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Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
Summary of Ranges of Significant Unobservable Inputs Used to Value Level 3 Assets The tables below present the ranges of significant unobservable inputs used to value the Company’s Level 3 assets as of March 31, 2024 and December 31, 2023.

Level 3 Instruments

 

Fair Value(1)(2)

 

Valuation Techniques(3)

Significant Unobservable
Inputs

Range of Significant
Unobservable Inputs(4)

Weighted
Average(5)

As of March 31, 2024

 

 

 

 

 

 

 

Bank Loans, Corporate Debt, and Other Debt Obligations

1st Lien/Senior Secured Debt

 

$

2,905,289

 

Discounted cash flows

Discount Rate

8.7% - 52.4%

12.4%

 

 

$

901

 

Collateral analysis

Recovery Rate

—

23.0%

 

 

$

52,252

 

Comparable multiples

EV/Revenue

0.4x - 2.8x

2.0x

1st Lien/Last-Out Unitranche

 

$

149,087

 

Discounted cash flows

Discount Rate

8.7% - 12.9%

12.2%

2nd Lien/Senior Secured Debt

 

$

27,538

 

Discounted cash flows

Discount Rate

17.5% - 20.5%

19.3%

 

 

$

6,098

 

Comparable multiples

EV/EBITDA(6)

8.6x - 9.5x

9.2x

Unsecured Debt

 

$

19,123

 

Discounted cash flows

Discount Rate

17.3% - 20.8%

19.1%

 

 

$

276

 

Comparable multiples

EV/EBITDA(6)

—

7.5x

 

 

$

1,151

 

Comparable multiples

EV/Revenue

—

0.3x

Equity

Preferred Stock

 

$

13,307

 

Comparable multiples

EV/EBITDA(6)

10.0x - 31.2x

31.0x

 

 

$

24,695

 

Comparable multiples

EV/Revenue

4.0x - 5.7x

4.6x

Common Stock

 

$

5,396

 

Discounted cash flows

Discount Rate

—

29.6%

 

 

$

16,877

 

Comparable multiples

EV/EBITDA(6)

3.5x - 17.5x

9.0x

 

 

$

4,030

 

Comparable multiples

EV/Revenue

—

14.7x

Warrants

 

$

247

 

Comparable multiples

EV/Revenue

—

4.0x

As of December 31, 2023

 

 

 

 

 

 

 

Bank Loans, Corporate Debt, and Other Debt Obligations

1st Lien/Senior Secured Debt

 

$

2,744,907

 

Discounted cash flows

Discount Rate

8.8% - 31.8%

11.6%

 

 

$

40,591

 

Comparable multiples

EV/EBITDA(6)

—

10.0x

 

 

$

1,073

 

Collateral analysis

Recovery Rate

—

27.4%

 

 

$

58,157

 

Comparable multiples

EV/Revenue

0.4x - 2.7x

1.8x

1st Lien/Last-Out Unitranche

 

$

125,245

 

Discounted cash flows

Discount Rate

8.9% - 12.6%

12.3%

2nd Lien/Senior Secured Debt

 

$

50,052

 

Discounted cash flows

Discount Rate

12.4% - 16.9%

13.3%

 

 

$

1,701

 

Comparable multiples

EV/EBITDA(6)

—

8.3x

 

 

$

14,809

 

Comparable multiples

EV/Revenue

—

0.3x

Unsecured Debt

 

$

17,905

 

Discounted cash flows

Discount Rate

15.8% - 20.3%

18.7%

 

 

$

255

 

Comparable multiples

EV/EBITDA(6)

—

8.9x

 

 

$

9,154

 

Comparable multiples

EV/Revenue

—

0.4x

Equity

Preferred Stock

 

$

12,846

 

Comparable multiples

EV/EBITDA(6)

13.7x - 31.2x

31.1x

 

 

$

24,450

 

Comparable multiples

EV/Revenue

4.0x - 4.1x

4.0x

Common Stock

 

$

9,518

 

Discounted cash flows

Discount Rate

16.8% - 29.7%

24.9%

 

 

$

16,950

 

Comparable multiples

EV/EBITDA(6)

3.8x - 17.5x

9.2x

 

 

$

4,043

 

Comparable multiples

EV/Revenue

—

14.8x

Warrants

 

$

244

 

