Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2023 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule of fair value measurements of investments by major class, cash equivalents and derivatives |
The following table presents fair value measurements of investments by major class, cash equivalents and derivatives as of June 30, 2023, according to the fair value hierarchy:
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Fair Value Measurements |
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Level 1 |
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Level 2 |
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Level 3 |
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Measured at Net Asset Value (2) |
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Total |
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Investments: |
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
First Lien Senior Secured Loan |
|
$ |
— |
|
|
$ |
|
57,826 |
|
|
$ |
|
1,474,596 |
|
|
$ |
— |
|
|
$ |
|
1,532,422 |
|
Second Lien Senior Secured Loan |
|
|
— |
|
|
|
— |
|
|
|
|
85,797 |
|
|
|
— |
|
|
|
|
85,797 |
|
Subordinated Debt |
|
|
— |
|
|
|
— |
|
|
|
|
44,446 |
|
|
|
— |
|
|
|
|
44,446 |
|
Structured Products |
|
|
— |
|
|
|
— |
|
|
|
|
23,159 |
|
|
|
— |
|
|
|
|
23,159 |
|
Preferred Equity |
|
|
— |
|
|
|
— |
|
|
|
|
99,650 |
|
|
|
— |
|
|
|
|
99,650 |
|
Equity Interest |
|
|
— |
|
|
|
— |
|
|
|
|
229,737 |
|
|
|
— |
|
|
|
|
229,737 |
|
Warrants |
|
|
— |
|
|
|
— |
|
|
|
|
457 |
|
|
|
— |
|
|
|
|
457 |
|
Subordinated Note Investment Vehicles (1) |
|
|
— |
|
|
|
— |
|
|
|
|
302,974 |
|
|
|
— |
|
|
|
|
302,974 |
|
Preferred Equity Interest Investment Vehicles (1) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
(1,080 |
) |
|
|
|
(1,080 |
) |
Equity Interest Investment Vehicles (1) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
67,710 |
|
|
|
|
67,710 |
|
Total Investments |
|
$ |
— |
|
|
$ |
|
57,826 |
|
|
$ |
|
2,260,816 |
|
|
$ |
|
66,630 |
|
|
$ |
|
2,385,272 |
|
Cash equivalents |
|
$ |
|
106,722 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
|
106,722 |
|
Forward currency exchange contracts (asset) |
|
$ |
— |
|
|
$ |
|
55 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
|
55 |
|
Forward currency exchange contracts (liability) |
|
$ |
— |
|
|
$ |
|
(1,308 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
|
(1,308 |
) |
(1)Includes debt and equity investment in ISLP and SLP. (2)In accordance with ASC Subtopic 820-10, Fair Value Measurements and Disclosures, or ASC 820-10, our preferred equity and equity investments in ISLP and SLP are measured using the net asset value per share (or its equivalent) as a practical expedient for fair value, and have not been classified in the fair value hierarchy. The following table presents fair value measurements of investments by major class, cash equivalents and derivatives as of December 31, 2022, according to the fair value hierarchy:
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Fair Value Measurements |
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Measured at |
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Net Asset |
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Level 1 |
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Level 2 |
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Level 3 |
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Value (2) |
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Total |
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Investments: |
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First Lien Senior Secured Loans |
|
$ |
|
— |
|
|
$ |
|
76,619 |
|
|
$ |
|
1,554,258 |
|
|
$ |
|
— |
|
|
$ |
|
1,630,877 |
|
Second Lien Senior Secured Loans |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
93,950 |
|
|
|
|
— |
|
|
|
|
93,950 |
|
Subordinated Debt |
|
|
|
— |
|
|
|
|
— |
|
|
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43,922 |
|
|
|
|
— |
|
|
|
|
43,922 |
|
Structured Products |
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|
|
— |
|
|
|
|
— |
|
|
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22,763 |
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|
|
|
— |
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|
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|
22,763 |
|
Preferred Equity |
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|
|
— |
|
|
|
|
— |
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|
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80,945 |
