| Schedule of Investments Measured at Fair Value on Recurring Basis |
The following table presents the valuation of the Company’s investment portfolio at fair value by level within the fair value hierarchy as of September 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
First lien debt investments |
|
$ |
— |
|
|
$ |
287,725 |
|
|
$ |
1,697,298 |
|
|
$ |
1,985,023 |
|
Mezzanine debt investments |
|
|
— |
|
|
|
— |
|
|
|
1,434 |
|
|
|
1,434 |
|
Equity investments |
|
|
7,324 |
|
|
|
— |
|
|
|
25,912 |
|
|
|
33,236 |
|
Foreign currency forward transactions |
|
|
— |
|
|
|
(414 |
) |
|
|
— |
|
|
|
(414 |
) |
Cash equivalents |
|
|
23,647 |
|
|
|
— |
|
|
|
— |
|
|
|
23,647 |
|
Total Assets and Liabilities at Fair Value |
|
$ |
30,971 |
|
|
$ |
287,311 |
|
|
$ |
1,724,644 |
|
|
$ |
2,042,926 |
|
The following table presents the valuation of the Company’s investment portfolio at fair value by level within the fair value hierarchy as of December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
First lien debt investments |
|
$ |
— |
|
|
$ |
325,853 |
|
|
$ |
1,146,863 |
|
|
$ |
1,472,716 |
|
Equity investments |
|
|
— |
|
|
|
— |
|
|
|
16,140 |
|
|
|
16,140 |
|
Foreign currency forward transactions |
|
|
— |
|
|
|
167 |
|
|
|
— |
|
|
|
167 |
|
Cash equivalents |
|
|
87,000 |
|
|
|
— |
|
|
|
— |
|
|
|
87,000 |
|
Total Assets and Liabilities at Fair Value |
|
$ |
87,000 |
|
|
$ |
326,020 |
|
|
$ |
1,163,003 |
|
|
$ |
1,576,023 |
|
|
| Schedule of Level 3 Input Reconciliation |
The following tables present a roll forward of the amounts in the Consolidated Statement of Financial Condition of the Company’s investment portfolio for the periods presented, classified by the Company within Level 3 of the fair value hierarchy. When a determination is made to classify an investment within Level 3 of the fair value hierarchy, the determination is based upon the significance of the unobservable inputs to the overall fair value measurement. The Level 3 gain/(loss) in the following tables is included as a component of net realized and unrealized gain/(loss) on investments in the Consolidated Statement of Operations for the three months ended September 30, 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended |
|
|
|
September 30, 2026 |
|
($ in thousands) |
|
First lien debt
investments |
|
|
Mezzanine debt
investments |
|
|
Equity
investments |
|
|
Total |
|
Fair value, June 30, 2026 |
|
$ |
1,623,107 |
|
|
$ |
1,416 |
|
|
$ |
26,212 |
|
|
$ |
1,650,735 |
|
Transfer in to Level 3 |
|
|
13,911 |
|
|
|
— |
|
|
|
— |
|
|
|
13,911 |
|
Transfer out of Level 3 |
|
|
(17,611 |
) |
|
|
— |
|
|
|
— |
|
|
|
(17,611 |
) |
Purchases/Borrowings |
|
|
110,095 |
|
|
|
— |
|
|
|
— |
|
|
|
110,095 |
|
Sales and Settlements/Paydowns |
|
|
(33,124 |
) |
|
|
— |
|
|
|
— |
|
|
|
(33,124 |
) |
Accretion of discount/amortization of premium and paid-in-kind interest |
|
|
1,067 |
|
|
|
18 |
|
|
|
— |
|
|
|
1,085 |
|
Total net realized and net change in unrealized gain/(loss) on investments |
|
|
(147 |
) |
|
|
— |
|
|
|
(300 |
) |
|
|
(447 |
) |
Fair value, September 30, 2026 |
|
$ |
1,697,298 |
|
|
$ |
1,434 |
|
|
$ |
25,912 |
|
|
$ |
1,724,644 |
|
