FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2022

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 September 30, 2022:

	Level 1		Level 2		Level 3		Total
First lien secured loans	$	—	$	—	$	615,945	$	615,945
Second lien secured loans		—		—		20,383		20,383
Subordinated unsecured loans		—		—		167		167
Subordinated Note to STRS JV		—		—		80,000		80,000
Equity (excluding STRS JV)		—		—		25,993		25,993
Equity in STRS JV(1)		—		—		—		22,066
Total investments	$	—	$	—	$	742,488	$	764,554

(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, 2021:

	Level 1		Level 2		Level 3		Total
First lien secured loans	$	—	$	—	$	697,232	$	697,232
Second lien secured loans		—		—		23,650		23,650
Subordinated Note to STRS JV		—		—		167		167
Subordinated Note to STRS JV		—		—		60,000		60,000
Equity (excluding STRS JV)		—		—		22,552		22,552
Equity in STRS JV(1)		—		—		—		15,607
Total investments	$	—	$	—	$	803,601	$	819,208

(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.

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 three and nine months ended September 30, 2022:

	First Lien		Second Lien				Subordinated
	Secured		Secured		Subordinated		Notes to STRS				Total
Three months ended September 30, 2022	Loans		Loans		Notes		JV		Equity		Investments
Fair value, beginning of period	$	614,859	$	22,063	$	167	$	80,000	$	27,111	$	744,200
Funding of investments		52,893		—		—		—		408		53,301
Non-cash interest income		594		3		—		—		—		597
Accretion of discount		1,039		21		—		—		—		1,060
Proceeds from paydowns and sales		(48,549)		—		—		—		(1,011)		(49,560)
Conversions		—		—		—		—		—		—
Realized gains (losses)		45		—		—		—		154		199
Net unrealized (depreciation) appreciation		(4,936)		(1,704)		—		—		(669)		(7,309)
Fair value, end of period	$	615,945	$	20,383	$	167	$	80,000	$	25,993	$	742,488
Change in unrealized appreciation (depreciation) on investments still held as of September 30, 2022	$	(4,689)	$	(1,702)	$	—	$	—	$	(384)	$	(6,775)

	First Lien		Second Lien				Subordinated
	Secured		Secured		Subordinated		Notes to STRS				Total
Nine months ended September 30, 2022	Loans		Loans		Notes		JV		Equity		Investments
Fair value, beginning of period	$	697,232	$	23,650	$	167	$	60,000	$	22,552	$	803,601
Funding of investments		222,667		—		—		20,000		1,085		243,752
Non-cash interest income		1,548		5		—		—		—		1,553
Accretion of discount (premium)		3,972		64		—		—		—		4,036
Proceeds from paydowns and sales		(293,935)		—		—		—		(2,862)		(296,797)
Conversions		(4,060)		—		—		—		4,060		—
Realized gains (losses)		(16,994)		(1,024)		—		—		1,919		(16,099)
Net unrealized (depreciation) appreciation		5,515		(2,312)		—		—		(761)		2,442
Fair value, end of period	$	615,945	$	20,383	$	167	$	80,000	$	25,993	$	742,488
Change in unrealized appreciation (depreciation) on investments still held as of September 30, 2022	$	(6,691)	$	(3,336)	$	—	$	—	$	(600)	$	(10,627)

The following table presents the changes in investments measured at fair value using Level 3 inputs for the three and nine months ended September 30, 2021:

	First Lien		Second Lien				Subordinated
	Secured		Secured		Subordinated		Notes to STRS				Total
Three months ended September 30, 2021	Loans		Loans		Notes		JV		Equity		Investments
Fair value, beginning of period	$	562,837	$	29,714	$	—	$	49,809	$	16,033	$	658,393
Funding of investments		135,497		—		167		7,488		2,278		145,430
Non-cash interest income		173		1		—		—		—		174
Accretion of discount		2,115		29		—		—		—		2,144
Proceeds from paydowns and sales		(133,361)		—		—		—		—		(133,361)
Realized gains		120		—		—		—		(11)		109
Net unrealized (depreciation) appreciation		(2,385)		(82)		—		—		1,888		(579)
Fair value, end of period	$	564,996	$	29,662	$	167	$	57,297	$	20,188	$	672,310
Change in unrealized appreciation (depreciation) on investments still held as of September 30, 2021	$	216	$	112	$	—	$	—	$	2,931	$	3,259

