XML 39 R29.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

The following tables present information about the Company’s assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021, respectively:

 

 

As of September 30, 2022 (Unaudited)

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Portfolio Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Common Stock

 

$

 

496,498

 

 

$

 

1,413,356

 

 

$

 

1,228,197

 

 

$

 

3,138,051

 

 Senior Secured Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

862,527,989

 

 

 

 

862,527,989

 

 Second Lien Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

13,403,245

 

 

 

 

13,403,245

 

 Preferred Stock

 

 

 

12,327,868

 

 

 

 

—

 

 

 

 

384,685

 

 

 

 

12,712,553

 

 Warrants

 

 

 

—

 

 

 

 

66,950

 

 

 

 

18,320,157

 

 

 

 

18,387,107

 

Total Portfolio Investments

 

 

 

12,824,366

 

 

 

 

1,480,306

 

 

 

 

895,864,273

 

 

 

 

910,168,945

 

Total Investments

 

$

 

12,824,366

 

 

$

 

1,480,306

 

 

$

 

895,864,273

 

 

$

 

910,168,945

 

 

 

 

As of December 31, 2021

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Portfolio Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Common Stock

 

$

 

2,559,932

 

 

$

 

8,903,933

 

 

$

 

—

 

 

$

 

11,463,865

 

 Senior Secured Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

623,053,646

 

 

 

 

623,053,646

 

 Second Lien Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

12,872,588

 

 

 

 

12,872,588

 

 Preferred Stock

 

 

 

15,704,705

 

 

 

 

—

 

 

 

 

1,332,420

 

 

 

 

17,037,125

 

 Warrants

 

 

 

—

 

 

 

 

—

 

 

 

 

20,087,550

 

 

 

 

20,087,550

 

Total Portfolio Investments

 

 

 

18,264,637

 

 

 

 

8,903,933

 

 

 

 

657,346,204

 

 

 

 

684,514,774

 

U.S. Treasury Bill

 

 

 

45,001,500

 

 

 

 

—

 

 

 

 

—

 

 

 

 

45,001,500

 

Total Investments

 

$

 

63,266,137

 

 

$

 

8,903,933

 

 

$

 

657,346,204

 

 

$

 

729,516,274

 
Schedule of Level 3 Assets measured at Fair Value

The following table presents a rollforward of Level 3 assets measured at fair value as of September 30, 2022:

 

 

Preferred Stock

 

 

Common Stock

 

 

Senior Secured Term Loans

 

 

Second Lien Term Loans

 

 

Warrants

 

 

Total

 

Fair value at December 31, 2021

 

$

 

1,332,420

 

 

$

 

—

 

 

$

 

623,053,646

 

 

$

 

12,872,588

 

 

$

 

20,087,550

 

 

$

 

657,346,204

 

Amortization of fixed income premiums or accretion of discounts

 

 

 

—

 

 

 

 

—

 

 

 

 

4,488,454

 

 

 

 

88,280

 

 

 

 

—

 

 

 

 

4,576,734

 

Purchases of investments(1)

 

 

 

—

 

 

 

 

4,551,235

 

 

 

 

391,506,142

 

 

 

 

490,100

 

 

 

 

2,489,851

 

 

 

 

399,037,328

 

Sales or repayments of investments(1)

 

 

 

(800,000

)

 

 

 

—

 

 

 

 

(143,170,836

)

 

 

 

—

 

 

 

 

(1,508,601

)

 

 

 

(145,479,437

)

Transfers out of Level 3

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(2,238,726

)

 

 

 

(2,238,726

)

Realized gain (loss)

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(850,754

)

 

 

 

(850,754

)

Change in unrealized appreciation (depreciation)

 

 

 

(147,735

)

 

 

 

(3,323,038

)

 

 

 

(13,349,417

)

 

 

 

(47,723

)

 

 

 

340,837

 

 

 

 

(16,527,076

)

Fair value at September 30, 2022

 

$

 

384,685

 

 

$

 

1,228,197

 

 

$

 

862,527,989

 

 

$

 

13,403,245

 

 

$

 

18,320,157

 

 

$

 

895,864,273

 

Change in unrealized appreciation (depreciation on Level 3 investments still held as of September 30, 2022

 

$

 

(77,340

)

 

$

 

(3,323,038

)

 

$

 

(12,453,978

)

 

$

 

(47,723

)

 

$

 

(1,812,833

)

 

$

 

(17,714,912

)

 

(1)
Includes PIK interest, net of reorganization and restructuring of investments.

The following table presents a rollforward of Level 3 assets measured at fair value as of September 30, 2021:

 

 

Preferred Stock

 

 

Senior Secured
Term Loans

 

 

Second Lien Term Loans

 

 

Warrants

 

 

Total

 

Fair value at December 31, 2020

 

$

 

1,336,268

 

 

$

 

501,964,657

 

 

$

 

—

 

 

$

 

33,008,672

 

 

$

 

536,309,597

 

Amortization of fixed income premiums or accretion of discounts

 

 

 

—

 

 

 

 

5,541,082

 

 

 

 

—

 

 

 

 

—

 

 

 

 

5,541,082

 

Purchases of investments(1)

 

 

 

2,000,000

 

 

 

 

233,311,709

 

 

 

 

—

 

 

 

 

475,074

 

 

 

 

235,786,783

 

Sales or repayments of investments(1)

 

 

 

—

 

 

 

 

(202,045,467

)

