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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

Investments measured at fair value on a recurring basis are categorized in the tables below based upon the lowest level of significant input to the valuations as of December 31, 2023 and 2022, (in thousands):

 

 

As of December 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Portfolio Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Senior Secured Term Loans

 

$

 

—

 

 

$

 

—

 

 

$

 

964,099

 

 

$

 

964,099

 

 Second Lien Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

14,399

 

 

 

 

14,399

 

 Convertible Note

 

 

 

—

 

 

 

 

—

 

 

 

 

1,357

 

 

 

 

1,357

 

 Preferred Stock

 

 

 

3,553

 

 

 

 

—

 

 

 

 

26,285

 

 

 

 

29,838

 

 Common Stock

 

 

 

548

 

 

 

 

—

 

 

 

 

872

 

 

 

 

1,420

 

 Equity Interest

 

 

 

—

 

 

 

 

—

 

 

 

 

950

 

 

 

 

950

 

 Warrants

 

 

 

—

 

 

 

 

109

 

 

 

 

12,838

 

 

 

 

12,947

 

Total Portfolio Investments

 

 

 

4,101

 

 

 

 

109

 

 

 

 

1,020,800

 

 

 

 

1,025,010

 

U.S. Treasury Bill

 

 

 

—

 

 

 

 

41,999

 

 

 

 

—

 

 

 

 

41,999

 

Total

 

$

 

4,101

 

 

$

 

42,108

 

 

$

 

1,020,800

 

 

$

 

1,067,009

 

 

 

 

As of December 31, 2022

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Portfolio Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Senior Secured Term Loans

 

$

 

—

 

 

$

 

—

 

 

$

 

1,080,121

 

 

$

 

1,080,121

 

 Second Lien Term Loans

 

 

 

—

 

 

 

 

—

 

 

 

 

13,654

 

 

 

 

13,654

 

 Preferred Stock

 

 

 

12,335

 

 

 

 

—

 

 

 

 

347

 

 

 

 

12,682

 

 Common Stock

 

 

 

501

 

 

 

 

1,422

 

 

 

 

1,174

 

 

 

 

3,097

 

 Warrants

 

 

 

—

 

 

 

 

105

 

 

 

 

16,650

 

 

 

 

16,755

 

Total Portfolio Investments

 

 

 

12,836

 

 

 

 

1,527

 

 

 

 

1,111,946

 

 

 

 

1,126,309

 

Cash equivalents

 

 

 

5,590

 

 

 

 

—

 

 

 

 

—

 

 

 

 

5,590

 

Total

 

$

 

18,426

 

 

$

 

1,527

 

 

$

 

1,111,946

 

 

$

 

1,131,899

 
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 December 31, 2023 (in thousands):

 

 

Senior Secured Term Loans

 

 

Second Lien
Term Loans

 

 

Convertible Notes

 

 

Preferred
Stock

 

 

Common
Stock

 

 

Equity Interest

 

 

Warrants

 

 

Total

 

Fair value at December 31, 2022

$

 

1,080,121

 

 

 

13,654

 

$

 

—

 

$

 

347

 

$

 

1,174

 

$

 

—

 

$

 

16,650

 

 

$

 

1,111,946

 

Transfers in(out) of Level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(891

)

 

 

 

(891

)

Purchases of investments(1)

 

 

166,660

 

 

 

—

 

 

 

1,357

 

 

 

28,220

 

 

 

16

 

 

 

950

 

 

 

2,851

 

 

 

 

200,054

 

PIK interest

 

 

19,413

 

 

 

511

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

 

19,924

 

Sales or prepayments of investments(1)

 

 

(289,034

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(44

)

 

 

 

(289,078

)

Scheduled principal repayments of investments

 

 

(7,331

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

 

(7,331

)

Amortization of fixed income premiums or accretion of discounts

 

 

8,527

 

 

 

114

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

 

8,641

 

Net realized gain (loss)

 

 

(17,013

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(1,374

)

 

 

 

(18,387

)

Net change in unrealized gain (loss)

 

 

2,756

 

 

 

120

 

 

 

—

 

 

