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Fair Value Measurement
 9 Months Ended
Sep. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurement

4. 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 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 Investments valued using unadjusted quoted prices in active markets for identical assets.

Level 2 Investments valued using other unadjusted observable market inputs, e.g. quoted prices in markets that are not active or quotes for comparable instruments.

Level 3 Investments that are valued using quotes and other observable market data to the extent available, but which also take into consideration one or more unobservable inputs that are significant to the valuation taken as a whole.

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 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, Bank Loans, Corporate Debt, and Other Debt Obligations

 

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 may include commercial paper, most government agency obligations, certain 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 debt and equity 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.

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 an analysis of market comparables, transactions in similar instruments and/or recovery and liquidation analyses.

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:

▪
Transactions in similar instruments;
▪
Discounted cash flow techniques;
▪
Third party appraisals; and
▪
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:

▪
Current financial performance as compared to projected performance;
▪
Capitalization rates and multiples; and
▪
Market yields implied by transactions of similar or related assets.

As noted above, the income and market approaches were used in the determination of fair value of certain Level 3 assets as of September 30, 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 is risk of default, rating of the investment (if any), call provisions and comparable company valuations. The significant unobservable inputs used in the market approach are based on market comparable transactions and market multiples of publicly traded comparable companies. Increases or decreases in market multiples would result in an increase or decrease, respectively, in the fair value.

The following summarizes the Company’s investment assets categorized within the fair value hierarchy as of September 30, 2025:

Type of Investment

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Asset

 

 

 

 

 

 

 

 

 

 

 

 

Debt

 

$

1,548

 

 

$

76,064

 

 

$

137,055

 

 

$

214,667

 

Equity/Other

 

 

3,889

 

 

 

-

 

 

 

41,946

 

 

 

45,835

 

Short Term Investments

 

 

88,698

 

 

 

-

 

 

 

-

 

 

 

88,698

 

Total

 

$

94,135

 

 

$

76,064

 

 

$

179,001

 

 

$

349,200

 

Investment measured at net asset value(1)

 

 

 

 

 

 

 

 

 

 

 

64,604

 

Total Investments, at fair value

 

 

 

 

 

 

 

 

 

 

$

413,804

 

The following summarizes the Company’s investment assets categorized within the fair value hierarchy as of December 31, 2024:

Assets

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Debt

 

$

-

 

 

$

76,764

 

 

$

159,954

 

 

$

236,718

 

Equity/Other

 

 

3,430

 

 

 

-

 

 

 

32,937

 

 

 

36,367

 

Short Term Investments

 

 

8,448

 

 

 

-

 

 

 

-

 

 

 

8,448

 

Total

 

$

11,878

 

 

$

76,764

 

 

$

192,891

 

 

$

281,533

 

Investment measured at net asset value(1)

 

 

 

 

 

 

 

 

 

 

 

51,177

 

Total Investments, at fair value

 

 

 

 

 

 

 

 

 

 

$

332,710

 
(1)
Certain investments that are measured at fair value using net asset value (“NAV”) have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Statements of Assets and Liabilities.

The following is a reconciliation of Level 3 assets for the nine months ended September 30, 2025:

Level 3

 

Beginning Balance as of January 1, 2025

 

 

Net Transfers In/Out

 

 

Purchases(1)

 

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized
Appreciation (Depreciation)(2)

 

 

Sales and Settlements(1)

 

 

Net Amortization of Premium/ Discount

 

 

Ending Balance as of September 30, 2025

 

Debt

 

$

159,954

 

 

$

(12,093

)

 

$

62,324

 

 

$

621

 

 

$

(5,413

)

 

$

(68,883

)

 

$

545

 

 

$

137,055

 

Equity/Other

 

 

32,937

 

 

 

-

 

 

 

12,396

 

 

 

4,121

 

 

 

(2,319

)

 

 

(5,189

)

 

 

-

 

 

 

41,946

 

Total investment assets

 

$

192,891

 

 

$

(12,093

)

 

$

74,720

 

 

$

4,742

 

 

$

(7,732

)

 

$

(74,072

)

 

$

545

 

 

$

179,001

 

The following is a reconciliation of Level 3 assets for the year ended December 31, 2024:

Level 3

 

Beginning Balance as of January 1, 2024

 

 

Net Transfers In/Out

 

 

Purchases(1)

 

 

Net Realized Gain (Loss)

 

 

Net Change in Unrealized
Appreciation (Depreciation)(2)

 

 

Sales and Settlements(1)

 

 

Net Amortization of Premium/ Discount

 

 

Ending Balance as of December 31, 2024

 

Debt

 

$

122,693

 

 

$

17,179

 

 

$

80,149

 

 

$

(36

)

 

$

740

 

 

$

(61,155

)

 

$

384

 

 

$

159,954

 

Equity/Other

 

 

20,044

 

 

 

1,449

 

 

 

28,334

 

 

 

-

 

 

 

(11,890

)

 

 

(5,000

)

 

 

-

 

 

 

32,937

 

Total investment assets

 

$

142,737

 

 

$

18,628

 

 

$

108,483

 

