt Rated Rating 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class A (P) AAA (sf) 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class B (P) AA (high) (sf) 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class C (P) A (high) (sf) 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class D (P) BBB (high) (sf) 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class E (P) BB (sf) 22-Jan-26 Mortgage-Backed Securities, Series 2026-HE1, Class F (P) B (sf)

CUSIP_ID SYM_CD BSYM_ID SCRTY_DS CPN_RT MTRTY_DT NUM_TRADES TOTAL_QTY_OPB HIGH_PRICE LOW_PRICE MEDIAN_PX VWAP_PX PX_STAND_DEV_VW 30249NAC1 FIGT6292775 BBG01ZKZRK16 FIGRE 26HE1 A Sr AvailFunds Fi FIGRE TRUST 2026-HE1 0.0000000000000000000 20560125 11-25 47 100.386718 100.140625 100.218750 100.234674 "0.069663 "

https://dbrs.morningstar.com/research/472147/figre-trust-2026-he1-presale-report

https://www.sec.gov/Archives/edgar/data/1970036/000119312526014113/d121045dabs15g.htm

https://www.sec.gov/Archives/edgar/data/2064124/000206412426000009/exhibit211subsidiarylist-f.htm

https://www.sec.gov/Archives/edgar/data/2064124/000162828025040673/exhibit211-sx1.htm

https://www.janushenderson.com/en-us/offshore/product/securitized-income-etf-jsi/full-holdings/

https://www.pgim.com/us/en/individual/investment-capabilities/products/mutual-funds/pgim-balanced-fund

Janus Henderson Asset-Backed Securities ETF JABS:NYSE Arca https://www.schwab.wallst.com/schwab/Prospect/research/etfs/schwabETF/index.asp?type=holdings&symbol=JABS

Janus Henderson Securitized Income ETF JSI:NYSE Arca https://www.schwab.wallst.com/schwab/Prospect/research/etfs/schwabETF/index.asp?YYY101_z5K6INmijHna5ja4iPqCd21bNs/wmPlDDmn4E+xC/k7+9IfxbrhLEDMbK3eRH4SPWgDE+UErKpPzKQvUCs9cudFU6zZzi3Z0H4pSlBM8E7g=&type=holdings&symbol=JSI

Mortgage-Backed Securities ETF Holdings JMBS https://www.janushenderson.com/en-us/advisor/product/jmbs-mortgage-backed-securities-etf/full-holdings/

NON-AGENCY RMBS SPREADS STRUGGLE TO TIGHTEN IN US MARKET https://www.globalcapital.com/securitization/article/2g5opt6wn478dbodhdo1s/securitization/rmbs/non-agency-rmbs-spreads-struggle-to-tighten-in-us-market

First Trust Intermediate Government Opportunities ETF (MGOV) https://www.ftportfolios.com/Retail/Etf/EtfHoldings.aspx?Ticker=MGOV

Fidelity Total Bond ETF (FBND) https://research2.fidelity.com/fidelity/screeners/etf/etfholdings.asp?symbol=FBND&view=Holdings

Commerce Bond Fund https://www.commercefunds.com/hubfs/Bond_8-31-2025.pdf

MORGAN STANLEY https://www.morganstanley.com/im/it-it/intermediary-investor/funds-and-performance/morgan-stanley-investment-funds/fixed-income/us-dollar-short-duration-bond-fund.xlsDownload.fullHoldings.html?fundId=34269&teamId=2038

FIGRE Trust issues $335.7 million from pool of HELOC https://asreport.americanbanker.com/news/figre-trust-issues-335-7-million-from-pool-of-heloc

FIGRE Trust 2026-FL1: Presale Report

Funded by mortgage-backed notes
Figure raises cash via sending MBN units to investors
investors send USD to Figure
Figure sends USD to HELOC borrower

Morningstar DBRS Finalizes Its Provisional Credit Ratings on FIGRE Trust 2026-FL1 https://dbrs.morningstar.com/research/477810

-- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation.

The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were generally treated as less than full documentation in the RMBS Insight model.

Section 15G of the Securities Exchange Act of 193

Date Issued Debt Rated Rating 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class A-1 AAA (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class A-1FCF AAA (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class A-1LCF AAA (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class A-2 AA (high) (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class A-3 A (high) (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class M-1 BBB (low) (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class B-1 BB (sf) 30-Mar-26 Mortgage-Backed Notes, Series 2026-FL1, Class B-2 B (low) (sf)

The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes.

