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Fair value of Financial Instruments (Tables)
12 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Summary of Unobservable Inputs and Ranges

Our Level 3 valuation techniques, unobservable inputs and ranges were categorized as follows for ASC 820 purposes ($ in thousands):

Asset Category

 

Fair value at September 30, 2024

 

 

Valuation Technique

 

Unobservable Input

 

Range of Input
(Weighted Average)
(1)

First lien

 

$

132,197

 

 

Market Comparable

 

Broker/Dealer bids or quotes

 

N/A

First lien

 

 

1,589,437

 

 

Market Comparable

 

Market yield

 

7.9% - 21.1% (9.1%)

First lien

 

 

25,063

 

 

Enterprise Market Value

 

EBITDA multiple

 

0.8x - 9.8x (3.4x)

Subordinated debt

 

 

2,688

 

 

Market Comparable

 

Market yield

 

11.8% - 16.5% (14.0%)

Subordinated debt

 

 

4

 

 

Enterprise Market Value

 

EBITDA multiple

 

5x

Equity

 

 

168,450

 

 

Enterprise Market Value

 

EBITDA multiple

 

0.4x - 18.8x (11.0x)

Total Level 3 investments

 

$

1,917,839

 

 

 

 

 

 

 

Long-Term Credit Facility

 

$

443,880

 

 

Market Comparable

 

Market Yield

 

5.4%

 

 

Asset Category

 

Fair value at September 30, 2023

 

 

Valuation Technique

 

Unobservable Input

 

Range of Input
(Weighted Average)
(1)

First lien

 

$

25,521

 

 

Market Comparable

 

Broker/Dealer bids
or quotes

 

N/A

First lien

 

 

875,133

 

 

Market Comparable

 

Market Yield

 

10.0% - 25.0% (12.6%)

First lien

 

 

5,512

 

 

Enterprise Market Value

 

EBITDA multiple

 

2.8x - 7.5x (7.4x)

Second lien

 

 

149

 

 

Market Comparable

 

Market Yield

 

14.8%

Second lien

 

 

 

 

Enterprise Market Value

 

EBITDA multiple

 

6.0x

Equity

 

 

100,489

 

 

Enterprise Market Value

 

EBITDA multiple

 

3.4x - 17.7x (12.1x)

Equity

 

 

144

 

 

Enterprise Market Value

 

DLOM

 

27.9%

Total Level 3 investments

 

$

1,006,948

 

 

 

 

 

 

 

Long-Term Credit Facility and 2023 Notes

 

$

85,619

 

 

Market Comparable

 

Market Yield

 

2.3%

 

The weighted averages disclosed in the table above were weighted by their relative fair value.
Summary of Investments, Cash and Cash Equivalents, Credit Facility, or Prior Credit Facility, Notes and Asset Backed Debt

Our investments, cash and cash equivalents, Credit Facility, as applicable, 2023 Notes, 2026 Notes, 2031 Asset-Backed Debt, 2036-R Asset-Backed Debt, and 2036 Asset-Backed Debt were categorized as follows in the fair value hierarchy for ASC 820 purposes ($ in thousands):

 

 

Fair Value at September 30, 2024

 

Description

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Measured at Net
Asset Value
(1)

 

First lien

 

$

1,746,697

 

 

$

 

 

$

 

 

$

1,746,697

 

 

$

 

Second lien

 

 

2,692

 

 

 

 

 

 

 

 

 

2,692

 

 

 

 

Equity

 

 

234,115

 

 

 

 

 

 

 

 

 

168,450

 

 

 

65,665

 

Total investments

 

 

1,983,504

 

 

 

 

 

 

 

 

 

1,917,839

 

 

 

65,665

 

Cash and cash equivalents

 

 

112,050

 

 

 

112,050

 

 

 

 

 

 

 

 

 

 

Total investments and cash and cash equivalents

 

$

2,095,554

 

 

$

112,050

 

 

$

 

 

$

1,917,839

 

 

$

65,665

 

Credit Facility payable

 

$

443,880

 

 

$

 

 

$

 

 

$

443,880

 

 

$

 

2026 Notes payable (2)

 

 

183,832

 

 

 

 

 

 

183,832

 

 

 

 

 

 

 

2036 Asset-Backed Debt(2)

 

 

284,086

 

 

 

 

 

 

 

 

 

284,086

 

 

 

 

2036-R Asset-Backed Debt(2)

 

 

265,235

 

 

 

 

 

 

 

 

 

265,235

 

 

 

 

Total debt

 

$

1,177,033

 

 

$

 

 

$

183,832

 

 

$

993,201

 

 

$

 

 

(1)
In accordance with ASC Subtopic 820-10, Fair Value Measurements and Disclosures, or ASC 820-10, our equity investment in PSSL and PTSF are measured using the net asset value per share (or its equivalent) as a practical expedient for fair value in accordance with the specialized accounting guidance for investment companies, and thus have not been classified in the fair value hierarchy.
(2)
We elected not to apply the fair value option allowed by ASC 825-10 to the 2026 Notes, the 2036 Asset-Backed Debt, and the 2036-R Asset-Backed Debt and thus the balance reported in the Consolidated Statement of Assets and Liabilities represents the carrying value, which approximates the fair value.

