XML 42 R29.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Summary of Fair Value Measurements of Investments

The following table presents fair value measurements of investments as of December 31, 2022 (in thousands):

 

Fair Value Hierarchy

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Senior Secured First Lien

$

—

 

 

$

23,214

 

 

$

277,786

 

 

$

301,000

 

Unitranche First Lien

 

—

 

 

 

52,760

 

 

 

771,348

 

 

 

824,108

 

Unitranche First Lien – Last Out

 

—

 

 

 

—

 

 

 

13,827

 

 

 

13,827

 

Senior Secured Second Lien

 

—

 

 

 

4,291

 

 

 

56,586

 

 

 

60,877

 

Unsecured Debt

 

—

 

 

 

—

 

 

 

4,533

 

 

 

4,533

 

Equity & Other

 

—

 

 

 

944

 

 

 

43,907

 

 

 

44,851

 

Subtotal

$

—

 

 

$

81,209

 

 

$

1,167,987

 

 

$

1,249,196

 

Investments Measured at NAV (1)

 

 

 

 

 

 

 

 

 

 

13,760

 

Total Investments

 

 

 

 

 

 

 

 

 

$

1,262,956

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Currency Forward Contracts - Assets

 

—

 

 

 

8,154

 

 

 

—

 

 

 

8,154

 

Foreign Currency Forward Contracts - Liabilities

 

—

 

 

 

(157

)

 

 

—

 

 

 

(157

)

 

The following table presents fair value measurements of investments as of December 31, 2021 (in thousands):

 

Fair Value Hierarchy

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Senior Secured First Lien

$

—

 

 

$

60,944

 

 

$

268,851

 

 

$

329,795

 

Unitranche First Lien

 

—

 

 

 

19,721

 

 

 

711,296

 

 

 

731,017

 

Unitranche First Lien – Last Out

 

—

 

 

 

—

 

 

 

13,723

 

 

 

13,723

 

Senior Secured Second Lien

 

—

 

 

 

25,139

 

 

 

47,584

 

 

 

72,723

 

Unsecured Debt

 

—

 

 

 

—

 

 

 

5,620

 

 

 

5,620

 

Equity & Other

 

—

 

 

 

922

 

 

 

58,606

 

 

 

59,528

 

Subtotal

$

—

 

 

$

106,726

 

 

$

1,105,680

 

 

$

1,212,406

 

Investments Measured at NAV (1)

 

 

 

 

 

 

 

 

 

 

57,960

 

Total Investments

 

 

 

 

 

 

 

 

 

$

1,270,366

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Currency Forward Contracts - Assets

 

—

 

 

 

2,115

 

 

 

—

 

 

 

2,115

 

Foreign Currency Forward Contracts - Liabilities

 

—

 

 

 

(631

)

 

 

—

 

 

 

(631

)

 

(1)
In accordance with ASC 820-10, certain investments that are measured using the net asset value per shares (or its equivalent) as a practical expedient for fair value have not been classified in the fair value hierarchy. These investments are generally not redeemable. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.
Summary of Reconciliation of Investments that Use Level 3 Inputs

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the year ended December 31, 2022, based off of the fair value hierarchy as of December 31, 2022 (in thousands):

 

 

Senior Secured
First Lien

 

 

Unitranche
First Lien

 

 

Unitranche
First -
Last Out

 

 

Senior
Secured
Second Lien

 

 

Unsecured
Debt

 

 

Equity
&
Other

 

 

Total

 

Balance as of January 1, 2022

$

268,851

 

 

$

711,296

 

 

$

13,723

 

 

$

47,584

 

 

$

5,620

 

 

$

58,606

 

 

$

1,105,680

 

Amortized discounts/premiums

 

1,281

 

 

 

4,818

 

 

 

30

 

 

 

347

 

 

 

85

 

 

 

—

 

 

 

6,561

 

Paid in-kind interest

 

707

 

 

 

56

 

 

 

334

 

 

 

785

 

 

 

