Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of Fair Value Hierarchy Investments

As of September 30, 2022 and December 31, 2021, the Company’s investments were categorized as follows in the fair value hierarchy:



	September 30, 2022
Valuation Inputs	(Unaudited)		December 31, 2021

Level 1—Price quotations in active markets	$	15	$	30
Level 2—Significant other observable inputs	600		703
Level 3—Significant unobservable inputs	13,711		13,972
Investments measured at net asset value(1)	1,466		1,396
	$	15,792	$	16,101

____________

(1)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient 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 in the consolidated balance sheet.

Reconciliation Fair Value, Assets

The following is a reconciliation for the nine months ended September 30, 2022 and 2021 of investments for which significant unobservable inputs (Level 3) were used in determining fair value:


	For the Nine Months Ended September 30, 2022
	Senior Secured Loans—First Lien		Senior Secured Loans—Second Lien		Other Senior Secured Debt		Subordinated Debt		Asset Based Finance		Equity/Other		Total
Fair value at beginning of period	$	9,542	$	1,205	$	29	$	74	$	2,245	$	877	$	13,972
Accretion of discount (amortization of premium)	52		5		—		1		4		1		63
Net realized gain (loss)	(61)		(41)		—		—		113		211		222
Net change in unrealized appreciation (depreciation)	(252)		(90)		(8)		(47)		(229)		(121)		(747)
Purchases	2,297		67		—		223		779		475		3,841
Paid-in-kind interest	36		2		1		3		20		24		86
Sales and repayments	(2,017)		(225)		—		—		(1,106)		(378)		(3,726)
Transfers into Level 3	—		—		—		—		—		—		—
Transfers out of Level 3	—		—		—		—		—		—		—
Fair value at end of period	$	9,597	$	923	$	22	$	254	$	1,826	$	1,089	$	13,711
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date	$	(326)	$	(136)	$	(8)	$	(45)	$	(177)	$	(62)	$	(754)


	For the Nine Months Ended September 30, 2021
	Senior Secured Loans—First Lien		Senior Secured Loans—Second Lien		Other Senior Secured Debt		Subordinated Debt		Asset Based Finance		Equity/Other		Total
Fair value at beginning of period	$	3,276	$	862	$	36	$	152	$	951	$	530	$	5,807
Accretion of discount (amortization of premium)	28		8		—		—		2		1		39
Net realized gain (loss)	35		(93)		(21)		(7)		9		191		114
Net change in unrealized appreciation (depreciation)	280		158		25		(4)		126		31		616
Purchases	7,907		974		52		8		1,217		451		10,609
Paid-in-kind interest	12		4		—		—		29		21		66
Sales and repayments	(2,197)		(628)		(48)		(93)		(335)		(410)		(3,711)
Transfers into Level 3	—		—		—		—		—		3		3
Transfers out of Level 3	—		—		—		—		—		—		—
Fair value at end of period	$	9,341	$	1,285	$	44	$	56	$	1,999	$	818	$	13,543
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date	$	290	$	84	$	(1)	$	19	$	125	$	84	$	601

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

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements as of September 30, 2022 and December 31, 2021 were as follows:

Type of Investment

Fair Value at

September 30, 2022

(Unaudited)

Valuation

Technique(1)

Unobservable
Input

Range (Weighted Average)

Impact to Valuation from an Increase in Input(2)

Senior Debt

9,513

Discounted Cash Flow

Discount Rate

5.5% - 21.1% (11.0%)

Decrease

580

Waterfall

EBITDA Multiple

0.3x - 21.3x (6.7x)

Increase

341

Cost

108

Other(3)

Subordinated Debt

237

Discounted Cash Flow

Discount Rate

10.9% - 15.5% (12.6%)

Decrease

Waterfall

EBITDA Multiple

5.8x - 5.8x (5.8x)

Increase

Asset Based Finance

859

Discounted Cash Flow

Discount Rate

4.8% - 44.1% (10.3%)

Decrease

686

Waterfall

EBITDA Multiple

1.0x - 21.8x (3.4x)

Increase

197

Other(3)

Cost

Indicative Dealer Quotes

41.8% - 41.8% (41.8%)

Increase

Equity/Other

599

Waterfall

EBITDA Multiple

0.0x - 15.0x (7.6x)

Increase

352

Discounted Cash Flow

Discount Rate

9.8% - 25.0% (14.6%)

Decrease

127

Cost

Other(3)

Option Pricing Model

Equity Illiquidity Discount

65.0% - 65.0% (65.0%)

Decrease

Total

13,711

Type of Investment

Fair Value at
December 31, 2021

Valuation

Technique(1)

Unobservable
Input

Range

Impact to Valuation from an Increase in Input(2)

Senior Debt

8,746

Discounted Cash Flow

Discount Rate

5.3% - 30.3% (8.5%)

Decrease

1,242

Cost

737

Waterfall

EBITDA Multiple

0.1x - 11.0x (7.0x)

Increase

Other(3)

Subordinated Debt

Waterfall

EBITDA Multiple

7.0x - 7.8x (7.8x)

Increase

Cost

Asset Based Finance

1,021

Waterfall

EBITDA Multiple

1.0x - 23.1x (4.1x)

Increase

744

Discounted Cash Flow

Discount Rate

4.2% - 16.2% (10.1%)

Decrease

359

Cost

117

Other(3)

Indicative Dealer Quotes

50.8% - 50.8% (50.8%)

Increase

Equity/Other

737

Waterfall

EBITDA Multiple

0.1x - 16.0x (6.1x)

Increase

111

Discounted Cash Flow

Discount Rate

7.3% - 25.0% (9.8%)

Decrease

Option Pricing Model

Equity Illiquidity Discount

65.0% - 65.0% (65.0%)

Decrease

Other(3)

Cost

Total

13,972

_______________

(1)Investments using a market quotes valuation technique were primarily valued by using the midpoint of the prevailing bid and ask prices from dealers on the date of the relevant period end, which were provided by independent third-party pricing services and screened for validity by such services. Investments valued using an EBITDA multiple or a revenue multiple pursuant to the market comparables valuation technique may be conducted using an enterprise valuation waterfall analysis.

(2)Represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.

(3)Fair value based on expected outcome of proposed corporate transactions and/or other factors.