XML 34 R25.htm IDEA: XBRL DOCUMENT v3.23.3

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 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:

		September 30, 2023
		Level 1				Level 2				Level 3				Total
First Lien Debt	$		—		$		—		$		522,289		$		522,289
Second Lien Debt			—				—				154,765				154,765
Subordinated Debt			—				—				120,981				120,981
Equity			267				—				124,981				125,248
Warrants			—				—				3,576				3,576
Money Market Funds			78,578				—				—				78,578
Total	$		78,845		$		—		$		926,592		$		1,005,437

		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 nine months ended September 30, 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			—				—				—				65,220				—				65,220
Net change in unrealized appreciation (depreciation) on investments			(1,281	)			(13,048	)			1,213				(54,102	)			(556	)			(67,774	)
Purchase of investments			166,279				49,498				44,469				7,704				—				267,950
Proceeds from sales and repayments of investments			(31,574	)			(18,731	)			-				(77,950	)			—				(128,255	)
Interest and dividend income paid-in-kind			481				573				273				—				—				1,327
Proceeds from loan origination fees			(1,454	)			(115	)			(300	)			—				—				(1,869	)
Accretion of loan origination fees			943				111				40				—				—				1,094
Accretion of original issue discount			18				119				—				—				—				137
Balance, September 30, 2022		$	488,334			$	177,222			$	81,759			$	106,634			$	2,648			$	856,597
Balance, December 31, 2022		$	456,105			$	182,948			$	101,456			$	117,431			$	2,079			$	860,019
Net realized gains (losses) on investments			—				(9,333	)			—				13,600				—				4,267
Net change in unrealized appreciation (depreciation) on investments			(1,576	)			3,226				(1,314	)			(1,976	)			1,497				(143	)
Purchase of investments			135,283				25,000				29,041				14,725				—				204,049
Proceeds from sales and repayments of investments			(68,761	)			(48,607	)			(10,149	)			(18,799	)			—				(146,316	)
Interest and dividend income paid-in-kind			850				1,468				2,343				—				—				4,661
Proceeds from loan origination fees			(1,226	)			(331	)			(541	)			—				—				(2,098	)
Accretion of loan origination fees			1,563				106				140				—				—				1,809
Accretion of original issue discount			51				288				5				—				—				344
Balance, September 30, 2023		$	522,289			$	154,765			$	120,981			$	124,981			$	3,576			$	926,592

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 September 30, 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
		September 30, 2023				Techniques		Inputs		(weighted average)(1)
Debt investments:
First Lien Debt		$	507,098			Discounted cash flow		Weighted average cost of capital		9.4% - 22.7% (16.0%)
			12,416			Enterprise value		Asset Coverage		1.1x - 1.1x (1.1x)
			2,775			Enterprise value		EBITDA multiples		4.3x - 4.3x (4.3x)
Second Lien Debt			153,257			Discounted cash flow (2)		Weighted average cost of capital		12.0% - 30.0% (15.7%)
			1,508			Enterprise value		Asset Coverage		0.6x - 0.6x (0.6x)
Subordinated Debt			120,782			Discounted cash flow		Weighted average cost of capital		10.2% - 20.0% (13.3%)
			199			Enterprise value		EBITDA multiples		6.0x - 6.0x (6.0x)
Equity investments:
Equity			118,670			Enterprise value		EBITDA multiples		4.0x - 28.0x (9.2x)
			6,311			Enterprise value		Revenue multiples		0.8x - 7.5x (6.2x)
Warrants			3,576			Enterprise value		EBITDA multiples		6.0x - 6.0x (6.0x)
			-			Enterprise value		Revenue multiples		4.0x - 4.0x (4.0x)

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

(2) Includes $52.2 million of debt investments which were valued using a trading discount to par.

		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 September 30, 2023 and December 31, 2022.

		September 30, 2023(5)								December 31, 2022(5)
		Carrying Value (1)				Fair Value				Carrying Value (1)				Fair Value
SBA debentures (2)		$	188,000			$	188,000			$	153,000			$	153,000
Credit Facility borrowings (3)			—				—				—				—
January 2026 Notes (4)			125,000				112,417				125,000				111,854
November 2026 Notes (4)			125,000				104,619				125,000				103,963
Total		$	438,000			$	405,036			$	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 $16,319 and $16,880 of Secured Borrowings as of September 30, 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 September 30, 2023 and December 31, 2022.

		Fair Value
		September 30,				December 31,
Valuation Inputs		2023				2022
Level 1		$	—			$	—
Level 2			—				—
Level 3			405,036				368,817
Total		$	405,036			$	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
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

+ 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
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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

+ 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
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-3

+ 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
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482907/825-10-50-11

+ 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
-Topic 820
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//820/tableOfContent

+ Details

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