Fair Value Measurements (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 presents the fair value hierarchy of investments and cash equivalents:
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September 30, 2024 |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| First lien debt |
$ |
— |
|
|
$ |
1,121,294 |
|
|
$ |
11,308,563 |
|
|
$ |
12,429,857 |
|
| Second lien debt |
— |
|
|
3,891 |
|
|
34,361 |
|
|
38,252 |
|
| Other secured debt |
— |
|
|
— |
|
|
57,803 |
|
|
57,803 |
|
| Unsecured debt |
— |
|
|
13,229 |
|
|
31,832 |
|
|
45,061 |
|
| Structured finance investments |
— |
|
|
60,960 |
|
|
— |
|
|
60,960 |
|
| Equity investments |
— |
|
|
— |
|
|
50,275 |
|
|
50,275 |
|
| Total investments |
— |
|
|
1,199,374 |
|
|
11,482,834 |
|
|
12,682,208 |
|
Investments measured at NAV(1)
|
— |
|
|
— |
|
|
— |
|
|
284,454 |
|
| Total |
$ |
— |
|
|
$ |
1,199,374 |
|
|
$ |
11,482,834 |
|
|
$ |
12,966,662 |
|
| Cash equivalents |
$ |
185,854 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
185,854 |
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December 31, 2023 |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| First lien debt |
$ |
— |
|
|
$ |
1,046,460 |
|
|
$ |
7,956,235 |
|
|
$ |
9,002,695 |
|
| Second lien debt |
— |
|
|
47,646 |
|
|
19,441 |
|
|
67,087 |
|
| Unsecured debt |
— |
|
|
13,165 |
|
|
15,936 |
|
|
29,101 |
|
| Structured finance investments |
— |
|
|
29,868 |
|
|
— |
|
|
29,868 |
|
| Equity investments |
— |
|
|
— |
|
|
36,656 |
|
|
36,656 |
|
| Total investments |
— |
|
|
1,137,139 |
|
|
8,028,268 |
|
|
9,165,407 |
|
Investments measured at NAV(1)
|
— |
|
|
— |
|
|
— |
|
|
124,003 |
|
| Total |
$ |
— |
|
|
$ |
1,137,139 |
|
|
$ |
8,028,268 |
|
|
$ |
9,289,410 |
|
| Cash equivalents |
$ |
131,546 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
131,546 |
|
(1) Includes investment in ULTRA III (refer to Note 11). Certain investments that are measured at fair value using the NAV practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.
|
| Schedule of Changes in Level 3 Portfolio Investments |
The following table presents change in the fair value of investments for which Level 3 inputs were used to determine fair value:
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Three Months Ended September 30, 2024 |
|
First Lien
Debt |
|
Second Lien Debt |
|
Other Secured Debt |
|
Unsecured Debt |
|
Equity Investments |
|
Total Investments |
| Fair value, beginning of period |
$ |
9,543,295 |
|
|
$ |
19,071 |
|
|
$ |
64,304 |
|
|
$ |
30,568 |
|
|
$ |
47,935 |
|
|
$ |
9,705,173 |
|
Purchases of investments(1)
|
2,118,632 |
|
|
24,750 |
|
|
— |
|
|
1,140 |
|
|
2,082 |
|
|
2,146,604 |
|
| Proceeds from principal repayments and sales of investments |
(423,012) |
|
|
(6,676) |
|
|
(6,319) |
|
|
— |
