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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Summary of Company's Assets Measured at Fair Value by Investment Type on a Recurring Basis

The Company’s assets measured at fair value by investment type on a recurring basis as of March 31, 2023 were as follows (in thousands):

		Fair Value Measurements at Reporting Date Using
		Quoted Prices				Significant
		in Active				Other				Significant
		Markets for				Observable				Unobservable
		Identical Assets				Inputs				Inputs				Measured at
Assets		(Level 1)				(Level 2)				(Level 3)				Net Asset Value(1)				Total
Secured Loans		$	—			$	—			$	808,002			$	—			$	808,002
Equipment Financings			—				—				239,096				—				239,096
Warrants			—				994				25,969				—				26,963
Equity			461				—				15,454				1,555				17,470
Total Investments at fair value			461				994				1,088,521				1,555				1,091,531
Escrow Receivable (2)			—				—				2,441				—				2,441
Cash and cash equivalents			8,344				—				—				—				8,344
Total		$	8,805			$	994			$	1,090,962			$	1,555			$	1,102,316

(1)In accordance with ASC Subtopic 820-10, Fair Value Measurements and Disclosures, or ASC 820-10, the Company's equity investment in i40, LLC is measured using the net asset value per share (or its equivalent) as a practical expedient for fair value, and thus has not been classified in the fair value hierarchy.

(2)Escrow receivable is included in other assets on the Consolidated Statements of Assets and Liabilities.

The Company’s assets measured at fair value by investment type on a recurring basis as of December 31, 2022 were as follows (in thousands):

		Fair Value Measurements at Reporting Date Using
		Quoted Prices				Significant
		in Active				Other				Significant
		Markets for				Observable				Unobservable
		Identical Assets				Inputs				Inputs
Assets		(Level 1)				(Level 2)				(Level 3)				Total
Secured Loans		$	—			$	—			$	802,851			$	802,851
Equipment Financings			—				—				245,978				245,978
Warrants			—				735				30,989				31,724
Equity			588				—				13,245				13,833
Total Investments at fair value			588				735				1,093,063				1,094,386
Escrow Receivable (1)			—				—				2,441				2,441
Cash and cash equivalents			10,612				—				—				10,612
Total		$	11,200			$	735			$	1,095,504			$	1,107,439

Escrow receivable is included in other assets on the Consolidated Statements of Assets and Liabilities.

Summary of Significant Unobservable Inputs Used to Measure The Fair Value Of The Level 3 Portfolio Investments

The following table provides a summary of the significant unobservable inputs used to measure the fair value of the Level 3 portfolio investments as of March 31, 2023.

		Fair Value as of
		March 31, 2023				Valuation Techniques/		Unobservable				Weighted
Investment Type		(in thousands)				Methodologies		Inputs (1)		Range		Average (2)
Debt investments		$	929,280			Discounted Cash Flows		Hypothetical Market Yield		13.2% - 29.7%			17.9		%
			93,891			Originated within the past three months		Origination Market Yield		8.5% - 16.4%			13.2		%
			23,927			Scenario Analysis		Probability Weighting of Alternative Outcomes		5.0% - 100.0%		n/a
Equity investments			15,454			Market Approach		Revenue Multiple Only (3)		1.0x- 7.0x			1.9		x
								Revenue Multiple (3)		0.4x - 4.3x			1.2		x
								Volatility (5)		40.9% - 87.3%			65.4		%
								Risk-Free Interest Rate		1.5% - 4.1%			3.5		%
								Estimated Time to Exit (in years)		0.2 - 4.5			2.7
Warrants			25,701			Market Approach		Revenue Multiple Only (3)		0.3x - 4.9x			3.5		x
								Revenue Multiple (3)		0.3x - 8.0x			1.8		x
								Company Specific Adjustment (4)		n/a		28.7%
								Volatility (5)		33.3% - 105.2%			61.2		%
								Risk-Free Interest Rate		0.5% - 4.0%			2.8		%
								Estimated Time to Exit (in years)		0.1 - 5.0			2.3
			268			Black-Scholes Option Pricing Model		Volatility (5)		n/a		65.4			%
								Discount for Lack of Marketability (6)		n/a		n/a
								Risk-Free Interest Rate		n/a		3.8			%
								Estimated Time to Exit (in years)		n/a		1.5
Total Level 3 Investments		$	1,088,521

(1)The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The significant unobservable inputs used in the fair value measurement of the Company’s equity and warrant securities are revenue multiples and portfolio company specific adjustment factors. Additional inputs used in the option pricing model (“OPM”) include industry volatility, risk free interest rate and estimated time to exit. 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. For some investments, additional consideration may be given to data from the last round of financing or merger or acquisition events near the measurement date.

(2)Weighted averages are calculated based on the fair value of each investment.

(3)Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.

(4)Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.

(5)Represents the range of industry volatility used by market participants when pricing the investment.

(6)Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.

The following table provides a summary of the significant unobservable inputs used to fair value the Level 3 portfolio investments as of December 31, 2022.