 

 

 

Fair Value at September 30, 2023

 

Description

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Measured at Net
Asset Value
(1)

 

First lien

 

$

906,166

 

 

$

 

 

$

 

 

$

906,166

 

 

$

 

Second lien

 

 

149

 

 

 

 

 

 

 

 

 

149

 

 

 

 

Equity

 

 

160,859

 

 

 

 

 

 

 

 

 

100,633

 

 

 

60,226

 

Total investments

 

 

1,067,174

 

 

 

 

 

 

 

 

 

1,006,948

 

 

 

60,226

 

Cash and cash equivalents

 

 

100,555

 

 

 

100,555

 

 

 

 

 

 

 

 

 

 

Total investments and cash and cash equivalents

 

$

1,167,729

 

 

$

100,555

 

 

$

 

 

$

1,006,948

 

 

$

60,226

 

Credit Facility payable

 

$

9,400

 

 

$

 

 

$

 

 

$

9,400

 

 

$

 

2023 Notes payable

 

 

76,219

 

 

 

 

 

 

 

 

 

76,219

 

 

 

 

2026 Notes payable (2)

 

 

183,054

 

 

 

 

 

 

183,054

 

 

 

 

 

 

 

2031 Asset-Backed Debt(2)

 

 

226,759

 

 

 

 

 

 

 

 

 

226,759

 

 

 

 

Total debt

 

$

495,432

 

 

$

 

 

$

183,054

 

 

$

312,378

 

 

$

 

 

(1)
In accordance with ASC Subtopic 820-10, Fair Value Measurements and Disclosures, or ASC 820-10, our equity investment in PSSL and PTSF is measured using the net asset value per share (or its equivalent) as a practical expedient for fair value in accordance with the specialized accounting guidance for investment companies, and thus has not been classified in the fair value hierarchy.
We elected not to apply the fair value option allowed by ASC 825-10 to the 2026 Notes and the 2031 Asset-Backed Debt and thus the balance reported in the Consolidated Statement of Assets and Liabilities represents the carrying value, which approximates the fair value.
Reconciliation of Investments Measured at Fair Value Using Significant Unobservable Inputs Level 3

The tables below show a reconciliation of the beginning and ending balances for fair valued investments measured using significant unobservable inputs (Level 3) ($ in thousands):

 

 

Year Ended September 30, 2024

 

Description

 

First Lien

 

 

Second lien,
subordinated
debt and equity
investments

 

 

Totals

 

Beginning Balance

 

$

906,166

 

 

$

100,782

 

 

$

1,006,948

 

Net realized losses

 

 

(8,125

)

 

 

8,347

 

 

 

222

 

Net change in unrealized depreciation

 

 

(77

)

 

 

20,719

 

 

 

20,642

 

Purchases, PIK interest, net discount accretion and non-cash exchanges

 

 

1,320,051

 

 

 

89,599

 

 

 

1,409,650

 

Sales, repayments and non-cash exchanges

 

 

(471,318

)

 

 

(48,305

)

 

 

(519,623

)

Transfers in and/or out of Level 3

 

 

 

 

 

 

 

 

 

Ending Balance

 

$

1,746,697

 

 

$

171,142

 

 

$

1,917,839

 

Net change in unrealized depreciation reported within the net change in unrealized
depreciation on investments in our Consolidated Statements of Operations
attributable to our Level 3 assets still held at the reporting date
.

 

$

(9,278

)

 

$

23,754

 

 

$

14,476

 

 

 

Year Ended September 30, 2023

 

Description

 

First Lien

 

 

Second lien,
subordinated debt
and equity
investments

 

 

Totals

 

Beginning Balance

 

$

1,009,642

 

 

$

95,285

 

 

$

1,104,927

 

Net realized losses

 

 

(18,585

)

 

 

2,148

 

 

 

(16,437

)

Net change in unrealized depreciation

 

 

7,008

 

 

 

(11,977

)

 

 

(4,969

)

Purchases, PIK interest, net discount accretion and non-cash exchanges

 

 

302,095

 

 

 

20,417

 

 

 

322,512

 

Sales, repayments and non-cash exchanges

 

 

(393,994

)

 

 

(5,091

)

 

 

(399,085

)

Transfers in and/or out of Level 3

 

 

 

 

 

 

 

 

 

Ending Balance

 

$

906,166

 

 

$

100,782

 

 

$

1,006,948

 

Net change in unrealized appreciation reported within the net change in unrealized
appreciation on investments in our Consolidated Statements of Operations
attributable to our Level 3 assets still held at the reporting date.

 

$

(9,771

)

 

$

(8,913

)

 

$

(18,684

)

Reconciliation of Liabilities Measured at Fair Value Using Significant Unobservable Inputs Level 3

The table below shows a reconciliation of the beginning and ending balances for liabilities recognized at fair value and measured using significant unobservable inputs (Level 3) ($ in thousands):

 

 

Years Ended September 30,

 

Long-Term Credit Facility and 2023 Notes

 

2024

 

 

2023

 

Beginning Balance (cost – $85,619 and $168,830, respectively)

 

$

85,619

 

 

$

167,563

 

Net change in unrealized (depreciation) appreciation included in earnings

 

 

26

 

 

 

2,090

 

Borrowings

 

 

606,455

 

 

 

65,000

 

Repayments

 

 

(248,220

)

 

 

(224,709

)

Net realized (gain) loss

 

 

 

 

 

(544

)

Transfers in and/or out of Level 3

 

 

 

 

 

76,219

 

Ending Balance (cost – $443,855 and $85,619, respectively)

 

$

443,880

 

 

$

85,619

 

Net Change in Fair Value on Foreign Currency Translation on Outstanding Borrowings

As of September 30, 2024, we had outstanding non-U.S. dollar borrowings on our Credit Facility. Net change in fair value from foreign currency translation on outstanding borrowings is listed below (CAD and $ in thousands):

 

Foreign Currency

 

Amount
Borrowed

 

 

Borrowing Cost

 

 

Current Value

 

 

Reset Date

 

Change in Fair
Value

 

Canadian Dollar

 

 

CAD 2,000

 

 

$

1,455

 

 

$

1,481

 

 

10/1/2024

 

$

26