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PORTFOLIO INVESTMENTS AND FAIR VALUE
12 Months Ended
Dec. 31, 2022
PORTFOLIO INVESTMENTS AND FAIR VALUE  
PORTFOLIO INVESTMENTS AND FAIR VALUE

NOTE 6 — PORTFOLIO INVESTMENTS AND FAIR VALUE

In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Company discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The guidance establishes three levels of the fair value hierarchy as follows:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not considered to be active or financial instruments for which significant inputs are observable, either directly or indirectly;

Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

The level of an asset or liability within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment by management.

The Company considers whether the volume and level of activity for the asset or liability have significantly decreased and identifies transactions that are not orderly in determining fair value. Accordingly, if the Company determines that either the volume and/or level of activity for an asset or liability has significantly decreased (from normal conditions for that asset or liability) or price quotations or observable inputs are not associated with orderly transactions, increased analysis and management judgment will be required to estimate fair value. Valuation techniques such as an income approach might be appropriate to supplement or replace a market approach in those circumstances.

At December 31, 2022, the Company had investments in 85 portfolio companies. The total cost and fair value of the investments were $875,823,177 and $844,733,638, respectively. The composition of our investments as of December 31, 2022 is as follows:

​

​

​

​

​

​

​

​

​

​

Cost

​

Fair Value

Senior Secured – First Lien(1)

​

$

750,527,999

​

$

735,555,508

Senior Secured – Second Lien

​

 

69,989,477

​

​

45,304,300

Unsecured Debt

​

 

5,657,964

​

​

4,823,898

Equity

​

 

49,647,737

​

​

59,049,932

Total Investments

​

$

875,823,177

​

$

844,733,638

(1)Includes unitranche investments, which account for 3.1% of our portfolio at fair value. Unitranche structures may combine characteristics of first lien senior secured as well as second lien and/or subordinated loans. Our unitranche
loans will expose us to the risks associated with the second lien and subordinated loans to the extent we invest in the “last-out” tranche.

At December 31, 2021, the Company had investments in 73 portfolio companies. The total cost and fair value of the investments were $785,005,957 and $772,873,326, respectively. The composition of our investments as of December 31, 2021 was as follows:

​

​

​

​

​

​

​

​

​

    

Cost

    

Fair Value

Senior Secured – First Lien(1)

​

$

652,561,144

​

$

646,352,935

Senior Secured – Second Lien

​

 

79,806,598

​

 

56,733,110

Unsecured Debt

​

 

5,030,143

​

 

4,883,854

Equity

​

 

47,608,072

​

 

64,903,427

Total Investments

​

$

785,005,957

​

$

772,873,326

(1)Includes unitranche investments, which account for 1.6% of our portfolio at fair value. Unitranche structures may combine characteristics of first lien senior secured as well as second lien and/or subordinated loans and our unitranche loans will expose us to the risks associated with the second lien and subordinated loans to the extent we invest in the “last-out” tranche.

The Company’s investment portfolio may contain loans that are in the form of lines of credit or revolving credit facilities, which require the Company to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements. As of December 31, 2022 and December 31, 2021, the Company had 52 and 32 such investments with aggregate unfunded commitments of $27,824,917 and $30,982,734, respectively. The Company maintains sufficient liquidity (through cash on hand and available borrowings under the Credit Facility) to fund such unfunded loan commitments should the need arise.

The fair values of our investments disaggregated into the three levels of the fair value hierarchy based upon the lowest level of significant input used in the valuation as of December 31, 2022 were as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Quoted Prices

    

​

​

    

​

​

    

​

​

​

​

in Active

​

​

​

​

​

​

​

​

​

​

​

Markets

​

Significant Other

​

Significant

​

​

​

​

​

for Identical

​

Observable

​

Unobservable

​

​

​

​

​

Securities

​

Inputs

​

Inputs

​

​

​

​

​

(Level 1)

​

(Level 2)

​

(Level 3)

​

Total

Senior Secured – First Lien

​

$

—

​

$

—

​

$

735,555,508

​

$

735,555,508

Senior Secured – Second Lien

​

 

—

​

 

—

​

 

45,304,300

​

 

45,304,300

Unsecured Debt

​

 

—

​

 

—

​

 

4,823,898

​

 

4,823,898

Equity

​

 

—

​

 

—

​

 

