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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Measurements of Cash and Cash Equivalents, Restricted Cash, Investments, Derivatives, and Unfunded Revolving and Delayed Draw Loan Commitments | The following table presents fair value measurements of cash and cash equivalents, restricted cash, investments, derivatives and unfunded revolving and delayed draw loan commitments as of September 30, 2024:
| Fair Value Measurements Using
| Total |  | Level 1 |  | Level 2 |  | Level 3
Cash and cash equivalents | $ | 486 |  |  | $ | 486 |  |  | $ | — |  |  | $ | — |
Restricted cash | $ | 138 |  |  | $ | 138 |  |  | $ | — |  |  | $ | — |
Investments not measured at net asset value | $ | 25,909 |  |  | $ | 33 |  |  | $ | 720 |  |  | $ | 25,156 |
Investments measured at net asset value(1) | 9 |  |  |  |  |  |  |
Total investments | $ | 25,918 |  |  |  |  |  |  |
Unfunded revolving and delayed draw loan commitments(2) | $ | (25) |  |  | $ | — |  |  | $ | — |  |  | $ | (25) |
Derivatives: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (22) |  |  | $ | — |  |  | $ | (22) |  |  | $ | — |
Interest rate swaps | $ | 77 |  |  | $ | — |  |  | $ | 77 |  |  | $ | — |
________________________________________ (1)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) 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 consolidated balance sheet. (2)The fair value of unfunded revolving and delayed draw loan commitments is included in “accounts payable and other liabilities” in the accompanying consolidated balance sheet. The following table presents fair value measurements of cash and cash equivalents, restricted cash, investments, derivatives and unfunded revolving and delayed draw loan commitments as of December 31, 2023:
| Fair Value Measurements Using
| Total |  | Level 1 |  | Level 2 |  | Level 3
Cash and cash equivalents | $ | 535 |  |  | $ | 535 |  |  | $ | — |  |  | $ | — |
Restricted cash | $ | 29 |  |  | $ | 29 |  |  | $ | — |  |  | $ | — |
Investments not measured at net asset value | $ | 22,868 |  |  | $ | 48 |  |  | $ | 736 |  |  | $ | 22,084 |
Investments measured at net asset value(1) | 6 |  |  |  |  |  |  |
Total investments | $ | 22,874 |  |  |  |  |  |  |
Unfunded revolving and delayed draw loan commitments(2) | $ | (32) |  |  | $ | — |  |  | $ | — |  |  | $ | (32) |
Derivatives: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (24) |  |  | $ | — |  |  | $ | (24) |  |  | $ | — |
Interest rate swaps | $ | 15 |  |  | $ | — |  |  | $ | 15 |  |  | $ | — |
________________________________________ (1)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) 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 consolidated balance sheet. (2)The fair value of unfunded revolving and delayed draw loan commitments is included in “accounts payable and other liabilities” in the accompanying consolidated balance sheet.
Schedule of Significant Unobservable Inputs | The following tables summarize the significant unobservable inputs the Valuation Designee used to value the majority of the Company’s investments categorized within Level 3 as of September 30, 2024 and December 31, 2023. The tables are not intended to be all-inclusive, but instead to capture the significant unobservable inputs relevant to the Valuation Designee’s determination of fair values.
|  | As of September 30, 2024 |
|  |  |  |  |  | Unobservable Input |
Asset Category |  | Fair Value |  | Primary Valuation Techniques |  | Input |  | Estimated Range |  | Weighted Average(1) |
First lien senior secured loans |  | $ | 13,176 |  |  | Yield analysis |  | Market yield |  | 4.7% - 23.2% |  | 11.0 | % |
Second lien senior secured loans |  | 2,551 |  |  | Yield analysis |  | Market yield |  | 9.8% - 22.1% |  | 13.5 | % |
Subordinated certificates of the SDLP |  | 1,159 |  |  | Discounted cash flow analysis |  | Discount rate |  | 10.8% - 13.5% |  | 12.0 | % |
Senior subordinated loans |  | 1,406 |  |  | Yield analysis |  | Market yield |  | 9.3% - 18.2% |  | 13.2 | % |
Preferred equity |  | 2,685 |  |  | Yield analysis |  | Market yield |  | 7.0% - 18.0% |  | 13.3 | % |
|  |  |  | EV market multiple analysis |  | EBITDA multiple |  | 2.6x - 27.0x |  | 14.5x |
Ivy Hill Asset Management, L.P.(2) |  | 1,954 |  |  | Discounted cash flow analysis |  | Discount rate |  | 9.9% - 20.9% |  | 11.7 | % |
Other equity |  | 2,225 |  |  | EV market multiple analysis |  | EBITDA multiple |  | 5.8x - 34.6x |  | 14.2x |
Total investments |  | $ | 25,156 |  |  |  |  |  |  |  |  |  |
________________________________________ (1)Unobservable inputs were weighted by the relative fair value of the investments. (2)Includes the Company’s subordinated loan and equity investments in IHAM, as applicable.