575

 

 

 

1,998

 

 

 

4,455

 

Net realized gain (loss)

 

(304

)

 

 

(30

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

8,558

 

 

 

8,224

 

Net change in unrealized appreciation (depreciation)

 

(2,092

)

 

 

(28,701

)

 

 

924

 

 

 

(5,946

)

 

 

(496

)

 

 

(13,083

)

 

 

(49,394

)

Purchases

 

70,925

 

 

 

215,410

 

 

 

3,964

 

 

 

2,703

 

 

 

681

 

 

 

4,532

 

 

 

298,215

 

Sales/return of capital/principal repayments/paydowns

 

(81,880

)

 

 

(101,591

)

 

 

(5,148

)

 

 

(4,307

)

 

 

(1,932

)

 

 

(16,704

)

 

 

(211,562

)

Transfers in

 

20,298

 

 

 

—

 

 

 

—

 

 

 

15,709

 

 

 

—

 

 

 

—

 

 

 

36,007

 

Transfers out

 

—

 

 

 

(29,910

)

 

 

—

 

 

 

(289

)

 

 

—

 

 

 

—

 

 

 

(30,199

)

Balance as of December 31, 2022

$

277,786

 

 

$

771,348

 

 

$

13,827

 

 

$

56,586

 

 

$

4,533

 

 

$

43,907

 

 

$

1,167,987

 

Net change in unrealized appreciation (depreciation) from investments still held as of December 31, 2022

$

(2,815

)

 

$

(27,063

)

 

$

924

 

 

$

(5,894

)

 

$

(535

)

 

$

(11,509

)

 

$

(46,892

)

 

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the year ended December 31, 2021, based off of the fair value hierarchy as of December 31, 2021 (in thousands):

 

 

Senior
Secured
First Lien

 

 

Unitranche
First Lien

 

 

Unitranche
First -
Last Out

 

 

Senior
Secured
Second Lien

 

 

Unsecured
Debt

 

 

Equity
&
Other

 

 

Total

 

Balance as of January 1, 2021

$

339,898

 

 

$

413,543

 

 

$

14,917

 

 

$

104,656

 

 

$

3,032

 

 

$

67,831

 

 

$

943,877

 

Amortized discounts/premiums

 

6,176

 

 

 

3,632

 

 

 

31

 

 

 

1,131

 

 

 

16

 

 

 

3

 

 

 

10,989

 

Paid in-kind interest

 

1,533

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

589

 

 

 

1,026

 

 

 

3,148

 

Net realized gain (loss)

 

(3,674

)

 

 

299

 

 

 

—

 

 

 

1

 

 

 

(104

)

 

 

36,572

 

 

 

33,094

 

Net change in unrealized appreciation (depreciation)

 

(346

)

 

 

6,052

 

 

 

(1,225

)

 

 

(594

)

 

 

123

 

 

 

(5,566

)

 

 

(1,556

)

Purchases

 

136,438

 

 

 

419,097

 

 

 

—

 

 

 

10,274

 

 

 

2,307

 

 

 

13,390

 

 

 

581,506

 

Sales/return of capital/principal repayments/paydowns

 

(187,416

)

 

 

(113,180

)

 

 

—

 

 

 

(55,987

)

 

 

(343

)

 

 

(55,351

)

 

 

(412,277

)

Transfers in

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,501

 

 

 

1,501

 

Transfers out

 

(23,758

)

 

 

(18,147

)

 

 

—

 

 

 

(11,897

)

 

 

—

 

 

 

(800

)

 

 

(54,602

)

Balance as of December 31, 2021

$

268,851

 

 

$

711,296

 

 

$

13,723

 

 

$

47,584

 

 

$

5,620

 

 

$

58,606

 

 

$

1,105,680

 

Net change in unrealized appreciation (depreciation) from investments still held as of December 31, 2021

$

829

 

 

$

6,735

 

 

$

(1,226

)

 

$

(490

)

 

$

125

 

 

$

10,963

 