Active INvestment Series (GAINS) - Core Plus Fund Core Bond Fund Limited Duration Fund

FIGRE Trust WAC Maturity Principal Value FIGRE Trust 2025-HE1 5.93% 1/25/2055 270,667 273,192 FIGRE Trust 2025-PF1 5.91% 6/25/2055 191,097 192,820 FIGRE Trust 2024-HE6 5.97% 12/25/2054 133,942 134,974 FIGRE Trust 2024-HE5 5.44% 10/25/2054 128,963 129,668 FIGRE Trust 2024-HE4 5.06% 9/25/2054 84,298 84,293

FIGRE Trust 2025-HE1, 5.93% (WAC) due 01/25/55 135,334 136,596 2024-HE6, 5.97% (WAC) due 12/25/54 133,942 134,974 2025-PF1, 5.91% (WAC) due 06/25/55 95,548 96,410 2024-HE4, 5.06% (WAC) due 09/25/54 84,298 84,293

FIGRE Trust 2025-PF1, 5.76% (WAC) due 06/25/55 5,197,835 5,251,264 2024-HE6, 5.72% (WAC) due 12/25/54 4,866,574 4,912,129 2025-HE1, 5.83% (WAC) due 01/25/55 4,646,455 4,697,147 2024-HE2, 6.38% (WAC) due 05/25/54 2,823,258 2,882,387 2024-HE5, 5.44% (WAC) due 10/25/54 2,364,317 2,377,238 2024-HE3, 5.94% (WAC) due 07/25/54 1,406,516 1,425,787

FIGRE Trust 2024-HE5, 5.70% (WAC) due 10/25/54 6,782,581 6,802,306 2024-HE6, 5.97% (WAC) due 12/25/54 4,059,348 4,090,606 2025-HE1, 6.03% (WAC) due 01/25/55 3,468,150 3,495,058 2024-HE4, 5.25% (WAC) due 09/25/54 3,184,774 3,184,603 2024-HE4, 5.30% (WAC) due 09/25/54 2,739,681 2,729,134 2025-PF1, 6.11% (WAC) due 06/25/55 1,146,581 1,155,803 2025-PF1, 5.91% (WAC) due 06/25/55 716,613 723,076

FIGRE Trust 2024-HE2, 6.38% (WAC) due 05/25/54 34,652,589 35,378,342 2024-HE5, 5.44% (WAC) due 10/25/54 30,567,610 30,734,665 2024-HE6, 5.72% (WAC) due 12/25/54 28,127,904 28,391,207 2025-HE1, 5.83% (WAC) due 01/25/55 19,623,376 19,837,465 2024-HE4, 5.06% (WAC) due 09/25/54 18,162,820 18,161,757 2024-HE1, 6.17% (WAC) due 03/25/54 13,098,240 13,342,918 2024-HE3, 5.94% (WAC) due 07/25/54 10,448,404 10,591,561 2025-PF1, 5.76% (WAC) due 06/25/55 9,554,844 9,653,059 2024-HE5, 5.59% (WAC) due 10/25/54 7,737,765 7,780,443 2025-HE1, 5.93% (WAC) due 01/25/55 6,496,014 6,556,604 2024-HE3, 6.13% (WAC) due 07/25/54 4,340,106 4,407,412 2024-HE6, 5.87% (WAC) due 12/25/54 3,062,816 3,091,314 2024-HE3, 6.23% (WAC) due 07/25/54 2,250,426 2,283,155

FIGRE Trust 2024-HE5, 5.44% (WAC) due 10/25/54 859,752 864,450 2025-HE1, 5.83% (WAC) due 01/25/55 451,112 456,034

https://www.sec.gov/Archives/edgar/data/88525/000175272425209212/fp0093958-1_nportex.htm

Capstone Acquisition Holdings, Inc.

Repurchase Agreements

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization.

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

Auto lenders typically use FICO Auto Score 9, an industry-specific variation of FICO^® Score 9, or other FICO Auto Scores. FICO Auto Scores are designed for auto lenders and help predict how likely a borrower is to pay a car loan on time.
Credit card issuers often use FICO^® Score 9, FICO Bankcard Score 9 or other FICO Bankcard scores. FICO Bankcard Scores are variations on the base FICO^® Scores designed for use in credit card decisions.
Mortgage lenders generally use classic FICO scoring models—FICO^® Score 2, FICO^® Score 4 or FICO^® Score 5—if they plan to sell the loans to government-sponsored enterprises (GSEs) Fannie Mae or Freddie Mac. Recent changes now allow lenders to use VantageScore^® 4.0 credit scores for loans they plan to sell to the GSEs. FICO^® Score 10 T is also expected to be adopted by the GSEs at a later date. For loans not sold to GSEs, mortgage lenders can choose which credit scoring model to use.