| Schedule of Fair Value Measurements of Investments |
The following table presents the fair value measurements of the Company's investments, by major class according to the fair value hierarchy, as of June 30, 2026 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2026 |
|
Investments |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Senior Secured First Lien Loans |
$ |
— |
|
$ |
58 |
|
$ |
655,377 |
|
$ |
655,435 |
|
Equity |
|
— |
|
|
— |
|
|
9,343 |
|
|
9,343 |
|
Subordinated Certificates of the SDLP |
|
— |
|
|
— |
|
|
171,854 |
|
|
171,854 |
|
Total investments at fair value |
$ |
— |
|
$ |
58 |
|
$ |
836,574 |
|
$ |
836,632 |
|
Cash Equivalents |
|
|
|
|
|
|
|
|
Money Market Funds |
|
14,745 |
|
|
— |
|
|
— |
|
|
14,745 |
|
Total cash equivalents |
$ |
14,745 |
|
$ |
— |
|
$ |
— |
|
$ |
14,745 |
|
Interest rate swaps |
|
— |
|
|
(311 |
) |
|
— |
|
|
(311 |
) |
Total interest rate swaps |
$ |
— |
|
$ |
(311 |
) |
$ |
— |
|
$ |
(311 |
) |
|
|
|
|
|
|
|
|
|
The following table presents the fair value measurements of the Company's investments, by major class according to the fair value hierarchy, as of December 31, 2025 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2025 |
|
Investments |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Senior Secured First Lien Loans |
$ |
— |
|
$ |
83 |
|
$ |
673,630 |
|
$ |
673,713 |
|
Equity |
|
— |
|
|
— |
|
|
9,939 |
|
|
9,939 |
|
Subordinated Certificates of the SDLP |
|
— |
|
|
— |
|
|
165,702 |
|
|
165,702 |
|
Total investments at fair value |
$ |
— |
|
$ |
83 |
|
$ |
849,271 |
|
$ |
849,354 |
|
Cash Equivalents |
|
|
|
|
|
|
|
|
Money Market Funds |
|
13,450 |
|
|
— |
|
|
— |
|
|
13,450 |
|
Total cash equivalents |
$ |
13,450 |
|
$ |
— |
|
$ |
— |
|
$ |
13,450 |
|
Interest rate swaps |
|
— |
|
|
185 |
|
|
— |
|
|
185 |
|
Total interest rate swaps |
$ |
— |
|
$ |
185 |
|
$ |
— |
|
$ |
185 |
|
|
| Schedule of Changes in Level 3 Investment Securities |
The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three and six months ended June 30, 2026 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured First Lien Loans |
|
Equity |
|
Subordinated Certificates of the SDLP |
|
Total |
|
Balance as of March 31, 2026 |
$ |
644,368 |
|
$ |
9,466 |
|
$ |
171,632 |
|
$ |
825,466 |
|
Purchases |
|
50,495 |
|
|
130 |
|
|
6,743 |
|
|
57,368 |
|
Payment-in-kind and other adjustments to cost |
|
(4,321 |
) |
|
1 |
|
|
(59 |
) |
|
(4,379 |
) |
Repayments of investments |
|
(32,784 |
) |
|
(6 |
) |
|
(7,541 |
) |
|
(40,331 |
) |
Net realized gains/(losses) |
|
253 |
|
|
— |
|
|
— |
|
|
253 |
|
Net amortization of premium/discount |
|
942 |
|
|
— |
|
|
— |
|
|
942 |
|
Net change in unrealized gains/(losses) |
|
(3,576 |
) |
|
(248 |
) |
|
1,079 |
|
|
(2,745 |
) |
Balance as of June 30, 2026 |
$ |
655,377 |
|
$ |
9,343 |
|
$ |
171,854 |
|
$ |
836,574 |
|
Net change in unrealized appreciation/(depreciation) for
investments still held as of June 30, 2026 |
$ |
(3,572 |
) |
$ |
(248 |
) |
$ |
1,079 |
|
$ |
(2,741 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured First Lien Loans |
|
Equity |
|
Subordinated Certificates of the SDLP |
|
Total |
|
Balance as of December 31, 2025 |
$ |
673,630 |
|
$ |
9,939 |
|
$ |
165,702 |
|
$ |
849,271 |
|
Purchases |
|
70,965 |
|
|
275 |
|
|
13,515 |
|
|
84,755 |
|
Payment-in-kind and other adjustments to cost |
|
949 |
|
|
2 |
|
|
168 |
|
|
1,119 |
|
Repayments of investments |
|
(80,497 |
) |
|
(6 |
) |
|
(8,268 |
) |
|
(88,771 |
) |
Net realized gains/(losses) |
|
253 |
|
|
(348 |
) |
|
— |
|
|
(95 |
) |
Net amortization of premium/discount |
|
1,600 |
|
|
— |
|
|
— |
|
|
1,600 |
|
Net change in unrealized gains/(losses) |
|
(11,523 |
) |
|
(519 |
) |
|
737 |
|
|
(11,305 |
) |
Balance as of June 30, 2026 |
$ |
655,377 |
|
$ |
9,343 |
|
$ |
171,854 |
|
$ |
836,574 |
|
Net change in unrealized appreciation/(depreciation) for
investments still held as of June 30, 2026 |
$ |
(23,075 |
) |
$ |
(1,536 |
) |
$ |
(11,523 |
) |
$ |
(36,134 |
) |
The following tables provide a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three and six months ended June 30, 2025 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured First Lien Loans |
|
Equity |
|
Subordinated Certificates of the SDLP |
|
Total |
|
Balance as of March 31, 2025 |
$ |
659,058 |
|
$ |
3,765 |
|
