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Fair Value (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2024:

			Total						Level I						Level II						Level III
First lien			$	2,072,485					$	—					$	53,422					$	2,019,063
Second lien			250,871						—						59,539						191,332
Subordinated			109,811						—						10,425						99,386
Equity and other			832,104						—						—						832,104
Total investments			$	3,265,271					$	—					$	123,386					$	3,141,885

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 September 30, 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 September 30, 2024:

			Total						First Lien						Second Lien						Subordinated						Equity and other
Fair Value, June 30, 2024			$	3,098,192					$	1,973,080					$	216,064					$	96,653					$	812,395
Total gains or losses included in earnings:
Net realized (losses) gains on investments			(1,981)						(1,529)						—						3						(455)
Net change in unrealized (depreciation) appreciation of investments			(4,521)						3,513						(451)						199						(7,782)
Purchases, including capitalized PIK and revolver fundings			170,005						136,054						1,485						2,823						29,643
Proceeds from sales and paydowns of investments			(110,879)						(83,124)						(25,766)						(292)						(1,697)
Transfers out of Level III(1)			(8,931)						(8,931)						—						—						—
Fair Value, September 30, 2024			$	3,141,885					$	2,019,063					$	191,332					$	99,386					$	832,104
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:			$	(6,029)					$	2,007					$	(452)					$	197					$	(7,781)

(1)As of September 30, 2024, 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.

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 the net change in 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 of investments			(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
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:			$	(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 nine months ended September 30, 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 September 30, 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) gains on investments			(44,979)						(13,267)						(35,163)						3						3,448
Net change in unrealized appreciation (depreciation) of investments			31,047						18,233						40,417						(1,240)						(26,363)
Purchases, including capitalized PIK and revolver fundings(1)			797,225						708,021						13,546						18,044						57,614
Proceeds from sales and paydowns of investments(1)			(608,697)						(360,253)						(233,648)						(292)						(14,504)
Transfers into Level III(2)			28,440						28,440						—						—						—
Fair Value, September 30, 2024			$	3,141,885					$	2,019,063					$	191,332					$	99,386					$	832,104
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:			$	(23,625)					$	3,908					$	347					$	(1,242)					$	(26,638)

(1)Includes non-cash reorganizations and restructurings.

(2)As of September 30, 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 nine months ended September 30, 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 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 of investments			(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
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:			$	(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.

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, 2024 were as follows:

																					Range
Type			Fair Value as of September 30, 2024						Approach						Unobservable Input						Low						High						Weighted Average(1)
First lien			$	1,796,760					Market & Income Approach						EBITDA multiple						5.0x						35.0x						15.1x
															Revenue multiple						4.0x						19.5x						8.0x
															Discount rate						6.5		%				21.1		%				9.7		%
			222,303						Other						N/A(2)						N/A						N/A						N/A
Second lien			175,751						Market & Income Approach						EBITDA multiple						8.6x						21.0x						18.2x
															Discount rate						9.5		%				21.0		%				11.4		%
			15,581						Other						N/A(2)						N/A						N/A						N/A
Subordinated			99,386						Market & Income Approach						EBITDA multiple						7.7x						24.5x						16.3x
															Discount rate						12.2		%				23.8		%				16.9		%
Equity and other			424,106						Market & Income Approach						EBITDA multiple						5.0x						32.0x						13.0x
															Revenue multiple						4.5x						19.5x						7.1x
															Discount rate						8.4		%				52.6		%				9.2		%
			397,280						Income Approach						Discount rate						6.3		%				12.5		%				10.0		%
			10,718						Other						N/A(2)						N/A						N/A						N/A
			$	3,141,885

(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 September 30, 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
						September 30, 2024												December 31, 2023
						Principal Amount						Fair Value						Principal Amount						Fair Value
Unsecured Notes						$	990,000					$	988,569					$	506,500					$	490,200
Holdings Credit Facility						407,563						406,072						515,063						511,511
SBA-guaranteed debentures						300,000						270,806						300,000						259,811
Convertible Notes						260,000						263,250						260,000						264,706
NMFC Credit Facility (1)						55,031						54,105						36,813						36,507
NMNLC Credit Facility II						2,908						2,908						2,853						2,846
DB Credit Facility (2)						—						—						186,400						184,506
Total Borrowings						$	2,015,502					$	1,985,710					$	1,807,629					$	1,750,087

(1)     As of September 30, 2024, the principal amount of the NMFC Credit Facility was $55,031, which includes £26,650 denominated in GBP and €17,400 denominated in EUR that has been converted to U.S. dollars. As of September 30, 2024, the fair value of the NMFC Credit Facility was $54,105, which included £26,659 denominated in GBP and

€16,557 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.

(2)     On September 30, 2024, the Company repaid all amounts outstanding under the DB Credit Facility, including outstanding borrowings and accrued interest, and terminated the DB Credit Facility.

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 September 30, 2024. The Company's derivative instruments are considered Level II investments.

						As of September 30, 2024
						Notional Amount						Fair Value
												Asset						Liability
Derivatives in fair value hedging relationships:
Interest rate swaps						$	600,000					$	8,320					$	(781)
Total derivatives designated as hedging instruments						$	600,000					$	8,320					$	(781)
Total derivatives						$	600,000					$	8,320					$	(781)
Total net derivatives(1)						$	600,000					$	7,539

(1)As of September 30, 2024, the Company had net derivative assets at fair value subject to such enforceable master netting arrangement in the amount of $7,539 and a collateral balance of $10,370, included in "Payable to 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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