|
|
|
|
— |
|
|
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|
80,945 |
|
Equity Interests |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
210,689 |
|
|
|
|
— |
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|
|
|
210,689 |
|
Warrants |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
524 |
|
|
|
|
|
|
|
|
524 |
|
Subordinated Notes in Investment Vehicles (1) |
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|
|
— |
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|
|
|
— |
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|
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237,974 |
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|
|
|
— |
|
|
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|
237,974 |
|
Preferred Equity Interests in Investment Vehicles (1) |
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— |
|
|
|
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— |
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|
|
|
— |
|
|
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|
(644 |
) |
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|
(644 |
) |
Equity Interests in Investment Vehicles (1) |
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|
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— |
|
|
|
|
— |
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|
|
|
— |
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|
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65,977 |
|
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|
65,977 |
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Total Investments |
|
$ |
|
— |
|
|
$ |
|
76,619 |
|
|
$ |
|
2,245,025 |
|
|
$ |
|
65,333 |
|
|
$ |
|
2,386,977 |
|
Cash equivalents |
|
$ |
|
63,394 |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
63,394 |
|
Forward currency exchange contracts (asset) |
|
$ |
|
— |
|
|
$ |
|
62 |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
62 |
|
(1)Includes debt and equity investments in ISLP and SLP. (2)In accordance with ASC Subtopic 820‑10, Fair Value Measurements and Disclosures, or ASC 820‑10, our equity investment in ISLP is measured using the net asset value per share (or its equivalent) as a practical expedient for fair value, and have not been classified in the fair value hierarchy.
|
| Schedule of reconciliation of beginning and ending balances for investments that use Level 3 inputs |
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the six months ended June 30, 2023:
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First Lien |
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Second Lien |
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Subordinated |
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Senior |
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Senior |
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Notes in |
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Secured |
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Equity |
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Secured |
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Investment |
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Structured |
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Preferred |
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Subordinated |
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Total |
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Loans |
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Interests |
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|
Loans |
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|
Vehicles (2) |
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Products |
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|
Equity |
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|
Debt |
|
|
Warrants |
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|
Investments |
|
Balance as of January 1, 2023 |
|
$ |
|
1,554,258 |
|
|
$ |
|
210,689 |
|
|
$ |
|
93,950 |
|
|
$ |
|
237,974 |
|
|
$ |
|
22,763 |
|
|
$ |
|
80,945 |
|
|
$ |
|
43,922 |
|
|
$ |
|
524 |
|
|
$ |
|
2,245,025 |
|
Purchases of investments and other adjustments to cost (1) |
|
|
|
415,793 |
|
|
|
|
19,322 |
|
|
|
|
- |
|
|
|
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65,000 |
|
|
|
|
- |
|
|
|
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5,391 |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
505,506 |
|
Paid-in-kind interest income |
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9,896 |
