Securitized Debt and Securitized Debt at Fair Value

9 Months Ended

Sep. 30, 2023

Securitized Debt and Securitized Debt at Fair Value

Note 10 — Securitized Debt and Securitized Debt at Fair Value

As of September 30, 2023, the Company is the sole beneficial interest holder of twenty-three Trusts, which are variable interest entities included in the consolidated financial statements. The securitization transactions are accounted for as secured borrowings under U.S. GAAP. The securities are subject to redemption by the Company when the stated principal balance is less than a certain percentage, ranging from 10%–30% of the original stated principal balance of loans at issuance. As a result, the actual maturity dates of the securities issued could be earlier than their respective stated maturity dates, ranging from April 2046 through July 2053.

The following tables summarize securitized debt and securitized debt at fair value as of September 30, 2023 and December 31, 2022 ($ in thousands):


	September 30, 2023
(in thousands)	Securitized debt, net			Securitized debt at fair value			Total securitized debt
Securitized debt	$	2,546,709		$	690,371		$	3,237,080
Valuation adjustments on FVO securitized debt		—			(21,232	)		(21,232	)
Deferred issuance costs and discounts		(42,375	)		—			(42,375	)
Total securitized debt and securitized debt at fair value	$	2,504,334		$	669,139		$	3,173,473


	December 31, 2022
(in thousands)	Securitized debt, net			Securitized debt at fair value		Total securitized debt
Unpaid principal balance	$	2,788,908		$	—	$	2,788,908
Valuation adjustments on FVO securitized debt		—			—		—
Deferred issuance costs and discounts		(52,618	)		—		(52,618	)
Total securitized debt and securitized debt at fair value	$	2,736,290		$	—	$	2,736,290

The following table presents the effective interest rate of securitized debt and securitized debt at fair value for the nine months ended September 30, 2023 and 2022 ($ in thousands):


	Nine Months Ended September 30,
Securitized debt:	2023			2022
Interest expense	$	119,377		$	75,191
Average outstanding unpaid principal balance		3,044,511			2,331,672
Effective interest rate (1)		5.23	%		4.30	%

(1)

Effective interest rate represents annualized interest expense divided by average gross outstanding balance, which includes average rates of 4.67% and 3.59%, and debt issuance cost amortization of 0.56% and 0.71% for the nine months ended September 30, 2023 and 2022, respectively.