Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2024

The following tables present fair value measurements of investments as of June 30, 2024 and December 31, 2023:


	Fair Value Hierarchy at June 30, 2024
	Level 1		Level 2			Level 3		Total
First-lien debt investments	$	—	$	3,451		$	3,074,994	$	3,078,445
Second-lien debt investments		—		—			27,993		27,993
Mezzanine debt investments		—		1,206			42,282		43,488
Equity and other investments		3,875		9,072			148,072		161,019
Structured credit investments		—		6,124			—		6,124
Total investments at fair value	$	3,875	$	19,853		$	3,293,341	$	3,317,069
Interest rate swaps		—		(39,235	)		—		(39,235	)
Total	$	3,875	$	(19,382	)	$	3,293,341	$	3,277,834


	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

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 three and six months ended June 30, 2024:


	As of and for the Three Months Ended
	June 30, 2024
	First-lien debt investments			Second-lien debt investments			Mezzanine debt investments		Equity and other investments		Total
Balance, beginning of period	$	3,114,679		$	28,669		$	40,077	$	147,344	$	3,330,769
Purchases or originations		246,590			—			—		23		246,613
Repayments / redemptions		(282,738	)		(1,535	)		—		—		(284,273	)
Sales Proceeds		(9,109	)		—			—		—		(9,109	)
Paid-in-kind interest		7,656			338			1,111		76		9,181
Net change in unrealized gains (losses)		(6,705	)		481			1,076		629		(4,519	)
Net realized gains (losses)		(1,772	)		—			—		—		(1,772	)
Net amortization of discount on securities		6,393			40			18		—		6,451
Transfers within Level 3		—			—			—		—		—
Transfers into (out of) Level 3		—			—			—		—		—
Balance, End of Period	$	3,074,994		$	27,993		$	42,282	$	148,072	$	3,293,341


	As of and for the Six Months Ended
	June 30, 2024
	First-lien debt investments			Second-lien debt investments			Mezzanine debt investments		Equity and other investments		Total
Balance, beginning of period	$	2,993,786		$	35,975		$	38,865	$	140,331	$	3,208,957
Purchases or originations		450,028			2,004			—		4,151		456,183
Repayments / redemptions		(370,087	)		(1,535	)		—		—		(371,622	)
Sales Proceeds		(9,109	)		—			—		—		(9,109	)
Paid-in-kind interest		13,387			569			2,178		157		16,291
Net change in unrealized gains (losses)		(10,482	)		(9,093	)		1,200		3,433		(14,942	)
Net realized gains (losses)		(2,391	)		—			—		—		(2,391	)
Net amortization of discount on securities		9,862			73			39		—		9,974
Transfers within Level 3		—			—			—		—		—
Transfers into (out of) Level 3		—			—			—		—		—
Balance, End of Period	$	3,074,994		$	27,993		$	42,282	$	148,072	$	3,293,341

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 three and six months ended June 30, 2023:




	As of and for the Three Months Ended
	June 30, 2023
	First-lien debt investments			Second-lien debt investments			Mezzanine debt investments			Equity and other investments			Total
Balance, beginning of period	$	2,628,849		$	44,805		$	11,093		$	136,769		$	2,821,516
Purchases or originations		249,417			—			29,111			693			279,221
Repayments / redemptions		(119,056	)		—			—			—			(119,056	)
Sale Proceeds		—			—			—			(554	)		(554	)
Paid-in-kind interest		3,081			194			60			—			3,335
Net change in unrealized gains (losses)		11,366			(5,315	)		(53	)		(1,827	)		4,171
Net realized gains (losses)		(25	)		—			—			374			349
Net amortization of discount on securities		3,758			24			26			—			3,808
Transfers within Level 3		—			—			—			—			—
Transfers into (out of) Level 3		—			—			—			731			731
Balance, End of Period	$	2,777,390		$	39,708		$	40,237		$	136,186		$	2,993,521



	As of and for the Six Months Ended
	June 30, 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		417,459			4,850			29,806		2,060			454,175
Repayments / redemptions		—			—			—		(5,809	)		(5,809	)
Sale Proceeds		(176,394	)		—			—		—			(176,394	)
Paid-in-kind interest		6,297			194			143		—			6,634
Net change in unrealized gains (losses)		27,147			(6,142	)		103		(12,928	)		8,180
Net realized gains (losses)		(25	)		—			—		5,073			5,048
Net amortization of discount on securities		6,947			44			27		—			7,018
Transfers within Level 3		—			—			—		—			—
Transfers into (out of) Level 3		—			—			—		731			731
Balance, End of Period	$	2,777,390		$	39,708		$	40,237	$	136,186		$	2,993,521

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 June 30, 2024 and 2023:


	Net Change in Unrealized			Net Change in Unrealized
	Gains or (Losses)			Gains or (Losses)
	for the Three Months Ended			for the Three Months Ended
	June 30, 2024 on			June 30, 2023 on
	Investments Held at			Investments Held at
	June 30, 2024			June 30, 2023
First-lien debt investments	$	(4,758	)	$	11,843
Second-lien debt investments		480			(5,315	)
Mezzanine debt investments		1,076			(53	)
Equity and other investments		629			(1,869	)
Total	$	(2,573	)	$	4,606


	Net Change in Unrealized			Net Change in Unrealized
	Gains or (Losses)			Gains or (Losses)
	for the Six Months Ended			for the Six Months Ended
	June 30, 2024 on			June 30, 2023 on
	Investments Held at			Investments Held at
	June 30, 2024			June 30, 2023
First-lien debt investments	$	(5,875	)	$	29,123
Second-lien debt investments		(9,094	)		(6,142	)
Mezzanine debt investments		1,200			103
Equity and other investments		3,433			(8,430	)
Total	$	(10,336	)	$	14,654

The following tables present the fair value of Level 3 Investments at fair value and the significant unobservable inputs used in the valuations as of June 30, 2024 and December 31, 2023. 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.

           
          June 30, 2024

           
          Valuation

          Unobservable

          Range (Weighted

          Impact to Valuation
from an

           
          Fair Value

          Technique

          Input

          Average)

          Increase to Input

First-lien debt investments

3,074,994

Income approach (1)

Discount rate

9.1% — 20.0% (13.7%)

Decrease

Second-lien debt investments

27,993

Income approach (2)

Discount rate

14.9% — 20.6% (16.6%)

Decrease

Mezzanine debt investments

42,282

Income approach (3)

Discount rate

13.6% — 22.5% (14.5%)

Decrease

Equity and other investments

148,072

Market Multiple (4)

Comparable multiple

2.0x — 20.0x (7.1x)

Increase

Total

3,293,341

(1)

Includes $165.5 million of debt investments which were valued using an asset valuation waterfall.

(2)

Includes $16.4 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 $4.4 million of equity investments which were valued using an asset valuation waterfall, $0.4 million of equity investments using a Black-Scholes model, and $16.0 million using discounted cash flow analysis.

           
          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 first-lien 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.

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

           
          June 30, 2024

           
          Valuation

          Unobservable

          Range (Weighted

          Impact to Valuation
from an

           
          Fair Value

          Technique

          Input

          Average)

          Increase to Input

First-lien debt investments

3,074,994

Income approach (1)

Discount rate

9.1% — 20.0% (13.7%)

Decrease

Second-lien debt investments

27,993

Income approach (2)

Discount rate

14.9% — 20.6% (16.6%)

Decrease

Mezzanine debt investments

42,282

Income approach (3)

Discount rate

13.6% — 22.5% (14.5%)

Decrease

Equity and other investments

148,072

Market Multiple (4)

Comparable multiple

2.0x — 20.0x (7.1x)

Increase

Total

3,293,341

(1)

Includes $165.5 million of debt investments which were valued using an asset valuation waterfall.

(2)

Includes $16.4 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)

           
          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 first-lien 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)

Fair Value of Company's 2024 Notes, 2026 Notes, 2028 Notes and 2029 Notes

The following table presents the fair value of the Company’s 2024 Notes, 2026 Notes, 2028 Notes and 2029 Notes, as of June 30, 2024 and December 31, 2023.


	June 30, 2024				December 31, 2023
	Outstanding Principal		Fair Value (1)		Outstanding Principal		Fair Value (1)
2024 Notes	$	347,500	$	344,749	$	347,500	$	340,862
2026 Notes		300,000		279,180		300,000		273,410
2028 Notes		300,000		307,320		300,000		309,420
2029 Notes		350,000		346,978		—		—
Total	$	1,297,500	$	1,278,227	$	947,500	$	923,692

(1)

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

- 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.

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