|
|
— |
|
|
(436,007) |
|
| Accretion of discount/amortization of premium |
15,723 |
|
|
35 |
|
|
213 |
|
|
6 |
|
|
— |
|
|
15,977 |
|
| Net realized gain (loss) |
696 |
|
|
222 |
|
|
— |
|
|
— |
|
|
— |
|
|
918 |
|
| Net change in unrealized appreciation (depreciation) |
72,829 |
|
|
(3,041) |
|
|
(395) |
|
|
118 |
|
|
258 |
|
|
69,769 |
|
Transfers into Level 3(2)
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Transfers out of Level 3(2)
|
(19,600) |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(19,600) |
|
| Fair value, end of period |
$ |
11,308,563 |
|
|
$ |
34,361 |
|
|
$ |
57,803 |
|
|
$ |
31,832 |
|
|
$ |
50,275 |
|
|
$ |
11,482,834 |
|
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2024 |
$ |
78,992 |
|
|
$ |
(3,041) |
|
|
$ |
(395) |
|
|
$ |
118 |
|
|
$ |
258 |
|
|
$ |
75,932 |
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Nine Months Ended September 30, 2024 |
|
First Lien
Debt |
|
Second Lien Debt |
|
Other Secured Debt |
|
Unsecured Debt |
|
Equity Investments |
|
Total Investments |
| Fair value, beginning of period |
$ |
7,956,235 |
|
|
$ |
19,441 |
|
|
$ |
— |
|
|
$ |
15,936 |
|
|
$ |
36,656 |
|
|
$ |
8,028,268 |
|
Purchases of investments(1)
|
4,604,971 |
|
|
24,750 |
|
|
63,700 |
|
|
15,731 |
|
|
12,637 |
|
|
4,721,789 |
|
| Proceeds from principal repayments and sales of investments |
(1,390,222) |
|
|
(6,676) |
|
|
(6,319) |
|
|
— |
|
|
(385) |
|
|
(1,403,602) |
|
| Accretion of discount/amortization of premium |
53,794 |
|
|
113 |
|
|
341 |
|
|
12 |
|
|
— |
|
|
54,260 |
|
| Net realized gain (loss) |
(7,791) |
|
|
222 |
|
|
— |
|
|
— |
|
|
60 |
|
|
(7,509) |
|
| Net change in unrealized appreciation (depreciation) |
117,912 |
|
|
(3,489) |
|
|
81 |
|
|
153 |
|
|
1,307 |
|
|
115,964 |
|
Transfers into Level 3(2)
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Transfers out of Level 3(2)
|
(26,336) |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(26,336) |
|
| Fair value, end of period |
$ |
11,308,563 |
|
|
$ |
34,361 |
|
|
$ |
57,803 |
|
|
$ |
31,832 |
|
|
$ |
50,275 |
|
|
$ |
11,482,834 |
|
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2024 |
$ |
126,239 |
|
|
$ |
(3,489) |
|
|
$ |
81 |
|
|
$ |
153 |
|
|
$ |
1,363 |
|
|
$ |
124,347 |
|
(1)Purchases include PIK interest and dividends, if applicable.
(2)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three and nine months ended September 30, 2024, transfers into or out of Level 3 were primarily due to decreased or increased price transparency, respectively.
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Three Months Ended September 30, 2023 |
|
First Lien
Debt |
|
Second Lien Debt |
|
Unsecured Debt |
|
Equity Investments |
|
Total Investments |
| Fair value, beginning of period |
$ |
6,104,163 |
|
|
$ |
20,039 |
