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Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Summary of Investment Assets Categorized within Fair Value Hierarchy

The following summarizes the Company’s investment assets categorized within the fair value hierarchy as of September 30, 2023:

Type of Investment

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Asset

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

-

 

 

$

98,089

 

 

$

106,216

 

 

$

204,305

 

Equity/Other

 

 

7,250

 

 

 

-

 

 

 

20,118

 

 

 

27,368

 

Short Term Investments

 

 

1,035

 

 

 

-

 

 

 

-

 

 

 

1,035

 

Total

 

$

8,285

 

 

$

98,089

 

 

$

126,334

 

 

 

232,708

 

Investment measured at net asset value(1)

 

 

 

 

 

 

 

 

 

 

 

3,702

 

Total Investments, at fair value

 

 

 

 

 

 

 

 

 

 

$

236,410

 
(1)
Certain investments that are measured at fair value using net asset value (“NAV”) have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Consolidated Statements of Assets and Liabilities.

The following summarizes the Company’s investment assets categorized within the fair value hierarchy as of December 31, 2022:

Assets

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Debt

 

$

-

 

 

$

80,622

 

 

$

104,333

 

 

$

184,955

 

Equity/Other

 

 

7,958

 

 

 

-

 

 

 

32,044

 

 

 

40,002

 

Short Term Investments

 

 

76,127

 

 

 

-

 

 

 

-

 

 

 

76,127

 

Total investment assets

 

$

84,085

 

 

$

80,622

 

 

$

136,377

 

 

$

301,084

 
Summary of Reconciliation of Level 3 Assets

The following is a reconciliation of Level 3 assets for the nine months ended September 30, 2023:

Level 3

 

Beginning Balance as of January 1, 2023

 

 

Net Transfers In/Out

 

 

Purchases(1)

 

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized
Appreciation (Depreciation)(2)

 

 

Sales and Settlements(1)

 

 

Net Amortization of Premium/ Discount

 

 

Ending Balance as of September 30, 2023

 

Debt

 

$

104,333

 

 

$

(18,189

)

 

$

76,592

 

 

$

868

 

 

$

234

 

 

$

(57,824

)

 

$

202

 

 

$

106,216

 

Equity/Other

 

 

32,044

 

 

 

-

 

 

 

19,190

 

 

 

(3,273

)

 

 

3,037

 

 

 

(30,880

)

 

 

-

 

 

 

20,118

 

Total investment assets

 

$

136,377

 

 

$

(18,189

)

 

$

95,782

 

 

$

(2,405

)

 

$

3,271

 

 

$

(88,704

)

 

$

202

 

 

$

126,334

 

The following is a reconciliation of Level 3 assets for the year ended December 31, 2022:

Level 3

 

Beginning Balance as of January 1, 2022

 

 

Net Transfers In/Out

 

 

Purchases(1)

 

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized
Appreciation (Depreciation)(2)

 

 

Sales and Settlements(1)

 

 

Net Amortization of Premium/ Discount

 

 

Ending Balance as of December 31, 2022

 

Debt

 

$

104,936

 

 

$

(6,311

)

 

$

66,461

 

 

$

(60,207

)

 

$

45,325

 

 

$

(46,314

)

 

$

443

 

 

$

104,333

 

Equity/Other

 

 

49,088

 

 

 

-

 

 

 

12,538

 

 

 

(69,384

)

 

 

61,476

 

 

 

(21,674

)

 

 

-

 

 

 

32,044

 

Total investment assets

 

$

154,024

 

 

$

(6,311

)

 

$

78,999

 

 

$

(129,591

)

 

$

106,801

 

 

$

(67,988

)

 

$

443

 

 

$

136,377

 
(1)
Purchases may include new deals, additional fundings (inclusive of those on revolving credit facilities), refinancings, capitalized PIK income, and securities received in corporate actions and restructurings. Sales and Settlements may include scheduled principal payments, prepayments, sales and repayments (inclusive of those on revolving credit facilities), and securities delivered in corporate actions and restructuring of investments.
(2)
The net change in unrealized appreciation relating to Level 3 assets still held at September 30, 2023 totaled $162 consisting of the following: $192 related to debt investments and $(30) related to equity investments. The net change in unrealized depreciation relating to Level 3 assets still held at December 31, 2022 totaled $(19,811) consisting of the following: $(11,792) related to debt investments and $(8,019) relating to equity/other.
Ranges of Significant Unobservable Inputs to Value Level 3 Assets

