XML 43 R32.htm IDEA: XBRL DOCUMENT v3.24.0.1
Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Summary of Fair Value Measurements of Investments

The following table presents fair value measurements of investments as of December 31, 2023 (in thousands):

 

Fair Value Hierarchy

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Senior Secured First Lien

$

—

 

 

$

19,265

 

 

$

409,945

 

 

$

429,210

 

Unitranche First Lien

 

—

 

 

 

25,083

 

 

 

948,781

 

 

 

973,864

 

Unitranche First Lien – Last Out

 

—

 

 

 

—

 

 

 

13,544

 

 

 

13,544

 

Senior Secured Second Lien

 

—

 

 

 

13,305

 

 

 

44,907

 

 

 

58,212

 

Unsecured Debt

 

—

 

 

 

—

 

 

 

4,061

 

 

 

4,061

 

Equity & Other

 

—

 

 

 

1,141

 

 

 

48,909

 

 

 

50,050

 

Subtotal

$

—

 

 

$

58,794

 

 

$

1,470,147

 

 

$

1,528,941

 

Investments Measured at NAV (1)

 

 

 

 

 

 

 

 

 

 

53,134

 

Total Investments

 

 

 

 

 

 

 

 

 

$

1,582,075

 

 

 

 

 

 

 

 

 

 

 

 

Foreign Currency Forward Contracts - Assets

 

—

 

 

 

5,128

 

 

 

—

 

 

 

5,128

 

Foreign Currency Forward Contracts - Liabilities

 

—

 

 

 

(84

)

 

 

—

 

 

 

(84

)

 

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

)

 

(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, 2023, based off of the fair value hierarchy as of December 31, 2023 (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, 2023

$

277,786

 

 

$

771,348

 

 

$

13,827

 

 

$

56,586

 

 

$

4,533

 

 

$

43,907

 

 

$

1,167,987

 

Amortized discounts/premiums

 

1,883

 

 

 

5,102

 

 

 

36

 

 

 

159

 

 

 

57

 

 

 

—

 

 

 

7,237

 

Paid in-kind interest

 

1,249

 

 

 

554

 

 

 

709

 

 

 

469

 

 

 

770

 

 

 

—

 

 

 

3,751

 

Net realized gain (loss)

 

(5,459

)

 

 

(8,566

)

 

 

—

 

 

 

(470

)

 

 

(165

)

 

 

651

 

 

 

(14,009

)

Net change in unrealized appreciation (depreciation)

 

3,889

 

 

 

15,911

 

 

 

(1,031

)

 

 

1,867

 

 

 

597

 

 

 

1,235

 

 

 

22,468

 

Purchases

 

263,869

 

 

 

247,512

 

 

 

3

 

 

 

3,240

 

 

 

919

 

 

 

5,067

 

 

 

520,610

 

Sales/return of capital/principal repayments/paydowns

 

(134,936

)

 

 

(111,140

)

 

 

—

 

 

 

(7,775

)

 

 

(2,650

)

 

 

(1,583

)

 

 

(258,084

)

Transfers in

 

1,664

 

 

 

28,060

 

 

 

—

 

 

 

4,061

 

 

 

—

 

 

 

—

 

 

 

33,785

 

Transfers out

 

—

 

 

 

—

 

 

 

—

 

 

 

(13,230

)

 

 

—

 

 

 

(368

)

 

 

(13,598

)

Balance as of December 31, 2023

$

409,945

 

 

$

948,781

 

 

$

13,544

 

 

$

44,907

 

 

$

4,061

 

 

$

48,909

 

 

$

1,470,147

 

Net change in unrealized appreciation (depreciation) from investments still held as of December 31, 2023

$

(2,813

)

 

$

10,833

 

 

$

(1,031

)

 

$

976

 

 

$

509

 

 

$

2,275

 

 

$

10,750

 

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

)
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, 2023 and 2022. 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, 2023
(in thousands)

 

 

Valuation Technique

 

Unobservable Input

 

Range (Weighted Avg)

Senior Secured First Lien

 

$

337,406

 

 

Discounted Cash Flows

 

Discount Rate

 

10.4%

-

19.3%

(12.0%)

 

 

30,299

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

0.9x

-

11.3x

(6.5x)

 

 

176

 

 

Collateral Analysis

 

Recovery Rate

 

 

 

1.3%

 

 

 

8,253

 

 

Discounted Cash Flows

 

Royalty Payment Discount Rate

 

 

 

15.5%

 

 

 

33,811

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

$

409,945

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien

 

$

898,108

 

 

Discounted Cash Flows

 

Discount Rate

 

9.1%

-

18.6%

(11.8%)

 

 

4,248

 

 

Enterprise Value

 

Comparable Revenue Multiple

 

 

 

0.6x

 

 

 

46,425

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

$

948,781

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unitranche First Lien - Last Out

 

$

12,490

 

 

Discounted Cash Flows

 

Discount Rate

 

10.1%

-

17.4%

(12.8%)

 

 

1,054

 

 

Collateral Analysis

 

Recovery Rate

 

 

 

20.7%

 

 

$

13,544

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Second Lien

 

$

32,051

 

 

Discounted Cash Flows

 

Discount Rate

 

13.2%

-

14.6%

(13.7%)

 

 

7,878

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

3.4x

-

8.9x

(5.9x)

 

 

4,978

 

 

Broker Quoted

 

Broker Quote

 

 

 

N/A

 

 

$

44,907

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unsecured Debt

 

$

3,235

 

 

Discounted Cash Flows

 

Discount Rate

 

14.4%

-

18.1%

(15.9%)

 

 

826

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

 

 

11.3x

 

 

$

4,061

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity & Other

 

$

435

 

 

Discounted Cash Flows

 

Discount Rate

 

 

 

18.2%

 

 

 

48,474

 

 

Enterprise Value

 

Comparable EBITDA Multiple

 

1.8x

-

28.4x

(16.4x)

 

$

48,909

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,470,147

 

 

 

 

 

 

 

 

 

 

 

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