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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2024

Schedule of Fair Value Hierarchy of Investments

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


	Fair Value Hierarchy as of September 30, 2024
($ in thousands)	Level 1		Level 2		Level 3		Total
Cash	$	135,279	$	—	$	—	$	135,279
Investments:
First-lien senior secured debt investments(1)	$	—	$	285,109	$	4,070,139	$	4,355,248
Second-lien senior secured debt investments	—		66,493		89,575		156,068
Unsecured debt investments	—		—		111,413		111,413
Preferred equity investments(2)	—		—		306,747		306,747
Common equity investments(3)	—		—		152,306		152,306
Subtotal	$	—	$	351,602	$	4,730,180	$	5,081,782
Investments measured at Net Asset Value(4)	$	—	$	—	$	—	$	2,187
Total Investments at fair value	$	—	$	351,602	$	4,730,180	$	5,083,969
Derivatives:
Interest rate swaps	$	—	$	23,189	$	—	$	23,189

(1)Includes investment in Amergin AssetCo.

(2)Includes equity investment in LSI Financing.

(3)Includes equity investments in Amergin AssetCo and Fifth Season.

(4)Includes equity investment in Credit SLF, which is measured at fair value using the net asset value per share (or its equivalent) practical expedient and has 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 Consolidated Statements of Assets and Liabilities.


	Fair Value Hierarchy as of December 31, 2023
($ in thousands)	Level 1		Level 2		Level 3		Total
Cash	$	64,899	$	—	$	—	$	64,899
Investments:
First-lien senior secured debt investments(1)	$	—	$	169,676	$	2,898,716	$	3,068,392
Second-lien senior secured debt investments	—		—		186,796		186,796
Unsecured debt investments	—		20,455		53,368		73,823
Preferred equity investments(2)	—		—		370,458		370,458
Common equity investments(3)	—		—		108,170		108,170
Total Investments at fair value	$	—	$	190,131	$	3,617,508	$	3,807,639

(1)Includes investment in Amergin AssetCo.

(2)Includes equity investment in LSI Financing.

(3)Includes equity investments in Amergin AssetCo and Fifth Season.

Schedule of Changes in the Fair Value of Investments

The following tables present changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the following periods:


	As of and for the Three Months Ended September 30, 2024
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	3,531,513	$	158,804	$	106,884	$	379,430	$	142,366	$	4,318,997
Purchases of investments, net	524,984		—		3		13,508		7,978		546,473
Payment-in-kind	3,496		—		2,187		12,184		—		17,867
Proceeds from investments, net	(5,122)		(17,646)		—		(100,161)		(3,216)		(126,145)
Net change in unrealized gain (loss)	7,322		(248)		2,334		(5,284)		5,178		9,302
Net realized gains (losses)	2		—		—		4,770		—		4,772
Net amortization/accretion of premium/discount on investments	5,261		210		5		2,300		—		7,776
Transfers into (out of) Level 3(1)	2,683		(51,545)		—		—		—		(48,862)
Fair value, end of period	$	4,070,139	$	89,575	$	111,413	$	306,747	$	152,306	$	4,730,180

(1)Transfers between levels, if any, are recognized at the beginning of the period noted. For the three months ended September 30, 2024, transfers between Level 2 and Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Three Months Ended September 30, 2023
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	2,167,254	$	183,925	$	48,376	$	362,105	$	83,234	$	2,844,894
Purchases of investments, net	402,174		—		—		—		10,015		412,189
Payment-in-kind	5,108		—		1,274		1,363		—		7,745
Proceeds from investments, net	(22,996)		—		—		(20,605)		—		(43,601)
Net change in unrealized gain (loss)	3,964		2,545		(1,448)		(2,800)		888		3,149
Net realized gains (losses)	—		—		—		968		—		968
Net amortization/accretion of premium/discount on investments	1,350		153		—		681		—		2,184
Transfers into (out of) Level 3(1)	(34,300)		—		—		—		—		(34,300)
Fair value, end of period	$	2,522,554	$	186,623	$	48,202	$	341,712	$	94,137	$	3,193,228

