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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The following tables summarize the significant unobservable inputs the Company used to value the majority of its investments categorized within Level 3 as of September 30, 2022 and December 31, 2021. The tables are not intended to be all-inclusive, but instead capture the significant unobservable inputs relevant to the Company’s determination of fair values.

As of September 30, 2022

Unobservable Input

Asset Category

Fair Value

Primary Valuation Techniques

Input

Estimated Range

Weighted Average(1)

First lien senior secured loans

$

9,301

Yield analysis

Market yield

5.6% - 23.5%

10.8%

Second lien senior secured loans

3,711

Yield analysis

Market yield

10.0% - 23.4%

13.4%

Subordinated certificates of the SDLP

1,121

Discounted cash flow analysis

Discount rate

11.0% - 13.4%

12.0%

Senior subordinated loans

1,043

Yield analysis

Market yield

7.1% - 14.6%

12.1%

Preferred equity

2,052

EV market multiple analysis

EBITDA multiple

2.9x - 40.6x

16.1x

Ivy Hill Asset Management, L.P.(2)

1,958

Discounted cash flow analysis

Discount rate

11.1% - 23.7%

13.4%

Other equity

1,791

EV market multiple analysis

EBITDA multiple

2.3x - 55.9x

15.2x

Total investments

$

20,977

________________________________________

(1)Unobservable inputs were weighted by the relative fair value of the investments.

(2)Includes the Company’s equity and subordinated loan investments in IHAM, as applicable.

As of December 31, 2021

Unobservable Input

Asset Category

Fair Value

Primary Valuation Techniques

Input

Estimated Range

Weighted Average(1)

First lien senior secured loans

$

9,456

Yield analysis

Market yield

2.0% - 16.5%

7.6%

Second lien senior secured loans

4,432

Yield analysis

Market yield

6.8% - 22.9%

9.5%

Subordinated certificates of the SDLP

987

Discounted cash flow analysis

Discount rate

8.8% - 9.7%

9.3%

Senior subordinated loans

889

Yield analysis

Market yield

7.1% - 27.8%

11.5%

Preferred equity

1,561

EV market multiple analysis

EBITDA multiple

3.2x - 64.4x

16.5x

Ivy Hill Asset Management, L.P.(2)

936

Discounted cash flow analysis

Discount rate

9.9% - 27.9%

16.3%

Other equity

1,647

EV market multiple analysis

EBITDA multiple

4.9x - 32.1x

14.9x

Total investments

$

19,908

________________________________________

(1)Unobservable inputs were weighted by the relative fair value of the investments.

(2)Includes the Company’s equity and subordinated loan investments in IHAM, as applicable.

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents fair value measurements of cash and cash equivalents, restricted cash, investments, derivatives and unfunded revolving and delayed draw loan commitments as of September 30, 2022:

			Fair Value Measurements Using
			Total						Level 1						Level 2						Level 3
Cash and cash equivalents			$	257					$	257					$	—					$	—
Restricted cash			$	105					$	105					$	—					$	—
Investments not measured at net asset value			$	21,334					$	55					$	302					$	20,977
Investments measured at net asset value(1)			5
Total investments			$	21,339
Derivatives			$	40					$	—					$	40					$	—
Unfunded revolving and delayed draw loan commitments(2)			$	(54)					$	—					$	—					$	(54)

________________________________________

(1)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(2)The fair value of unfunded revolving and delayed draw loan commitments is included in “accounts payable and other liabilities” in the accompanying consolidated balance sheet.

The following table presents fair value measurements of cash and cash equivalents, restricted cash, investments, derivatives and unfunded revolving and delayed draw loan commitments as of December 31, 2021:

			Fair Value Measurements Using
			Total						Level 1						Level 2						Level 3
Cash and cash equivalents			$	372					$	372					$	—					$	—
Restricted cash			$	114					$	114					$	—					$	—
Investments not measured at net asset value			$	20,004					$	—					$	96					$	19,908
Investments measured at net asset value (1)			5
Total investments			$	20,009
Derivatives			$	(12)					$	—					$	(12)					$	—
Unfunded revolving and delayed draw loan commitments(2)			$	(20)					$	—					$	—					$	(20)

________________________________________

(1)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet.

(2)The fair value of unfunded revolving and delayed draw loan commitments is included in “accounts payable and other liabilities” in the accompanying consolidated balance sheet.