59,049,932

​

 

59,049,932

Total Investments

​

$

—

​

$

—

​

$

844,733,638

​

$

844,733,638

​

The fair values of our investments disaggregated into the three levels of the fair value hierarchy based upon the lowest level of significant input used in the valuation as of December 31, 2021 were as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Quoted Prices

​

​

​

​

​

​

​

​

​

​

    

in Active

    

​

​

    

​

​

    

​

​

​

​

Markets

​

Significant Other

​

Significant

​

​

​

​

​

for Identical

​

Observable

​

Unobservable

​

​

​

​

​

Securities

​

Inputs

​

Inputs

​

​

​

​

​

(Level 1)

​

(Level 2)

​

(Level 3)

​

Total

Senior Secured – First Lien

​

$

—

​

$

—

​

$

646,352,935

​

$

646,352,935

Senior Secured – Second Lien

 

​

—

 

​

—

 

​

56,733,110

 

​

56,733,110

Unsecured Debt

 

​

—

 

​

—

 

​

4,883,854

 

​

4,883,854

Equity

 

​

—

 

​

—

 

​

64,903,427

 

​

64,903,427

Total Investments

​

$

—

​

$

—

​

$

772,873,326

​

$

772,873,326

​

The aggregate values of Level 3 portfolio investments changed during the year ended December 31, 2022 were as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Senior Secured

    

Senior Secured

    

​

​

    

​

​

    

​

​

​

​

Loans-First

​

Loans-Second

​

Unsecured

​

​

​

​

​

​

​

 

Lien

​

Lien

​

Debt

​

Equity

​

Total

Fair value at beginning of period

​

$

646,352,935

​

$

56,733,110

​

$

4,883,854

​

$

64,903,427

​

$

772,873,326

Purchases of investments

​

 

196,925,873

​

 

4,900,000

​

 

83,511

​

 

9,101,485

​

 

211,010,869

Payment-in-kind interest

​

 

826,816

​

 

—

​

 

530,361

​

 

—

​

 

1,357,177

Sales and redemptions

​

 

(98,160,329)

​

 

(10,809,276)

​

 

—

​

 

(18,873,195)

​

 

(127,842,800)

Realized (losses) gains

​

 

(3,929,334)

​

 

(4,109,525)

​

 

—

​

 

11,811,371

​

 

3,772,512

Change in unrealized depreciation included in earnings(1)

​

 

(7,342,462)

​

 

(1,611,688)

​

 

(687,778)

​

 

(7,900,302)

​

 

(17,542,230)

Change in unrealized (depreciation) appreciation on foreign currency included in earnings

​

​

(1,421,824)

​

​

—

​

 

—

​

 

7,146

​

 

(1,414,678)

Amortization of premium and accretion of discount, net

​

 

2,303,833

​

 

201,679

​

 

13,950

​

 

—

​

 

2,519,462

Fair value at end of period

​

$

735,555,508

​

$

45,304,300

​

$

4,823,898

​

$

59,049,932

​

$

844,733,638

(1)Includes reversal of positions during the twelve months ended December 31, 2022.

There were no Level 3 transfers during the twelve months ended December 31, 2022.

The aggregate values of Level 3 portfolio investments changed during the year ended December 31, 2021 were as follows:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Senior Secured

    

Senior Secured

    

​

​

    

​

​

    

​

​

​

​

Loans-First

​

Loans-Second

​

Unsecured

​

​

​

​

​

​

​

​

Lien

​

Lien

​

Debt

​

Equity

​

Total

Fair value at beginning of period

​

$

508,673,064

​

$

70,720,186

​

$

21,191,245

​

$

52,840,000

​

$

653,424,495

Purchases of investments

​

 

354,637,555

​

 

965,250

​

 

11,705,915

​

 

22,105,811

​

 

389,414,531

Payment-in-kind interest

​

 

521,595

​

 

—

​

 

417,435

​

 

—

​

 

939,030

Sales and redemptions

​

 

(214,319,978)

​

 

(13,161,428)

​

 

(29,384,595)

​

 

(33,210,915)

​

 

(290,076,916)

Realized gains (losses)

​

 

1,475,577

​

 

(1,781,665)

​

 

—

​

 

23,993,443

​

 

23,687,355

Change in unrealized (depreciation) appreciation included in earnings

(1)

 

(6,821,212)

​

 

(157,390)

​

 

875,354

​

 

(824,912)

​

 

(6,928,160)

Amortization of premium and accretion of discount, net

​

 

2,186,334

​

 

148,157

​

 

78,500

​

 

—

​

 

2,412,991

Fair value at end of period

​

$

646,352,935

​

$

56,733,110

​

$

4,883,854

​

$

64,903,427

​

$

772,873,326

(1)Includes reversal of positions during the twelve months ended December 31, 2021.