(1)Transfers between levels, if any, are recognized at the beginning of the period noted. For the three months ended September 30, 2023, transfers between Level 2 and Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Nine Months Ended September 30, 2024
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	2,898,716	$	186,796	$	53,368	$	370,458	$	108,170	$	3,617,508
Purchases of investments, net	1,319,221		—		51,891		20,386		40,126		1,431,624
Payment-in-kind	15,235		—		5,450		23,781		—		44,466
Proceeds from investments, net	(192,787)		(17,648)		—		(102,190)		(9,473)		(322,098)
Net change in unrealized gain (loss)	15,311		(2,861)		698		(13,042)		13,483		13,589
Net realized gains (losses)	2		—		—		4,770		—		4,772
Net amortization/accretion of premium/discount on investments	19,391		274		6		2,584		—		22,255
Transfers into (out of) Level 3(1)	(4,950)		(76,986)		—		—		—		(81,936)
Fair value, end of period	$	4,070,139	$	89,575	$	111,413	$	306,747	$	152,306	$	4,730,180

(1)Transfers between levels, if any, are recognized at the beginning of the period noted. For the nine months ended September 30, 2024, transfers between Level 2 and Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Nine Months Ended September 30, 2023
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	1,758,458	$	184,788	$	45,124	$	337,069	$	71,541	$	2,396,980
Purchases of investments, net	895,464		—		—		19,664		21,315		936,443
Payment-in-kind	11,315		—		3,492		19,246		—		34,053
Proceeds from investments, net	(57,070)		—		—		(22,190)		—		(79,260)
Net change in unrealized gain (loss)	13,742		1,393		(428)		(14,000)		1,281		1,988
Net realized gains (losses)	(2)		—		—		968		—		966
Net amortization of discount on investments	3,658		442		14		955		—		5,069
Transfers into (out of) Level 3(1)	(103,011)		—		—		—		—		(103,011)
Fair value, end of period	$	2,522,554	$	186,623	$	48,202	$	341,712	$	94,137	$	3,193,228

(1)Transfers between levels, if any, are recognized at the beginning of the period noted. For the nine months ended September 30, 2023, transfers between Level 2 and Level 3 were as a result of changes in the observability of significant inputs for certain portfolio companies.

The following tables present information with respect to net change in unrealized gains (losses) on investments for which Level 3 inputs were used in determining the fair value that are still held by the Company for the following periods:


($ in thousands)	Net change in unrealized gain (loss) for the Three Months Ended September 30, 2024 on Investments Held at September 30, 2024		Net change in unrealized gain (loss) for the Three Months Ended September 30, 2023 on Investments Held at September 30, 2023
First-lien senior secured debt investments	$	13,085	$	4,191
Second-lien senior secured debt investments	(72)		2,545
Unsecured debt investments	2,334		(1,448)
Preferred equity investments	1,684		(2,800)
Common equity investments	3,570		888
Total Investments	$	20,601	$	3,376


($ in thousands)	Net change in unrealized gain (loss) for the Nine Months Ended September 30, 2024 on Investments Held at September 30, 2024		Net change in unrealized gain (loss) for the Nine Months Ended September 30, 2023 on Investments Held at September 30, 2023
First-lien senior secured debt investments	$	26,109	$	14,293
Second-lien senior secured debt investments	(2,685)		1,393
Unsecured debt investments	698		(428)
Preferred equity investments	(3,595)		(14,000)
Common equity investments	11,875		1,281
Total Investments	$	32,402	$	2,539

Schedule of Quantitative Information About Significant Unobservable Inputs of Level 3 Investments

The tables below present quantitative information about the significant unobservable inputs of the Company’s Level 3 investments as of the following periods. The weighted average range of unobservable inputs is based on fair value of investments. The table is 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

($ in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

Impact to Valuation from an Increase in Input

First-lien senior secured debt investments

356,498

Recent Transaction

Transaction Price

98.0% - 100.0% (99.0%)

Increase

3,713,641

Yield Analysis

Market Yield

6.6% - 16.8% (10.1%)

Decrease

Second-lien senior secured debt investments

89,575

Yield Analysis

Market Yield

15.7% - 15.9% (15.8%)