The following tables below present the ranges of significant unobservable inputs used to value the Company’s Level 3 assets as of September 30, 2023 and December 31, 2022, respectively. These ranges represent the significant unobservable inputs that were used in the valuation of each type of instrument, but they do not represent a range of values for any one instrument. For example, the lowest yield in 1st Lien Debt is appropriate for valuing that specific debt investment, but may not be appropriate for valuing any other debt investments in this asset class. 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 assets.

As of September 30, 2023

Investment Type

 

Fair value

 

 

Valuation Technique(1)

 

Unobservable Input(1)

 

Range (Weighted Average)(2)

Debt

 

$

61,772

 

 

Income Approach

 

Discount Rate

 

9.57% - 50.73% (20.42%)

 

 

 

28,733

 

 

Recent Transaction

 

 

 

 

 

 

 

8,623

 

 

Income Approach

 

Implied Yield

 

3.08% - 18.61% (10.85%)

 

 

 

5,888

 

 

Asset Recovery / Liquidation (3)

 

 

 

 

 

 

 

1,200

 

 

Market Approach

 

Earnings Multiple

 

10.45 - 10.55 (10.5)

Total Debt

 

$

106,216

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity/Other

 

$

17,500

 

 

Recent Transaction

 

 

 

 

 

 

 

2,564

 

 

Market Approach

 

Earnings Multiple

 

0.10 - 8.20 (4.79)

 

 

 

54

 

 

Asset Recovery / Liquidation (3)

 

 

 

 

Total Equity/Other

 

$

20,118

 

 

 

 

 

 

 

 

As of December 31, 2022

Investment Type

 

Fair value

 

 

Valuation Technique(1)

 

Unobservable Input(1)

 

Range (Weighted Average)(2)

Debt

 

$

65,570

 

 

Income Approach

 

Discount Rate

 

9.39% - 33.61% (17.55%)

 

 

 

20,687

 

 

Market Approach

 

Earnings Multiple

 

0.25 - 9.50 (4.20)

 

 

 

4,945

 

 

Income Approach

 

Implied Yield

 

3.95% - 26.49% (15.80%)

 

 

 

4,883

 

 

Broker Quotes

 

 

 

80.00% - 85.00% (82.50%)

 

 

 

4,375

 

 

Recent Transaction

 

 

 

 

 

 

 

3,000

 

 

Income Approach

 

Discount Rate

 

24.00% - 26.00% (25.00%)

 

 

 

 

 

Market Approach

 

Earnings Multiple

 

4.00 - 5.00 (4.50)

 

 

 

873

 

 

Asset Recovery / Liquidation(3)

 

 

 

 

 

 

 

-

 

 

Options Pricing Model

 

Volatility and Risk Free Rate

 

20.00% and 4.49%

Total Debt

 

$

104,333

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity/Other

 

$

11,638

 

 

Income Approach

 

Discount Rate

 

24.00% - 26.00% (25.00%)

 

 

 

 

 

Market Approach

 

Earnings Multiple

 

4.00 - 5.00 (4.50)

 

 

 

11,044

 

 

Market Approach

 

Earnings Multiple

 

0.12 - 8.50 (4.07)

 

 

 

4,982

 

 

Income Approach

 

Discount Rate

 

19.07% - 19.07% (19.07%)

 

 

 

5

 

 

Asset Recovery / Liquidation(3)

 

 

 

 

 

 

 

4,375

 

 

Recent Transaction

 

 

 

 

 

 

 

-

 

 

Options Pricing Model

 

Volatility and Risk Free Rate

 

20.00% and 4.49%

Total Equity/Other

 

$

32,044

 

 

 

 

 

 

 

 

(1)
The fair value of any one instrument may be determined using multiple valuation techniques or unobservable inputs.
(2)
Weighted average for an asset category consisting of multiple investments is calculated by weighting the significant unobservable input by the relative fair value of the investment. The range and weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.
(3)
Investments valued using the asset recovery or liquidation technique include investments for which valuation is based on current financial data without a discount rate applied.