Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments

v3.23.2
Fair Value of Financial Instruments
6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments

3. Fair Value of Financial Instruments

Fair value estimates are made at discrete points in time based on relevant information. These estimates may be subjective in nature and involve uncertainties and matters of significant judgment and, therefore, cannot be determined with precision. Investments measured at fair value on a recurring basis are categorized in the tables below based upon the lowest level of significant input to the valuations as of June 30, 2023 and December 31, 2022.

 

(in thousands)

 

Balance as of
June 30,

 

 

Quoted Prices in
Active Markets for
Identical Assets

 

 

Significant
Other Observable
Inputs

 

 

Significant
Unobservable
Inputs

 

Description

 

2023

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Other assets

 

 

 

 

 

 

 

 

 

 

 

 

Escrow Receivables

 

$

803

 

 

$

 

 

$

 

 

$

803

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Debt

 

$

2,878,923

 

 

$

 

 

$

 

 

$

2,878,923

 

Unsecured Debt

 

 

59,019

 

 

 

 

 

 

 

 

 

59,019

 

Preferred Stock

 

 

41,249

 

 

 

 

 

 

 

 

 

41,249

 

Common Stock (1)

 

 

94,931

 

 

 

61,144

 

 

 

 

 

 

33,787

 

Warrants

 

 

34,314

 

 

 

 

 

 

13,134

 

 

 

21,180

 

 

 

$

3,108,436

 

 

$

61,144

 

 

$

13,134

 

 

$

3,034,158

 

Investment Funds & Vehicles measured at Net Asset Value (2)

 

 

4,353

 

 

 

 

 

 

 

 

 

Total Investments, at fair value

 

$

3,112,789

 

 

 

 

 

 

 

 

 

 

Derivative Instruments (3)

 

$

(554

)

 

 

 

 

 

 

 

 

 

Total Investments, at fair value including derivative instruments

 

$

3,112,235

 

 

 

 

 

 

 

 

 

 

(in thousands)

 

Balance as of
December 31,

 

 

Quoted Prices in
Active Markets for
Identical Assets

 

 

Significant
Other Observable
Inputs

 

 

Significant
Unobservable
Inputs

 

Description

 

2022

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Other assets

 

 

 

 

 

 

 

 

 

 

 

 

Escrow Receivables

 

$

875

 

 

$

 

 

$

 

 

$

875

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Debt

 

$

2,741,388

 

 

$

 

 

$

 

 

$

2,741,388

 

Unsecured Debt

 

 

54,056

 

 

 

 

 

 

 

 

 

54,056

 

Preferred Stock

 

 

41,488

 

 

 

 

 

 

 

 

 

41,488

 

Common Stock

 

 

92,484

 

 

 

66,027

 

 

 

1,398

 

 

 

25,059

 

Warrants

 

 

30,646

 

 

 

 

 

 

11,227

 

 

 

19,419

 

 

$

2,960,062

 

 

$

66,027

 

 

$

12,625

 

 

$

2,881,410

 

Investment Funds & Vehicles measured at Net Asset Value (2)

 

 

3,893

 

 

 

 

 

 

 

 

 

Total Investments, at fair value

 

$

2,963,955

 

 

 

 

 

 

 

 

 

 

(1)
Common Stock includes non-voting security in the form of a promissory note with a lien on shares of issuer's Common Stock.
(2)
In accordance with U.S. GAAP, certain investments are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient and are not categorized within the fair value hierarchy as per ASC 820. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the accompanying Consolidated Statement of Assets and Liabilities.
(3)
Derivative Instruments are carried at fair value and a level 2 security within the Company's fair value hierarchy.

The table below presents a reconciliation of changes for all financial assets and liabilities measured at fair value on a recurring basis, excluding accrued interest components, using significant unobservable inputs (Level 3) for the six months ended June 30, 2023 and 2022.

