Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2026 |
|---|
| Fair Value Measurements |
|
| Summary of fair value hierarchy of financial instruments |
The following is a summary of the inputs used as of June 30, 2026 and December 31, 2025 in valuing such financial instruments (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2026 |
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
First Lien Debt |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
426,639 |
|
|
$ |
426,639 |
|
Equity Investments |
|
|
— |
|
|
|
— |
|
|
|
3,276 |
|
|
|
3,276 |
|
Cash Equivalents |
|
|
4,157 |
|
|
|
— |
|
|
|
— |
|
|
|
4,157 |
|
Total |
|
$ |
4,157 |
|
|
$ |
— |
|
|
$ |
429,915 |
|
|
$ |
434,072 |
|
Unrealized appreciation (depreciation) on OTC forward foreign currency exchange contracts* |
|
$ |
— |
|
|
$ |
467 |
|
|
$ |
— |
|
|
$ |
467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
First Lien Debt |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
360,727 |
|
|
$ |
360,727 |
|
Equity Investments |
|
|
— |
|
|
|
— |
|
|
|
827 |
|
|
|
827 |
|
Total |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
361,554 |
|
|
$ |
361,554 |
|
Unrealized appreciation (depreciation) on OTC forward foreign currency exchange contracts* |
|
$ |
— |
|
|
$ |
(1,663 |
) |
|
$ |
— |
|
|
$ |
(1,663 |
) |
* Represents derivative instruments not reflected in the Consolidated Schedule of Investments, which are recorded at the unrealized appreciation (depreciation) on the instrument.
|
| Summary of change in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value |
The following table presents the change in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
June 30, 2026 |
|
|
|
Debt Investments |
|
|
Equity
Investments |
|
|
Total |
|
Fair value, beginning of period |
|
$ |
396,540 |
|
|
$ |
1,042 |
|
|
$ |
397,582 |
|
Purchases of investments |
|
|
59,425 |
|
|
|
— |
|
|
|
59,425 |
|
Proceeds from principal repayments |
|
|
(28,325 |
) |
|
|
— |
|
|
|
(28,325 |
) |
Payment-in-kind interest |
|
|
42 |
|
|
|
— |
|
|
|
42 |
|
Accretion of discount/amortization of premium |
|
|
702 |
|
|
|
— |
|
|
|
702 |
|
Net realized gain (loss) |
|
|
26 |
|
|
|
— |
|
|
|
26 |
|
Net change in unrealized appreciation (depreciation) |
|
|
(1,771 |
) |
|
|
2,234 |
|
|
|
463 |
|
Fair value, end of period |
|
$ |
426,639 |
|
|
$ |
3,276 |
|
|
$ |
429,915 |
|
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2026 |
|
$ |
(1,771 |
) |
|
|
2,234 |
|
|
$ |
463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2026 |
|
|
|
Debt Investments |
|
|
Equity
Investments |
|
|
Total |
|
Fair value, beginning of period |
|
$ |
360,727 |
|
|
$ |
827 |
|
|
$ |
361,554 |
|
Purchases of investments |
|
|
129,117 |
|
|
|
— |
|
|
|
129,117 |
|
Proceeds from principal repayments |
|
|
(61,848 |
) |
|
|
— |
|
|
|
(61,848 |
) |
Payment-in-kind interest |
|
|
202 |
|
|
|
— |
|
|
|
202 |
|
Accretion of discount/amortization of premium |
|
|
1,410 |
|
|
|
— |
|
|
|
1,410 |
|
Net realized gain (loss) |
|
|
383 |
|
|
|
— |
|
|
|
383 |
|
Net change in unrealized appreciation (depreciation) |
|
|
(3,352 |
) |
|
|
2,449 |
|
|
|
(903 |
) |
Fair value, end of period |
|
$ |
426,639 |
|
|
$ |
3,276 |
|
|
$ |
429,915 |
|
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2026 |
|
$ |
(3,352 |
) |
|
$ |
2,449 |
|
|
$ |
(903 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
June 30, 2025 |
|
|
|
Debt Investments |
|
|
Equity
Investments |
|
|
Total |
|
Fair value, beginning of period |
|
$ |
226,796 |
|
|
$ |
— |
|
|
$ |
226,796 |
|
Purchases of investments |
|
|
42,114 |
|
|
|
367 |
|
|
|
42,481 |
|
Proceeds from principal repayments |
|
|
(16,595 |
) |
|
|
— |
|
|
|
(16,595 |
) |
Payment-in-kind interest |
|
|
162 |
|
|
|
— |
|
|
|
162 |
|
Accretion of discount/amortization of premium |
|
|
526 |
|
|
|
— |
|
|
|
526 |
|
