| Fair Value Measurement |
5. FAIR VALUE MEASUREMENT The fair value of a financial instrument is the amount that would be received to sell an asset or would be paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). The Company carries its investments in accordance with ASC 820, which defines fair value, establishes a framework for measuring fair value and requires disclosures about fair value measurements. The fair value hierarchy under ASC 820 prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these securities. The three levels of the fair value hierarchy are as follows: Basis of Fair Value Measurement Level 1 – Inputs to the valuation methodology are quoted prices available in active markets for identical instruments as of the reporting date. The types of financial instruments included in Level 1 include unrestricted securities, including equities and derivatives, listed in active markets. Level 2 – Inputs to the valuation methodology are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. The types of financial instruments in this category include less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency securities and certain over-the-counter derivatives where the fair value is based on observable inputs. Level 3 – Inputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into the determination of fair value require significant management judgment or estimation. Financial instruments that are included in this category include investments in privately held entities and certain over-the-counter derivatives where the fair value is based on unobservable inputs. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Note 2 “Significant Accounting Policies” should be read in conjunction with the information outlined below. The table below presents the valuation techniques and the nature of significant inputs generally used in determining the fair value of Level 2 and Level 3 Instruments.
|
|
Level 2 Instruments |
Valuation Techniques and Significant Inputs |
Equity and Fixed Income |
The types of instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency include commercial paper, most government agency obligations, most corporate debt securities, certain mortgage-backed securities, certain bank loans, less liquid publicly listed equities, certain state and municipal obligations, certain money market instruments and certain loan commitments. Valuations of Level 2 Equity and Fixed Income instruments can be verified to quoted prices, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g. indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing sources. |
|
|
Derivative Contracts |
Over-the-counter ("OTC") derivatives (both centrally cleared and bilateral) are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. The Company generally uses similar models to value similar instruments. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence. |
|
|
Level 3 Instruments |
Valuation Techniques and Significant Inputs |
Bank Loans, Corporate Debt, and Other Debt Obligations |
Valuations are generally based on discounted cash flow techniques, for which the significant inputs are the amount and timing of expected future cash flows, market yields and recovery assumptions. The significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to credit default swaps that reference the same underlying credit risk and to other debt instruments for the same issuer for which observable prices or broker quotes are available. Other valuation methodologies are used as appropriate including market comparables, transactions in similar instruments and recovery/liquidation analysis. |
Equity |
Recent third-party investments or pending transactions are considered to be the best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate and available: (i) Transactions in similar instruments; (ii) Discounted cash flow techniques; (iii) Third party appraisals; and (iv) Industry multiples and public comparables. Evidence includes recent or pending reorganizations (for example, merger proposals, tender offers and debt restructurings) and significant changes in financial metrics, including: (i) Current financial performance as compared to projected performance; (ii) Capitalization rates and multiples; and (iii) Market yields implied by transactions of similar or related assets. |
The table below presents the ranges of significant unobservable inputs used to value the Company’s Level 3 assets as of December 31, 2025 and December 31, 2024. These ranges represent the significant unobservable inputs that were used in the valuation of each type of instrument, but they do not represent a range of values for any one instrument. For example, the lowest discount in 1st Lien/Senior Secured Debt is appropriate for valuing that specific debt investment, but may not be appropriate for valuing any other debt investments in this asset class. Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the Company’s Level 3 assets.
