| Fair Value Measurements |
Note 6. Fair Value Measurements The Fund categorizes the inputs to valuation techniques used to value its investments, including derivatives, into a disclosure hierarchy consisting of three levels as shown below: Level 1 — unadjusted quoted prices in active markets for identical investments Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 — unobservable inputs (including the Fund’s own assumptions based on the best information available) The following is a summary of the inputs used, as of June 30, 2025 and December 31, 2024, involving the Fund’s assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities.
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June 30, 2025 |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Investments: |
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First Lien Debt |
|
$ |
— |
|
|
$ |
84,246,959 |
|
|
$ |
1,659,383,901 |
|
|
$ |
1,743,630,860 |
|
Second Lien Debt |
|
|
— |
|
|
|
4,628,900 |
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|
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— |
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|
|
4,628,900 |
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Asset-Backed Securities |
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— |
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|
555,817 |
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|
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— |
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|
555,817 |
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Preferred Securities |
|
|
— |
|
|
|
7,014,798 |
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|
|
— |
|
|
|
7,014,798 |
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Equity |
|
|
— |
|
|
|
— |
|
|
|
14,147,863 |
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|
|
14,147,863 |
|
Money Market Mutual Funds |
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|
14,805,047 |
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|
|
— |
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|
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— |
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|
14,805,047 |
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Fixed Income Mutual Funds |
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|
88,107,511 |
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|
|
— |
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— |
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|
88,107,511 |
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Total Investments |
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$ |
102,912,558 |
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$ |
96,446,474 |
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$ |
1,673,531,764 |
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$ |
1,872,890,796 |
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Derivative Instruments: |
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Assets |
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Swaps |
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— |
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1,697,905 |
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|
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— |
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|
|
1,697,905 |
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Total Derivative Instruments |
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$ |
— |
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|
$ |
1,697,905 |
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$ |
— |
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$ |
1,697,905 |
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December 31, 2024 |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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First Lien Debt |
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$ |
— |
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$ |
144,529,432 |
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$ |
1,144,350,856 |
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$ |
1,288,880,288 |
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Second Lien Debt |
|
|
— |
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|
|
6,762,630 |
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|
6,536,627 |
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13,299,257 |
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Equity |
|
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— |
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— |
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9,064,990 |
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|
9,064,990 |
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Money Market Mutual Funds |
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10,026,024 |
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— |
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— |
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|
10,026,024 |
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Fixed Income Mutual Funds |
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|
47,969,881 |
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— |
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— |
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|
47,969,881 |
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Total Investments |
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$ |
57,995,905 |
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$ |
151,292,062 |
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$ |
1,159,952,473 |
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$ |
1,369,240,440 |
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The following tables provide a reconciliation of the beginning and ending balances for investments for which fair value was determined using Level 3 inputs for the six months ended June 30, 2025 and 2024:
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Six Months Ended June 30, 2025 |
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First Lien Debt |
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Second Lien Debt |
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Equity |
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Total Investments |
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Fair value, beginning of period |
$ |
1,144,350,856 |
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|
$ |
6,536,627 |
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$ |
9,064,990 |
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$ |
1,159,952,473 |
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Purchases of investments |
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557,578,926 |
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|
291,967 |
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4,821,383 |
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|
562,692,276 |
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Proceeds from principal repayments and sales of investments |
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(47,097,776 |
) |
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— |
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|
— |
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(47,097,776 |
) |
Accretion of discount/ amortization of premium |
|
3,276,368 |
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— |
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— |
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|
3,276,368 |
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Net realized gain (loss) |
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|
192,866 |
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— |
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— |
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|
192,866 |
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Transfers into Level 3 (1) |
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5,170,287 |
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— |
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— |
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|
5,170,287 |
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Transfers out of Level 3 (1) |
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— |
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(5,170,287 |
) |
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— |
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|
(5,170,287 |
) |
Net change in unrealized appreciation (depreciation) |
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(4,087,626 |
) |
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(1,658,307 |
) |
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|
261,490 |
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(5,484,443 |
) |
Fair value, end of period |
$ |
1,659,383,901 |
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|
$ |
— |
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$ |
14,147,863 |
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|
$ |
1,673,531,764 |
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Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2025 |
$ |
(12,435,739 |
) |
|
$ |
— |
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|
$ |
261,453 |
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|
$ |
(12,174,286 |
) |
(1)For the six months ended June 30, 2025, transfers into Level 3 (if any) are due to decreased price transparency and transfers out of Level 3 (if any) are due to increased price transparency.
