XML 41 R32.htm IDEA: XBRL DOCUMENT v3.23.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2023
Schedule of Investments [Abstract]  
Schedule of Composition of Investment Portfolio

The following table shows the composition of our investment portfolio as of June 30, 2023, with the fair value disaggregated into the three levels of the fair value hierarchy in accordance with ASC 820:

 

 

 

 

 

 

 

 

Fair Value Hierarchy

 

 

 

Cost

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

First Lien Secured Debt

 

$

2,134,376

 

 

$

2,116,366

 

 

$

—

 

 

$

—

 

 

$

2,116,366

 

Second Lien Secured Debt

 

 

82,234

 

 

 

68,439

 

 

 

—

 

 

 

—

 

 

 

68,439

 

Unsecured Debt

 

 

27

 

 

 

26

 

 

 

—

 

 

 

—

 

 

 

26

 

Structured Products and Other

 

 

47,050

 

 

 

40,437

 

 

 

—

 

 

 

—

 

 

 

40,437

 

Preferred Equity

 

 

40,580

 

 

 

36,385

 

 

 

—

 

 

 

—

 

 

 

36,385

 

Common Equity/Interests

 

 

312,820

 

 

 

147,297

 

 

 

1,360

 

 

 

—

 

 

 

145,937

 

Warrants

 

 

389

 

 

 

337

 

 

 

—

 

 

 

—

 

 

 

337

 

Total Investments

 

$

2,617,476

 

 

$

2,409,287

 

 

$

1,360

 

 

$

—

 

 

$

2,407,927

 

Money Market Fund

 

$

236

 

 

$

236

 

 

$

236

 

 

$

—

 

 

$

—

 

Total Cash Equivalents

 

$

236

 

 

$

236

 

 

$

236

 

 

$

—

 

 

$

—

 

Total Investments after Cash Equivalents

 

$

2,617,712

 

 

$

2,409,523

 

 

$

1,596

 

 

$

—

 

 

$

2,407,927

 

The following table shows the composition of our investment portfolio as of December 31, 2022, with the fair value disaggregated into the three levels of the fair value hierarchy in accordance with ASC 820:

 

 

 

 

 

 

 

 

Fair Value Hierarchy

 

 

 

Cost

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

First Lien Secured Debt

 

$

2,150,973

 

 

$

2,130,309

 

 

$

—

 

 

$

—

 

 

$

2,130,309

 

Second Lien Secured Debt

 

 

105,731

 

 

 

70,919

 

 

 

—

 

 

 

—

 

 

 

70,919

 

Unsecured Debt

 

 

50

 

 

 

50

 

 

 

—

 

 

 

—

 

 

 

50

 

Structured Products and Other

 

 

16,998

 

 

 

9,413

 

 

 

—

 

 

 

—

 

 

 

9,413

 

Preferred Equity

 

 

40,530

 

 

 

35,557

 

 

 

—

 

 

 

—

 

 

 

35,557

 

Common Equity/Interests

 

 

292,503

 

 

 

151,398

 

 

 

1,761

 

 

 

323

 

 

 

149,314

 

Warrants

 

 

389

 

 

 

474

 

 

 

—

 

 

 

—

 

 

 

474

 

Total Investments

 

$

2,607,174

 

 

$

2,398,120

 

 

$

1,761

 

 

$

323

 

 

$

2,396,036

 

 
Schedule of Changes in Fair Value of Investments

The following table shows changes in the fair value of our Level 3 investments during the three months ended June 30, 2023:

 

 

First Lien Secured Debt (2)

 

 

Second Lien Secured Debt (2)

 

 

Unsecured Debt

 

 

Structured Products and Other

 

 

Preferred Equity

 

 

Common Equity/Interests

 

 

Warrants

 

 

Total

 

Fair value as of March 31, 2023

 

$

2,114,795

 

 

$

69,357

 

 

$

31

 

 

$

10,902

 

 

$

36,611

 

 

$

151,361

 

 

$

461

 

 

$

2,383,518

 

Net realized gains (losses)

 

 

448

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

448

 

Net change in unrealized gains (losses)

 

 

