Securitized Debt Obligations, Net (Tables)

3 Months Ended

Mar. 31, 2018

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Schedule of Information on Securitized Debt Obligations

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

	March 31, 2018
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)			Term(2)
Collateralized Loan Obligation
Collateral assets	30	$	1,000,000	$	1,000,000		5.46	%		Nov. 2021
Financing provided	1		817,500		807,921		L+1.73	%		June 2035
Single Asset Securitization
Collateral assets(3)	1		668,728		665,201		L+3.60	%		June 2023
Financing provided	1		474,620		474,358		L+1.98	%		June 2033
Total
Collateral assets	31	$	1,668,728	$	1,665,201		5.47	%
Financing provided(4)	2	$	1,292,120	$	1,282,279		L+1.82	%
	December 31, 2017
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)			Term(2)
Collateralized Loan Obligation
Collateral assets	31	$	1,000,000	$	1,000,000		5.16	%		Nov. 2021
Financing provided	1		817,500		808,083		L+1.76	%		June 2035
Single Asset Securitization
Collateral assets(3)	1		656,406		652,880		L+3.60	%		June 2023
Financing provided	1		474,620		474,328		L+1.94	%		June 2033
Total
Collateral assets	32	$	1,656,406	$	1,652,880		5.17	%
Financing provided(4)	2	$	1,292,120	$	1,282,411		L+1.83	%

(1)	As of March 31, 2018, 98% of our loans financed by securitized debt obligations earned a floating rate of interest. As of December 31, 2017, 98% of our loans financed by securitized debt obligations earned a floating rate of interest. 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. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)	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.
(3)	The collateral assets for the Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)	During the three months ended March 31, 2018 and December 31, 2017, we recorded $11.0 million and $4.7 million of interest expense, respectively, related to our securitized debt obligations.