Securitized Debt Obligations, Net (Tables)

6 Months Ended

Jun. 30, 2021

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Schedule of Information on Securitized Debt Obligations

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

	June 30, 2021
Securitized Debt Obligations	Count		Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)			Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		30	$	1,000,000	$	1,000,000		+ 3.42	%		May 2024
Financing provided		1		803,750		796,383		+ 1.62	%		May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		21		1,000,000		1,000,000		+ 3.04	%		April 2024
Financing provided(2)		1		808,750		802,467		+ 2.10	%		November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		25		1,500,000		1,500,000		+ 3.13	%		March 2024
Financing provided(2)		1		1,243,125		1,234,928		+ 1.44	%		February 2038
Total
Collateral assets		76	$	3,500,000	$	3,500,000		+ 3.19	%
Financing provided(4)		3	$	2,855,625	$	2,833,778		+ 1.68	%

(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 USD LIBOR and SOFR, as applicable to each securitized debt obligation. As of June 30, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is the 30-day average compounded SOFR, plus a credit spread adjustment of 0.11%. As of June 30, 2021, the 30-day average compounded SOFR was 0.03% and one-month USD LIBOR was 0.10%.
(3)	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.
(4)	During the three and six months ended June 30, 2021, we recorded $12.4 million and $24.5 million, respectively, 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)(2)			Term(3)
2020 FL3 Collateralized Loan Obligation
Collateral assets		25	$	1,000,000	$	1,000,000		+ 3.09	%	February 2024
Financing provided		1		808,750		800,993		+ 2.08	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		31		1,500,000		1,500,000		+ 3.17	%	January 2024
Financing provided		1		1,243,125		1,233,464		+ 1.44	%	February 2038
2017 FL1 Collateralized Loan Obligation
Collateral assets		15		666,334		666,334		+ 3.39	%	January 2023
Financing provided		1		483,834		483,113		+ 1.83	%	June 2035
2017 Single Asset Securitization
Collateral assets(4)		1		619,194		618,766		+ 3.57	%	June 2023
Financing provided		1		404,929		404,929		+ 1.63	%	June 2033
Total
Collateral assets		72	$	3,785,528	$	3,785,100		+ 3.25	%
Financing provided(5)		4	$	2,940,638	$	2,922,499		+ 1.70	%

(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 USD LIBOR.
(3)	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.
(4)	The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(5)	During the three and six months ended June 30, 2020, we recorded $10.7 million and $22.7 million, respectively, of interest expense related to our securitized debt obligations.