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INVESTMENTS (Tables) | 3 Months Ended
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Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
Schedule of Investments | As of March 31, 2023 and December 31, 2022, investments consisted of the following:
| As of
| March 31, 2023 |  | December 31, 2022
| Amortized Cost(1) |  | Fair Value |  | Amortized Cost(1) |  | Fair Value
First lien senior secured loans(2) | $ | 9,020 |  |  | $ | 8,689 |  |  | $ | 9,684 |  |  | $ | 9,373 |
Second lien senior secured loans | 4,230 |  |  | 3,887 |  |  | 4,218 |  |  | 3,934 |
Subordinated certificates of the SDLP(3) | 1,282 |  |  | 1,231 |  |  | 1,274 |  |  | 1,249 |
Senior subordinated loans | 1,136 |  |  | 1,048 |  |  | 1,163 |  |  | 1,079 |
Preferred equity | 2,045 |  |  | 2,069 |  |  | 2,095 |  |  | 2,027 |
Ivy Hill Asset Management, L.P.(4) | 2,139 |  |  | 2,295 |  |  | 2,048 |  |  | 2,201 |
Other equity | 1,578 |  |  | 1,929 |  |  | 1,561 |  |  | 1,917 |
Total | $ | 21,430 |  |  | $ | 21,148 |  |  | $ | 22,043 |  |  | $ | 21,780 |
________________________________________ (1)The amortized cost represents the original cost adjusted for any accretion of discounts, amortization of premiums and PIK interest or dividends. (2)First lien senior secured loans include certain loans that the Company classifies as “unitranche” loans. The total amortized cost and fair value of the loans that the Company classified as “unitranche” loans were $4,721 and $4,575 respectively, as of March 31, 2023, and $4,983 and $4,841, respectively, as of December 31, 2022. (3)The proceeds from these certificates were applied to co-investments with Varagon and its clients to fund first lien senior secured loans to 22 and 22 different borrowers as of March 31, 2023 and December 31, 2022, respectively. (4)Includes the Company’s subordinated loan and equity investments in IHAM, as applicable. The Company uses GICS for classifying the industry groupings of its portfolio companies. The industrial and geographic compositions of the Company’s portfolio at fair value as of March 31, 2023 and December 31, 2022 were as follows:
| As of
| March 31, 2023 |  | December 31, 2022
Industry |  |  |
Software and Services | 21.6 | % |  | 21.9 | %
Financial Services(1) | 13.8 |  |  | 13.3 |
Health Care Services | 11.3 |  |  | 10.8 |
Commercial and Professional Services | 9.8 |  |  | 9.5 |
Investment Funds and Vehicles(2) | 6.1 |  |  | 6.0 |
Insurance Services | 4.9 |  |  | 5.2 |
Power Generation | 4.7 |  |  | 4.5 |
Consumer Durables and Apparel | 3.8 |  |  | 3.7 |
Consumer Services | 3.3 |  |  | 4.2 |
Capital Goods | 2.9 |  |  | 3.6 |
Media and Entertainment | 2.2 |  |  | 2.1 |
Retailing and Distribution | 2.2 |  |  | 2.2 |
Automobiles and Components | 2.2 |  |  | 2.1 |
Food and Beverage | 2.1 |  |  | 2.0 |
Energy | 2.0 |  |  | 2.0 |
Other | 7.1 |  |  | 6.9 |
Total | 100.0 | % |  | 100.0 | %
________________________________________ (1)Includes the Company’s investment in IHAM. (2)Includes the Company’s investment in the SDLP, which had made first lien senior secured loans to 22 and 22 different borrowers as of March 31, 2023 and December 31, 2022, respectively. The portfolio companies in the SDLP are in industries similar to the companies in the Company’s portfolio.
| As of
| March 31, 2023 |  | December 31, 2022
Geographic Region |  |  |
West(1) | 25.3 | % |  | 24.5 | %
Midwest | 23.8 |  |  | 23.9 |
Southeast | 17.3 |  |  | 17.1 |
Northeast(2) | 15.0 |  |  | 14.0 |
Mid-Atlantic | 13.8 |  |  | 14.9 |
International | 4.8 |  |  | 5.6 |
Total | 100.0 | % |  | 100.0 | %
________________________________________ (1)Includes the Company’s investment in the SDLP, which represented 5.8% and 5.7% of the total investment portfolio at fair value as of March 31, 2023 and December 31, 2022, respectively. (2)Includes the Company’s investment in IHAM, which represented 10.9% and 10.1% of the total investment portfolio at fair value as of March 31, 2023 and December 31, 2022, respectively. Below is a summary of the SDLP’s portfolio.