There were no Level 3 transfers during the twelve months ended December 31, 2021.

The following is a summary of geographical concentration of our investment portfolio as of December 31, 2022:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

% of Total

 

​

​

Cost

​

Fair Value

​

Investments

 

Texas

 

$

191,422,143

 

$

171,165,597

 

20.26

%

California

 

​

167,833,384

 

​

165,340,017

 

19.57

%

Florida

 

​

60,593,839

 

​

59,421,775

 

7.03

%

Illinois

 

​

64,421,998

 

​

53,218,615

 

6.30

%

Arizona

 

​

43,129,283

 

​

44,277,625

 

5.24

%

Pennsylvania

 

​

42,899,504

 

​

41,889,344

 

4.96

%

Ohio

 

​

34,223,452

 

​

37,333,236

 

4.42

%

Washington

 

​

28,978,375

 

​

28,480,471

 

3.37

%

New Jersey

 

​

25,395,054

 

​

25,140,343

 

2.98

%

Wisconsin

 

​

27,533,402

 

​

24,271,761

 

2.87

%

District of Columbia

 

​

17,236,556

 

​

21,124,347

 

2.50

%

Georgia

 

​

10,919,642

 

​

19,692,757

 

2.33

%

South Carolina

 

​

19,089,373

 

​

18,654,782

 

2.21

%

Maryland

 

​

16,824,077

 

​

16,576,554

 

1.96

%

Minnesota

 

​

16,972,086

 

​

15,952,072

 

1.89

%

United Kingdom

 

​

20,530,087

 

​

14,445,481

 

1.71

%

Colorado

 

​

15,204,934

 

​

14,295,470

 

1.69

%

Indiana

 

​

14,346,082

 

​

14,245,432

 

1.69

%

Canada

 

​

13,333,737

 

​

13,266,669

 

1.57

%

North Carolina

 

​

10,461,551

 

​

10,649,232

 

1.26

%

Massachusetts

 

​

10,215,356

 

​

10,527,659

 

1.25

%

Idaho

 

​

9,873,093

 

​

9,863,103

 

1.17

%

Missouri

 

​

9,142,111

 

​

9,656,287

 

1.14

%

New York

 

​

5,096,152

 

​

5,096,008

 

0.61

%

Michigan

 

​

147,906

 

​

149,001

 

0.02

%

​

​

$

875,823,177

​

$

844,733,638

 

100.00

%

​

The following is a summary of geographical concentration of our investment portfolio as of December 31, 2021:

​

​

​

​

​

​

​

​

​

​

​

    

​

​

    

​

​

    

% of Total

 

​

​

​

​

​

​

​

​

Investments

 

​

​

Cost

​

Fair Value

​

at fair value

 

California

​

$

153,793,390

​

$

157,446,299

 

20.37

%

Texas

​

 

161,550,893

​

 

142,657,160

 

18.46

%

Illinois

​

 

69,780,236

​

 

71,066,882

 

9.20

%

Pennsylvania

​

 

42,866,707

​

 

42,604,002

 

5.51

%

Washington

​

 

41,067,458

​

 

40,790,941

 

5.28

%

Ohio

​

 

36,551,789

​

 

38,218,517

 

4.94

%

Arizona

​

 

31,165,320

​

 

31,117,284

 

4.03

%

New York

​

 

25,161,998

​

 

27,334,823

 

3.54

%

Wisconsin

​

 

25,880,018

​

 

25,893,643

 

3.35

%

New Jersey

​

 

25,518,474

​

 

23,548,670

 

3.05

%

United Kingdom

​

 

21,320,828

​

 

19,537,231

 

2.53

%

Georgia

​

 

11,066,059

​

 

19,045,442

 

2.46

%

Maryland

​

​

16,838,603

​

​

16,974,999

​

2.20

%

Minnesota

​

​

15,922,220

​

​

15,688,073

​

2.03

%

Colorado

​

 

