Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2023

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.