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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

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 March 31, 2023:

			Fair Value Measurements Using
			Total						Level 1						Level 2						Level 3
Cash and cash equivalents			$	359					$	359					$	—					$	—
Restricted cash			$	18					$	18					$	—					$	—
Investments not measured at net asset value			$	21,143					$	46					$	414					$	20,683
Investments measured at net asset value(1)			5
Total investments			$	21,148
Derivatives			$	5					$	—					$	5					$	—
Unfunded revolving and delayed draw loan commitments(2)			$	(50)					$	—					$	—					$	(50)

________________________________________

(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, 2022:

			Fair Value Measurements Using
			Total						Level 1						Level 2						Level 3
Cash and cash equivalents			$	303					$	303					$	—					$	—
Restricted cash			$	34					$	34					$	—					$	—
Investments not measured at net asset value			$	21,775					$	54					$	360					$	21,361
Investments measured at net asset value (1)			5
Total investments			$	21,780
Derivatives			$	(21)					$	—					$	(21)					$	—
Unfunded revolving and delayed draw loan commitments(2)			$	(57)					$	—					$	—					$	(57)

________________________________________

(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 Fair Value Measurement Inputs and Valuation Techniques

The following tables summarize the significant unobservable inputs the Company’s investment adviser used to value the majority of the Company’s investments categorized within Level 3 as of March 31, 2023 and December 31, 2022. 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 March 31, 2023

Unobservable Input

Asset Category

Fair Value

Primary Valuation Techniques

Input

Estimated Range

Weighted Average(1)

First lien senior secured loans

$

8,368

Yield analysis

Market yield

3.7% - 29.5%

12.6%

Second lien senior secured loans

3,802

Yield analysis

Market yield

11.4% - 42.9%

15.2%

Subordinated certificates of the SDLP

1,231

Discounted cash flow analysis

Discount rate

12.8% - 15.0%

13.5%

Senior subordinated loans

1,040

Yield analysis

Market yield

9.5% - 17.6%

14.1%

Preferred equity

2,069

EV market multiple analysis

EBITDA multiple

2.5x - 40.0x

16.0x

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

2,295

Discounted cash flow analysis

Discount rate

13.1% - 20.6%

14.8%

Other equity

1,878

EV market multiple analysis

EBITDA multiple

2.4% - 51.9x

17.4x

Total investments

$

20,683

________________________________________

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

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

As of December 31, 2022

Unobservable Input

Asset Category

Fair Value

Primary Valuation Techniques

Input

Estimated Range

Weighted Average(1)

First lien senior secured loans

$

9,165

Yield analysis

Market yield

7.6% - 26.1%

12.3%

Second lien senior secured loans

3,841

Yield analysis

Market yield

11.0% - 32.4%

14.9%

Subordinated certificates of the SDLP

1,249

Discounted cash flow analysis

Discount rate

12.4% - 14.8%

13.5%

Senior subordinated loans

1,021

Yield analysis

Market yield

8.0% - 16.3%

12.9%

Preferred equity

2,023

EV market multiple analysis

EBITDA multiple

2.6x - 40.6x

15.7x

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

2,201

Discounted cash flow analysis

Discount rate

12.9% - 25.7%

14.2%

Other equity

1,861

EV market multiple analysis

EBITDA multiple

2.1x - 52.1x

15.6x

Total investments

$

21,361

________________________________________

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

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

Schedule of Changes in Investments that use Level 3 Inputs

The following table presents changes in investments that use Level 3 inputs as of and for the three months ended March 31, 2023:

			As of and For the Three Months Ended March 31, 2023
Balance as of December 31, 2022			$	21,361
Net realized losses			(20)
Net unrealized losses			(11)
Purchases			1,072
Sales			(697)
Repayments			(1,063)
PIK interest and dividends			81
Net accretion of discount on securities			4
Net transfers in and/or out of Level 3			(44)
Balance as of March 31, 2023			$	20,683

The following table presents changes in investments that use Level 3 inputs as of and for the three months ended March 31, 2022:

			As of and For the Three Months Ended March 31, 2022
Balance as of December 31, 2021			$	19,908
Net realized gains			69
Net unrealized losses			(7)
Purchases			1,854
Sales			(1,547)
Repayments			(972)
PIK interest and dividends			67
Net accretion of discount on securities			3
Net transfers in and/or out of Level 3			—
Balance as of March 31, 2022			$	19,375

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 March 31, 2023 and December 31, 2022. 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
			March 31, 2023												December 31, 2022
			Carrying value(1)						Fair value(4)						Carrying value(1)						Fair value(4)
Revolving Credit Facility			$	1,872					$	1,872					$	2,246					$	2,246
Revolving Funding Facility			850						850						800						800
SMBC Funding Facility			401						401						451						451
BNP Funding Facility			320						320						245						245
2024 Convertible Notes (principal amount outstanding of $403)			400			(2)			400						399			(2)			428
2023 Notes (principal amount outstanding of $0 and $750, respectively)			—						—						750			(2)			749
2024 Notes (principal amount outstanding of $900)			899			(2)			873						898			(2)			873
March 2025 Notes (principal amount outstanding of $600)			598			(2)			569						597			(2)			570
July 2025 Notes (principal amount outstanding of $1,250)			1,257			(2)			1,150						1,258			(2)			1,157
January 2026 Notes (principal amount outstanding of $1,150)			1,145			(2)			1,061						1,144			(2)			1,059
July 2026 Notes (principal amount outstanding of $1,000)			991			(2)			866						991			(2)			850
2027 Notes (principal amount outstanding of $500)			494			(2)			432						494			(2)			427
2028 Notes (principal amount outstanding of $1,250)			1,247			(2)			1,035						1,247			(2)			1,007
2031 Notes (principal amount outstanding of $700)			690			(2)			536						690			(2)			516
Total			$	11,164		(3)			$	10,365					$	12,210		(3)			$	11,378

________________________________________

(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 $11,196 and $12,245 as of March 31, 2023 and December 31, 2022, respectively.

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

X

- 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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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

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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.

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-Publisher FASB
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-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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