# 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>

<figure><img src="/files/LzNnqNVIERHiDeBbBRXy" alt=""><figcaption></figcaption></figure>

<figure><img src="/files/6F1daVWUECFnS7Vp2eBE" alt=""><figcaption></figcaption></figure>

Loss Mitigation and the Decision to Foreclose

<figure><img src="/files/A3OBexV9VslfKzmYH7Dz" alt=""><figcaption></figcaption></figure>

***

### COLLATERALIZED MORTGAGE OBLIGATIONS

### Figure Technologies&#x20;

<table><thead><tr><th width="299">Subsidiary</th><th width="140">Jurisdiction</th></tr></thead><tbody><tr><td>Figure Lending Corp.</td><td>Delaware</td></tr><tr><td>DART Trademark LLC</td><td>Delaware</td></tr><tr><td>Figure Lending LLC</td><td>Delaware</td></tr><tr><td>DART Collateral Manager LLC</td><td>Delaware</td></tr><tr><td>Figure Loan Trust 2023</td><td>Delaware</td></tr><tr><td>Figure Asset Funding LLC</td><td>Delaware</td></tr><tr><td>Figure Line of Credit Trust 2020-1</td><td>Delaware</td></tr><tr><td>Figure HELOC Master Depositor Trust</td><td>Delaware</td></tr><tr><td>Figure Lending Borrower I, LLC</td><td>Delaware</td></tr><tr><td>Figure REPO Warehouse I, LLC</td><td>Delaware</td></tr><tr><td>Figure Lending Borrower II Trust</td><td>Delaware</td></tr><tr><td>Figure PL I, LLC</td><td>Delaware</td></tr><tr><td>Figure TCB Borrower LLC</td><td>Delaware</td></tr><tr><td>Figure Lending Borrower II LLC</td><td>Delaware</td></tr><tr><td>Fig SSP Member LLC</td><td>Delaware</td></tr><tr><td>Fig Six Mortgage LLC</td><td>Delaware</td></tr><tr><td>Fig Six Realty Investment LLC</td><td>Delaware</td></tr><tr><td>Fig Six Mortgage Sponsor LLC</td><td>Delaware</td></tr><tr><td>Fig Six Offshore Holdco, LLC</td><td>Delaware</td></tr><tr><td>Fig Six Finance 1 LLC</td><td>Delaware</td></tr><tr><td>Fig Six Purchaser Trust</td><td>Delaware</td></tr><tr><td>Fig Six Depositor Trust</td><td>Delaware</td></tr><tr><td>Fig Six Finance 1 Trust</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2023-HE1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2023-HE1a2</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2023-HE2</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2023-HE3</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE2</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE3</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE4</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE5</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-SL1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2024-HE6</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2026-HE1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE2</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE3</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE4</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE5</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE6</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE7</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-HE8</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-PF1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-PF2</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-FL1</td><td>Delaware</td></tr><tr><td>FIGRE Trust 2025-FL2</td><td>Delaware</td></tr><tr><td>Figure Markets Holdings, Inc.</td><td>Delaware</td></tr><tr><td>Figure Technologies, LLC</td><td>Delaware</td></tr><tr><td>Figure Asset Management LLC</td><td>Delaware</td></tr><tr><td>Figure Equity Solutions, Inc.</td><td>Delaware</td></tr><tr><td>Figure Certificate Company</td><td>Delaware</td></tr><tr><td>Figure Markets, Inc.</td><td>Delaware</td></tr><tr><td>Figure Payments Corporation</td><td>Nevada</td></tr><tr><td>Figure Payments of California, Inc.</td><td>California</td></tr><tr><td>Figure Markets Trading, LLC</td><td>Delaware</td></tr><tr><td>Figure Securities, Inc.</td><td>Delaware</td></tr><tr><td>Figure Markets Credit LLC</td><td>Delaware</td></tr><tr><td>Figure Markets Credit Cayman Islands, Ltd</td><td>Cayman Islands</td></tr><tr><td>Figure Markets Cayman Islands Ltd</td><td>Cayman Islands</td></tr><tr><td>Figure Markets Middle East Holdings Limited</td><td>Dubai</td></tr><tr><td>Figure Markets Ireland Limited</td><td>Ireland</td></tr><tr><td>Figure Markets (BVI) GP Limited</td><td>British Virgin Islands</td></tr><tr><td>Fam GP Sub 1, LLC</td><td>Delaware</td></tr><tr><td>Fam GP Sub 2, LLC</td><td>Delaware</td></tr><tr><td>Figure Investment Advisors, LLC</td><td>Delaware</td></tr><tr><td>Figure Market Margin LLC</td><td>Delaware</td></tr><tr><td>Figure Demo Prime 1, LLC</td><td>Delaware</td></tr><tr><td>Figure Markets ME Exchange DMCC</td><td>Dubai</td></tr><tr><td>Figure Markets Opportunity Investment LP</td><td>British Virgin Islands</td></tr><tr><td>Figure Markets Cayman GP Limited</td><td>Cayman Islands</td></tr><tr><td>SOL Opportunity Fund LP</td><td>Delaware</td></tr><tr><td>Figure REIT, Inc.</td><td>Maryland</td></tr><tr><td>Figure Markets Real World Asset Fund, LP</td><td>Cayman Islands</td></tr><tr><td>Figure Financial, Inc.</td><td>Delaware</td></tr><tr><td>Figure REIT Trust I</td><td>Delaware</td></tr><tr><td>Figure REIT Trust II</td><td>Delaware</td></tr><tr><td>Figure REIT TRS LLC</td><td>Delaware</td></tr><tr><td>Demo Prime 1 Trust</td><td>Delaware</td></tr><tr><td>Demo Prime 2 Trust</td><td>Delaware</td></tr><tr><td>Demo Prime 3 Trust</td><td>Delaware</td></tr><tr><td>Demo Prime DSCR Trust</td><td>Delaware</td></tr><tr><td>Demo Prime CBL Trust</td><td>Delaware</td></tr><tr><td>Demo Prime Auto Loan Trust</td><td>Delaware</td></tr></tbody></table>

