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Fair Value (Tables)

6 Months Ended

Jun. 30, 2024

Schedule of Portfolio Investments by Level in the Fair Value Hierarchy

The following table summarizes the levels in the fair value hierarchy that the Company's portfolio investments fell into as of June 30, 2024:


	Total		Level I		Level II		Level III
First lien	$	905,029	$	—	$	78,279	$	826,750
Second lien	36,795		—		18,779		18,016
Subordinated	30,362		—		17,775		12,587
Equity and other	1,367		—		—		1,367
Total investments	$	973,553	$	—	$	114,833	$	858,720

The following table summarizes the levels in the fair value hierarchy that the Company's portfolio investments fell into as of December 31, 2023:


	Total		Level I		Level II		Level III
First lien	$	541,000	$	—	$	81,949	$	459,051
Second lien	16,288		—		7,610		8,678
Subordinated	21,812		—		15,202		6,610
Equity and other	1,366		—		—		1,366
Total investments	$	580,466	$	—	$	104,761	$	475,705

Schedule of Changes in Level III Portfolio Investments

The following table summarizes the changes in fair value of Level III portfolio investments for the three months ended June 30, 2024, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at June 30, 2024:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, March 31, 2024	$	607,133	$	579,029	$	19,928	$	6,797	$	1,379
Total gains or losses included in earnings:
Net realized (losses) gains on investments	14		14		—		—		—
Net change in unrealized appreciation (depreciation) of investments	442		454		—		—		(12)
Purchases, including capitalized PIK and revolver fundings	349,727		334,730		9,207		5,790		—
Proceeds from sales and paydowns of investments	(69,482)		(69,482)		—		—		—
Transfers into Level III(1)	5,255		5,255		—		—		—
Transfers out of Level III(1)	(34,369)		(23,250)		(11,119)		—		—
Fair Value, June 30, 2024	$	858,720	$	826,750	$	18,016	$	12,587	$	1,367
Net change in unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:	$	348	$	360	$	—	$	—	$	(12)

(1) As of June 30, 2024, portfolio investments were transferred into Level III from Level II and out of Level III into Level II at fair value as of the beginning of the period in which the reclassification occurred.

The following table summarizes the changes in fair value of Level III portfolio investments for the three months ended June 30, 2023, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at June 30, 2023:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, March 31, 2023	$	161,756	$	149,621	$	8,268	$	3,040	$	827
Total gains or losses included in earnings:

Net change in unrealized appreciation (depreciation) of investments	1,491		1,372		51		58		10
Purchases, including capitalized PIK and revolver fundings	26,661		23,328		—		3,284		49
Proceeds from paydowns of investments	(706)		(706)		—		—		—
Transfers into Level III(1)	7,031		—		7,031		—		—

Fair Value, June 30, 2023	$	196,233	$	173,615	$	15,350	$	6,382	$	886
Net change in unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:	$	1,491	$	1,372	$	51	$	58	$	10

(1) As of June 30, 2023, portfolio investments were transferred into Level III from Level II at fair value as of the beginning of the period in which the reclassification occurred.

The following table summarizes the changes in fair value of Level III portfolio investments for the six months ended June 30, 2024, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at June 30, 2024:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, December 31, 2023	$	475,705	$	459,051	$	8,678	$	6,610	$	1,366
Total gains or losses included in earnings:
Net realized (losses) gains on investments	14		14		—		—		—
Net change in unrealized appreciation (depreciation) of investments	3,112		2,980		131		52		(51)
Purchases, including capitalized PIK and revolver fundings	458,698		443,514		9,207		5,925		52
Proceeds from sales and paydowns of investments	(80,361)		(80,361)		—		—		—
Transfers into Level III(1)	18,729		18,729		—		—		—
Transfers out of Level III(1)	(17,177)		(17,177)		—		—		—
Fair Value, June 30, 2024	$	858,720	$	826,750	$	18,016	$	12,587	$	1,367
Net change in unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:	$	3,125	$	2,993	$	131	$	52	$	(51)

The following table summarizes the changes in fair value of Level III portfolio investments for the six months ended June 30, 2023, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at June 30, 2023:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, December 31, 2022	$	104,427	$	93,348	$	7,239	$	3,077	$	763
Total gains or losses included in earnings:

Net change in unrealized appreciation (depreciation) of investments	2,899		2,176		676		21		26
Purchases, including capitalized PIK and revolver fundings	85,872		79,669		2,822		3,284		97
Proceeds from paydowns of investments	(1,578)		(1,578)		—		—		—
Transfers into Level III(1)	4,613		—		4,613		—		—

Fair Value, June 30, 2023	$	196,233	$	173,615	$	15,350	$	6,382	$	886
Net change in unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:	$	2,899	$	2,176	$	676	$	21	$	26

(1) As of June 30, 2023, portfolio investments were transferred into Level III from Level II at fair value as of the beginning of the period in which the reclassification occurred.

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The unobservable inputs used in the fair value measurement of the Company's Level III investments as of June 30, 2024 were as follows:

Range

Type

Fair Value as of June 30, 2024

Approach

Unobservable Input

Low

High

Weighted
Average (1)

First lien

736,480

Market & income approach

EBITDA multiple

8.5x

24.5x

15.7x

Revenue multiple

4.1x

13.0x

8.1x

Discount rate

7.8

18.8

10.3

90,270

Other

N/A (2)

N/A

Second lien

8,808

Market & income approach

EBITDA multiple

14.0x

18.0x

16.3x

Discount rate

11.0

11.1

9,208

Other

N/A (2)

N/A

Subordinated

12,587

Market & income approach

EBITDA multiple

14.0x

24.5x

18.0x

Discount rate

13.2

15.8

14.9

Equity and other

1,367

Market & income approach

Revenue multiple

4.1x

6.0x

5.1x

Discount rate

15.8

858,720

(1)Unobservable inputs were weighted by the relative fair value of the investments.

(2)Fair value was determined based on transaction pricing or recent acquisition or sale as the best measure of fair value with no material changes in operations of the related portfolio company since the transaction date.

The unobservable inputs used in the fair value measurement of the Company's Level III investments as of December 31, 2023 were as follows:

Range

Type

Fair Value as of December 31, 2023

Approach

Unobservable Input

Low

High

Weighted
Average (1)

First lien

393,056

Market & income approach

EBITDA multiple

5.0x

27.0x

17.8x

Revenue multiple

3.8x

11.8x

9.1x

Discount rate

7.2

18.6

10.1

65,995

Other

N/A (2)

N/A

Second lien

8,678

Market & income approach

EBITDA multiple

16.0x

18.0x

16.5x

Discount rate

9.2

10.6

10.3

Subordinated

6,610

Market & income approach

EBITDA multiple

20.0x

22.0x

21.0x

Discount rate

12.9

15.8

14.2

Equity and other

1,366

Market & income approach

EBITDA multiple

24.0x

Revenue multiple

3.8x

4.2x

4.0x

Discount rate

14.8

18.6

16.1

475,705

(1)Unobservable inputs were weighted by the relative fair value of the investments.

Schedule of Principal Amounts and Fair Values of Borrowings

The following are the principal amounts and fair values of the Company’s borrowings as of June 30, 2024 and December 31, 2023. Fair value is estimated by discounting remaining payments using applicable current market rates, which take into account changes in the Company’s marketplace credit ratings, or market quotes, if available.


	As of
	June 30, 2024				December 31, 2023
	Principal Amount		Fair Value		Principal Amount		Fair Value
BMO Subscription Line	$	28,200	$	28,332	$	60,800	$	60,981
UBS Credit Facility	250,000		256,229		250,000		252,543
Wells Credit Facility	206,600		208,254		N/A		N/A
Total	$	484,800	$	492,815	$	310,800	$	313,524

- 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