Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

v3.24.3
Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Investments Measured at Fair Value on Recurring Basis Investments measured at fair value on a recurring basis are categorized in the tables below based upon the lowest level of significant input to the valuations as of September 30, 2024 and December 31, 2023.
(in thousands) Balance as of
September 30,
2024		 Quoted Prices in
Active Markets for
Identical Assets
(Level 1)		 Significant
Other Observable
Inputs
(Level 2)		 Significant
Unobservable
Inputs
(Level 3)
Description
Other assets and liabilities         
Escrow and Other Investment Receivables $ 158  $ —  $ —  $ 158 
Accounts Payable and Accrued Liabilities (1,770) —  —  (1,770)
Investments      
Senior Secured Debt $ 3,306,724  $ —  $ —  $ 3,306,724 
Unsecured Debt 73,854  —  —  73,854 
Preferred Stock 47,342  —  —  47,342 
Common Stock(2)
95,693  49,018  —  46,675 
Warrants 30,023  —  10,647  19,376 
  $ 3,553,636  $ 49,018  $ 10,647  $ 3,493,971 
Investment Funds & Vehicles measured at Net Asset Value(3)
6,877       
Total Investments, at fair value $ 3,560,513       
Derivative Instruments(4)
(1,168)      
Total Investments, at fair value including derivative instruments $ 3,559,345       
(in thousands) Balance as of
December 31,
2023		 Quoted Prices in
Active Markets for
Identical Assets
(Level 1)		 Significant
Other Observable
Inputs
(Level 2)		 Significant
Unobservable
Inputs
(Level 3)
Description
Cash and cash equivalents         
Money Market Fund(1)
$ 56,000  $ 56,000  $ —  $ — 
Other assets
Escrow and Other Investment Receivables $ 10,888  $ —  $ —  $ 10,888 
Investments      
Senior Secured Debt $ 2,987,577  $ —  $ —  $ 2,987,577 
Unsecured Debt 69,722  —  —  69,722 
Preferred Stock 53,038  —  —  53,038 
Common Stock(2)
99,132  57,342  —  41,790 
Warrants 33,969  —  11,881  22,088 
  $ 3,243,438  $ 57,342  $ 11,881  $ 3,174,215 
Investment Funds & Vehicles measured at Net Asset Value(3)
4,608       
Total Investments, at fair value $ 3,248,046       
Derivative Instruments(4)
(766)
Total Investments including cash and cash equivalents and derivative instruments $ 3,303,280 
(1)This investment is included in Cash and cash equivalents in the accompanying Consolidated Statements of Assets and Liabilities.
(2)Common Stock includes non-voting security in the form of a promissory note with a lien on shares of issuer's Common Stock.
(3)In accordance with U.S. GAAP, certain investments are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and are not categorized within the fair value hierarchy as per ASC 820. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the accompanying Consolidated Statements of Assets and Liabilities.
(4)Derivative Instruments are carried at fair value and a level 2 security within the Company's fair value hierarchy.
Schedule of Reconciliation Changes for Financial Assets and Liabilities Measured at Fair Value on Recurring Basis
The table below presents a reconciliation of changes for all financial assets and liabilities measured at fair value on a recurring basis, excluding accrued interest components, using significant unobservable inputs (Level 3) for the nine months ended September 30, 2024 and 2023.
(in thousands) Balance as of
January 1, 2024
Net Realized
Gains (Losses)(1)
Net Change in
Unrealized
Appreciation
(Depreciation)(2)
Purchases(5)
Sales
Repayments(6)
Gross
Transfers
into
Level 3(3)*
Gross
Transfers
out of
Level 3(3)*
Balance as of
September 30, 2024
Investments
Senior Secured Debt $ 2,987,577  $ (9,120) $ (34,978) $ 1,099,563  $ —  $ (732,225) $ —  $ (4,093) $ 3,306,724 
Unsecured Debt 69,722  —  828  3,304  —  —  —  —  73,854 
Preferred Stock 53,038  (711) (9,013) 1,597  —  —  2,431  —  47,342 
Common Stock 41,790  (1,351) 474  4,100  —  —  1,662  —  46,675 
Warrants 22,088  (464) (2,367) 2,948  (2,829) —  —  —  19,376 
Other Assets and Liabilities                     
Escrow and Other Investment Receivables 10,888  85  5,869  43  (18,497) —  —  1,770  158 
Accounts Payable and Accrued Liabilities —  —  —  —  —  —  (1,770) —  (1,770)
Total $ 3,185,103  $ (11,561) $ (39,187) $ 1,111,555  $ (21,326) $ (732,225) $ 2,323  $ (2,323) $ 3,492,359 
(in thousands) Balance as of
January 1, 2023
Net Realized
Gains (Losses)(1)
Net Change in
Unrealized
Appreciation
(Depreciation)(2)
Purchases(5)
Sales
Repayments(6)
Gross
Transfers
into
Level 3(4)*
Gross
Transfers
out of
Level 3(4)*
Balance as of
September 30, 2023
Investments                       