 

$

(36

)

 

$

(11,150

)

 

$

(66,155

)

 

$

384

 

 

$

192,891

 
(1)
Purchases may include new deals, additional fundings (inclusive of those on revolving credit facilities), refinancings, capitalized PIK income, and securities received in corporate actions and restructurings. Sales and Settlements may include scheduled principal payments, prepayments, sales and repayments (inclusive of those on revolving credit facilities), and securities delivered in corporate actions and restructuring of investments.
(2)
The net change in unrealized depreciation relating to Level 3 assets still held at September 30, 2025 totaled $(10,748) consisting of the following: $(8,429) related to debt investments and $(2,319) related to equity investments. The net change in unrealized depreciation relating to Level 3 assets still held at December 31, 2024 totaled $(15,902) consisting of the following: $(4,822) related to debt investments and $(11,080) relating to equity/other.

Four investments with an aggregate fair value of $31,369 were transferred from Level 3 to Level 2 as a result of increased pricing transparency during the nine months ended September 30, 2025. Five investments with an aggregate fair value of $19,276 were transferred from Level 2 to Level 3 as a result of reduced pricing transparency during the nine months ended September 30, 2025.

One investment with a fair value of $3,970 was transferred from Level 3 to Level 2 as a result of increased pricing transparency during the year ended December 31, 2024. Four investments with an aggregate fair value of $22,597 were transferred from Level 2 to Level 3 as a result of decreased pricing transparency during the year ended December 31, 2024.

Changes in pricing transparency are the result of changes in the number of brokers quoting an investment and evidence of observable trading activity at a given price. These factors support the assumption that prices provided by third-party vendors are representative of the value that an investment may transact at, whereas limited evidence of these factors may indicate that additional valuation procedures including unobservable inputs should be utilized.

The following tables below present the ranges of significant unobservable inputs used to value the Company’s Level 3 assets as of September 30, 2025 and December 31, 2024, respectively. 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 yield in 1st Lien 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.

As of September 30, 2025

Investment Type

 

Fair value

 

 

Valuation Technique(1)

 

Unobservable Input(1)

 

Range (Weighted Average)(2)

Debt

 

$

97,988

 

 

Income Approach

 

Discount Rate

 

8.25% - 31.65% (14.96%)

 

 

 

968

 

 

Broker Quotes

 

Broker Price

 

$93.0 - $98.5

 

 

 

38,099

 

 

Market Approach

 

Earnings Multiple

 

0.15 - 6.00 (2.46)

Total Debt

 

$

137,055

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity/Other

 

$

183

 

 

Recent Transaction

 

 

 

 

 

 

 

28,141

 

 

Market Approach

 

Earnings Multiple

 

0.09 - 9.50 (3.23)

 

 

 

6,908

 

 

Income Approach

 

Discount Rate

 

17.50% - 19.50% (18.50%)

 

 

 

6,629

 

 

Insurance Industry Model

 

Estimated Losses

 

$0.0MM - $65.0MM ($32.5MM)

 

 

 

85

 

 

Asset Recovery / Liquidation (3)

 

 

 

 

Total Equity/Other

 

$

41,946

 

 

 

 

 

 

 

 

As of December 31, 2024

Investment Type

 

Fair value

 

 

Valuation Technique(1)

 

Unobservable Input(1)

 

Range (Weighted Average)(2)

Debt

 

$

117,413

 

 

Income Approach

 

Discount Rate

 

9.37% - 22.48% (15.13%)

 

 

 

35,710

 

 

Recent Transaction

 

 

 

 

 

 

 

6,831

 

 

Market Approach

 

Earnings Multiple

 

0.30 - 8.00 (4.66)

Total Debt

 

$

159,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity/Other

 

$

20,327

 

 

Recent Transaction

 

 

 

 

 

 

 

6,401

 

 

Market Approach

 

Earnings Multiple

 

0.09 - 8.25 (6.67)

 

 

 

6,155

 

 

Insurance Industry Model

 

Estimated Losses

 

$0.0MM-$65.0MM($32.5MM)

 

 

 

54

 

 

Asset Recovery / Liquidation (3)

 

 

 

 

Total Equity/Other

 

$

32,937

 

 

 

 

 

 

 
(1)
The fair value of any one instrument may be determined using multiple valuation techniques or unobservable inputs.
(2)
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. The range and weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.
(3)
Investments valued using the asset recovery or liquidation technique include investments for which valuation is based on current financial data without a discount rate applied.

As of September 30, 2025, certain investments were valued using the market approach while they had been valued using recent transaction data as of December 31, 2024. The valuation technique was changed as the referenced transaction was no longer considered to be recent and it was determined that the market approach incorporated more current unobservable data.

In accordance with ASC 820, certain investments that do not have a readily determinable fair value and which are within the scope of Topic 946, Financial Services - Investment Companies, may be measured using NAV as a practical expedient. As of September 30, 2025 the Company held three investments valued using NAV as a practical expedient. These investments are generally restricted from withdrawal subject to the terms of each investment vehicle with withdrawals allowed no more than annually. There is no set duration for these entities.