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Fair Value (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2022:

			Total						Level I						Level II						Level III
First lien			$	1,753,967					$	—					$	—					$	1,753,967
Second lien			561,207						—						81,139						480,068
Subordinated			76,659						—						3,817						72,842
Equity and other			829,414						—						—						829,414
Total investments			$	3,221,247					$	—					$	84,956					$	3,136,291

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 year ended December 31, 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 December 31, 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 on investments			52,934						12,351						—						—						40,583
Net change in unrealized (depreciation) appreciation of investments			(70,607)						(33,350)						(42,375)						(4,318)						9,436
Purchases, including capitalized PIK and revolver fundings			693,202						621,319						9,187						26,418						36,278
Proceeds from sales and paydowns of investments			(604,861)						(493,579)						(15,948)						—						(95,334)
Transfers into Level III(1)			222,167						12,083						210,084						—						—
Fair value, December 31, 2022			$	3,136,291					$	1,753,967					$	480,068					$	72,842					$	829,414
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:			$	(30,244)					$	(36,175)					$	(42,817)					$	(4,318)					$	53,066

(1)As of December 31, 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 year ended December 31, 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 December 31, 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 (losses) gains on investments			(6,785)						(10,329)						349						(5,150)						8,345
Net change in unrealized appreciation (depreciation) of investments			101,260						5,552						(7,889)						5,688						97,909
Purchases, including capitalized PIK and revolver fundings(1)			1,134,829						821,224						101,881						13,265						198,459
Proceeds from sales and paydowns of investments(1)			(987,561)						(664,671)						(209,110)						—						(113,780)
Transfers out of Level III(2)			(136,144)						—						(136,144)						—						—
Fair value, December 31, 2021			$	2,843,456					$	1,635,143					$	319,120					$	50,742					$	838,451
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:			$	94,448					$	5,392					$	(7,897)					$	538					$	96,415

(1)Includes non-cash reorganizations and restructurings.

(2)As of December 31, 2021, portfolio investments were transferred 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 December 31, 2022 were as follows:

Range

Type

Fair Value as of December 31, 2022

Approach

Unobservable Input

Low

High

Weighted Average (1)

First lien

$

1,663,116

Market & income approach

EBITDA multiple

4.8x

38.0x

15.3x

Revenue multiple

5.0x

19.5x

9.5x

Discount rate

8.3

%

29.4

%

11.1

%

90,851

Other

N/A(2)

N/A

N/A

N/A

Second lien

471,350

Market & income approach

EBITDA multiple

8.2x

32.0x

15.2x

Discount rate

11.2

%

47.1

%

13.7

%

8,718

Other

N/A(2)

N/A

N/A

N/A

Subordinated

72,842

Market & income approach

EBITDA multiple

8.0x

23.5x

16.3x

Discount rate

13.5

%

29.7

%

17.0

%

Equity and other

793,468

Market & income approach

EBITDA multiple

4.8x

26.5x

13.0x

Revenue multiple

10.5x

19.5x

14.6x

Discount rate

6.4

%

44.0

%

13.0

%

35,946

Other

N/A(2)

N/A

N/A

N/A

$

3,136,291

(1)Unobservable inputs were weighted by the relative fair value of the investments.

(2)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 (1)

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(2)

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(2)

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(2)

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(2)

N/A

N/A

N/A

$

2,843,456

(1)Unobservable inputs were weighted by the relative fair value of the investments.

(2)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 December 31, 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
						December 31, 2022
						Principal Amount						Fair Value
Holdings Credit Facility						$	618,963					$	604,971
Unsecured Notes						531,500						499,551
SBA-guaranteed debentures						300,000						250,442
Convertible Notes						316,816						317,071
DB Credit Facility						186,400						183,734
NMFC Credit Facility (1)						40,359						39,699
NMNLC Credit Facility II						3,785						3,775
Total Borrowings						$	1,997,823					$	1,899,243

(1)     As of December 31, 2022, the principal amount of the NMFC Credit Facility was $40,359, which included £22,850 denominated in GBP and €700 denominated in EUR that has been converted to U.S. dollars. As of December 31, 2022, the fair value of the NMFC Credit Facility was $39,699, which included £22,476 denominated in GBP and €689 denominated in EUR that has been converted to U.S. dollars.

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- 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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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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