| Fair Value Measurement |
6. Fair Value Measurement The following tables summarize the fair value of the Company’s investments as of September 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at Fair Value as of September 30, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
Practical |
|
|
|
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Expedient |
|
|
Total |
|
First Lien Senior Secured |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,585,380 |
|
|
$ |
— |
|
|
$ |
4,585,380 |
|
Collateralized Loan Obligations |
|
|
— |
|
|
|
— |
|
|
|
94,435 |
|
|
|
— |
|
|
|
94,435 |
|
Preferred Equity (1) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Unlisted Common Stock |
|
|
— |
|
|
|
— |
|
|
|
2,877 |
|
|
|
— |
|
|
|
2,877 |
|
Limited Partnership Interests |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
68,353 |
|
|
|
68,353 |
|
Total assets |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,682,692 |
|
|
$ |
68,353 |
|
|
$ |
4,751,045 |
|
(1) Includes an investment with a fair value of 0.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at Fair Value as of September 30, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
Practical |
|
|
|
|
Liabilities |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Expedient |
|
|
Total |
|
Interest Rate Swaps |
|
$ |
— |
|
|
$ |
12,673 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,673 |
|
Total liabilities |
|
$ |
— |
|
|
$ |
12,673 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes the fair value of the Company’s investments as of December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at Fair Value as of December 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
Practical |
|
|
|
|
Assets |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Expedient |
|
|
Total |
|
First Lien Senior Secured |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,903,414 |
|
|
$ |
— |
|
|
$ |
2,903,414 |
|
Second Lien Senior Secured |
|
|
— |
|
|
|
— |
|
|
|
5,460 |
|
|
|
— |
|
|
|
5,460 |
|
Subordinated Notes |
|
|
— |
|
|
|
— |
|
|
|
49,318 |
|
|
|
— |
|
|
|
49,318 |
|
Preferred Equity |
|
|
— |
|
|
|
— |
|
|
|
499 |
|
|
|
— |
|
|
|
499 |
|
Limited Partnership Interests |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
49,937 |
|
|
|
49,937 |
|
Total assets |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,958,691 |
|
|
$ |
49,937 |
|
|
$ |
3,008,628 |
|
The below table presents a summary of changes in fair value of Level 3 assets by investment type for the three months ended September 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured |
|
|
Collateralized
Loan
Obligations |
|
|
Preferred
Equity |
|
|
Unlisted
Common
Stock |
|
|
Total |
|
Balance at fair value at June 30, 2026 |
|
$ |
3,668,771 |
|
|
$ |
57,923 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,726,694 |
|
Net Purchases (1)(4) |
|
|
1,373,428 |
|
|
|
36,272 |
|
|
|
— |
|
|
|
2,877 |
|
|
|
1,412,577 |
|
Net Sales, Exits and Repayments(2)(3)(4) |
|
|
(456,556 |
) |
|
|
(22 |
) |
|
|
— |
|
|
|
— |
|
|
|
(456,578 |
) |
PIK |
|
|
1,454 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,454 |
|
Accreted Discounts / Amortized Premiums |
|
|
2,187 |
|
|
|
14 |
|
|
|
— |
|
|
|
— |
|
|
|
2,201 |
|
Net Realized Gain/(Loss) |
|
|
(4,760 |
) |
|
|
— |
|
|
|
(499 |
) |
|
|
— |
|
|
|
(5,259 |
) |
Net Change in Unrealized Appreciation / (Depreciation) |
|
|
856 |
|
|
|
248 |
|
|
|
499 |
|
|
|
— |
|
|
|
1,603 |
|
Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Balance at fair value at September 30, 2026 |
|
$ |
4,585,380 |
|
|
$ |
94,435 |
|
|
$ |
— |
|
|
$ |
2,877 |
|
|
$ |
4,682,692 |
|
Change in Unrealized Appreciation / (Depreciation)
for Level 3 Assets Still Held as of September 30, 2026 |
|
$ |
(3,588 |
) |
|
$ |
