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Fair Value (Tables)

6 Months Ended

Jun. 30, 2023

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 June 30, 2023:

			Total						Level I						Level II						Level III
First lien			$	1,703,788					$	—					$	10,573					$	1,693,215
Second lien			563,333						—						67,638						495,695
Subordinated			84,683						—						5,723						78,960
Equity and other			827,661						—						—						827,661
Total investments			$	3,179,465					$	—					$	83,934					$	3,095,531

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

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 June 30, 2023, 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 June 30, 2023:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, March 31, 2023			$	3,184,377					$	1,798,746					$	480,398					$	74,348					$	830,885
Total gains or losses included in earnings:
Net realized gains (losses) on investments			2,565						(92)						(7,223)						—						9,880
Net change in unrealized (depreciation) appreciation			(6,727)						(3,145)						5,549						(195)						(8,936)
Purchases, including capitalized PIK and revolver fundings(1)			51,977						40,201						997						4,807						5,972
Proceeds from sales and paydowns of investments(1)			(141,689)						(131,359)						(190)						—						(10,140)
Transfers into Level III(2)			16,164						—						16,164						—						—
Transfers out of Level III(2)			(11,136)						(11,136)						—						—						—
Fair Value, June 30, 2023			$	3,095,531					$	1,693,215					$	495,695					$	78,960					$	827,661
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:			$	(11,932)					$	(3,604)					$	803					$	(195)					$	(8,936)

(1)Includes non-cash reorganizations and restructurings.

(2)As of June 30, 2023, 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 three months ended June 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 June 30, 2022:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, March 31, 2022			$	3,046,993					$	1,711,500					$	446,914					$	54,867					$	833,712
Total gains or losses included in earnings:
Net realized gains (losses) on investments			16,518						(595)						—						—						17,113
Net change in unrealized (depreciation) appreciation			(27,799)						3,926						(15,042)						(143)						(16,540)
Purchases, including capitalized PIK and revolver fundings			266,387						243,696						2,495						1,244						18,952
Proceeds from sales and paydowns of investments			(206,787)						(150,322)						(6,722)						—						(49,743)
Transfers into Level III(1)			109,609						27,749						81,860						—						—
Transfers out of Level III(1)			(75,436)						—						(75,436)						—						—
Fair Value, June 30, 2022			$	3,129,485					$	1,835,954					$	434,069					$	55,968					$	803,494
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:			$	(1,298)					$	3,991					$	(15,042)					$	(144)					$	9,897

(1)As of June 30, 2022, 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 six months ended June 30, 2023, 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 June 30, 2023:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, December 31, 2022			$	3,136,291					$	1,753,967					$	480,068					$	72,842					$	829,414
Total gains or losses included in earnings:
Net realized gains (losses) on investments			3,273						(14,048)						(11,934)						—						29,255
Net change in unrealized appreciation (depreciation)			1,119						9,272						10,083						(459)						(17,777)
Purchases, including capitalized PIK and revolver fundings(1)			182,910						158,106						1,942						6,577						16,285
Proceeds from sales and paydowns of investments(1)			(232,298)						(202,592)						(190)						—						(29,516)
Transfers into Level III(2)			15,726						—						15,726						—						—
Transfers out of Level III(2)			(11,490)						(11,490)						—						—						—
Fair Value, June 30, 2023			$	3,095,531					$	1,693,215					$	495,695					$	78,960					$	827,661
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:			$	(3,100)					$	7,374					$	7,654					$	(352)					$	(17,776)

(1)Includes non-cash reorganizations and restructurings.

(2)As of June 30, 2023, 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 six months ended June 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 June 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			35,690						(664)						—						—						36,354
Net change in unrealized (depreciation) appreciation			(37,591)						5,861						(31,296)						(1,551)						(10,605)
Purchases, including capitalized PIK and revolver fundings			440,759						399,092						11,846						6,777						23,044
Proceeds from sales and paydowns of investments			(301,728)						(203,478)						(14,500)						—						(83,750)
Transfers into Level III(1)			158,899						—						158,899						—						—
Transfers out of Level III(1)			(10,000)						—						(10,000)						—						—
Fair Value, June 30, 2022			$	3,129,485					$	1,835,954					$	434,069					$	55,968					$	803,494
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:			$	1,878					$	3,775					$	(31,296)					$	(1,551)					$	30,950

(1)As of June 30, 2022, 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 June 30, 2023 were as follows:

Range

Type

Fair Value as of June 30, 2023

Approach

Unobservable Input

Low

High

Weighted Average(1)

First lien

$

1,664,201

Market & income approach

EBITDA multiple

1.9x

38.0x

14.7x

Revenue multiple

4.0x

19.5x

8.3x

Discount rate

8.6

%

57.6

%

12.0

%

29,014

Other

N/A(2)

N/A

N/A

N/A

Second lien

490,688

Market & income approach

EBITDA multiple

7.0x

22.0x

14.6x

Discount rate

11.8

%

30.3

%

13.9

%

5,007

Other

N/A(2)

N/A

N/A

N/A

Subordinated

78,960

Market & income approach

EBITDA multiple

9.0x

32.5x

16.1x

Discount rate

12.7

%

31.7

%

17.9

%

Equity and other

816,716

Market & income approach

EBITDA multiple

6.0x

26.5x

12.3x

Revenue multiple

4.0x

19.5x

8.8x

Discount rate

6.4

%

45.6

%

12.5

%

10,945

Other

N/A(2)

N/A

N/A

N/A

$

3,095,531

(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, 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.

Schedule of Principal Amounts and Fair Values of Borrowings

The following are the principal amounts and fair values of the Company’s borrowings as of June 30, 2023 and 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
						June 30, 2023												December 31, 2022
						Principal Amount						Fair Value						Principal Amount						Fair Value
Holdings Credit Facility						$	574,263					$	564,600					$	618,963					$	604,971
Unsecured Notes						391,500						362,755						531,500						499,551
Convertible Notes						376,816						380,285						316,816						317,071
SBA-guaranteed debentures						300,000						252,139						300,000						250,442
DB Credit Facility						186,400						185,433						186,400						183,734
NMFC Credit Facility (1)						91,290						90,494						40,359						39,699
NMNLC Credit Facility II						2,926						2,913						3,785						3,775
Total Borrowings						$	1,923,195					$	1,838,619					$	1,997,823					$	1,899,243

(1)     As of June 30, 2023, the principal amount of the NMFC Credit Facility was $91,290, which includes £22,850 denominated in GBP and €700 denominated in EUR that has been converted to U.S. dollars. As of June 30, 2023, the fair value of the NMFC Credit Facility was $90,494, which included £22,651 denominated in GBP and €694 denominated in EUR that has been converted to U.S. dollars. 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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