Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

6. Fair Value of Financial Instruments

Investments

The following tables present fair value measurements of investments as of September 30, 2024 and December 31, 2023:

	Fair Value Hierarchy at September 30, 2024
	Level 1		Level 2		Level 3		Total
First-lien debt investments	$	—	$	182,737	$	5,428,702	$	5,611,439
Second-lien debt investments		—		1,355		93,519		94,874
Mezzanine debt investments		—		—		119,293		119,293
Equity and other investments		—		—		101,222		101,222
Total investments at fair value	$	—	$	184,092	$	5,742,736	$	5,926,828
Interest rate swaps		—		19,324		—		19,324
Total	$	—	$	203,416	$	5,742,736	$	5,946,152

	Fair Value Hierarchy at December 31, 2023
	Level 1		Level 2		Level 3		Total
First-lien debt investments	$	—	$	2,080	$	2,848,805	$	2,850,885
Second-lien debt investments		—		—		79,091		79,091
Mezzanine debt investments		—		606		105,918		106,524
Equity and other investments		—		—		62,651		62,651
Total	$	—	$	2,686	$	3,096,465	$	3,099,151

Transfers between levels, if any, are recognized at the beginning of the quarter in which the transfers occur.

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

	As of and for the Three Months Ended
	September 30, 2024
	First-lien debt investments			Second-lien debt investments		Mezzanine  debt investments		Equity and other investments		Total
Balance, beginning of period	$	4,702,324		$	90,299	$	115,090	$	94,080	$	5,001,793
Purchases or originations		778,777			—		—		—		778,777
Repayments / redemptions		(90,027	)		—		—		—		(90,027	)
Sales proceeds		(19,862	)		—		—		—		(19,862	)
Paid-in-kind interest		3,925			356		3,844		—		8,125
Net change in unrealized gains (losses)		45,972			2,629		259		7,142		56,002
Net realized gains (losses)		130			—		—		—		130
Net amortization of discount on securities		7,463			235		100		—		7,798
Transfers within Level 3		—			—		—		—		—
Transfers into (out of) Level 3		—			—		—		—		—
Balance, End of Period	$	5,428,702		$	93,519	$	119,293	$	101,222	$	5,742,736

	As of and for the Nine Months Ended
	September 30, 2024
	First-lien debt investments			Second-lien debt investments			Mezzanine  debt investments		Equity and other investments		Total
Balance, beginning of period	$	2,848,805		$	79,091		$	105,918	$	62,651	$	3,096,465
Purchases or originations		3,034,317			10,021			—		28,259		3,072,597
Repayments / redemptions		(131,629	)		—			—		—		(131,629	)
Sales proceeds		(426,269	)		(2,161	)		—		—		(428,430	)
Paid-in-kind interest		10,516			850			10,504		—		21,870
Net change in unrealized gains (losses)		72,753			4,989			2,571		10,312		90,625
Net realized gains (losses)		4,477			65			—		—		4,542
Net amortization of discount on securities		15,732			664			300		—		16,696
Transfers within Level 3		—			—			—		—		—
Transfers into (out of) Level 3		—			—			—		—		—
Balance, End of Period	$	5,428,702		$	93,519		$	119,293	$	101,222	$	5,742,736

The following table presents the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the three and nine months ended September 30, 2023:

	As of and for the Three Months Ended
	September 30, 2023
	First-lien debt investments			Mezzanine  debt investments		Equity and other investments		Total
Balance, beginning of period	$	1,640,479		$	97,750	$	20,682	$	1,758,911
Purchases or originations		276,420			—		9,577		285,997
Repayments / redemptions		(32,389	)		—		—		(32,389	)
Paid-in-kind interest		1,697			3,043		—		4,740
Net change in unrealized gains (losses)		25,415			617		—		26,032
Net amortization of discount on securities		3,480			87		—		3,567
Transfers within Level 3		—			—		—		—
Transfers into (out of) Level 3		—			—		—		—
Balance, End of Period	$	1,915,102		$	101,497	$	30,259	$	2,046,858

	As of and for the Nine Months Ended
	September 30, 2023
	First-lien debt investments			Mezzanine  debt investments		Equity and other investments		Total
Balance, beginning of period	$	800,995		$	—	$	7,806	$	808,801
Purchases or originations		1,134,872			97,000		22,453		1,254,325
Repayments / redemptions		(71,126	)		—		—		(71,126	)
Paid-in-kind interest		2,496			3,043		—		5,539
Net change in unrealized gains (losses)		39,379			1,286		—		40,665
Net amortization of discount on securities		8,486			168		—		8,654
Transfers within Level 3		—			—		—		—
Transfers into (out of) Level 3		—			—		—		—
Balance, End of Period	$	1,915,102		$	101,497	$	30,259	$	2,046,858

The following tables present information with respect to the net change in unrealized gains or losses on investments for which Level 3 inputs were used in determining fair value that are still held by the Company at September 30, 2024 and 2023:

