Investment Valuations and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

Summary by Major Security Type of Fair Valuation According to Inputs Used in Valuing Investments

The following is a summary by major security type of the fair valuations according to inputs used in valuing investments listed in the Consolidated Schedule of Investments as of September 30, 2024:


Investments	Level 1		Level 2		Level 3		Total
Debt	$	—	$	—	$	138,189	$	138,189
Equity		—		—		41		41
Cash equivalents		7,723		—		—		7,723
Total	$	7,723	$	—	$	138,230	$	145,953

The following is a summary by major security type of the fair valuations according to inputs used in valuing investments listed in the Consolidated Schedule of Investments as of December 31, 2023:


Investments	Level 1		Level 2		Level 3		Total
Debt	$	—	$	—	$	118,178	$	118,178
Short-term investments		34,438		—		—		34,438
Cash equivalents		4,676		—		—		4,676
Total	$	39,114	$	—	$	118,178	$	157,292

Summary of Reconciliation of Balances for Total Investments

The following tables provide a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the three and nine months ended September 30, 2024:


	Debt			Equity			Total
Balance, July 1, 2024	$	152,747		$	215		$	152,962
Purchases, including payments received in-kind		5,158			—			5,158
Sales and paydowns of investments		(19,348	)		—			(19,348	)
Amortization of premium and accretion of discount, net		518			—			518
Net realized losses		(2	)		—			(2	)
Net change in unrealized appreciation/(depreciation)		(884	)		(174	)		(1,058	)
Balance, September 30, 2024	$	138,189		$	41		$	138,230
Change in net unrealized appreciation/(depreciation) in investments held as of September 30, 2024	$	(710	)	$	(174	)	$	(884	)


	Debt			Equity		Total
Balance, January 1, 2024	$	118,178		$	—	$	118,178
Purchases, including payments received in-kind		45,474			—		45,474
Sales and paydowns of investments		(25,507	)		—		(25,507	)
Amortization of premium and accretion of discount, net		968			—		968
Net realized gains		24			—		24
Net change in unrealized appreciation/(depreciation)		(948	)		41		(907	)
Balance, September 30, 2024	$	138,189		$	41	$	138,230
Change in net unrealized appreciation/(depreciation) in investments held as of September 30, 2024	$	(774	)	$	41	$	(733	)

Investment Valuations and Fair Value Measurements (Continued)

The following tables provide a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the three and nine months ended September 30, 2023:


	Debt			Equity		Total
Balance, July 1, 2023	$	82,691		$	—	$	82,691
Purchases, including payments received in-kind		36,960			—		36,960
Sales and paydowns of investments		(7,999	)		—		(7,999	)
Amortization of premium and accretion of discount, net		161			—		161
Net realized gains		90			—		90
Net change in unrealized appreciation/(depreciation)		257			—		257
Balance, September 30, 2023	$	112,160		$	—	$	112,160
Change in net unrealized appreciation/(depreciation) in investments held as of September 30, 2023	$	257		$	—	$	257


	Debt			Equity		Total
Balance, January 1, 2023	$	10,150		$	—	$	10,150
Purchases, including payments received in-kind		111,857			—		111,857
Sales and paydowns of investments		(10,958	)		—		(10,958	)
Amortization of premium and accretion of discount, net		258			—		258
Net realized gains		93			—		93
Net change in unrealized appreciation/(depreciation)		760			—		760
Balance, September 30, 2023	$	112,160		$	—	$	112,160
Change in net unrealized appreciation/(depreciation) in investments held as of September 30, 2023	$	760		$	—	$	760

Summary of Valuation Techniques and Quantitative Information

The following table summarizes the valuation techniques and quantitative information utilized in determining the fair value of the Level 3 investments as of September 30, 2024:

        Investment Type

        Fair Value

        Valuation
Technique

        Unobservable
Input

        Range

        Weighted
Average*

        Impact to
Valuation if
Input Increases

Debt

132,604

Income Method

Discount Rate

7.7% to 18.9%

11.8%

Decrease

Debt

5,585

Market Method

EBITDA Multiple

6.5x to 7.5x

7.0x

Increase

Equity

41

Market Method

EBITDA Multiple

6.5x to 7.5x

7.0x

Increase

* Weighted based on fair value

The following table summarizes the valuation techniques and quantitative information utilized in determining the fair value of the Level 3 investments as of December 31, 2023:

        Investment Type

        Fair Value

        Valuation
Technique

        Unobservable
Input

        Range

        Weighted
Average*

        Impact to
Valuation if
Input Increases

Debt

118,178

Income Method

Discount Rate

10.3% to 16.3%

12.7%

Decrease

* Weighted based on fair value

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details

TCW Star Direct Lending LLC 10-Q