| As of
| March 31, 2023 |  | December 31, 2022
Total first lien senior secured loans(1)(2) | $ | 5,222 |  |  | $ | 5,174 |
Largest loan to a single borrower(1) | $ | 374 |  |  | $ | 377 |
Total of five largest loans to borrowers(1) | $ | 1,644 |  |  | $ | 1,631 |
Number of borrowers in the SDLP | 22 |  |  | 22 |
Commitments to fund delayed draw loans(3) | $ | 217 |  |  | $ | 294 |
___________________________________________________________________________ (1)At principal amount. (2)First lien senior secured loans include certain loans that the SDLP classifies as “unitranche” loans. As of March 31, 2023 and December 31, 2022, the total principal amount of loans in the SDLP portfolio that the SDLP classified as “unitranche” loans was $4,154 and $4,108, respectively. (3)As discussed above, these commitments have been approved by the investment committee of the SDLP. Pursuant to Rule 4-08(g) of Regulation S-X, selected financial information of the SDLP, in conformity with GAAP, as of March 31, 2023 and December 31, 2022 and for the three months ended March 31, 2023 and 2022 are presented below:
| As of |
| March 31, 2023 |  | December 31, 2022 |
Selected Balance Sheet Information: |  |  |  |
Investments at fair value (amortized cost of $5,210 and $5,166, respectively) | $ | 4,932 |  |  | $ | 4,958 |  |
Other assets | 176 |  |  | 150 |  |
Total assets | $ | 5,108 |  |  | $ | 5,108 |  |
Senior notes | $ | 3,562 |  |  | $ | 3,538 |  |
Intermediate funding notes | 133 |  |  | 132 |  |
Other liabilities | 130 |  |  | 110 |  |
Total liabilities | 3,825 |  |  | 3,780 |  |
Subordinated certificates and members’ capital | 1,283 |  |  | 1,328 |  |
Total liabilities and members’ capital | $ | 5,108 |  |  | $ | 5,108 |  |
| For the Three Months Ended March 31,
| 2023 |  | 2022
Selected Statement of Operations Information: |  |  |
Total investment income | $ | 136 |  |  | $ | 72 |
Interest expense | 69 |  |  | 24 |
Other expenses | 6 |  |  | 5 |
Total expenses | 75 |  |  | 29 |
Net investment income | 61 |  |  | 43 |
Net realized and unrealized losses on investments | (68) |  |  | (3) |
Net (decrease) increase in members’ capital resulting from operations | $ | (7) |  |  | $ | 40 |
The amortized cost and fair value of the Company’s investment in IHAM as of March 31, 2023 and December 31, 2022 were as follows:
| As of
| March 31, 2023 |  | December 31, 2022 |  |
| Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value |  |
Subordinated loan | $ | 438 |  |  | $ | 438 |  |  | $ | 500 |  |  | $ | 500 |  |  |
Equity | 1,701 |  |  | 1,857 |  |  | 1,548 |  |  | 1,701 |  |  |
Total Company’s investment in IHAM | $ | 2,139 |  |  | $ | 2,295 |  |  | $ | 2,048 |  |  | $ | 2,201 |  |  |
Summary of Funded Capital and Unfunded Capital Commitments of the SDLP | Below is a summary of the funded capital and unfunded capital commitments of the SDLP.
