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FAIR VALUE MEASUREMENTS
9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
ASC 820 establishes a hierarchical disclosure framework which ranks the observability of inputs used in measuring financial instruments at fair value. The observability of inputs is impacted by a number of factors, including the type of financial instruments and their specific characteristics. Financial instruments with readily available quoted prices, or for which fair value can be measured from quoted prices in active markets, generally will have a higher degree of market price observability and a lesser degree of judgment applied in determining fair value.
The three-level hierarchy for fair value measurements is defined as follows:
Level 1—inputs to the valuation methodology are quoted prices available in active markets for identical financial instruments as of the measurement date. The types of financial instruments in this category include unrestricted securities, including equities and derivatives, listed in active markets. The Company will not adjust the quoted price for these instruments, even in situations where the Company holds a large position and a sale could reasonably impact the quoted price.
Level 2—inputs to the valuation methodology are quoted prices in markets that are not active or for which all significant inputs are either directly or indirectly observable as of the measurement date. The types of financial instruments in this category include less liquid and restricted securities listed in active markets, securities traded in markets that are not active, and certain over-the-counter derivatives where the fair value is based on observable inputs.
Level 3—inputs to the valuation methodology are unobservable and significant to the overall fair value measurement, and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant management judgment or estimation. The types of financial instruments in this category include investments in privately held entities, non-investment grade residual interests in securitizations and certain over-the-counter derivatives where the fair value is based on unobservable inputs.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for any given financial instrument is based on the lowest level of input that is significant to the fair value measurement. Assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument.
Pursuant to the framework set forth above, the Company values securities traded in active markets on the measurement date by multiplying the exchange closing price of such traded securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of the investments from pricing services, brokers or dealers’ quotes, or counterparty marks in order to value liquid assets that are not traded in active markets. Pricing services aggregate, evaluate and report pricing from a variety of sources including observed trades of identical or similar securities, broker or dealer quotes, model-based valuations and internal fundamental analysis and research. When doing so, the Company determines whether the quote obtained is sufficient according to U.S. GAAP to determine the fair value of the security. If determined adequate, the Company uses the quote obtained.
Securities that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation or methodology that, in the judgment of the Valuation Designee or the Board of Directors, does not represent fair value, each is valued as of the measurement date using all techniques appropriate under the circumstances and for which sufficient data is available. These valuation techniques may vary by investment but include comparable public market valuations, comparable precedent transaction valuations and discounted cash flow analyses. Non-controlled debt investments are generally fair valued using discounted cash flow technique. Expected cash flows are projected based on contractual terms and discounted back to the measurement date based on a discount rate. Discount rate is determined based upon an assessment of current and expected yields for similar investments and risk profiles. Non-controlled equity investments are generally fair valued using a market approach and/or an income approach. The market approach typically utilizes market value multiples of comparable publicly traded companies. The income approach typically utilizes a discounted cash flow analysis of the portfolio company. The Valuation Designee, under the supervision of the Board of Directors undertakes a multi-step valuation process each quarter, as described below:
1)each portfolio company or investment is initially valued by using a standardized template designed to approximate fair market value based on observable market inputs and updated credit statistics and unobservable inputs;
2)preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of the Investment Adviser’s senior management;
3)the Board of Directors or Valuation Designee engages independent third-party valuation firms to provide positive assurance on a portion of the Company’s illiquid investments each quarter (such that each illiquid investment is reviewed by an independent valuation firm at least once on a rolling twelve-month basis) including review of management’s preliminary valuation and conclusion of fair value;
4)the Audit Committee reviews the assessments of the Valuation Designee and the independent third-party valuation firms and provides the Board of Directors with recommendations with respect to the fair value of each investment in the Company’s portfolio; and
5)the Board of Directors discusses the valuation recommendations of the Audit Committee and determine the fair value of each investment in the Company’s portfolio in good faith based on the input of the Valuation Designee and, where applicable, the third-party valuation firms.
The fair value is generally determined based on the assessment of the following factors, as relevant:
•     the nature and realizable value of any collateral;
•     call features, put features and other relevant terms of debt;
•     the portfolio company’s leverage and ability to make payments;
•     the portfolio company’s public or private letter credit ratings;
•     the portfolio company’s actual and expected earnings and discounted cash flow;
•     prevailing interest rates for like securities and expected volatility in future interest rates;
•     the markets in which the issuer does business and recent economic and/or market events; and
•     comparisons to publicly traded securities.
Investment performance data utilized will be the most recently available as of the measurement date which in many cases may reflect up to a one quarter lag in information.
The Board of Directors is ultimately responsible for the determination, in good faith, of the fair value of the Company’s portfolio investments.
