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Fair value of Financial Instruments (Tables)

9 Months Ended

Jun. 30, 2023

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 June 30, 2023				Valuation Technique		Unobservable Input		Range of Input (Weighted Average) (1)
First lien		$	52,268			Market Comparable		Broker/Dealer bids or quotes		N/A
First lien			897,976			Market Comparable		Market yield		8.8% - 18.5% (11.6%)
Second lien			149			Market Comparable		Market yield		14.2%
Equity			97,211			Enterprise Market Value		EBITDA multiple		.3x - 18.8x (11.9x)
Equity			818			Enterprise Market Value		DLOM(2)		21.7%
Total Level 3 investments		$	1,048,422
Debt Category
Long-Term Credit Facility		$	63,917			Market Comparable		Market Yield		2.5%

____________________________________________

(1)The weighted averages disclosed in the table above were weighted by their relative fair value.

(2)DLOM is defined as discount for lack of marketability.

Asset Category		Fair value at September 30, 2022				Valuation Technique		Unobservable Input		Range of Input (Weighted Average) (1)
First lien		$	70,363			Market Comparable		Broker/Dealer bids or quotes		N/A
First lien			930,806			Market Comparable		Market Yield		8.2% - 21% (10.9%)
First lien			8,473			Enterprise Market Value		EBITDA multiple		14.0x
Second lien			147			Market Comparable		Market Yield		14.7%
Equity			89,906			Enterprise Market Value		EBITDA multiple		3.3x - 21.4x (12.5x)
Equity			5,232			Enterprise Market Value		DLOM(2)		11.8%
Total Level 3 investments		$	1,104,927
Debt Category
Long-Term Credit Facility		$	167,563			Market Comparable		Market Yield		2.5%

(1)The weighted averages disclosed in the table above were weighted by their relative fair value.

(2)DLOM is defined as discount for lack of marketability.

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 or Prior Credit Facility, as applicable, 2023 Notes, 2026 Notes and 2031 Asset-Backed Debt were categorized as follows in the fair value hierarchy for ASC 820 purposes ($ in thousands):

		Fair Value at June 30, 2023
Description		Fair Value				Level 1				Level 2				Level 3				Measured at Net Asset Value (1)
First lien		$	950,244			$	—			$	—			$	950,244			$	—
Second lien			149				—				—				149				—
Equity			154,872				—				—				98,029				56,843
Total investments			1,105,265				—				—				1,048,422				56,843
Cash and cash equivalents			43,994				43,994				—				—				—
Total investments and cash and cash equivalents		$	1,149,259			$	43,994			$	—			$	1,048,422			$	56,843
Credit Facility payable		$	63,917			$	—			$	—			$	63,917			$	—
2023 Notes payable			79,260				79,260				—				—				—
2026 Notes payable (2)			182,860				—				182,860				—				—
2031 Asset-Backed Debt(2)			226,601				—				—				226,601				—
Total debt		$	552,638			$	79,260			$	182,860			$	290,518			$	—

(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, 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 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.

		Fair Value at September 30, 2022
Description		Fair Value				Level 1				Level 2				Level 3				Measured at Net Asset Value (1)
First lien		$	1,009,642			$	—			$	—			$	1,009,642			$	—
Second lien			147				—				—				147				—
Equity			154,465				—				—				95,138				59,327
Total investments			1,164,254				—				—				1,104,927				59,327
Cash and cash equivalents			47,880				47,880				—				—				—
Total investments and cash and cash equivalents		$	1,212,134			$	47,880			$	—			$	1,104,927			$	59,327
Credit Facility payable		$	167,563			$	—			$	—			$	167,563			$	—
2023 Notes payable			96,812				96,812				—				—				—
2026 Notes payable (2)			182,276				—				182,276				—				—
2031 Asset-Backed Debt(2)			226,128				—				—				226,128				—
Total debt		$	672,779			$	96,812			$	182,276			$	393,691			$	—

(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, and thus has 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 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):

		Nine Months Ended June 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 gain (loss)			(16,268	)			2,203				(14,065	)
Net change in unrealized depreciation			1,245				(12,296	)			(11,051	)
Purchases, PIK interest, net discount accretion and non-cash exchanges			208,709				17,977				226,686
Sales, repayments and non-cash exchanges			(253,084	)			(4,991	)			(258,075	)
Transfers in and/or out of Level 3			—				—				—
Ending Balance		$	950,244			$	98,178			$	1,048,422
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.		$	(13,491	)		$	(9,234	)		$	(22,725	)

		Nine Months Ended June 30,2022
Description		First Lien				Second lien, subordinated debt and equity investments				Totals
Beginning Balance		$	934,418			$	86,771			$	1,021,189
Net realized losses			1,124				(13,106	)			(11,982	)
Net change in unrealized depreciation			(7,553	)			12,411				4,858
Purchases, PIK interest, net discount accretion and non-cash exchanges			539,028				25,045				564,073
Sales, repayments and non-cash exchanges			(404,635	)			(16,368	)			(421,003	)
Transfers in and/or out of Level 3			—				—				—
Ending Balance		$	1,062,382			$	94,753			$	1,157,135
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.		$	(5,627	)		$	12,170			$	6,543

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):

		Nine months ended June 30,
Long-Term Credit Facility		2023				2022
Beginning Balance (cost – $169,654 and $219,400, respectively)		$	167,563			$	218,852
Net change in unrealized (depreciation) appreciation included in earnings			1,607				(5,663	)
Borrowings			65,000				147,254
Repayments			(169,709	)			(107,000	)
Net realized (gain) loss			(544	)			—
Transfers in and/or out of Level 3			—				—
Ending Balance (cost – $64,400 and $259,277, respectively)		$	63,917			$	253,443

Net Change in Fair Value From Currency Translation on Outstanding Borrowings

As of September 30, 2022 we had outstanding non-U.S. dollar borrowings on our Credit Facility. Net change in fair value from currency translation on outstanding borrowings is listed below ($ in thousands):

Foreign Currency		Amount Borrowed				Borrowing Cost				Current Value				Reset Date		Change in Fair Value
Australian Dollar		$	10,000			$	7,254			$	6,430			10/1/22		$	(824	)

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