Schedule of Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents changes in investments that use Level 3 inputs as of and for the three and nine months ended September 30, 2022:

			As of and For the Three Months Ended September 30, 2022
Balance as of June 30, 2022			$	21,012
Net realized loss			(22)
Net unrealized losses			(194)
Purchases			2,059
Sales			(1,099)
Repayments			(777)
PIK interest and dividends			71
Net accretion of discount on securities			3
Net transfers in and/or out of Level 3			(76)
Balance as of September 30, 2022			$	20,977

			As of and For the Nine Months Ended September 30, 2022
Balance as of December 31, 2021			$	19,908
Net realized gains			23
Net unrealized losses			(346)
Purchases			6,730
Sales			(3,305)
Repayments			(2,183)
PIK interest and dividends			218
Net accretion of discount on securities			8
Net transfers in and/or out of Level 3			(76)
Balance as of September 30, 2022			$	20,977

The following table presents changes in investments that use Level 3 inputs as of and for the three and nine months ended September 30, 2021:

			As of and For the Three Months Ended September 30, 2021
Balance as of June 30, 2021			$	17,089
Net realized gains			123
Net unrealized gains			11
Purchases			2,517
Sales			(860)
Repayments			(1,328)
PIK interest and dividends			65
Net accretion of discount on securities			5
Net transfers in and/or out of Level 3			44
Balance as of September 30, 2021			$	17,666

			As of and For the Nine Months Ended September 30, 2021
Balance as of December 31, 2020			$	15,506
Net realized gains			258
Net unrealized gains			455
Purchases			8,124
Sales			(3,375)
Repayments			(3,537)
PIK interest and dividends			180
Net accretion of discount on securities			11
Net transfers in and/or out of Level 3			44
Balance as of September 30, 2021			$	17,666

Schedule of Carrying Values and Estimated Fair Values of Debt Instruments

The following are the carrying and fair values of the Company’s debt obligations as of September 30, 2022 and December 31, 2021. Fair value is estimated by discounting remaining payments using applicable current market rates, which take into account changes in the Company’s marketplace credit ratings, or market quotes, if available.

			As of
			September 30, 2022												December 31, 2021
			Carrying value(1)						Fair value(4)						Carrying value(1)						Fair value(4)
Revolving Credit Facility			$	1,787					$	1,787					$	1,507					$	1,507
Revolving Funding Facility			932						932						762						762
SMBC Funding Facility			456						456						401						401
BNP Funding Facility			175						175						—						—
2022 Convertible Notes (principal amount outstanding of $0 and $388, respectively)			—						—						388			(2)			433
2024 Convertible Notes (principal amount outstanding of $403)			399			(2)			412						395			(2)			457
2023 Notes (principal amount outstanding of $750)			750			(2)			747						748			(2)			768
2024 Notes (principal amount outstanding of $900)			898			(2)			872						897			(2)			952
March 2025 Notes (principal amount outstanding of $600)			597			(2)			567						596			(2)			637
July 2025 Notes (principal amount outstanding of $1,250)			1,258			(2)			1,143						1,260			(2)			1,297
January 2026 Notes (principal amount outstanding of $1,150)			1,144			(2)			1,048						1,143			(2)			1,213
July 2026 Notes (principal amount outstanding of $1,000)			990			(2)			839						988			(2)			989
2027 Notes (principal amount outstanding of $500 and $0, respectively)			494			(2)			419						—			(2)			—
2028 Notes (principal amount outstanding of $1,250)			1,246			(2)			985						1,246			(2)			1,248
2031 Notes (principal amount outstanding of $700)			690			(2)			500						689			(2)			687
Total			$	11,816		(3)			$	10,882					$	11,020		(3)			$	11,351

________________________________________

(1)The Revolving Credit Facility, the Revolving Funding Facility, the SMBC Funding Facility and the BNP Funding Facility carrying values are the same as the principal amounts outstanding.

(2)Represents the aggregate principal amount outstanding, less unamortized debt issuance costs and the net unaccreted/amortized discount or premium recorded upon issuance.

(3)Total principal amount of debt outstanding totaled $11,853 and $11,061 as of September 30, 2022 and December 31, 2021, respectively.

(4)The fair value of these debt obligations would be categorized as Level 2 under ASC 820-10.

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- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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Tabular disclosure of information pertaining to carrying amount and estimated fair value of short-term and long-term debt instruments or arrangements, including but not limited to, identification of terms, features, and collateral requirements.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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