Fair Value Measurements

3 Months Ended

Mar. 31, 2024

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


	March 31, 2024
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	108,808	$	10,178,311	$	10,287,119
Second lien debt	—		—		41,515		41,515
Unsecured debt	—		—		11,859		11,859
Equity	—		—		98,680		98,680
Total	$	—	$	108,808	$	10,330,365	$	10,439,173


	December 31, 2023
	Level 1		Level 2		Level 3		Total
First lien debt	$	—	$	157,858	$	9,564,203	$	9,722,061
Second lien debt	—		—		41,515		41,515
Unsecured debt	—		—		9,924		9,924
Equity	—		—		94,940		94,940
Total	$	—	$	157,858	$	9,710,582	$	9,868,440

Within Investments at fair value, substantially all Equity investments are illiquid and privately negotiated in nature and are subject to contractual sale constraints or other restrictions pursuant to their respective governing or similar agreements.

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 March 31, 2024
	First Lien Debt		Second Lien Debt		Unsecured Debt		Equity		Total Investments
Fair value, beginning of period	$	9,564,203	$	41,515	$	9,924	$	94,940	$	9,710,582
Purchases of investments	734,974		180		1,785		2,188		739,127
Proceeds from principal repayments and sales of investments	(186,370)		—		—		—		(186,370)
Accretion of discount/(amortization of premium)	9,341		25		9		—		9,375
Net realized gain (loss)	428		—		—		—		428
Net change in unrealized appreciation (depreciation)	5,496		(205)		141		1,552		6,984
Transfers into Level 3 (1)	50,239		—		—		—		50,239
Transfers out of Level 3 (1)	—		—		—		—		—
Fair value, end of period	$	10,178,311	$	41,515	$	11,859	$	98,680	$	10,330,365
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of March 31, 2024 included in net change in unrealized appreciation (depreciation) on the Condensed Consolidated Statements of Operations	$	6,191	$	(205)	$	135	$	1,553	$	7,674


	Three Months Ended March 31, 2023
	First Lien Debt		Second Lien Debt		Equity		Total Investments
Fair value, beginning of period	$	9,275,511	$	46,336	$	150,949	$	9,472,796
Purchases of investments	114,229		411		—		114,640
Proceeds from principal repayments and sales of investments	(71,040)		—		—		(71,040)
Accretion of discount/(amortization of premium)	8,407		36		—		8,443
Net realized gain (loss)	46		—		—		46
Net change in unrealized appreciation (depreciation)	(14,862)		(105)		3,572		(11,395)
Transfers into Level 3 (1)	4,938		—		—		4,938
Transfers out of Level 3 (1)	(91,939)		—		—		(91,939)
Fair value, end of period	$	9,225,290	$	46,678	$	154,521	$	9,426,489
Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of March 31, 2023 included in net change in unrealized appreciation (depreciation) on the Condensed Consolidated Statements of Operations	$	(14,862)	$	(105)	$	3,572	$	(11,395)

(1)For the three months ended March 31, 2024 and 2023, 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.


	March 31, 2024
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	10,082,833	Yield Analysis	Discount Rate	5.37	%	30.72	%	10.58	%
	51,247		Market Quotations	Broker quoted price	100.00		100.00		100.00
	44,231		Asset Recoverability	Market Multiple	10.00x		10.50x		10.34x
	10,178,311
Investments in second lien debt	41,515		Yield Analysis	Discount Rate	9.90	%	14.98	%	13.07	%
Investments in unsecured debt	11,859		Yield Analysis	Discount Rate	13.78%		14.00%		13.97%
Investments in equity	62,990		Market Approach	Performance Multiple	6.44x		30.00x		11.59x
	29,072		Option Pricing Model	Expected Volatility	32.00	%	57.00	%	43.06	%
	6,618		Yield Analysis	Discount Rate	11.00	%	17.92	%	14.34	%
	98,680
Total	$	10,330,365


	December 31, 2023
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average (1)
Investments in first lien debt	$	9,533,700	Yield Analysis	Discount Rate	7.68	%	30.89	%	10.31	%
	30,503		Asset Recoverability	Market Multiple	10.50x		10.50x		10.50x
	9,564,203
Investments in second lien debt	41,515		Yield Analysis	Discount Rate	10.18	%	14.38	%	12.69	%
Investments in unsecured debt	9,924		Yield Analysis	Discount Rate	14.90%		14.90%		14.90%
Investments in equity	60,007		Market Approach	Performance Multiple	6.40x		30.00x		11.47x
	28,531		Option Pricing Model	Expected Volatility	32.00	%	55.00	%	42.86	%
	6,402		Yield Analysis	Discount Rate	10.75	%	17.92	%	14.17	%
	94,940
Total	$	9,710,582

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

The significant unobservable input used in the yield analysis is the discount rate based on comparable market yields. The significant unobservable input used for market quotations are broker quoted prices provided by independent pricing services. The significant unobservable input used under the market approach is the Performance Multiple. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in quoted prices or Performance Multiples would result in a significantly lower fair value measurement.

Financial Instruments Not Carried at Fair Value

Debt

The fair value of the Company’s SPV Financing Facilities (as defined in Note 6) and Revolving Credit Facility (as defined in Note 6), as of March 31, 2024 and December 31, 2023, approximates their carrying value as the credit facilities have variable interest based on selected short-term rates. These financial instruments would be categorized as Level 3 within the hierarchy.

The following table presents the fair value measurements of the Company's Unsecured Notes (as defined in Note 6) had they been accounted for at fair value. These financial instruments would be categorized as Level 3 within the hierarchy as of March 31, 2024 and December 31, 2023.


	March 31, 2024		December 31, 2023
	Fair Value		Fair Value
2026 Notes	$	765,680	$	763,085
New 2026 Notes	645,470		643,814
2027 Notes	586,560		583,633
2028 Notes	573,495		561,129
Total	$	2,571,205	$	2,551,661

Other

As of March 31, 2024 and December 31, 2023, the carrying amounts of the Company’s other assets and liabilities approximate fair value. These financial instruments would be categorized as Level 3 within the hierarchy

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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