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PORTFOLIO INVESTMENTS AND FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2024

PORTFOLIO INVESTMENTS AND FAIR VALUE

Schedule of total fair value and cost of investments

At March 31, 2024, the Company had investments in 94 portfolio companies. The composition of our investments as of March 31, 2024 is as follows:


		Cost			Fair Value
Senior Secured – First Lien⁽¹⁾		$	801,208,004		$	782,845,785
Senior Secured – Second Lien			12,044,047			11,948,850
Unsecured Debt			6,310,491			6,210,612
Equity			60,591,169			74,878,899
Total Investments		$	880,153,711		$	875,884,146

(1)

Includes unitranche investments, which may combine characteristics of first lien senior secured, as well as second lien and/or subordinated loans. Our unitranche loans may expose us to certain risk associated with second lien and subordinated loans to the extent we invest in the “last-out” portion of the unitranche loans which account for 4.5% of our portfolio at fair value.

At December 31, 2023, the Company had investments in 93 portfolio companies. The composition of our investments as of December 31, 2023 was as follows:


		Cost			Fair Value
Senior Secured – First Lien⁽¹⁾		$	793,819,152		$	774,789,320
Senior Secured – Second Lien			42,269,568			21,957,500
Unsecured Debt			6,138,183			5,956,280
Equity			59,916,647			71,757,583
Total Investments		$	902,143,550		$	874,460,683

(1)

Includes unitranche investments, which may combine characteristics of first lien senior secured, as well as second lien and/or subordinated loans. Our unitranche loans may expose us to certain risk associated with second lien and subordinated loans to the extent we invest in the “last-out” portion of the unitranche loans which account for 4.5% of our portfolio at fair value.

Schedule of aggregate gross unrealized appreciation and depreciation and aggregate cost and fair value of portfolio company securities

The aggregate gross unrealized appreciation and depreciation and the aggregate cost and fair value of the Company’s portfolio company securities as of March 31, 2024 and December 31, 2023 were as follows:


		March 31, 2024			December 31, 2023
Aggregate cost of portfolio company securities		$	880,153,711		$	902,143,550
Gross unrealized appreciation of portfolio company securities			42,426,157			38,379,839
Gross unrealized depreciation of portfolio company securities			(45,790,275)			(65,262,547)
Gross unrealized appreciation on foreign currency translations of portfolio company securities			8,198			11,142
Gross unrealized depreciation on foreign currency translations of portfolio company securities			(913,645)			(811,301)
Aggregate fair value of portfolio company securities		$	875,884,146		$	874,460,683

Schedule of fair values of investments disaggregated into three levels of fair value hierarchy

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 March 31, 2024 are 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		$	—		$	—		$	782,845,785		$	782,845,785
Senior Secured – Second Lien			—			—			11,948,850			11,948,850
Unsecured Debt			—			—			6,210,612			6,210,612
Equity			—			—			74,878,899			74,878,899
Total Investments		$	—		$	—		$	875,884,146		$	875,884,146

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, 2023 are 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		$	—		$	—		$	774,789,320		$	774,789,320
Senior Secured – Second Lien			—			—			21,957,500			21,957,500
Unsecured Debt			—			—			5,956,280			5,956,280
Equity			—			—			71,757,583			71,757,583
Total Investments		$	—		$	—		$	874,460,683		$	874,460,683

Schedule of change in aggregate values of Level 3 portfolio investments

The change in aggregate values of Level 3 portfolio investments during the three months ended March 31, 2024 are as follows:


		Senior Secured			Senior Secured
		Loans-First			Loans-Second			Unsecured
		Lien			Lien			Debt			Equity			Total
Fair value at beginning of period		$	774,789,320		$	21,957,500		$	5,956,280		$	71,757,583		$	874,460,683
Purchases of investments			27,776,073			—			13,290			727,067			28,516,430
Payment-in-kind interest			595,228			—			154,826			—			750,054
Sales and redemptions			(21,648,975)			(9,782,348)			—			(52,543)			(31,483,866)
Realized losses			—			(20,475,000)			—			—			(20,475,000)
Change in unrealized appreciation included in earnings⁽¹⁾			769,881			20,216,870			82,238			2,449,601			23,518,590
Change in unrealized depreciation on foreign currency included in earnings			(102,267)			—			(212)			(2,809)			(105,288)
Amortization of premium and accretion of discount, net			666,525			31,828			4,190			—			702,543
Fair value at end of period		$	782,845,785		$	11,948,850		$	6,210,612		$	74,878,899		$	875,884,146

(1)	Includes reversal of positions during the three months ended March 31, 2024.

