Securitized Debt Obligations, Net

3 Months Ended

Mar. 31, 2024

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 19 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, 2024
Securitized Debt Obligations		Count	Principal  Balance		Book Value(1)		Wtd. Avg.  Yield/Cost(2)(3)		Term(4)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	785,452	$	784,138	+ 1.70	%	May 2038
Underlying Collateral Assets		26	981,703		981,703		+ 3.16	%	March 2026
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	689,384		689,384		+ 2.19	%	November 2037
Underlying Collateral Assets		15	880,634		880,634		+ 2.86	%	January 2026
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	854,620		854,551		+ 1.62	%	February 2038
Underlying Collateral Assets		15	1,111,495		1,111,495		+ 2.85	%	February 2026
Total
Senior CLO Securities Outstanding(5)		3	$	2,329,456	$	2,328,073	+1.82	%
Underlying Collateral Assets		56	$	2,973,832	$	2,973,832	+ 2.94	%

(1)The book value of underlying collateral assets excludes any applicable CECL reserves.

(2)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.

(3)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. All-in yield excludes loans accounted for under the cost-recovery method.

(4)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.

(5)During the three months ended March 31, 2024, we recorded $41.5 million of interest expense related to our securitized debt obligations.

	December 31, 2023
Securitized Debt Obligations		Count	Principal  Balance		Book Value(1)		Wtd. Avg.  Yield/Cost(2)(3)		Term(4)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	$	803,750	$	801,800	+ 1.70	%	May 2038
Underlying Collateral Assets		26	1,000,000		1,000,000		+ 3.28	%	December 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	714,352		714,352		+ 2.18	%	November 2037
Underlying Collateral Assets		15	905,602		905,602		+ 2.87	%	September 2025
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding		1	989,412		989,265		+ 1.57	%	February 2038
Underlying Collateral Assets		15	1,246,287		1,246,287		+ 2.85	%	October 2025
Total
Senior CLO Securities Outstanding(4)		3	$	2,507,514	$	2,505,417	+1.79	%
Underlying Collateral Assets		56	$	3,151,889	$	3,151,889	+2.99	%

(1)The book value of underlying collateral assets excludes any applicable CECL reserves.

(2)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.

(3)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. All-in yield excludes loans accounted for under the cost-recovery method.

(4)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.

(5)During the year ended December 31, 2023, we recorded $171.4 million of interest expense related to our securitized debt obligations.