2,381

 

 

 

(967

)

 

 

—

 

 

 

(412

)

 

 

(226

)

 

 

(2,553

)

 

 

(124

)

 

 

(1,901

)

Net amortization on investments

 

 

2,041

 

 

 

49

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

2,090

 

Purchases, including capitalized PIK (3)

 

 

208,572

 

 

 

—

 

 

 

1

 

 

 

29,947

 

 

 

—

 

 

 

152

 

 

 

—

 

 

 

238,672

 

Sales (3)

 

 

(211,871

)

 

 

—

 

 

 

(6

)

 

 

—

 

 

 

—

 

 

 

(3,615

)

 

 

—

 

 

 

(215,492

)

Transfers out of Level 3 (1)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Transfers into Level 3 (1)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

592

 

 

 

—

 

 

 

592

 

Fair value as of June 30, 2023

 

$

2,116,366

 

 

$

68,439

 

 

$

26

 

 

$

40,437

 

 

$

36,385

 

 

$

145,937

 

 

$

337

 

 

$

2,407,927

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2023

 

$

899

 

 

$

(965

)

 

$

—

 

 

$

872

 

 

$

(227

)

 

$

(2,283

)

 

$

(123

)

 

$

(1,827

)

The following table shows changes in the fair value of our Level 3 investments during the six months ended June 30, 2023:

 

 

First Lien Secured Debt (2)

 

 

Second Lien Secured Debt (2)

 

 

Unsecured Debt

 

 

Structured Products and Other

 

 

Preferred Equity

 

 

Common Equity/Interests

 

 

Warrants

 

 

Total

 

Fair value as of December 31, 2022

 

$

2,130,309

 

 

$

70,919

 

 

$

50

 

 

$

9,413

 

 

$

35,557

 

 

$

149,314

 

 

$

474

 

 

$

2,396,036

 

Net realized gains (losses)

 

 

2,980

 

 

 

(1,128

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

367

 

 

 

—

 

 

 

2,219

 

Net change in unrealized gains (losses)

 

 

2,653

 

 

 

21,016

 

 

 

(2

)

 

 

972

 

 

 

778

 

 

 

(24,287

)

 

 

(137

)

 

 

993

 

Net amortization on investments

 

 

4,463

 

 

 

160

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(36

)

 

 

—

 

 

 

4,587

 

Purchases, including capitalized PIK (3)

 

 

360,080

 

 

 

—

 

 

 

2

 

 

 

30,052

 

 

 

50

 

 

 

23,625

 

 

 

—

 

 

 

413,809

 

Sales (3)

 

 

(384,119

)

 

 

(22,528

)

 

 

(24

)

 

 

—

 

 

 

—

 

 

 

(3,638

)

 

 

—

 

 

 

(410,309

)

Transfers out of Level 3 (1)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Transfers into Level 3 (1)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

592

 

 

 

—

 

 

 

592

 

Fair value as of June 30, 2023

 

$

2,116,366

 

 

$

68,439

 

 

$

26

 

 

$

40,437

 

 

$

36,385

 

 

$

145,937

 

 

$

337

 

 

$

2,407,927

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2023

 

$

1,342

 

 

$

(1,200

)

 

$

(2

)

 

$

2,025

 

 

$

777

 

 

$

(1,799

)

 

$

(137

)

 

$

1,006

 

 

(1)
Transfers out (if any) of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained and transfers into (if any) Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained as assessed by the Investment Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown.
(2)
Includes unfunded commitments measured at fair value of $(4,137).
(3)
Includes reorganizations and restructuring of investments.