|
|
|
|
- |
|
|
|
|
135 |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
703 |
|
|
|
|
- |
|
|
|
|
10,734 |
|
Net accretion of discounts (amortization of premiums) |
|
|
|
2,549 |
|
|
|
|
- |
|
|
|
|
213 |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
72 |
|
|
|
|
- |
|
|
|
|
2,834 |
|
Principal repayments and sales of investments (1) |
|
|
|
(485,969 |
) |
|
|
|
- |
|
|
|
|
(8,430 |
) |
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
(494,399 |
) |
Net change in unrealized appreciation on investments |
|
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(13,026 |
) |
|
|
|
(274 |
) |
|
|
|
731 |
|
|
|
|
- |
|
|
|
|
396 |
|
|
|
|
13,314 |
|
|
|
|
(251 |
) |
|
|
|
(67 |
) |
|
|
|
823 |
|
Net realized gains (losses) on investments |
|
|
|
(8,905 |
) |
|
|
|
- |
|
|
|
|
(802 |
) |
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
- |
|
|
|
|
(9,707 |
) |
Balance as of June 30, 2023 |
|
$ |
|
1,474,596 |
|
|
$ |
|
229,737 |
|
|
$ |
|
85,797 |
|
|
$ |
|
302,974 |
|
|
$ |
|
23,159 |
|
|
$ |
|
99,650 |
|
|
$ |
|
44,446 |
|
|
$ |
|
457 |
|
|
$ |
|
2,260,816 |
|
Change in unrealized appreciation attributable to investments still held at June 30, 2023 |
|
$ |
|
(21,070 |
) |
|
$ |
|
(274 |
) |
|
$ |
|
731 |
|
|
$ |
|
- |
|
|
$ |
|
396 |
|
|
$ |
|
13,314 |
|
|
$ |
|
(251 |
) |
|
$ |
|
(67 |
) |
|
$ |
|
(7,221 |
) |
(1)Includes reorganizations and restructuring of investments and the impact of the SLP transaction. (2)Represents debt investment in ISLP and SLP. The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the six months ended June 30, 2022:
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First Lien |
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|
|
|
|
Second Lien |
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Subordinated |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior |
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|
|
|
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|
Senior |
|
|
Notes in |
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Secured |
|
|
Equity |
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|
Secured |
|
|
Investment |
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Preferred |
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|
Subordinated |
|
|
|
|
|
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Total |
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|
|
Loans |
|
|
Interests |
|
|
Loans |
|
|
Vehicles (2) |
|
|
Equity |
|
|
Debt |
|
|
Warrants |
|
|
Investments |
|
Balance as of January 1, 2022 |
|
$ |
|
1,674,890 |
|
|
$ |
|
151,844 |
|
|
$ |
|
107,066 |
|
|
$ |
|
125,437 |
|
|
$ |
|
53,991 |
|
|
$ |
|
20,027 |
|
|
$ |
|
126 |
|
|
$ |
|
2,133,381 |
|
Purchases of investments and other adjustments to cost (1) |
|
|
|
658,706 |
|
|
|
|
53,929 |
|
|
|
|
15,477 |
|
|
|
|
52,700 |
|
|
|
|
8,537 |
|
|
|
|
18,573 |
|
|
|
|
478 |
|
|
|
|
808,400 |
|
Paid-in-kind interest |
|
|
|
6,002 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
253 |
|
|
|
|
— |
|
|
|
|
6,255 |
|
Net accretion of discounts (amortization of premiums) |
|
|
|
2,127 |
|
|
|
|
— |
|
|
|
|
221 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
53 |
|
|
|
|
— |
|
|
|
|
2,401 |
|
Principal repayments and sales of investments (1) |
|
|
|
(753,527 |
) |
|
|
|
(136 |
) |
|
|
|
(37,844 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(791,507 |
) |
Net change in unrealized appreciation on investments |
|
|
|
(24,109 |
) |
|
|
|
10,450 |
|
|
|
|
(953 |
) |
|
|
|
— |
|
|
|
|
13,422 |
|
|
|
|
374 |
|
|
|
|
(98 |
) |
|
|
|
(914 |
) |
Net realized gains (losses) on investments |
|
|
|
(984 |
) |
|
|
|
(67 |
) |
|
|
|
(122 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(1,173 |
) |
Transfers out of Level 3 |
|
|
|
(47,672 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(47,672 |
) |
Transfers to Level 3 |
|
|
|
15,288 |
|
|
|
|
— |
|
|
|
|
11,495 |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
26,783 |
|
Balance as of June 30, 2022 |
|
$ |
|
1,530,721 |
|
|
$ |
|
216,020 |
|
|
$ |
|
95,340 |
|
|
$ |
|
178,137 |
|
|
$ |
|
75,950 |
|
|
$ |
|
39,280 |
|
|
$ |
|
506 |
|
|
$ |
|
2,135,954 |
|
Change in unrealized appreciation attributable to investments still held at June 30, 2022 |
|
$ |
|
(22,995 |
) |
|
$ |
|
10,450 |
|
|
$ |
|
(1,128 |
) |
|
$ |
|
— |
|
|
$ |
|
13,422 |
|
|
$ |
|
374 |
|
|
$ |
|
(98 |
) |
|
$ |
|
25 |
|
(1)Includes reorganizations and restructuring of investments and the impact of the SLP transaction. (2)Represents debt investment in ISLP and SLP.