15,151,135

​

 

14,980,283

 

1.94

%

South Carolina

​

 

13,270,660

​

 

13,270,530

 

1.71

%

Canada

​

 

13,418,371

​

 

13,265,324

 

1.71

%

Florida

​

​

12,966,130

​

​

13,220,344

​

1.71

%

District of Columbia

​

 

11,798,134

​

 

13,137,892

 

1.70

%

Missouri

​

 

9,871,933

​

 

10,600,866

 

1.37

%

North Carolina

​

 

10,503,957

​

 

10,360,521

 

1.34

%

Massachusetts

​

 

10,281,055

​

 

10,348,341

 

1.34

%

Puerto Rico

​

 

8,760,589

​

 

1,149,047

 

0.15

%

Virginia

​

 

500,000

​

 

616,212

 

0.08

%

​

​

$

785,005,957

​

$

772,873,326

 

100.00

%

​

The following is a summary of industry concentration of our investment portfolio as of December 31, 2022:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

% of Total

 

​

​

Cost

​

Fair Value

​

Investments

 

Services: Business

​

$

207,234,534

​

$

218,866,572

 

25.91

%

Healthcare & Pharmaceuticals

​

 

86,469,854

​

​

88,103,319

 

10.43

%

Media: Advertising, Printing & Publishing

​

 

52,830,447

​

​

52,525,839

 

6.22

%

Consumer Goods: Non-Durable

​

 

54,683,102

​

​

51,280,593

 

6.07

%

Consumer Goods: Durable

​

 

45,601,928

​

​

44,529,176

 

5.27

%

Aerospace & Defense

​

 

48,137,394

​

​

39,526,086

 

4.68

%

Software

​

 

37,582,855

​

​

37,975,255

 

4.50

%

Capital Equipment

​

 

33,538,647

​

​

33,801,951

 

4.00

%

Beverage, Food, & Tobacco

​

 

34,000,918

​

​

32,755,054

 

3.88

%

Construction & Building

​

 

26,948,135

​

​

26,406,849

 

3.13

%

Environmental Industries

​

 

27,771,798

​

​

26,247,936

 

3.11

%

Services: Consumer

​

 

43,302,101

​

​

24,616,706

 

2.92

%

Media: Broadcasting & Subscription

​

 

18,615,052

​

​

21,445,307

 

2.54

%

Chemicals, Plastics, & Rubber

​

 

18,487,206

​

​

17,903,999

 

2.12

%

Transportation & Logistics

​

 

16,768,763

​

​

17,161,972

 

2.03

%

Metals & Mining

​

 

16,708,750

​

​

16,464,001

 

1.95

%

Containers, Packaging, & Glass

​

 

17,436,600

​

​

13,977,250

 

1.65

%

Retail

​

 

13,303,536

​

​

13,217,256

 

1.56

%

High Tech Industries

​

 

14,126,954

​

​

12,648,347

 

1.50

%

Automotive

​

 

11,252,581

​

​

11,342,751

 

1.34

%

Education

​

 

11,057,921

​

​

10,498,760

 

1.24

%

Utilities: Oil & Gas

​

 

9,921,469

​

​

9,800,000

 

1.16

%

Energy: Oil & Gas

​

 

7,314,230

​

​

7,355,074

 

0.87

%

FIRE: Real Estate

​

 

15,642,093

​

​

5,866,397

 

0.69

%

Media: Diversified & Production

​

 

5,517,409

​

​

5,534,710

 

0.66

%

Finance

​

 

1,568,900

​

​

4,082,579

 

0.48

%

Hotel, Gaming, & Leisure

​

 

-

​

​

799,899

 

0.09

%

Total

​

$

875,823,177

​

$

844,733,638

 

100.00

%

​

The following is a summary of industry concentration of our investment portfolio as of December 31, 2021:

​

​

​

​

​

​

​

​

​

​

​

    

​

​

    

​

​

    

% of Total

 

​

​

​

​

​

​

​

​

Investments

 

​

​

Cost

​

Fair Value

​

at fair value

 

Services: Business

​

$

167,253,835

​

$

177,242,299

 

22.93

%

Healthcare & Pharmaceuticals

​

 

104,933,428

​

 

99,584,343

 

12.89

%

Aerospace & Defense

​

 

66,503,939

​

 

