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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

The following tables present fair value measurements of investments as of December 31, 2023 and 2022:


	Fair Value Hierarchy at December 31, 2023
	Level 1		Level 2			Level 3		Total
First-lien debt investments	$	—	$	2,391		$	2,993,786	$	2,996,177
Second-lien debt investments		—		—			35,975		35,975
Mezzanine debt investments		—		606			38,865		39,471
Equity and other investments		5,180		10,089			140,331		155,600
Structured credit investments		—		55,842			—		55,842
Total investments at fair value	$	5,180	$	68,928		$	3,208,957	$	3,283,065
Interest rate swaps		—		(31,840	)		—		(31,840	)
Total	$	5,180	$	37,088		$	3,208,957	$	3,251,225


	Fair Value Hierarchy at December 31, 2022
	Level 1		Level 2			Level 3		Total
First-lien debt investments	$	—	$	21,935		$	2,495,959	$	2,517,894
Second-lien debt investments		—		—			40,762		40,762
Mezzanine debt investments		—		—			10,158		10,158
Equity and other investments		7,498		13,128			147,059		167,685
Structured credit investments		—		51,426			—		51,426
Total investments at fair value	$	7,498	$	86,489		$	2,693,938	$	2,787,925
Interest rate swaps		—		(55,314	)		—		(55,314	)
Total	$	7,498	$	31,175		$	2,693,938	$	2,732,611

Changes in Fair Value of Investments Using Level 3 Inputs

The following tables present the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the year ended December 31, 2023 and 2022:


	As of and for the Year Ended
	December 31, 2023
	First-lien debt investments			Second-lien debt investments			Mezzanine debt investments			Equity and other investments			Total
Balance, beginning of period	$	2,495,959		$	40,762		$	10,158		$	147,059		$	2,693,938
Purchases or originations		887,495			7,961			30,197			13,709			939,362
Repayments / redemptions		—			—			—			(11,217	)		(11,217	)
Sales Proceeds		(472,044	)		—			(102	)		—			(472,146	)
Paid-in-kind interest		15,296			623			2,242			—			18,161
Net change in unrealized gains (losses)		51,240			(13,467	)		(1,186	)		(20,917	)		15,670
Net realized gains (losses)		(487	)		—			—			8,466			7,979
Net amortization of discount on securities		16,327			96			56			—			16,479
Transfers within Level 3		—			—			(2,500	)		2,500			—
Transfers into (out of) Level 3		—			—			—			731			731
Balance, End of Period	$	2,993,786		$	35,975		$	38,865		$	140,331		$	3,208,957

Certain of the Company's investment positions in Copper Bidco, LLC were transferred into Level 3 from Level 2 for fair value measurement purposes during the year ended December 31, 2023, as a result of changes in the observability of inputs into the security valuation for this portfolio company.


	As of and for the Year Ended
	December 31, 2022
	First-lien debt investments			Second-lien debt investments			Mezzanine debt investments			Equity and other investments			Total
Balance, beginning of period	$	2,298,856		$	—		$	18,549		$	117,233		$	2,434,638
Purchases or originations		876,485			54			—			45,144			921,683
Repayments / redemptions		(665,531	)		(10	)		—			(18,316	)		(683,857	)
Paid-in-kind interest		12,623			—			258			—			12,881
Net change in unrealized gains (losses)		(44,455	)		(2,081	)		(6,520	)		(13,158	)		(66,214	)
Net realized gains (losses)		(602	)		—			—			14,022			13,420
Net amortization of discount on securities		18,583			70			5			—			18,658
Transfers within Level 3		—			—			(2,134	)		2,134			—
Transfers into (out of) Level 3		—			42,729			—			—			42,729
Balance, End of Period	$	2,495,959		$	40,762		$	10,158		$	147,059		$	2,693,938

Net Change in Unrealized Gains or Losses on Investments for Which Level 3 Inputs were Used in Determining Fair Value

The following table presents information with respect to the net change in unrealized gains or losses on investments for which Level 3 inputs were used in determining fair value that are still held by the Company at December 31, 2023 and 2022:


