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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024 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		$	—			$	—			$	1,010,841			$	—			$	1,010,841
Equipment Financings			—				—				277,550				—				277,550
Warrants			—				1,363				38,567				—				39,930
Equity			13,607				—				17,325				4,609				35,541
Total Investments at fair value			13,607				1,363				1,344,283				4,609				1,363,862
Escrow Receivable (2)			—				—				2,441				—				2,441
Cash and cash equivalents			11,967				—				—				—				11,967
Total		$	25,574			$	1,363			$	1,346,724			$	4,609			$	1,378,270

(1)In accordance with ASC 820, the Company's equity investment in Senior Credit Corp 2022 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, 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		$	—			$	—			$	885,299			$	—			$	885,299
Equipment Financings			—				—				336,778				—				336,778
Warrants			—				2,326				31,201				—				33,527
Equity			795				—				15,150				3,631				19,576
Total Investments at fair value			795				2,326				1,268,428				3,631				1,275,180
Escrow Receivable (2)			—				—				2,441				—				2,441
Cash and cash equivalents			4,761				—				—				—				4,761
Total		$	5,556			$	2,326			$	1,270,869			$	3,631			$	1,282,382

(1)In accordance with ASC 820, the Company's equity investment in Senior Credit Corp 2022 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.

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, 2024.

		Fair Value as of
		March 31, 2024				Valuation Techniques/		Unobservable				Weighted
Investment Type		(in thousands)				Methodologies		Inputs (1)		Range		Average (2)
Debt investments		$	984,939			Discounted Cash Flows		Hypothetical Market Yield		11.4% - 34.6%			16.6		%
			227,760			Cost approximates fair value (6)		n/a		n/a		n/a
			66,298			Scenario Analysis		Probability Weighting of Alternative Outcomes		2.0% - 100%		n/a
Debt investment in the JV			9,394			Enterprise Value (7)		n/a		n/a		n/a
Equity investments			17,325			Market Approach		Revenue Multiple (3)		0.9x - 10.4x			3.2		x
								Volatility (5)		43.5% - 102.3%			55.8		%
								Risk-Free Interest Rate		4.3% - 5.0%			3.9		%
								Estimated Time to Exit (in years)		1.0 - 3.8			2.1
Warrants			38,567			Market Approach		Revenue Multiple (3)		0.3x - 10.4x			2.8		x
								Company Specific Adjustment (4)		n/a		n/a
								Volatility (5)		38.2% - 119.5%			64.2		%
								Risk-Free Interest Rate		4.0% - 5.2%			4.6		%
								Estimated Time to Exit (in years)		0.7- 4.6			2.2
Total Level 3 Investments		$	1,344,283

(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, 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)Includes debt investments originated within the past three months, for which cost approximates fair value, unless events have occurred during the period that would indicate a different valuation is warranted.

(7)Under the enterprise value technique, the significant unobservable inputs used in the fair value measurement of the Company's investment in debt or equity securities are: (i) EBITDA, (ii) revenue or (iii) asset multiple; as applicable. Increases or decreases in the valuation multiples in isolation may result in a higher or lower fair value measurement, respectively.

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

Fair Value as of

December 31, 2023

Valuation Techniques/

Unobservable

Weighted

Investment Type

(in thousands)

Methodologies

Inputs (1)

Range

Average (2)

Debt investments

$

858,870

Discounted Cash Flows

Hypothetical Market Yield

11.6% - 34.6%

17.3

%

253,250

Cost approximates fair value (6)

n/a

n/a

n/a

4,680

Transaction Precedent (7)

Transaction Price

n/a

n/a

97,573

Scenario Analysis

Probability Weighting of Alternative Outcomes

5.0% - 100.0%

n/a

Debt investment in the JV

7,704

Enterprise Value (8)

n/a

n/a

n/a

Equity investments

15,150

Market Approach

Revenue Multiple (3)

0.4x - 15.0x

3.7

x

Volatility (5)

44.2% - 131.3%

62.5

%

Risk-Free Interest Rate

3.0% - 4.8%

4.0

%

Estimated Time to Exit (in years)

1.0 - 4.0

1.7

Warrants

31,201

Market Approach

Revenue Multiple (3)

0.4x - 15.0x

2.7

x

Company Specific Adjustment (4)

n/a

n/a

Volatility (5)

33.3% - 131.3%

68.8

%

Risk-Free Interest Rate

2.9% - 4.8%

4.3

%

Estimated Time to Exit (in years)

1.0 - 4.8

2.2

Total Level 3 Investments

$

1,268,428

(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, 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)Includes debt investments originated within the past three months, for which cost approximates fair value, unless events have occurred during the period that would indicate a different valuation is warranted.

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

(8)Under the enterprise value technique, the significant unobservable inputs used in the fair value measurement of the Company's investments in debt or equity securities are: (i) EBITDA, (ii) revenue or (iii) asset multiple; as applicable. Increases or decreases in the valuation multiples in isolation may result in a higher or lower fair value measurement, respectively.

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, 2024 (in thousands):

		Type of Investment
		Debt				Equity				Warrants				Escrow Receivable				Total
Fair Value as of December 31, 2023		$	1,222,077			$	15,150			$	31,201			$	2,441			$	1,270,869
Purchases, net of deferred fees			235,447				1,100				3,428				—				239,975
Non-cash conversions (1)			—				7				(7	)			—				—
Transfers into/(out of) Level 3 (2)			(28,316	)			—				—				—				(28,316	)
Proceeds from sales and paydowns			(139,892	)			—				(314	)			—				(140,206	)
Accretion of OID, EOT, and PIK payments			7,172				—				—				—				7,172
Net realized gain/(loss)			4,277				—				—				—				4,277
Net change in unrealized appreciation/(depreciation)			(12,374	)			1,068				4,259				—				(7,047	)
Fair Value as of March 31, 2024		$	1,288,391			$	17,325			$	38,567			$	2,441			$	1,346,724
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of March 31, 2024		$	(10,290	)		$	1,068			$	4,259			$	—			$	(4,963	)

(1)The non-cash conversion includes an exercise of a warrant to an equity position during the period.

(2)Transfers out of Level 3 during the three months ended March 31, 2024 were related to the conversion of debt to equity in one publicly-traded portfolio company. During the three months ended March 31, 2024, there were no transfers into 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, 2023 (in thousands):

		Type of Investment
		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			613,853				4,676				8,670				—				627,199
Non-cash conversion (1)			(500	)			538				(17	)			—				21
Transfers into/(out of) of Level 3 (2)			—				—				(7	)			—				(7	)
Proceeds from sales and paydowns			(468,760	)			(461	)			(2,705	)			—				(471,926	)
Accretion of OID and EOT payments			32,953				—				—				—				32,953
Net realized gain/(loss)			(15,292	)			(13,546	)			767				—				(28,071	)
Change in unrealized appreciation/(depreciation)			10,994				10,698				(6,496	)			—				15,196
Fair Value as of December 31, 2023		$	1,222,077			$	15,150			$	31,201			$	2,441			$	1,270,869
Net change in unrealized appreciation/depreciation on Level 3 investments still held as of December 31, 2023		$	(8,420	)		$	(2,501	)		$	(6,987	)		$	—			$	(17,908	)

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

(2)During the year ended December 31, 2023, there were no transfers into Level 3.

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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2C
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2C

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
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-Name Accounting Standards Codification
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-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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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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- Definition

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
-Name Accounting Standards Codification
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-Paragraph 2
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