63,467,579

 

8.21

%

Media: Advertising, Printing & Publishing

​

 

53,136,718

​

 

51,125,659

 

6.62

%

Media: Broadcasting & Subscription

​

 

39,319,912

​

 

42,892,137

 

5.55

%

Consumer Goods: Durable

​

 

36,216,806

​

 

36,537,445

 

4.73

%

Beverage, Food, & Tobacco

​

 

34,089,805

​

 

33,791,047

 

4.37

%

Consumer Goods: Non-Durable

​

 

30,597,444

​

 

29,447,632

 

3.81

%

Construction & Building

​

 

27,333,360

​

 

27,282,504

 

3.53

%

Environmental Industries

​

 

26,826,229

​

 

26,355,789

 

3.41

%

Software

​

 

21,498,947

​

 

23,841,617

 

3.08

%

Services: Consumer

​

 

40,034,415

​

 

22,682,119

 

2.93

%

Transportation & Logistics

​

 

18,583,797

​

 

18,934,004

 

2.45

%

Containers, Packaging, & Glass

​

 

17,557,212

​

 

17,710,907

 

2.29

%

Metals & Mining

​

 

16,838,603

​

 

16,974,999

 

2.20

%

FIRE: Real Estate

​

 

15,694,701

​

 

15,824,998

 

2.05

%

Chemicals, Plastics, & Rubber

​

​

14,638,210

​

​

14,288,322

​

1.85

%

Education

​

 

11,053,167

​

 

11,053,167

 

1.43

%

Automotive

​

 

11,064,612

​

 

10,800,000

 

1.40

%

Energy: Oil & Gas

​

 

11,098,912

​

 

10,461,417

 

1.35

%

Utilities: Oil & Gas

​

 

9,901,900

​

 

9,800,000

 

1.27

%

Capital Equipment

​

 

8,322,806

​

 

8,182,736

 

1.06

%

Finance

​

 

2,507,199

​

 

4,108,356

 

0.53

%

Hotel, Gaming, & Leisure

​

 

—

​

 

484,250

 

0.06

%

​

​

$

785,005,957

​

$

772,873,326

 

100.00

%

​

The following provides quantitative information about Level 3 fair value measurements as of December 31, 2022:

​

​

​

​

​

​

​

​

​

​

Description:

    

Fair Value

    

Valuation Technique

    

Unobservable Inputs

    

Range (Average)(1)(3)

First lien debt

​

$

735,555,508

 

Income/Market

 

HY credit spreads,

​

-2.29% to 6.53% (1.52%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

-1.43% to 4.31% (2.31%)

​

​

​

​

​

​

 

Market multiples

​

4.5x to 19.3x (10.1x)(4)

​

​

​

​

​

​

​

​

​

​

Second lien debt

​

$

45,304,300

​

Income/Market

 

HY credit spreads,

​

-0.17% to 5.18% (2.39%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

-0.02% to 3.91% (1.94%)

​

​

​

​

 

​

 

Market multiples

​

5.6x to 15.1x (11.4x)(4)

​

​

​

​

​

​

​

​

​

​

Unsecured debt

​

$

4,823,898

​

Income/Market

 

HY credit spreads,

​

7.97% to 7.97% 7.97%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

3.63% to 3.63% (3.63%)

​

​

​

​

 

​

 

Market multiples

​

9.1x to 9.1x (9.1x)(4)

​

​

​

​

​

​

​

​

​

​

Equity investments

​

$

59,049,932

 

Market approach(5)

 

Underwriting multiple/

​

​

​

​

​

​

​

​

 

EBITDA Multiple

​

1.3x to 24.8x (11.7x)

Total Long Term Level 3 Investments

​

$

844,733,638

 

  

 

  

  