|
| Schedule of valuation techniques and significant unobservable inputs |
The valuation techniques and significant unobservable inputs used in Level 3 fair value measurements of assets as of June 30, 2023 were as follows:
|
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|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
As of June 30, 2023 |
|
|
|
|
|
|
|
|
Significant |
|
Range of Significant |
|
|
|
Fair Value of |
|
|
|
Unobservable |
|
Unobservable Inputs |
|
|
|
Level 3 Assets (1) |
|
Valuation Technique |
|
Inputs |
|
(Weighted Average (2)) |
|
First Lien Senior Secured Loans |
|
$ |
1,196,348 |
|
Discounted cash flows |
|
Comparative Yields |
|
5.9 |
% |
— |
26.8 |
% |
(12.0%) |
|
First Lien Senior Secured Loans |
|
|
112,938 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
0.5 |
x |
— |
10.1 |
x |
(8.3x) |
|
First Lien Senior Secured Loans |
|
|
74,181 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
|
|
|
8.2 |
x |
|
|
|
|
|
|
|
|
|
Probably weighting of alternative outcomes |
|
25.0 |
% |
— |
75.0 |
% |
|
|
First Lien Senior Secured Loans |
|
|
8,761 |
|
Discounted cash flows |
|
Discount Rate |
|
|
|
|
15.2 |
% |
|
|
First Lien Senior Secured Loans |
|
|
11,553 |
|
Collateral coverage |
|
Recovery Rate |
|
|
|
|
100.0 |
% |
|
|
Second Lien Senior Secured Loans |
|
|
85,797 |
|
Discounted cash flows |
|
Comparative Yields |
|
13.8 |
% |
— |
23.9 |
% |
(15.7%) |
|
Subordinated Notes in Investment Vehicles |
|
|
302,974 |
|
Collateral coverage |
|
Recovery Rate |
|
|
|
|
100.0 |
% |
|
|
Subordinated Debt |
|
|
44,446 |
|
Discounted cash flows |
|
Comparative Yields |
|
12.1 |
% |
— |
13.3 |
% |
(12.2%) |
|
Structured Products |
|
|
23,159 |
|
Discounted cash flows |
|
Comparative Yields |
|
|
|
|
14.6 |
% |
|
|
Equity Interests |
|
|
135,738 |
|
Discounted cash flows |
|
Discount Rate |
|
13.4 |
% |
— |
16.4 |
% |
(15.4%) |
|
Equity Interests |
|
|
68,937 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
1.7 |
x |
— |
24.8 |
x |
(11.7x) |
|
Equity Interests |
|
|
13,039 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
|
|
|
8.2 |
x |
|
|
|
|
|
|
|
|
|
Probably weighting of alternative outcomes |
|
25.0 |
% |
— |
75.0 |
% |
|
|
Preferred equity |
|
|
89,473 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
1.7 |
x |
— |
15.3 |
x |
(7.1x) |
|
Preferred equity |
|
|
5,002 |
|
Discounted cash flows |
|
Comparative Yields |
|
|
|
|
11.5 |
% |
|
|
Warrants |
|
|
457 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
7.8 |
x |
— |
10.3 |
x |
(10.3x) |
|
Total investments |
|
$ |
2,172,803 |
|
|
|
|
|
|
|
|
|
|
|
|
(1)Included within the Level 3 assets of $2,260,816 is an amount of $88,013 for which the Advisor did not develop the unobservable inputs for the determination of fair value (examples include single source quotation and prior or pending transactions such as investments originated in the quarter or imminent payoffs). (2)Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category. The valuation techniques and significant unobservable inputs used in Level 3 fair value measurements of assets as of December 31, 2022 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2022 |