The following tables present the fair value hierarchy of investments:
September 30, 2024
December 31, 2023(2)
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
First Lien Debt$— $27,098 $3,465,204 $3,492,302 $— $24,674 $2,979,870 $3,004,544 
Second Lien Debt— 35,908 48,166 84,074 — 35,567 96,848 132,415 
Other Debt Investments— — 8,809 8,809 — — 2,064 2,064 
Equity— — 39,555 39,555 — — 38,572 38,572 
Subtotal$— $63,006 $3,561,734 $3,624,740 $— $60,241 $3,117,354 $3,177,595 
Investment measured at net asset value(1)
15,584 15,966 
Total Investments$3,640,324 $3,193,561 
Cash equivalents$9,139 $— $— $9,139 $— $— $— $— 
(1) The Company, as a practical expedient, estimates the fair value of its investment in Help HP SCF Investor, LP using the net asset value of the Company’s members’ interest in the entity. As such, the fair value has not been classified within the fair value hierarchy.
(2) The Company reclassified certain investment composition groupings by breaking out Other Securities into Other Debt Investments and Equity. These reclassifications had no impact on the Consolidated Statements of Assets and Liabilities as of December 31, 2023.
The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the three months ended September 30, 2024:
First Lien DebtSecond Lien DebtOther Debt Investments EquityTotal Investments
Fair value, beginning of period$3,319,052 $67,286 $8,467 $41,505 $3,436,310 
Purchases of investments(1)
374,998 — — 1,222 376,220 
Proceeds from principal repayments and sales of investments(1)
(232,124)(19,000)— (1,481)(252,605)
Accretion of discount/amortization of premium4,355 272 — 4,632 
Payment-in-kind1,902 238 222 274 2,636 
Net change in unrealized appreciation (depreciation)(2,760)9,875 115 (1,721)5,509 
Net realized gains (losses)(219)(10,505)— (244)(10,968)
Transfers into/(out) of Level 3(2)
— — — — — 
Fair value, end of period$3,465,204 $48,166 $8,809 $39,555 $3,561,734 
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2024$(2,555)$(399)$115 $(1,003)$(3,842)
The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the nine months ended September 30, 2024:
First Lien DebtSecond Lien DebtOther Debt InvestmentsEquityTotal Investments
Fair value, beginning of period$2,979,870 $96,848 $2,064 $38,572 $3,117,354 
Purchases of investments(1)
1,035,811 836 5,770 3,738 1,046,155 
Proceeds from principal repayments and sales of investments(1)
(569,419)(44,229)— (1,481)(615,129)
Accretion of discount/amortization of premium11,099 698 11 — 11,808 
Payment-in-kind6,479 604 336 1,555 8,974 
Net change in unrealized appreciation (depreciation)8,261 3,914 628 (2,585)10,218 
Net realized gains (losses)(4,969)(10,505)— (244)(15,718)
Transfers into/(out) of Level 3(2)
(1,928)— — — (1,928)
Fair value, end of period$3,465,204 $48,166 $8,809 $39,555 $3,561,734 
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2024$4,396 $(612)$628 $(2,151)$2,261 
(1)     Includes transactions relating to restructurings.
(2)     Transfer of portfolio investments within the three-level hierarchy is recorded during the period of such reclassification occurrence at the fair value as of the beginning of the respective period. Generally, reclassifications are primarily due to increase/decrease of price transparency.
The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the three months ended September 30, 2023:
First Lien DebtSecond Lien DebtOther SecuritiesTotal Investments
Fair value, beginning of period$2,772,653 $113,084 $39,102 $2,924,839 
Purchases of investments153,327 — 1,621 154,948 
Proceeds from principal repayments and sales of investments(41,712)— — (41,712)
Accretion of discount/amortization of premium2,035 68 2,105 
Payment-in-kind774 137 567 1,478 
Net change in unrealized appreciation (depreciation)20,907 394 (1,129)20,172 
Net realized gains (losses)— — 
Transfers into/(out) of Level 3(1)
— (21,675)— (21,675)
Fair value, end of period$2,907,989 $92,008 $40,163 $3,040,160 
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2023$20,893 $394 $(1,129)$20,158 
The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the nine months ended September 30, 2023:
First Lien DebtSecond Lien DebtOther SecuritiesTotal Investments
Fair value, beginning of period$2,668,749 $122,891 $36,395 $2,828,035 
Purchases of investments365,914 86 1,712 367,712 
Proceeds from principal repayments and sales of investments(168,477)— — (168,477)
Accretion of discount/amortization of premium6,985 201 7,192 
Payment-in-kind1,580 397 1,562 3,539 
Net change in unrealized appreciation (depreciation)33,111 816 488 34,415 
Net realized gains (losses)127 — — 127 
Transfers into/(out) of Level 3(1)
— (32,383)— (32,383)
Fair value, end of period$2,907,989 $92,008 $40,163 $3,040,160 
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2023$32,754 $816 $488 $34,058 
(1)     Transfer of portfolio investments within the three-level hierarchy is recorded during the period of such reclassification occurrence at the fair value as of the beginning of the respective period. Generally, reclassifications are primarily due to increase/decrease of price transparency.