|
|
|
|
|
|
|
|
Level 3 Instruments |
Fair
Value(1) (2) |
|
Valuation
Techniques (3) |
Significant
Unobservable
Inputs |
Range of Significant
Unobservable Inputs(4) |
Weighted
Average(5) |
As of December 31, 2025 |
|
|
|
|
|
|
Bank Loans, Corporate Debt, and Other Debt Obligations |
1st Lien/Senior Secured Debt |
$ |
8,340,684 |
|
Discounted cash flows |
Discount Rate |
6.4% - 17.3% |
9.1% |
|
$ |
18,800 |
|
Comparable multiples |
EV/EBITDA(6) |
— |
10.0x |
1st Lien/Last-Out Unitranche |
$ |
239,601 |
|
Discounted cash flows |
Discount Rate |
6.1% - 11.3% |
8.6% |
2nd Lien/Senior Secured Debt |
$ |
33,352 |
|
Discounted cash flows |
Discount Rate |
10.9% - 11.8% |
11.5% |
Equity |
|
|
|
|
|
|
Preferred Stock |
$ |
37 |
|
Comparable multiples |
EV/EBITDA(6) |
— |
13.0x |
|
$ |
2,056 |
|
Comparable multiples |
EV/Revenue |
— |
3.9x |
Common Stock |
$ |
5,272 |
|
Comparable multiples |
EV/EBITDA(6) |
9.5x - 13.0x |
11.6x |
Warrants |
$ |
29 |
|
Comparable multiples |
EV/Revenue |
— |
3.9x |
As of December 31, 2024 |
|
|
|
|
|
|
Bank Loans, Corporate Debt, and Other Debt Obligations |
1st Lien/Senior Secured Debt |
$ |
3,711,830 |
|
Discounted cash flows |
Discount Rate |
7.4% — 14.1% |
9.7% |
1st Lien/Last-Out Unitranche |
$ |
261,643 |
|
Discounted cash flows |
Discount Rate |
6.2% — 11.4% |
10.5% |
Equity |
|
|
|
|
|
|
Common Stock |
$ |
5,372 |
|
Comparable multiples |
EV/EBITDA(6) |
10.0x — 13.5x |
12.9x |
(1)As of December 31, 2025, included within the fair value of Level 3 assets of $12,146,614 is an amount of $3,506,783 for which the Investment Adviser did not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and transaction prices). The income approach was used in the determination of fair value for $8,613,637 or 71.0% of Level 3 bank loans, corporate debt, and other debt obligations. (2)As of December 31, 2024, included within the fair value of Level 3 assets of $5,398,349 is an amount of $1,419,504 for which the Investment Adviser did not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and transaction prices). The income approach was used in the determination of fair value for $3,973,473 or 73.7% of Level 3 bank loans, corporate debt, and other debt obligations. (3)The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparable and discounted cash flows may be used together to determine fair value. Therefore, the Level 3 balance encompasses both of these techniques. (4)The range for an asset category consisting of a single investment, if any, is not meaningful and therefore has been excluded. (5)Weighted average for an asset category consisting of multiple investments is calculated by weighting the significant unobservable input by the relative fair value of the investment. Weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment. (6)Enterprise value of portfolio company as a multiple of earnings before interest, taxes, depreciation and amortization (“EBITDA”). As noted above, the income and market approaches were used in the determination of fair value of certain Level 3 assets as of December 31, 2025 and December 31, 2024. The significant unobservable inputs used in the income approach are the discount rate or market yield used to discount the estimated future cash flows expected to be received from the underlying investment, which include both future principal and interest payments. An increase in the discount