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Securitized Debt and Securitized Debt at Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

Summary of Securitized Debt and Securitized Debt at Fair Value

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

Summary of Effective Interest Rate of Securitized Debt and Securitized Debt at Fair Value

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.