	First Lien		Second Lien				Subordinated
	Secured		Secured		Subordinated		Notes to STRS				Total
Nine months ended September 30, 2021	Loans		Loans		Notes		JV		Equity		Investments
Fair value, beginning of period	$	588,580	$	27,596	$	—	$	41,073	$	23,319	$	680,568
Funding of investments		310,749		14,550		498		16,224		2,938		344,959
Non-cash interest income		857		3		—		—		—		860
Accretion of discount		5,549		125		—		—		(25)		5,649
Proceeds from paydowns and sales		(341,177)		(12,670)		(331)		—		(9,442)		(363,620)
Realized losses		8,288		—		—		—		(574)		7,714
Net unrealized (depreciation) appreciation		(7,850)		58		—		—		3,972		(3,820)
Fair value, end of period	$	564,996	$	29,662	$	167	$	57,297	$	20,188	$	672,310
Change in unrealized appreciation (depreciation) on investments still held as of September 30, 2021	$	1,516	$	113	$	—	$	—	$	3,211	$	4,840

Schedule of Quantitative information about Level 3 fair value measurements

	Fair Value as of		Valuation	Unobservable	Range
Investment Type	September 30, 2022		Techniques	Inputs	(Weighted Average)(1)
First lien secured loans	$	406,569	Discounted cash flows	Discount rate	7.5% – 19.9% (12.4%)
		37,014	Recent transaction	Transaction price	82.0 – 99.1 (91.8)
		111,055	Discounted cash flows and Recent transaction	Discount rate	7.6% – 13.5% (12.6%)
				Transaction price	92.4 – 100.0 (97.9)
		30,790	Discounted cash flows and Market quote	Discount Rate	10.5% – 11.8% (11.4%)
				Market Quote	85.2 – 95.1 (90.7)
		30,517	Expected repayment	Transaction price	100.0
	$	615,945
Second lien secured loans	$	3,274	Discounted cash flows	Discount rate	17.4%
		4,912	Discounted cash flows and Recent transaction	Transaction price	98.6
				Discount rate	12.2%
		12,197	Discounted cash flows and Market quote	Discount Rate	18.2%
				Market Quote	77.8
	$	20,383
Subordinated Notes	$	80,000	Enterprise value	–	–
		167	Discounted cash flows	Discount Rate	4.1%
	$	80,167
Preferred Equity	$	2,217	Discounted cash flows	Discount rate	24.3% – 25.5% (24.4%)
				EBITDA Multiple	9.0x
		816	Discounted cash flows and Enterprise value	Discount Rate	17.0%
				EBITDA Multiple	3.6x - 8.5x (6.1x)
				Discount for lack of marketability	15.0%
		853	Enterprise value	Discount Rate	11.7%
	$	3,886
Common Equity	$	1,614	Discounted cash flows	Discount rate	19.3% – 21.3% (21.1%)
				EBITDA Multiple	7.5x
		9,523	Discounted cash flows and Enterprise value	Discount Rate	12.0% – 19.4% (18.1%)
				EBITDA Multiple	4.8 - 12.1 (9.3x)
		361	Enterprise value	EBITDA Multiple	13.3x - 17.1x (15.2x)
				Discount for lack of marketability	10.0%
		219	Collateral value and Recent transaction	Transaction price	$1.30 per share
				EBITDA Multiple	8.0x
				Discount for lack of marketability	15.0%
		2,471	Collateral value	EBITDA Multiple	6.0x – 10.0x (8.0x)
				Discount for lack of marketability	15.0%
		400	Recent transaction	Transaction price	$1.00 per share
		1,264	Recent transaction and Enterprise value	Transaction price	$10.0 - 1,000.0 (482.4 per share)
				EBITDA Multiple	5.0x – 12.3x (8.8x)
				Discount for lack of marketability	15.0%
	$	15,852
Warrant		3,823	Discounted cash flows and Option-pricing method	Discount rate	19.3%
				EBITDA multiple	10.2x
				Discount for lack of marketability	15.0%
		2,432	Discounted cash flows	Discount Rate	0.5%
				EBITDA Multiple	0.3x
				Volatility	0.0%
				Discount for lack of marketability	0.4%
	$	6,255
Total Level 3 Investments	$	742,488

(1) Unobservable inputs were weighted by the relative fair value of the investments.

