AB 2020 Form 10-K

The determination of what constitutes “observable” requires significant judgment by the Fund. The Fund considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. Valuation of Investments Investments are valued at fair value as determined in good faith by our Board, based on input of management, the audit committee and independent valuation firms that have been engaged to assist in the valuation of each portfolio investment without a readily available market quotation at least once during a trailing twelve-month period under a valuation policy and a consistently applied valuation process. This valuation process is conducted at the end of each fiscal quarter. The fair values of loan investments based upon pricing data vendors or observable market price quotations are generally categorized as Level 2; however, those priced using models with significant unobservable inputs are categorized as Level 3. In determining the fair value of the Fund’s Level 3 debt and equity positions, the Adviser uses the following factors where relevant: loan to value (“LTV”) based on an enterprise value determined using the original purchase price, public equity comparable, recent M&A transaction, and a discounted cash flow (“DCF”) analysis, and yields from comparable loans, comparable high yield bonds, high yield indexes and loan indexes (“comparable yields”). Due to the inherent uncertainty of valuations, however, estimated fair values may differ from the values that would have been used had a readily available market for the securities existed and the differences could be material. The following tables summarize the valuation of the Fund’s investments as of December 31, 2020: Assets* Level 1 Level 2 Level 3 Total Cash Equivalents Investment Companies $ 7,022,133 $ — $ — $ 7,022,133 Total Cash Equivalents $ 7,022,133 $ — $ — $ 7,022,133 Assets* Level 1 Level 2 Level 3 Total 1st Lien/Senior Secured Debt $— $ — $ 511,197,686 $ 511,197,686 2nd Lien/Junior Secured Debt — — 11,396,369 11,396,369 U.S. Preferred Stock — — 7,495,949 7,495,949 U.S. Common Stock 287,775 — 2,375,265 2,663,040 U.S. Warrants — — 281,986 281,986 Total assets $ 287,775 $ — $ 532,747,255 $ 533,035,030 * See consolidated schedule of investments for industry classifications. The following table summarizes the valuation of the Fund’s investments as of December 31, 2019: Assets* Level 1 Level 2 Level 3 Total 1st Lien/Senior Secured Debt $— $ 12,092,212 $ 318,300,993 $ 330,393,205 2nd Lien/Junior Secured Debt — — 7,620,547 7,620,547 U.S. Preferred Stock — — 4,861,847 4,861,847 U.S. Common Stock — — 1,518,353 1,518,353 U.S. Warrants — — 631,366 631,366 Total assets $ — $ 12,092,212 $ 332,933,106 $ 345,025,318 * See consolidated schedule of investments for industry classifications. F-33