rate or market yield would result in a decrease in the fair value. Included in the consideration and selection of discount rates or market yields is risk of default, rating of the investment, call provisions and comparable company investments. The significant unobservable inputs used in the market approach are based on market comparable transactions and market multiples of publicly traded comparable companies. Increases in market comparable transactions or market multiples would result in an increase in the fair value. The following is a summary of the Company’s assets categorized within the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
|
December 31, 2024 |
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
1st Lien/Senior Secured Debt |
|
$ |
— |
|
|
$ |
3,228,090 |
|
|
$ |
11,805,070 |
|
|
$ |
15,033,160 |
|
|
$ |
— |
|
|
$ |
1,875,466 |
|
|
$ |
5,131,334 |
|
|
$ |
7,006,800 |
|
1st Lien/Last-Out Unitranche |
|
|
— |
|
|
|
— |
|
|
|
297,348 |
|
|
|
297,348 |
|
|
|
— |
|
|
|
— |
|
|
|
261,643 |
|
|
|
261,643 |
|
2nd Lien/Senior Secured Debt |
|
|
— |
|
|
|
73,305 |
|
|
|
36,792 |
|
|
|
110,097 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Structured Finance Obligation – Debt Instruments |
|
|
— |
|
|
|
172,100 |
|
|
|
— |
|
|
|
172,100 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Structured Finance Obligation – Equity Instruments |
|
|
— |
|
|
|
54,401 |
|
|
|
— |
|
|
|
54,401 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Preferred Stock |
|
|
— |
|
|
|
— |
|
|
|
2,093 |
|
|
|
2,093 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Common Stock |
|
|
— |
|
|
|
— |
|
|
|
5,282 |
|
|
|
5,282 |
|
|
|
— |
|
|
|
— |
|
|
|
5,372 |
|
|
|
5,372 |
|
Membership Interest |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Warrants |
|
|
— |
|
|
|
— |
|
|
|
29 |
|
|
|
29 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
Investments in Affiliated Money Market Fund |
|
|
273,743 |
|
|
|
— |
|
|
|
— |
|
|
|
273,743 |
|
|
|
444,718 |
|
|
|
— |
|
|
|
— |
|
|
|
444,718 |
|
Unrealized appreciation on derivatives |
|
|
— |
|
|
|
2,044 |
|
|
|
— |
|
|
|
2,044 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total Assets |
|
$ |
273,743 |
|
|
$ |
3,529,940 |
|
|
$ |
12,146,614 |
|
|
$ |
15,950,297 |
|
|
$ |
444,718 |
|
|
$ |
1,875,466 |
|
|
$ |
5,398,349 |
|
|
$ |
7,718,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Unrealized depreciation on derivatives |
|
|
— |
|
|
|
(2,075 |
) |
|
|
— |
|
|
|
(2,075 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total Liabilities |
|
$ |
— |
|
|
$ |
(2,075 |
) |
|
$ |
— |
|
|
$ |
(2,075 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents a summary of changes in fair value of Level 3 assets by investment type:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
Beginning
Balance |
|
|
Purchases(1) |
|
|
Net
Realized
Gain (Loss) |
|
|
Net Change in
Unrealized
Appreciation
(Depreciation) |
|
|
Sales and
Settlements(1) |
|
|
Net
Amortization
of Premium/
Discount |
|
|
Transfers
In (2) |
|
|
Transfers
Out (2) |
|
|
Ending Balance |
|
|
Net Change in
Unrealized
Appreciation
(Depreciation)
for assets still
held |
|
For the Year Ended December 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Senior Secured Debt |
|
$ |
5,131,334 |
|
|
$ |
8,015,728 |
|
|
$ |
(2,416 |
) |
|
$ |
3,011 |
|
|
$ |
(1,312,623 |
) |
|
$ |
29,118 |
|
|
$ |
— |
|
|
$ |