 

(2,282

)

 

 

(318

)

 

 

—

 

 

 

(4,354

)

 

 

 

(4,078

)

Fair value at December 31, 2023

$

 

964,099

 

 

 

14,399

 

$

 

1,357

 

$

 

26,285

 

 

 

872

 

 

 

950

 

 

 

12,838

 

 

$

 

1,020,800

 

Net change in unrealized gain (loss) on Level 3 investments still held as of December 31, 2023

$

 

(7,746

)

 

 

121

 

 

 

—

 

 

 

(2,282

)

 

 

(317

)

 

 

—

 

 

 

(5,893

)

 

$

 

(16,117

)

 

(1)
Net of reorganization and restructuring of investments.

The following table presents a rollforward of Level 3 assets measured at fair value as of December 31, 2022 (in thousands):

 

 

Senior Secured Term Loans

 

 

Second Lien Term Loans

 

 

Preferred Stock

 

 

Common Stock

 

 

Warrants

 

 

Total

 

Fair value at December 31, 2021

 

$

 

623,054

 

 

$

 

12,873

 

 

$

 

1,332

 

 

$

 

—

 

 

$

 

20,087

 

 

$

 

657,346

 

Transfers in(out) of Level 3

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(2,239

)

 

 

 

(2,239

)

Purchases of investments(1)

 

 

 

614,636

 

 

 

 

—

 

 

 

 

—

 

 

 

 

4,551

 

 

 

 

3,404

 

 

 

 

622,591

 

PIK interest

 

 

 

7,994

 

 

 

 

661

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

8,655

 

Sales or prepayments of investments

 

 

 

(151,905

)

 

 

 

—

 

 

 

 

(800

)

 

 

 

—

 

 

 

 

(1,508

)

 

 

 

(154,213

)

Scheduled repayments of investments

 

 

 

(9,754

)

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

(9,754

)

Amortization of fixed income premiums or accretion of discounts

 

 

 

6,743

 

 

 

 

120

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

6,863

 

Net realized gain (loss)

 

 

 

—

 

 

 

 

—

 

 

 

 

(2,000

)

 

 

 

—

 

 

 

 

(851

)

 

 

 

(2,851

)

Net change in unrealized gain (loss)

 

 

 

(10,647

)

 

 

 

—

 

 

 

 

1,815

 

 

 

 

(3,377

)

 

 

 

(2,243

)

 

 

 

(14,452

)

Fair Value at December 31, 2022

 

$

 

1,080,121

 

 

$

 

13,654

 

 

$

 

347

 

 

$

 

1,174

 

 

$

 

16,650

 

 

$

 

1,111,946

 

Net change in unrealized gain (loss) on Level 3 investments still held as of December 31, 2022

 

$

 

(9,752

)

 

$

 

—

 

 

$

 

(115

)

 

$

 

(3,377

)

 

$

 

(4,889

)

 

$

 

(18,133

)

 

 

(1)
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 December 31, 2023 (in thousands):

Description

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Range (Weighted Average)

Senior Secured Term Loans(1)

 

$

 

904,739

 

 

Discounted Cash Flow analysis

 

Discount rate

 

10.8% - 22.2% (15.0%)

 

 

 

 

 

 

 

 

Origination yield

 

10.8% - 19.9% (13.6%)

 

 

 

 

 

 

 

 

Revenue multiples

 

0.29x - 7.49x (3.66x)

 

 

 

 

59,360

 

 

PWERM

 

Discount rate

 

20.3% - 46.5% (28.8%)

 

 

 

 

 

 

 

 

Origination yield

 

10.8% - 29.7% (17.3%)

 

 

 

 

 

 

 

 

Revenue multiples

 

0.95x - 3.16x (1.89x)

Second Lien Term Loans(1)

 

 

 

14,399

 

 

Discounted Cash Flow analysis

 

Discount rate

 

16.1% - 16.1% (16.1%)

 

 

 

 

 

 

 

 

Origination yield

 

13.1% - 13.1% (13.1%)

Convertible Notes

 

 

 

1,357

 

 

PWERM

 

Discount rate

 