Senior Secured Debt $ 2,741,388  $ (5,400) $ (22,135) $ 1,003,953  $ —  $ (695,856) $ —  $ —  $ 3,021,950 
Unsecured Debt 54,056  —  4,958  10,916  —  —  —  —  69,930 
Preferred Stock 41,488  (3,441) 1,392  2,851  —  —  —  —  42,290 
Common Stock 25,059  —  10,684  4,500  (594) —  —  —  39,649 
Warrants 19,419  (3,443) 1,539  3,711  (1,108) —  —  —  20,118 
Other Assets                     
Escrow Receivable 875  80  —  —  (207) —  —  —  748 
Total $ 2,882,285  $ (12,204) $ (3,562) $ 1,025,931  $ (1,909) $ (695,856) $ —  $ —  $ 3,194,685 
* The Company recognizes transfers as of the transaction date.
(1)Included in net realized gains (losses) in the accompanying Consolidated Statements of Operations.
(2)Included in net change in unrealized appreciation (depreciation) in the accompanying Consolidated Statements of Operations.
(3)Transfers out of Level 3 during the nine months ended September 30, 2024 related to the conversion of the Company's Level 3 debt investments in Better Therapeutics, Inc. and Eigen Technologies Ltd. into common stock and preferred stock Level 3 investments in acquiring companies.
(4)There were no transfers into or out of Level 3 during the nine months ended September 30, 2023.
(5)Amounts listed above are inclusive of loan origination fees received at the inception of the loan which are deferred and amortized into fee income as well as the accretion of existing loan discounts and fees during the period. Escrow receivable purchases may include additions due to proceeds held in escrow from the liquidation of level 3 investments. Amounts are net of purchases assigned to the Adviser Funds.
(6)Amounts listed above include the acceleration and payment of loan discounts and loan fees due to early payoffs or restructures along with regularly scheduled amortization.
Schedule of Unrealized Gain (Loss) on Investments
The following table presents the net unrealized appreciation (depreciation) recorded for debt, preferred stock, common stock, and warrant Level 3 investments relating to assets still held at the reporting date.
(in millions) Nine Months Ended September 30,
2024 2023
Debt Investments
 $ (32.3) $ (16.9)
Preferred Stock
 (9.2) (2.0)
Common Stock
 (0.3) 10.7 
Warrant Investments
 (0.8) (0.9)
Schedule of Quantitative Information of Fair Value Measurements
The following tables provide quantitative information about the Company’s Level 3 fair value measurements as of September 30, 2024 and December 31, 2023. In addition to the techniques and inputs noted in the tables below, according to the Company’s valuation policy, the Company may also use other valuation techniques and methodologies when determining the Company’s fair value measurements. The tables below are not intended to be all-inclusive, but rather provide information on the significant Level 3 inputs as they relate to the Company’s fair value measurements. See the accompanying Consolidated Schedule of Investments for the fair value of the Company’s investments. The methodology for the determination of the fair value of the Company’s investments is discussed in “Note 2 – Summary of Significant Accounting Policies”. The significant unobservable input used in the fair value measurement of the Company’s escrow receivables is the amount recoverable at the contractual maturity date of the escrow receivable.
Investment Type - Level 3
Debt Investments		 Fair Value as of
September 30, 2024
(in thousands)		 Valuation
Techniques/ Methodologies
Unobservable Input(1)
Range
Weighted
Average(2)
Pharmaceuticals $ 990,349  Market Comparable Companies Hypothetical Market Yield
9.90% - 16.55%
 12.74%
    Premium/(Discount)
(2.00)% - 4.00%
 0.08%
Technology 1,202,375  Market Comparable Companies Hypothetical Market Yield
10.08% - 19.19%
 13.26%
    Premium/(Discount)
(0.75)% - 3.00%
 0.33%
  25,745  Convertible Note Analysis Probability weighting of alternative outcomes
1.00% - 70.00%
 50.64%
52,586 
Liquidation(3)
Probability weighting of alternative outcomes
5.00% - 100.00%
 57.86%
Sustainable and Renewable Technology 20,957  Market Comparable Companies Hypothetical Market Yield
12.13% - 15.66%
 15.43%
    Premium/(Discount)
0.25% - 3.00%
 0.43%
Medical Devices 55,413  Market Comparable Companies Hypothetical Market Yield
12.23% - 13.19%
 12.65%
Premium/(Discount)
0.00% - 0.50%
 0.28%
Lower Middle Market 601,995  Market Comparable Companies Hypothetical Market Yield
8.66% - 19.68%
 14.61%
    Premium/(Discount)
(0.25)% - 3.25%
 0.84%
Debt Investments for which Cost Approximates Fair Value
  240,443  Debt Investments originated within 6 months    
  70,171 
Imminent Payoffs(4)
   