(59,082 |
) |
|
$ |
11,805,070 |
|
|
$ |
4,129 |
|
1st Lien/Last-Out Unitranche |
|
|
261,643 |
|
|
|
188,036 |
|
|
|
— |
|
|
|
3,467 |
|
|
|
(157,641 |
) |
|
|
1,843 |
|
|
|
— |
|
|
|
— |
|
|
|
297,348 |
|
|
|
3,509 |
|
2nd Lien/Senior Secured Debt |
|
|
— |
|
|
|
36,266 |
|
|
|
— |
|
|
|
495 |
|
|
|
— |
|
|
|
31 |
|
|
|
— |
|
|
|
— |
|
|
|
36,792 |
|
|
|
495 |
|
Structured Finance Obligation – Debt Instruments |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Structured Finance Obligation – Equity Instruments |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Preferred Stock |
|
|
— |
|
|
|
2,067 |
|
|
|
— |
|
|
|
26 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,093 |
|
|
|
26 |
|
Common Stock |
|
|
5,372 |
|
|
|
2,446 |
|
|
|
— |
|
|
|
(2,536 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,282 |
|
|
|
(2,536 |
) |
Membership Interest |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Warrants |
|
|
— |
|
|
|
25 |
|
|
|
— |
|
|
|
4 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
29 |
|
|
|
4 |
|
Total assets |
|
$ |
5,398,349 |
|
|
$ |
8,244,568 |
|
|
$ |
(2,416 |
) |
|
$ |
4,467 |
|
|
$ |
(1,470,264 |
) |
|
$ |
30,992 |
|
|
$ |
— |
|
|
$ |
(59,082 |
) |
|
$ |
12,146,614 |
|
|
$ |
5,627 |
|
For the Year Ended December 31, 2024 |
|
1st Lien/Senior Secured Debt |
|
$ |
1,418,647 |
|
|
$ |
4,256,633 |
|
|
$ |
(5,621 |
) |
|
$ |
(7,899 |
) |
|
$ |
(548,536 |
) |
|
$ |
14,715 |
|
|
$ |
3,395 |
|
|
$ |
— |
|
|
$ |
5,131,334 |
|
|
$ |
(11,309 |
) |
1st Lien/Last-Out Unitranche |
|
|
166,684 |
|
|
|
96,362 |
|
|
|
— |
|
|
|
(1,906 |
) |
|
|
— |
|
|
|
503 |
|
|
|
— |
|
|
|
— |
|
|
|
261,643 |
|
|
|
(1,906 |
) |
2nd Lien/Senior Secured Debt |
|
|
20,017 |
|
|
|
1,936 |
|
|
|
(3 |
) |
|
|
(1 |
) |
|
|
(22,533 |
) |
|
|
584 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1 |
) |
Preferred Stock |
|
|
— |
|
|
|
3,101 |
|
|
|
— |
|
|
|
(3,101 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3,101 |
) |
Common Stock |
|
|
— |
|
|
|
5,214 |
|
|
|
— |
|
|
|
158 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,372 |
|
|
|
158 |
|
Total assets |
|
$ |
1,605,348 |
|
|
$ |
4,363,246 |
|
|
$ |
(5,624 |
) |
|
$ |
(12,749 |
) |
|
$ |
(571,069 |
) |
|
$ |
15,802 |
|
|
$ |
3,395 |
|
|
$ |
— |
|
|
$ |
5,398,349 |
|
|
$ |
(16,159 |
) |
(1)Purchases may include PIK, securities received in corporate actions and restructurings. Sales and Settlements may include securities delivered in corporate actions and restructuring of investments. (2)Transfers in (out) of Level 3, if any, are due to a decrease (increase) in the quantity and reliability of broker quotes obtained by the Investment Adviser. Debt Not Carried at Fair Value 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. If the Company’s debt obligations were carried at fair value, the fair value and level would have been as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of |
|
|
|
Level |
|
December 31, 2025 |
|
|
December 31, 2024 |
|
Truist Revolving Credit Facility |
|
3 |
|
$ |
2,892,631 |
|
|
$ |
1,161,893 |
|
BNPP Revolving Credit Facility |
|
3 |
|
$ |
850,000 |
|
|
$ |
700,000 |
|
MS Revolving Credit Facility |
|
3 |
|
$ |
1,193,154 |
|
|
$ |
715,000 |
|
2028 Notes |
|
2 |
|
$ |
408,080 |
|
|
$ |
— |
|
2029 Notes |
|
2 |
|
$ |
662,640 |
|
|
$ |
— |
|
2030 Notes |
|
2 |
|
$ |
613,200 |
|
|
$ |
— |
|
2031 Notes |
|
2 |
|
$ |
502,150 |
|
|
$ |
— |
|
|