XML 32 R23.htm IDEA: XBRL DOCUMENT v3.23.1

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurements of Investments by Major Class According to Fair Value Hierarchy

The following tables present fair value measurements of investments by major class according to the fair value hierarchy:

		March 31, 2023
		Level 1				Level 2				Level 3				Total
First Lien Debt	$		—		$		—		$		481,547		$		481,547
Second Lien Debt			—				—				188,931				188,931
Subordinated Debt			—				—				102,386				102,386
Equity			262				—				121,841				122,103
Warrants			—				—				2,357				2,357
Money Market Funds			35,380				—				—				35,380
Total	$		35,642		$		—		$		897,062		$		932,704

		December 31, 2022
		Level 1				Level 2				Level 3				Total
First Lien Debt	$		—		$		—		$		456,105		$		456,105
Second Lien Debt			—				—				182,948				182,948
Subordinated Debt			—				—				101,456				101,456
Equity			310				—				117,431				117,741
Warrants			—				—				2,079				2,079
Money Market Funds			61,076				—				-				61,076
Total	$		61,386		$		—		$		860,019		$		921,405

Summary of Reconciliation of Beginning and Ending Balances for Fair Valued Investments

The following tables present a reconciliation of the beginning and ending balances for fair valued investments measured using significant unobservable inputs (Level 3) for the three months ended March 31, 2023 and 2022:

		First Lien				Second Lien				Subordinated
		Debt				Debt				Debt				Equity				Warrants				Total
Balance, December 31, 2021		$	354,922			$	158,815			$	36,064			$	165,762			$	3,204			$	718,767
Net realized gains (losses) on investments			—				—				—				6,868				—				6,868
Net change in unrealized appreciation (depreciation) on investments			823				1,277				(5	)			(7,590	)			195				(5,300	)
Purchase of investments			76,710				15,795				17,470				4,453				—				114,428
Proceeds from sales and repayments of investments			(4,027	)			(7,106	)			-				(12,052	)			—				(23,185	)
Interest and dividend income paid-in-kind			252				254				41				—				—				547
Proceeds from loan origination fees			(602	)			(4	)			(165	)			—				—				(771	)
Accretion of loan origination fees			238				34				8				—				—				280
Accretion of original issue discount			1				22				—				—				—				23
Balance, March 31, 2022		$	428,317			$	169,087			$	53,413			$	157,441			$	3,399			$	811,657
Balance, December 31, 2022		$	456,105			$	182,948			$	101,456			$	117,431			$	2,079			$	860,019
Net realized gains (losses) on investments			—				—				—				58				—				58
Net change in unrealized appreciation (depreciation) on investments			133				698				(1,565	)			1,165				278				709
Purchase of investments			40,980				5,000				2,182				3,359				—				51,521
Proceeds from sales and repayments of investments			(15,699	)			-				—				(172	)			—				(15,871	)
Interest and dividend income paid-in-kind			127				196				314				—				—				637
Proceeds from loan origination fees			(481	)			(31	)			(25	)			—				—				(537	)
Accretion of loan origination fees			366				25				22				—				—				413
Accretion of original issue discount			16				95				2				—				—				113
Balance, March 31, 2023		$	481,547			$	188,931			$	102,386			$	121,841			$	2,357			$	897,062

Summary of Significant Unobservable Inputs by Valuation Technique to Determine Fair Value

The following tables summarize the significant unobservable inputs by valuation technique used to determine the fair value of the Company’s Level 3 debt and equity investments 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.

		Fair Value at				Valuation		Unobservable		Range
		March 31, 2023				Techniques		Inputs		(weighted average)(1)
Debt investments:
First Lien Debt		$	452,536			Discounted cash flow		Weighted average cost of capital		9.5% - 20.6% (15.8%)
			11,000			Enterprise value		Asset Coverage		1.0x - 1.0x (1.0x)
			14,986			Enterprise value		EBITDA multiples		7.3x - 7.3x (7.3x)
			3,025			Enterprise value		Revenue multiples		4.3x - 4.3x (4.3x)
Second Lien Debt			186,808			Discounted cash flow		Weighted average cost of capital		11.5% - 25.0% (14.8%)
			—			Enterprise value		EBITDA multiples		5.0x - 5.0x (5.0x)
			2,123			Enterprise value		Asset Coverage		0.8x - 0.8x (0.8x)
Subordinated Debt			102,386			Discounted cash flow		Weighted average cost of capital		10.1% - 23.6% (12.7%)
Equity investments:
Equity			115,739			Enterprise value		EBITDA multiples		3.5x - 16.0x (8.3x)
			6,102			Enterprise value		Revenue multiples		0.9x - 7.5x (5.8x)
Warrants			2,225			Enterprise value		EBITDA multiples		6.0x - 6.0x (6.0x)
			132			Enterprise value		Revenue multiples		4.5x - 4.5x (4.5x)
(1) Unobservable inputs were weighted by the relative fair value of the instruments.