45.0% - 45.0% (45.0%)

 

 

 

 

 

 

 

 

Origination yield

 

10.8% - 10.8% (10.8%)

Preferred Stock

 

 

 

120

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

 

 

 

 

26,038

 

 

PWERM

 

Risk-Free Rate

 

4.7% - 4.7% (4.7%)

 

 

 

 

 

 

 

 

Average industry volatility

 

40.0% - 40.0% (40.0%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

2.0 - 2.0 (2.0 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

4.46x - 4.46x (4.46x)

 

 

 

 

127

 

 

Waterfall Approach

 

Estimated time to exit

 

3.0 - 3.0 (3.0 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

4.00x - 4.00x (4.00x)

Common Stock

 

 

 

16

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

 

 

 

 

856

 

 

Option Pricing Model

 

Risk-free interest rate

 

4.3% - 4.3% (4.3%)

 

 

 

 

 

 

 

 

Average industry volatility

 

35.0% - 35.0% (35.0%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

5.0 - 5.0 (5.0 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

3.28x - 3.28x (3.28x)

Equity Interest

 

 

 

950

 

 

PWERM

 

Discount rate

 

20.0% - 20.0% (20.0%)

Warrants(2)

 

 

 

7,075

 

 

Option Pricing Model

 

Risk-free interest rate

 

3.8% - 5.3% (4.5%)

 

 

 

 

 

 

 

 

Average industry volatility

 

25.0% - 108.8% (45.4%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

0.8 - 8.2 (3.1 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

0.95x - 7.49x (3.95x)

 

 

 

 

3,912

 

 

PWERM (3)

 

N/A

 

N/A

 

 

 

 

1,851

 

 

Waterfall Approach

 

Estimated time to exit

 

3.0 - 3.0 (3.0 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

2.58x - 4.00x (3.39x)

Total Level 3 Investments

 

$

 

1,020,800

 

 

 

 

 

 

 

The following table provides quantitative information regarding Level 3 fair value measurements as of December 31, 2022 (in thousands):

Description

 

Fair Value

 

 

Valuation Technique

 

Unobservable Inputs

 

Range (Weighted Average)

Senior Secured Term Loans(1)

 

$

 

1,053,748

 

 

Discounted Cash Flow analysis

 

Discount rate

 

11.1% - 28.0% (15.2%)

 

 

 

 

 

 

 

 

Origination yield

 

10.5% - 19.3% (12.9%)

 

 

 

 

26,373

 

 

PWERM

 

Discount rate

 

27.4% - 37.4% (30.9%)

Second Lien Term Loans(1)

 

 

 

13,654

 

 

Discounted Cash Flow analysis

 

Discount rate

 

16.1% - 16.1% (16.1%)

 

 

 

 

 

 

 

 

Origination yield

 

12.2% - 12.2% (12.2%)

Preferred Stock

 

 

 

347

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

Common Stock

 

 

 

1,174

 

 

Recent private market and merger and acquisition transaction prices

 

N/A

 

N/A

Warrants(2)

 

 

 

10,246

 

 

Option Pricing Model

 

Risk-free interest rate

 

2.7% - 4.9% (4.3%)

 

 

 

 

 

 

 

 

Average industry volatility

 

25.0% - 98.4% (49.0%)

 

 

 

 

 

 

 

 

Estimated time to exit

 

0.5 - 5.0 (2.2 years)

 

 

 

 

 

 

 

 

Revenue multiples

 

1.16x - 88.63x (5.47x)

 

 

 

 

6,404

 

 

PWERM (3)

 

Discount rate

 

20.0% - 40.0% (34.6%)

 

 

 

 

 

 

 

 

Revenue multiples

 

2.35x - 199.38x (13.10x)

Total Level 3 Investments

 

$

 

1,111,946

 

 

 

 

 

 

 

 

 

(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 or 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 years ended December 31, 2023 and December 31, 2022. 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 (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.
(3)
Warrant investments using a PWERM valuation technique contain success fees, in which case the inputs are not applicable because the nature of a success fee is a fixed payout dependent on certain liquidation events.