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Fair Value of Investments

9 Months Ended

Sep. 30, 2023

The following tables present the fair value hierarchy of investments as of September 30, 2023 and December 31, 2022, categorized by the ASC 820 valuation hierarchy, as previously described:


	September 30, 2023
	Level 1		Level 2		Level 3		Total
First Lien Debt	$	—	$	757	$	841,486	$	842,243
Second Lien Debt	—		23,497		63,892		87,389
Total	$	—	$	24,254	$	905,378	$	929,632


	December 31, 2022
	Level 1		Level 2		Level 3		Total
First Lien Debt	$	—	$	—	$	66,971	$	66,971
Second Lien Debt	—		—		4,787		4,787
Total	$	—	$	—	$	71,758	$	71,758

The following tables present the change in the fair value of financial instruments as of September 30, 2023 and December 31, 2022 for which Level 3 inputs were used to determine the fair value:


	Three Months Ended September 30, 2023
	First Lien Debt		Second Lien Debt		Total Investments
Fair value, beginning of period	$	541,085	$	39,166	$	580,251
Purchases of investments	300,575		24,916		325,491
Proceeds from principal repayments and sales of investments	(7,634)		(873)		(8,507)
Accretion of discount/amortization of premium	615		59		674
Net realized gain (loss)	141		4		145
Net change in unrealized appreciation (depreciation)	6,704		620		7,324
Transfers into Level 3 (1)	—		—		—
Transfers out of Level 3 (1)	—		—		—
Fair value, end of period	$	841,486	$	63,892	$	905,378
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2023	$	6,704	$	620	$	7,324

(1)For the three months ended September 30, 2023, there were no transfers into or out of Level 3.


	Nine Months Ended September 30, 2023
	First Lien Debt		Second Lien Debt		Total Investments
Fair value, beginning of period	$	66,971	$	4,787	$	71,758
Purchases of investments	775,285		59,228		834,513
Proceeds from principal repayments and sales of investments	(9,020)		(873)		(9,893)
Accretion of discount/amortization of premium	734		66		800
Net realized gain (loss)	163		4		167
Net change in unrealized appreciation (depreciation)	7,353		680		8,033
Transfers into Level 3 (1)	—		—		—
Transfers out of Level 3 (1)	—		—		—
Fair value, end of period	$	841,486	$	63,892	$	905,378
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2023	$	7,327	$	680	$	8,007

(1)For the nine months ended September 30, 2023, there were no transfers into or out of Level 3.

Significant Unobservable Inputs

In accordance with ASC 820, the following tables provide quantitative information about the significant unobservable inputs of the Company’s Level 3 investments as of September 30, 2023 and December 31, 2022. The tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value.

September 30, 2023

Fair Value

Valuation Techniques

Unobservable
Input

Range/Input (Weighted Average)(1)

Assets:

First Lien Debt

530,053

Discounted cash flow

Comparative Yield

9.0% - 14.0% (11.0%)

First Lien Debt

311,433

Precedent Transaction

Transaction Price

Total First Lien Debt

841,486

Second Lien Debt

49,160

Discounted cash flow

Comparative Yield

11.0% - 14.0% (12.6%)

Second Lien Debt

14,732

Precedent Transaction

Transaction Price

Total Second Lien Debt

63,892

Total

905,378

December 31, 2022

Fair Value

Valuation Techniques

Unobservable
Input

Range/Input (Weighted Average)(1)

Assets:

First Lien Debt

66,971

Discounted cash flow

Comparative Yield

9.8% - 11.9% (10.8%)

Second Lien Debt

4,787

Discounted cash flow

Comparative Yield

12.4%
(12.4%)

Total

71,758

(1)Weighted averages are calculated based on fair value of investments.

The Company used the income approach to determine the fair value of certain Level 3 assets as of September 30, 2023 and December 31, 2022. The significant unobservable inputs used in the income approach is the comparative yield and discount rate. The comparative yield and discount rate is used to discount the estimated future cash flows expected to be received from the underlying investment. An increase/decrease in the comparative yield or discount rate would result in a decrease/increase, respectively, in the fair value.

Financial instruments disclosed but not carried at fair value

The carrying values of the debt obligations (Note 6) generally approximate their respective fair values due to their variable interest rates. The fair value of these debt obligations would be categorized as Level 2 under the ASC 820-10 hierarchy.

The carrying value of other financial assets and liabilities approximates their fair value based on the short term nature of these items.

- 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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