(in thousands)

Balance as of
January 1, 2023

 

Net Realized
Gains (Losses)
(1)

 

Net Change in
Unrealized
Appreciation
(Depreciation)
(2)

 

Purchases (5)

 

Sales

 

Repayments(6)

 

Gross
Transfers
into
Level 3
(3)

 

Gross
Transfers
out of
Level 3
(3)

 

Balance as of
June 30, 2023

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Debt

$

2,741,388

 

$

(5,845

)

$

19,330

 

$

648,729

 

$

 

$

(524,679

)

$

 

$

 

$

2,878,923

 

Unsecured Debt

 

54,056

 

 

 

 

4,276

 

 

687

 

 

 

 

 

 

 

 

 

 

59,019

 

Preferred Stock

 

41,488

 

 

(1,941

)

 

1,702

 

 

 

 

 

 

 

 

 

 

 

 

41,249

 

Common Stock

 

25,059

 

 

 

 

8,322

 

 

1,000

 

 

(594

)

 

 

 

 

 

 

 

33,787

 

Warrants

 

19,419

 

 

(1,763

)

 

722

 

 

2,809

 

 

(7

)

 

 

 

 

 

 

 

21,180

 

Other Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Escrow Receivable

 

875

 

 

80

 

 

 

 

 

 

(152

)

 

 

 

 

 

 

 

803

 

Total

$

2,882,285

 

$

(9,469

)

$

34,352

 

$

653,225

 

$

(753

)

$

(524,679

)

$

 

$

 

$

3,034,961

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(in thousands)

Balance as of
January 1, 2022

 

Net Realized
Gains (Losses)
(1)

 

Net Change in
Unrealized
Appreciation
(Depreciation)
(2)

 

Purchases (5)

 

Sales

 

Repayments(6)

 

Gross
Transfers
into
Level 3
(4)

 

Gross
Transfers
out of
Level 3
(4)

 

Balance as of
June 30, 2022

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Debt

$

2,156,709

 

$

(1,883

)

$

(16,525

)

$

599,596

 

$

(73,500

)

$

(164,254

)

$

 

$

(3,504

)

$

2,496,639

 

Unsecured Debt

 

52,890

 

 

 

 

(2,025

)

 

3,362

 

 

 

 

 

 

 

 

 

 

54,227

 

Preferred Stock

 

69,439

 

 

2,867

 

 

(14,157

)

 

2,903

 

 

(4,772

)

 

 

 

 

 

(6,422

)

 

49,858

 

Common Stock

 

21,968

 

 

(93

)

 

10,240

 

 

 

 

 

 

 

 

207

 

 

(3,942

)

 

28,380

 

Warrants

 

27,477

 

 

409

 

 

(8,120

)

 

4,391

 

 

(2,167

)

 

 

 

 

 

 

 

21,990

 

Other Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Escrow Receivable

 

561

 

 

312

 

 

 

 

167

 

 

(398

)

 

 

 

 

 

 

 

642

 

Total

$

2,329,044

 

$

1,612

 

$

(30,587

)

$

610,419

 

$

(80,837

)

$

(164,254

)

$

207

 

$

(13,868

)

$

2,651,736

 

(1)
Included in net realized gains (losses) in the accompanying Consolidated Statements of Operations.
(2)
Included in net change in unrealized appreciation (depreciation) in the accompanying Consolidated Statements of Operations.
(3)
There were no transfers into or out of Level 3 during the six months ended June 30, 2023.
(4)
Transfers out of Level 3 during the six months ended June 30, 2022, related to the initial public offerings of Gelesis, Inc., Pineapple Energy, LLC, and the conversion of Level 3 debt investments into common stock investments. Transfers into Level 3 during the six months ended June 30, 2022 related to the decline of liquidity of Kaleido Biosciences, Inc. shares.
(5)
Amounts listed above are inclusive of loan origination fees received at the inception of the loan which are deferred and amortized into fee income as well as the accretion of existing loan discounts and fees during the period. Escrow receivable purchases may include additions due to proceeds held in escrow from the liquidation of level 3 investments. Amounts are net of purchases assigned to the Adviser Funds.
(6)
Amounts listed above include the acceleration and payment of loan discounts and loan fees due to early payoffs or restructures along with regularly scheduled amortization.

For the six months ended June 30, 2023, approximately $1.7 million in net unrealized depreciation and $8.3 million in net unrealized appreciation relating to assets still held at the reporting date were recorded for preferred stock and common stock Level 3 investments, respectively. For the same period, approximately $23.0 million in net unrealized appreciation and $0.8 million in net unrealized depreciation was recorded for debt and warrant Level 3 investments, respectively, relating to assets still held at the reporting date.

