XML 37 R27.htm IDEA: XBRL DOCUMENT v3.24.1.u1

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurements of Investments and Foreign Currency Forward Contracts, by Major Class According to the Fair Value Hierarchy

The following tables present fair value measurements of investments and foreign currency forward contracts, by major class according to the fair value hierarchy:

			Fair Value Measurements
March 31, 2024			Level 1						Level 2						Level 3						Total
Investments:
Senior secured loans			$	—					$	—					$	404,051					$	404,051
Unitranche secured loans			—						—						6,091						6,091
Junior secured loans			—						—						27,427						27,427
Equity securities			1,020						—						29,310						30,330
Investments measured at NAV (1) (2)			—						—						—						32,990
Total investments			$	1,020					$	—					$	466,879					$	500,889

			Fair Value Measurements
December 31, 2023			Level 1						Level 2						Level 3						Total
Investments:
Senior secured loans			$	—					$	—					$	388,882					$	388,882
Unitranche secured loans			—						—						13,877						13,877
Junior secured loans			—						—						26,594						26,594
Equity securities			257						—						25,654						25,911
Investments measured at NAV (1) (2)			—						—						—						33,122
Total investments			$	257					$	—					$	455,007					$	488,386

________________________________________________________

(1)Certain investments that are measured at fair value using the NAV 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 on the consolidated statements of assets and liabilities.

(2)Represents the Company’s investment in LLC equity interests in SLF. The fair value of this investment has been determined using the NAV of the Company’s ownership interest in SLF’s members’ capital.

Schedule of Reconciliation of Beginning and Ending Balances for Investments at Fair Value that Use Level 3 Inputs

The following tables provide a reconciliation of the beginning and ending balances for investments at fair value that use Level 3 inputs for the three months ended March 31, 2024 and 2023:

			Investments
			Senior Secured Loans						Unitranche Secured Loans						Junior Secured Loans						Equity Securities						Total Level 3 Investments
Balance as of December 31, 2023			$	388,882					$	13,877					$	26,594					$	25,654					$	455,007
Net realized gain (loss) on investments			—						—						—						4						4
Net change in unrealized gain (loss) on investments			(1,657)						(101)						1,413						(2,073)						(2,418)
Purchases of investments and other adjustments to cost (1)			23,576						100						1,087						1,945						26,708
Proceeds from principal payments and sales of investments (2)			(4,038)						(7,785)						(260)						(4)						(12,087)
Reclassifications (3)			(2,712)						—						(1,407)						4,119						—
Transfers in (out) of Level 3 (4)			—						—						—						(335)						(335)
Balance as of March 31, 2024			$	404,051					$	6,091					$	27,427					$	29,310					$	466,879

			Investments
			Senior Secured Loans						Unitranche Secured Loans						Junior Secured Loans						Equity Securities						Total Level 3 Investments
Balance as of December 31, 2022			$	434,023					$	20,633					$	22,193					$	28,388					$	505,237
Net realized gain (loss) on investments			—						—						—						706						706
Net change in unrealized gain (loss) on investments			(4,269)						3						143						(324)						(4,447)
Purchases of investments and other adjustments to cost (1)			23,577						45						569						755						24,946
Proceeds from principal payments and sales of investments (2)			(21,451)						(7,320)						(927)						(706)						(30,404)
Balance as of March 31, 2023			$	431,880					$	13,361					$	21,978					$	28,819					$	496,038

________________________________________________________

(1)Includes purchases of new investments, effects of refinancing and restructurings, premium and discount accretion and amortization and PIK interest.

(2)Represents net proceeds from investments sold and principal paydowns received.

(3)Represents non-cash reclassification of investment type due to a restructuring.

(4)Represents non-cash transfers between fair value categories.