	Net Change in Unrealized			Net Change in Unrealized
	Gains or (Losses)			Gains or (Losses)
	for the Year Ended			for the Year Ended
	December 31, 2023 on			December 31, 2022 on
	Investments Held at			Investments Held at
	December 31, 2023			December 31, 2022
First-lien debt investments	$	55,032		$	(35,643	)
Second-lien debt investments		(13,467	)		(2,081	)
Mezzanine debt investments		2,060			(6,519	)
Equity and other investments		(12,834	)		1,454
Total	$	30,791		$	(42,789	)

Fair Value of Level 3 Investments at Fair Value Significant Unobservable Inputs Used in Valuations

The following tables present the fair value of Level 3 Investments and the significant unobservable inputs used in the valuations as of December 31, 2023 and 2022. The tables are not intended to be all-inclusive, but instead capture the significant unobservable inputs relevant to the Company’s determination of fair values.

         
        December 31, 2023

         
        Valuation

        Unobservable

        Range (Weighted

        Impact to Valuation
from an

         
        Fair Value

        Technique

        Input

        Average)

        Increase to Input

First-lien debt investments

2,993,786

Income approach (1)

Discount rate

8.7% — 17.9% (14.2%)

Decrease

Second-lien debt investments

35,975

Income approach (2)

Discount rate

15.3% — 21.7% (17.6%)

Decrease

Mezzanine debt investments

38,865

Income approach (3)

Discount rate

14.6% — 22.5% (15.4%)

Decrease

Equity and other investments

140,331

Market Multiple (4)

Comparable multiple

2.0x — 19.2x (6.7x)

Increase

Total

3,208,957

(1)

Includes $63.4 million of debt investments which were valued using an asset valuation waterfall.

(2)

Includes $27.2 million of debt investments which were valued using an asset valuation waterfall.

(3)

Includes $0.1 million of debt investments which were valued using an asset valuation waterfall.

(4)

Includes $6.4 million of equity investments which were valued using an asset valuation waterfall, $2.4 million of equity investments using a Black-Scholes model, $15.7 million of equity investments using a discounted cash flow analysis and $6.2 million of equity investments which, due to the proximity of the transactions relative to the measurement dates, we valued using the cost of the investments.

         
        December 31, 2022

         
        Valuation

        Unobservable

        Range (Weighted

        Impact to Valuation
from an

         
        Fair Value

        Technique

        Input

        Average)

        Increase to Input

First-lien debt investments

2,495,959

Income approach (1)

Discount rate

9.3% — 18.5% (15.1%)

Decrease

Second-lien debt investments

40,762

Income approach

Discount rate

19.6% — 19.6% (19.6%)

Decrease

Mezzanine debt investments

10,158

Income approach (2)

Discount rate

14.5% — 18.0% (16.0%)

Decrease

Equity and other investments

147,059

Market Multiple (3)

Comparable multiple

2.0x — 26.6x (7.9x)

Increase

Total

2,693,938

(1)

Includes $21.0 million of first-lien debt investments which were valued using an asset valuation waterfall.

(2)

Includes $0.1 million of debt investments which were valued using an asset valuation waterfall.

(3)

Includes $38.4 million of equity investments which were valued using an asset valuation waterfall, $7.5 million of equity investments using a Black-Scholes model, and $13.1 million using a discounted cash flow analysis.

Fair Value of Company's 2023 Notes, 2024 Notes and 2026 Notes

The following table presents the fair value of the Company’s 2023 Notes, 2024 Notes, 2026 Notes and 2028 Notes, as of December 31, 2023 and 2022.


	December 31, 2023				December 31, 2022
	Outstanding Principal		Fair Value (1)		Outstanding Principal		Fair Value (1)
2023 Notes	$	—	$	—	$	150,000	$	149,640
2024 Notes		347,500		340,862		347,500		332,853
2026 Notes		300,000		273,410		300,000		261,750
2028 Notes		300,000		309,420		—		—
Total	$	947,500	$	923,692	$	797,500	$	744,243

The fair value is based on broker quotes received by the Company and is categorized as Level 2 within the fair value hierarchy.