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Fair Value (Tables)

3 Months Ended

Mar. 31, 2024

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 March 31, 2024:

			Total						Level I						Level II						Level III
First lien			$	1,756,997					$	—					$	25,581					$	1,731,416
Second lien			414,958						—						19,060						395,898
Subordinated			95,231						—						9,888						85,343
Equity and other			802,796						—						—						802,796
Total investments			$	3,069,982					$	—					$	54,529					$	3,015,453

The following table summarizes the levels in the fair value hierarchy that the Company’s portfolio investments fall into as of December 31, 2023:

			Total						Level I						Level II						Level III
First lien			$	1,683,952					$	—					$	46,063					$	1,637,889
Second lien			424,513						—						18,333						406,180
Subordinated			90,948						—						8,077						82,871
Equity and other			811,909						—						—						811,909
Total investments			$	3,011,322					$	—					$	72,473					$	2,938,849

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 March 31, 2024, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at March 31, 2024:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, December 31, 2023			$	2,938,849					$	1,637,889					$	406,180					$	82,871					$	811,909
Total gains or losses included in earnings:
Net realized losses on investments			(11,890)						(11,859)						—						—						(31)
Net change in unrealized appreciation (depreciation) of investments			3,097						15,974						5,557						(261)						(18,173)
Purchases, including capitalized PIK and revolver fundings(1)			227,711						172,750						43,125						2,733						9,103
Proceeds from sales and paydowns of investments(1)			(170,754)						(111,778)						(58,964)						—						(12)
Transfers into Level III(2)			28,440						28,440						—						—						—
Fair Value, March 31, 2024			$	3,015,453					$	1,731,416					$	395,898					$	85,343					$	802,796
Net change in 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:			$	(12,429)					$	3,813					$	2,216					$	(261)					$	(18,197)

(1)Includes non-cash reorganizations and restructurings.

(2)As of March 31, 2024, 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 March 31, 2023, as well as the portion of appreciation (depreciation) included in income attributable to the net change in unrealized appreciation (depreciation) related to those assets and liabilities still held by the Company at March 31, 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			708						(13,956)						(4,711)						—						19,375
Net change in unrealized appreciation (depreciation) of investments			7,083						12,093						4,096						(263)						(8,843)
Purchases, including capitalized PIK and revolver fundings(1)			130,933						117,905						945						1,769						10,314
Proceeds from sales and paydowns of investments(1)			(90,638)						(71,263)						—						—						(19,375)
Fair Value, March 31, 2023			$	3,184,377					$	1,798,746					$	480,398					$	74,348					$	830,885
Net change in 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:			$	(6,956)					$	(2,055)					$	4,096					$	(156)					$	(8,841)

(1)Includes non-cash reorganizations and restructurings.

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 March 31, 2024 were as follows:

Range

Type

Fair Value as of March 31, 2024

Approach

Unobservable Input

Low

High

Weighted Average(1)

First lien

$

1,598,472

Market & Income Approach

EBITDA multiple

5.0x

35.0x

15.1x

Revenue multiple

4.0x

18.5x

7.6x

Discount rate

8.8

%

21.1

%

10.9

%

132,944

Other

N/A(2)

N/A

N/A

N/A

Second lien

239,127

Market & Income Approach

EBITDA multiple

7.0x

20.0x

15.0x

Discount rate

9.4

%

21.4

%

11.7

%

156,771

Other

N/A(2)

N/A

N/A

N/A

Subordinated

84,795

Market & Income Approach

EBITDA multiple

8.4x

24.5x

16.3x

Discount rate

12.6

%

22.2

%

16.4

%

548

Other

N/A(2)

N/A

N/A

N/A

Equity and other

415,753

Market & Income Approach

EBITDA multiple

5.0x

26.5x

12.3x

Revenue multiple

4.0x

18.5x

7.0x

Discount rate

9.6

%

41.0

%

12.8

%

375,247

Income Approach

Discount rate

6.4

%

13.2

%

9.8

%

11,796

Other

N/A(2)

N/A

N/A

N/A

$

3,015,453

(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, 2023 were as follows:

																					Range
Type			Fair Value as of December 31, 2023						Approach						Unobservable Input						Low						High						Weighted Average(1)
First lien			$	1,559,300					Market & income approach						EBITDA multiple						5.0x						24.0x						15.1x
															Revenue multiple						5.0x						19.5x						10.6x
															Discount rate						8.6		%				22.0		%				10.2		%
			78,589						Other						N/A(2)						N/A						N/A						N/A
Second lien			403,180						Market & income approach						EBITDA multiple						7.0x						20.0x						14.4x
															Discount rate						9.2		%				30.0		%				12.1		%
			3,000						Other						N/A(2)						N/A						N/A						N/A
Subordinated			82,871						Market & income approach						EBITDA multiple						8.0x						22.0x						16.0x
															Discount rate						12.9		%				20.9		%				11.9		%
Equity and other			430,828						Market & income approach						EBITDA multiple						5.5x						34.0x						12.6x
															Revenue multiple						9.0x						11.0x						10.0x
															Discount rate						9.8		%				43.1		%				12.2		%
			370,807						Income approach						Discount rate						6.4		%				12.6		%				10.1		%
			10,274						Other						N/A(2)						N/A						N/A						N/A
			$	2,938,849

(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 March 31, 2024 and December 31, 2023. 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
						March 31, 2024												December 31, 2023
						Principal Amount						Fair Value						Principal Amount						Fair Value
Unsecured Notes						$	690,000					$	670,182					$	506,500					$	490,200
SBA-guaranteed debentures						300,000						260,192						300,000						259,811
Holdings Credit Facility						291,563						292,412						515,063						511,511
Convertible Notes						260,000						264,680						260,000						264,706
DB Credit Facility						182,000						181,327						186,400						184,506
NMFC Credit Facility (1)						47,618						46,793						36,813						36,507
NMNLC Credit Facility II						2,938						2,937						2,853						2,846
Total Borrowings						$	1,774,119					$	1,718,523					$	1,807,629					$	1,750,087

(1)     As of March 31, 2024, the principal amount of the NMFC Credit Facility was $47,618, which includes £22,850 denominated in GBP and €17,400 denominated in EUR that has been converted to U.S. dollars. As of March 31, 2024,

the fair value of the NMFC Credit Facility was $46,793, which included £22,700 denominated in GBP and €16,811 denominated in EUR that has been converted to U.S. dollars. As of December 31, 2023, the principal amount of the NMFC Credit Facility was $36,813, which included £22,850 denominated in GBP and €700 denominated in EUR that has been converted to U.S. dollars. As of December 31, 2023, the fair value of the NMFC Credit Facility was $36,507, which included £22,660 denominated in GBP and €694 denominated in EUR that has been converted to U.S. dollars.

Schedule of Notional Amounts and Fair Values of our Derivative Instruments

The following table summarizes the notional amounts and fair values of the Company's derivative instruments as of March 31, 2024. The Company's derivative instruments are considered Level II investments.

						As of March 31, 2024
						Notional Amount						Fair Value
												Asset						Liability
Derivatives in fair value hedging relationships:
Interest rate swaps						$	300,000					—						$	(424)
Total derivatives designated as hedging instruments						300,000						—						(424)
Total derivatives(1)						$	300,000					—						$	(424)

(1)As of March 31, 2024, the Company had a derivative liability subject to such enforceable master netting arrangement in the amount of $(424) and a collateral balance of $960, included in Receivable from Broker on the Consolidated Statements of Assets and Liabilities. If the Company had elected to offset, the net amount would be $0.

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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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