$ |
164,804 |
|
$ |
827,627 |
|
Purchases |
|
54,128 |
|
|
8 |
|
|
4,167 |
|
|
58,303 |
|
Investment increases due to payment-in-kind income |
|
504 |
|
|
— |
|
|
(575 |
) |
|
(71 |
) |
Principal repayments |
|
(60,383 |
) |
|
8 |
|
|
(11,409 |
) |
|
(71,784 |
) |
Net realized gains/(losses) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Net amortization of premium/discount |
|
751 |
|
|
— |
|
|
— |
|
|
751 |
|
Net change unrealized gains/(losses) |
|
(4,806 |
) |
|
(60 |
) |
|
(2,658 |
) |
|
(7,524 |
) |
Balance as of June 30, 2025 |
$ |
649,252 |
|
$ |
3,721 |
|
$ |
154,329 |
|
$ |
807,302 |
|
Net change unrealized appreciation/(depreciation) for
investments still held as of June 30, 2025 |
$ |
(4,805 |
) |
$ |
(63 |
) |
$ |
(2,658 |
) |
$ |
(7,526 |
) |
|
|
|
|
|
|
|
|
|
|
Senior Secured First Lien Loans |
|
Equity |
|
Subordinated Certificates of the SDLP |
|
Total |
|
Balance as of December 31, 2024 |
$ |
627,439 |
|
$ |
4,437 |
|
$ |
172,152 |
|
$ |
804,028 |
|
Purchases |
|
103,486 |
|
|
376 |
|
|
7,559 |
|
|
111,421 |
|
Payment-in-kind and other adjustments to cost |
|
1,563 |
|
|
— |
|
|
(1,041 |
) |
|
522 |
|
Repayments of investments |
|
(78,424 |
) |
|
(301 |
) |
|
(18,807 |
) |
|
(97,532 |
) |
Net realized gains/(losses) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Net amortization of premium/discount |
|
1,315 |
|
|
— |
|
|
— |
|
|
1,315 |
|
Net change in unrealized gains/(losses) |
|
(6,127 |
) |
|
(791 |
) |
|
(5,534 |
) |
|
(12,452 |
) |
Balance as of June 30, 2025 |
$ |
649,252 |
|
$ |
3,721 |
|
$ |
154,329 |
|
$ |
807,302 |
|
Net change in unrealized appreciation/(depreciation) for
investments still held as of June 30, 2025 |
$ |
(13,052 |
) |
$ |
(1,132 |
) |
$ |
(17,364 |
) |
$ |
(31,548 |
) |
|
| Schedule of Quantitative Information About Level 3 Fair Value Measurement of Investments |
The following table presents the quantitative information about Level 3 fair value measurements of the Company's investments, as of June 30, 2026 (dollars in thousands):
|
|
|
|
|
|
|
|
|
As of June 30, 2026 |
|
Fair Value |
|
Valuation Techniques |
Significant Unobservable Inputs |
Range of Significant Unobservable Inputs |
Weighted Average (1) |
Senior Secured First Lien Term Loans |
$ |
572,332 |
|
Income Approach (DCF) |
Discount Rate |
6.7% - 22.9% |
9.4% |
Senior Secured First Lien Term Loans |
|
25,784 |
|
Recent Transaction |
Transaction Prices |
98.0% - 99.5% |
98.5% |
Senior Secured First Lien Term Loans |
|
57,261 |
|
Recovery Analysis |
Recovery Rate |
7.0x - 10.8x |
9.2x |
Equity |
|
5,391 |
|
Market Approach |
Market Multiple |
9.5x - 19.6x |
10.7x |
Equity |
|
3,851 |
|
Income Approach (DCF) |
Discount Rate |
6.0% - 15.8% |
8.6% |
|
|
|
Market Approach |
EBITDA Multiple |
5.9x - 15.2x |
11.6x |
Equity |
|
101 |
|
Recent Transaction |
Transaction Prices |
100.0% - 100.0% |
100.0% |
Subordinated Certificates of the SDLP |
|
171,854 |
|
Income Approach (DCF) |
Discount Rate |
7.5% - 7.5% |
7.5% |
Total |
$ |
836,574 |
|
|
|
|
|
(1) Unobservable inputs were weighted by the fair value of the investments. The following table presents the quantitative information about Level 3 fair value measurements of the Company's investments, as of December 31, 2025 (dollars in thousands):
|
|
|
|
|
|
|
|
|
As of December 31, 2025 |
|
Fair Value |
|
Valuation Techniques |
Significant Unobservable Inputs |
Range of Significant Unobservable Inputs |
Weighted Average (1) |
Senior Secured First Lien Term Loans |
$ |
622,287 |
|
Income Approach (DCF) |
Discount Rate |
6.6% - 81.4% |
10.1% |
Senior Secured First Lien Term Loans |
|
23,686 |
|
Recent Transaction |
Transaction Prices |
98.7% - 99.5% |
99.3% |
Senior Secured First Lien Term Loans |
|
27,657 |
|
Recovery Analysis |
Recovery Rate |
1.7x - 11.4x |
9.0x |
Equity |
|
5,613 |
|
Market Approach |
Market Multiple |
9.5x - 28.8x |
11.0x |
Equity |
|
3,996 |
|
Income Approach (DCF) |
Discount Rate |
6.0% - 17.9% |
9.3% |
|
|
|
Market Approach |
EBITDA Multiple |
6.2x - 18.2x |
11.4x |
Equity |
|
330 |
|
Recent Transaction |
Transaction Prices |
100.0% - 100.0% |
100.0% |
Subordinated Certificates of the SDLP |
|
165,702 |
|
Income Approach (DCF) |
Discount Rate |
7.5% - 7.5% |
7.5% |
Total |
$ |
849,271 |
|
|
|
|
|
(1) Unobservable inputs were weighted by the fair value of the investments.
|