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Six Months Ended June 30, 2024 |
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First Lien Debt |
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Second Lien Debt |
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Equity |
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Total Investments |
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Fair value, beginning of period |
$ |
425,746,100 |
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$ |
— |
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$ |
2,240,826 |
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$ |
427,986,926 |
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Purchases of investments |
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349,793,514 |
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— |
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|
2,237,161 |
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|
352,030,675 |
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Proceeds from principal repayments and sales of investments |
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(110,113,669 |
) |
|
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— |
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|
— |
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|
(110,113,669 |
) |
Accretion of discount/ amortization of premium |
|
1,050,078 |
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— |
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— |
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|
1,050,078 |
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Net realized gain (loss) |
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(244,920 |
) |
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— |
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— |
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(244,920 |
) |
Transfers into Level 3(1) |
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— |
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— |
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— |
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— |
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Transfers out of Level 3(1) |
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— |
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— |
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— |
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— |
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Net change in unrealized appreciation (depreciation) |
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1,714,021 |
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— |
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|
223,992 |
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|
1,938,013 |
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Fair value, end of period |
$ |
667,945,124 |
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$ |
— |
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$ |
4,701,979 |
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$ |
672,647,103 |
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Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2024 |
$ |
1,989,614 |
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|
$ |
— |
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$ |
223,992 |
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|
$ |
2,213,606 |
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(1)For the six months ended June 30, 2024, transfers into Level 3 (if any) are due to decreased price transparency and transfers out of Level 3 (if any) are due to increased price transparency. The information used in the above reconciliation represents period to date activity for any investments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases may include securities received through corporate actions or exchanges. The following provides information on Level 3 securities held by the Fund that were valued as of June 30, 2025 and December 31, 2024 based on unobservable inputs:
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June 30, 2025 |
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Range |
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Fair Value |
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Valuation Technique |
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Unobservable Input |
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Low |
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High |
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Weighted Average |
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Impact to Valuation from an Increase in Input* |
First Lien Debt |
$ |
1,659,383,901 |
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Market approach |
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Transaction price |
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$ |
98.75 |
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$ |
98.75 |
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$ |
98.75 |
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Increase |
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Market comparable |
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Enterprise value/Revenue multiple (EV/R) |
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0.5 |
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0.5 |
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0.5 |
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Increase |
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Discounted cash flow |
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Yield |
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8.2 |
% |
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|
16.8 |
% |
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9.8 |
% |
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Decrease |
Equity |
|
14,147,863 |
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Market approach |
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Transaction price |
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$ |
1.00 |
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$ |
1.00 |
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$ |
1.00 |
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Increase |
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Market comparable |
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Enterprise value/EBITDA multiple (EV/EBITDA) |
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|
5.3 |
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16.5 |
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9.8 |
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Increase |
Total |
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$ |
1,673,531,764 |
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December 31, 2024 |
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Range |
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Fair Value |
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Valuation Technique |
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Unobservable Input |
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Low |
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High |
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Weighted Average |
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Impact to Valuation from an Increase in Input* |
First Lien Debt |
$ |
1,144,350,856 |
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Market approach |
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Transaction price |
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$ |
98.50 |
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$ |
99.50 |
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$ |
98.83 |
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Increase |
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Discounted cash flow |
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Yield |
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|
8.7 |
% |
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|
14.1 |
% |
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|
10.3 |
% |
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Decrease |
Second Lien Debt |
|
6,536,627 |
|
|
Market comparable |
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Enterprise value/Revenue multiple (EV/R) |
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|
0.5 |
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|
0.5 |
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|
0.5 |
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Increase |
Equity |
|
9,064,990 |
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Market approach |
|
Transaction price |
|
$ |
3.10 |
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|
$ |
1,000.00 |
|
|
$ |
154.92 |
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Increase |
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Market comparable |
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Enterprise value/EBITDA multiple (EV/EBITDA) |
|
|
5.7 |
|
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|
17.0 |
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|
10.1 |
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Increase |
Total |
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$ |
1,159,952,473 |
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* Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may have resulted in a significantly higher or lower fair value measurement at period end. Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Financial Instruments Not Carried at Fair Value: Debt The carrying value of the Fund’s debt, which would be categorized as Level 3 within the fair value hierarchy, as of June 30, 2025 and December 31, 2024, approximates fair value.
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