The change in aggregate values of Level 3 portfolio investments during the year ended December 31, 2023 are as follows:


		Senior Secured			Senior Secured
		Loans-First			Loans-Second			Unsecured
		Lien			Lien			Debt			Equity			Total
Fair value at beginning of period		$	735,555,508		$	45,304,300		$	4,823,898		$	59,049,932		$	844,733,638
Purchases of investments			174,156,432			—			62,086			13,251,090			187,469,608
Payment-in-kind interest			3,185,845			—			613,998			—			3,799,843
Sales and redemptions			(125,442,776)			(9,882,105)			(211,627)			(2,280,087)			(137,816,595)
Realized losses			(11,200,184)			(17,979,749)			—			(702,093)			(29,882,026)
Change in unrealized (depreciation) appreciation included in earnings⁽¹⁾			(4,667,866)			4,373,111			651,997			2,434,910			2,792,152
Change in unrealized appreciation on foreign currency included in earnings			610,523			—			166			3,831			614,520
Amortization of premium and accretion of discount, net			2,591,838			141,943			15,762			—			2,749,543
Fair value at end of period		$	774,789,320		$	21,957,500		$	5,956,280		$	71,757,583		$	874,460,683

(1)	Includes reversal of positions during the year ended December 31, 2023.

Summary of geographical concentration of investment portfolio

The following is a summary of geographical concentration of our investment portfolio as of March 31, 2024:


								% of Total
								Investments at
		Cost			Fair Value			Fair Value
Texas		$	182,450,677		$	174,944,018		19.98	%
California			177,062,291			171,421,469		19.58	%
Florida			92,637,917			91,343,527		10.43	%
Illinois			60,045,881			50,894,890		5.81	%
Pennsylvania			50,132,639			50,390,758		5.75	%
Arizona			42,028,750			44,744,792		5.11	%
Ohio			30,822,781			33,646,988		3.84	%
Colorado			31,513,532			31,206,672		3.56	%
Wisconsin			27,435,035			26,522,115		3.03	%
New York			23,422,998			23,674,222		2.70	%
Georgia			8,980,584			18,852,732		2.15	%
Maryland			16,642,379			16,673,384		1.90	%
District of Columbia			12,977,879			14,593,727		1.67	%
Indiana			14,248,007			14,574,345		1.66	%
North Carolina			13,874,098			14,574,288		1.66	%
Canada			12,918,902			13,073,546		1.49	%
New Jersey			10,367,749			11,209,346		1.28	%
Michigan			10,648,342			10,737,806		1.23	%
Massachusetts			10,136,009			10,524,233		1.20	%
Tennessee			9,374,549			9,472,333		1.08	%
Missouri			8,841,548			8,869,635		1.01	%
Idaho			8,409,110			8,470,065		0.97	%
Washington			8,276,815			8,307,038		0.95	%
Minnesota			6,131,212			6,147,514		0.70	%
Louisiana			5,400,699			5,488,625		0.63	%
South Carolina			4,938,543			5,079,139		0.58	%
United Kingdom			434,785			446,939		0.05	%
		$	880,153,711		$	875,884,146		100.00	%

The following is a summary of geographical concentration of our investment portfolio as of December 31, 2023:


