Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value, Assets Measured on Recurring Basis

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


	September 30, 2023
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	4,381,443	$	38,898,776	$	43,280,219
Second lien debt	—		720,643		1,058,842		1,779,485
Unsecured debt	—		—		—		—
Structured finance obligations	—		73,558		321,468		395,026
Equity investments (1)	—		—		807,077		807,077

Total investments	—		5,175,644		41,086,163		46,261,807
Investments Measured at NAV (2)	—		—		—		2,151,389


Total	$	—	$	5,175,644	$	41,086,163	$	48,413,196


	December 31, 2022
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	6,167,268	$	37,543,544	$	43,710,812
Second lien debt	—		720,083		1,152,723		1,872,806
Unsecured debt	—		13,948		—		13,948
Structured finance obligations	—		71,934		293,335		365,269
Equity investments (1)	—		—		757,379		757,379
Total investments	$	—	$	6,973,233	$	39,746,981	$	46,720,214
Investments Measured at NAV (2)	—		—		—		2,188,394
Total	$	—	$	6,973,233	$	39,746,981	$	48,908,608

(1)Includes equity investment in SLC.

(2)Includes investments in the Emerald JV and Verdelite JV (refer to Note 11). Certain investments that are measured at fair value using the NAV practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Condensed Consolidated Statements of Assets and Liabilities.

Schedule of Changes in Fair Value of Investments Measured Using Level 3 Inputs

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 September 30, 2023
	First Lien Debt		Second Lien Debt		Structured Finance Investments		Equity		Total Investments
Fair value, beginning of period	$	37,923,857	$	1,091,126	$	303,838	$	782,527	$	40,101,348
Purchases of investments	1,780,577		38,382		13,606		2,170		1,834,735
Proceeds from principal repayments and sales of investments	(749,646)		(35,588)		(9,400)		—		(794,634)
Accretion of discount/(amortization of premium)	37,541		804		54		—		38,399
Net realized gain (loss)	(63,957)		32		(289)		—		(64,214)
Net change in unrealized appreciation (depreciation)	86,716		11,774		13,659		22,380		134,529
Transfers into Level 3 (1)	44,592		22,750		—		—		67,342
Transfers out of Level 3 (1)	(160,904)		(70,438)		—		—		(231,342)
Fair value, end of period	$	38,898,776	$	1,058,842	$	321,468	$	807,077	$	41,086,163
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of September 30, 2023	$	22,180	$	7,189	$	13,377	$	22,381	$	65,127


	Nine Months Ended September 30, 2023
	First Lien Debt		Second Lien Debt		Structured Finance Investments		Equity		Total Investments
Fair value, beginning of period	$	37,543,544	$	1,152,723	$	293,335	$	757,379	$	39,746,981
Purchases of investments	3,285,859		52,416		13,606		2,581		3,354,462
Proceeds from principal repayments and sales of investments	(1,824,434)		(35,588)		(9,400)		(827)		(1,870,249)
Accretion of discount/(amortization of premium)	110,256		2,273		159		—		112,688
Net realized gain (loss)	(80,718)		59		(289)		666		(80,282)
Net change in unrealized appreciation (depreciation)	(29,960)		18,584		24,057		47,278		59,959
Transfers into Level 3 (1)	187,985		22,859		—		—		210,844
Transfers out of Level 3 (1)	(293,756)		(154,484)		—		—		(448,240)
Fair value, end of period	$	38,898,776	$	1,058,842	$	321,468	$	807,077	$	41,086,163
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of September 30, 2023	$	(70,835)	$	14,924	$	23,091	$	47,277	$	14,457

(1)For the three and nine months ended September 30, 2023, transfers into or out of Level 3 were primarily due to decreased or increased price transparency.

Fair Value Measurement Inputs and Valuation Techniques


	Three Months Ended September 30, 2022
	First Lien Debt		Second Lien Debt		Structured Finance Investments		Equity		Total Investments
Fair value, beginning of period	$	32,556,391	$	1,446,075	$	298,409	$	702,034	$	35,002,909
Purchases of investments	5,978,812		71,844		—		2,805		6,053,461
Proceeds from principal repayments and sales of investments	(2,597,994)		(182,082)		—		—		(2,780,076)
Accretion of discount/(amortization of premium)	39,220		933		52		—		40,206
Net realized gain (loss)	(11,758)		(2,206)		—		—		(13,964)
Net change in unrealized appreciation (depreciation)	(266,806)		(16,191)		(10,563)		9,728		(283,832)
Transfers into Level 3 (1)	193,055		111,523		—		—		304,578
Transfers out of Level 3 (1)	(267,097)		(160,977)		—		—		(428,074)
Fair value, end of period	$	35,623,823	$	1,268,919	$	287,898	$	714,568	$	37,895,208
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of September 30, 2022	$	(267,815)	$	(16,191)	$	(10,159)	$	9,729	$	(284,436)


	Nine Months Ended September 30, 2022
	First Lien Debt		Second Lien Debt		Structured Finance Investments		Equity		Total Investments
Fair value, beginning of period	$	23,046,509	$	800,133	$	205,592	$	545,918	$	24,598,152
Purchases of investments	15,919,276		595,997		122,159		193,127		16,830,559
Proceeds from principal repayments and sales of investments	(3,204,195)		(182,080)		—		(31,769)		(3,418,044)
Accretion of discount/(amortization of premium)	87,705		2,191		114		—		90,010
Net realized gain (loss)	(10,188)		(2,184)		—		144		(12,228)
Net change in unrealized appreciation (depreciation)	(364,753)		(55,881)		(39,968)		7,148		(453,453)
Transfers into Level 3 (1)	380,165		164,614		—		—		544,781
Transfers out of Level 3 (1)	(230,697)		(53,871)		—		—		(284,567)
Fair value, end of period	$	35,623,823	$	1,268,919	$	287,898	$	714,568	$	37,895,208
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of September 30, 2022	$	(364,088)	$	(53,924)	$	(39,967)	$	7,147	$	(450,832)

(1)For the three and nine months ended September 30, 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.


