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Fair Value (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Portfolio Investments by Level in the Fair Value Hierarchy

The following table summarizes the levels in the fair value hierarchy that the Company’s portfolio investments fall into as of September 30, 2022:

			Total						Level I						Level II						Level III
First lien			$	1,770,125					$	—					$	11,434					$	1,758,691
Second lien			573,535						—						67,839						505,696
Subordinated			73,763						—						—						73,763
Equity and other			817,010						—						—						817,010
Total investments			$	3,234,433					$	—					$	79,273					$	3,155,160

The following table summarizes the levels in the fair value hierarchy that the Company’s portfolio investments fall into as of December 31, 2021:

			Total						Level I						Level II						Level III
First lien			$	1,657,815					$	—					$	22,672					$	1,635,143
Second lien			627,356						—						308,236						319,120
Subordinated			50,742						—						—						50,742
Equity and other			838,451						—						—						838,451
Total investments			$	3,174,364					$	—					$	330,908					$	2,843,456

Changes in Level III Portfolio Investments

The following table summarizes the changes in fair value of Level III portfolio investments for the three months ended September 30, 2022, as well as the portion of appreciation (depreciation) included in income attributable to unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at September 30, 2022:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, June 30, 2022			$	3,129,485					$	1,835,954					$	434,069					$	55,968					$	803,494
Total gains or losses included in earnings:
Net realized gains on investments			62						45						—						—						17
Net change in unrealized (depreciation) appreciation			(24,503)						(19,170)						(13,958)						(526)						9,151
Purchases, including capitalized PIK and revolver fundings			147,022						116,907						7,422						18,321						4,372
Proceeds from sales and paydowns of investments			(176,517)						(175,045)						(1,448)						—						(24)
Transfers into Level III(1)			79,611						—						79,611						—						—
Fair Value, September 30, 2022			$	3,155,160					$	1,758,691					$	505,696					$	73,763					$	817,010
Unrealized (depreciation) appreciation for the period relating to those Level III assets that were still held by the Company at the end of the period:			$	(24,455)					$	(19,123)					$	(13,958)					$	(526)					$	9,152

(1)As of September 30, 2022, portfolio investments were transferred into Level III from Level II at fair value as of the beginning of the period in which the reclassification occurred.

The following table summarizes the changes in fair value of Level III portfolio investments for the three months ended September 30, 2021, as well as the portion of appreciation (depreciation) included in income attributable to unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at September 30, 2021:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, June 30, 2021			$	2,582,889					$	1,443,896					$	312,771					$	37,982					$	788,240
Total gains or losses included in earnings:
Net realized gains on investments			22,904						629						—						—						22,275
Net change in unrealized (depreciation) appreciation			(26,009)						(10,360)						(2,774)						222						(13,097)
Purchases, including capitalized PIK and revolver fundings			481,619						287,564						106,480						659						86,916
Proceeds from sales and paydowns of investments			(431,533)						(304,180)						(21,451)						—						(105,902)
Transfers into Level III(1)			43,027						—						43,027						—						—
Transfers out of Level III(1)			(57,589)						(36,673)						(20,916)						—						—
Fair Value, September 30, 2021			$	2,615,308					$	1,380,876					$	417,137					$	38,863					$	778,432
Unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:			$	8,381					$	(9,395)					$	(2,774)					$	222					$	20,328

(1)As of September 30, 2021, portfolio investments were transferred into Level III from Level II and out of Level III into Level II at fair value as of the beginning of the period in which the reclassification occurred.

The following table summarizes the changes in fair value of Level III portfolio investments for the nine months ended September 30, 2022, as well as the portion of appreciation (depreciation) included in income attributable to unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at September 30, 2022:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, December 31, 2021			$	2,843,456					$	1,635,143					$	319,120					$	50,742					$	838,451
Total gains or losses included in earnings:
Net realized gains (losses) on investments			35,753						(618)						—						—						36,371
Net change in unrealized depreciation			(64,552)						(13,309)						(47,712)						(2,078)						(1,453)
Purchases, including capitalized PIK and revolver fundings			587,780						515,997						19,269						25,099						27,415
Proceeds from sales and paydowns of investments			(478,245)						(378,522)						(15,949)						—						(83,774)
Transfers into Level III(1)			230,968						—						230,968						—						—
Fair Value, September 30, 2022			$	3,155,160					$	1,758,691					$	505,696					$	73,763					$	817,010
Unrealized (depreciation) appreciation for the period relating to those Level III assets that were still held by the Company at the end of the period:			$	(23,102)					$	(13,414)					$	(47,712)					$	(2,078)					$	40,102

(1)As of September 30, 2022, portfolio investments were transferred into Level III from Level II at fair value as of the beginning of the period in which the reclassification occurred.

