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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

Summary of Fair Value Hierarchy of Financial Instruments

The following tables present the fair value hierarchy of financial instruments, as of September 30, 2024 and December 31, 2023, according to the fair value hierarchy as described in Note 2. Significant Accounting Policies:


	September 30, 2024
	Level 1			Level 2			Level 3			Total
First lien debt	$	—		$	703,922		$	3,069,510		$	3,773,432
Second lien debt		—			90,468			96,445			186,913
Equity and Other Investments		—			—			60,766			60,766
Cash and cash equivalents		337,871			—			—			337,871
Total Portfolio Investments, Cash and Cash Equivalents	$	337,871		$	794,390		$	3,226,721		$	4,358,982
Percentage of total		7.76	%		18.22	%		74.02	%		100.00	%
Foreign currency forward contracts	$	—		$	(2,623	)	$	—		$	(2,623	)


	December 31, 2023
	Level 1			Level 2			Level 3			Total
First lien debt	$	—		$	742,678		$	1,200,165		$	1,942,843
Second lien debt		—			95,443			130,875			226,318
Preferred equity		—			—			27,892			27,892
Cash and cash equivalents		98,606			—			—			98,606
Total Portfolio Investments, Cash and Cash Equivalents	$	98,606		$	838,121		$	1,358,932		$	2,295,659
Percentage of total		4.30	%		36.51	%		59.20	%		100.00	%
Foreign currency forward contracts	$	—		$	(797	)	$	—		$	(797	)

Summary of Changes in Fair Value of Financial Instruments for which Level 3 Inputs were used to Determine Fair Value

The following tables present changes in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value for the three and nine months ended September 30, 2024:


	For the Three Months Ended September 30, 2024
	First Lien Debt			Second Lien Debt			Equity and Other Investments		Total Investments
Fair value, beginning of period	$	2,537,818		$	130,214		$	57,902	$	2,725,934
Purchase of investments (including PIK)		577,906			92			2,256		580,254
Proceeds from principal repayments and sales of investments		(38,025	)		—			—		(38,025	)
Amortization of premium/accretion of discount, net		2,619			58			30		2,707
Net realized gain (loss) on investments		479			—			—		479
Net change in unrealized appreciation (depreciation) on investments		1,585			546			578		2,709
Transfers out of Level 3 (1)		(87,667	)		(34,465	)		—		(122,132	)
Transfers to Level 3 (2)		74,795			—			—		74,795
Fair value, end of period	$	3,069,510		$	96,445		$	60,766	$	3,226,721
Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held at September 30, 2024	$	1,842		$	547		$	578	$	2,967


	For the Nine Months Ended September 30, 2024
	First Lien Debt			Second Lien Debt			Equity and Other Investments		Total Investments
Fair value, beginning of year	$	1,200,165		$	130,876		$	27,892	$	1,358,933
Purchase of investments (including PIK)		2,071,367			277			28,526		2,100,170
Proceeds from principal repayments and sales of investments		(234,713	)		(34,200	)		—		(268,913	)
Amortization of premium/accretion of discount, net		6,696			277			28		7,001
Net realized gain (loss) on investments		2,793			633			—		3,426
Net change in unrealized appreciation (depreciation) on investments		10,129			674			4,320		15,123
Transfers out of Level 3 (1)		—			(46,886	)		—		(46,886	)
Transfers to Level 3 (2)		13,073			44,794			—		57,867
Fair value, end of period	$	3,069,510		$	96,445		$	60,766	$	3,226,721
Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held at September 30, 2024	$	11,978		$	789		$	4,320	$	17,087

(1)

Transfers are recorded at the beginning of the applicable period at their fair value. For the three and nine months ended September 30, 2024, three and one investments, respectively, were transferred from Level 3 to Level 2, as valuation coverage on level 3 investments increased to more than one independent pricing service.

(2)

Transfers are recorded at the beginning of the applicable period at their fair value. For the three and nine months ended September 30, 2024, five and three investments, respectively, were transferred from Level 2 to Level 3, as valuation coverage decreased to less than two independent pricing services.

The following tables present changes in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value for the three and nine months ended September 30, 2023.


