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FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures

The following tables present fair value measurements of investments, by major class, and cash equivalents as of September 30, 2024 and December 31, 2023, according to the fair value hierarchy:


As of September 30, 2024	Level 1		Level 2		Level 3		Total
Assets:
First-Lien Debt	$	—	$	52,036	$	1,791,571	$	1,843,607
Subordinated Debt 1	—		—		169,455		169,455
Equity Investments	—		—		33,825		33,825
Cash Equivalents	62,480		—		—		62,480
Total	$	62,480	$	52,036	$	1,994,851	$	2,109,367

_____________________

1 Subordinated Debt is further comprised of second lien term loans and/or second lien notes of $67,947, mezzanine debt of $99,925 and $1,583 of structured debt.


As of December 31, 2023	Level 1		Level 2		Level 3		Total
Assets:
First-Lien Debt	$	—	$	34,481	$	1,393,011	$	1,427,492
Subordinated Debt 1	—		8,691		174,696		183,387
Equity Investments	—		—		30,807		30,807
Cash Equivalents	64,477		—		—		64,477
Total	$	64,477	$	43,172	$	1,598,514	$	1,706,163

_____________________

1 Subordinated Debt is further comprised of second lien term loans and/or second lien notes of $97,203, mezzanine debt of $83,528 and $2,656 of structured debt.

The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the following periods:


	As of and for the Three Months Ended September 30, 2024
	First-Lien Debt		Subordinated Debt		Equity Investments		Total
Balance as of June 30, 2024	$	1,724,399	$	154,692	$	32,176	$	1,911,267
Purchase of investments	185,445		14,802		1,372		201,619
Proceeds from principal repayments and sales of investments	(120,908)		(4,103)		—		(125,011)
Payment-in-kind interest	172		2,331		—		2,503
Amortization of premium/accretion of discount, net	708		119		—		827
Net realized gain (loss) on investments	810		103		—		913
Net change in unrealized appreciation (depreciation) on investments	2,233		1,511		277		4,021
Transfers out of Level 3 (1)	(17,813)		—		—		(17,813)
Transfers to Level 3 (1)	16,525		—		—		16,525

Balance as of September 30, 2024	$	1,791,571	$	169,455	$	33,825	$	1,994,851

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2024	$	2,661	$	1,564	$	277	$	4,502


	As of and for the Nine Months Ended September 30, 2024
	First-Lien Debt		Subordinated Debt		Equity Investments		Total
Balance as of December 31, 2023	$	1,393,011	$	174,696	$	30,807	$	1,598,514
Purchase of investments	626,552		24,953		4,360		655,865
Proceeds from principal repayments and sales of investments	(244,709)		(22,692)		(73)		(267,474)
Payment-in-kind interest	580		5,444		—		6,024
Amortization of premium/accretion of discount, net	118		420		—		538
Net realized gain (loss) on investments	(2,176)		375		—		(1,801)
Net change in unrealized appreciation (depreciation) on investments	10,594		(13,741)		(1,269)		(4,416)
Transfers out of Level 3 (1)	(11,899)		—		—		(11,899)
Transfers to Level 3 (1)	19,500		—		—		19,500

Balance as of September 30, 2024	$	1,791,571	$	169,455	$	33,825	$	1,994,851

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2024	$	5,370	$	(13,916)	$	(1,269)	$	(9,815)

_______________

(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three and nine months ended September 30, 2024, transfers into Level 3 from Level 2 were a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Three Months Ended September 30, 2023
	First-Lien Debt		Subordinated Debt		Equity Investments		Total
Balance as of June 30, 2023	$	1,152,917	$	155,148	$	24,894	$	1,332,959
Purchase of investments	126,344		19,437		5,064		150,845
Proceeds from principal repayments and sales of investments	(17,172)		(252)		—		(17,424)
Payment-in-kind interest	—		951		—		951
Amortization of premium/accretion of discount, net	373		82		—		455
Net realized gain (loss) on investments	(13,153)		1		—		(13,152)
Net change in unrealized appreciation (depreciation) on investments	14,327		(549)		(1,943)		11,835
Transfers out of Level 3 (1)	(9,540)		(8,360)		—		(17,900)

Balance as of September 30, 2023	$	1,254,096	$	166,458	$	28,015	$	1,448,569

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2023	$	2,153	$	(548)	$	(1,943)	$	(338)


	As of and for the Nine Months Ended September 30, 2023
	First-Lien Debt		Subordinated Debt		Equity Investments		Total
Balance as of December 31, 2022	$	1,016,856	$	133,243	$	27,313	$	1,177,412
Purchase of investments	290,203		54,688		7,880		352,771
Proceeds from principal repayments and sales of investments	(41,652)		(12,300)		(8,667)		(62,619)
Payment-in-kind interest	—		1,823		—		1,823
Amortization of premium/accretion of discount, net	1,642		314		—		1,956
Net realized gain (loss) on investments	(12,762)		197		6,111		(6,454)
Net change in unrealized appreciation (depreciation) on investments	5,503		(3,060)		(4,622)		(2,179)
Transfers out of Level 3 (1)	(14,042)		(8,447)		—		(22,489)
Transfers to Level 3 (1)	8,348		—		—		8,348
Balance as of September 30, 2023	$	1,254,096	$	166,458	$	28,015	$	1,448,569

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2023	$	(1,035)	$	(3,036)	$	1,426	$	(2,645)

_______________

(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three and nine months ended September 30, 2023, transfers into Level 3 from Level 2 were a result of changes in the observability of significant inputs for certain portfolio companies.

