Fair Value Measurements |
Fair Value Measurements The following table presents the fair value hierarchy of financial instruments: | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | Total | First lien debt | $ | — | | | $ | 157,858 | | | $ | 9,564,203 | | | $ | 9,722,061 | | Second lien debt | — | | | — | | | 41,515 | | | 41,515 | | Unsecured debt | — | | | — | | | 9,924 | | | 9,924 | | Equity investments | — | | | — | | | 94,940 | | | 94,940 | | Total | $ | — | | | $ | 157,858 | | | $ | 9,710,582 | | | $ | 9,868,440 | |
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | Level 1 | | Level 2 | | Level 3 | | Total | First lien debt | $ | — | | | $ | 144,452 | | | $ | 9,275,511 | | | $ | 9,419,963 | | Second lien debt | — | | | — | | | 46,336 | | | 46,336 | | Equity investments | — | | | — | | | 150,949 | | | 150,949 | | Total | $ | — | | | $ | 144,452 | | | $ | 9,472,796 | | | $ | 9,617,248 | |
The following table presents changes in the fair value of financial instruments for which Level 3 inputs were used to determine the fair value: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | For the Year Ended December 31, 2023 | | First Lien Debt | | Second Lien Debt | | Unsecured Debt | | Equity Investments | | Total Investments | Fair value, beginning of period | $ | 9,275,511 | | | $ | 46,336 | | | $ | — | | | $ | 150,949 | | | $ | 9,472,796 | | Purchases of investments | 1,492,985 | | | 1,935 | | | 9,924 | | | 3,915 | | | 1,508,759 | | Proceeds from principal repayments and sales of investments | (1,114,974) | | | (7,351) | | | — | | | (65,465) | | | (1,187,790) | | Accretion of discount/amortization of premium | 50,516 | | | 58 | | | 6 | | | — | | | 50,580 | | Net realized gain (loss) | (15,095) | | | (49) | | | — | | | 13,482 | | | (1,662) | | Net change in unrealized appreciation (depreciation) | (37,739) | | | 586 | | | (6) | | | (7,941) | | | (45,100) | | Transfers into Level 3 (1) | 4,938 | | | — | | | — | | | — | | | 4,938 | | Transfers out of Level 3 (1) | (91,939) | | | — | | | — | | | — | | | (91,939) | | Fair value, end of period | $ | 9,564,203 | | | $ | 41,515 | | | $ | 9,924 | | | $ | 94,940 | | | $ | 9,710,582 | | Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of December 31, 2023 included in change in net unrealized appreciation (depreciation) on the Consolidated Statements of Operations | $ | (38,013) | | | $ | 374 | | | $ | (6) | | | $ | (6,437) | | | $ | (44,082) | |
| | | | | | | | | | | | | | | | | | | | | | | | | For the Year Ended December 31, 2022 | | First Lien Debt | | Second Lien Debt | | Equity Investments | | Total Investments | Fair value, beginning of period | $ | 9,288,184 | | | $ | 42,880 | | | $ | 170,265 | | | $ | 9,501,329 | | Purchases of investments | 934,505 | | | 5,949 | | | 12,400 | | | 952,854 | | Proceeds from principal repayments and sales of investments | (980,395) | | | — | | | (61,967) | | | (1,042,362) | | Accretion of discount/amortization of premium | 45,133 | | | 137 | | | — | | | 45,270 | | Net realized gain (loss) | (2,125) | | | — | | | 41,486 | | | 39,361 | | Net change in unrealized appreciation (depreciation) | (118,465) | | | (2,630) | | | (11,235) | | | (132,330) | | Transfers into Level 3 (1) | 108,674 | | | — | | | — | | | 108,674 | | Transfers out of Level 3 (1) | — | | | — | | | — | | | — | | Fair value, end of period | $ | 9,275,511 | | | $ | 46,336 | | | $ | 150,949 | | | $ | 9,472,796 | | Net change in unrealized appreciation (depreciation) included in earnings related to financial instruments still held as of December 31, 2022 included in net change in unrealized appreciation (depreciation) on the Consolidated Statements of Operations | $ | (119,180) | | | $ | (2,629) | | | $ | 24,528 | | | $ | (97,281) | |
