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Fair Value of Investments (Tables)

12 Months Ended

Dec. 31, 2023

Schedule of Fair Value Hierarchy of Investments

The tables below present the fair value hierarchy of investments as of the following periods:


	Fair Value Hierarchy as of December 31, 2023
($ in thousands)	Level 1		Level 2		Level 3		Total
Cash (including restricted and foreign cash)	$	659,658	$	—	$	—	$	659,658
Investments:
First-lien senior secured debt investments(1)	$	—	$	—	$	8,660,754	$	8,660,754
Second-lien senior secured debt investments	—		99,715		1,675,269		1,774,984
Unsecured debt investments	—		11,793		280,958		292,751
Preferred equity investments(4)	—		—		433,297		433,297
Common equity investments(2)	1,093		—		1,207,683		1,208,776
Subtotal	$	1,093	$	111,508	$	12,257,961	$	12,370,562
Investments measured at NAV(3)	—		—		—		342,786
Total Investments at fair value	$	1,093	$	111,508	$	12,257,961	$	12,713,348
Derivatives:
Interest rate swaps	$	—	$	—	$	(45,656)	$	—

_______________

(1)Includes debt investment in Amergin AssetCo.

(2)Includes equity investment in Wingspire, Amergin AssetCo, and Fifth Season.

(3)Includes equity investment in OBDC SLF.

(4)Includes equity investment in LSI Financing.


	Fair Value Hierarchy as of December 31, 2022
($ in thousands)	Level 1		Level 2		Level 3		Total
Cash (including restricted and foreign cash)	$	445,087	$	—	$	—	$	445,087
Investments:
First-lien senior secured debt investments	$	—	$	—	$	9,279,179	$	9,279,179
Second-lien senior secured debt investments	—		43,692		1,817,286		1,860,978
Unsecured debt investments	—		10,579		237,440		248,019
Preferred equity investments(3)	—		—		355,261		355,261
Common equity investments(1)	816		—		977,111		977,927
Subtotal	$	816	$	54,271	$	12,666,277	$	12,721,364
Investments measured at NAV(2)	—		—		—		288,981
Total Investments at fair value	$	816	$	54,271	$	12,666,277	$	13,010,345
Derivatives:
Interest rate swaps	$	—	$	—	$	(69,472)	$	—

_______________

(1)Includes equity investment in Wingspire, Amergin AssetCo and Fifth Season.

(2)Includes equity investment in OBDC SLF.

(3)Includes equity investment in LSI Financing.

Schedule of Changes in the Fair Value of Investments

The tables below present the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the following periods:


	As of and for the Year Ended December 31, 2023
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	9,279,179	$	1,817,286	$	237,440	$	355,261	$	977,111	$	12,666,277
Purchases of investments, net	1,906,568		—		—		40,054		205,436		2,152,058
Payment-in-kind	127,974		17,816		29,044		33,644		718		209,196
Proceeds from investments, net	(2,662,751)		(55,050)		(192)		(6,838)		(39,400)		(2,764,231)
Net change in unrealized gain (loss)	66,742		(16,127)		14,213		9,854		15,999		90,681
Net realized gains (losses)	(52,240)		—		(23)		235		—		(52,028)
Net amortization/accretion of discount/premium on investments	43,588		3,596		476		1,087		—		48,747
Transfers between investment types	(47,819)		—		—		—		47,819		—
Transfers into (out of) Level 3(1)	(487)		(92,252)		—		—		—		(92,739)
Fair value, end of period	$	8,660,754	$	1,675,269	$	280,958	$	433,297	$	1,207,683	$	12,257,961

_______________

(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the year ended December 31, 2023, transfers out of Level 3 into Level 2 were a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Year Ended December 31, 2022
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	9,539,774	$	1,921,447	$	196,485	$	260,869	$	571,616	$	12,490,191
Purchases of investments, net	1,436,533		32,091		89,239		114,012		344,631		2,016,506
Payment-in-kind	98,788		10,874		17,947		18,847		632		147,088
Proceeds from investments, net	(1,731,097)		(30,499)		(31,506)		(33,694)		(50,925)		(1,877,721)
Net change in unrealized gain (loss)	(100,996)		(73,019)		(20,258)		(10,667)		110,838		(94,102)
Net realized gains (losses)	133		—		(3,347)		4,482		319		1,587
Net amortization of discount on investments	36,044		3,655		500		1,412		—		41,611
Transfers into (out of) Level 3(1)	—		(47,263)		(11,620)		—		—		(58,883)
Fair value, end of period	$	9,279,179	$	1,817,286	$	237,440	$	355,261	$	977,111	$	12,666,277

_______________

(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the year ended December 31, 2022, transfers out of Level 3 into Level 2 were a result of changes in the observability of significant inputs for certain portfolio companies.