Significant Unobservable Inputs

ASC Topic 820 requires disclosure of quantitative information about the significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3 within the fair value hierarchy. The valuation techniques and significant unobservable inputs used in Level 3 fair value measurements of assets as of September 30, 2024 and December 31, 2023 were as follows:

Investment Type

Fair Value at September 30, 2024

Valuation Techniques

Unobservable Inputs

Ranges

Weighted Average

First-Lien Debt

1,584,187

Yield Method

Market Yield Discount Rates

6.09%

22.50%

9.48%

First-Lien Debt

19,979

Market Approach

EBITDA Multiple

6.50x

12.00x

9.15x

Subordinated Debt

152,687

Yield Method

Market Yield Discount Rates

11.46%

25.41%

15.00%

Subordinated Debt

1,800

Market Approach

EBITDA Multiple

8.63x

Subordinated Debt

1,825

Black-Scholes

EBITDA Multiple

11.25x

Equity

168

Yield Method

Market Yield Discount Rates

8.36%

Equity

33,160

Market Approach

EBITDA Multiple

5.75x

20.50x

11.85x

Equity

Market Approach

Revenue Multiple

0.85x

Total

1,793,812

First-Lien Debt in the amount of $187,405, Subordinated Debt in the amount of $13,143 and equity investments in the amount of $491 at September 30, 2024 have been excluded from the table above, because the investments are valued using a recent transaction.

Investment Type

Fair Value at December 31, 2023

Valuation Techniques

Unobservable Inputs

Ranges

Weighted Average

First-Lien Debt

1,192,190

Yield Method

Market Yield Discount Rates

6.13%

18.73%

10.63%

First-Lien Debt

19,519

Market Approach

EBITDA Multiple

6.50x

9.25x

7.21x

Subordinated Debt

162,646

Yield Method

Market Yield Discount Rates

9.70%

24.91%

14.44%

Equity

158

Yield Method

Market Yield Discount Rates

8.36%

Equity

29,390

Market Approach

EBITDA Multiple

6.50x

19.50x

10.96x

Equity

Market Approach

Blended EBITDA Multiple

13.25x

Blended Revenue Multiple

1.40x

Total

1,403,905

First-Lien Debt in the amount of $181,302, Subordinated Debt in the amount of $12,050 and equity investments in the amount of $1,257 at December 31, 2023 have been excluded from the table above, because the investments are valued using a recent transaction.

Debt investments are generally valued using the yield method. Under the yield method, a price is ascribed for each investment based upon an assessment of current and expected market yields for similar investments and risk profiles. Additional consideration is given to the expected life, portfolio company performance since close, and other terms and risks associated with an investment. Among other factors, a determinant of risk is the amount of leverage used by the portfolio company relative to its total enterprise value, and the rights and remedies of the Company’s investment within the portfolio company’s capital structure. Debt investments may also be valued using a market approach, The market approach utilizes market value (EBITDA) multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. Certain factors are considered when selecting the appropriate companies whose multiples are used in the valuation. These factors may include the type of organization, similarity to the business being valued and, relevant risk factors, as well as size, profitability and growth expectations. A recent transaction, if applicable, also may be factored into the valuation if the transaction price is believed to be an indicator of value.

Equity investments are generally valued using a market approach, which utilizes market value (EBITDA or revenue) multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. The selected multiple is used to estimate the enterprise value of the underlying investment.

The significant unobservable input used under the yield method is a discount rate based on comparable market yields. Significant increases in discount rates in isolation would result in a significantly lower fair value measurement. The significant unobservable input used in the market approach is the performance multiple, which may include a revenue multiple, EBITDA multiple, or forward-looking metrics. The multiple is used to estimate the enterprise value of the underlying investment. An increase or decrease in the multiple would result in an increase or decrease, respectively, in the fair value.

Alternative valuation methodologies may be used as deemed appropriate for debt or equity investments, and may include, but are not limited to, a market approach, income approach, or liquidation (recovery) approach.

Weighted average inputs are calculated based on the relative fair value of the investments.

Financial Instruments disclosed but not carried at fair value

The fair value of the Company's credit facilities, which would be categorized as Level 3 within the fair value hierarchy approximates their carrying values. These fair value measurements were based on significant inputs not observable and thus represent Level 3 measurements. The fair value of the 2022 Debt, the 2023 Debt and the 2024 Debt (as defined in Note 6) were based on market quotations(s) received from broker/dealer(s). These fair value measurements were based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly and thus represent Level 2 measurements. The carrying value and fair value of the Company’s debt obligations were as follows:


	September 30, 2024				December 31, 2023
	Carrying Value (1)		Fair Value		Carrying Value (1)		Fair Value
Wells Fargo Financing Facility	$	95,000	$	95,000	$	231,000	$	231,000

SMBC Financing Facility	122,500		122,500		37,377		37,377
Revolving Credit Facility	112,750		112,750		126,500		126,500
2022 Debt	342,000		345,256		342,000		338,345
2023 Debt	214,714		217,238		215,000		213,976
2024 Debt	215,000		216,317		—		—
Total	$	1,101,964	$	1,109,061	$	951,877	$	947,198

_______________

(1)Carrying value on the consolidated statements of assets and liabilities are net of deferred financing costs.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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+ Details