(1)For the years ended December 31, 2023 and 2022, transfers into or out of Level 3 were primarily due to decreased or increased price transparency. The following table presents quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments. The table is not intended to be all-inclusive but instead captures the significant unobservable inputs relevant to the Company’s determination of fair value. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | | | | | | | Range | | | | Fair Value | | Valuation Technique | | Unobservable Input | | Low | | High | | Weighted Average (1) | Investments in first lien debt | $ | 9,533,700 | | | Yield Analysis | | Discount Rate | | 7.68 | % | | 30.89 | % | | 10.31 | % | | 30,503 | | | Asset Recoverability | | Market Multiple | | 10.50x | | 10.50x | | 10.50x | | 9,564,203 | | | | | | | | | | | | Investments in second lien debt | 41,515 | | | Yield Analysis | | Discount Rate | | 10.18 | % | | 14.38 | % | | 12.69 | % | Investments in unsecured debt | 9,924 | | | Yield Analysis | | Discount Rate | | 14.90% | | 14.90% | | 14.90% | Investments in equity | 60,007 | | | Market Approach | | Performance Multiple | | 6.40x | | 30.00x | | 11.47x | | 28,531 | | | Option Pricing Model | | Expected Volatility | | 32.00 | % | | 55.00 | % | | 42.86 | % | | 6,402 | | | Yield Analysis | | Discount Rate | | 10.75 | % | | 17.92 | % | | 14.17 | % | | 94,940 | | | | | | | | | | | | Total | $ | 9,710,582 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | | | | | Range | | | | Fair Value | | Valuation Technique | | Unobservable Input | | Low | | High | | Weighted Average (1) | Investments in first lien debt | $ | 9,037,133 | | | Yield analysis | | Discount rate | | 6.83 | % | | 19.84 | % | | 10.13 | % | | 238,378 | | | Market quotations | | Broker quoted price | | 82.00 | | 96.75 | | 94.19 | | 9,275,511 | | | | | | | | | | | | Investments in second lien debt | 46,336 | | | Yield analysis | | Discount rate | | 10.43 | % | | 14.25 | % | | 12.60 | % | Investments in equity | 105,782 | | | Market approach | | Performance multiple | | 5.50x | | 29.00x | | 13.41x | | 22,481 | | | Option pricing model | | Expected volatility | | 30.00 | % | | 50.00 | % | | 43.46 | % | | 22,686 | | | Yield analysis | | Discount rate | | 11.31 | % | | 13.75 | % | | 12.74 | % | | 150,949 | | | | | | | | | | | | Total | $ | 9,472,796 | | | | | | | | | | | |
(1)Weighted averages are calculated based on fair value of investments. The significant unobservable input used in the yield analysis is the discount rate based on comparable market yields. The significant unobservable input used for market quotations are broker quoted prices provided by independent pricing services. The significant unobservable input used under the market approach is the Performance Multiple. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in quoted prices or Performance Multiples would result in a significantly lower fair value measurement. Financial Instruments Not Carried at Fair Value Debt
The fair value of the Company’s SPV Financing Facilities (as defined in Note 6) and Revolving Credit Facility (as defined in Note 6), as of December 31, 2023 and December 31, 2022, approximates their carrying value as the credit facilities have variable interest based on selected short term rates. These financial instruments would be categorized as Level 3 within the hierarchy.
The following table presents the fair value measurements of the Company's Unsecured Notes (as defined in Note 6) had they been accounted for at fair value. These financial instruments would be categorized as Level 3 as of December 31, 2023 and as Level 2 as of December 31, 2022 within the hierarchy. | | | | | | | | | | | | | December 31, 2023 | | December 31, 2022 | | Fair Value | | Fair Value | 2023 Notes | $ | — | | | $ | 397,481 | | 2026 Notes | 763,085 | | | 740,171 | | New 2026 Notes | 643,814 | | | 619,144 | | 2027 Notes | 583,633 | | | 546,117 | | 2028 Notes | 561,129 | | | 522,809 | | Total | $ | 2,551,661 | | | $ | 2,825,722 | |
Other The carrying amounts of the Company’s other assets and liabilities approximate fair value. These financial instruments are categorized as Level 3 within the hierarchy.
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