248 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(3,340 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Purchases may include investments received in corporate action and restructurings. (2) Sales may include investments sold or repaid in corporate action and restructurings. (3) Sales may include dividends received and treated as return of capital adjustments for Subordinated Notes and Limited Partnership Interests. (4) Purchases and Sales may include amounts reclassified between investment categories. The below table presents a summary of changes in fair value of Level 3 assets by investment type for the nine months ended September 30, 2026:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured |
|
|
Second Lien
Senior Secured |
|
|
Collateralized
Loan
Obligations |
|
|
Preferred
Equity |
|
|
Unlisted
Common
Stock |
|
|
Total |
|
Balance at fair value as of December 31, 2025 |
|
$ |
2,903,414 |
|
|
$ |
5,460 |
|
|
$ |
49,318 |
|
|
$ |
499 |
|
|
$ |
— |
|
|
$ |
2,958,691 |
|
Net Purchases (1)(4) |
|
|
2,434,372 |
|
|
|
— |
|
|
|
62,292 |
|
|
|
— |
|
|
|
2,877 |
|
|
|
2,499,541 |
|
Net Sales, Exits and Repayments (2)(3)(4) |
|
|
(745,713 |
) |
|
|
(5,453 |
) |
|
|
(16,687 |
) |
|
|
(1,484 |
) |
|
|
— |
|
|
|
(769,337 |
) |
PIK |
|
|
4,389 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,389 |
|
Accreted Discounts / Amortized Premiums |
|
|
6,582 |
|
|
|
2 |
|
|
|
31 |
|
|
|
— |
|
|
|
— |
|
|
|
6,615 |
|
Net Realized Gain/(Loss) |
|
|
(4,760 |
) |
|
|
— |
|
|
|
— |
|
|
|
(2,494 |
) |
|
|
— |
|
|
|
(7,254 |
) |
Net Change in Unrealized Appreciation / (Depreciation) |
|
|
(12,904 |
) |
|
|
(9 |
) |
|
|
(519 |
) |
|
|
3,479 |
|
|
|
— |
|
|
|
(9,953 |
) |
Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Balance at fair value as of September 30, 2026 |
|
$ |
4,585,380 |
|
|
$ |
— |
|
|
$ |
94,435 |
|
|
$ |
— |
|
|
$ |
2,877 |
|
|
$ |
4,682,692 |
|
Change in Unrealized Appreciation / (Depreciation)
for Level 3 Assets Still Held as of September 30, 2026 |
|
$ |
(10,979 |
) |
|
$ |
— |
|
|
$ |
(519 |
) |
|
$ |
1,989 |
|
|
$ |
- |
|
|
$ |
(9,509 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Purchases may include investments received in corporate action and restructurings. (2) Sales may include investments sold or repaid in corporate action and restructurings. (3) Sales may include dividends received and treated as return of capital adjustments for Subordinated Notes and Limited Partnership Interests. (4) Purchases and Sales may include amounts reclassified between investment categories. The below table presents a summary of changes in fair value of Level 3 assets by investment type for the three months ended September 30, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured |
|
|
Second Lien
Senior Secured |
|
|
Subordinated
Notes |
|
|
Total |
|
Balance at fair value at June 30, 2025 |
|
$ |
2,060,182 |
|
|
$ |
5,484 |
|
|
$ |
34,963 |
|
|
$ |
2,100,629 |
|
Net Purchases |
|
|
564,023 |
|
|
|
— |
|
|
|
5,586 |
|
|
|
569,609 |
|
Net Sales, Exits and Repayments |
|
|
(73,137 |
) |
|
|
(13 |
) |
|
|
— |
|
|
|
(73,150 |
) |
PIK |
|
|
542 |
|
|
|
— |
|
|
|
— |
|
|
|
542 |
|
Accreted Discounts / Amortized Premiums |
|
|
(524 |
) |
|
|
— |
|
|
|
— |
|
|
|
(524 |
) |
Net Change in Unrealized Appreciation / (Depreciation) |
|
|
926 |
|
|
|
(9 |
) |
|
|
36 |
|
|
|
953 |
|
Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Balance at fair value at September 30, 2025 |
|
$ |
2,552,012 |
|
|
$ |
5,462 |
|
|
$ |
40,585 |
|
|
$ |
2,598,059 |
|
Change in Unrealized Appreciation / (Depreciation)
for Level 3 Assets Still Held as of September 30, 2025 |
|
$ |
926 |
|
|
$ |
(9 |
) |
|
$ |
136 |
|
|
$ |
1,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The below table presents a summary of changes in fair value of Level 3 assets by investment type for the nine months ended September 30, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Senior Secured |
|
|
Second Lien
Senior Secured |
|
|
CLO
Warehouse |
|
|
Total |
|
Balance at fair value at December 31, 2024 |
|
$ |
1,532,466 |
|
|
$ |
4,467 |
|
|
$ |
4,994 |
|
|
$ |
1,541,927 |
|
Net Purchases |
|
|
1,292,064 |
|
|
|
1,036 |
|
|
|
35,213 |
|
|
|
1,328,313 |
|
Net Sales, Exits and Repayments |
|
|
(275,224 |
) |
|
|
(9 |
) |
|
|
— |
|
|
|
(275,233 |
) |
PIK |
|
|
1,720 |
|
|
|
— |
|
|
|
— |
|
|
|
1,720 |
|
Accreted Discounts / Amortized Premiums |
|
|