| As of
| March 31, 2023 |  | December 31, 2022
Total capital funded to the SDLP(1) | $ | 5,160 |  |  | $ | 5,127 |
Total capital funded to the SDLP by the Company(1) | $ | 1,282 |  |  | $ | 1,274 |
Total unfunded capital commitments to the SDLP(2) | $ | 217 |  |  | $ | 294 |
Total unfunded capital commitments to the SDLP by the Company(2) | $ | 50 |  |  | $ | 68 |
___________________________________________________________________________ (1)At principal amount. (2)These commitments to fund delayed draw loans have been approved by the investment committee of the SDLP and will be funded if and when conditions to funding such delayed draw loans are met. The amortized cost and fair value of the SDLP Certificates held by the Company as of March 31, 2023 and December 31, 2022 were as follows:
| As of
| March 31, 2023 |  | December 31, 2022 |  |
| Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value |  |
Subordinated certificates of the SDLP | $ | 1,282 |  |  | $ | 1,231 |  |  | $ | 1,274 |  |  | $ | 1,249 |  |  |
The Company’s yield on its investment in the SDLP Certificates at amortized cost and fair value as of March 31, 2023 and December 31, 2022 were as follows:
|  | As of
|  | March 31, 2023 |  | December 31, 2022
|  | Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value
Yield on subordinated certificates of the SDLP |  | 13.5 | % |  | 14.1 | % |  | 13.5 | % |  | 13.8 | %
The yields at amortized cost and fair value of the Company’s investments in IHAM as of March 31, 2023 and December 31, 2022 were as follows:
|  | As of
|  | March 31, 2023 |  | December 31, 2022
|  | Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value
Subordinated loan |  | 11.6 | % |  | 11.6 | % |  | 11.0 | % |  | 11.0 | %
Equity(1) |  | 13.4 | % |  | 12.3 | % |  | 14.2 | % |  | 12.9 | %
_______________________________________________________________________________ (1)Represents the yield on the Company’s equity investment in IHAM, which is computed as (a) the annualized amount of the dividend received by the Company related to the Company’s equity investment in IHAM during the most recent quarter end, divided by (b) the amortized cost or fair value of the Company’s equity investment in IHAM, as applicable.
Summary of Dividend and Interest Income | The interest income from the Company’s investment in the SDLP Certificates and capital structuring service and other fees earned for the three months ended March 31, 2023 and 2022 were as follows:
| For the Three Months Ended March 31, |  |
| 2023 |  | 2022 |  |  |  |  |  |
Interest income | $ | 43 |  |  | $ | 33 |  |  |  |  |  |  |
Capital structuring service and other fees | $ | 1 |  |  | $ | 5 |  |  |  |  |  |  |
The interest income and dividend income that the Company earned from IHAM for the three months ended March 31, 2023 and 2022 were as follows:
| For the Three Months Ended March 31, |  |
| 2023 |  | 2022 |  |  |  |  |  |
Interest income | $ | 13 |  |  | $ | — |  |  |  |  |  |  |
Dividend income | $ | 57 |  |  | $ | 43 |  |  |  |  |  |  |
Summary of Selected Financial Information | Pursuant to Rule 4-08(g) of Regulation S-X, selected financial information of IHAM, in conformity with GAAP, as of March 31, 2023 and December 31, 2022 and for the three months ended March 31, 2023 and 2022 are presented below. In conformity with GAAP, IHAM is required to consolidate entities in which IHAM has a direct or indirect controlling financial interest based on either a variable interest model or voting interest model, which include certain of the IHAM Vehicles (the “Consolidated IHAM Vehicles”). As such, for GAAP purposes only, IHAM consolidates (a) entities in which it holds a majority voting interest or has majority ownership and control over the operational, financial and investing decisions of that entity and (b) entities that it concludes are variable interest entities in which IHAM has more than insignificant economic interest and power to direct the activities that most significantly impact the entities, and for which IHAM is deemed to be the primary beneficiary. When IHAM consolidates an IHAM Vehicle for GAAP purposes only, IHAM reflects the assets, liabilities, revenues and expenses of the Consolidated IHAM Vehicles on a gross basis, including the economic interests held by third-party investors in the Consolidated IHAM Vehicles as debt obligations, subordinated notes or non-controlling interests, in the consolidated IHAM financials below. All of the revenues earned by IHAM as the investment manager of the IHAM Consolidated Vehicles are eliminated in GAAP consolidation. However, because the eliminated amounts are earned from and funded by third-party investors, the GAAP consolidation of an IHAM Vehicle does not impact the net income or loss attributable to IHAM. As a result, the Company believes an assessment of IHAM's business and the impact to the Company’s investment in IHAM is best viewed on a stand-alone basis as reflected in the first column in the tables below.