|
|
$ |
1,975 |
|
|
$ |
4,729 |
|
|
$ |
6,130,906 |
|
Purchases of investments(1)
|
778,508 |
|
|
— |
|
|
329 |
|
|
8,533 |
|
|
787,370 |
|
| Proceeds from principal repayments and sales of investments |
(96,696) |
|
|
— |
|
|
— |
|
|
(197) |
|
|
(96,893) |
|
| Accretion of discount/amortization of premium |
8,596 |
|
|
37 |
|
|
1 |
|
|
— |
|
|
8,634 |
|
| Net realized gain (loss) |
21 |
|
|
— |
|
|
— |
|
|
29 |
|
|
50 |
|
| Net change in unrealized appreciation (depreciation) |
20,516 |
|
|
306 |
|
|
37 |
|
|
(385) |
|
|
20,474 |
|
Transfers into Level 3(2)
|
2,272 |
|
|
— |
|
|
— |
|
|
— |
|
|
2,272 |
|
Transfers out of Level 3(2)
|
(136,235) |
|
|
— |
|
|
— |
|
|
— |
|
|
(136,235) |
|
| Fair value, end of period |
$ |
6,681,145 |
|
|
$ |
20,382 |
|
|
$ |
2,342 |
|
|
$ |
12,709 |
|
|
$ |
6,716,578 |
|
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2023 |
$ |
18,897 |
|
|
$ |
306 |
|
|
$ |
37 |
|
|
$ |
(385) |
|
|
$ |
18,855 |
|
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|
|
|
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|
Nine Months Ended September 30, 2023 |
|
First Lien
Debt |
|
Second Lien Debt |
|
Unsecured Debt |
|
Equity Investments |
|
Total Investments |
| Fair value, beginning of period |
$ |
4,882,393 |
|
|
$ |
8,794 |
|
|
$ |
1,606 |
|
|
$ |
2,306 |
|
|
$ |
4,895,099 |
|
Purchases of investments(1)
|
2,071,394 |
|
|
1,879 |
|
|
772 |
|
|
11,446 |
|
|
2,085,491 |
|
| Proceeds from principal repayments and sales of investments |
(266,254) |
|
|
— |
|
|
— |
|
|
(374) |
|
|
(266,628) |
|
| Accretion of discount/amortization of premium |
24,198 |
|
|
95 |
|
|
(9) |
|
|
— |
|
|
24,284 |
|
| Net realized gain (loss) |
981 |
|
|
— |
|
|
— |
|
|
(373) |
|
|
608 |
|
| Net change in unrealized appreciation (depreciation) |
107,110 |
|
|
151 |
|
|
(27) |
|
|
(296) |
|
|
106,938 |
|
Transfers into Level 3(2)
|
2,272 |
|
|
9,463 |
|
|
— |
|
|
— |
|
|
11,735 |
|
Transfers out of Level 3(2)
|
(140,949) |
|
|
— |
|
|
— |
|
|
— |
|
|
(140,949) |
|
| Fair value, end of period |
$ |
6,681,145 |
|
|
$ |
20,382 |
|
|
$ |
2,342 |
|
|
$ |
12,709 |
|
|
$ |
6,716,578 |
|
Net change in unrealized appreciation (depreciation) related to financial instruments still held as of September 30, 2023 |
$ |
98,971 |
|
|
$ |
151 |
|
|
$ |
(30) |
|
|
$ |
(296) |
|
|
$ |
98,796 |
|
(1)Purchases include PIK interest, if applicable.
(2)Transfers between levels, if any, are recognized at the beginning of the period in which the transfers occur. For the three and nine months ended September 30, 2023, transfers into or out of Level 3 were primarily due to decreased or increased price transparency, respectively.
|
| Schedule of Fair Value Measurement Inputs and Valuation Techniques |
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.