Decrease

Unsecured debt investments

3,029

Recent Transaction

Transaction Price

100.0% - 100.0% (100.0%)

Increase

108,384

Yield Analysis

Market Yield

9.1% - 14.4% (10.6%)

Decrease

Preferred equity investments

22,098

Recent Transaction

Transaction Price

81.4% - 100.0% (93.2%)

Increase

223,692

Yield Analysis

Market Yield

10.2% - 21.5% (15.1%)

Decrease

6,878

Market Approach

EBITDA Multiple

8.4x - 8.4x (8.4x)

Increase

54,079

Market Approach

Revenue Multiple

8.0x - 21.0x (12.0x)

Increase

Common equity investments

24,611

Market Approach

EBITDA Multiple

8.2x - 30.5x (11.5x)

Increase

79,219

Market Approach

AUM Multiple

1.1x - 1.1x (1.1x)

Increase

10,882

Market Approach

N/A

1,608

Discounted Cash Flow Analysis

Discount Rate

30.0% - 30.0% (30.0%)

Decrease

147

Option Pricing Model

Volatility

70.0% - 70.0% (70.0%)

Increase

35,839

Market Approach

Revenue Multiple

6.3x - 13.5x (10.1x)

Increase

December 31, 2023

($ in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

Impact to Valuation from an Increase in Input

First-lien senior secured debt investments

423,672

Recent Transaction

Transaction Price

97.0% - 99.3% (98.6%)

Increase

2,475,044

Yield Analysis

Market Yield

8.2% - 17.1% (12.0%)

Decrease

Second-lien senior secured debt investments

186,796

Yield Analysis

Market Yield

11.4% - 17.7% (15.3%)

Decrease

Unsecured debt investments

1,700

Recent Transaction

Transaction Price

100.0% - 100.0% (100.0%)

Increase

51,668

Yield Analysis

Market Yield

10.6% - 10.6% (10.6%)

Decrease

Preferred equity investments

109,877

Recent Transaction

Transaction Price

98.0% - 107.5% (106.9%)

Increase

199,839

Yield Analysis

Market Yield

10.4% - 20.0% (15.2%)

Decrease

60,742

Market Approach

Revenue Multiple

8.5x - 21.5x (14.6x)

Increase

Common equity investments

58,201

Recent Transaction

Transaction Price

100.0% - 100.0% (100.0%)

Increase

17,724

Market Approach

EBITDA Multiple

9.1x - 34.5x (12.5x)

Increase

32,245

Market Approach

Revenue Multiple

6.3x - 14.7x (11.2x)

Increase

Schedule of Carrying Values and Fair Values of the Company’s Debt Obligations

The table below presents the carrying and fair values of the Company’s debt obligations as of the following periods:


	September 30, 2024						December 31, 2023
($ in thousands)	Net Carrying Value		Unamortized Debt Issuance Costs		Fair Value		Net Carrying Value		Unamortized Debt Issuance Costs		Fair Value
Subscription Credit Facility	$	534,157	$	843	$	534,157	$	797,454	$	2,546	$	797,454
Revolving Credit Facility	356,706		8,703		356,706		279,080		9,275		279,080
SPV Asset Facility I	300,381		12,119		300,381		321,387		8,613		321,387
SPV Asset Facility II	(3,609)		3,609		(3,609)		267,647		2,353		267,647
Athena CLO II	285,737		2,263		285,737		285,596		2,404		285,596
Athena CLO IV	237,400		2,600		237,400		—		—		—
2023A Notes	74,280		720		75,000		74,144		856		75,188
April 2029 Notes	705,759		15,664		703,500		—		—		—
Total Debt	$	2,490,811	$	46,521	$	2,489,272	$	2,025,308	$	26,047	$	2,026,352

The table below presents fair value measurements of the Company’s debt obligations as of the following periods:


($ in thousands)	September 30, 2024		December 31, 2023
Level 1	$	—	$	—
Level 2	703,500		—
Level 3	1,785,772		2,026,352
Total Debt	$	2,489,272	$	2,026,352

- 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.

+ References + Details