								% of Total
								Investments
		Cost			Fair Value			at Fair Value
Texas		$	182,531,256		$	175,311,724		20.04	%
California			175,207,692			167,713,589		19.18	%
Florida			93,155,844			92,297,574		10.55	%
Pennsylvania			49,939,315			50,188,102		5.74	%
Illinois			58,633,617			49,834,429		5.70	%
Arizona			42,136,322			44,558,279		5.10	%
Ohio			31,805,370			34,370,277		3.93	%
Colorado			31,525,420			30,971,079		3.54	%
Wisconsin			27,452,444			26,190,771		3.00	%
Washington			24,321,085			24,540,695		2.81	%
Georgia			9,100,050			18,885,409		2.16	%
Maryland			16,676,194			16,718,728		1.91	%
New York			14,692,043			14,931,263		1.71	%
Indiana			14,235,403			14,488,700		1.66	%
North Carolina			13,891,930			14,532,532		1.66	%
District of Columbia			13,030,899			14,006,563		1.60	%
New Jersey			10,461,226			11,191,295		1.28	%
Michigan			10,664,100			10,736,783		1.23	%
Massachusetts			10,151,621			10,515,487		1.20	%
Tennessee			9,390,657			9,379,311		1.07	%
Missouri			8,862,512			8,850,162		1.01	%
Canada			8,700,383			8,813,132		1.01	%
Idaho			8,405,946			8,470,065		0.97	%
Minnesota			5,976,818			5,907,639		0.68	%
Louisiana			5,538,823			5,536,231		0.63	%
South Carolina			4,946,375			5,083,862		0.58	%
United Kingdom			20,710,205			437,002		0.05	%
		$	902,143,550		$	874,460,683		100.00	%

Summary of industry concentration of investment portfolio

The following is a summary of industry concentration of our investment portfolio as of March 31, 2024:


								% of Total
								Investments at
		Cost			Fair Value			Fair Value
Services: Business		$	197,937,690		$	209,619,236		23.94	%
Healthcare & Pharmaceuticals			108,417,180			110,328,971		12.61	%
High Tech Industries			71,603,900			72,553,276		8.28	%
Media: Advertising, Printing & Publishing			62,240,408			63,533,613		7.25	%
Consumer Goods: Non-Durable			63,003,175			52,686,261		6.02	%
Beverage, Food, & Tobacco			42,350,360			46,034,041		5.26	%
Consumer Goods: Durable			48,514,565			43,572,505		4.97	%
Capital Equipment			40,632,591			42,389,663		4.84	%
Services: Consumer			27,947,881			26,392,967		3.01	%
Aerospace & Defense			27,195,732			25,280,263		2.89	%
Environmental Industries			25,011,083			24,001,700		2.74	%
Chemicals, Plastics, & Rubber			18,306,671			18,043,304		2.06	%
Transportation & Logistics			17,209,566			17,616,857		2.01	%
Metals & Mining			16,548,784			16,581,249		1.89	%
Construction & Building			15,903,214			15,957,856		1.82	%
Containers, Packaging, & Glass			17,435,678			15,784,005		1.80	%
Media: Broadcasting & Subscription			13,145,742			15,597,841		1.78	%
Retail			14,835,204			14,707,696		1.68	%
Energy: Oil & Gas			11,387,780			10,197,892		1.16	%
Education			10,318,849			8,077,149		0.92	%
FIRE: Real Estate			17,934,808			7,362,234		0.84	%
Hotel, Gaming, & Leisure			5,933,802			6,847,793		0.78	%
Finance			557,135			6,825,990		0.78	%
Media: Diversified & Production			5,781,913			5,891,784		0.67	%
Total		$	880,153,711		$	875,884,146		100.00	%

The following is a summary of industry concentration of our investment portfolio as of December 31, 2023:


