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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2024

Summary of Fair Value Measurements of Investments

The following table presents fair value measurements of investments as of June 30, 2024 (in thousands):


Fair Value Hierarchy
	Level 1		Level 2			Level 3		Total
Senior Secured First Lien	$	—	$	—		$	432,906	$	432,906
Unitranche First Lien		—		25,001			980,266		1,005,267
Unitranche First Lien – Last Out		—		—			5,604		5,604
Senior Secured Second Lien		—		14,279			35,208		49,487
Unsecured Debt		—		—			15,633		15,633
Equity & Other		—		1,181			55,975		57,156
Subtotal	$	—	$	40,461		$	1,525,592	$	1,566,053
Investments Measured at NAV (1)									44,722
Total Investments								$	1,610,775

Foreign Currency Forward Contracts - Assets		—		2,765			—		2,765
Foreign Currency Forward Contracts - Liabilities		—		(42	)		—		(42	)

The following table presents fair value measurements of investments as of December 31, 2023 (in thousands):


Fair Value Hierarchy
	Level 1		Level 2			Level 3		Total
Senior Secured First Lien	$	—	$	19,265		$	409,945	$	429,210
Unitranche First Lien		—		25,083			948,781		973,864
Unitranche First Lien – Last Out		—		—			13,544		13,544
Senior Secured Second Lien		—		13,305			44,907		58,212
Unsecured Debt		—		—			4,061		4,061
Equity & Other		—		1,141			48,909		50,050
Subtotal	$	—	$	58,794		$	1,470,147	$	1,528,941
Investments Measured at NAV (1)									53,134
Total Investments								$	1,582,075

Foreign Currency Forward Contracts - Assets		—		5,128			—		5,128
Foreign Currency Forward Contracts - Liabilities		—		(84	)		—		(84	)

(1)

In accordance with ASC 820-10, certain investments that are measured using the net asset value per shares (or its equivalent) as a practical expedient for fair value have not been classified in the fair value hierarchy. These investments are generally not redeemable. 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.

Summary of Reconciliation of Investments that Use Level 3 Inputs

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the six months ended June 30, 2024, based off of the fair value hierarchy as of June 30, 2024 (in thousands):


	Senior Secured First Lien			Unitranche First Lien			Unitranche First - Last Out			Senior Secured Second Lien			Unsecured Debt		Equity & Other			Total
Balance as of January 1, 2024	$	409,945		$	948,781		$	13,544		$	44,907		$	4,061	$	48,909		$	1,470,147
Amortized discounts/premiums		1,133			3,052			88			129			4		—			4,406
Paid in-kind interest		1,150			1,180			398			984			419		—			4,131
Net realized gain (loss)		(4,096	)		(228	)		(2,308	)		—			—		1,678			(4,954	)
Net change in unrealized appreciation (depreciation)		(1,106	)		3,794			2,251			(2,053	)		808		4,369			8,063
Purchases		63,953			117,719			—			—			10,341		2,710			194,723
Sales/return of capital/principal repayments/paydowns		(40,619	)		(94,008	)		(8,369	)		(5,429	)		—		(1,691	)		(150,116	)
Transfers in		2,546			(24	)		—			—			—		—			2,522
Transfers out		—			—			—			(3,330	)		—		—			(3,330	)
Balance as of June 30, 2024	$	432,906		$	980,266		$	5,604		$	35,208		$	15,633	$	55,975		$	1,525,592
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2024	$	(1,106	)	$	3,794		$	2,251		$	(2,053	)	$	808	$	4,369		$	8,063

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the six months ended June 30, 2023, based off of the fair value hierarchy as of June 30, 2023 (in thousands):


	Senior Secured First Lien			Unitranche First Lien			Unitranche First - Last Out		Senior Secured Second Lien			Unsecured Debt		Equity & Other			Total
Balance as of January 1, 2023	$	277,786		$	771,348		$	13,827	$	56,586		$	4,533	$	43,907		$	1,167,987
Amortized discounts/premiums		720			2,246			15		122			4		—			3,107
Paid in-kind interest		466			218			334		328			369		—			1,715
Net realized gain (loss)		(5,459	)		(17	)		—		(470	)		—		241			(5,705	)
Net change in unrealized appreciation (depreciation)		4,248			418			107		1,249			13		1,453			7,488
Purchases		210,934			157,263			3		(35	)		676		3,263			372,104
Sales/return of capital/principal repayments/paydowns		(65,208	)		(32,107	)		—		(4,500	)		—		(997	)		(102,812	)
Transfers in		1,664			46,842			—		—			—		—			48,506
Transfers out		(18,960	)		—			—		(4,500	)		—		(395	)		(23,855	)
Balance as of June 30, 2023	$	406,191		$	946,211		$	14,286	$	48,780		$	5,595	$	47,472		$	1,468,535
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2023	$	(2,313	)	$	418		$	106	$	358		$	13	$	2,493		$	1,075

