Securitized Debt Obligations, Net (Tables)

9 Months Ended

Sep. 30, 2022

Loans Managed, Securitized or Asset-Backed Financing Arrangement [Abstract]

Schedule of Information on Securitized Debt Obligations

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

	September 30, 2022
Securitized Debt Obligations		Count	Principal  Balance		Book Value		Wtd. Avg.  Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		31	$	1,000,000	$	1,000,000	+ 3.51	%	May 2025
Financing provided		1	803,750		799,063		+ 1.57	%	May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		16	1,000,000		1,000,000		+ 3.21	%	October 2024
Financing provided		1	808,750		806,068		+ 2.03	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		18	1,500,000		1,500,000		+ 3.39	%	September 2024
Financing provided		1	1,243,125		1,238,901		+ 1.39	%	February 2038
Total
Collateral assets		65	$	3,500,000	$	3,500,000	+ 3.37	%
Financing provided(4)		3	$	2,855,625	$	2,844,032	+ 1.62	%

(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 SOFR, as applicable to each securitized debt obligation. As of September 30, 2022, 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 September 30, 2022, one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

(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 three and nine months ended September 30, 2022, we recorded $26.1 million and $52.6 million, respectively, of interest expense related to our securitized debt obligations.

	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 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 three and nine months ended September 30, 2021, we recorded $10.7 million and $35.2 million, respectively, of interest expense related to our securitized debt obligations.