Schedule of Fair Value Measurements of Investments and Foreign Currency Forward Contracts, by Major Class According to the Fair Value Hierarchy |
The following tables present fair value measurements of investments and foreign currency forward contracts, by major class according to the fair value hierarchy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Measurements | June 30, 2024 | | Level 1 | | Level 2 | | Level 3 | | Total | Senior secured loans | | $ | — | | | $ | — | | | $ | 2,906,171 | | | $ | 2,906,171 | | Unitranche secured loans | | — | | | — | | | 168,253 | | | 168,253 | | Junior secured loans | | — | | | — | | | 154,998 | | | 154,998 | | Equity securities | | 166 | | | — | | | 157,553 | | | 157,719 | | Total investments | | $ | 166 | | | $ | — | | | $ | 3,386,975 | | | $ | 3,387,141 | | Foreign currency forward contracts asset (liability) | | $ | — | | | $ | (1,406) | | | $ | — | | | $ | (1,406) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Measurements | December 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | Total | Senior secured loans | | $ | — | | | $ | — | | | $ | 2,171,243 | | | $ | 2,171,243 | | Unitranche secured loans | | — | | | — | | | 184,853 | | | 184,853 | | Junior secured loans | | — | | | — | | | 87,986 | | | 87,986 | | Equity securities | | 23 | | | — | | | 84,062 | | | 84,085 | | Total investments | | $ | 23 | | | $ | — | | | $ | 2,528,144 | | | $ | 2,528,167 | | Foreign currency forward contracts asset (liability) | | $ | — | | | $ | (3,087) | | | $ | — | | | $ | (3,087) | |
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Schedule of Reconciliation of the Beginning and Ending Balances for Investments at Fair Value that Use Level 3 Inputs |
The following tables provide a reconciliation of the beginning and ending balances for investments at fair value that use Level 3 inputs for the three and six months ended June 30, 2024: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments | | Senior secured loans | | Unitranche secured loans | | Junior secured loans | | Equity securities | | Total investments | Balance as of March 31, 2024 | $ | 2,432,957 | | | $ | 174,337 | | | $ | 102,443 | | | $ | 104,299 | | | $ | 2,814,036 | | Net realized gain (loss) on investments | 221 | | | — | | | — | | | (1) | | | 220 | | Net change in unrealized gain (loss) on investments | 3,530 | | | (653) | | | (6,757) | | | 1,500 | | | (2,380) | | Purchases of investments and other adjustments to cost (1) | 607,868 | | | 1,235 | | | 47,108 | | | 48,737 | | | 704,948 | | Proceeds from principal payments and sales of investments (2) | (123,094) | | | (6,666) | | | (73) | | | (16) | | | (129,849) | | Reclassifications (3) | (15,311) | | | — | | | 12,277 | | | 3,034 | | | — | | Balance as of June 30, 2024 | $ | 2,906,171 | | | $ | 168,253 | | | $ | 154,998 | | | $ | 157,553 | | | $ | 3,386,975 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments | | Senior secured loans | | Unitranche secured loans | | Junior secured loans | | Equity securities | | Total investments | Balance as of December 31, 2023 | $ | 2,171,243 | | | $ | 184,853 | | | $ | 87,986 | | | $ | 84,062 | | | $ | 2,528,144 | | Net realized gain (loss) on investments | 221 | | | — | | | — | | | 3 | | | 224 | | Net change in unrealized gain (loss) on investments | 10,815 | | | 74 | | | (3,423) | | | (2,254) | | | 5,212 | | Purchases of investments and other adjustments to cost (1) | 948,674 | | | 3,673 | | | 62,167 | | | 59,224 | | | 1,073,738 | | Proceeds from principal payments and sales of investments (2) | (198,881) | | | (20,347) | | | (347) | | | (635) | | | (220,210) | | Reclassifications (3) | (25,901) | | | — | | | 8,615 | | | 17,286 | | | — | | Transfers in (out) of Level 3 (4) | — | | | — | | | — | | | (133) | | | (133) | | Balance as of June 30, 2024 | $ | 2,906,171 | | | $ | 168,253 | | | $ | 154,998 | | | $ | 157,553 | | | $ | 3,386,975 | |