	Fair Value as of			Valuation	Unobservable	Range
Investment Type		December 31, 2021		Techniques	Inputs	(Weighted Average)(1)
First lien secured loans		$	358,921	Discounted cash flows	Discount rate	4.5% – 21.8% (9.8%)
					Exit EBITDA multiple	5.5x – 15.0x (8.3x)
			209,892	Recent transaction	Transaction price	94.5 – 99.1 (97.9)
			113,808	Discounted cash flows and Recent transaction	Discount rate	7.2% – 10.3% (8.6%)
					Transaction price	97.5 – 98.8 (98.4)
					Exit EBITDA multiple	7.0x – 11.0x (9.5x)
			7,542	Guideline public companies	LTM EBITDA multiple	5.1x
			7,069	Expected repayment	-	-
		$	697,232
Second lien secured loans		$	18,725	Discounted cash flows	Discount rate	11.5% – 22.3% (14.2%)
					Exit EBITDA multiple	6.5x – 8.5x (8.0x)
			4,925	Recent transaction	Transaction price	98.5
		$	23,650
Subordinated Notes		$	60,000	Enterprise value	-	-
			167	Recent transaction	Transaction price	100.0
		$	60,167
Preferred Equity		$	1,018	Similar transactions	LTM EBITDA multiple	9.7x
					Discount for lack of marketability	15.0%
			786	Discounted cash flows and Guideline public companies	Discount Rate	17.3%
					Exit EBITDA Multiple	11.0x
					LTM EBITDA Multiple	7.9x
					NFY EBITDA Multiple	7.5x
					Discount for lack of marketability	10.0%
			1,007	Recent transaction	Transaction price	$1.00 – $56.30 ($47.13) per share
		$	2,811
Common Equity		$	3,602	Discounted cash flows	Discount rate	13.0% – 22.7% (15.0%)
					Exit EBITDA Multiple	8.6x – 10.0x (9.6x)
					Discount for lack of marketability	10.0% – 15.0% (10.3%)
			8,124	Discounted cash flows, Guideline public companies and Expected repayment	Discount rate	14.0% – 19.0% (18.2%)
					Exit EBITDA Multiple	8.0x – 11.0x (10.5x)
					NFY EBITDA Multiple	8.6x – 10.8x (8.9x)
					Discount for lack of marketability	10.0%
					Transaction price	$1.00 per share
			2,052	Similar transactions	LTM EBITDA Multiple	6.0x – 13.4x (10.5x)
			1,502	Recent transaction	Transaction price	$1.00 – $1,000.00 ($289.95) per share
		$	15,280
Warrant			4,461	Discounted cash flows and Option-pricing method	Discount rate	22.7% – 29.5% (29.2%)
					Exit EBITDA multiple	5.5x – 8.6x (5.9x)
					Volatility	3.5% – 8.7% (3.6%)
					Discount for lack of marketability	15.0%
		$	4,461
Total Level 3 Investments		$	803,601

(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 September 30, 2022				As of December 31, 2021
	Fair	Principal Amount				Principal Amount
	Value Level	Outstanding		Fair Value		Outstanding		Fair Value
JPM Credit Facility	3	$	246,101	$	243,552	$	291,637	$	302,147
6.000% 2023 Notes	3		30,000		29,860		30,000		31,802
5.375% 2025 Notes	3		40,000		37,355		40,000		40,687
5.375% 2026 Notes	3		10,000		9,089		10,000		10,091
4.000% 2026 Notes	3		75,000		67,132		75,000		74,957
5.625% 2027 Notes	3		10,000		8,983		10,000		10,097
4.250% 2028 Notes	3		25,000		21,642		25,000		24,861
		$	436,101	$	417,613	$	481,637	$	494,642