​

​

(1)Weighted average based on fair value as of December 31, 2022.
(2)Inclusive of but not limited to (a) the market approach which is used to determine sufficient enterprise value, and (b) the income approach which is based on discounting future cash flows using an appropriate market yield.
(3)The Company calculates the price of the loan by discounting future cash flows, which include forecasted future BSBY, LIBOR, SOFR, or SONIA rates based on the published forward curve at the valuation date, using an appropriate yield calculated as of the valuation date. This yield is calculated based on the loan’s yield at the original investment and is adjusted as of the valuation date based on: changes in comparable credit spreads, changes in risk free interest rates (per swap rates), and changes in credit quality (via an estimated shadow rating). Significant movements in any of these factors would result in a significantly lower or higher fair value measurement. As an example, the “Range (Average)” for a first lien debt instruments in the table above indicates that the change in the HY spreads between the date a loan closed and the valuation date ranged from -2.29% (-229 basis points) to 6.53% (653 basis points). The average of all changes was 1.52% (152 basis points).
(4)Median of LTM (last twelve months) EBITDA multiples of comparable companies.
(5)The primary significant unobservable input used in the fair value measurement of the Company’s equity investments is the EBITDA multiple (the “Multiple”). Significant increases (decreases) in the Multiple in isolation would result in a significantly higher (lower) fair value measurement. To determine the Multiple for the market approach, the Company considers current market trading and/or transaction multiple, portfolio company performance (financial ratios) relative to public and private peer companies and leverage levels, among other factors. Changes in one or more of these factors can have a similar directional change on other factors in determining the appropriate Multiple to use in the market approach.

The following provides quantitative information about Level 3 fair value measurements as of December 31, 2021:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

 

​

 

​

​

​

Description:

    

Fair Value

    

Valuation Technique

    

Unobservable Inputs

    

Range (Average)(1)(3)

First lien debt

​

$

646,352,935

​

Income/Market(2)

​

HY credit spreads,

​

-3.93% to 0.48% (-0.24%)

​

​

​

​

 

approach

 

Risk free rates

​

-1.95% to 0.86% (-0.05%)

​

​

​

​

​

​

 

Market multiples

​

4.5x to 25x (11.6x)(4)

​

​

​

​

​

​

​

​

​

​

Second lien debt

​

$

56,733,110

​

Income/Market(2)

 

HY credit spreads,

​

-2.54% to 0.53% (-0.53%)

​

​

​

​

 

approach

 

Risk free rates

​

-1.79% to 0.94% (-0.29%)

​

​

​

​

 

​

 

Market multiples

​

7.1x to 16.4x (12.9x)(4)

​

​

​

​

​

​

​

​

​

​

Unsecured debt

​

$

4,883,854

​

Income/Market

 

HY credit spreads,

​

0.25% to 0.25% (0.25%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

0.75% to 0.75% (0.75%)

​

​

​

​

 

​

 

Market multiples

​

12.4x to 12.4x (12.4x)(4)

​

​

​

​

​

​

​

​

​

​

Equity investments

​

$

64,903,427

 

Market approach(5)

 

Underwriting

​

1.6x to 24.9x (11.5x)

​

​

​

​

​

​

 

EBITDA Multiple

​

​

Total Long Term Level 3 Investments

​

$

772,873,326

 

  

 

  

  

​

(1)Weighted average based on fair value as of December 31, 2021.
(2)Inclusive of but not limited to (a) the market approach which is used to determine sufficient enterprise value, and (b) the income approach which is based on discounting future cash flows using an appropriate market yield.
(3)The Company calculates the price of the loan by discounting future cash flows, which include forecasted future LIBOR or SOFR rates based on the published forward LIBOR or SOFR curve at the valuation date, using an appropriate yield calculated as of the valuation date. This yield is calculated based on the loan’s yield at the original investment and is adjusted as of the valuation date based on: changes in comparable credit spreads, changes in risk free interest rates (per swap rates), and changes in credit quality (via an estimated shadow rating). Significant movements in any of these factors would result in a significantly lower or higher fair value measurement. As an example, the “Range (Average)” for a first lien debt instruments in the table above indicates that the change in the
HY spreads between the date a loan closed and the valuation date ranged from -3.93% (-393 basis points) to 0.48% (48 basis points). The average of all changes was -0.24% (-24 basis points).
(4)Median of LTM (last twelve months) EBITDA multiples of comparable companies.
(5)The primary significant unobservable input used in the fair value measurement of the Company’s equity investments is the EBITDA multiple (the “Multiple”). Significant increases (decreases) in the Multiple in isolation would result in a significantly higher (lower) fair value measurement. To determine the Multiple for the market approach, the Company considers current market trading and/or transaction multiple, portfolio company performance (financial ratios) relative to public and private peer companies and leverage levels, among other factors. Changes in one or more of these factors can have a similar directional change on other factors in determining the appropriate Multiple to use in the market approach.