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Investments (Tables)

6 Months Ended

Jun. 30, 2024

Schedule of Composition of Investment Portfolio

The following table shows the composition of our investment portfolio as of June 30, 2024, with the fair value disaggregated into the three levels of the fair value hierarchy in accordance with ASC 820:


					Fair Value Hierarchy
	Cost		Fair Value		Level 1		Level 2		Level 3
First Lien Secured Debt	$	2,222,375	$	2,202,813	$	—	$	—	$	2,202,813
Second Lien Secured Debt		15,520		13,401		—		7,955		5,446
Unsecured Debt		2,672		325		—		—		325
Structured Products and Other		44,438		34,705		—		—		34,705
Preferred Equity		25,802		32,610		—		—		32,610
Common Equity/Interests		323,558		160,328		1,745		—		158,583
Warrants		965		170		—		—		170
Total Investments	$	2,635,330	$	2,444,352	$	1,745	$	7,955	$	2,434,652
Money Market Fund	$	675	$	675	$	675	$	—	$	—
Total Cash Equivalents	$	675	$	675	$	675	$	—	$	—
Total Investments after Cash Equivalents	$	2,636,005	$	2,445,027	$	2,420	$	7,955	$	2,434,652

The following table shows the composition of our investment portfolio as of December 31, 2023, with the fair value disaggregated into the three levels of the fair value hierarchy in accordance with ASC 820:


					Fair Value Hierarchy
	Cost		Fair Value		Level 1		Level 2		Level 3
First Lien Secured Debt	$	2,093,887	$	2,075,031	$	—	$	—	$	2,075,031
Second Lien Secured Debt		46,274		31,887		—		—		31,887
Unsecured Debt		—		—		—		—		—
Structured Products and Other		44,993		41,333		—		—		41,333
Preferred Equity		25,685		32,405		—		—		32,405
Common Equity/Interests		326,914		153,344		1,217		—		152,127
Warrants		389		199		—		—		199
Total Investments	$	2,538,142	$	2,334,199	$	1,217	$	—	$	2,332,982
Money Market Fund	$	252	$	252	$	252	$	—	$	—
Total Cash Equivalents	$	252	$	252	$	252	$	—	$	—
Total Investments after Cash Equivalents	$	2,538,394	$	2,334,451	$	1,469	$	—	$	2,332,982

Schedule of Changes in Fair Value of Investments

The following table shows changes in the fair value of our Level 3 investments during the three months ended June 30, 2024:


	First Lien Secured Debt (2)			Second Lien Secured Debt (2)			Unsecured Debt			Structured Products and Other			Preferred Equity			Common Equity/Interests			Warrants			Total
Fair value as of March 31, 2024	$	2,111,478		$	5,559		$	329		$	35,639		$	32,752		$	157,406		$	258		$	2,343,421
Net realized gains (losses)		3,171			—			—			—			—			(15,700	)		—			(12,529	)
Net change in unrealized gains (losses)		(5,288	)		(265	)		(12	)		(2,725	)		(142	)		16,949			(88	)		8,429
Net amortization on investments		1,642			—			—			—			—			—			—			1,642
Purchases, including capitalized PIK (3)		245,797			152			8			2,533			—			77			—			248,567
Sales (3)		(153,987	)		—			—			(742	)		—			(149	)		—			(154,878	)
Transfers out of Level 3 (1)		—			—			—			—			—			—			—			—
Transfers into Level 3 (1)		—			—			—			—			—			—			—			—
Fair value as of June 30, 2024	$	2,202,813		$	5,446		$	325		$	34,705		$	32,610		$	158,583		$	170		$	2,434,652

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2024	$	(6,256	)	$	(228	)	$	42		$	(2,725	)	$	(142	)	$	1,208		$	(87	)	$	(8,188	)

The following table shows changes in the fair value of our Level 3 investments during the six months ended June 30, 2024:


	First Lien Secured Debt (2)			Second Lien Secured Debt (2)			Unsecured Debt			Structured Products and Other			Preferred Equity		Common Equity/Interests			Warrants			Total
Fair value as of December 31, 2023	$	2,075,031		$	31,887		$	—		$	41,333		$	32,405	$	152,127		$	199		$	2,332,982
Net realized gains (losses)		(2,787	)		273			—			—			—		(15,341	)		—			(17,855	)
Net change in unrealized gains (losses)		(707	)		12,031			(2,347	)		(6,072	)		89		9,811			(605	)		12,200
Net amortization on investments		3,574			6			—			—			—		—			—			3,580
Purchases, including capitalized PIK (3)		468,019			299			8			2,533			116		78			—			471,053
Sales (3)		(340,317	)		(31,340	)		2,664			(3,089	)		—		11,908			576			(359,598	)
Transfers out of Level 3 (1)		—			(7,710	)		—			—			—		—			—			(7,710	)
Transfers into Level 3 (1)		—			—			—			—			—		—			—			—
Fair value as of June 30, 2024	$	2,202,813		$	5,446		$	325		$	34,705		$	32,610	$	158,583		$	170		$	2,434,652

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2024	$	(9,558	)	$	(858	)	$	(2,347	)	$	(6,072	)	$	89	$	7,058		$	(605	)	$	(12,293	)

(1)

Transfers out (if any) of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained and transfers into (if any) Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained as assessed by the Investment Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown.

(2)

Includes unfunded commitments measured at fair value of $(4,072).

(3)

Includes reorganizations and restructuring of investments

The following table shows changes in the fair value of our Level 3 investments during the three months ended June 30, 2023:


	First Lien Secured Debt (2)			Second Lien Secured Debt (2)			Unsecured Debt			Structured Products and Other			Preferred Equity			Common Equity/Interests			Warrants			Total
Fair value as of March 31, 2023	$	2,114,795		$	69,357		$	31		$	10,902		$	36,611		$	151,361		$	461		$	2,383,518
Net realized gains (losses)		448			—			—			—			—			—			—			448
Net change in unrealized gains (losses)		2,381			(967	)		—			(412	)		(226	)		(2,553	)		(124	)		(1,901	)
Net amortization on investments		2,041			49			—			—			—			—			—			2,090
Purchases, including capitalized PIK (3)		208,572			—			1			29,947			—			152			—			238,672
Sales (3)		(211,871	)		—			(6	)		—			—			(3,615	)		—			(215,492	)
Transfers out of Level 3 (1)		—			—			—			—			—			—			—			—
Transfers into Level 3 (1)		—			—			—			—			—			592			—			592
Fair value as of June 30, 2023	$	2,116,366		$	68,439		$	26		$	40,437		$	36,385		$	145,937		$	337		$	2,407,927

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2023	$	899		$	(965	)	$	—		$	872		$	(227	)	$	(2,283	)	$	(123	)	$	(1,827	)

The following table shows changes in the fair value of our Level 3 investments during the six months ended June 30, 2023:


	First Lien Secured Debt (2)			Second Lien Secured Debt (2)			Unsecured Debt			Structured Products and Other		Preferred Equity		Common Equity/Interests			Warrants			Total
Fair value as of December 31, 2022	$	2,130,309		$	70,919		$	50		$	9,413	$	35,557	$	149,314		$	474		$	2,396,036
Net realized gains (losses)		2,980			(1,128	)		—			—		—		367			—			2,219
Net change in unrealized gains (losses)		2,653			21,016			(2	)		972		778		(24,287	)		(137	)		993
Net amortization on investments		4,463			160			—			—		—		(36	)		—			4,587
Purchases, including capitalized PIK (3)		360,080			—			2			30,052		50		23,625			—			413,809
Sales (3)		(384,119	)		(22,528	)		(24	)		—		—		(3,638	)		—			(410,309	)
Transfers out of Level 3 (1)		—			—			—			—		—		—			—			—
Transfers into Level 3 (1)		—			—			—			—		—		592			—			592
Fair value as of June 30, 2023	$	2,116,366		$	68,439		$	26		$	40,437	$	36,385	$	145,937		$	337		$	2,407,927

Net change in unrealized gains (losses) on Level 3 investments still held as of June 30, 2023	$	1,342		$	(1,200	)	$	(2	)	$	2,025	$	777	$	(1,799	)	$	(137	)	$	1,006

(1)

(2)

Includes unfunded commitments measured at fair value of $(4,137).

(3)

Includes reorganizations and restructuring of investments.

Summary of Unobservable Inputs Used in Fair Value Measurements of Level 3 Investments

The following tables summarize the significant unobservable inputs the Company used to value its investments categorized within Level 3 as of June 30, 2024 and December 31, 2023. In addition to the techniques and inputs noted in the tables below, according to our valuation policy we may also use other valuation techniques and methodologies when determining our fair value measurements. The below tables are not intended to be all-inclusive, but rather provide information on the significant unobservable inputs as they relate to the Company’s determination of fair values.

