Securitized Debt Obligations, Net (Tables)

9 Months Ended

Sep. 30, 2023

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

Schedule of Information on Securitized Debt Obligations

The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):

	September 30, 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	$	801,392	+ 1.69	%	May 2038
Underlying Collateral Assets		27	1,000,000		1,000,000		+ 3.35	%	December 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	716,342		716,284		+ 2.18	%	November 2037
Underlying Collateral Assets		15	907,592		907,592		+ 3.04	%	May 2025
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	992,419		991,578		+ 1.57	%	February 2038
Underlying Collateral Assets		16	1,249,294		1,249,294		+ 3.25	%	May 2025
Total
Senior CLO Securities Outstanding(4)		3	$	2,512,511	$	2,509,254	+1.78	%
Underlying Collateral Assets		58	$	3,156,886	$	3,156,886	+ 3.21	%

(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 SOFR, which is the relevant floating benchmark rate for each securitized debt obligation. 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 and nine months ended September 30, 2023, we recorded $44.5 million and $127.6 million, respectively, 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. 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 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.