Comparable multiples

EV/Revenue

—

4.0x

 

(1)
As of March 31, 2024, included within the fair value of Level 3 assets of $3,377,068 is an amount of $150,801 for which the Investment Adviser did not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and prior transactions). The income approach was used in the determination of fair value for $3,101,037 or 93.6% of Level 3 bank loans, corporate debt, and other debt obligations.
(2)
As of December 31, 2023, included within the fair value of Level 3 assets of $3,343,635 is an amount of $211,735 for which the Investment Adviser did not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and prior transactions). The income approach was used in the determination of fair value for $2,938,109 or 89.7% of Level 3 bank loans, corporate debt, and other debt obligations.
(3)
The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparable and discounted cash flows may be used together to determine fair value. Therefore, the Level 3 balance encompasses both of these techniques.
(4)
The range for an asset category consisting of a single investment, if any, is not meaningful and therefore has been excluded.
(5)
Weighted average for an asset category consisting of multiple investments is calculated by weighting the significant unobservable input by the relative fair value of the investment. Weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.
(6)
Enterprise value of portfolio company as a multiple of earnings before interest, taxes, depreciation and amortization (“EBITDA”).
Summary of Assets Categorized Within Fair Value Hierarchy

The following is a summary of the Company’s assets categorized within the fair value hierarchy:

 

 

 

March 31, 2024

 

 

December 31, 2023

 

Assets

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

1st Lien/Senior Secured Debt

 

$

—

 

 

$

62,848

 

 

$

3,099,816

 

 

$

3,162,664

 

 

$

—

 

 

$

70,504

 

 

$

3,036,965

 

 

$

3,107,469

 

1st Lien/Last-Out Unitranche

 

 

—

 

 

 

—

 

 

 

158,514

 

 

 

158,514

 

 

 

—

 

 

 

—

 

 

 

144,743

 

 

 

144,743

 

2nd Lien/Senior Secured Debt

 

 

—

 

 

 

—

 

 

 

33,636

 

 

 

33,636

 

 

 

—

 

 

 

—

 

 

 

66,562

 

 

 

66,562

 

Unsecured Debt

 

 

—

 

 

 

—

 

 

 

20,550

 

 

 

20,550

 

 

 

—

 

 

 

—

 

 

 

27,314

 

 

 

27,314

 

Preferred Stock

 

 

—

 

 

 

—

 

 

 

38,002

 

 

 

38,002

 

 

 

—

 

 

 

—

 

 

 

37,296

 

 

 

37,296

 

Common Stock

 

 

198

 

 

 

—

 

 

 

26,303

 

 

 

26,501

 

 

 

190

 

 

 

—

 

 

 

30,511

 

 

 

30,701

 

Warrants

 

 

—

 

 

 

—

 

 

 

247

 

 

 

247

 

 

 

—

 

 

 

—

 

 

 

244

 

 

 

244

 

Affiliated Money Market Fund

 

 

499

 

 

 

—

 

 

 

—

 

 

 

499

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total Assets

 

$

697

 

 

$

62,848

 

 

$

3,377,068

 

 

$

3,440,613

 

 

$

190

 

 

$

70,504

 

 

$

3,343,635

 

 

$

3,414,329

 

Unrealized appreciation (depreciation) on foreign currency forward contracts

 

$

—

 

 

$

(581

)

 

$

—

 

 

$

(581

)

 

$

—

 

 

$

(726

)

 

$

—

 

 

$

(726

)
Summary of Changes in Fair Value of Level 3 Assets By Investment Type

The below table presents a summary of changes in fair value of Level 3 assets by investment type:

 

 

 

Beginning Balance

 

 

Purchases
(1)

 

 

Net
Realized
Gain
(Loss)

 

 

Net Change in
Unrealized
Appreciation
(Depreciation)

 

 

Sales and
Settlements(2)

 

 

Net
Amortization
of
Premium/
Discount

 

 

Transfers
In(3)

 

 

Transfers
Out(3)

 

 

Ending
Balance

 

 

Net Change
in Unrealized
Appreciation
(Depreciation)
for assets
still held

 

For the Three Months Ended March 31, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1st Lien/Senior Secured Debt

 

$

3,036,965

 

 

$

194,044

 

 

$

(17,646

)

 

$

3,536

 

 

$

(129,587

)

 

$

5,103

 

 

$

35,222

 