 

The following table shows changes in the fair value of our Level 3 investments during the three months ended June 30, 2022:

 

 

First Lien Secured Debt (2)

 

 

Second Lien Secured Debt (2)

 

 

Unsecured Debt

 

 

Structured Products and Other

 

 

Preferred Equity

 

 

Common Equity/Interests

 

 

Warrants

 

 

Total

 

Fair value as of March 31, 2022

 

$

2,259,506

 

 

$

97,844

 

 

$

—

 

 

$

10,038

 

 

$

30,162

 

 

$

124,294

 

 

$

99

 

 

$

2,521,943

 

Net realized gains (losses)

 

 

(162

)

 

 

(27

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

503

 

 

 

—

 

 

 

314

 

Net change in unrealized gains (losses)

 

 

(11,814

)

 

 

2,606

 

 

 

—

 

 

 

(1,081

)

 

 

761

 

 

 

(12,588

)

 

 

(1

)

 

 

(22,117

)

Net amortization on investments

 

 

4,006

 

 

 

57

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

4,063

 

Purchases, including capitalized PIK (3)

 

 

214,807

 

 

 

141

 

 

 

—

 

 

 

10

 

 

 

30

 

 

 

25,125

 

 

 

—

 

 

 

240,113

 

Sales (3)

 

 

(170,611

)

 

 

(4,994

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(34,796

)

 

 

—

 

 

 

(210,401

)

Transfers out of Level 3 (1)

 

 

(344

)

 

 

(1,717

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(352

)

 

 

—

 

 

 

(2,413

)

Transfers into Level 3 (1)

 

 

1,717

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,717

 

Fair value as of June 30, 2022

 

$

2,297,105

 

 

$

93,910

 

 

$

—

 

 

$

8,967

 

 

$

30,953

 

 

$

102,186

 

 

$

98

 

 

$

2,533,219

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2022

 

$

(11,507

)

 

$

1,949

 

 

$

—

 

 

$

(1,081

)

 

$

761

 

 

$

(12,474

)

 

$

(1

)

 

$

(22,353

)

 

The following table shows changes in the fair value of our Level 3 investments during the six months ended June 30, 2022:

 

 

First Lien Secured Debt (2)

 

 

Second Lien Secured Debt (2)

 

 

Unsecured Debt

 

 

Structured Products and Other

 

 

Preferred Equity

 

 

Common Equity/Interests

 

 

Warrants

 

 

Total

 

Fair value as of December 31, 2021

 

$

2,267,313

 

 

$

105,014

 

 

$

22,000

 

 

$

10,821

 

 

$

28,957

 

 

$

158,515

 

 

$

372

 

 

$

2,592,992

 

Net realized gains (losses)

 

 

(577

)

 

 

425

 

 

 

25

 

 

 

—

 

 

 

—

 

 

 

1,199

 

 

 

—

 

 

 

1,072

 

Net change in unrealized gains (losses)

 

 

(11,016

)

 

 

5,293

 

 

 

—

 

 

 

(1,874

)

 

 

1,966

 

 

 

(41,131

)

 

 

(274

)

 

 

(47,036

)

Net amortization on investments

 

 

10,323

 

 

 

171

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

10,494

 

Purchases, including capitalized PIK (3)

 

 

435,249

 

 

 

141

 

 

 

—

 

 

 

20

 

 

 

30

 

 

 

25,339

 

 

 

—

 

 

 

460,779

 

Sales (3)

 

 

(405,560

)

 

 

(15,417

)

 

 

(22,025

)

 

 

—

 

 

 

—

 

 

 

(41,774

)

 

 

—

 

 

 

(484,776

)

Transfers out of Level 3 (1)

 

 

(344

)

 

 

(1,717

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(352

)

 

 

—

 

 

 

(2,413

)

Transfers into Level 3 (1)

 

 

1,717

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

390

 

 

 

—

 

 

 

2,107

 

Fair value as of June 30, 2022

 

$

2,297,105

 

 

$

93,910

 

 

$

—

 

 

$

8,967

 

 

$

30,953

 

 

$

102,186

 

 

$

98

 

 

$

2,533,219

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2022

 

$

(10,110

)

 

$

5,093

 

 

$

—

 

 

$

(1,875

)

 

$

1,967

 

 

$

(40,813

)

 

$

(274

)

 

$

(46,012

)

 

(1)
Transfers out (if any) of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained and transfers into (if any) Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained as assessed by the Investment Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown.
(2)
Includes unfunded commitments measured at fair value of $(4,800).
(3)
Includes reorganizations and restructuring of investments.
Summary of Unobservable Inputs Used in Fair Value Measurements of Level 3 Investments

The following tables summarize the significant unobservable inputs the Company used to value its investments categorized within Level 3 as of June 30, 2023 and December 31, 2022. In addition to the techniques and inputs noted in the tables below, according to our valuation policy we may also use other valuation techniques and methodologies when determining our fair value measurements. The below tables are not intended to be all-inclusive, but rather provide information on the significant unobservable inputs as they relate to the Company’s determination of fair values.