The following tables present quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments. The tables are not intended to be all-inclusive but instead captures the significant unobservable inputs relevant to the Company’s determination of fair value.
September 30, 2024
Range(1)
Asset CategoryFair
Value
Valuation Technique (2)
Significant Unobservable
Input
LowHigh
Weighted
Average(3)
Investments in first lien debt$3,465,204 Yield AnalysisDiscount Rate7.68 %27.85 %9.89 %
Investments in second lien debt48,166 Yield AnalysisDiscount Rate9.65 %15.00 %13.22 %
  Unsecured debt8,050 Yield AnalysisDiscount Rate9.90 %14.90 %11.13 %
759 Market ApproachEBITDA Multiple9.00x
  Preferred equity22,164 Income ApproachDiscount Rate9.88 %15.16 %13.31 %
1,166 Market ApproachEBITDA Multiple8.50x
  Common equity13,957 Market ApproachEBITDA Multiple7.00x18.70x13.71x
2,268 Market ApproachRevenue Multiple7.58x9.93x8.47x
Total Investments$3,561,734 
(1) For an asset category that contains a single investment, the range is not included.
(2) During the nine months ended September 30, 2024, one unsecured debt position with a fair value of $1.98 million transitioned from an income approach to a yield analysis valaution technique.
(3) Weighted average for an asset category consisting of multiple investments is calculated by weighting the significant unobservable input by the relative fair value of the investment. Weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.

December 31, 2023
Range
Asset CategoryFair
Value
Valuation TechniqueSignificant Unobservable
Input
LowHigh
Weighted
Average(1)
Investments in first lien debt$2,979,870 Yield AnalysisDiscount Rate8.61 %25.09 %11.00 %
Investments in second lien debt96,848 Yield AnalysisDiscount Rate10.80 %31.13 %14.37 %
Investments in other securities
Unsecured debt1,894 Income ApproachDiscount Rate14.60 %14.60 %14.60 %
170 Market ApproachEBITDA Multiple9.00x9.00x9.00x
Preferred equity18,758 Income ApproachDiscount Rate12.19 %15.68 %13.47 %
1,275 Market ApproachRevenue Multiple7.50x7.50x7.50x
Common equity16,600 Market ApproachEBITDA Multiple8.10x18.70x13.26x
1,939 Market ApproachRevenue Multiple7.60x9.80x8.47x
Total Investments$3,117,354 
(1) Weighted average is calculated by weighting the significant unobservable input by the relative fair value of the investment.

The significant unobservable input used in yield analysis is discount rate based on comparable market yields. Significant increases in discount rates in isolation would result in a significantly lower fair value measurement. The significant unobservable input used in the market approach is the comparable company multiple. The multiple is used to estimate the enterprise value of the underlying investment. An increase/decrease in the multiple would result in an increase/decrease, respectively, in the fair value. The significant unobservable inputs used in the income approach are the comparative yield or discount rate. The comparative yield and discount rate are used to discount the estimated future cash flows expected to be received from the underlying investment. An increase/decrease in the comparative yield or discount rate would result in a decrease/increase, respectively, in the fair value.

Financial instruments disclosed but not carried at fair value
The Company’s debt is presented at carrying value on the Consolidated Statements of Assets and Liabilities. The fair value of the Company’s 2027 Notes (as defined below in Note 6. “Debt”) are based on third party pricing received by the Company. The fair value of the Company’s credit facilities, 2025 Notes and 2029 Notes are estimated in accordance with the Company's valuation policy. The carrying value, fair value and level of the Company’s debt were as follows:
September 30, 2024December 31, 2023
Level Carrying ValueFair ValueCarrying ValueFair Value
BNP Funding Facility3$246,000 $246,000 $282,000 $282,000 
Truist Credit Facility3545,987 545,987 520,263 520,263 
2027 Notes(1)
2421,837 420,563 420,834 407,617 
2025 Notes(1)
3273,845 275,000 272,935 275,000 
2029 Notes(1)
3353,896 361,098 — — 
Total$1,841,565 $1,848,648 $1,496,032 $1,484,880 
(1)As of September 30, 2024, the carrying value of the Company’s 2027 Notes, 2025 Notes and 2029 Notes were presented net of unamortized debt issuance costs of $2,657, $1,155 and $3,608 and unamortized original issuance discount of $506, $0 and $3,594, respectively. As of December 31, 2023, the carrying value of the Company’s 2027 Notes, 2025 Notes and 2029 Notes were presented net of unamortized debt issuance costs of $3,499, $2,065 $0, and unamortized original issuance discount of $667, $0 and $0, respectively.
The carrying amounts of the Company’s assets and liabilities, other than investments at fair value and debt, approximate fair value. These financial instruments are categorized as Level 3 within the hierarchy.