For the six months ended June 30, 2022, approximately $14.9 million in net unrealized depreciation and $10.2 million in net unrealized appreciation relating to assets still held at the reporting date were recorded for preferred stock and common stock Level 3 investments, respectively. For the same period, approximately $17.7 million and $8.6 million in net unrealized depreciation was recorded for debt and warrant Level 3 investments, respectively, relating to assets still held at the reporting date.

 

The following tables provide quantitative information about the Company’s Level 3 fair value measurements as of June 30, 2023 and December 31, 2022. In addition to the techniques and inputs noted in the tables below, according to the Company’s valuation policy, the Company may also use other valuation techniques and methodologies when determining the Company’s fair value measurements. The tables below are not intended to be all-inclusive, but rather provide information on the significant Level 3 inputs as they relate to the Company’s fair value measurements. See the accompanying Consolidated Schedule of Investments for the fair value of the Company’s investments. The methodology for the determination of the fair value of the Company’s investments is discussed in “Note 2 – Summary of Significant Accounting Policies”. The significant unobservable input used in the fair value measurement of the Company’s escrow receivables is the amount recoverable at the contractual maturity date of the escrow receivable.

Investment Type - Level 3
Debt Investments

Fair Value as of
June 30, 2023
(in thousands)

 

 

Valuation
Techniques/Methodologies

Unobservable Input (1)

Range

Weighted
Average
(2)

Pharmaceuticals

$

1,046,205

 

 

Market Comparable Companies

Hypothetical Market Yield

11.72% - 18.25%

14.52%

 

 

 

 

 

Premium/(Discount)

(1.00)% - 3.50%

0.10%

 

 

 

 

 

 

 

 

Technology

 

1,047,563

 

 

Market Comparable Companies

Hypothetical Market Yield

12.87% - 20.20%

15.57%

 

 

 

 

 

Premium/(Discount)

(0.75)% - 3.00%

0.39%

 

 

22,407

 

 

Convertible Note Analysis

Probability weighting of alternative outcomes

1.00% - 50.00%

35.22%

 

 

 

 

 

 

 

 

Sustainable and Renewable Technology

 

1,856

 

 

Market Comparable Companies

Hypothetical Market Yield

11.10%

11.10%

 

 

 

 

 

Premium/(Discount)

0.75%

0.75%

 

 

 

 

 

 

 

 

Lower Middle Market

 

252,658

 

 

Market Comparable Companies

Hypothetical Market Yield

14.07% - 17.36%

13.96%

 

 

 

 

 

Premium/(Discount)

(0.75)% - 1.75%

0.23%

 

 

7,073

 

 

Liquidation(3)

Probability weighting of alternative outcomes

20.00% - 80.00%

80.00%

Debt Investments for which Cost Approximates Fair Value

 

 

 

 

 

255,144

 

 

Debt Investments originated within 6 months

 

 

 

 

142,446

 

 

Imminent Payoffs(4)

 

 

 

 

 

162,590

 

 

Debt Investments Maturing in Less than One Year

 

$

2,937,942

 

 

Total Level 3 Debt Investments

(1)
The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The premiums/(discounts) relate to company specific characteristics such as underlying investment performance, security liens, and other characteristics of the investment. Significant increases (decreases) in the inputs in isolation may result in a significantly lower (higher) fair value measurement, depending on the materiality of the investment.

Debt investments in the industries noted in the Company’s Consolidated Schedule of Investments are included in the industries noted above as follows:

Pharmaceuticals, above, is comprised of debt investments in the “Drug Discovery & Development” and “Healthcare Services, Other” industries.
Technology, above, is comprised of debt investments in the “Communications & Networking”, “Information Services”, “Consumer & Business
Services”, “Media/Content/Info” and “Software” industries.
Sustainable and Renewable Technology, above, is comprised of debt investments in the “Sustainable and Renewable Technology” industry.
Lower Middle Market, above, is comprised of debt investments in the “Healthcare Services – Other”, “Consumer & Business Services”, “Diversified
Financial Services”, “Sustainable and Renewable Technology”, and “Software” industries.
(2)
The weighted averages are calculated based on the fair market value of each investment.
(3)
The significant unobservable input used in the fair value measurement of impaired debt securities is the probability weighting of alternative outcomes.
(4)
Imminent payoffs represent debt investments that the Company expects to be fully repaid within the next three months, prior to their scheduled maturity date.