Summary of Fair Value of Level 3 Investments and Ranges of Significant Unobservable Inputs Used to Value Level 3 Investments

The following tables present the fair value of Level 3 investments and the ranges of significant unobservable inputs used to value the Company’s Level 3 investments as of June 30, 2024 and December 31, 2023. These ranges represent the significant unobservable inputs that were used in the valuation of each type of investment. These inputs are not representative of the inputs that could have been used in the valuation of any one investment. For example, the highest market yield presented in the table for senior secured first lien investments is appropriate for valuing a specific investment but may not be appropriate for valuing any other investment. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the Company’s Level 3 investments.


Security Type	Fair Value as of June 30, 2024 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Avg)
Senior Secured First Lien	$	366,748	Discounted Cash Flows	Discount Rate	10.1%	-	37.1%	(12.0%)
		31,075	Enterprise Value	Comparable EBITDA Multiple	3.7x	-	16.6x	(8.4x)
		5,558	Discounted Cash Flows	Royalty Payment Discount Rate			21.2%
		29,525	Broker Quoted	Broker Quote			N/A
	$	432,906

Unitranche First Lien	$	928,862	Discounted Cash Flows	Discount Rate	9.7%	-	18.9%	(11.6%)
		4,646	Enterprise Value	Comparable Revenue Multiple			0.5x
		46,758	Broker Quoted	Broker Quote			N/A
	$	980,266

Unitranche First Lien - Last Out	$	5,604	Discounted Cash Flows	Discount Rate	12.4%	-	15.7%	(14.8%)
	$	5,604

Senior Secured Second Lien	$	23,560	Discounted Cash Flows	Discount Rate	11.5%	-	13.9%	(12.5%)
		6,673	Enterprise Value	Comparable EBITDA Multiple	3.9x	-	9.3x	(5.6x)
		4,975	Broker Quoted	Broker Quote			N/A
	$	35,208

Unsecured Debt	$	14,112	Discounted Cash Flows	Discount Rate	12.1%	-	14.5%	(14.1%)
		1,521	Enterprise Value	Comparable EBITDA Multiple			11.9x
	$	15,633

Equity & Other	$	856	Discounted Cash Flows	Discount Rate			19.4%
		55,119	Enterprise Value	Comparable EBITDA Multiple	0.5x	-	28.2x	(16.3x)
	$	55,975

Total	$	1,525,592


Security Type	Fair Value as of December 31, 2023 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Avg)
Senior Secured First Lien	$	337,406	Discounted Cash Flows	Discount Rate	10.4%	-	19.3%	(12.0%)
		30,299	Enterprise Value	Comparable EBITDA Multiple	0.9x	-	11.3x	(6.5x)
		176	Collateral Analysis	Recovery Rate			1.3%
		8,253	Discounted Cash Flows	Royalty Payment Discount Rate			15.5%
		33,811	Broker Quoted	Broker Quote			N/A
	$	409,945

Unitranche First Lien	$	898,108	Discounted Cash Flows	Discount Rate	9.1%	-	18.6%	(11.8%)
		4,248	Enterprise Value	Comparable Revenue Multiple			0.6x
		46,425	Broker Quoted	Broker Quote			N/A
	$	948,781

Unitranche First Lien - Last Out	$	12,490	Discounted Cash Flows	Discount Rate	10.1%	-	17.4%	(12.8%)
		1,054	Collateral Analysis	Recovery Rate			20.7%
	$	13,544

Senior Secured Second Lien	$	32,051	Discounted Cash Flows	Discount Rate	13.2%	-	14.6%	(13.7%)
		7,878	Enterprise Value	Comparable EBITDA Multiple	3.4x	-	8.9x	(5.9x)
		4,978	Broker Quoted	Broker Quote			N/A
	$	44,907

Unsecured Debt	$	3,235	Discounted Cash Flows	Discount Rate	14.4%	-	18.1%	(15.9%)
		826	Enterprise Value	Comparable EBITDA Multiple			11.3x
	$	4,061

Equity & Other	$	435	Discounted Cash Flows	Discount Rate			18.2%
		48,474	Enterprise Value	Comparable EBITDA Multiple	1.8x	-	28.4x	(16.4x)
	$	48,909

Total	$	1,470,147

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details