Fair Value Measurements

3 Months Ended

Mar. 31, 2023

The following tables present the fair value hierarchy of financial instruments:


	March 31, 2023
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	199,713	$	9,225,290	$	9,425,003
Second lien debt	—		—		46,678		46,678
Equity investments	—		—		154,521		154,521
Total	$	—	$	199,713	$	9,426,489	$	9,626,202


	December 31, 2022
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	144,452	$	9,275,511	$	9,419,963
Second lien debt	—		—		46,336		46,336
Equity investments	—		—		150,949		150,949
Total	$	—	$	144,452	$	9,472,796	$	9,617,248

The following tables present changes in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value:


	Three Months Ended March 31, 2023
	First Lien Debt		Second Lien Debt		Equity Investments		Total Investments
Fair value, beginning of period	$	9,275,511	$	46,336	$	150,949	$	9,472,796
Purchases of investments	114,229		411		—		114,640
Proceeds from principal repayments and sales of investments	(71,040)		—		—		(71,040)
Accretion of discount/amortization of premium	8,407		36		—		8,443
Net realized gain (loss)	46		—		—		46
Net change in unrealized appreciation (depreciation)	(14,862)		(105)		3,572		(11,395)
Transfers into Level 3 (1)	4,938		—		—		4,938
Transfers out of Level 3 (1)	(91,939)		—		—		(91,939)
Fair value, end of period	$	9,225,290	$	46,678	$	154,521	$	9,426,489
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of March 31, 2023 included in net unrealized appreciation (depreciation) on the Consolidated Statements of Operations	$	(14,862)	$	(105)	$	3,572	$	(11,395)


	Three Months Ended March 31, 2022
	First Lien Debt		Second Lien Debt		Equity Investments		Total Investments
Fair value, beginning of period	$	9,288,184	$	42,880	$	170,265	$	9,501,329
Purchases of investments	253,310		265		7,264		260,839
Proceeds from principal repayments and sales of investments	(35,031)		—		(10,687)		(45,718)
Accretion of discount/amortization of premium	9,212		19		—		9,231
Net realized gain (loss)	(62)		—		5,920		5,858
Net change in unrealized appreciation (depreciation)	428		79		2,384		2,891
Transfers into Level 3 (1)	25,772		—		—		25,772
Transfers out of Level 3 (1)	—		—		—		—
Fair value, end of period	$	9,541,813	$	43,243	$	175,146	$	9,760,202
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of March 31, 2022 included in net unrealized appreciation (depreciation) on the Consolidated Statements of Operations	$	18	$	81	$	7,152	$	7,251

(1)For the three months ended March 31, 2023 and 2022, transfers into or out of Level 3 were primarily due to decreased or increased price transparency.

The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments. These tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value.


	March 31, 2023
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	9,219,940	Yield analysis	Discount rate	6.39	%	20.62	%	10.03	%
	5,350		Market quotations	Broker quoted price	96.50	%	96.50	%	96.50	%
	9,225,290
Investments in second lien debt	46,678		Yield analysis	Discount rate	10.15	%	13.98	%	12.53	%
Investments in equity	105,862		Market approach	Performance multiple	5.70x		39.66x		12.66x
	25,566		Option pricing model	Expected volatility	30.00	%	50.00	%	41.80	%
	23,093		Yield analysis	Discount rate	11.67	%	13.55	%	12.88	%
	154,521
Total	$	9,426,489


	December 31, 2022
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	9,037,133	Yield analysis	Discount rate	6.83	%	19.84	%	10.13	%
	238,378		Market quotations	Broker quoted price	82.00	%	96.75	%	94.19	%
	9,275,511
Investments in second lien debt	46,336		Yield analysis	Discount rate	10.43	%	14.25	%	12.60	%

Investments in equity	105,782		Market approach	Performance multiple	5.50x		29.00x		13.41x
	22,481		Option pricing model	Expected volatility	30.00	%	50.00	%	43.46	%
	22,686		Yield analysis	Discount rate	11.31	%	13.75	%	12.74	%
	150,949
Total	$	9,472,796

(1)Weighted averages are calculated based on fair value of investments.

The significant unobservable input used in the yield analysis is the discount rate based on comparable market yields. The significant unobservable input used for market quotations are broker quoted prices provided by independent pricing services. The significant unobservable input used under the market approach is the performance multiple. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in quoted prices or performance multiples would result in a significantly lower fair value measurement.

Financial Instruments Not Carried at Fair Value

Debt

The fair value of the Company’s SPV Financing Facilities (as defined in Note 6) and Revolving Credit Facility (as defined in Note 6), as of March 31, 2023 and December 31, 2022, approximates their carrying value as the credit facilities have variable interest based on selected short term rates. These financial instruments would be categorized as Level 3 within the hierarchy.

The following table presents the fair value measurements of the Company's Unsecured Notes (as defined in Note 6) had they been accounted for at fair value. These financial instruments would be categorized as Level 3 as of March 31, 2023 and as Level 2 as of December 31, 2022 within the hierarchy.


	March 31, 2023		December 31, 2022
	Fair Value		Fair Value
2023 Notes	$	390,080	$	397,481
2026 Notes	728,587		740,171
New 2026 Notes	611,865		619,144
2027 Notes	524,029		546,117
2028 Notes	528,846		522,809
Total	$	2,783,407	$	2,825,722

Other

The carrying amounts of the Company’s other assets and liabilities approximate fair value. These financial instruments would be categorized as Level 3 within the hierarchy.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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