The following table summarizes the changes in fair value of Level III portfolio investments for the nine months ended September 30, 2021, as well as the portion of appreciation (depreciation) included in income attributable to unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at September 30, 2021:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, December 31, 2020			$	2,737,857					$	1,483,367					$	570,033					$	36,939					$	647,518
Total gains or losses included in earnings:
Net realized gains (losses) on investments			10,912						848						2						(5,150)						15,212
Net change in unrealized appreciation (depreciation)			56,689						(9,663)						(2,145)						5,502						62,995
Purchases, including capitalized PIK and revolver fundings			767,313						477,631						129,501						1,572						158,609
Proceeds from sales and paydowns of investments			(737,067)						(535,475)						(95,690)						—						(105,902)
Transfers out of Level III(1)			(220,396)						(35,832)						(184,564)						—						—
Fair Value, September 30, 2021			$	2,615,308					$	1,380,876					$	417,137					$	38,863					$	778,432
Unrealized appreciation (depreciation) for the period relating to those Level III assets that were still held by the Company at the end of the period:			$	50,567					$	(9,393)					$	(2,347)					$	352					$	61,955

(1)As of September 30, 2021, portfolio investments were transferred into Level III from Level II and out of Level III into Level II at fair value as of the beginning of the period in which the reclassification occurred.

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The unobservable inputs used in the fair value measurement of the Company's Level III investments as of September 30, 2022 were as follows:

Range

Type

Fair Value as of September 30, 2022

Approach

Unobservable Input

Low

High

Weighted Average

First lien

$

1,581,331

Market & income approach

EBITDA multiple

3.5x

38.0x

15.7x

Revenue multiple

4.0x

19.5x

8.9x

Discount rate

9.0

%

27.9

%

11.5

%

177,360

Other

N/A(1)

N/A

N/A

N/A

Second lien

498,527

Market & income approach

EBITDA multiple

8.0x

33.0x

15.2x

Discount rate

11.0

%

43.8

%

13.3

%

7,169

Other

N/A(1)

N/A

N/A

N/A

Subordinated

73,763

Market & income approach

EBITDA multiple

6.5x

24.5x

16.7x

Discount rate

12.7

%

23.9

%

17.0

%

Equity and other

789,644

Market & income approach

EBITDA multiple

5.0x

26.5x

12.7x

Revenue multiple

4.0x

19.5x

6.9x

Discount rate

6.1

%

42.4

%

12.9

%

27,366

Other

N/A(1)

N/A

N/A

N/A

$

3,155,160

(1)Fair value was determined based on transaction pricing or recent acquisition or sale as the best measure of fair value with no material changes in operations of the related portfolio company since the transaction date.

The unobservable inputs used in the fair value measurement of the Company's Level III investments as of December 31, 2021 were as follows:

Range

Type

Fair Value as of December 31, 2021

Approach

Unobservable Input

Low

High

Weighted Average

First lien

$

1,478,445

Market & income approach

EBITDA multiple

4.5x

32.5x

14.7x

Revenue multiple

4.0x

19.5x

7.0x

Discount rate

4.8

%

17.0

%

7.6

%

55,326

Market quote

Broker quote

N/A

N/A

N/A

101,372

Other

N/A(1)

N/A

N/A

N/A

Second lien

253,587

Market & income approach

EBITDA multiple

7.5x

32.0x

15.2x

Discount rate

7.5

%

28.2

%

11.3

%

22,528

Market quote

Broker quote

N/A

N/A

N/A

43,005

Other

N/A(1)

N/A

N/A

N/A

Subordinated

39,798

Market & income approach

EBITDA multiple

8.0x

14.5x

11.5x

Discount rate

11.1

%

18.4

%

16.0

%

10,944

Other

N/A(1)

N/A

N/A

N/A

Equity and other

824,151

Market & income approach

EBITDA multiple

5.0x

26.5x

12.7x

Revenue multiple

5.0x

19.5x

14.3x

Discount rate

4.0

%

31.3

%

10.0

%

14,300

Other

N/A(1)

N/A

N/A

N/A

$

2,843,456

(1)Fair value was determined based on transaction pricing or recent acquisition or sale as the best measure of fair value with no material changes in operations of the related portfolio company since the transaction date.

Schedule of Carrying and Fair Values of Borrowings

The following are the principal amounts and fair values of the Company’s borrowings as of September 30, 2022. 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, 2022
						Principal Amount						Fair Value
Holdings Credit Facility						$	630,663					$	617,558
Unsecured Notes						531,500						498,018
SBA-guaranteed debentures						300,000						257,090
Convertible Notes						201,250						199,238
DB Credit Facility						186,400						184,127
NMFC Credit Facility (1)						127,210						125,434
NMNLC Credit Facility II						2,934						2,933
Total Borrowings						$	1,979,957					$	1,884,398

(1)     As of September 30, 2022, the principal amount of the NMFC Credit Facility was $127,210, which included £22,850 denominated in GBP and €700 denominated in EUR that has been converted to U.S. dollars. As of September 30, 2022, the fair value of the NMFC Credit Facility was $125,434, which included £22,531 denominated in GBP and €690 denominated in EUR that has been converted to U.S. dollars.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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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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Tabular disclosure of information about fair value of asset and liability not measured at fair value.

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