 

$

16,937

 
Summary of Fair Value of Level 3 Investments and Ranges of Significant Unobservable Inputs Used to Value Level 3 Investments

The following tables present the fair value of Level 3 investments and the ranges of significant unobservable inputs used to value the Company’s Level 3 investments as of December 31, 2022 and 2021. These ranges represent the significant unobservable inputs that were used in the valuation of each type of investment. These inputs are not representative of the inputs that could have been used in the valuation of any one investment. For example, the highest market yield presented in the table for senior secured first lien investments is appropriate for valuing a specific investment but may not be appropriate for valuing any other investment. Accordingly,

the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the Company’s Level 3 investments.

 

Security Type

 

Fair Value as of
December 31, 2022
(in thousands)

 

 

Valuation Technique

 

Unobservable Input

 

Range (Weighted Avg)

Senior Secured First Lien

 

$

201,043

 

 

Discounted Cash Flows

 

Discount Rate

 

9.4%

-

19.4%

(10.9%)

 

 

 

13,593

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

8.3x

-

14.8x

(9.1x)

 

 

 

63,150

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

277,786

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien

 

$

620,221

 

 

Discounted Cash Flows

 

Discount Rate

 

6.8%

-

15.7%

(10.8%)

 

 

 

15,576

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

13.1x

-

6.8x

(11.5x)

 

 

 

135,551

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

771,348

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien - Last Out

 

$

11,642

 

 

Discounted Cash Flows

 

Discount Rate

 

8.4%

-

16.5%

(10.9%)

 

 

 

2,185

 

 

Collateral Analysis

 

Recovery Rate

 

 

 

42.9%

 

 

 

$

13,827

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Second Lien

 

$

29,749

 

 

Discounted Cash Flows

 

Discount Rate

 

11.5%

-

26.0%

(15.6%)

 

 

 

7,397

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

8.3x

-

14.8x

(10.8x)

 

 

 

19,440

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

56,586

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unsecured Debt

 

$

4,533

 

 

Discounted Cash Flows

 

Discount Rate

 

15.2%

-

17.3%

(16.1%)

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity & Other

 

$

200

 

 

Discounted Cash Flows

 

Discount Rate

 

22.1%

-

22.1%

(22.1%)

 

 

 

43,311

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

10.9x

-

27.8x

(15.7x)

 

 

 

396

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

43,907

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,167,987

 

 

 

 

 

 

 

 

 

 

 

Security Type

 

Fair Value as of December 31, 2021
(in thousands)

 

 

Valuation Technique

 

Unobservable Input

 

Range (Weighted Avg)

Senior Secured First Lien

 

$

227,225

 

 

Discounted Cash Flows

 

Discount Rate

 

5.5%

-

23.0%

(8.0%)

 

 

 

5,509

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

10.3x

-

10.3x

(10.3x)

 

 

 

36,117

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

268,851

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien

 

$

665,759

 

 

Discounted Cash Flows

 

Discount Rate

 

5.1%

-

10.4%

(7.1%)

 

 

 

277

 

 

Collateral Analysis

 

Recovery Rate

 

 

 

100.0%

 

 

 

 

45,260

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

711,296

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien - Last Out

 

$

7,862

 

 

Discounted Cash Flows

 

Discount Rate

 

6.5%

-

6.5%

(6.5%)

 

 

 

5,861

 

 

Collateral Analysis

 

Recovery Rate

 

 

 

72.6%

 

 

 

$

13,723

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Second Lien

 

$

47,295

 

 

Discounted Cash Flows

 

Discount Rate

 

8.0%

-

21.7%

(10.5%)

 

 

 

289

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

47,584

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unsecured Debt

 

$

5,620

 

 

Discounted Cash Flows

 

Discount Rate

 

11.5%

-

16.0%

(13.4%)

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity & Other

 

$

57,279

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

6.3x

-

32.4x

(9.8x)

 

 

 

1,327

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

 

$

58,606

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,105,680