Investment Type - Level 3
Debt Investments

Fair Value as of
December 31, 2022
(in thousands)

 

 

Valuation Techniques/Methodologies

Unobservable Input (1)

Range

Weighted
Average
(2)

Pharmaceuticals

$

903,427

 

 

Market Comparable Companies

Hypothetical Market Yield

11.74% - 19.04%

15.17%

 

 

 

 

 

Premium/(Discount)

(0.75)% - 1.75%

0.01%

 

 

 

 

 

 

 

 

Technology

 

967,108

 

 

Market Comparable Companies

Hypothetical Market Yield

12.05% - 18.53%

15.21%

 

 

 

 

 

Premium/(Discount)

(1.00)% - 1.50%

0.20%

 

 

20,356

 

 

Convertible Note Analysis

Probability weighting of alternative outcomes

1.00% - 50.00%

35.79%

 

 

1,671

 

 

Liquidation(3)

Probability weighting of alternative outcomes

5.00% - 80.00%

48.29%

 

 

 

 

 

 

 

 

Sustainable and Renewable Technology

 

3,006

 

 

Market Comparable Companies

Hypothetical Market Yield

14.71% - 14.71%

14.71%

 

 

 

 

 

Premium/(Discount)

0.75% - 0.75%

0.75%

 

 

 

 

 

 

 

 

Lower Middle Market

 

328,393

 

 

Market Comparable Companies

Hypothetical Market Yield

13.68% - 18.49%

14.82%

 

 

 

 

 

Premium/(Discount)

(2.00)% - 0.75%

(0.43)%

 

 

8,042

 

 

Liquidation(3)

Probability weighting of alternative outcomes

20.00% - 80.00%

80.00%

Debt Investments for which Cost Approximates Fair Value

 

 

 

 

 

392,168

 

 

Debt Investments originated within 6 months

 

 

 

 

77,676

 

 

Imminent Payoffs(4)

 

 

 

 

 

93,597

 

 

Debt Investments Maturing in Less than One Year

 

$

2,795,444

 

 

Total Level 3 Debt Investments

(1)
The significant unobservable inputs used in the fair value measurement of the Company’s debt securities are hypothetical market yields and premiums/(discounts). The hypothetical market yield is defined as the exit price of an investment in a hypothetical market to hypothetical market participants where buyers and sellers are willing participants. The premiums/(discounts) relate to company specific characteristics such as underlying investment performance, security liens, and other characteristics of the investment. Significant increases (decreases) in the inputs in isolation may result in a significantly lower (higher) fair value measurement, depending on the materiality of the investment.

Debt investments in the industries noted in the Company’s Consolidated Schedule of Investments are included in the industries noted above as follows:

Pharmaceuticals, above, is comprised of debt investments in the “Drug Discovery & Development” and “Healthcare Services, Other” industries.
Technology, above, is comprised of debt investments in the “Communications & Networking”, “Information Services”, “Consumer & Business
Services”, “Media/Content/Info” and “Software” industries.
Sustainable and Renewable Technology, above, is comprised of debt investments in the “Sustainable and Renewable Technology” industry.
Lower Middle Market, above, is comprised of debt investments in the “Healthcare Services – Other”, “Consumer & Business Services”, “Diversified
Financial Services”, “Sustainable and Renewable Technology”, and “Software” industries.
(2)
The weighted averages are calculated based on the fair market value of each investment.
(3)
The significant unobservable input used in the fair value measurement of impaired debt securities is the probability weighting of alternative outcomes.
(4)
Imminent payoffs represent debt investments that the Company expects to be fully repaid within the next three months, prior to their scheduled maturity date.

 

Investment Type - Level 3 Equity and Warrant Investments

 

Fair Value as of
June 30, 2023
(in thousands)

 

 

Valuation Techniques/
Methodologies

 

Unobservable Input(1)

 

Range

 

Weighted Average(5)

Equity Investments

 

$

35,966

 

 

Market Comparable Companies

 

EBITDA Multiple(2)

 

13.3x - 13.3x

 

13.3x

 

 

 

 

 

 

 

Revenue Multiple(2)

 

0.6x - 18.0x

 

7.9x

 

 

 

 

 

 

 

Tangible Book Value Multiple(2)

 

1.7x - 1.7x

 

1.7x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

5.47% - 32.11%

 

23.35%

 

 

 

8,882

 

 

Market Adjusted OPM Backsolve

 