  72,911  Debt Investments Maturing in Less than One Year
47,633  Debt Investments in Wholly-Owned Subsidiaries
  $ 3,380,578  Total Level 3 Debt Investments
Accounts Payable and Accrued Liabilities (1,770)
Liquidation(3)
Probability weighting of alternative outcomes
10.00% - 50.00%
 38.97%
$ 3,378,808  Total Level Three Debt Investments and Other Investment Receivables (Payables)
(1)The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The premiums/(discounts) relate to company specific characteristics such as underlying investment performance, security liens, and other characteristics of the investment. Significant increases (decreases) in the inputs in isolation may result in a significantly lower (higher) fair value measurement, depending on the materiality of the investment.
Debt investments in the industries noted in the Company’s Consolidated Schedule of Investments are included in the industries noted above as follows:
•Pharmaceuticals, above, is comprised of debt investments in the “Drug Discovery & Development” and “Healthcare Services, Other” industries.
•Technology, above, is comprised of debt investments in the “Communications & Networking”, “Information Services”, “Consumer & Business Services”, “Media/Content/Info”, “Space Technologies”, and “Software” industries.
•Sustainable and Renewable Technology, above, is comprised of debt investments in the “Sustainable and Renewable Technology” industry.
•Lower Middle Market, above, is comprised of debt investments in the “Healthcare Services – Other”, “Consumer & Business Services”, “Diversified Financial Services”, “Sustainable and Renewable Technology”, and “Software” industries.
(2)The weighted averages are calculated based on the fair market value of each investment.
(3)The significant unobservable input used in the fair value measurement of impaired debt securities and other investment receivables is the probability weighting of alternative outcomes.
(4)Imminent Payoffs represent debt investments that the Company expects to be fully repaid within the next three months, prior to their scheduled maturity date.
Investment Type - Level 3
Debt Investments
 Fair Value as of
December 31, 2023
(in thousands)		 Valuation Techniques/ Methodologies
Unobservable Input(1)
Range
Weighted
Average(2)
Pharmaceuticals $ 971,775  Market Comparable Companies Hypothetical Market Yield
10.91% - 21.43%
 13.46%
    Premium/(Discount)
(1.00)% - 3.50%
 0.04%
  8,455 
Liquidation(3)
Probability weighting of alternative outcomes
10.00% - 50.00%
 41.83%
Technology 1,181,823  Market Comparable Companies Hypothetical Market Yield
11.30% - 20.74%
 15.03%
    Premium/(Discount)
(1.00)% - 5.00%
 0.47%
  23,244  Convertible Note Analysis Probability weighting of alternative outcomes
1.00% - 50.00%
 39.32%
  — 
Liquidation(3)
Probability weighting of alternative outcomes
100.00% - 100.00%
 100.00%
Sustainable and Renewable Technology 1,678  Market Comparable Companies Hypothetical Market Yield
10.75% - 10.75%
 10.75%
      Premium/(Discount)
0.75% - 0.75%
 0.75%
Lower Middle Market 322,162  Market Comparable Companies Hypothetical Market Yield
12.54% - 20.15%
 14.13%
      Premium/(Discount)
(0.75)% - 2.25%
 0.56%
Debt Investments for which Cost Approximates Fair Value
  431,512  Debt Investments originated within 6 months    
  54,430 
Imminent Payoffs(4)
   