The unobservable inputs used in the fair value measurement of our Level 3 investments as of June 30, 2023 were as follows:

 

 

 

 

 

Quantitative Information about Level 3 Fair Value Measurements

Asset Category

 

 

Fair Value

 

Valuation Techniques/Methodologies

Unobservable Input

Range

Weighted Average (1)

First Lien Secured Debt

 

$

 

56,976

 

Recent Transaction

Recent Transaction

N/A

N/A

N/A

 

 

 

 

109,320

 

Recovery Analysis

Recoverable Amount

N/A

N/A

N/A

 

 

 

 

1,949,655

 

Yield Analysis

Discount Rate

6.6%

19.5%

12.3%

 

 

 

 

415

 

Estimated Proceeds

Estimated Proceeds

N/A

N/A

N/A

Second Lien Secured Debt

 

 

 

4,811

 

Market Comparable Technique

Comparable Multiple

9.0x

9.0x

9.0x

 

 

 

 

236

 

Recovery Analysis

Recoverable Amount

N/A

N/A

N/A

 

 

 

 

63,392

 

Yield Analysis

Discount Rate

13.9%

20.4%

16.1%

Structured Products and Other

 

 

 

40,437

 

Yield Analysis

Discount Rate

13.0%

13.8%

13.5%

Preferred Equity

 

 

 

34,003

 

Market Comparable Technique

Comparable Multiple

2.3x

12.5x

10.2x

 

 

 

 

1,902

 

Option Pricing Model

Expected Volatility

110.0%

110.0%

110.0%

 

 

 

 

250

 

Recent Transaction

Recent Transaction

N/A

N/A

N/A

 

 

 

 

79

 

Residual Value

Residual Value

N/A

N/A

N/A

 

 

 

 

152

 

Yield Analysis

Discount Rate

13.5%

13.5%

13.5%

Common Equity/Interests

 

 

 

11,947

 

Market Comparable Technique

Comparable Multiple

3.8x

31.3x

12.4x

 

 

 

 

70

 

Option Pricing Model

Expected Volatility

30.0%

110.0%

30.0%

 

 

 

 

142

 

Recent Transaction

Recent Transaction

N/A

N/A

N/A

 

 

 

 

300

 

Recovery Analysis

Recoverable Amount

N/A

N/A

N/A

 

 

 

 

112,250

 

Yield Analysis

Discount Rate

13.5%

14.2%

14.2%

 

 

 

 

21,227

 

Estimated Proceeds

Estimated Proceeds

N/A

N/A

N/A

Warrants

 

 

 

337

 

Option Pricing Model

Expected Volatility

50.0%

50.0%

50.0%

Unsecured Debt

 

 

 

26

 

Yield Analysis

Discount Rate

12.2%

12.2%

12.2%

Total Level 3 Investments

 

$

 

2,407,927

 

 

 

 

 

 

_________________

(1)
The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the commodity price unobservable input, the weighted average price is an undiscounted price based upon the estimated production level from the underlying reserves.

 

 

The unobservable inputs used in the fair value measurement of our Level 3 investments as of December 31, 2022 were as follows:

 

 

 

 

 

Quantitative Information about Level 3 Fair Value Measurements

 

Asset Category

 

 

Fair Value

 

Valuation Techniques/Methodologies

Unobservable Input

Range

 

Weighted Average (1)

 

First Lien Secured Debt

 

$

 

150,000

 

Discounted Cash Flow

Discount Rate

11.4%

 

12.0%

 

12.0%

 

 

 

 

 

 

Residual Value

Residual Value

N/A

 

N/A

 

N/A

 

 

 

 

 

69,333

 

Recent Transaction

Recent Transaction

N/A

 