	For the Three Months Ended September 30, 2023
	First Lien Debt			Second Lien Debt		Preferred Equity			Total Investments
Fair value, beginning of period	$	839,286		$	132,740	$	25,820		$	997,846
Purchase of investments (including PIK)		188,440			92		97			188,629
Proceeds from principal repayments and sales of investments		(66,458	)		—		—			(66,458	)
Amortization of premium/accretion of discount, net		661			13		(4	)		670
Net realized gain (loss) on investments		539			—		—			539
Net change in unrealized appreciation (depreciation) on investments		7,459			788		(874	)		7,373
Transfers out of Level 3 (1)		(29,626	)		—		—			(29,626	)
Fair value, end of period	$	940,301		$	133,633	$	25,039		$	1,098,973
Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated company investments still held at September 30, 2023	$	7,690		$	788	$	(874	)	$	7,604


	For the Nine Months Ended September 30, 2023
	First Lien Debt			Second Lien Debt			Preferred Equity			Total Investments
Fair value, beginning of year	$	494,159		$	195,687		$	22,267		$	712,113
Purchase of investments (including PIK)		635,499			181			2,512			638,192
Proceeds from principal repayments and sales of investments		(136,446	)		—			(214	)		(136,660	)
Amortization of premium/accretion of discount, net		2,408			151			(9	)		2,550
Net realized gain (loss) on investments		68			—			(1	)		67
Net change in unrealized appreciation (depreciation) on investments		16,489			5,864			484			22,837
Transfers out of Level 3 (1)		(71,876	)		(68,250	)		—			(140,126	)
Fair value, end of period	$	940,301		$	133,633		$	25,039		$	1,098,973
Net change in unrealized depreciation on non-controlled/non-affiliated company investments still held at September 30, 2023	$	15,671		$	5,864		$	484		$	22,019

(1)

Transfers are recorded at the beginning of the applicable period at their fair value. For the three and nine months ended September 30, 2023, one and six investments were transferred from Level 3 to Level 2, as valuation coverage increased to more than one independent pricing service. For the three and nine months ended September 30, 2023, there were no investments transferred from Level 2 to Level 3, as valuation coverage on level 2 investments did not decrease to less than one independent pricing service.

Summary of Quantitative Information about Significant Unobservable Inputs of Level 3 financial instruments

The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments as of September 30, 2024 and December 31, 2023, respectively. The 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, 2024
					Range
	Fair Value		Valuation Technique	Unobservable Input (1)	Low			High			Weighted Average (2)
First lien debt	$	2,849,235	Market Yield Analysis	Market Yield Discount Rates		7.80	%		16.49	%		11.20	%
		122,413	Recent Transaction	Transaction Price		93.00			100.00			98.46
		2,971,648
Second lien debt		51,445	Market Yield Analysis	Market Yield Discount Rates		10.82	%		13.52	%		13.26	%
Preferred equity		60,632	Market Yield Analysis	Market Yield Discount Rates		9.05	%		9.05	%		15.62	%
			Black-Scholes	Volatility		33.96	%		33.96	%		33.96	%
Warrants		215	Black-Scholes	Volatility		31.13	%		31.13	%		31.13	%
Total	$	3,083,940


	December 31, 2023
					Range
	Fair Value		Valuation Technique	Unobservable Input (1)	Low			High			Weighted Average (2)
First lien debt	$	1,126,991	Market Yield Analysis	Market Yield Discount Rates		9.31	%		25.00	%		12.11	%
		73,174	Recent Transaction	Transaction Price		98.00			98.58			98.07
		1,200,165
Second lien debt		130,876	Market Yield Analysis	Market Yield Discount Rates		12.01	%		14.97	%		13.40	%
		130,876
Preferred equity		27,892	Market Yield Analysis	Market Yield Discount Rates		9.42	%		19.78	%		17.01	%
			Black-Scholes	Volatility		34.90	%		34.90	%		34.90	%
Total	$	1,358,933

(1)

The Company generally uses prices provided by an independent pricing service, or directly from an independent broker, which are indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by the Adviser in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of September 30, 2024 and December 31, 2023, the Company had investments of this nature measured at fair value totaling $142.8 million and zero, respectively.

(2)

Weighted averages are calculated based on fair value of investments.

- 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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