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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Investments Categorization in Fair Value Hierarchy

The Company’s investments were categorized in the fair value hierarchy described in Note 2. “Significant Accounting Policies,” as follows as of September 30, 2022 and December 31, 2021 (in thousands):


	As of September 30, 2022								As of December 31, 2021
Description	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Senior Debt	$	—	$	—	$	176,942	$	176,942	$	—	$	—	$	152,542	$	152,542
Equity	—		—		395,984		395,984		—		—		303,455		303,455
U.S. Treasury Bills	60,075		—		—		60,075		—		—		—		—
Total Investments	$	60,075	$	—	$	572,926	$	633,001	$	—	$	—	$	455,997	$	455,997

Unobservable Inputs Used in Fair Value Measurement of Investments

The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of September 30, 2022 and December 31, 2021 were as follows (in thousands):

September 30, 2022

Asset Group

Fair Value

Valuation Techniques

Unobservable Inputs

Range

(Weighted Average)(1)

Impact to Valuation from an Increase in

Input(2)

Senior Debt

176,942

Discounted Cash Flow
Market Comparables
Transaction Method

Discount Rate
EBITDA Multiple
EBITDA Multiple

10.0% – 14.0% (11.8%)

6.6x – 13.6x (9.7x)

6.5x – 12.5x (10.8x)

Decrease
Increase
Increase

Equity

395,984

Discounted Cash Flow
Market Comparables
Transaction Method

Discount Rate
EBITDA Multiple
EBITDA Multiple

10.0% – 14.0% (11.8%)

6.6x – 13.6x (9.7x)

6.5x – 12.5x (10.8x)

Decrease
Increase
Increase

Total

572,926

December 31, 2021

Asset Group

Fair Value

Valuation Techniques

Unobservable Inputs

Range

(Weighted Average)(1)

Impact to Valuation from an Increase in

Input(2)

Senior Debt

130,042

Discounted Cash Flow
Market Comparables
Transaction Method

Discount Rate
EBITDA Multiple
EBITDA Multiple

8.5% – 13.0% (11.4%)

4.1x – 15.2x (8.9x)

6.0x – 12.5x (9.6x)

Decrease
Increase
Increase

22,500

Transaction Precedent

Transaction Price

N/A

Equity

256,695

Discounted Cash Flow
Market Comparables
Transaction Method

Discount Rate
EBITDA Multiple
EBITDA Multiple

8.5% – 13.0% (11.4%)

4.1x – 15.2x (8.9x)

6.0x – 12.5x (9.6x)

Decrease
Increase
Increase

46,760

Transaction Precedent

Transaction Price

N/A

Total

455,997

FOOTNOTES:

(1) Discount rates are relative to the enterprise value of the portfolio companies and are not the market yields on the associated debt investments. Unobservable inputs were weighted by the relative fair value of the investments.

(2) This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.

Reconciliations of Investments of Level 3 Inputs

The following tables provide a reconciliation of investments for which Level 3 inputs were used in determining fair value for the nine months ended September 30, 2022 and 2021 (in thousands):


	Nine Months Ended September 30, 2022
	Senior Debt		Equity		Total
Fair value balance as of January 1, 2022	$	152,542	$	303,455	$	455,997
Additions	24,400		64,983		89,383
Return of capital(1)	—		(237)		(237)
Net change in unrealized appreciation(2)	—		27,783		27,783
Fair value balance as of September 30, 2022	$	176,942	$	395,984	$	572,926
Change in net unrealized appreciation on investments held as of September 30, 2022(2)	$	—	$	27,783	$	27,783


	Nine Months Ended September 30, 2021
	Senior Debt		Equity		Total
Fair value balance as of January 1, 2021	$	78,042	$	153,155	$	231,197
Additions	37,000		36,000		73,000
Return of capital(1)	—		(2,789)		(2,789)
Net change in unrealized appreciation(2)	—		30,832		30,832
Fair value balance as of September 30, 2021	$	115,042	$	217,198	$	332,240
Change in net unrealized appreciation on investments held as of September 30, 2021(2)	$	—	$	30,832	$	30,832

FOOTNOTES:

(1) Represents portion of distributions received which were accounted for as a return of capital. See Note 2. “Significant Accounting Policies” for information on the accounting treatment of distributions from portfolio companies.

(2) Included in net change in unrealized appreciation on investments in the condensed consolidated statements of operations