  62,220  Debt Investments Maturing in Less than One Year
  $ 3,057,299  Total Level 3 Debt Investments
Other Investment Receivables 9,648 
Liquidation(3)
Probability weighting of alternative outcomes
10.00% - 50.00%
 41.83%
$ 3,066,947  Total Level Three Debt Investments and Other Investment Receivables
(1)The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The premiums/(discounts) relate to company specific characteristics such as underlying investment performance, security liens, and other characteristics of the investment. Significant increases (decreases) in the inputs in isolation may result in a significantly lower (higher) fair value measurement, depending on the materiality of the investment.
Debt investments in the industries noted in the Company’s Consolidated Schedule of Investments are included in the industries noted above as follows:
•Pharmaceuticals, above, is comprised of debt investments in the “Drug Discovery & Development” and “Healthcare Services, Other” industries.
•Technology, above, is comprised of debt investments in the “Communications & Networking”, “Information Services”, “Consumer & Business Services”, “Media/Content/Info”, and “Software” industries.
•Sustainable and Renewable Technology, above, is comprised of debt investments in the “Sustainable and Renewable Technology” industry.
•Lower Middle Market, above, is comprised of debt investments in the “Healthcare Services – Other”, “Consumer & Business Services”, “Diversified Financial Services”, “Sustainable and Renewable Technology”, and “Software” industries.
(2)The weighted averages are calculated based on the fair market value of each investment.
(3)The significant unobservable input used in the fair value measurement of impaired debt securities and other investment receivables is the probability weighting of alternative outcomes.
(4)Imminent payoffs represent debt investments that the Company expects to be fully repaid within the next three months, prior to their scheduled maturity date.
Investment Type - Level 3 Equity and Warrant Investments Fair Value as of
September 30, 2024
(in thousands)		 Valuation Techniques/
Methodologies
Unobservable Input(1)
Range
Weighted Average(5)
Equity Investments $ 43,990  Market Comparable Companies
Revenue Multiple(2)
0.4x - 14.8x
13.4x
   
Tangible Book Value Multiple(2)
1.6x - 1.6x
1.6x
   
Discount for Lack of Marketability(3)
13.48% - 92.82%
 36.18%
  13,781  Market Adjusted OPM Backsolve
Market Equity Adjustment(4)
(83.75)% - 30.35%
 (8.48)%
  33,234  Discounted Cash Flow
Discount Rate(7)
11.52% - 33.40%
 31.14%
  3,012 
Other(6)
     
Warrant Investments 15,466  Market Comparable Companies
Revenue Multiple(2)
0.9x - 11.9x
4.1x
   
Discount for Lack of Marketability(3)
12.93% - 33.96%
 24.63%
  3,910  Market Adjusted OPM Backsolve
Market Equity Adjustment(4)
(62.04)% - 30.35%
 (1.40)%
Total Level 3 Equity and Warrant Investments $ 113,393         
(1)The significant unobservable inputs used in the fair value measurement of the Company’s warrant and equity securities are revenue and/or earnings multiples (e.g. EBITDA, EBT, ARR), market equity adjustment factors, and discounts for lack of marketability. Significant increases/(decreases) in the inputs in isolation would result in a significantly higher/(lower) fair value measurement, depending on the materiality of the investment. For some investments, additional consideration may be given to data from the last round of financing or merger/acquisition events near the measurement date. The significant unobservable input used in the fair value measurement of impaired equity securities is the probability weighting of alternative outcomes.
(2)Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.
(3)Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.
(4)Represents the range of changes in industry valuations since the portfolio company's last external valuation event.
(5)Weighted averages are calculated based on the fair market value of each investment.
(6)The fair market value of these investments is derived based on recent private market and merger and acquisition transaction prices.
(7)The discount rate used is based on current portfolio yield adjusted for uncertainty of actual performance and timing in capital deployments.
Investment Type - Level 3 Equity and Warrant Investments Fair Value as of
December 31, 2023
(in thousands)		 Valuation Techniques/
Methodologies
Unobservable Input(1)
Range
Weighted Average(5)
Equity Investments $ 52,094  Market Comparable Companies
EBITDA Multiple(2)
12.3x - 12.3x
12.3x
   