**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

{% file src="/files/3AnpENSRSUVKG1AS5pcj" %}

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/2064124/000206412426000009/exhibit211subsidiarylist-f.htm>

[https://www.sec.gov/Archives/edgar/data/2064124/000162828025040673/exhibit211-sx1.htm](<&#xA;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>

<mark style="color:$danger;">-- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms.</mark>
\ <mark style="color:$danger;">-- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators.</mark>
\ <mark style="color:$danger;">-- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens.</mark>
\ <mark style="color:$danger;">-- 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.</mark>

The credit impact of these factors is generally loan specific. Although technologically advanced, the income,
&#x20;employment, and asset verification methods used by Figure were generally treated as less than full
&#x20;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
&#x20;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.&#x20;

**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**](https://www.experian.com/blogs/ask-experian/which-credit-score-is-used-for-car-loans/) typically use FICO Auto Score 9, an industry-specific variation of FICO<sup>®</sup> 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**](https://www.experian.com/blogs/ask-experian/why-you-should-apply-for-a-credit-card-based-on-your-credit-score/) often use FICO<sup>®</sup> Score 9, FICO Bankcard Score 9 or other FICO Bankcard scores. FICO Bankcard Scores are variations on the base FICO<sup>®</sup> Scores designed for use in credit card decisions.
* [**Mortgage lenders**](https://www.experian.com/blogs/ask-experian/which-credit-scores-do-mortgage-lenders-use/) generally use classic FICO scoring models—FICO<sup>®</sup> Score 2, FICO<sup>®</sup> Score 4 or FICO<sup>®</sup> 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<sup>®</sup> 4.0 credit scores for loans they plan to sell to the GSEs. FICO<sup>®</sup> 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.

***

RESOURCES

<https://angeloakcapital.com/wp-content/uploads/Securitization-101_A-Primer-on-Structured-Finance.pdf>

<https://doubleline.com/wp-content/uploads/Securitized-Products-Market-Overview.pdf>

<https://www.newyorkfed.org/medialibrary/media/research/epr/12v18n2/1207peri.pdf>

<https://spinup-000d1a-wp-offload-media.s3.amazonaws.com/faculty/wp-content/uploads/sites/20/2020/12/Securitized-banking-and-the-run-on-repo.pdf>

<http://www.markadelson.com/ppt/Securitization-101-Intro-to-Securitization-2012.pdf>

<https://www.nao.org.uk/wp-content/uploads/2016/07/Introduction-to-asset-backed-securities.pdf>

<https://www.guggenheimpartners.jp/getattachment/46652c87-1d51-4907-a0a4-284295d9fcc1/the-abcs-of-asset-backed-securities-abs-september-2017.pdf>

<https://dealx.com/reportstream/deallist/41>

<https://dbrs.morningstar.com/research/411986/figre-trust-2023-he1-presale-report>

<https://trustinvestorreporting.usbank.com/TIR/public/deals/>

<https://trustinvestorreporting.usbank.com/TIR/public/deals/detail/213084/figure-mortgage-repo-trust-i?layout=layout&issuerName=Figure+Repo+Warehouse+I%2C+LLC>

<https://labor.maryland.gov/finance/consumers/frforeclosuredatatracker.shtml>

<https://dealx.com/reportstream/deallist/69>

<https://donotcopy.digital/latest-news/f/introduction-to-electronic-lien-and-title-elt>


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