The unobservable inputs used in the fair value measurement of our Level 3 investments as of June 30, 2024 were as follows:


				Quantitative Information about Level 3 Fair Value Measurements
Asset Category		Fair Value		Valuation Techniques/Methodologies	Unobservable Input	Range		Weighted Average (1)
First Lien Secured Debt	$		1,913,912	Yield Analysis	Discount Rate	6.8%	22.4%	12.1%
			132,181	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			124,227	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
			32,493	Market Comparable Technique	Comparable Multiple	3.3x	25.2x	13.7x
Second Lien Secured Debt			5,446	Market Comparable Technique	Comparable Multiple	5.8x	5.8x	5.8x
Unsecured Debt			325	Yield Analysis	Discount Rate	11.8%	11.8%	11.8%
Structured Products and Other			34,705	Yield Analysis	Discount Rate	11.3%	12.4%	11.6%
Preferred Equity			32,350	Market Comparable Technique	Comparable Multiple	0.5x	16.9x	11.7x
			241	Yield Analysis	Discount Rate	13.3%	13.3%	13.3%
			19	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			—	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
Common Equity/Interests			120,315	Yield Analysis	Discount Rate	10.5%	13.3%	10.5%
			21,034	Estimated Proceeds	Estimated Proceeds	N/A	N/A	N/A
			16,946	Market Comparable Technique	Comparable Multiple	2.8x	23.5x	11.4x
			211	Option Pricing Model	Expected Volatility	30.0%	105.0%	64.1%
			77	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			—	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
Warrants			148	Option Pricing Model	Expected Volatility	50.0%	50.0%	50.0%
			22	Market Comparable Technique	Comparable Multiple	6.5x	6.5x	6.5x
Total Level 3 Investments	$		2,434,652

_________________

(1)

The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the commodity price unobservable input, the weighted average price is an undiscounted price based upon the estimated production level from the underlying reserves.

The unobservable inputs used in the fair value measurement of our Level 3 investments as of December 31, 2023 were as follows:


				Quantitative Information about Level 3 Fair Value Measurements
Asset Category		Fair Value		Valuation Techniques/Methodologies	Unobservable Input	Range		Weighted Average (1)
First Lien Secured Debt	$		59,746	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			111,468	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
			1,903,817	Yield Analysis	Discount Rate	6.6%	25.1%	12.2%
Second Lien Secured Debt			2,207	Market Comparable Technique	Comparable Multiple	8.5x	8.5x	8.5x
			238	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
			29,442	Yield Analysis	Discount Rate	13.7%	25.8%	17.3%
Structured Products and Other			41,333	Yield Analysis	Discount Rate	13.0%	15.6%	14.9%
Preferred Equity			31,950	Market Comparable Technique	Comparable Multiple	2.8x	12.5x	11.1x
			268	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			—	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
			78	Residual Value	Residual Value	N/A	N/A	N/A
			109	Yield Analysis	Discount Rate	13.5%	13.5%	13.5%
Common Equity/Interests			12,898	Market Comparable Technique	Comparable Multiple	3.6x	26.0x	11.8x
			281	Option Pricing Model	Expected Volatility	30.0%	115.0%	59.1%
			125	Recent Transaction	Recent Transaction	N/A	N/A	N/A
			—	Recovery Analysis	Recoverable Amount	N/A	N/A	N/A
			117,454	Yield Analysis	Discount Rate	13.5%	14.3%	14.3%
			21,369	Estimated Proceeds	Estimated Proceeds	N/A	N/A	N/A
Warrants			199	Option Pricing Model	Expected Volatility	50.0%	50.0%	50.0%
Total Level 3 Investments	$		2,332,982

____________________

(1)

Summary of Change in Capitalized PIK balance

The following table shows the change in capitalized PIK balance for the three and six months ended June 30, 2024 and 2023:


	Three Months Ended June 30,					Six Months Ended June 30,
	2024		2023				2024			2023
PIK balance at beginning of period	$	26,834	$	22,325		$		24,485	$		21,534
PIK income capitalized		2,075		811				4,424			1,602
Adjustments due to investments exited or written off		—		(19	)			—			(19	)
PIK income received in cash		—		—				—			—
PIK balance at end of period	$	28,909	$	23,117		$		28,909	$		23,117

- 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