FAIR VALUE MEASUREMENTS (Tables)
|
12 Months Ended |
Dec. 31, 2024 |
|---|
| FAIR VALUE MEASUREMENTS |
|
| Schedule of investments measured at fair value |
The following table presents investments (as shown on the consolidated schedule of investments) that were measured at fair value as of December 31, 2024: | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | First lien secured loans | | $ | — | | $ | — | | $ | 502,693 | | $ | 502,693 | Second lien secured loans | | | — | | | — | | | 8,342 | | | 8,342 | Unsecured loans | | | — | | | — | | | 1,175 | | | 1,175 | Subordinated Note to STRS JV | | | — | | | — | | | 84,416 | | | 84,416 | Equity (excluding STRS JV) | | | — | | | — | | | 22,846 | | | 22,846 | Equity in STRS JV(1) | | | — | | | — | | | — | | | 22,741 | Total investments | | $ | — | | $ | — | | $ | 619,472 | | $ | 642,213 |
| (1) | The Company’s equity investment in STRS JV is measured using the net asset value per share as a practical expedient for fair value, and thus has not been classified 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 in the consolidated statements of assets and liabilities. |
The following table presents investments (as shown on the consolidated schedule of investments) that were measured at fair value as of December 31, 2023: | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | First lien secured loans | | $ | — | | $ | — | | $ | 553,085 | | $ | 553,085 | Second lien secured loans | | | — | | | — | | | 19,039 | | | 19,039 | Unsecured loans | | | — | | | — | | | 167 | | | 167 | Subordinated Note to STRS JV | | | — | | | — | | | 84,416 | | | 84,416 | Equity (excluding STRS JV) | | | — | | | — | | | 16,679 | | | 16,679 | Equity in STRS JV(1) | | | — | | | — | | | — | | | 22,782 | Total investments | | $ | — | | $ | — | | $ | 673,386 | | $ | 696,168 |
| (1) | The Company’s equity investment in STRS JV is measured using the NAV per share as a practical expedient for fair value, and thus has not been classified 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 in the consolidated statements of assets and liabilities. |
|
| Schedule of changes in investments measured at fair value using Level 3 inputs |
The following table presents the changes in investments measured at fair value using Level 3 inputs for the year ended December 31, 2024: | | | | | | | | | | | | | | | | | | | | | First Lien | | Second Lien | | | | Subordinated | | | | | | | | | Secured | | Secured | | Unsecured | | Notes to STRS | | | | | Total | Year ended December 31, 2024 | | Loans | | Loans | | Loans | | JV | | Equity | | Investments | Fair value, beginning of period | | $ | 553,085 | | $ | 19,039 | | $ | 167 | | $ | 84,416 | | $ | 16,679 | | $ | 673,386 | Funding of investments | | | 206,830 | | | — | | | — | | | — | | | 453 | | | 207,283 | Non-cash interest income | | | 6,786 | | | 380 | | | 94 | | | — | | | — | | | 7,260 | Accretion of discount | | | 4,084 | | | 22 | | | 5 | | | — | | | — | | | 4,111 | Proceeds from paydowns and sales | | | (241,304) | | | (2,039) | | | — | | | — | | | (1,403) | | | (244,746) | Conversions | | | (8,852) | | | (11,769) | | | 886 | | | — | | | 19,735 | | | — | Realized gains (losses) | | | (10,985) | | | (5,817) | | | — | | | — | | | (1,886) | | | (18,688) | Net unrealized appreciation (depreciation) | | | (6,951) | | | 8,526 | | | 23 | | | — | | | (10,732) | | | (9,134) | Fair value, end of period | | $ | 502,693 | | $ | 8,342 | | $ | 1,175 | | $ | 84,416 | | $ | 22,846 | | $ | 619,472 | Change in unrealized appreciation (depreciation) on investments still held as of December 31, 2024 | | $ | (17,190) | | $ | 259 | | $ | 23 | | $ | — | | $ | (10,151) | | $ | (27,059) |
The following table presents the changes in investments measured at fair value using Level 3 inputs for the year ended December 31, 2023: | | | | | | | | | | | | | | | | | | | | | First Lien | | Second Lien | | | | Subordinated | | | | | | | | | Secured | | Secured | | Unsecured | | Notes to STRS | | | | | Total | Year ended December 31, 2023 | | Loans | | Loans | | Notes | | JV | | Equity | | Investments | Fair value, beginning of period | | $ | 618,267 | | $ | 20,634 | | $ | 167 | | $ | 80,000 | | $ | 21,000 | | $ | 740,068 | Funding of investments | | | 143,792 | | | — | | | — | | | 4,416 | | | 1,216 | | | 149,424 | Non-cash interest income | | | 5,471 | | | 267 | | | — | | | — | | | — | | | 5,738 | Accretion of discount (premium) | | | 4,411 | | | 82 | | | — | | | — | | | — | | | 4,493 | Proceeds from paydowns and sales | | | (195,496) | | | (233) | | | — | | | — | | | (6,605) | | | (202,334) | Conversions | | | (7,232) | | | 2,695 | | | — | | | — | | | 4,537 | | | — | Realized gains (losses) | | | (518) | | | 22 | | | — | | | — | | | (338) | | | (834) | Net unrealized appreciation (depreciation) | | | (15,610) | | | (4,428) | | | — | | | — | | | (3,131) | | | (23,169) | Fair value, end of period | | $ | 553,085 | | $ | 19,039 | | $ | 167 | | $ | 84,416 | | $ | 16,679 | | $ | 673,386 | Change in unrealized appreciation (depreciation) on investments still held as of December 31, 2023 | | $ | (17,346) | | $ | (4,430) | | $ | — | | $ | — | | $ | (3,694) | | $ | (25,471) |
