Collateralized Debt Obligations

9 Months Ended

Sep. 30, 2023

13. Collateralized Debt Obligations

The Company's collateralized debt obligations, or CDOs, are accounted for as financings and are non-recourse debt to the Company. See Note 7 for further discussion regarding the collateral pledged for the Company's CDOs as well as the Company's net investments in the related securitizations.

The following tables present a summary of the Company's CDOs as of September 30, 2023 and December 31, 2022, respectively (dollar amounts in thousands):


	September 30, 2023
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1) (2)		Stated Maturity (3)
Consolidated SLST (4)	$	665,970	$	584,741	2.75	%	2059
Residential loan securitizations	1,335,598		1,318,131		3.63	%	2026 - 2062
Total collateralized debt obligations	$	2,001,568	$	1,902,872


	December 31, 2022
	Outstanding Face Amount		Carrying Value		Weighted Average Interest Rate (1) (2)		Stated Maturity (3)
Consolidated SLST (4)	$	699,408	$	634,495	2.75	%	2059
Residential loan securitizations	1,498,198		1,468,222		3.54	%	2026 - 2062
Total collateralized debt obligations	$	2,197,606	$	2,102,717

(1)Weighted average interest rate is calculated using the outstanding face amount and stated interest rate of notes issued by the securitization and not owned by the Company.

(2)As of September 30, 2023 and December 31, 2022, $560.8 million and $647.1 million, respectively, of the Company's CDOs contained an initial interest rate step-up feature whereby the interest rate increases by 3.00% if the outstanding notes are not redeemed by expected redemption dates, as defined in the respective governing documents, ranging from October 2023 to July 2025, with potential additional interest rate step-ups of 1.00% if the outstanding notes are not redeemed by expected redemption dates ranging from October 2024 to July 2026. As of September 30, 2023 and December 31, 2022, $548.4 million and $603.8 million, respectively, of the Company's CDOs contained a contractual interest rate step-up feature whereby the interest rate increases by either 1.00% or 2.00% at step-up dates, as defined in the respective governing documents, ranging from May 2024 to December 2026.

(3)The actual maturity of the Company's CDOs are primarily determined by the rate of principal prepayments on the assets of the issuing entity. The CDOs are also subject to redemption prior to the stated maturity according to the terms of the respective governing documents. As a result, the actual maturity of the CDOs may occur earlier than the stated maturity.

(4)The Company has elected the fair value option for CDOs issued by Consolidated SLST (see Note 16).

The Company's CDOs as of September 30, 2023 had stated maturities as follows:


Year ending December 31,	Total
2023	$	—
2024	—
2025	—
2026	84,659
2027	225,000
Thereafter	1,691,909
Total	$	2,001,568