								% of Total
								Investments
		Cost			Fair Value			at Fair Value
Services: Business		$	198,018,290		$	207,963,749		23.78	%
Healthcare & Pharmaceuticals			100,724,952			102,915,887		11.77	%
High Tech Industries			90,795,799			91,992,012		10.52	%
Media: Advertising, Printing & Publishing			57,640,321			58,741,061		6.72	%
Consumer Goods: Non-Durable			63,145,301			52,938,611		6.05	%
Beverage, Food, & Tobacco			42,554,582			45,074,817		5.15	%
Consumer Goods: Durable			49,046,730			43,725,324		5.00	%
Capital Equipment			32,517,673			33,879,801		3.87	%
Services: Consumer			33,976,976			33,260,111		3.80	%
Construction & Building			30,319,119			30,486,411		3.49	%
Aerospace & Defense			46,745,104			24,541,921		2.81	%
Environmental Industries			24,219,811			22,997,844		2.63	%
Media: Broadcasting & Subscription			17,952,103			20,760,920		2.37	%
Transportation & Logistics			17,235,150			17,661,859		2.02	%
Chemicals, Plastics, & Rubber			18,338,366			17,569,176		2.01	%
Metals & Mining			16,580,562			16,625,000		1.90	%
Containers, Packaging, & Glass			17,432,252			15,539,555		1.78	%
Utilities: Oil & Gas			9,943,041			10,000,000		1.14	%
Education			10,251,179			8,367,469		0.96	%
FIRE: Real Estate			17,285,138			6,175,994		0.71	%
Media: Diversified & Production			5,662,174			5,763,247		0.66	%
Finance			569,039			5,736,868		0.66	%
Hotel, Gaming, & Leisure			—			890,968		0.10	%
Energy: Oil & Gas			1,189,888			852,078		0.10	%
		$	902,143,550		$	874,460,683		100.00	%

Schedule of quantitative information about Level 3 fair value measurements

The following provides quantitative information about Level 3 fair value measurements as of March 31, 2024:


Description:		Fair Value			Valuation Technique		Unobservable Inputs		Range (Average)⁽¹⁾⁽³⁾
First lien debt		$	782,845,785		Income/Market		HY credit spreads,		-4.12% to 6.99% (-0.67%)
					approach⁽²⁾		Risk free rates		-2.73% to 2.59% (0.46%)
							Market multiples		5.2x to 22.5x (11.0x)⁽⁴⁾

Second lien debt		$	11,948,850		Income/Market		HY credit spreads,		-1.45% to -0.77% (-1.11%)
					approach⁽²⁾		Risk free rates		0.05% to 0.07% (0.06%)
							Market multiples		6.5x to 8.7x (7.6x)⁽⁴⁾

Unsecured debt		$	6,210,612		Income/Market		HY credit spreads,		-0.55% to -0.55% (-0.55%)
					approach⁽²⁾		Risk free rates		0.04% to 0.04% (0.04%)
							Market multiples		9.5x to 9.5x (9.5x)(4)

Equity investments		$	74,878,899		Market approach⁽⁵⁾		Underwriting multiple/
							EBITDA multiple		3.6x to 23.4x (12.3x)
Total Long Term Level 3 Investments		$	875,884,146

(1)	Weighted average based on fair value as of March 31, 2024.

(2)	Included 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, 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 could result in a significantly lower or higher fair value measurement. As an example, the “Range (Average)” for 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 -4.12% (-412 basis points) to 6.99% (699 basis points). The average of all changes was -0.67% (-67 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 could 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, 2023:



Description:		Fair Value			Valuation Technique		Unobservable Inputs		Range (Average)⁽¹⁾⁽³⁾
First lien debt		$	774,789,320		Income/Market		HY credit spreads,		-3.00% to 8.11% (-0.23%)
					approach(2)		Risk free rates		-1.62% to 2.03% (0.04%)
							Market multiples		5.2x to 22.5x (11.0x)(4)

Second lien debt		$	21,957,500		Income/Market		HY credit spreads,		-0.97% to -0.33% (-0.63%)
					approach(2)		Risk free rates		-0.51% to 0.31% (-0.23%)
							Market multiples		6.5x to 17.5x (10.9x)(4)

Unsecured debt		$	5,956,280		Income/Market		HY credit spreads,		4.98% to 4.98% (4.98%)
					approach(2)		Risk free rates		4.47% to 4.47% (4.47%)
							Market multiples		9.5x to 9.5x (9.5x)(4)

Equity investments		$	71,757,583		Market approach(5)		Underwriting multiple/
							EBITDA multiple		3.5x to 23.2x (12.1x)
Total Long Term Level 3 Investments		$	874,460,683

(1)	Weighted average based on fair value as of December 31, 2023.

(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 rates based on the published forward LIBOR 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 -3.00% (-300 basis points) to 8.11% (811 basis points). The average of all changes was -0.23% (-23 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.

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details