2,931 |
|
|
|
4 |
|
|
|
— |
|
|
|
2,935 |
|
Net Change in Unrealized Appreciation / (Depreciation) |
|
|
(1,945 |
) |
|
|
(36 |
) |
|
|
378 |
|
|
|
(1,603 |
) |
Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Balance at fair value at September 30, 2025 |
|
$ |
2,552,012 |
|
|
$ |
5,462 |
|
|
$ |
40,585 |
|
|
$ |
2,598,059 |
|
Change in Unrealized Appreciation / (Depreciation)
for Level 3 Assets Still Held as of September 30, 2025 |
|
$ |
(3,588 |
) |
|
$ |
(31 |
) |
|
$ |
377 |
|
|
$ |
(3,242 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments as of September 30, 2026 and December 31, 2025, respectively. 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impact to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation from |
|
|
Fair Value |
|
|
|
|
|
|
|
|
|
|
|
|
Increase in |
|
|
as of |
|
|
Valuation |
|
Unobservable |
|
Range / |
|
|
Weighted |
|
|
Unobservable |
|
|
September 30, 2026 |
|
|
Techniques |
|
Input |
|
Percentage |
|
|
Average (1) |
|
|
Input |
First Lien Senior Secured Debt |
|
$ |
4,035,415 |
|
|
Yield Method |
|
Market Yield Discount Spreads |
|
3.41% - 21.5% |
|
|
5.85% |
|
|
Decrease |
|
|
|
538,309 |
|
|
Recent Transactions |
|
Transaction Price |
|
$88.46 - $100.62 |
|
|
$ |
98.42 |
|
|
Increase |
|
|
|
11,656 |
|
|
Liquidation Analysis |
|
Recovery Rate |
|
51.97% - 89.70% |
|
|
74.42% |
|
|
Increase |
Collateralized Loan Obligations |
|
|
7,659 |
|
|
Yield Method |
|
Market Yield Discount Spreads |
|
7.00% - 13.00% |
|
|
9.98% |
|
|
Decrease |
|
|
|
35,178 |
|
|
Recent Transactions |
|
Transaction Price |
|
$ |
100.00 |
|
|
$ |
100.00 |
|
|
Increase |
|
|
|
51,598 |
|
|
Discounted Cash Flows |
|
Annual Default Rate |
|
1.73% - 2.83% |
|
|
2.00% |
|
|
Decrease |
|
|
|
|
|
|
|
Annual Prepayment Rate |
|
20.00% |
|
|
20.00% |
|
|
Increase |
|
|
|
|
|
|
|
Reinvestment Spread |
|
3.45% - 5.00% |
|
|
4.40% |
|
|
Increase |
|
|
|
|
|
|
|
Reinvestment Price |
|
$99.50 |
|
|
$99.50 |
|
|
Decrease |
|
|
|
|
|
|
|
Recovery Rate |
|
63.62% - 70.10% |
|
|
66.54% |
|
|
Increase |
|
|
|
|
|
|
|
Expected Yield |
|
12.78% - 19.75% |
|
|
15.24% |
|
|
Decrease |
Preferred Equity |
|
|
— |
|
|
Liquidation Analysis |
|
Residual Equity Values |
|
$ |
— |
|
|
—% |
|
|
Increase |
Unlisted Common Stock |
|
|
2,877 |
|
|
Recent Transactions |
|
Transaction Price |
|
$ |
589.39 |
|
|
$ |
589.39 |
|
|
Increase |
Total Assets |
|
$ |
4,682,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impact to |
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation from |
|
|
Fair Value |
|
|
|
|
|
|
|
|
|
|
Increase in |
|
|
as of |
|
|
Valuation |
|
Unobservable |
|
Range / |
|
Weighted |
|
Unobservable |
|
|
December 31, 2025 |
|
|
Techniques |
|
Input |
|
Percentage |
|
Average (1) |
|
Input |
First Lien Senior Secured Debt |
|
$ |
2,797,561 |
|
|
Yield Method |
|
Market Yield Discount Spreads |
|
3.37% - 27.84% |
|
5.77% |
|
Decrease |
|
|
|
102,299 |
|
|
Recent Transactions |
|
Transaction Price |
|
$98.00 - $100.00 |
|
$98.93 |
|
Increase |
|
|
|
3,554 |
|
|
Market Approach |
|
Market Multiple |
|
0.3x - 10.9x |
|
5.6x |
|
Increase |
Second Lien Senior Secured Debt |
|
|
5,460 |
|
|
Yield Method |
|
Market Yield Discount Spreads |
|
5.18% - 6.18% |
|
5.68% |
|
Decrease |
Subordinated Notes |
|
|
16,580 |
|
|
Yield Method |
|
Market Yield Discount Spreads |
|
15.00% |
|
15.00% |
|
Decrease |
|
|
|
32,738 |
|
|
Discounted Cash Flows |
|
Annual Default Rate |
|
2.00% - 3.00% |
|
2.54% |
|
Decrease |
|
|
|
|
|
|
|
Annual Prepayment Rate |
|
20.00% |
|
20.00% |
|
Increase |
|
|
|
|
|
|
|
Reinvestment Spread |
|
3.20% - 5.05% |
|
4.18% |
|
Increase |
|
|
|
|
|
|
|
Reinvestment Price |
|
$99.00 - $99.50 |
|
$99.23 |
|
Decrease |
|
|
|
|
|
|
|
Recovery Rate |
|
65.00% |
|
65.00% |
|
Increase |
|
|
|
|
|
|
|
Expected Yield |
|
11.00% - 20.50% |
|
15.98% |
|
Decrease |
Preferred Equity |
|
|
499 |
|
|
Market Approach |
|
Market Multiple |
|
0.3x - 10.9x |
|
5.6x |
|
Increase |
Total Assets |
|
$ |
2,958,691 |
|
|
|
|
|
|
|
|
|
|
|
(1)Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.
|