Revenue Multiple(2)
0.3x - 20.1x
7.2x
   
Tangible Book Value Multiple(2)
1.8x - 1.8x
1.8x
   
Discount for Lack of Marketability(3)
7.11% - 92.72%
 31.57%
  11,096  Market Adjusted OPM Backsolve
Market Equity Adjustment(4)
(86.14)% - 32.69%
 7.47%
  28,713  Discounted Cash Flow
Discount Rate(7)
19.88% - 31.97%
 30.51%
  2,925 
Other(6)
     
Warrant Investments 19,014  Market Comparable Companies
EBITDA Multiple(2)
12.3x -12.3x
12.3x
   
Revenue Multiple(2)
0.9x - 10.2x
4.2x
   
Discount for Lack of Marketability(3)
6.21% - 33.12%
 21.70%
  3,074  Market Adjusted OPM Backsolve
Market Equity Adjustment(4)
(70.67)% - 34.86%
 13.17%
  — 
Other(6)
     
Total Level 3 Equity and Warrant Investments $ 116,916         
(1)The significant unobservable inputs used in the fair value measurement of the Company’s warrant and equity securities are revenue and/or earnings multiples (e.g. EBITDA, EBT, ARR), market equity adjustment factors, and discounts for lack of marketability. Significant increases/(decreases) in the inputs in isolation would result in a significantly higher/(lower) fair value measurement, depending on the materiality of the investment. For some investments, additional consideration may be given to data from the last round of financing or merger/acquisition events near the measurement date. The significant unobservable input used in the fair value measurement of impaired equity securities is the probability weighting of alternative outcomes.
(2)Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.
(3)Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.
(4)Represents the range of changes in industry valuations since the portfolio company's last external valuation event.
(5)Weighted averages are calculated based on the fair market value of each investment.
(6)The fair market value of these investments is derived based on recent market transactions.
(7)The discount rate used is based on current portfolio yield adjusted for uncertainty of actual performance and timing in capital deployments.
Schedule of Fair Value Hierarchy of Outstanding Borrowings The following tables provide additional information about the approximate fair value and level in the fair value hierarchy of the Company’s outstanding borrowings as of September 30, 2024 and December 31, 2023:
(in thousands) September 30, 2024
Description Carrying
Value		 Approximate
Fair Value		 Identical Assets
(Level 1)		 Observable Inputs
(Level 2)		 Unobservable Inputs
(Level 3)
SBA Debentures $ 170,763  $ 155,728  $ —  $ —  $ 155,728 
February 2025 Notes 49,952  49,902  —  —  49,902 
June 2025 Notes 69,879  69,890  —  —  69,890 
June 2025 3-Year Notes 49,887  50,560  —  —  50,560 
March 2026 A Notes 49,866  48,691  —  —  48,691 
March 2026 B Notes 49,854  48,726  —  —  48,726 
September 2026 Notes 323,075  301,311  —  —  301,311 
January 2027 Notes 346,932  327,712  —  —  327,712 
2031 Asset-Backed Notes 148,985  145,500  —  145,500  — 
2033 Notes 39,016  41,008  —  41,008  — 
MUFG Bank Facility 240,000  240,000  —  —  240,000 
SMBC Facility 201,000  201,000  —  —  201,000 
Total $ 1,739,209  $ 1,680,028  $ —  $ 186,508  $ 1,493,520 
(in thousands) December 31, 2023
Description Carrying
Value		 Approximate
Fair Value		 Identical Assets
(Level 1)		 Observable Inputs
(Level 2)		 Unobservable Inputs
(Level 3)
SBA Debentures $ 170,323  $ 142,011  $ —  $ —  $ 142,011 
July 2024 Notes 104,828  105,755  —  —  105,755 
February 2025 Notes 49,866  49,144  —  —  49,144 
June 2025 Notes 69,757  67,198  —  —  67,198 
June 2025 3-Year Notes 49,771  48,983  —  —  48,983 
March 2026 A Notes 49,795  47,702  —  —  47,702 
March 2026 B Notes 49,776  47,759  —  —  47,759 
September 2026 Notes 322,339  288,711  —  —  288,711 
January 2027 Notes 345,935  315,832  —  —  315,832 
2031 Asset-Backed Notes 148,544  142,500  —  142,500  — 
2033 Notes 38,935  40,400  —  40,400  — 
MUFG Bank Facility 61,000  61,000  —  —  61,000 
SMBC Facility 94,000  94,000  —  —  94,000 
Total $ 1,554,869  $ 1,450,995  $ —  $ 182,900  $ 1,268,095