Schedule of Valuation Techniques and Significant Unobservable Inputs Used in Recurring Level 3 Fair Value Measurements of Assets

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of March 31, 2024 were as follows:

Fair Value

Valuation Technique

Unobservable Input

Weighted Average Mean

Range

Minimum

Maximum

Assets:

Senior secured loans

$

254,006

Discounted cash flow

EBITDA multiples

10.4x

4.8x

22.4x

Market yields

13.1%

8.9%

24.5%

Senior secured loans

112,692

Discounted cash flow

Revenue multiples

5.6x

1.0x

12.0x

Market yields

11.7%

9.2%

17.3%

Senior secured loans

17,784

Enterprise value

Book value multiples

1.3x

1.3x

1.3x

Senior secured loans

8,813

Enterprise value

Revenue multiples

1.9x

0.5x

2.4x

Senior secured loans

8,138

Liquidation

Probability weighting of alternative outcomes

89.1%

32.4%

92.3%

Senior secured loans

1,991

Enterprise value

EBITDA multiples

9.5x

9.5x

9.5x

Unitranche secured loans

3,841

Discounted cash flow

Revenue multiples

9.0x

6.0x

12.8x

Market yields

13.1%

12.1%

13.8%

Unitranche secured loans

2,250

Discounted cash flow

Market yields

11.9%

11.9%

11.9%

Junior secured loans

21,514

Discounted cash flow

Market yields

13.1%

12.7%

15.4%

Junior secured loans

2,391

Discounted cash flow

Revenue multiples

0.7x

0.2x

1.0x

Market yields

17.6%

16.0%

22.5%

Junior secured loans

2,246

Liquidation

Probability weighting of alternative outcomes

269.8%

0.0%

269.8%

Junior secured loans

331

Enterprise value

Revenue multiples

1.7x

1.7x

1.7x

Equity securities

20,905

Enterprise value

EBITDA multiples

8.7x

5.4x

20.0x

Equity securities

4,895

Enterprise value

Revenue multiples

3.2x

1.7x

12.0x

Equity securities

2,248

Option pricing model

Volatility

57.9%

25.0%

72.5%

Equity securities

842

Discounted cash flow

Market yields

16.3%

16.3%

16.3%

Total Level 3 Assets

$

464,887

(1)

________________________________________________________

(1)Excludes investments of $1,992 at fair value where valuation (unadjusted) is obtained from a third-party pricing service or broker quote for which such disclosure is not required.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of December 31, 2023 were as follows:

Fair Value

Valuation Technique

Unobservable Input

Weighted Average Mean

Range

Minimum

Maximum

Assets:

Senior secured loans

$

238,481

Discounted cash flow

EBITDA multiples

10.5x

5.0x

22.2x

Market yields

13.2%

9.0%

24.5%

Senior secured loans

112,213

Discounted cash flow

Revenue multiples

5.6x

0.9x

11.8x

Market yields

11.9%

9.0%

16.6%

Senior secured loans

17,839

Enterprise value

Book value multiples

1.3x

1.3x

1.3x

Senior secured loans

8,352

Liquidation

Probability weighting of alternative outcomes

91.7%

32.4%

95.0%

Senior secured loans

7,054

Enterprise value

Revenue multiples

2.5x

1.6x

2.5x

Senior secured loans

4,322

Enterprise value

EBITDA multiples

7.3x

5.3x

8.3x

Unitranche secured loans

10,126

Discounted cash flow

Market yields

11.9%

11.9%

11.9%

Unitranche secured loans

3,751

Discounted cash flow

Revenue multiples

9.0x

6.0x

12.8x

Market yields

12.4%

11.9%

12.7%

Junior secured loans

20,661

Discounted cash flow

Market yields

13.1%

12.4%

15.6%

Junior secured loans

2,340

Enterprise value

Revenue multiples

1.6x

1.6x

1.6x

Junior secured loans

2,174

Liquidation

Probability weighting of alternative outcomes

260.8%

—%

260.8%

Junior secured loans

1,419

Discounted cash flow

Revenue multiples

0.4x

0.2x

0.9x

Market yields

14.2%

13.3%

16.2%

Equity securities

18,994

Enterprise value

EBITDA multiples

8.8x

4.9x

20.5x

Equity securities

2,701

Enterprise value

Revenue multiples

3.7x

0.9x

11.8x

Equity securities

2,160

Option pricing model

Volatility

59.0%

35.0%

70.0%

Equity securities

1,380

Discounted cash flow

EBITDA multiples

6.0x

6.0x

6.0x

Market yields

19.0%

16.3%

27.5%

Total Level 3 Assets

$

453,967

(1)

________________________________________________________

(1)Excludes investments of $1,040 at fair value where valuation (unadjusted) is obtained from a third-party pricing service or broker quote for which such disclosure is not required.

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 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

- 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

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

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-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_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration