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Fair Value (Tables)

9 Months Ended

Sep. 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 September 30, 2023:

			Total						Level I						Level II						Level III
First lien			$	1,691,480					$	—					$	10,813					$	1,680,667
Second lien			529,613						—						67,780						461,833
Subordinated			86,238						—						5,661						80,577
Equity and other			804,572						—						—						804,572
Total investments			$	3,111,903					$	—					$	84,254					$	3,027,649

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 September 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 September 30, 2023:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, June 30, 2023			$	3,095,531					$	1,693,215					$	495,695					$	78,960					$	827,661
Total gains or losses included in earnings:
Net realized gains on investments			4,671						111						—						—						4,560
Net change in unrealized (depreciation) appreciation			(17,113)						1,280						9,084						209						(27,686)
Purchases, including capitalized PIK and revolver fundings			33,311						26,051						1,244						1,408						4,608
Proceeds from sales and paydowns of investments			(88,751)						(39,990)						(44,190)						—						(4,571)
Fair Value, September 30, 2023			$	3,027,649					$	1,680,667					$	461,833					$	80,577					$	804,572
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:			$	(17,605)					$	1,695					$	8,177					$	209					$	(27,686)

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 nine months ended September 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 September 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			7,944						(1,244)						(24,627)						—						33,815
Net change in unrealized (depreciation) appreciation			(15,994)						(2,141)						31,862						(251)						(45,464)
Purchases, including capitalized PIK and revolver fundings(1)			216,221						184,157						3,185						7,986						20,893
Proceeds from sales and paydowns of investments(1)			(321,049)						(242,582)						(44,381)						—						(34,086)
Transfers into Level III(2)			15,726						—						15,726						—						—
Transfers out of Level III(2)			(11,490)						(11,490)						—						—						—
Fair Value, September 30, 2023			$	3,027,649					$	1,680,667					$	461,833					$	80,577					$	804,572
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:			$	(35,115)					$	(4,814)					$	15,305					$	(143)					$	(45,463)

(1)Includes non-cash reorganizations and restructurings.

(2)As of September 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 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) appreciation			(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.

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, 2023 were as follows:

Range

Type

Fair Value as of September 30, 2023

Approach

Unobservable Input

Low

High

Weighted Average(1)

First lien

$

1,652,759

Market & income approach

EBITDA multiple

1.3x

32.5x

15.2x

Revenue multiple

4.0x

19.5x

7.0x

Discount rate

9.4

%

25.4

%

11.6

%

27,908

Other

N/A(2)

N/A

N/A

N/A

Second lien

458,833

Market & income approach

EBITDA multiple

7.8x

21.0x

15.0x

Discount rate

10.3

%

34.0

%

12.5

%

3,000

Other

N/A(2)

N/A

N/A

N/A

Subordinated

80,577

Market & income approach

EBITDA multiple

9.0x

32.5x

16.2x

Discount rate

13.0

%

22.9

%

16.5

%

Equity and other

798,186

Market & income approach

EBITDA multiple

5.5x

26.5x

12.5x

Revenue multiple

4.0x

20.1x

7.5x

Discount rate

6.4

%

44.0

%

11.6

%

6,386

Other

N/A(2)

N/A

N/A

N/A

$

3,027,649

(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 September 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
						September 30, 2023												December 31, 2022
						Principal Amount						Fair Value						Principal Amount						Fair Value
Holdings Credit Facility						$	569,563					$	560,767					$	618,963					$	604,971
Unsecured Notes						391,500						363,692						531,500						499,551
Convertible Notes						260,000						264,706						316,816						317,071
SBA-guaranteed debentures						300,000						250,087						300,000						250,442
NMFC Credit Facility (1)						192,115						190,537						40,359						39,699
DB Credit Facility						186,400						185,553						186,400						183,734
NMNLC Credit Facility II						2,858						2,848						3,785						3,775
Total Borrowings						$	1,902,436					$	1,818,190					$	1,997,823					$	1,899,243

(1)     As of September 30, 2023, the principal amount of the NMFC Credit Facility was $192,115, which includes £22,850 denominated in GBP and €700 denominated in EUR that has been converted to U.S. dollars. As of September 30, 2023, the fair value of the NMFC Credit Facility was $190,537, which included £22,662 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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