The Level 3 gain/(loss) in the following tables is included as a component of net realized and unrealized gain/(loss) on investments in the Consolidated Statement of Operations for the nine months ended September 30, 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended |
|
|
|
September 30, 2026 |
|
($ in thousands) |
|
First lien debt
investments |
|
|
Mezzanine debt
investments |
|
|
Equity
investments |
|
|
Total |
|
Fair value, December 31, 2025 |
|
$ |
1,146,863 |
|
|
$ |
— |
|
|
$ |
16,140 |
|
|
$ |
1,163,003 |
|
Transfer in to Level 3 |
|
|
15,686 |
|
|
|
— |
|
|
|
— |
|
|
|
15,686 |
|
Transfer out of Level 3 |
|
|
(21,102 |
) |
|
|
— |
|
|
|
— |
|
|
|
(21,102 |
) |
Purchases/Borrowings |
|
|
690,867 |
|
|
|
1,416 |
|
|
|
6,377 |
|
|
|
698,660 |
|
Sales and Settlements/Paydowns |
|
|
(131,265 |
) |
|
|
— |
|
|
|
(380 |
) |
|
|
(131,645 |
) |
Accretion of discount/amortization of premium and paid-in-kind interest |
|
|
3,215 |
|
|
|
18 |
|
|
|
— |
|
|
|
3,233 |
|
Total net realized and unrealized gain/(loss) on investments |
|
|
(6,966 |
) |
|
|
— |
|
|
|
3,775 |
|
|
|
(3,191 |
) |
Fair value, September 30, 2026 |
|
$ |
1,697,298 |
|
|
$ |
1,434 |
|
|
$ |
25,912 |
|
|
$ |
1,724,644 |
|
The Level 3 gain/(loss) in the following tables is included as a component of net realized and unrealized gain/(loss) on investments in the Consolidated Statement of Operations for the three months ended September 30, 2025.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended |
|
|
|
September 30, 2025 |
|
($ in thousands) |
|
First lien debt
investments |
|
|
Equity
investments |
|
|
Total |
|
Fair value, June 30, 2025 |
|
$ |
325,191 |
|
|
$ |
507 |
|
|
$ |
325,698 |
|
Purchases/Borrowings |
|
|
307,029 |
|
|
|
103 |
|
|
|
307,132 |
|
Sales and Settlements/Paydowns |
|
|
(13,899 |
) |
|
|
— |
|
|
|
(13,899 |
) |
Accretion of discount/amortization of premium and paid-in-kind interest |
|
|
316 |
|
|
|
— |
|
|
|
316 |
|
Total net realized and unrealized gain/(loss) on investments |
|
|
886 |
|
|
|
131 |
|
|
|
1,017 |
|
Fair value, September 30, 2025 |
|
$ |
619,523 |
|
|
$ |
741 |
|
|
$ |
620,264 |
|
The Level 3 gain/(loss) in the following tables is included as a component of net realized and unrealized gain/(loss) on investments in the Consolidated Statement of Operations for the nine months ended September 30, 2025.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended |
|
|
|
September 30, 2025 |
|
($ in thousands) |
|
First lien debt
investments |
|
|
Equity
investments |
|
|
Total |
|
Fair value, December 31, 2024 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Purchases/Borrowings |
|
|
645,544 |
|
|
|
458 |
|
|
|
646,002 |
|
Sales and Settlements/Paydowns |
|
|
(27,722 |
) |
|
|
— |
|
|
|
(27,722 |
) |
Accretion of discount/amortization of premium and paid-in-kind interest |
|
|
389 |
|
|
|
— |
|
|
|
389 |
|
Total net realized and unrealized gain/(loss) on investments |
|
|
1,312 |
|
|
|
283 |
|
|
|
1,595 |
|
Fair value, September 30, 2025 |
|
$ |
619,523 |
|
|
$ |
741 |
|
|
$ |
620,264 |
|
|
| Schedule of Fair Value Inputs and Valuation Techniques |