Net realized gain (loss) |
|
|
(1,012 |
) |
|
|
— |
|
|
|
(1,012 |
) |
Net change in unrealized appreciation (depreciation) |
|
|
2,025 |
|
|
|
(26 |
) |
|
|
1,999 |
|
Fair value, end of period |
|
$ |
254,016 |
|
|
$ |
341 |
|
|
$ |
254,357 |
|
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2025 |
|
$ |
2,025 |
|
|
$ |
(26 |
) |
|
$ |
1,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
June 30, 2025 |
|
|
|
Debt Investments |
|
|
Equity
Investments |
|
|
Total |
|
Fair value, beginning of period |
|
$ |
209,214 |
|
|
$ |
— |
|
|
$ |
209,214 |
|
Purchases of investments |
|
|
71,070 |
|
|
|
367 |
|
|
|
71,437 |
|
Proceeds from principal repayments |
|
|
(29,076 |
) |
|
|
— |
|
|
|
(29,076 |
) |
Payment-in-kind interest |
|
|
170 |
|
|
|
— |
|
|
|
170 |
|
Accretion of discount/amortization of premium |
|
|
911 |
|
|
|
— |
|
|
|
911 |
|
Net realized gain (loss) |
|
|
(1,008 |
) |
|
|
— |
|
|
|
(1,008 |
) |
Net change in unrealized appreciation (depreciation) |
|
|
2,735 |
|
|
|
(26 |
) |
|
|
2,709 |
|
Fair value, end of period |
|
$ |
254,016 |
|
|
$ |
341 |
|
|
$ |
254,357 |
|
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of June 30, 2025 |
|
$ |
2,735 |
|
|
$ |
(26 |
) |
|
$ |
2,709 |
|
|
| Summary of quantitative information about the significant unobservable inputs of the company's level 3 financial instruments |
The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments. The tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value (dollar amounts in thousands).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value as of
June 30,
2026(1) |
|
|
Valuation Approach/
Methodology |
|
Unobservable
Input(s) |
|
Range/ Input
(Weighted Average)* |
|
Directional Impact
on Fair Value
from Input Increase** |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
First Lien Debt |
|
$ |
374,638 |
|
|
Income/Discounted Cash Flow |
|
Discount Rate |
|
7.85% - 15.11%
(9.91%) |
|
Decrease |
First Lien Debt |
|
$ |
7,144 |
|
|
Recovery Method |
|
Recovery Rate |
|
74.47% - 93.11%
(81.40%) |
|
Increase |
Equity Investments |
|
$ |
3,276 |
|
|
Market / Enterprise Value |
|
EBITDA Multiple |
|
6.5x - 7.5x
(7.0x) |
|
Increase |
|
|
$ |
385,058 |
|
|
|
|
|
|
|
|
|
* Represents the weighted average of each significant unobservable input range at the investment level by fair value. ** Represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Altering one or more unobservable inputs may result in a significant change to a Level 3 security’s fair value measurement. (1)As of June 30, 2026, included within the fair value of Level 3 assets of $429,915 is an amount of $44,856 (dollar amounts in thousands) for which the Manager did not develop the unobservable inputs (examples include recent transaction prices).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value as of December 31, 2025 (1) |
|
|
Valuation Approach/
Methodology |
|
Unobservable
Input(s) |
|
Range
(Weighted
Average)* |
|
Directional Impact on Fair Value from Input Increase** |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
First Lien Debt |
|
$ |
311,770 |
|
|
Income/Discounted Cash Flow |
|
Discount Rate |
|
7.36% - 14.87%
(9.72%) |
|
Decrease |
Equity Investments |
|
|
827 |
|
|
Market / Enterprise Value |
|
EBITDA Multiple |
|
3.5x - 4.5x (4.0x) |
|
Increase |
|
|
$ |
312,597 |
|
|
|
|
|
|
|
|
|
* Represents the weighted average of each significant unobservable input range at the investment level by fair value. ** Represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Altering one or more unobservable inputs may result in a significant change to a Level 3 security’s fair value measurement. (1)As of December 31, 2025, included within the fair value of Level 3 assets of $361,554 is an amount of $48,957 for which the Manager did not develop the unobservable inputs (examples include recent transaction prices).