| As of March 31, 2023
| IHAM |  | Consolidated IHAM Vehicles(1) |  | Eliminations |  | Consolidated
Selected Balance Sheet Information: |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Investments at fair value(2) | $ | 2,426 |  |  | $ | 9,524 |  |  | $ | (2,401) |  |  | $ | 9,549 |
Cash and cash equivalents | 9 |  |  | 579 |  |  | — |  |  | 588 |
Other assets | 64 |  |  | 98 |  |  | (59) |  |  | 103 |
Total assets | $ | 2,499 |  |  | $ | 10,201 |  |  | $ | (2,460) |  |  | $ | 10,240 |
Liabilities |  |  |  |  |  |  |
Debt | $ | 313 |  |  | $ | 7,267 |  |  | $ | — |  |  | $ | 7,580 |
Subordinated note from ARCC | 438 |  |  | — |  |  | — |  |  | 438 |
Subordinated notes(3) | — |  |  | 1,296 |  |  | (1,014) |  |  | 282 |
Other liabilities | 10 |  |  | 347 |  |  | (14) |  |  | 343 |
Total liabilities | 761 |  |  | 8,910 |  |  | (1,028) |  |  | 8,643 |
Equity |  |  |  |  |  |  |
Contributed capital | 1,701 |  |  | — |  |  | — |  |  | 1,701 |
Accumulated earnings | 56 |  |  | — |  |  | — |  |  | 56 |
Net unrealized losses on investments and foreign currency transactions | (19) |  |  | — |  |  | — |  |  | (19) |
Non-controlling interests in Consolidated IHAM Vehicles(4) | — |  |  | 1,291 |  |  | (1,432) |  |  | (141) |
Total equity | 1,738 |  |  | 1,291 |  |  | (1,432) |  |  | 1,597 |
Total liabilities and equity | $ | 2,499 |  |  | $ | 10,201 |  |  | $ | (2,460) |  |  | $ | 10,240 |
| As of December 31, 2022
| IHAM |  | Consolidated IHAM Vehicles(1) |  | Eliminations |  | Consolidated
Selected Balance Sheet Information: |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Investments at fair value(2) | $ | 2,340 |  |  | $ | 8,973 |  |  | $ | (2,315) |  |  | $ | 8,998 |
Cash and cash equivalents | 5 |  |  | 499 |  |  | — |  |  | 504 |
Other assets | 56 |  |  | 94 |  |  | (51) |  |  | 99 |
Total assets | $ | 2,401 |  |  | $ | 9,566 |  |  | $ | (2,366) |  |  | $ | 9,601 |
Liabilities |  |  |  |  |  |  |
Debt | $ | 308 |  |  | $ | 6,968 |  |  | $ | — |  |  | $ | 7,276 |
Subordinated note from ARCC | 500 |  |  | — |  |  | — |  |  | 500 |
Subordinated notes(3) | — |  |  | 1,374 |  |  | (1,093) |  |  | 281 |
Other liabilities | 18 |  |  | 129 |  |  | (15) |  |  | 132 |
Total liabilities | 826 |  |  | 8,471 |  |  | (1,108) |  |  | 8,189 |
Equity |  |  |  |  |  |  |
Contributed capital | 1,547 |  |  | — |  |  | — |  |  | 1,547 |
Accumulated earnings | 61 |  |  | — |  |  | — |  |  | 61 |
Net unrealized losses on investments and foreign currency transactions | (33) |  |  | — |  |  | — |  |  | (33) |
Non-controlling interests in Consolidated IHAM Vehicles(4) | — |  |  | 1,095 |  |  | (1,258) |  |  | (163) |
Total equity | 1,575 |  |  | 1,095 |  |  | (1,258) |  |  | 1,412 |
Total liabilities and equity | $ | 2,401 |  |  | $ | 9,566 |  |  | $ | (2,366) |  |  | $ | 9,601 |
________________________________________ (1)Consolidated for GAAP purposes only. (2)The determination of such fair value is determined in accordance with IHAM’s valuation procedures (separate and apart from the Company’s valuation process described elsewhere herein). The amortized cost of IHAM’s total investments as of March 31, 2023 and December 31, 2022 was $2,444 and $2,370, respectively. The amortized cost of the total investments of IHAM on a consolidated basis as of March 31, 2023 and December 31, 2022 was $9,839 and $9,306, respectively. (3)Subordinated notes generally represent the most junior capital in certain of the Consolidated IHAM Vehicles and effectively represent equity in such vehicles. (4)Non-controlling interests in Consolidated IHAM Vehicles includes net unrealized depreciation in the Consolidated IHAM Vehicles of $290 and $309 as of March 31, 2023 and December 31, 2022, respectively.
