Securitized Debt Obligations, Net (Tables)

3 Months Ended

Mar. 31, 2021

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Schedule of Information on Securitized Debt Obligations

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

	March 31, 2021
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)			Term(2)
2020 FL3 Collateralized Loan Obligation
Collateral assets	23	$	1,000,000	$	1,000,000		L+3.08	%	March 2024
Financing provided	1		808,750		801,672		L+2.10	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets	27		1,500,000		1,500,000		L+3.15	%	March 2024
Financing provided	1		1,243,125		1,234,189		L+1.43	%	February 2038
2017 FL1 Collateralized Loan Obligation
Collateral assets	14		617,481		617,481		L+3.54	%	February 2023
Financing provided	1		434,981		434,451		L+1.89	%	June 2035
2017 Single Asset Securitization
Collateral assets(3)	1		619,711		619,494		L+3.57	%	June 2023
Financing provided	1		404,929		404,929		L+1.63	%	June 2033
Total
Collateral assets	65	$	3,737,192	$	3,736,975		L+3.26	%
Financing provided(4)	4	$	2,891,785	$	2,875,241		L+1.72	%

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(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. All-in yield for the total portfolio assumes 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 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)	During the three months ended March 31, 2021, we recorded $12.1 million of interest expense related to our securitized debt obligations.

	December 31, 2020
Securitized Debt Obligations	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)			Term(2)
2020 FL3 Collateralized Loan Obligation
Collateral assets	25	$	1,000,000	$	1,000,000		L+3.09	%	February 2024
Financing provided	1		808,750		800,993		L+2.08	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets	31		1,500,000		1,500,000		L+3.17	%	January 2024
Financing provided	1		1,243,125		1,233,464		L+1.44	%	February 2038
2017 FL1 Collateralized Loan Obligation
Collateral assets	15		666,334		666,334		L+3.39	%	January 2023
Financing provided	1		483,834		483,113		L+1.83	%	June 2035
2017 Single Asset Securitization
Collateral assets(3)	1		619,194		618,766		L+3.57	%	June 2023
Financing provided	1		404,929		404,929		L+1.63	%	June 2033
Total
Collateral assets	72	$	3,785,528	$	3,785,100		L+3.25	%
Financing provided(4)	4	$	2,940,638	$	2,922,499		L+1.70	%

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(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. All-in yield for the total portfolio assumes 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 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)	During the three months ended March 31, 2020, we recorded $12.0 million of interest expense related to our securitized debt obligations.