	Net Change in Unrealized		Net Change in Unrealized
	Gains or (Losses)		Gains or (Losses)
	For the Three Months Ended		For the Three Months Ended
	September 30, 2024 on		September 30, 2023 on
	Investments Held at		Investments Held at
	September 30, 2024		September 30, 2023
First-lien debt investments	$	47,862	$	25,415
Second-lien debt investments		2,630		—
Mezzanine debt investments		258		617
Equity and other investments		7,143		—
Total	$	57,893	$	26,032

	Net Change in Unrealized		Net Change in Unrealized
	Gains or (Losses)		Gains or (Losses)
	For the Nine Months Ended		For the Nine Months Ended
	September 30, 2024 on		September 30, 2023 on
	Investments Held at		Investments Held at
	September 30, 2024		September 30, 2023
First-lien debt investments	$	74,550	$	39,379
Second-lien debt investments		4,990		—
Mezzanine debt investments		2,570		1,286
Equity and other investments		10,312		—
Total	$	92,422	$	40,665

The following tables present the fair value of Level 3 Investments at fair value and the significant unobservable inputs used in the valuations as of September 30, 2024 and December 31, 2023. The tables are not intended to be all-inclusive, but instead capture the significant unobservable inputs relevant to the Company’s determination of fair values.

	September 30, 2024
			Valuation	Unobservable	Range (Weighted	Impact to Valuation from an
	Fair Value		Technique	Input	Average)	Increase to Input
First-lien debt investments	$	5,428,702	Income approach (1)	Discount rate	8.3% — 16.6% (11.2%)	Decrease
Second-lien debt investments		93,519	Income approach	Discount rate	14.4% — 18.7% (18.3%)	Decrease
Mezzanine debt investments		119,293	Income approach	Discount rate	13.0% — 13.0% (13.0%)	Decrease
Equity and other investments		101,222	Market Multiple (2)	Comparable multiple	4.8x — 20.0x (12.2x)	Increase
Total	$	5,742,736

(1)Includes $64.8 million of first-lien debt investments valued using an asset waterfall and $235.8 million of first-lien debt investments which, due to the proximity of the transactions relative to the measurement dates, we valued using the cost of the investments.

(2)Includes $7.8 million of equity investments valued using a Black-Scholes model.

	December 31, 2023
			Valuation	Unobservable	Range (Weighted	Impact to Valuation from an
	Fair Value		Technique	Input	Average)	Increase to Input
First-lien debt investments	$	2,848,805	Income approach (1)	Discount rate	8.7% — 16.4% (12.8%)	Decrease
Second-lien debt investments		79,091	Income approach	Discount rate	21.7% — 21.7% (21.7%)	Decrease
Mezzanine debt investments		105,918	Income approach	Discount rate	15.0% — 15.0% (15.0%)	Decrease
Equity and other investments		62,651	Market Multiple (2)	Comparable multiple	2.6x — 16.1x (10.2x)	Increase
Total	$	3,096,465

(1)Includes $77.9 million of first-lien debt investments valued using an asset waterfall.

(2)Includes $4.6 million of equity investments valued using a Black-Scholes model and $19.2 million of equity investments which, due to the proximity of the transactions relative to the measurement dates, we valued using the cost of the investments.

The Company typically determines the fair value of its performing Level 3 debt investments utilizing a yield analysis. In a yield analysis, a price is ascribed for each investment based upon an assessment of current and expected market yields for similar investments and risk profiles. Additional consideration is given to the expected life, portfolio company performance since close, and other terms and risks associated with an investment. Among other factors, a determinant of risk is the amount of leverage used by the portfolio company relative to the total enterprise value of the company, and the rights and remedies of our investment within each portfolio company’s capital structure.

Significant unobservable quantitative inputs typically considered in the fair value measurement of the Company’s Level 3 debt investments primarily include current market yields, including relevant market indices, but may also include quotes from brokers, dealers, and pricing services as indicated by comparable investments. If debt investments are credit impaired, an enterprise value analysis may be used to value such debt investments; however, in addition to the methods outlined above, other methods such as a liquidation or wind-down analysis may be utilized to estimate enterprise value. For the Company’s Level 3 equity investments, multiples of similar companies’ revenues, earnings before income taxes, depreciation and amortization (“EBITDA”) or some combination thereof and comparable market transactions are typically used.

Financial Instruments Not Carried at Fair Value

Debt

The fair value of the Company’s Credit Facilities, which are categorized as Level 3 within the fair value hierarchy, as of September 30, 2024 and December 31, 2023, approximates their carrying value as the outstanding balance is callable at carrying value.

The following table presents the fair value of the Company’s 2029 Notes and 2030 Notes, as of September 30, 2024.

	September 30, 2024
	Outstanding Principal		Fair Value (1)
2029 Notes	$	750,000	$	768,938
2030 Notes		600,000		597,510
Total	$	1,350,000	$	1,366,448

(1)The fair value is based on broker quotes received by the Company and is categorized as Level 2 within the fair value hierarchy.

Other Financial Assets and Liabilities

Under the fair value hierarchy, cash and cash equivalents are classified as Level 1 while the Company’s other assets and liabilities, other than investments at fair value and the Credit Facilities, are classified as Level 2.