|  | As of December 31, 2023 |
|  |  |  |  |  | Unobservable Input |
Asset Category |  | Fair Value |  | Primary Valuation Techniques |  | Input |  | Estimated Range |  | Weighted Average(1) |
First lien senior secured loans |  | $ | 9,584 |  |  | Yield analysis |  | Market yield |  | 6.4% - 35.0% |  | 12.7 | % |
Second lien senior secured loans |  | 3,536 |  |  | Yield analysis |  | Market yield |  | 10.0% - 37.3% |  | 14.8 | % |
Subordinated certificates of the SDLP |  | 1,288 |  |  | Discounted cash flow analysis |  | Discount rate |  | 12.3% - 14.6% |  | 13.3 | % |
Senior subordinated loans |  | 1,073 |  |  | Yield analysis |  | Market yield |  | 8.0% - 19.2% |  | 14.6 | % |
Preferred equity |  | 2,456 |  |  | Yield analysis |  | Market yield |  | 7.0% - 20.0% |  | 14.5 | % |
|  |  |  | EV market multiple analysis |  | EBITDA multiple |  | 4.3x - 32.5x |  | 15.2x |
Ivy Hill Asset Management, L.P.(2) |  | 1,987 |  |  | Discounted cash flow analysis |  | Discount rate |  | 11.6% - 32.6% |  | 14.2 | % |
Other equity |  | 2,160 |  |  | EV market multiple analysis |  | EBITDA multiple |  | 5.3x - 33.8x |  | 14.8x |
Total investments |  | $ | 22,084 |  |  |  |  |  |  |  |  |  |
________________________________________ (1)Unobservable inputs were weighted by the relative fair value of the investments. (2)Includes the Company’s subordinated loan and equity investments in IHAM, as applicable.
Schedule of Changes in Investments that use Level 3 Inputs | The following tables present changes in investments that use Level 3 inputs as of and for the three and nine months ended September 30, 2024:
| As of and For the Three Months Ended September 30, 2024
Balance as of June 30, 2024 | $ | 24,302 |
Net realized losses | (20) |
Net unrealized gains | 73 |
Purchases | 3,279 |
Sales | (846) |
Repayments | (1,663) |
PIK interest and dividends | 111 |
Net accretion of discount on investments | 3 |
Net transfers in and/or out of Level 3 | (83) |
Balance as of September 30, 2024 | $ | 25,156 |
| As of and For the Nine Months Ended September 30, 2024
Balance as of December 31, 2023 | $ | 22,084 |
Net realized losses | (33) |
Net unrealized gains | 132 |
Purchases | 9,395 |
Sales | (1,957) |
Repayments | (4,718) |
PIK interest and dividends | 329 |
Net accretion of discount on investments | 7 |
Net transfers in and/or out of Level 3 | (83) |
Balance as of September 30, 2024 | $ | 25,156 |
The following tables present changes in investments that use Level 3 inputs as of and for the three and nine months ended September 30, 2023:
| As of and For the Three Months Ended September 30, 2023
Balance as of June 30, 2023 | $ | 20,757 |
Net realized losses | (86) |
Net unrealized gains | 246 |
Purchases | 1,395 |
Sales | (136) |
Repayments | (1,029) |
PIK interest and dividends | 74 |
Net accretion of discount on investments | 1 |
Net transfers in and/or out of Level 3 | (24) |
Balance as of September 30, 2023 | $ | 21,198 |
| As of and For the Nine Months Ended September 30, 2023
Balance as of December 31, 2022 | $ | 21,361 |
Net realized losses | (174) |
Net unrealized gains | 329 |
Purchases | 3,634 |
Sales | (993) |
Repayments | (3,024) |
PIK interest and dividends | 255 |
Net accretion of discount on investments | 7 |
Net transfers in and/or out of Level 3 | (197) |
Balance as of September 30, 2023 | $ | 21,198 |
Schedule of Carrying and Fair Values of Debt Obligations | The following are the carrying and fair values of the Company’s debt obligations as of September 30, 2024 and December 31, 2023. Fair value is estimated by discounting remaining payments using applicable current market rates, which take into account changes in the Company’s marketplace credit ratings, or market quotes, if available.