_________________________________________ (1)Includes purchases of new investments, effects of refinancing and restructurings, premium and discount accretion and amortization and PIK interest. (2)Represents net proceeds from investments sold and principal paydowns received. (3)Represents non-cash reclassification of investment type due to a restructuring. (4)Represents non-cash transfers between fair value categories. The following tables provide a reconciliation of the beginning and ending balances for investments at fair value that use Level 3 inputs for the three and six months ended June 30, 2023: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments | | Senior secured loans | | Unitranche secured loans | | Junior secured loans | | Equity securities | | Total investments | Balance as of March 31, 2023 | $ | 1,320,148 | | | $ | 128,380 | | | $ | 44,633 | | | $ | 50,697 | | | $ | 1,543,858 | | Net realized gain (loss) on investments | (1,604) | | | — | | | — | | | — | | | (1,604) | | Net change in unrealized gain (loss) on investments | 527 | | | 311 | | | (1,088) | | | (2,539) | | | (2,789) | | Purchases of investments and other adjustments to cost (1) | 254,104 | | | 993 | | | 1,931 | | | 13,667 | | | 270,695 | | Proceeds from principal payments and sales of investments (2) | (41,663) | | | (285) | | | (3,362) | | | (108) | | | (45,418) | | Reclassifications (3) | (2,076) | | | — | | | 2,076 | | | — | | | — | | | | | | | | | | | | Balance as of June 30, 2023 | $ | 1,529,436 | | | $ | 129,399 | | | $ | 44,190 | | | $ | 61,717 | | | $ | 1,764,742 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments | | Senior secured loans | | Unitranche secured loans | | Junior secured loans | | Equity securities | | Total investments | Balance as of December 31, 2022 | $ | 1,250,788 | | | $ | 127,378 | | | $ | 44,469 | | | $ | 46,327 | | | $ | 1,468,962 | | Net realized gain (loss) on investments | (1,609) | | | — | | | — | | | 949 | | | (660) | | Net change in unrealized gain (loss) on investments | 4,265 | | | 576 | | | (1,004) | | | (2,038) | | | 1,799 | | Purchases of investments and other adjustments to cost (1) | 351,354 | | | 1,883 | | | 4,050 | | | 17,549 | | | 374,836 | | Proceeds from principal payments and sales of investments (2) | (73,286) | | | (438) | | | (5,401) | | | (1,070) | | | (80,195) | | Reclassifications (3) | (2,076) | | | — | | | 2,076 | | | — | | | — | | | | | | | | | | | | Balance as of June 30, 2023 | $ | 1,529,436 | | | $ | 129,399 | | | $ | 44,190 | | | $ | 61,717 | | | $ | 1,764,742 | |
_________________________________________ (1)Includes purchases of new investments, effects of refinancing and restructurings, premium and discount accretion and amortization and PIK interest. (2)Represents net proceeds from investments sold and principal paydowns received. (3)Represents non-cash reclassification of investment type due to a restructuring.
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Schedule of Valuation Techniques and Significant Unobservable Inputs Used in Recurring Level 3 Fair Value Measurements of Assets |
The following tables present quantitative information about the valuation techniques and significant unobservable inputs of the Company's Level 3 investments as of June 30, 2024 and December 31, 2023: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Unobservable Input | | Weighted Average Mean (1) | | Range | | | | | | Minimum | | Maximum | Assets: | | | | | | | | | | | | Senior secured loans | $ | 1,933,882 | | | Discounted cash flow | | EBITDA multiples | | 11.3x | | 3.8x | | 24.4x | | | | | | Market yields | | 11.3 | % | | 8.7 | % | | 21.0 | % | Senior secured loans | 711,503 | | | Discounted cash flow | | Revenue multiples | | 7.3x | | 0.8x | | 18.3x | | | | | | Market yields | | 11.5 | % | | 9.3 | % | | 24.5 | % | Senior secured loans | 11,214 | | | Enterprise value | | Revenue multiples | | 0.5x | | 0.4x | | 1.6x | Senior secured loans | 9,221 | | | Liquidation | | Probability weighting of alternative outcomes | | 91.1 | % | | 91.1 | % | | 91.1 | % | Unitranche secured loans | 134,246 | | | Discounted cash flow | | EBITDA multiples | | 10.4x | | 7.3x | | 14.5x | | | | | | Market yields | | 13.5 | % | | 8.6 | % | | 22.2 | % | Unitranche secured loans | 34,007 | | | Discounted cash flow | | Revenue multiples | | 9.2x | | 6.0x | | 12.5x | | | | | | Market yields | | 13.2 | % | | 12.3 | % | | 14.1 | % | Junior secured loans | 116,680 | | | Discounted cash flow | | Market yields | | 14.1 | % | | 11.8 | % | | 17.3 | % | Junior secured loans | 3,153 | | | Enterprise value | | Revenue multiples | | 0.7x | | 0.3x | | 1.6x | Junior secured loans | 751 | | | Discounted cash flow | | Revenue multiples | | 1.0x | | 1.0x | | 1.0x | | | | | | Market yields | | 22.0 | % | | 22.0 | % | | 22.0 | % | Equity securities | 99,521 | | | Enterprise value | | EBITDA multiples | | 11.3x | | 3.8x | | 21.5x | Equity securities | 52,082 | | | Enterprise value | | Revenue multiples | | 3.6x | | 0.4x | | 11.8x | Equity securities | 3,452 | | | Option pricing model | | Volatility | | 47.0 | % | | 25.0 | % | | 72.5 | % | Total Level 3 Assets | $ | 3,109,712 | | (2) | | | | | | | | | |
_________________________________________ (1)The weighted average mean and weighted average range of unobservable inputs is based on the fair value of investments. (2)Excludes investments of $277,263 at fair value where valuation (unadjusted) is obtained from a third-party pricing service or broker quote for which such disclosure is not required. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Unobservable Input | | Weighted Average Mean (1) | | Range (Weighted Average) | | | | | | Minimum | | Maximum | Assets: | | | | | | | | | | | | Senior secured loans | $ | 1,351,324 | | | Discounted cash flow | | EBITDA multiples | | 11.1x | | 5.0x | | 22.2x | | | | | | Market yields | | 11.4 | % | | 8.7 | % | | 24.0 | % | Senior secured loans | 559,534 | | | Discounted cash flow | | Revenue multiples | | 7.2x | | 0.7x | | 19.5x | | | | | | Market yields | | 11.6 | % | | 9.0 | % | | 16.6 | % | Senior secured loans | 10,310 | | | Enterprise value | | EBITDA multiples | | 7.4x | | 5.3x | | 8.3x | Senior secured loans | 9,618 | | | Liquidation | | Probability weighting of alternative outcomes | | 95.0 | % | | 95.0 | % | | 95.0 | % | Senior secured loans | 6,473 | | | Enterprise value | | Revenue multiples | | 0.6x | | 0.5x | | 1.6x | Unitranche secured loans | 151,703 | | | Discounted cash flow | | EBITDA multiples | | 10.5x | | 7.3x | | 14.8x | | | | | | Market yields | | 15.0 | % | | 8.6 | % | | 24.6 | % | Unitranche secured loans | 33,150 | | | Discounted cash flow | | Revenue multiples | | 9.4x | | 6.0x | | 12.8x | | | | | | Market yields | | 12.3 | % | | 11.9 | % | | 12.7 | % | Junior secured loans | 70,881 | | | Discounted cash flow | | EBITDA multiples | | 13.5x | | 13.5x | | 13.5x | | | | | | Market yields | | 12.6 | % | | 11.6 | % | | 18.4 | % | Junior secured loans | 6,241 | | | Enterprise value | | Revenue multiples | | 1.6x | | 1.6x | | 1.6x | Junior secured loans | 348 | | | Discounted cash flow | | Revenue multiples | | 0.9x | | 0.9x | | 0.9x | | | | | | Market yields | | 16.2 | % | | 16.2 | % | | 16.2 | % | Equity securities | 52,062 | | | Enterprise value | | EBITDA multiples | | 10.7x | | 6.3x | | 20.5x | Equity securities | 29,920 | | | Enterprise value | | Revenue multiples | | 3.6x | | 0.5x | | 11.8x | Equity securities | 1,487 | | | Option pricing model | | Volatility | | 59.6 | % | | 35.0 | % | | 74.0 | % | Total Level 3 Assets | $ | 2,283,051 | | (2) | | | | | | | | | |
_________________________________________ (1)The weighted average mean and weighted average range of unobservable inputs is based on the fair value of investments. (2)Excludes investments of $245,093 at fair value where valuation (unadjusted) is obtained from a third-party pricing service or broker quote for which such disclosure is not required.
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