 

 

 

—

 

 

 

 

(86,834

)

 

 

 

(202,132,301

)

Transfers out of Level 3

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(15,305,039

)

 

 

 

(15,305,039

)

Realized gain (loss)

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(418,037

)

 

 

 

(418,037

)

Change in unrealized appreciation (depreciation)

 

 

 

(2,258,653

)

 

 

 

(7,166,257

)

 

 

 

—

 

 

 

 

3,076,220

 

 

 

 

(6,348,690

)

Fair value at September 30, 2021

 

$

 

1,077,615

 

 

$

 

531,605,724

 

 

$

 

—

 

 

$

 

20,750,056

 

 

$

 

553,433,395

 

Change in unrealized appreciation (depreciation) on Level 3 investments still held as of September 30, 2021

 

$

 

(258,653

)

 

$

 

(7,090,189

)

 

$

 

—

 

 

$

 

(12,249,072

)

 

$

 

(19,597,914

)

 

(1)
Includes PIK interest, net of reorganization and restructuring of investments.
Schedule of Quantitative Information Regarding Level 3 Fair Value Measurements

The following table provides quantitative information regarding Level 3 fair value measurements as of September 30, 2022:

Description

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Range (Weighted Average)

Common Stock

 

$

 

1,228,197

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

Preferred Stock

 

 

 

384,685

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

Senior Secured Term Loans(1)

 

 

 

841,360,595

 

 

Discounted Cash Flow analysis

 

Discount rate

 

11.5% - 25.0% (14.4%)

 

 

 

 

 

 

Market approach

 

Origination yield

 

10.4% - 19.3% (12.7%)

 

 

 

 

21,167,394

 

 

PWERM

 

Discount rate

 

35.0% - 40.0% (38.9%)

Second Lien Term Loans

 

 

 

13,403,245

 

 

Discounted Cash Flow analysis

 

Discount rate

 

15.7% - 15.7% (15.7%)

Warrants(2)

 

 

 

11,436,828

 

 

Option pricing model

 

Risk-free interest rate

 

2.4% - 4.3% (3.5%)

 

 

 

 

 

 

 

 

Average industry volatility

 

25.0% - 98.7% (45.0%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

0.3 - 5.0 (2.1 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

1.45x - 176.14x (6.16x)

 

 

 

 

6,883,329

 

 

PWERM

 

Discount rate

 

20.0% - 40.0% (32.4%)

 

 

 

 

 

 

 

 

Revenue multiples

 

2.73x - 204.18x (12.59x)

Total Level 3 Investments

 

$

 

895,864,273

 

 

 

 

 

 

 

The following table provides quantitative information regarding Level 3 fair value measurements as of December 31, 2021:

Description

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Range (Weighted Average)

Preferred Stock

 

$

 

1,332,420

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

Senior Secured Term Loans(1)

 

 

 

594,793,670

 

 

Discounted Cash Flow analysis

 

Discount rate

 

6.2% - 71.2% (12.9%)

 

 

 

 

 

 

Market approach

 

Origination yield

 

5.1% - 100.1% (11.8%)

 

 

 

 

28,259,976

 

 

PWERM

 

Discount rate

 

16.3% - 25.0% (20.8%)

Second Lien Term Loans(1)

 

 

 

12,872,588

 

 

Discounted Cash Flow analysis

 

Discount rate

 

12.2% - 12.2% (12.2%)

Warrants(2)

 

 

 

13,132,780

 

 

Option pricing model

 

Risk-free interest rate

 

0.1% - 1.2% (0.5%)

 

 

 

 

 

 

 

 

Average industry volatility

 

20.0% - 75.0% (39.6%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

0.5 - 5.7 (2.0 yrs)

 

 

 

 

 

 

 

 

Revenue multiples

 

0.00x - 13.46x (6.16x)

 

 

 

 

6,954,770

 

 

PWERM

 

Discount rate

 

30.0% - 46.0% (36.0%)

 

 

 

 

 

 

 

 

Revenue multiples

 

2.94x - 123.71x (9.53x)

Total Level 3 Investments

 

$

 

657,346,204

 

 

 

 

 

 

 

 

(1)
The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are origination yields and discount rates. The origination yield is defined as the initial market price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The discount rate is related to company-specific characteristics such as underlying investment performance, projected cash flows, and other characteristics of the investment. Significant increases (decreases) in the inputs in isolation may result in a significantly higher (lower) fair value measurement, depending on the materiality of the investment. However, a significantly higher or lower fair value measurement of any of the Company’s portfolio investments may occur regardless of whether there is a significant increase or decrease in the unobservable inputs.
(2)
The significant unobservable inputs used in the fair value measurement of the Company’s warrant and equity-related securities are inputs used in the OPM, which include industry volatility, risk free interest rate and estimated time to exit. The Equity Allocation model and the Black Scholes model were the main OPMs used during the period ended September 30, 2022 and the year ended December 31, 2021. Probability Weighted Expected Return Models (“PWERM”) and other techniques were used as determined appropriate. Significant increases (decreases) in the inputs in isolation would result in a significantly higher (lower) fair value measurement, depending on the materiality of the investment. However, a significantly higher or lower fair value measurement of any of the Company’s portfolio investments may occur regardless of whether there is a significant increase or decrease in the unobservable inputs. For some investments, additional consideration may be given to data from the last round of financing or merger/acquisition events near the measurement date.