| As of
| September 30, 2024 |  | December 31, 2023
| Carrying Value(1) |  | Fair Value(6) |  | Carrying Value(1) |  | Fair Value(6)
Revolving Credit Facility | $ | 1,713 |  |  | $ | 1,713 |  |  | $ | 1,413 |  |  | $ | 1,413 |
Revolving Funding Facility | 822 |  |  | 822 |  |  | 863 |  |  | 863 |
SMBC Funding Facility | 492 |  |  | 492 |  |  | 401 |  |  | 401 |
BNP Funding Facility | 784 |  |  | 784 |  |  | 575 |  |  | 575 |
2024-1 CLO Notes (principal amount outstanding of $476 and $0, respectively)(2) | 473 |  | (3) | 476 |  |  | — |  |  | — |
2024 Convertible Notes (principal amount outstanding of $0 and $403, respectively) | — |  |  | — |  |  | 402 |  | (3) | 417 |
June 2024 Notes (principal amount outstanding of $0 and $900, respectively) | — |  |  | — |  |  | 899 |  | (3) | 893 |
March 2025 Notes (principal amount outstanding of $600) | 600 |  | (3) | 597 |  |  | 599 |  | (3) | 587 |
July 2025 Notes (principal amount outstanding of $1,250) | 1,252 |  | (3) | 1,232 |  |  | 1,255 |  | (3) | 1,198 |
January 2026 Notes (principal amount outstanding of $1,150) | 1,148 |  | (3) | 1,133 |  |  | 1,146 |  | (3) | 1,107 |
July 2026 Notes (principal amount outstanding of $1,000) | 995 |  | (3) | 951 |  |  | 993 |  | (3) | 913 |
January 2027 Notes (principal amount outstanding of $900) | 909 |  | (3)(4) | 937 |  |  | 905 |  | (3)(4) | 927 |
June 2027 Notes (principal amount outstanding of $500) | 496 |  | (3) | 473 |  |  | 495 |  | (3) | 458 |
June 2028 Notes (principal amount outstanding of $1,250) | 1,248 |  | (3) | 1,153 |  |  | 1,247 |  | (3) | 1,109 |
March 2029 Notes (principal amount outstanding of $1,000 and $0, respectively) | 1,005 |  | (3)(4) | 1,025 |  |  | — |  |  | — |
July 2029 Notes (principal amount outstanding of $850 and $0, respectively) | 871 |  | (3)(4) | 873 |  |  | — |  |  | — |
November 2031 Notes (principal amount outstanding of $700) | 692 |  | (3) | 608 |  |  | 691 |  | (3) | 586 |
Total | $ | 13,500 |  | (5) | $ | 13,269 |  |  | $ | 11,884 |  | (5) | $ | 11,447 |
________________________________________ (1)The Revolving Credit Facility, the Revolving Funding Facility, the SMBC Funding Facility and the BNP Funding Facility carrying values are the same as the principal amounts outstanding. (2)Excludes the CLO Subordinated Notes, which were retained by the Company and, as such, are eliminated in consolidation. See Note 5 for more information on the CLO Subordinated Notes. (3)Represents the aggregate principal amount outstanding, less unamortized debt issuance costs and the net unaccreted/amortized discount or premium recorded upon issuance. (4)The carrying value of the January 2027 Notes, the March 2029 Notes and the July 2029 Notes as of September 30, 2024 includes adjustments as a result of effective hedge accounting relationships. The carrying value of the January 2027 Notes as of December 31, 2023 includes an adjustment as a result of an effective hedge accounting relationship. See Notes 5 and 6 for more information. (5)Total principal amount of debt outstanding totaled $13,487 and $11,905 as of September 30, 2024 and December 31, 2023, respectively. (6)The fair value of these debt obligations would be categorized as Level 2 under ASC 820-10.

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