As of September 30, 2026 and December 31, 2025, all Level 3 investments, earlier displayed in the fair value measurement table, were included in the following tables. Certain asset categories, fair value amounts, valuation techniques and significant unobservable inputs are disclosed in the table and represent investments held directly by the Company, it is not intended to be all inclusive. The asset categories presented within the table may be more disaggregated than the categories presented within the Consolidated Schedule of Investments in order to further describe the valuation characteristics and align with the fair value methods described herein. As of September 30, 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Asset Category |
|
Fair Value2 |
|
|
Valuation Technique |
|
Significant
Unobservable Inputs |
|
Range of
Inputs |
|
|
Weighted
Average1 |
|
First lien debt investments |
|
$ |
1,505,634 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
8.1%-13.6% |
|
|
11.4% |
|
|
|
|
98,982 |
|
|
Black-Derman-Toy |
|
Discount Rate |
|
8.8%-11.0% |
|
|
9.6% |
|
|
|
|
|
|
|
|
Interest Rate Volatility |
|
30.0% |
|
|
30.0% |
|
|
|
|
67,530 |
|
|
Broker Quotes |
|
Broker Quotes |
|
N/A |
|
|
N/A |
|
|
|
|
19,830 |
|
|
Transactional Value |
|
Transaction Price |
|
N/A |
|
|
N/A |
|
|
|
|
5,322 |
|
|
Recovery Analysis |
|
Recovery Rate |
|
38.0% |
|
|
38.0% |
|
Mezzanine debt investment |
|
$ |
1,434 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
18.4% |
|
|
18.4% |
|
Equity investments |
|
$ |
17,183 |
|
|
Monte-Carlo Simulation |
|
Comparable Company Quotes |
|
$ |
187.94 |
|
|
$ |
187.94 |
|
|
|
|
|
|
|
|
Call Option Term |
|
4 years |
|
|
4 years |
|
|
|
|
|
|
|
|
Drift |
|
15.3% |
|
|
15.3% |
|
|
|
|
|
|
|
|
Volatility |
|
75.3% |
|
|
75.3% |
|
|
|
|
8,249 |
|
|
Valuation Multiple |
|
LTM EBITDA |
|
5.3x-12.3x |
|
|
9.8x |
|
|
|
|
|
|
|
|
Illiquidity Discount |
|
10.0% |
|
|
10.0% |
|
|
|
|
480 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
10.9% |
|
|
10.9% |
|
Total Level 3 Assets and Liabilities |
|
$ |
1,724,644 |
|
|
|
|
|
|
|
|
|
|
|
1Unobservable inputs were weighted by the relative fair value of these investments 2$ expressed in thousands As of December 31, 2025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Asset Category |
|
Fair Value2 |
|
|
Valuation Technique |
|
Significant
Unobservable Inputs |
|
Range of
Inputs |
|
|
Weighted
Average1 |
|
First lien debt investments |
|
$ |
963,798 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
8.3%-25.4% |
|
|
10.2% |
|
|
|
|
|
|
|
|
Interest Rate Volatility |
|
30.0% |
|
|
30.0% |
|
|
|
|
129,827 |
|
|
Broker Quotes |
|
Broker Quotes |
|
N/A |
|
|
N/A |
|
|
|
|
53,238 |
|
|
Transactional Value |
|
Transaction Price |
|
N/A |
|
|
N/A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity investments |
|
$ |
14,925 |
|
|
Monte-Carlo Simulation |
|
Comparable Company Quotes |
|
$ |
137.15 |
|
|
$ |
137.15 |
|
|
|
|
|
|
|
|
Call Option Term |
|
4 years |
|
|
4 years |
|
|
|
|
|
|
|
|
Drift |
|
14.5% |
|
|
14.5% |
|
|
|
|
|
|
|
|
Volatility |
|
82.5% |
|
|
82.5% |
|
|
|
|
717 |
|
|
Valuation Multiple |
|
LTM EBITDA |
|
7.3x-12.3x |
|
|
8.3x |
|
|
|
|
|
|
|
|
Illiquidity Discount |
|
10.0% |
|
|
10.0% |
|
|
|
|
498 |
|
|
Discounted Cash Flow |
|
Discount Rate |
|
10.1% |
|
|
10.1% |
|
Total Level 3 Assets and Liabilities |
|
$ |
1,163,003 |
|
|
|
|
|
|
|
|
|
|
|
1Unobservable inputs were weighted by the relative fair value of these investments 2$ expressed in thousands
|