	As of and for the Year Ended December 31, 2021
($ in thousands)	First-lien senior secured debt investments		Second-lien senior secured debt investments		Unsecured debt investments		Preferred equity investments		Common equity investments		Total
Fair value, beginning of period	$	8,389,486	$	1,949,703	$	59,562	$	22,157	$	230,307	$	10,651,215
Purchases of investments, net	5,342,940		884,294		130,137		223,853		403,627		6,984,851
Payment-in-kind	38,841		—		10,253		10,296		529		59,919
Proceeds from investments, net	(4,351,523)		(933,073)		—		(136)		(148,551)		(5,433,283)
Net change in unrealized gain (loss)	70,658		37,207		(3,802)		4,245		86,063		194,371
Net realized gains (losses)	(19,490)		(29,827)		—		—		(359)		(49,676)
Net amortization of discount on investments	68,015		13,143		335		454		—		81,947
Transfers into (out of) Level 3(1)	847		—		—		—		—		847
Fair value, end of period	$	9,539,774	$	1,921,447	$	196,485	$	260,869	$	571,616	$	12,490,191

_______________

(1)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the year ended December 31, 2021, transfers into Level 3 from Level 2 were a result of changes in the observability of significant inputs for certain portfolio companies.

The table below presents the net change in unrealized gains on investments for which Level 3 inputs were used in determining the fair value that are still held by the Company for the following periods:


	Net change in unrealized gain (loss) for the Year Ended December 31, 2023 on Investments Held at December 31, 2023		Net change in unrealized gain (loss) for the Year Ended December 31, 2022 on Investments Held at December 31, 2022		Net change in unrealized gain (loss) for the Year Ended December 31, 2021 on Investments Held at December 31, 2021
First-lien senior secured debt investments	$	12,696	$	(106,893)	$	59,528
Second-lien senior secured debt investments	(37,381)		(68,165)		11,446
Unsecured debt investments	14,215		(20,259)		(3,802)
Preferred equity investments	9,854		(10,388)		4,245
Common equity investments	16,006		110,841		86,059
Total Investments	$	15,390	$	(94,864)	$	157,476

Schedule of Quantitative Information About Significant Unobservable Inputs of Level 3 Investments

The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 investments as of the following periods. The weighted average range of unobservable inputs is based on fair value of investments. The tables are not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value.

As of December 31, 2023

($ in thousands)