|
| Summary of fair value of derivative instruments presented in Consolidated Statements of Assets and Liabilities |
Fair value of derivative instruments as of June 30, 2026 as presented in the Consolidated Statements of Assets and Liabilities (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
|
|
Liability Derivatives |
|
Derivative not
accounted for as
hedging instruments,
carried at fair value |
|
Consolidated Statement of Assets
and Liabilities Location |
|
Fair
Value |
|
|
Consolidated Statement of Assets
and Liabilities Location |
|
Fair
Value |
|
Foreign exchange contracts |
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
$ |
817 |
|
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
$ |
350 |
|
Fair value of derivative instruments as of December 31, 2025 as presented in the Consolidated Statements of Assets and Liabilities (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
|
|
Liability Derivatives |
|
Derivative not
accounted for as
hedging instruments,
carried at fair value |
|
Consolidated Statement of Assets
and Liabilities Location |
|
Fair
Value |
|
|
Consolidated Statement of Assets
and Liabilities Location |
|
Fair
Value |
|
Foreign exchange contracts |
|
Unrealized appreciation on OTC forward foreign currency exchange contracts |
|
$ |
13 |
|
|
Unrealized depreciation on OTC forward foreign currency exchange contracts |
|
$ |
1,676 |
|
|
| Summary of effects of derivative instruments on the Consolidated Statement of Operations |
The effects of derivative instruments on the Consolidated Statements of Operations for the three and six months ended June 30, 2026 are as follows (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
|
|
|
|
Derivatives not accounted for as hedging instruments, carried at fair value |
|
Foreign currency exchange contract |
|
|
|
Three Months Ended
June 30, 2026 |
|
|
Six Months Ended
June 30, 2026 |
|
Foreign exchange contracts |
|
$ |
34 |
|
|
$ |
(716 |
) |
Total |
|
$ |
34 |
|
|
$ |
(716 |
) |
|
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|
|
|
|
Derivatives not accounted for as hedging instruments, carried at fair value |
|
Foreign currency exchange contract |
|
|
|
Three Months Ended
June 30, 2026 |
|
|
Six Months Ended
June 30, 2026 |
|
Foreign exchange contracts |
|
$ |
(124 |
) |
|
$ |
2,130 |
|
Total |
|
$ |
(124 |
) |
|
$ |
2,130 |
|
The effects of derivative instruments on the Consolidated Statements of Operations for the three and six months ended June 30, 2025 are as follows (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
|
|
|
|
Derivatives not accounted for as hedging instruments, carried at fair value |
|
Foreign currency exchange contract |
|
|
|
Three Months Ended
June 30, 2025 |
|
|
Six Months Ended
June 30, 2025 |
|
Foreign exchange contracts |
|
$ |
(47 |
) |
|
$ |
453 |
|
Total |
|
$ |
(47 |
) |
|
$ |
453 |
|
|
|
|
|
|
|
|
|
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|
|
|
|
Derivatives not accounted for as hedging instruments, carried at fair value |
|
Foreign currency exchange contract |
|
|
|
Three Months Ended
June 30, 2025 |
|
|
Six Months Ended
June 30, 2025 |
|
Foreign exchange contracts |
|
$ |
(1,775 |
) |
|
$ |
(2,985 |
) |
Total |
|
$ |
(1,775 |
) |
|
$ |
(2,985 |
) |
|
| Schedule of company's average volume of derivative activities |
For the three and six months ended June 30, 2026 and 2025, the Company’s average volume of derivative activities is as follows (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
Average Volume of Derivative Activities* |
|
Derivative Contract Type |
|
Three Months Ended
June 30, 2026 |
|
|
Six Months Ended
June 30, 2026 |
|
Forward Foreign Currency Exchange Contracts - Sold (1) |
|
|
61,069 |
|
|
|
61,608 |
|
Forward Foreign Currency Exchange Contracts - Purchased (1) |
|
|
195 |
|
|
|
243 |
|
|
|
|
|
|
|
|
|
|
|
|
Average Volume of Derivative Activities* |
|
Derivative Contract Type |
|
Three Months Ended
June 30, 2025 |
|
|