|
|
|
|
|
|
|
|
Significant |
|
Range of Significant |
|
|
|
Fair Value of |
|
|
|
Unobservable |
|
Unobservable Inputs |
|
|
|
Level 3 Assets (1) |
|
Valuation Technique |
|
Inputs |
|
(Weighted Average (2)) |
|
First Lien Senior Secured Loans |
|
$ |
1,196,770 |
|
Discounted cash flows |
|
Comparative Yields |
|
5.9 |
% |
— |
20.4 |
% |
(11.6%) |
|
First Lien Senior Secured Loans |
|
|
139,041 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
2.0 |
x |
— |
11.8 |
x |
(8.6x) |
|
First Lien Senior Secured Loans |
|
|
73,070 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
|
|
|
8.3 |
x |
|
|
|
|
|
|
|
|
|
Probably weighting of alternative outcomes |
|
25.0 |
% |
— |
75.0 |
% |
|
|
First Lien Senior Secured Loans |
|
|
19,484 |
|
Discounted cash flows |
|
Discount Rate |
|
10.0 |
% |
— |
14.8 |
% |
(13.2%) |
|
First Lien Senior Secured Loans |
|
|
8,429 |
|
Collateral coverage |
|
Recovery Rate |
|
|
|
|
100.0 |
% |
|
|
Second Lien Senior Secured Loans |
|
|
93,950 |
|
Discounted cash flows |
|
Comparative Yields |
|
12.7 |
% |
— |
21.8 |
% |
(15.7%) |
|
Subordinated Notes in Investment Vehicles |
|
|
237,974 |
|
Collateral coverage |
|
Recovery Rate |
|
|
|
|
100.0 |
% |
|
|
Subordinated Debt |
|
|
43,922 |
|
Discounted cash flows |
|
Comparative Yields |
|
11.9 |
% |
— |
13.5 |
% |
(12.0%) |
|
Structured Products |
|
|
22,763 |
|
Discounted cash flows |
|
Comparative Yields |
|
|
|
|
15.0 |
% |
|
|
Equity Interests |
|
|
128,923 |
|
Discounted cash flows |
|
Discount Rate |
|
10.0 |
% |
— |
16.4 |
% |
(15.2%) |
|
Equity Interests |
|
|
65,472 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
2.0 |
x |
— |
22.8 |
x |
(12.0x) |
|
Equity Interests |
|
|
13,033 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
|
|
|
8.3 |
x |
|
|
|
|
|
|
|
|
|
Probably weighting of alternative outcomes |
|
25.0 |
% |
— |
75.0 |
% |
|
|
Preferred equity |
|
|
75,619 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
2.0 |
x |
— |
23.0 |
x |
(7.2x) |
|
Warrants |
|
|
524 |
|
Comparable company multiple |
|
EBITDA Multiple |
|
7.5 |
x |
— |
11.8 |
x |
(8.9x) |
|
Total investments |
|
$ |
2,118,974 |
|
|
|
|
|
|
|
|
|
|
|
|
(1)Included within the Level 3 assets of $2,245,025 is an amount of $126,051 for which the Advisor did not develop the unobservable inputs for the determination of fair value (examples include single source quotation and prior or pending transactions such as investments originated in the quarter or imminent payoffs). (2)Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.
|
| Summary of fair value of debt obligations if obligations were carried at fair value |
If the Company’s debt obligations were carried at fair value, the fair value and level would have been as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of |
|
|
|
Level |
|
June 30, 2023 |
|
|
December 31, 2022 |
|
2019-1 Debt |
|
2 |
|
|
|
339,837 |
|
|
|
|
330,634 |
|
March 2026 Notes |
|
2 |
|
|
|
266,260 |
|
|
|
|
259,769 |
|
October 2026 Notes |
|
2 |
|
|
|
257,468 |
|
|
|
|
247,873 |
|
Sumitomo Credit Facility |
|
3 |
|
|
|
546,000 |
|
|
|
|
443,000 |
|
Total Debt |
|
|
|
$ |
|
1,409,565 |
|
|
$ |
|
1,281,276 |
|
|