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PORTFOLIO INVESTMENTS AND FAIR VALUE (Tables)
6 Months Ended
Jun. 30, 2024
PORTFOLIO INVESTMENTS AND FAIR VALUE  
Schedule of total fair value and cost of investments

At June 30, 2024, the Company had investments in 100 portfolio companies. The composition of our investments as of June 30, 2024 is as follows:

​

​

​

​

​

​

​

​

​

Cost

​

Fair Value

Senior Secured – First Lien(1)

​

$

829,427,074

​

$

807,170,632

Senior Secured – Second Lien

​

 

12,053,692

​

​

11,948,850

Unsecured Debt

​

 

6,529,163

​

​

6,434,510

Equity

​

 

61,507,960

​

​

74,124,457

Total Investments

​

$

909,517,889

​

$

899,678,449

(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 4.3% 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 June 30, 2024 and December 31, 2023 were as follows:

​

​

​

​

​

​

​

​

    

June 30, 2024

    

December 31, 2023

Aggregate cost of portfolio company securities

​

$

909,517,889

​

$

902,143,550

Gross unrealized appreciation of portfolio company securities

​

 

41,566,254

​

 

38,379,839

Gross unrealized depreciation of portfolio company securities

​

 

(50,517,053)

​

 

(65,262,547)

Gross unrealized appreciation on foreign currency translations of portfolio company securities

​

​

6,832

​

​

11,142

Gross unrealized depreciation on foreign currency translations of portfolio company securities

​

​

(895,473)

​

​

(811,301)

Aggregate fair value of portfolio company securities

​

$

899,678,449

​

$

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 June 30, 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

​

$

—

​

$

—

​

$

807,170,632

​

$

807,170,632

Senior Secured – Second Lien

​

 

—

​

 

—

​

 

11,948,850

​

 

11,948,850

Unsecured Debt

​

 

—

​

 

—

​

 

6,434,510

​

 

6,434,510

Equity

​

 

—

​

 

—

​

 

74,124,457

​

 

74,124,457

Total Investments

​

$

—

​

$

—

​

$

899,678,449

​

$

899,678,449

​

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 six months ended June 30, 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

​

 

91,773,227

​

 

—

​

 

104,064

​

 

2,976,848

​

 

94,854,139

Payment-in-kind interest

​

 

1,276,591

​

 

—

​

 

279,277

​

 

—

​

 

1,555,868

Sales and redemptions

​

 

(58,776,411)

​

 

(9,782,348)

​

 

—

​

 

(3,363,259)

​

 

(71,922,018)

Realized (losses) gains

​

 

—

​

 

(20,475,000)

​

 

—

​

 

1,977,726

​

 

(18,497,274)

Change in unrealized appreciation included in earnings(1)

​

 

(3,142,612)

​

 

20,207,225

​

 

87,604

​

 

779,692

​

 

17,931,909

Change in unrealized depreciation on foreign currency included in earnings

​

​

(84,000)

​

​

—

​

 

(349)

​

 

(4,133)

​

 

(88,482)

Amortization of premium and accretion of discount, net

​

 

1,334,517

​

 

41,473

​

 

7,634

​

 

—

​

 

1,383,624

Fair value at end of period

​

$

807,170,632

​

$

11,948,850

​

$

6,434,510

​

$

74,124,457

​

$

899,678,449

(1)Includes reversal of positions during the six months ended June 30, 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 June 30, 2024:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

% of Total

 

​

​

​

​

​

​

​

​

Investments at

​

​

​

Cost

​

Fair Value

​

Fair Value

Texas

 

$

190,397,619

 

$

182,310,319

 

20.26

%

California

 

​

175,231,067

 

​

167,876,824

 

18.66

%

Florida

 

​

97,112,470

 

​

95,037,776

 

10.56

%

Pennsylvania

 

​

50,135,079

 

​

50,880,596

 

5.66

%

Illinois

 

​

60,071,025

 

​

50,057,978

 

5.56

%

Arizona

 

​

43,670,291

 

​

46,107,597

 

5.12

%

Ohio

 

​

32,503,385

 

​

33,898,064

 

3.77

%

Colorado

 

​

31,592,859

 

​

30,213,198

 

3.36

%

Wisconsin

 

​

27,376,583

 

​

26,652,648

 

2.96

%

New York

 

​

23,410,121

 

​

23,776,815

 

2.64

%

Canada

 

​

23,591,112

 

​

23,720,849

 

2.64

%

Georgia

 

​

11,689,719

 

​

21,497,197

 

2.39

%

Massachusetts

 

​

17,803,910

 

​

18,188,672

 

2.02

%

Missouri

 

​

16,862,205

 

​

16,878,753

 

1.88

%

District of Columbia

 

​

12,907,715

 

​

14,931,792

 

1.66

%

North Carolina

 

​

13,837,116

 

​

14,545,047

 

1.62

%

New Jersey

 

​

12,657,028

 

​

13,723,098

 

1.53

%

Indiana

 

​

13,310,323

 

​

13,359,110

 

1.48

%

Michigan

 

