XML 52 R35.htm IDEA: XBRL DOCUMENT v3.24.2
Securitized Debt Obligations, Net (Tables)
 6 Months Ended
Jun. 30, 2024
Debt Disclosure [Abstract]  
Schedule of Long-Term Debt The following table details our secured debt ($ in thousands):
 
Secured Debt
Borrowings Outstanding
 June 30, 2024December 31, 2023
Secured credit facilities$12,110,576 $12,697,058 
Deferred financing costs(1)
(13,871)(13,963)
Net book value of secured debt$12,096,705 $12,683,095 
(1)Costs incurred in connection with our secured debt are recorded on our consolidated balance sheets when incurred and recognized as a component of interest expense over the life of each related facility.
The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2024 ($ in thousands):
June 30, 2024
     Recourse Limitation
Currency
Lenders(1)
Borrowings
Wtd. Avg. Maturity(2)
Loan Count
Collateral(3)
Wtd. Avg.
Maturity(4)
Wtd. Avg.Range
USD13$6,175,087 July 2026117$10,084,270 August 202636%
25% - 100%
GBP72,352,502 October 2026183,128,584 October 202626%
25% - 50%
EUR71,983,929 September 2025112,726,991 September 202542%
25% - 100%
Others(5)
41,599,058 July 202772,018,500 July 202725%
25%
Total15$12,110,576 August 2026153$17,958,345 August 202634%
25% - 100%
(1)Represents the number of lenders with fundings advanced in each respective currency, as well as the total number of facility lenders.
(2)Our secured debt agreements are generally term-matched to their underlying collateral. Therefore, the weighted-average maturity is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective secured credit facility is used.
(3)Represents the principal balance of the collateral assets and the book value of the REO asset.
(4)Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date.
(5)Includes Australian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.
The following tables detail the spread of our secured debt as of June 30, 2024 and December 31, 2023 ($ in thousands):
 Six Months Ended June 30, 2024June 30, 2024
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
 Margin(6)
+ 1.50% or less $23,000 $5,522,099 +1.52 %$8,265,569 +3.27 %+1.75 %
+ 1.51% to + 1.75%— 2,338,407 +1.81 %3,226,135 +3.44 %+1.63 %
+ 1.76% to + 2.00%— 1,644,666 +2.10 %2,696,203 +3.85 %+1.75 %
+ 2.01% or more434,4122,605,404 +2.60 %3,770,438 +4.30 %+1.70 %
Total$457,412 $12,110,576 +1.89 %$17,958,345 +3.60 %+1.71 %
 Year Ended December 31, 2023December 31, 2023
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
Margin(7)
+ 1.50% or less$— $5,647,848 +1.53 %$8,341,383 +3.24 %+1.71 %
+ 1.51% to + 1.75%— 2,679,699 +1.82 %3,723,365 +3.49 %+1.67 %
+ 1.76% to + 2.00%42,9081,850,809 +2.11 %2,913,067 +3.92 %+1.81 %
+ 2.01% or more69,1702,518,702 +2.64 %3,616,503 +4.30 %+1.66 %
Total$112,078 $12,697,058 +1.89 %$18,594,318 +3.58 %+1.69 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include SOFR, SONIA, EURIBOR, and other indices as applicable.
(2)Represents the amount of new borrowings we obtained approval for during the six months ended June 30, 2024 and year ended December 31, 2023, respectively.
(3)In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. All-in yield excludes loans accounted for under the cost-recovery and nonaccrual methods, if any, and the REO asset.
(4)Represents the weighted-average all-in cost as of June 30, 2024 and December 31, 2023, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.
(5)Represents the principal balance of the collateral assets and the book value of the REO asset.
(6)Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.
The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):
 June 30, 2024
Securitized Debt ObligationsCount
Principal
 Balance
Book
Value(1)
Wtd. Avg.
 Yield/Cost(2)(3)
Term(4)
2021 FL4 Collateralized Loan Obligation     
Senior CLO Securities Outstanding1$785,452 $784,778 + 1.47 %May 2038
Underlying Collateral Assets26981,703 981,703 + 3.26 %March 2026
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding1689,384 689,384 + 1.84 %November 2037
Underlying Collateral Assets15880,634 880,634 + 2.93 %January 2026
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding1853,656 853,612 + 1.36 %February 2038
Underlying Collateral Assets151,110,530 1,110,530 + 2.86 %March 2026
Total
Senior CLO Securities Outstanding(5)
3$2,328,492 $2,327,774 +1.54 %
Underlying Collateral Assets56$2,972,867 $2,972,867 + 3.00 %
(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. All-in yield excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.
(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 and six months ended June 30, 2024, we recorded $40.2 million and $81.7 million, respectively, of interest expense related to our securitized debt obligations.
 December 31, 2023
Securitized Debt ObligationsCount
Principal
 Balance
Book Value(1)
Wtd. Avg.
 Yield/Cost(2)(3)
Term(4)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding1$803,750 $801,800 + 1.70 %May 2038
Underlying Collateral Assets261,000,000 1,000,000 + 3.28 %December 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding1714,352 714,352 + 2.18 %November 2037
Underlying Collateral Assets15905,602 905,602 + 2.87 %September 2025
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding1989,412 989,265 + 1.57 %February 2038
Underlying Collateral Assets151,246,287 1,246,287 + 2.85 %October 2025
Total
Senior CLO Securities Outstanding(5)
3$2,507,514 $2,505,417 +1.79 %
Underlying Collateral Assets56$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 SOFR. All-in yield excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.
(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 and six months ended June 30, 2023, we recorded $43.3 million and $83.1 million, respectively, of interest expense related to our securitized debt obligations.
The following table details our asset-specific debt ($ in thousands):

