XML 21 R11.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures

The following table presents fair value measurements of investments, by major class as of June 30, 2023 and December 31, 2022, according to the fair value hierarchy:


As of June 30, 2023	Level 1		Level 2		Level 3		Total
Assets:
First Lien Term Loans	$	—	$	—	$	294,555	$	294,555
Subordinated Debt (1)	—		—		89,541		89,541
Equity Investments	—		—		5,490		5,490
Cash Equivalents	6,606		—		—		6,606
Total	$	6,606	$	—	$	389,586	$	396,192

_______________

(1)Subordinated Debt is further comprised of second lien term loans and/or second lien notes of $34,229 and mezzanine debt of $55,312.


As of December 31, 2022	Level 1		Level 2		Level 3		Total
Assets:
First Lien Term Loans	$	—	$	1,704	$	249,667	$	251,371
Subordinated Debt (1)	—		—		93,809		93,809
Equity Investments	—		—		4,338		4,338
Total	$	—	$	1,704	$	347,814	$	349,518

_______________

(1)Subordinated Debt is further comprised of second lien term loans and/or second lien notes of $30,906 and mezzanine debt of $62,903.

The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three and six months ended June 30, 2023:


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of March 31, 2023	$	271,509	$	99,293	$	5,613	$	376,415
Purchase of investments	22,496		422		430		23,348
Proceeds from principal repayments and sales of investments	(1,465)		(10,212)		(392)		(12,069)
Payment-in-kind interest	—		511		—		511
Amortization of premium/accretion of discount, net	153		57		—		210
Net realized gain (loss) on investments	8		311		291		610
Net change in unrealized appreciation (depreciation) on investments	83		(841)		(452)		(1,210)

Transfers to Level 3 (1)	1,771		—		—		1,771
Balance as of June 30, 2023	$	294,555	$	89,541	$	5,490	$	389,586

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of June 30, 2023	$	83	$	(542)	$	(261)	$	(720)


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of December 31, 2022	$	249,668	$	93,808	$	4,338	$	347,814
Purchase of investments	46,514		5,467		1,548		53,529
Proceeds from principal repayments and sales of investments	(2,800)		(10,212)		(392)		(13,404)
Payment-in-kind interest	—		1,074		—		1,074
Amortization of premium/accretion of discount, net	352		138		—		490
Net realized gain (loss) on investments	15		312		291		618
Net change in unrealized appreciation (depreciation) on investments	(898)		(1,046)		(295)		(2,239)

Transfers to Level 3 (1)	1,704		—		—		1,704
Balance as of June 30, 2023	$	294,555	$	89,541	$	5,490	$	389,586

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of June 30, 2023	$	(898)	$	(721)	$	(119)	$	(1,738)

________________

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

The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended June 30, 2022 and for the period February 28, 2022 (inception) through June 30, 2022:


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of March 31, 2022	$	180,987	$	113,970	$	1,274	$	296,231
Purchase of investments	25,128		—		107		25,235
Proceeds from principal repayments and sales of investments	(7,590)		(19,000)		—		(26,590)

Amortization of premium/accretion of discount, net	116		75		—		191
Net realized gain (loss) on investments	14		(281)		—		(267)
Net change in unrealized appreciation (depreciation) on investments	(1,312)		(37)		344		(1,005)


Balance as of June 30, 2022	$	197,343	$	94,727	$	1,725	$	293,795

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of June 30, 2022	$	(1,312)	$	(37)	$	344	$	(1,005)


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of February 8, 2022 (inception)	$	—	$	—	$	—	$	—
Purchase of investments	206,115		113,970		1,381		321,466
Proceeds from principal repayments and sales of investments	(7,590)		(19,000)		—		(26,590)

Amortization of premium/accretion of discount, net	116		75		—		191
Net realized gain (loss) on investments	14		(281)		—		(267)
Net change in unrealized appreciation (depreciation) on investments	(1,312)		(37)		344		(1,005)


Balance as of June 30, 2022	$	197,343	$	94,727	$	1,725	$	293,795

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of June 30, 2022	$	(1,312)	$	(37)	$	344	$	(1,005)

Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three months ended June 30, 2022 and for the period from February 8, 2022 (inception) through June 30, 2022, there were no transfers into or out of Level 3.

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 June 30, 2023 and December 31, 2022 were as follows:


Investment Type	Fair Value at June 30, 2023		Valuation Techniques	Unobservable Inputs	Ranges				Weighted Average
First Lien Term Loans	$	273,875	Yield Method	Discount Rate	8.82	%	14.25	%	11.19	%
First Lien Term Loans	20,680		Recent Transaction	Transaction Price	98.00		100.00		98.61
Subordinated Debt	89,541		Yield Method	Discount Rate	11.57	%	22.51	%	14.28	%

Equity Investments	5,179		Market Approach	EBITDA Multiple	8.00x		19.50x		10.79x
Total	$	389,275

Equity investments in the amount of $311 at June 30, 2023 have been excluded from the table above as the investments are valued using recent transaction price.


Investment Type	Fair Value at December 31, 2022		Valuation Techniques	Unobservable Inputs	Ranges				Weighted Average
First Lien Term Loans	$	228,304	Yield Method	Implied Discount Rate	8.98	%	13.37	%	10.63	%
First Lien Term Loans	21,363		Recent Transaction	Transaction Price	98.01		98.08		98.05
Subordinated Debt	88,391		Yield Method	Implied Discount Rate	8.88	%	17.94	%	13.39	%
Subordinated Debt	5,418		Recent Transaction	Transaction Price	97.58		98.08		97.82
Equity Investments	3,144		Enterprise Value	EBITDA Multiple	9.25x		13.50x		10.93x
Total	$	346,620

Equity investments in the amount of $1,194 at December 31, 2022 have been excluded from the table above as the investments are valued using recent transaction price.

- 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.

+ References + Details