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September 30, 2024 |
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Range |
|
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|
Fair Value(1)
|
|
Valuation
Technique |
|
Unobservable
Input |
|
Low |
|
High |
|
Weighted
Average(2)
|
| Investments in first lien debt |
$ |
7,363,390 |
|
|
Yield analysis |
|
Discount rate |
|
7.88 |
% |
|
32.39 |
% |
|
11.10 |
% |
|
41,494 |
|
|
Recovery analysis |
|
Recovery rate |
|
33.44 |
% |
|
79.08 |
% |
|
73.06 |
% |
|
1,182 |
|
|
Enterprise Value |
|
EBITDA Multiple |
|
2.9x |
|
2.9x |
|
2.9x |
| Investments in second lien debt |
1,932 |
|
|
Yield analysis |
|
Discount rate |
|
12.59 |
% |
|
12.59 |
% |
|
12.59 |
% |
|
4,500 |
|
|
Recovery analysis |
|
Recovery rate |
|
50.00 |
% |
|
50.00 |
% |
|
50.00 |
% |
| Investments in unsecured debt |
31,833 |
|
|
Yield analysis |
|
Discount rate |
|
12.97 |
% |
|
16.68 |
% |
|
14.61 |
% |
| Investments in preferred equity |
36,197 |
|
|
Yield analysis |
|
Discount rate |
|
10.72 |
% |
|
15.00 |
% |
|
14.36 |
% |
| Investments in common equity |
13,038 |
|
|
Discounted cash flow |
|
Discount rate |
|
9.00 |
% |
|
15.00 |
% |
|
11.45 |
% |
|
|
|
|
|
Exit multiple |
|
10.00x |
|
10.00x |
|
10.00x |
|
|
|
|
|
Terminal Growth Rate |
|
2.50 |
% |
|
2.50 |
% |
|
2.50 |
% |
|
|
|
|
|
Cap Rate |
|
8.00 |
% |
|
8.00 |
% |
|
8.00 |
% |
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
December 31, 2023 |
|
|
|
|
|
|
|
Range |
|
|
|
Fair Value(1)
|
|
Valuation
Technique |
|
Unobservable
Input |
|
Low |
|
High |
|
Weighted
Average(2)
|
| Investments in first lien debt |
$ |
6,422,647 |
|
|
Yield analysis |
|
Discount rate |
|
8.09 |
% |
|
35.64 |
% |
|
12.03 |
% |
|
21,039 |
|
|
Recovery analysis |
|
Recovery rate |
|
73.21 |
% |
|
73.21 |
% |
|
73.21 |
% |
| Investments in second lien debt |
19,441 |
|
|
Yield analysis |
|
Discount rate |
|
12.96 |
% |
|
17.24 |
% |
|
15.39 |
% |
| Investments in unsecured debt |
1,295 |
|
|
Yield analysis |
|
Discount rate |
|
16.00 |
% |
|
16.00 |
% |
|
16.00 |
% |
| Investments in preferred equity |
1,510 |
|
|
Yield analysis |
|
Discount rate |
|
14.50 |
% |
|
16.31 |
% |
|
14.94 |
% |
| Investments in common equity |
2,532 |
|
|
Discounted cash flow |
|
Discount rate |
|
9.00 |
% |
|
15.00 |
% |
|
9.47 |
% |
|
|
|
|
|
Exit multiple |
|
10.00x |
|
10.00x |
|
10.00x |
|
|
|
|
|
Terminal Growth Rate |
|
3.00 |
% |
|
3.00 |
% |
|
3.00 |
% |
(1)As of September 30, 2024, included within the fair value of Level 3 assets of $11,482,834 is an amount of $3,989,268 for which the Adviser did not develop the unobservable inputs (examples include third-party pricing and transaction prices). As of December 31, 2023, included within the fair value of Level 3 assets of $8,028,268 is an amount of $1,559,804 for which the Adviser did not develop the unobservable inputs (examples include third-party pricing and transaction prices).
(2)Weighted averages are calculated based on fair value of investments.