 

$

(27,821

)

 

$

3,099,816

 

 

$

(7,715

)

1st Lien/Last-Out Unitranche

 

 

144,743

 

 

 

12,908

 

 

 

—

 

 

 

767

 

 

 

(103

)

 

 

199

 

 

 

—

 

 

 

—

 

 

 

158,514

 

 

 

767

 

2nd Lien/Senior Secured Debt

 

 

66,562

 

 

 

5,060

 

 

 

—

 

 

 

1,042

 

 

 

(40,129

)

 

 

1,101

 

 

 

—

 

 

 

—

 

 

 

33,636

 

 

 

1,999

 

Unsecured Debt

 

 

27,314

 

 

 

1,596

 

 

 

—

 

 

 

(8,010

)

 

 

—

 

 

 

(350

)

 

 

—

 

 

 

—

 

 

 

20,550

 

 

 

(8,010

)

Preferred Stock

 

 

37,296

 

 

 

124

 

 

 

—

 

 

 

582

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

38,002

 

 

 

582

 

Common Stock

 

 

30,511

 

 

 

—

 

 

 

658

 

 

 

(779

)

 

 

(4,087

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

26,303

 

 

 

(86

)

Warrants

 

 

244

 

 

 

—

 

 

 

—

 

 

 

3

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

247

 

 

 

3

 

Total Assets

 

$

3,343,635

 

 

$

213,732

 

 

$

(16,988

)

 

$

(2,859

)

 

$

(173,906

)

 

$

6,053

 

 

$

35,222

 

 

$

(27,821

)

 

$

3,377,068

 

 

$

(12,460

)

For the Three Months Ended March 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1st Lien/Senior Secured Debt

 

$

3,050,929

 

 

$

49,657

 

 

$

5

 

 

$

(13,252

)

 

$

(30,037

)

 

$

4,541

 

 

$

—

 

 

$

(34,201

)

 

$

3,027,642

 

 

$

(14,587

)

1st Lien/Last-Out Unitranche

 

 

116,230

 

 

 

588

 

 

 

—

 

 

 

(1,336

)

 

 

(103

)

 

 

305

 

 

 

—

 

 

 

—

 

 

 

115,684

 

 

 

(1,336

)

2nd Lien/Senior Secured Debt

 

 

89,573

 

 

 

491

 

 

 

(35,383

)

 

 

32,575

 

 

 

—

 

 

 

233

 

 

 

—

 

 

 

—

 

 

 

87,489

 

 

 

(2,808

)

Unsecured Debt

 

 

7,630

 

 

 

598

 

 

 

—

 

 

 

(78

)

 

 

—

 

 

 

3

 

 

 

—

 

 

 

—

 

 

 

8,153

 

 

 

(78

)

Preferred Stock

 

 

42,377

 

 

 

—

 

 

 

—

 

 

 

2,510

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

44,887

 

 

 

2,510

 

Common Stock

 

 

34,497

 

 

 

—

 

 

 

(883

)

 

 

2,043

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

35,657

 

 

 

1,160

 

Warrants

 

 

611

 

 

 

—

 

 

 

—

 

 

 

(374

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

237

 

 

 

(374

)

Total Assets

 

$

3,341,847

 

 

$

51,334

 

 

$

(36,261

)

 

$

22,088

 

 

$

(30,140

)

 

$

5,082

 

 

$

—

 

 

$

(34,201

)

 

$

3,319,749

 

 

$

(15,513

)

 

(1)
Purchases may include PIK, securities received in corporate actions and restructurings.
(2)
Sales and Settlements may include securities delivered in corporate actions and restructuring of investments.
(3)
Transfers in (out) of Level 3 are due to a decrease (increase) in the quantity and reliability of broker quotes obtained by the Investment Adviser.
Summary of Debt Obligations Carried at Fair Value If the Company’s debt obligations were carried at fair value, the fair value and level would have been as follows:

 

 

 

 

As of

 

 

 

Level

 

March 31, 2024

 

 

December 31, 2023

 

Revolving Credit Facility

 

3

 

$

583,822

 

 

$

972,241

 

2025 Notes

 

2

 

$

353,988

 

 

$

352,800

 

2026 Notes

 

2

 

$

475,750

 

 

$

476,450

 

2027 Notes

 

2

 

$

403,920

 

 

$

—