N/A

 

N/A

 

 

 

 

 

2,539

 

Recovery Analysis

Recoverable Amount

N/A

 

N/A

 

N/A

 

 

 

 

 

1,908,437

 

Yield Analysis

Discount Rate

7.1%

 

52.8%

 

12.0%

 

Second Lien Secured Debt

 

 

 

6,429

 

Market Comparable Technique

Comparable Multiple

11.0x

 

11.0x

 

11.0x

 

 

 

 

 

1,402

 

Recovery Analysis

Recoverable Amount

N/A

 

N/A

 

N/A

 

 

 

 

 

62,849

 

Yield Analysis

Discount Rate

13.3%

 

23.1%

 

15.50%

 

 

 

 

 

239

 

Sale Proceeds

Sale Proceeds

N/A

 

N/A

 

N/A

 

Structured Products and Other

 

 

 

9,413

 

Yield Analysis

Discount Rate

12.3%

 

12.3%

 

12.30%

 

Preferred Equity

 

 

 

33,183

 

Market Comparable Technique

Comparable Multiple

 

2.1

x

 

19.3

x

 

13.4

x

 

 

 

 

1,961

 

Option Pricing Model

Expected Volatility

90.0%

 

90.0%

 

90.0%

 

 

 

 

 

250

 

Recent Transaction

Recent Transaction

N/A

 

N/A

 

N/A

 

 

 

 

 

11

 

Recovery Analysis

Recoverable Amount

N/A

 

N/A

 

N/A

 

 

 

 

 

78

 

Residual Value

Residual Value

N/A

 

N/A

 

N/A

 

 

 

 

 

74

 

Yield Analysis

Discount Rate

12.5%

 

12.5%

 

12.5%

 

Common Equity/Interests

 

 

 

111,446

 

Discounted Cash Flow

Discount Rate

11.4%

 

11.4%

 

11.4%

 

 

 

 

 

 

Residual Value

Residual Value

N/A

 

N/A

 

N/A

 

 

 

 

 

11,996

 

Market Comparable Technique

Comparable Multiple

 

6.5

x

 

36.5

x

 

13.3

x

 

 

 

 

190

 

Option Pricing Model

Expected Volatility

35.0%

 

90.0%

 

35.0%

 

 

 

 

 

4,256

 

Recent Transaction

Recent Transaction

N/A

 

N/A

 

N/A

 

 

 

 

 

—

 

Recovery Analysis

Recoverable Amount

N/A

 

N/A

 

N/A

 

 

 

 

 

449

 

Yield Analysis

Discount Rate

12.5%

 

12.5%

 

12.5%

 

 

 

 

 

20,977

 

Sale Proceeds

Sale Proceeds

N/A

 

N/A

 

N/A

 

Warrants

 

 

 

474

 

Option Pricing Model

Expected Volatility

50.0%

 

50.0%

 

50.0%

 

Unsecured Debt

 

 

 

50

 

Recent Transaction

Recent Transaction

N/A

 

N/A

 

N/A

 

Total Level 3 Investments

 

$

 

2,396,036

 

 

 

 

 

 

 

 

 

____________________

(1)
The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the commodity price unobservable input, the weighted average price is an undiscounted price based upon the estimated production level from the underlying reserves.
Summary of Change in Capitalized PIK balance

The following table shows the change in capitalized PIK balance for the three and six months ended June 30, 2023 and 2022:

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

 

 

2023

 

 

2022

 

 

 

2023

 

 

 

2022

 

PIK balance at beginning of period

 

$

 

22,325

 

 

$

 

39,228

 

 

$

 

21,534

 

 

$

 

38,625

 

PIK income capitalized

 

 

 

811

 

 

 

 

731

 

 

 

 

1,602

 

 

 

 

1,334

 

Adjustments due to investments exited or written off

 

 

 

(19

)

 

 

 

(124

)

 

 

 

(19

)

 

 

 

(124

)

PIK income received in cash

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

 

 

 

—

 

PIK balance at end of period

 

$

 

23,117

 

 

$

 

39,835

 

 

$

 

23,117

 

 

$

 

39,835