Six Months Ended
June 30, 2025 |
|
Forward Foreign Currency Exchange Contracts - Sold (1) |
|
|
24,539 |
|
|
|
24,399 |
|
Forward Foreign Currency Exchange Contracts - Purchased (1) |
|
|
336 |
|
|
|
352 |
|
* Average volume is based on average quarter end balance as noted for the three and six months ended June 30, 2026 and 2025. (1) Value at Settlement Date
|
| Summary of offsetting of OTC derivative and financial instruments/transaction assets and liabilities |
Offsetting of OTC derivative assets and liabilities as of June 30, 2026 (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Amounts
of Recognized
Assets(1) |
|
|
Gross Amounts
of Recognized
Liabilities(1) |
|
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net Amount |
|
|
Macquarie Bank Limited |
|
$ |
656 |
|
|
$ |
(58 |
) |
|
$ |
598 |
|
|
$ |
— |
|
|
$ |
598 |
|
|
Nomura International plc |
|
|
159 |
|
|
|
(99 |
) |
|
|
60 |
|
|
|
— |
|
|
|
60 |
|
|
Commonwealth Bank Of Australia |
|
|
2 |
|
|
|
(193 |
) |
|
|
(191 |
) |
|
|
— |
|
|
|
(191 |
) |
|
|
|
$ |
817 |
|
|
$ |
(350 |
) |
|
$ |
467 |
|
|
$ |
— |
|
|
$ |
467 |
|
|
(1)Includes unrealized appreciation/(depreciation) on forwards as represented on the Consolidated Statement of Assets and Liabilities. (2)Collateral amount disclosed by the Company is limited to the Company’s OTC derivative exposure by counterparty. Offsetting of OTC derivative and financial instruments/transactions assets and liabilities as of December 31, 2025 (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Amounts
of Recognized
Assets(1) |
|
|
Gross Amounts
of Recognized
Liabilities(1) |
|
|
Net Amounts of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net Amount |
|
Macquarie Bank Limited |
|
$ |
9 |
|
|
$ |
(424 |
) |
|
$ |
(415 |
) |
|
$ |
— |
|
|
$ |
(415 |
) |
Nomura International plc |
|
|
4 |
|
|
|
(896 |
) |
|
|
(892 |
) |
|
|
— |
|
|
|
(892 |
) |
Commonwealth Bank Of Australia |
|
|
— |
|
* |
|
(356 |
) |
|
|
(356 |
) |
|
|
— |
|
|
|
(356 |
) |
|
|
$ |
13 |
|
|
$ |
(1,676 |
) |
|
$ |
(1,663 |
) |
|
$ |
— |
|
|
$ |
(1,663 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty |
|
Gross Market
Value of
Recognized
Assets/(Liabilities) |
|
|
Collateral
Pledged/(Received)(2) |
|
|
Net
Amount |
|
Reverse Repurchase Agreement |
|
Macquarie Bank Limited |
|
$ |
(7,670 |
) |
|
$ |
7,670 |
|
|
$ |
— |
|
(1)Includes unrealized appreciation/(depreciation) on forwards as represented on the Consolidated Statement of Assets and Liabilities. (2)Collateral amount disclosed by the Company is limited to the market value of financial instruments/transactions and the OTC derivative exposure by counterparty. * Less than $500
|
| Summary of carrying value and fair value of the Company's financial liabilities disclosed, but not carried, at fair value and the level of each financial liability within the fair value hierarchy |
The following tables present the carrying value and fair value of the Company’s financial liabilities disclosed, but not carried, at fair value as of June 30, 2026 and December 31, 2025, and the level of each financial liability within the fair value hierarchy (dollar amounts in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2026 |
|
|
December 31, 2025 |
|
|
|
Carrying Value |
|
|
Fair Value |
|
|
Carrying Value |
|
|
Fair Value |
|
Revolving Credit Facility |
|
$ |
89,850 |
|
|
$ |
89,850 |
|
|
$ |
165,750 |
|
|
$ |
165,750 |
|
Asset-Based Lending Facility |
|
|
58,000 |
|
|
|
58,000 |
|
|
|
— |
|
|
|
— |
|
Reverse Repurchase Agreement |
|
|
— |
|
|
|
— |
|
|
|
7,670 |
|
|
|
7,670 |
|
Promissory Notes Payable |
|
|
215 |
|
|
|
215 |
|
|
|
214 |
|
|
|
214 |
|
|
|
$ |
148,065 |
|
|
$ |
148,065 |
|
|
$ |
173,634 |
|
|
$ |
173,634 |
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2026 |
|
|
December 31, 2025 |
|
Level 1 |
|
$ |
— |
|
|
$ |
— |
|
Level 2 |
|
|
— |
|
|
|
— |
|
Level 3 |
|
|
148,065 |
|
|
|
173,634 |
|
Total debt |
|
$ |
148,065 |
|
|
$ |
173,634 |
|
|