Securitized Debt Obligations, Net

12 Months Ended

Dec. 31, 2021

SECURITIZED DEBT OBLIGATIONS, NET

We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, 2020 FL2 CLO, and 2017 FL1 CLO or collectively, the CLOs. We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization. The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us. Refer to Note 16 for further discussion of our CLOs and 2017 Single Asset Securitization.

The following tables detail our securitized debt obligations ($ in thousands):


	December 31, 2021
Securitized Debt Obligations		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		34	$	1,000,000	$	1,000,000	+ 3.42	%	October 2024
Financing provided		1	803,750		797,373		+ 1.66	%	May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		18	1,000,000		1,000,000		+ 3.06	%	May 2024
Financing provided		1	808,750		804,096		+ 2.10	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		21	1,500,000		1,500,000		+ 3.15	%	March 2024
Financing provided		1	1,243,125		1,236,593		+ 1.45	%	February 2038
Total
Collateral assets		73	$	3,500,000	$	3,500,000	+ 3.20	%
Financing provided(4)		3	$	2,855,625	$	2,838,062	+ 1.69	%

(1)In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and one-month SOFR, as applicable to each securitized debt obligation. As of December 31, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%. As of December 31, 2021, one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.

(3)Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.

(4)During the year ended December 31, 2021, we recorded $46.0 million of interest expense related to our securitized debt obligations.


	December 31, 2020
Securitized Debt Obligations		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)		Term(3)
2020 FL3 Collateralized Loan Obligation
Collateral assets		25	$	1,000,000	$	1,000,000	+ 3.09	%	February 2024
Financing provided		1	808,750		800,993		+ 2.08	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		31	1,500,000		1,500,000		+ 3.17	%	January 2024
Financing provided		1	1,243,125		1,233,464		+ 1.44	%	February 2038
2017 FL1 Collateralized Loan Obligation
Collateral assets		15	666,334		666,334		+ 3.39	%	January 2023
Financing provided		1	483,834		483,113		+ 1.83	%	June 2035
2017 Single Asset Securitization
Collateral assets(4)		1	619,194		618,766		+ 3.57	%	June 2023
Financing provided		1	404,929		404,929		+ 1.63	%	June 2033
Total
Collateral assets		72	$	3,785,528	$	3,785,100	+3.25	%
Financing provided(5)		4	$	2,940,638	$	2,922,499	+1.70	%

(1)In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2)The weighted-average all-in yield and cost are expressed as a spread over USD LIBOR.

(4)The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.

(5)During the year ended December 31, 2020, we recorded $43.1 million of interest expense related to our securitized debt obligations.