Securitized Debt Obligations, Net

3 Months Ended

Mar. 31, 2023

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

Securitized Debt Obligations, Net

SECURITIZED DEBT OBLIGATIONS, NET

We have financed certain pools of our loans through collateralized loan obligations, or CLOs. The CLOs are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us. Refer to Note 18 for further discussion of our CLOs. The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):

	March 31, 2023
Securitized Debt Obligations		Count	Principal  Balance		Book Value		Wtd. Avg.  Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	803,750	$	800,192	+ 1.57	%	May 2038
Underlying Collateral Assets		29	1,000,000		1,000,000		+ 3.51	%	June 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	808,750		807,428		+ 2.15	%	November 2037
Underlying Collateral Assets		16	1,000,000		1,000,000		+ 3.24	%	November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	1,059,234		1,056,588		+ 1.55	%	February 2038
Underlying Collateral Assets		17	1,316,109		1,316,109		+ 3.41	%	November 2024
Total
Senior CLO Securities Outstanding(4)		3	$	2,671,734	$	2,664,208	+1.74	%
Underlying Collateral Assets		62	$	3,316,109	$	3,316,109	+ 3.39	%

(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 SOFR and USD LIBOR, as applicable to each securitized debt obligation. As of March 31, 2023, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR. As of March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%. Excludes loans accounted for under the cost recovery method.

(3)Underlying Collateral Assets term represents the weighted-average final maturity of such loans, 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 months ended March 31, 2023, we recorded $39.8 million of interest expense related to our securitized debt obligations.

	December 31, 2022
Securitized Debt Obligations		Count	Principal  Balance		Book Value		Wtd. Avg.  Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	803,750	$	799,626	+ 1.57	%	May 2038
Underlying Collateral Assets		30	1,000,000		1,000,000		+ 3.47	%	May 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	808,750		806,757		+ 2.14	%	November 2037
Underlying Collateral Assets		16	1,000,000		1,000,000		+ 3.25	%	November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	1,061,041		1,057,627		+ 1.55	%	February 2038
Underlying Collateral Assets		17	1,317,916		1,317,916		+ 3.42	%	November 2024
Total
Senior CLO Securities Outstanding(4)		3	$	2,673,541	$	2,664,010	+1.73	%
Underlying Collateral Assets		63	$	3,317,916	$	3,317,916	+3.38	%

(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 SOFR and USD LIBOR, as applicable to each securitized debt obligation. As of December 31, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR. As of December 31, 2022, one-month SOFR was 4.36% and one-month USD LIBOR was 4.39%. Excludes loans accounted for under the cost recovery method.

(3)Underlying Collateral Assets term represents the weighted-average final maturity of such loans, 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, 2022, we recorded $87.6 million of interest expense related to our securitized debt obligations.