		Fair Value as of
		December 31, 2022					Valuation Techniques/		Unobservable				Weighted
Investment Type		(in thousands)					Methodologies		Inputs (1)		Range		Average (2)
Debt investments		$		872,022			Discounted Cash Flows		Hypothetical Market Yield		11.7% - 28.5%			17.4		%
				156,281			Originated within the past three months		Origination Market Yield		9.0% - 15.5%			13.2		%
				2,688			Transactions Precedent(6)		Transaction Price		n/a		n/a
				17,838			Scenario Analysis		Probability Weighting of Alternative Outcomes		5.0% - 80.0%		n/a
Equity investments				12,651			Market Approach		Revenue Multiple Only(3)		0.9x - 8.0x			2.0		x
									Revenue Multiple(3)		0.4x - 5.9x			1.2		x
									Volatility(5)		45.1% - 102.2%			66.8		%
									Risk-Free Interest Rate		2.9% - 4.2%			3.2		%
									Estimated Time to Exit (in years)		1.9 - 4.8			3.0
																%
				594			Other⁽⁷⁾		Probability Weighting of Alternative Outcomes		20.0% - 80.0%		n/a
Warrants				30,442			Market Approach		Revenue Multiple Only(3)		0.4x - 3.2x			2.2
									Revenue Multiple(3)		0.2x - 8.5x			1.8
									Company Specific Adjustment(4)		18.7% - 30.0%			28.3		x
									Volatility(5)		33.3% - 98.0%			51.8		%
									Risk-Free Interest Rate		0.5% - 4.5%			2.7		%
									Estimated Time to Exit (in years)		0.1 - 5.0			2.3
				547			Black-Scholes Option Pricing Model		Volatility(5)		n/a			65.4		%
									Discount for Lack of Marketability(8)		n/a			24.6		%
									Risk-Free Interest Rate		n/a			4.1		%
									Estimated Time to Exit (in years)		n/a			3.7
Total Level 3 Investments		$		1,093,063

(1)The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The significant unobservable inputs used in the fair value measurement of the Company’s equity and warrant securities are revenue multiples and portfolio company specific adjustment factors. Additional inputs used in the OPM include industry volatility, risk free interest rate and estimated time to exit. 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. For some investments, additional consideration may be given to data from the last round of financing or merger or acquisition events near the measurement date.

(2)Weighted averages are calculated based on the fair value of each investment.

(3)Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.

(4)Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.

(5)Represents the range of industry volatility used by market participants when pricing the investment.

Represents investments where there is an observable transaction or pending event for the investment.

Summary of Changes In Fair Value of Company's Level 3 Debt

The following table provides a summary of changes in the fair value of the Company’s Level 3 debt, including loans and equipment financings (collectively “Debt”), equity, warrant and escrow receivable portfolio investments for the three months ended March 31, 2023 (in thousands):

		Debt				Equity				Warrants				Escrow Receivable				Total
Fair Value as of December 31, 2022		$	1,048,829			$	13,245			$	30,989			$	2,441			$	1,095,504
Purchases, net of deferred fees			66,854				1,500				156				—				68,510
Non-cash conversion (1)			(500	)			521				—				—				21
Transfers into/(out of) Level 3 (2)			—				—				—				—				—
Proceeds from sales and paydowns			(82,674	)			—				(121	)			—				(82,795	)
Accretion of OID, EOT, and PIK payments			6,684				—				—				—				6,684
Net realized gain/(loss)			(296	)			—				(69	)			—				(365	)
Change in unrealized appreciation/(depreciation)			8,201				188				(4,986	)			—				3,403
Fair Value as of March 31, 2023		$	1,047,098			$	15,454			$	25,969			$	2,441			$	1,090,962
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of March 31, 2023		$	7,954			$	188			$	(5,056	)		$	—			$	3,086

(1)The non-cash conversion includes non-cash restructuring of a convertible note position to preferred equity during the period.

(2)During the three months ended March 31, 2023, there were no transfers into or out of Level 3.

The following table provides a summary of changes in the fair value of the Company’s Level 3 debt, including loans and equipment financings (collectively “Debt”), equity, and warrant portfolio investments for the year ended December 31, 2022 (in thousands):

		Type of Investment
		Debt				Equity				Warrants				Escrow Receivable				Total
Fair Value as of December 31, 2021		$	735,968			$	21,788			$	36,753			$	4,152			$	798,661
Purchases, net of deferred fees			612,294				4,800				9,117								626,211
Non-cash conversion (1)			—				537				(7,225	)			—				(6,688	)
Transfers into/(out of) of Level 3 (2)			—				—				(1,061	)			—				(1,061	)
Proceeds from sales and paydowns			(273,787	)			(663	)			(981	)			(1,711	)			(277,142	)
Accretion of OID and EOT payments			32,220				—				—				—				32,220
Net realized gain/(loss)			(18,135	)			(676	)			(557	)			—				(19,368	)
Change in unrealized appreciation/(depreciation)			(39,731	)			(12,541	)			(5,057	)			—				(57,329	)
Fair Value as of December 31, 2022		$	1,048,829			$	13,245			$	30,989			$	2,441			$	1,095,504
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of December 31, 2022		$	(47,150	)		$	(13,879	)		$	(5,649	)		$	—			$	(66,678	)

(1)The non-cash conversion includes the non-cash exercise of warrant investments.

(2)Transfers out of Level 3 during the year ended December 31, 2022 primarily relate to the exercise of warrants held in four portfolio companies to equity investments during the period, and the corresponding company’s public offering transaction.

X

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References

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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.

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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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