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FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures

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


As of September 30, 2023	Level 1		Level 2		Level 3		Total
Assets:
First Lien Term Loans	$	—	$	31,383	$	310,315	$	341,698
Subordinated Debt (1)	—		—		94,751		94,751
Equity Investments	—		—		9,328		9,328
Cash Equivalents	5,417		—		—		5,417
Total	$	5,417	$	31,383	$	414,394	$	451,194

_______________

(1)Subordinated Debt is further comprised of second lien term loans and/or second lien notes of $45,206 and mezzanine debt of $49,545.


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 nine months ended September 30, 2023:


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of June 30, 2023	$	294,555	$	89,541	$	5,490	$	389,586
Purchase of investments	28,637		4,509		3,763		36,909
Proceeds from principal repayments and sales of investments	(11,251)		—		—		(11,251)
Payment-in-kind interest	—		447		—		447
Amortization of premium/accretion of discount, net	67		47		—		114
Net realized gain (loss) on investments	75		—		—		75
Net change in unrealized appreciation (depreciation) on investments	34		207		75		316
Transfers out of Level 3 (1)	(1,802)		—		—		(1,802)


Balance as of September 30, 2023	$	310,315	$	94,751	$	9,328	$	414,394

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2023	$	53	$	207	$	75	$	335

________________

(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 one portfolio company.


	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	75,150		9,976		5,312		90,438
Proceeds from principal repayments and sales of investments	(14,041)		(10,212)		(392)		(24,645)
Payment-in-kind interest	—		1,521		—		1,521
Amortization of premium/accretion of discount, net	412		185		—		597
Net realized gain (loss) on investments	90		311		291		692
Net change in unrealized appreciation (depreciation) on investments	(964)		(838)		(221)		(2,023)



Balance as of September 30, 2023	$	310,315	$	94,751	$	9,328	$	414,394

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2023	$	(905)	$	(514)	$	(45)	$	(1,464)

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


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of June 30, 2022	$	197,343	$	94,727	$	1,725	$	293,795
Purchase of investments	25,868		3,556		1,002		30,426
Proceeds from principal repayments and sales of investments	(1,102)		—		—		(1,102)
Payment-in-kind interest	—		409		—		409
Amortization of premium/accretion of discount, net	82		52		—		134
Net realized gain (loss) on investments	3		—		—		3
Net change in unrealized appreciation (depreciation) on investments	(746)		(624)		113		(1,257)


Balance as of September 30, 2022	$	221,448	$	98,120	$	2,840	$	322,408

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2022	$	(746)	$	(624)	$	113	$	(1,257)


	First Lien Term Loans		Subordinated Debt		Equity Investments		Total
Balance as of February 8, 2022 (inception)	$	—	$	—	$	—	$	—
Purchase of investments	231,983		117,526		2,383		351,892
Proceeds from principal repayments and sales of investments	(8,692)		(19,000)		—		(27,692)
Payment-in-kind interest	—		409		—		409
Amortization of premium/accretion of discount, net	198		127		—		325
Net realized gain (loss) on investments	17		(281)		—		(264)
Net change in unrealized appreciation (depreciation) on investments	(2,058)		(661)		457		(2,262)


Balance as of September 30, 2022	$	221,448	$	98,120	$	2,840	$	322,408

Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held as of September 30, 2022	$	(2,058)	$	(661)	$	457	$	(2,262)

Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three months ended September 30, 2022 and for the period from February 8, 2022 (inception) through September 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 September 30, 2023 and December 31, 2022 were as follows:


Investment Type	Fair Value at September 30, 2023		Valuation Techniques	Unobservable Inputs	Ranges				Weighted Average
First Lien Term Loans	$	258,715	Yield Method	Discount Rate	6.13	%	19.50	%	11.72	%
First Lien Term Loans	51,600		Recent Transaction	Transaction Price	97.08		100.00		99.06
Subordinated Debt	92,577		Yield Method	Discount Rate	11.57	%	21.63	%	14.32	%
Subordinated Debt	2,174		Recent Transaction	Transaction Price	97.27		97.31		97.28
Equity Investments	5,530		Market Approach	EBITDA Multiple	3.50		19.50		10.18
Total	$	410,596

Equity investments in the amount of $3,798 at September 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.

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