 June 30, 2024
Asset-Specific DebtCount
Principal
 Balance
Book Value(1)
Wtd. Avg.
Yield/Cost(2)
Wtd. Avg.
 Term(3)
Financing provided2$1,125,854 $1,120,760 + 3.18 %May 2026
Collateral assets2$1,342,810 $1,333,335 + 4.04 %May 2026
 
 December 31, 2023
Asset-Specific DebtCount
Principal
 Balance
Book Value(1)
Wtd. Avg.
 Yield/Cost(2)
Wtd. Avg.
 Term(3)
Financing provided2$1,004,097 $1,000,210 + 3.14 %March 2026
Collateral assets2$1,194,408 $1,186,559 + 3.98 %March 2026
(1)The book value of underlying collateral assets excludes any applicable CECL reserves.
(2)The weighted-average all-in yield and cost are expressed as a spread over SOFR. These floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate relevant in each arrangement. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.
(3)The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans.
As of June 30, 2024, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term LoansFace Value
Interest Rate(1)
All-in Cost(1)(2)
Maturity
B-1 Term Loan$906,096 + 2.36 %+ 2.65 %April 23, 2026
B-3 Term Loan408,829 + 2.86 %+ 3.54 %April 23, 2026
B-4 Term Loan809,298 + 3.50 %+ 4.11 %May 9, 2029
Total face value$2,124,223 
(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%. The Term Loans are indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.
The following table details the net book value of our Term Loans on our consolidated balance sheets ($ in thousands):

 June 30, 2024December 31, 2023
Face value$2,124,223 $2,135,221 
Deferred financing costs and unamortized discount(29,024)(33,589)
Net book value$2,095,199 $2,101,632 
As of June 30, 2024, the following senior secured notes, or Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured NotesFace ValueInterest Rate
All-in Cost(1)
Maturity
Senior Secured Notes$339,918 3.75 %4.02 %January 15, 2027
(1)Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.
The following table details the net book value of our Senior Secured Notes on our consolidated balance sheets ($ in thousands):
June 30, 2024December 31, 2023
Face value$339,918 $366,090 
Deferred financing costs(2,582)(3,327)
Net book value$337,336 $362,763