Melt the coconut oil in a large stock pot over medium heat. Stir in the cayenne (if using), cumin, paprika, bay leaves, and salt, and cook, stirring frequently for 1-2 minutes. Add the leeks, garlic, squash, and carrots, and toss to coat in the spiced oil. Cook 8-10 minutes, until the vegetables begin to soften. If the pot begins to dry out, add a bit of water. Add the split peas and stir to combine. Pour in the stock, and add the saffron threads and the soaking water. Bring to a boil, then reduce to a simmer, and cook for 25-30 minutes, until the split peas and vegetables are cooked through and tender. Remove the bay leaves.