	September 30, 2023
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	38,306,657	Yield analysis	Discount rate	6.39	%	28.06	%	10.74	%
	321,297		Market quotations	Broker quoted price	93.00		100.13		97.74
	20,925		Market approach	Performance multiple	5.00x		5.00x		5.00x
	249,897		Transaction price	N/A
	38,898,776
Investments in second lien debt	899,700		Yield analysis	Discount rate	10.50	%	16.42	%	12.08	%
	159,142		Market quotations	Broker quoted price	89.50		96.00		92.89
	1,058,842
Investments in structured finance	321,468		Market quotations	Broker quoted price	86.63		101.50		96.06
Investments in equity	222,375		Market approach	Performance multiple	5.00x		31.00x		20.23x
	21,526		Option pricing model	Expected volatility	32.00	%	32.00	%	32.00	%
	381,082		Yield analysis	Discount rate	9.75	%	15.98	%	13.35	%
	181,200		Asset recoverability	N/A	100.00	%	100.00	%	100.00	%
	894		Transaction price	N/A
	807,077
Total	$	41,086,163

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


	December 31, 2022
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	36,766,038	Yield analysis	Discount rate	6.83	%	19.84	%	9.93	%
	759,391		Market quotations	Broker quoted price	71.00		105.60		91.85
	18,115		Market approach	Performance multiple	7.00x		7.00x		7.00x
	37,543,544
Investments in second lien debt	906,837		Yield analysis	Discount rate	10.42	%	15.33	%	11.85	%
	245,886		Market quotations	Broker quoted price	61.50		100.50		87.36
	1,152,723
Investments in structured finance	293,335		Market quotations	Broker quoted price	81.96		92.96		88.84
Investments in equity	261,893		Market approach	Performance multiple	5.50x		29.00x		17.21x
	48,957		Option pricing model	Expected volatility	30.00	%	50.00	%	44.43	%
	274,199		Yield analysis	Discount rate	11.31	%	14.95	%	12.76	%
	172,330		Asset recoverability	N/A	100.00	%	100.00	%	100.00	%
	757,379
Total	$	39,746,981

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

Schedule of Financial Instruments Not Carried at Fair Value

The following table presents fair value measurements of the Company’s debt obligations as of September 30, 2023 and December 31, 2022 had they been accounted for at fair value:


	September 30, 2023		December 31, 2022
	Fair Value		Fair Value
Bard Peak Funding Facility	$	507,074	$	1,235,414
Castle Peak Funding Facility	1,119,717		1,146,600
Maroon Peak Funding Facility	—		300,000
Summit Peak Funding Facility	531,099		1,691,844
Denali Peak Funding Facility	562,800		749,800
Bushnell Peak Funding Facility	430,000		400,000
Granite Peak Funding Facility	675,600		647,600
Middle Peak Funding Facility	600,950		596,950
Bison Peak Funding Facility	700,000		1,182,000
Blanca Peak Funding Facility	1,375,100		1,081,000
Windom Peak Funding Facility	1,290,314		1,741,465
Monarch Peak Funding Facility	1,400,400		873,400
Borah Peak Funding Facility	80,000		223,000
2022-1 BSL WH	—		148,000
Naomi Peak Funding Facility	385,000		400,000
Meridian Peak Funding Facility	220,000		170,000
Haydon Peak Funding Facility	49,000		49,000
Bear Peak Funding Facility	370,660		166,031
Revolving Credit Facility	1,092,402		1,470,758
June 2024 Notes	421,534		406,886
June 2026 Notes	364,187		352,646
May 2027 Notes	590,515		586,924
October 2027 Notes	351,905		353,434
September 2024 Notes	348,005		336,654
December 2026 Notes	1,084,845		1,053,132
November 2026 Eurobonds	481,579		449,149
November 2024 Notes	475,577		459,089
March 2027 Notes	875,570		856,640
January 2025 Notes	474,342		462,125
January 2029 Notes	566,167		550,113
March 2025 Notes	873,731		866,280
April 2026 UK Bonds	292,022		272,657
September 2025 Notes	801,647		795,092
2021-1 BSL Debt	663,000		663,000
2021-2 Debt	505,800		505,800
MML 2021-1 Debt	690,000		690,000
MML 2022-1 Debt	756,272		759,000
2022-1 BSL Debt	420,000		420,000
MML 2022-2 Debt	299,698		300,018
Short-Term Borrowings	28,546		619,377
Total	$	22,755,058	$	26,030,878

The following table presents the categorization of the Company’s debt obligations as of September 30, 2023 and December 31, 2022 had they been accounted for at fair value:


	September 30, 2023		December 31, 2022
Level 1	$	—	$	—
Level 2	—		—
Level 3	22,755,058		26,030,878
Total debt	$	22,755,058	$	26,030,878