Fair Value

Valuation Technique

Unobservable Input

(Range) Weighted Average

Impact to Valuation from an
Increase in Input

First-lien senior secured debt investments

7,553,464

Yield Analysis

Market Yield

(9.1% - 27.4%) 12.8%

Decrease

1,047,390

Recent Transaction

Transaction Price

(97.0% - 99.8%) 98.6%

Increase

59,900

Collateral Analysis

Recovery Rate

(82.5% - 82.5%) 82.5%

Increase

Second-lien senior secured debt investments

1,666,832

Yield Analysis

Market Yield

(11.4% - 39.5%) 15.8%

Decrease

8,437

Collateral Analysis

Recovery Rate

(13.3% - 13.3%) 13.3%

Increase

Unsecured debt investments

275,158

Yield Analysis

Market Yield

(10.6% - 17.2%) 12.0%

Decrease

5,800

Market Approach

EBITDA Multiple

(11.8x - 11.8x) 11.8x

Increase

Preferred equity investments

396,747

Yield Analysis

Market Yield

(12.6% - 25.8%) 16.4%

Decrease

36,550

Recent Transaction

Transaction Price

(98.0% - 107.5%) 104.4%

Increase

Common equity investments

938,313

Market Approach

EBITDA Multiple

(1.2x - 20.3x) 5.6x

Increase

218,333

Recent Transaction

Transaction Price

(100.0% - 100.0%) 100.0%

Increase

36,138

Market Approach

Revenue

(1.9x - 14.7x) 10.5x

Increase

9,606

Yield Analysis

Market Yield

(7.9% - 7.9%) 7.9%

Decrease

5,149

Market Approach

Transaction Price

($92.00 - $92.00) $92.00

Increase

144

Market Approach

Gross Profit

(9.9x - 9.9x) 9.9x

Increase

As of December 31, 2022

($ in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

Impact to Valuation from an
Increase in Input

First-lien senior secured debt investments

9,148,610

Yield Analysis

Market Yield

(8.2% - 42.0%) 13.1%

Decrease

86,606

Recent Transaction

Transaction Price

(97.5% - 99.0%) 97.8%

Increase

43,963

Collateral Analysis

Recovery Rate

(51.0% - 51.0%) 51.0%

Increase

Second-lien senior secured debt investments

1,806,340

Yield Analysis

Market Yield

(12.6% - 21.0%) 16.0%

Decrease

6,048

Collateral Analysis

Recovery Rate

(9.5% - 9.5%) 9.5%

Increase

4,898

Recent Transaction

Transaction Price

(98.0% - 98.0%) 98.0%

Increase

Unsecured debt investments

232,280

Yield Analysis

Market Yield

(10.4% - 20.2%) 12.4%

Decrease

5,160

Market Approach

EBITDA Multiple

(14.3x - 14.3x) 14.3x

Increase

Preferred equity investments

339,821

Yield Analysis

Market Yield

(11.9% - 17.9%) 14.1%

Decrease

15,395

Recent Transaction

Transaction Price

(96.5% - 100.0%) 97.9%

Increase

Market Approach

EBITDA Multiple

(11.5x - 11.5x) 11.5x

Increase

Common equity investments

848,356

Market Approach

EBITDA Multiple

(1.2x - 23.3x) 5.5x

Increase

25,241

Market Approach

Revenue

(0.8x - 16.6x) 12.2x

Increase

99,210

Recent Transaction

Transaction Price

(100% - 100%) 100%

Increase

4,215

Market Approach

Transaction Price

($75.31 - $75.31) $75.31

Increase

Market Approach

Gross Profit

(8.5x - 8.5x) 8.5x

Increase

Schedule of Carrying Values and Fair Values of the Company’s Debt Obligations

The table below presents the carrying and fair values of the Company’s debt obligations as of the following periods:


	December 31, 2023				December 31, 2022
($ in thousands)	Net Carrying Value(1)		Fair Value		Net Carrying Value(2)		Fair Value
Revolving Credit Facility	$	401,075	$	401,075	$	542,453	$	542,453
SPV Asset Facility II	245,728		245,728		245,368		245,368
SPV Asset Facility III	—		—		249,372		249,372

CLO I	274,213		274,213		387,321		387,321
CLO II	257,467		257,467		257,206		257,206
CLO III	258,324		258,324		258,145		258,145
CLO IV	288,184		288,184		287,777		287,777
CLO V	507,000		507,000		506,792		506,792
CLO VI	258,425		258,425		258,271		258,271
CLO VII	237,288		237,288		237,155		237,155
CLO X	258,126		258,126		—		—
2024 Notes	395,942		399,000		384,851		395,000
2025 Notes	422,880		413,313		421,242		399,500
July 2025 Notes	497,118		478,750		495,347		462,500
2026 Notes	495,320		483,750		493,162		461,250
July 2026 Notes	987,597		930,000		982,993		875,000
2027 Notes	454,017		451,250		438,332		412,500
2028 Notes	838,384		745,875		835,957		673,625
Total Debt	$	7,077,088	$	6,887,768	$	7,281,744	$	6,909,235

_______________

(1)The carrying value of the Company’s Revolving Credit Facility, SPV Asset Facility II, CLO I, CLO II, CLO III, CLO IV, CLO V, CLO VI, CLO VII, CLO X, 2024 Notes, 2025 Notes, July 2025 Notes, 2026 Notes, July 2026 Notes, 2027 Notes and 2028 Notes are presented net of deferred financing costs of $18.0 million, $4.3 million, $2.4 million, $2.5 million, $1.7 million, $4.3 million, $2.6 million, $1.6 million, $1.9 million, $1.9 million, $0.6 million, $2.1 million, $2.9 million, $4.7 million, $12.4 million, $6.0 million and $11.6 million, respectively.

(2)The carrying value of the Company’s Revolving Credit Facility, SPV Asset Facility II, SPV Asset Facility III, CLO I, CLO II, CLO III, CLO IV, CLO V, CLO VI, CLO VII, 2024 Notes, 2025 Notes, July 2025 Notes, 2026 Notes, July 2026 Notes, 2027 Notes and 2028 Notes are presented net of deferred financing costs of $14.7 million, $4.6 million, $0.6 million, $2.7 million, $2.8 million, $1.9 million, $4.7 million, $2.8 million, $1.7 million, $2.0 million, $2.9 million, $3.8 million, $4.7 million, $6.8 million, $17.0 million, $7.9 million and $14.0 million, respectively.

The below table presents the fair value measurements of the Company’s debt obligations as of the following periods:


($ in thousands)	December 31, 2023		December 31, 2022
Level 1	$	—	$	—
Level 2	3,901,938		3,679,375
Level 3	2,985,830		3,229,860
Total Debt	$	6,887,768	$	6,909,235