| For the Three Months Ended March 31, 2023
| IHAM |  | Consolidated IHAM Vehicles(1) |  | Eliminations |  | Consolidated
Selected Statement of Operations Information: |  |  |  |  |  |  |
Revenues |  |  |  |  |  |  |
Investment income | $ | 71 |  |  | $ | 255 |  |  | $ | (70) |  |  | $ | 256 |
Management fees and other income | 14 |  |  | 1 |  |  | (13) |  |  | 2 |
Total revenues | 85 |  |  | 256 |  |  | (83) |  |  | 258 |
Expenses |  |  |  |  |  |  |
Interest expense | 19 |  |  | 129 |  |  | — |  |  | 148 |
Distributions to subordinated notes | — |  |  | 32 |  |  | (24) |  |  | 8 |
Management fees and other expenses | 4 |  |  | 18 |  |  | (13) |  |  | 9 |
Total expenses | 23 |  |  | 179 |  |  | (37) |  |  | 165 |
Net operating income | 62 |  |  | 77 |  |  | (46) |  |  | 93 |
Net realized losses on investments and other transactions | (10) |  |  | (17) |  |  | — |  |  | (27) |
Net unrealized gains on investments and other transactions | 14 |  |  | 22 |  |  | (13) |  |  | 23 |
Total net realized and unrealized gains (losses) on investments and other transactions | 4 |  |  | 5 |  |  | (13) |  |  | (4) |
Net income | 66 |  |  | 82 |  |  | (59) |  |  | 89 |
Less: Net income attributable to non-controlling interests in Consolidated IHAM Vehicles | — |  |  | 82 |  |  | (59) |  |  | 23 |
Net income attributable to Ivy Hill Asset Management, L.P. | $ | 66 |  |  | $ | — |  |  | $ | — |  |  | $ | 66 |
| For the Three Months Ended March 31, 2022
| IHAM |  | Consolidated IHAM Vehicles(1) |  | Eliminations |  | Consolidated
Selected Statement of Operations Information: |  |  |  |  |  |  |
Revenues |  |  |  |  |  |  |
Investment income | $ | 33 |  |  | $ | 97 |  |  | $ | (33) |  |  | $ | 97 |
Management fees and other income | 10 |  |  | 1 |  |  | (9) |  |  | 2 |
Total revenues | 43 |  |  | 98 |  |  | (42) |  |  | 99 |
Expenses |  |  |  |  |  |  |
Interest expense | 1 |  |  | 29 |  |  | — |  |  | 30 |
Distributions to subordinated notes | — |  |  | 31 |  |  | (23) |  |  | 8 |
Management fees and other expenses | 4 |  |  | 13 |  |  | (9) |  |  | 8 |
Total expenses | 5 |  |  | 73 |  |  | (32) |  |  | 46 |
Net operating income | 38 |  |  | 25 |  |  | (10) |  |  | 53 |
Net realized gains on investments and other transactions | 1 |  |  | — |  |  | — |  |  | 1 |
Net unrealized losses on investments and other transactions | (11) |  |  | (34) |  |  | 10 |  |  | (35) |
Total net realized and unrealized losses on investments and other transactions | (10) |  |  | (34) |  |  | 10 |  |  | (34) |
Net income (loss) | 28 |  |  | (9) |  |  | — |  |  | 19 |
Less: Net loss attributable to non-controlling interests in Consolidated IHAM Vehicles | — |  |  | (9) |  |  | — |  |  | (9) |
Net income attributable to Ivy Hill Asset Management, L.P. | $ | 28 |  |  | $ | — |  |  | $ | — |  |  | $ | 28 |
________________________________________ (1)Consolidated for GAAP purposes only.

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