|
| Schedule of Carrying Values and Estimated Fair Values of Debt Instruments |
The following table presents fair value measurements of the Company’s debt obligations as of September 30, 2024 and December 31, 2023, had they been accounted for at fair value:
Debt
|
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|
|
|
|
|
|
|
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|
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|
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|
September 30, 2024 |
|
December 31, 2023 |
|
|
Carrying
Value |
|
Fair Value |
|
Carrying
Value |
|
Fair Value |
| HLEND A Funding Facility |
|
$ |
608,781 |
|
|
$ |
608,781 |
|
|
$ |
615,838 |
|
|
$ |
615,838 |
|
| HLEND B Funding Facility |
|
763,388 |
|
|
763,388 |
|
|
513,747 |
|
|
513,747 |
|
| HLEND C Funding Facility |
|
487,500 |
|
|
487,500 |
|
|
487,500 |
|
|
487,500 |
|
| HLEND D Funding Facility |
|
275,000 |
|
|
275,000 |
|
|
195,000 |
|
|
195,000 |
|
| HLEND E Funding Facility |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
| Revolving Credit Facility |
|
675,773 |
|
|
675,773 |
|
|
1,025,294 |
|
|
1,025,294 |
|
November 2025 Notes(1)
|
|
169,255 |
|
|
174,213 |
|
|
168,749 |
|
|
170,580 |
|
November 2027 Notes(1)
|
|
154,838 |
|
|
165,364 |
|
|
154,366 |
|
|
155,934 |
|
March 2026 Notes(1)
|
|
277,137 |
|
|
283,873 |
|
|
274,716 |
|
|
275,727 |
|
March 2028 Notes(1)
|
|
125,205 |
|
|
132,105 |
|
|
123,588 |
|
|
123,672 |
|
September 2027 Notes(1)
|
|
76,275 |
|
|
80,259 |
|
|
75,545 |
|
|
76,389 |
|
September 2028 Notes(1)
|
|
255,529 |
|
|
273,927 |
|
|
252,814 |
|
|
255,315 |
|
January 2029 Notes(1)
|
|
548,498 |
|
|
569,641 |
|
|
— |
|
|
— |
|
September 2029 Notes(1)
|
|
404,602 |
|
|
407,336 |
|
|
— |
|
|
— |
|
2023 CLO Secured Notes(2)
|
|
319,949 |
|
|
319,949 |
|
|
319,743 |
|
|
319,743 |
|
2024 CLO Secured Notes(2)
|
|
374,921 |
|
|
374,921 |
|
|
— |
|
|
— |
|
| Total |
|
$ |
5,516,651 |
|
|
$ |
5,592,030 |
|
|
$ |
4,206,900 |
|
|
$ |
4,214,739 |
|
(1)The carrying value of the Company's November 2025 Notes, November 2027 Notes, March 2026 Notes, March 2028 Notes, September 2027 Notes, September 2028 Notes, January 2029 Notes and September 2029 Notes are presented net of unamortized debt issuance costs and original issue discount of $(0.7) million, $(1.1) million, $(1.2) million, $(0.8) million, $(0.6) million,$(2.1) million, $(10.9) million and $(9.1) million respectively, as of September 30, 2024 and includes the increase (decrease) in the notes carrying value of $(0.0) million, $0.9 million, $2.4 million, $2.0 million, $1.9 million, $7.6 million, $9.4 million and $13.7 million, respectively, as a result of the qualifying fair value hedge relationship as described in Note 6. The carrying value of the Company's November 2025 Notes, November 2027 Notes, March 2026 Notes, March 2028 Notes, September 2027 Notes and September 2028 Notes are presented net of unamortized debt issuance costs of $(1.2) million, $(1.4) million, $(1.8) million, $(0.9) million, $(0.7) million and $(2.5) million, respectively, as of December 31, 2023 and includes the increase (decrease) in the notes carrying value of $(0.0) million, $0.7 million, $0.6 million, $0.5 million, $1.3 million and $5.3 million, respectively, as a result of the qualifying fair value hedge relationship as described in Note 6.
(2)The carrying value of the Company’s 2023 CLO Secured Notes and 2024 CLO Secured Notes are presented net of unamortized debt issuance costs and original issue discount, as applicable, of $(3.1) million and $(25.1) million, respectively, as of September 30, 2024. The carrying value of the Company’s 2023 CLO Secured Notes are presented net of unamortized debt issuance costs of $(3.3) million as of December 31, 2023.
|
| Schedule of Fair Value Measurements of Debt Obligations |
The following table presents the fair value hierarchy of the Company’s debt obligations as of September 30, 2024 and December 31, 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2024 |
|
December 31, 2023 |
| Level 1 |
$ |
— |
|
|
$ |
— |
|
| Level 2 |
976,977 |
|
|
— |
|
| Level 3 |
4,615,053 |
|
|
4,214,739 |
|
| Total |
$ |
5,592,030 |
|
|
$ |
4,214,739 |
|
|