​

10,632,842

 

​

10,675,129

 

1.19

%

Tennessee

 

​

9,380,372

 

​

9,503,729

 

1.06

%

Washington

 

​

8,224,142

 

​

8,268,232

 

0.92

%

Idaho

 

​

8,139,043

 

​

8,194,898

 

0.91

%

Louisiana

 

​

7,368,587

 

​

7,571,666

 

0.84

%

Minnesota

 

​

6,254,365

 

​

6,298,112

 

0.70

%

South Carolina

 

​

4,828,567

 

​

4,976,220

 

0.55

%

United Kingdom

 

​

438,063

 

​

443,358

 

0.05

%

Maryland

 

​

92,281

 

​

90,772

 

0.01

%

Total Investments at Fair Value

​

$

909,517,889

​

$

899,678,449

 

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

%

Total Investments at Fair Value

​

$

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 June 30, 2024:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

% of Total

 

​

​

​

​

​

​

​

​

Investments at

​

​

​

Cost

​

Fair Value

​

Fair Value

 

Services: Business

​

$

202,749,474

​

$

213,983,941

 

23.79

%

Healthcare & Pharmaceuticals

​

 

101,386,605

​

​

101,756,317

 

11.32

%

High Tech Industries

​

 

79,664,820

​

​

80,852,810

 

8.99

%

Media: Advertising, Printing & Publishing

​

 

72,108,946

​

​

73,574,049

 

8.18

%

Capital Equipment

​

 

52,138,481

​

​

53,627,751

 

5.96

%

Beverage, Food, & Tobacco

​

 

48,771,753

​

​

52,344,722

 

5.82

%

Consumer Goods: Non-Durable

​

 

63,718,753

​

​

51,305,443

 

5.70

%

Consumer Goods: Durable

​

 

48,269,368

​

​

42,809,175

 

4.76

%

Environmental Industries

​

 

27,282,468

​

​

26,475,138

 

2.94

%

Services: Consumer

​

 

28,016,420

​

​

25,404,537

 

2.82

%

Aerospace & Defense

​

 

27,343,433

​

​

24,668,190

 

2.74

%

Chemicals, Plastics, & Rubber

​

 

22,846,701

​

​

22,833,761

 

2.54

%

Construction & Building

​

 

21,430,125

​

​

21,540,125

 

2.39

%

Transportation & Logistics

​

 

17,227,934

​

​

17,521,862

 

1.95

%

Containers, Packaging, & Glass

​

 

17,416,591

​

​

16,014,420

 

1.78

%

Retail

​

 

14,853,049

​

​

14,717,767

 

1.64

%

Media: Broadcasting & Subscription

​

 

12,227,156

​

​

14,248,411

 

1.58

%

Energy: Oil & Gas

​

 

11,376,162

​

​

10,532,005

 

1.17

%

Education

​

 

10,482,969

​

​

8,005,290

 

0.89

%

FIRE: Real Estate

​

 

17,934,808

​

​

7,500,423

 

0.83

%

Finance

​

 

557,135

​

​

7,128,653

 

0.79

%

Hotel, Gaming, & Leisure

​

 

5,925,134

​

​

6,949,968

 

0.77

%

Media: Diversified & Production

​

 

5,789,604

​

​

5,883,691

 

0.65

%

Total Investments at Fair Value

​

$

909,517,889

​

$

899,678,449

 

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

%

Total Investments at Fair Value

​

$

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 June 30, 2024:

​

​

​

​

​

​

​

​

​

​

Description:

    

Fair Value

    

Valuation Technique

    

Unobservable Inputs

    

Range (Average)(1)(3)

First lien debt

​

$

807,170,632

 

Income/Market

 

HY credit spreads,

​

-4.75% to 6.36% (-0.65%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

-2.46% to 2.75% (0.60%)

​

​

​

​

​

​

 

Market multiples

​

5.3x to 24.1x (11.8x)(4)

​

​

​

​

​

​

​

​

​

​

Second lien debt

​

$

11,948,850

​

Income/Market

 

HY credit spreads,

​

-2.08% to -0.76% (-1.42%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

0.22% to 0.23% (0.22%)

​

​

​

​

 

​

 

Market multiples

​

5.1 to 10.1x (7.6x)(4)

​

​

​

​

​

​

​

​

​

​

Unsecured debt

​

$

6,434,510

​

Income/Market

 

HY credit spreads,

​

-1.18% to -1.18% (-1.18%)

​

​

​

​

 

approach(2)

 

Risk free rates

​

0.04% to 0.04% (0.04%)

​

​

​

​

​

​

​

​

​

​

Equity investments

​

$

74,124,457

 

Market approach(5)

 

Underwriting multiple/

​

​

​

​

​

​

​

​

 

EBITDA multiple

​

3.5x to 19.3x (11.7x)

Total Long Term Level 3 Investments

​

$

899,678,449

 

  

 

  

  

​

(1)Weighted average based on fair value as of June 30, 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 -4.75% (-475 basis points) to 6.36% (636 basis points). The average of all changes was -0.65% (-65 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.