|
| Schedule of Quantitative information about Level 3 fair value measurements |
| | | | | | | | | | | | | Fair Value as of | | Valuation | | Unobservable | | Range | Investment Type | | | December 31, 2024 | | Techniques | | Inputs | | (Weighted Average)(1) | First lien secured loans | | $ | 439,577 | | Discounted cash flow analysis | | Discount Rate | | 7.7% - 26.8% (13.1%) | | | | 19,554 | | Recent transaction | | Transaction Price | | 98.0 - 100.0 (98.5) | | | | 22,923 | | Enterprise value analysis | | EBITDA Multiple | | 5.8 - 8.0 (6.9) | | | | 1,635 | | Enterprise value analysis | | Revenue Multiple | | 1.4 - 1.4 (1.4) | | | | 9,104 | | Expected repayment | | Transaction Price | | 103.0 - 103.0 (103.0) | | | | 373 | | Collateral analysis | | Recovery Rate | | 0.0 - 15.0 (15.0) | | | | 9,453 | | Market quotations | | Broker quoted price | | 96.8 - 96.8 (96.8) | | | | 74 | | Option pricing Model | | Volatility | | 16.0 - 16.0 (16.0) | Second lien secured loans | | | 8,342 | | Discounted cash flow analysis | | Discount rate | | 11.7% - 12.5% (12.0%) | Unsecured loans | | | 1,175 | | Discounted cash flow analysis | | Discount rate | | 12.3% - 12.9% (12.6%) | Subordinated Notes to STRS JV | | | 84,416 | | Enterprise value analysis | | n/a | | n/a | Common equity | | | 10,728 | | Enterprise value analysis | | EBITDA multiple | | 5.3 - 13.7 (9.8) | | | | 9,132 | | Enterprise value analysis | | Revenue Multiple | | 1.4 - 2.0 (2.0) | Preferred equity | | | 2,916 | | Enterprise value analysis | | EBITDA multiple | | 6.5 - 12.1 (7.5) | Warrant | | | 70 | | Enterprise value analysis | | EBITDA multiple | | 5.5 - 5.5 (5.5) | Total Level 3 Investments | | $ | 619,472 | | | | | | |
| (1) | Unobservable inputs were weighted by the relative fair value of the investments. |
| | | | | | | | | | | | | Fair Value as of | | Valuation | | Unobservable | | Range | Investment Type | | | December 31, 2023 | | Techniques | | Inputs | | (Weighted Average)(1) | First lien secured loans | | $ | 507,946 | | Discounted cash flow analysis | | Discount rate | | 11.0% - 30.3% (13.9%) | | | | 34,016 | | Recent transaction | | Transaction price | | 89.0 - 98.8 (96.2) | | | | 10,477 | | Enterprise value analysis | | EBITDA multiple | | 8.6 - 8.6 (8.6) | | | | 646 | | Option pricing Model | | Volatility | | 17.2 - 17.2 (17.2) | Second lien secured loans | | | 17,438 | | Discounted cash flow analysis | | Discount rate | | 11.4% - 24.0% (18.8%) | | | | 1,601 | | Enterprise value analysis | | EBITDA multiple | | 6.3 - 6.3 (6.3) | Unsecured loans | | | 167 | | Enterprise value analysis | | EBITDA multiple | | 7.1 - 7.1 (7.1) | Subordinated Notes to STRS JV | | | 84,416 | | Enterprise value analysis | | n/a | | n/a | Common equity | | | 3,175 | | Discounted cash flow analysis | | Discount rate | | 14.7% - 30.3% (16.6%) | | | | 6,927 | | Enterprise value analysis | | EBITDA multiple | | 5.5 - 13.2 (8.8) | | | | 709 | | Recent transaction | | Transaction price | | 1.0 - 1.0 (1.0) | Preferred equity | | | 832 | | Discounted cash flow analysis | | Discount rate | | 29.9% - 30.3% (29.9%) | | | | 1,511 | | Enterprise value analysis | | EBITDA multiple | | 6.0 - 10.5 (6.7) | Warrant | | | 3,525 | | Discounted cash flow analysis | | Discount rate | | 26.2% - 30.2% (26.3%) | Total Level 3 Investments | | $ | 673,386 | | | | | | |
| (1) | Unobservable inputs were weighted by the relative fair value of the investments. |
|
| Schedule of principal amount and fair value of the Company's borrowings |
| | | | | | | | | | | | | | | | | | | As of December 31, 2024 | | As of December 31, 2023 | | | Fair | | | | | | | | | | | | | Value Level | | Principal Amount Outstanding | | Fair Value | | Principal Amount Outstanding | | Fair Value | JPM Credit Facility | | 3 | | $ | 161,493 | | $ | 160,745 | | $ | 196,512 | | $ | 194,926 | 5.375% 2025 Notes | | 3 | | | 40,000 | | | 39,594 | | | 40,000 | | | 38,369 | 5.375% 2026 Notes | | 3 | | | 10,000 | | | 9,765 | | | 10,000 | | | 9,365 | 4.000% 2026 Notes | | 3 | | | 75,000 | | | 71,342 | | | 75,000 | | | 67,511 | 5.625% 2027 Notes | | 3 | | | 10,000 | | | 9,719 | | | 10,000 | | | 9,261 | 4.250% 2028 Notes | | 3 | | | 25,000 | | | 22,911 | | | 25,000 | | | 21,379 | 7.875% 2028 Notes | | 3 | | | 34,500 | | | 34,500 | | | 34,500 | | | 34,365 | | | | | $ | 355,993 | | $ | 348,576 | | $ | 391,012 | | $ | 375,176 |
|