		Fair Value at				Valuation		Unobservable		Range
		December 31, 2022				Techniques		Inputs		(weighted average)(1)
Debt investments:
First Lien Debt		$	441,830			Discounted cash flow		Weighted average cost of capital		8.9% - 21.9% (15.5%)
			11,000			Enterprise value		Asset Coverage		1.1x - 1.1x (1.1x)
			3,275			Enterprise value		Revenue multiples		4.3x - 4.3x (4.3x)
Second Lien Debt			180,825			Discounted cash flow (2)		Weighted average cost of capital		11.7% - 25.0% (14.5%)
			-			Enterprise value		EBITDA multiples		5.0x - 5.0x (5.0x)
			2,123			Enterprise value		Asset Coverage		0.8x - 0.8x (0.8x)
Subordinated Debt			97,706			Discounted cash flow		Weighted average cost of capital		10.0% - 15.2% (12.5%)
			3,750			Enterprise value		EBITDA multiples		8.5x - 8.5x (8.5x)
Equity investments:
Equity			111,808			Enterprise value		EBITDA multiples		4.0x - 16.8x (8.1x)
			5,623			Enterprise value		Revenue multiples		0.9x - 7.8x (6.4x)
Warrants			1,949			Enterprise value		EBITDA multiples		6.0x - 6.0x (6.0x)
			130			Enterprise value		Revenue multiples		4.5x - 4.5x (4.5x)

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

(2) Includes $18.0 million of debt investments which were valued using a trading discount to par.

Summary of Carrying Value and Fair Value of Debt Obligations

The following tables summarize the carrying value and fair value of the Company’s debt obligations as of March 31, 2023 and December 31, 2022.

		March 31, 2023(5)								December 31, 2022(5)
		Carrying Value (1)				Fair Value				Carrying Value (1)				Fair Value
SBA debentures (2)		$	165,000			$	165,000			$	153,000			$	153,000
Credit Facility borrowings (3)			15,000				15,000				—				—
January 2026 Notes (4)			125,000				110,759				125,000				111,854
November 2026 Notes (4)			125,000				102,700				125,000				103,963
Total		$	430,000			$	393,459			$	403,000			$	368,817

(1)Carrying value represents the outstanding principal balance of the debt obligation.

(2)The fair value of the SBA debentures is estimated by discounting the remaining payments using current market rates for similar instruments and considering such factors as the legal maturity date and the ability of market participants to prepay the debentures, which are Level 3 inputs under ASC Topic 820.

(3)The fair value of borrowings under the Credit Facility, if valued under ASC Topic 820, are based on a market yield approach and current interest rates, which are Level 3 inputs to the market yield model.

(4)The fair value of the January 2026 Notes (as defined in Note 6) and the November 2026 Notes (as defined in Note 6) are estimated by discounting the remaining payments using current market rates for similar instruments and considering such factors as the legal maturity date, which are Level 3 inputs under ASC Topic 820.

(5)Totals exclude $16,634 and $16,880 of Secured Borrowings as of March 31, 2023 and December 31, 2022, respectively.

Summary of Inputs Used to Value Debt Obligations

The following table summarizes the inputs used to value the Company’s debt obligations if measured at fair value as of March 31, 2023 and December 31, 2022.

		Fair Value
		March 31,				December 31,
Valuation Inputs		2023				2022
Level 1		$	—			$	—
Level 2			—				—
Level 3			393,459				368,817
Total		$	393,459			$	368,817

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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-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

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets measured at fair value measured on a recurring or nonrecurring basis. Includes, but is 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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringAndNonrecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-URI https://asc.fasb.org/topic&trid=2155941

+ Details

Name:	us-gaap_FairValueMeasurementInputsDisclosureTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration