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Fair Value (Tables)

9 Months Ended

Sep. 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 September 30, 2024:


	Total		Level I		Level II		Level III
First lien	$	1,159,577	$	—	$	95,310	$	1,064,267
Second lien	37,589		—		18,243		19,346
Subordinated	31,222		—		18,285		12,937
Equity and other	16,087		—		—		16,087
Total investments	$	1,244,475	$	—	$	131,838	$	1,112,637

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 September 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 September 30, 2024:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, June 30, 2024	$	858,720	$	826,750	$	18,016	$	12,587	$	1,367
Total gains or losses included in earnings:

Net change in unrealized appreciation (depreciation) of investments	74		(42)		60		49		7
Purchases, including capitalized PIK and revolver fundings	320,404		304,067		1,270		354		14,713
Proceeds from sales and paydowns of investments	(40,465)		(40,412)		—		(53)		—

Transfers out of Level III(1)	(26,096)		(26,096)		—		—		—
Fair Value, September 30, 2024	$	1,112,637	$	1,064,267	$	19,346	$	12,937	$	16,087
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:	$	74	$	(42)	$	60	$	49	$	7

(1) As of September 30, 2024, portfolio investments were transferred 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 September 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 September 30, 2023:


	Total		First Lien		Second Lien		Subordinated		Equity and other
Fair Value, June 30, 2023	$	196,233	$	173,615	$	15,350	$	6,382	$	886
Total gains or losses included in earnings:

Net change in unrealized appreciation (depreciation) of investments	4,501		4,031		419		51		—
Purchases, including capitalized PIK and revolver fundings	99,335		98,855		—		—		480
Proceeds from paydowns of investments	(567)		(567)		—		—		—
Transfers into Level III(1)	9,475		9,475		—		—		—
Transfers out of Level III(1)	(9,112)		(1,923)		(7,189)		—		—
Fair Value, September 30, 2023	$	299,865	$	283,486	$	8,580	$	6,433	$	1,366
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:	$	4,501	$	4,031	$	419	$	51	$	—

(1) As of September 30, 2023, 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 nine months ended September 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 September 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	3,136		2,889		190		101		(44)
Purchases, including capitalized PIK and revolver fundings	753,056		721,534		10,478		6,279		14,765
Proceeds from sales and paydowns of investments	(120,826)		(120,773)		—		(53)		—
Transfers into Level III(1)	18,729		18,729		—		—		—
Transfers out of Level III(1)	(17,177)		(17,177)		—		—		—
Fair Value, September 30, 2024	$	1,112,637	$	1,064,267	$	19,346	$	12,937	$	16,087
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:	$	2,995	$	2,748	$	190	$	101	$	(44)

(1) As of September 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 nine months ended September 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 September 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	7,337		6,697		541		73		26
Purchases, including capitalized PIK and revolver fundings	192,083		187,423		800		3,283		577
Proceeds from paydowns of investments	(2,135)		(2,135)		—		—		—

Transfers out of Level III(1)	(1,847)		(1,847)		—		—		—
Fair Value, September 30, 2023	$	299,865	$	283,486	$	8,580	$	6,433	$	1,366
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:	$	7,337	$	6,697	$	541	$	73	$	26

(1) As of September 30, 2023, portfolio investments were transferred out of Level III into 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 September 30, 2024 were as follows:

Range

Type

Fair Value as of September 30, 2024

Approach

Unobservable Input

Low

High

Weighted
Average (1)

First lien

951,574

Market & income approach

EBITDA multiple

5.0x

35.0x

17.3x

Revenue multiple

4.0x

13.0x

7.9x

Discount rate

6.5

19.8

9.0

112,693

Other

N/A (2)

N/A

Second lien

19,346

Market & income approach

EBITDA multiple

21.0x

Discount rate

9.5

10.5

9.8

Subordinated

12,937

Market & income approach

EBITDA multiple

14.5x

24.5x

18.7x

Discount rate

12.2

15.4

14.0

Equity and other

1,449

Market & income approach

Revenue multiple

4.5x

6.0x

5.2x

Discount rate

14.9

14,638

Other

N/A (2)

N/A

1,112,637

(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 September 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
	September 30, 2024				December 31, 2023
	Principal Amount		Fair Value		Principal Amount		Fair Value
BMO Subscription Line	$	215,500	$	216,399	$	60,800	$	60,981
UBS Credit Facility	226,400		231,408		250,000		252,543
Wells Credit Facility	247,700		248,240		N/A		N/A
Total	$	689,600	$	696,047	$	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.

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