Market Equity Adjustment (4)

 

(83.47)% - 13.33%

 

(13.31)%

 

 

 

27,161

 

 

Discounted Cash Flow

 

Discount Rate(7)

 

19.95% - 31.68%

 

26.14%

 

 

 

 

 

Liquidation

 

Revenue Multiple(2)

 

1.7x - 1.7x

 

1.7x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

83.00% - 83.00%

 

83.00%

 

 

 

3,027

 

 

Other (6)

 

 

 

 

 

 

Warrant Investments

 

 

15,936

 

 

Market Comparable Companies

 

EBITDA Multiple(2)

 

13.3x - 13.3x

 

13.3x

 

 

 

 

 

 

 

Revenue Multiple(2)

 

0.7x - 9.9x

 

3.9x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

5.47% - 32.50%

 

22.91%

 

 

 

5,244

 

 

Market Adjusted OPM Backsolve

 

Market Equity Adjustment(4)

 

(63.49)% - 23.93%

 

6.56%

Total Level 3 Equity and Warrant Investments

 

$

96,216

 

 

 

 

 

 

 

 

 

(1)
The significant unobservable inputs used in the fair value measurement of the Company’s warrant and equity securities are revenue and/or earnings multiples (e.g. EBITDA, EBT, ARR), market equity adjustment factors, and discounts for lack of marketability. Significant increases/(decreases) in the inputs in isolation would result in a significantly higher/(lower) fair value measurement, depending on the materiality of the investment. For some investments, additional consideration may be given to data from the last round of financing or merger/acquisition events near the measurement date. The significant unobservable input used in the fair value measurement of impaired equity securities is the probability weighting of alternative outcomes.
(2)
Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.
(3)
Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.
(4)
Represents the range of changes in industry valuations since the portfolio company's last external valuation event.
(5)
Weighted averages are calculated based on the fair market value of each investment.
(6)
The fair market value of these investments is derived based on recent private market and merger and acquisition transaction prices.
(7)
The discount rate used is based on current portfolio yield adjusted for uncertainty of actual performance and timing in capital deployments.

 

Investment Type - Level 3 Equity and Warrant Investments

 

Fair Value as of
December 31, 2022
(in thousands)

 

 

Valuation Techniques/
Methodologies

 

Unobservable Input (1)

 

Range

 

Weighted Average(5)

Equity Investments

 

$

30,086

 

 

Market Comparable Companies

 

EBITDA Multiple(2)

 

12.4x - 12.4x

 

12.4x

 

 

 

 

 

 

 

Revenue Multiple(2)

 

0.7x - 16.1x

 

7.4x

 

 

 

 

 

 

 

Tangible Book Value Multiple(2)

 

1.6x - 1.6x

 

1.6x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

8.11% - 28.90%

 

19.79%

 

 

 

13,795

 

 

Market Adjusted OPM Backsolve

 

Market Equity Adjustment(4)

 

(97.82)% - 16.34%

 

(16.69)%

 

 

 

19,153

 

 

Discounted Cash Flow

 

Discount Rate(7)

 

17.72% - 30.13%

 

24.46%

 

 

 

 

 

Liquidation

 

Revenue Multiple(2)

 

2.1x - 2.1x

 

2.1x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

85.00% - 85.00%

 

85.00%

 

 

 

3,513

 

 

Other(6)

 

 

 

 

 

 

Warrant Investments

 

 

12,479

 

 

Market Comparable Companies

 

EBITDA Multiple(2)

 

12.4x - 12.4x

 

12.4x

 

 

 

 

 

 

 

Revenue Multiple(2)

 

0.6x - 8.8x

 

3.4x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

8.11% - 32.70%

 

18.97%

 

 

 

6,934

 

 

Market Adjusted OPM Backsolve

 

Market Equity Adjustment(4)

 

(97.82)% - 66.43%

 

(8.86)%

 

 

 

 

 

Liquidation

 

Revenue Multiple(2)

 

6.2x - 6.2x

 

6.2x

 

 

 

 

 

 

 

Discount for Lack of Marketability(3)

 

90.00% - 90.00%

 

90.00%

 

 

 

6

 

 

Other(6)

 

 

 

 

 

 

Total Level 3 Equity and Warrant Investments

 

$

85,966

 

 

 

 

 

 

 

 

 

(1)
The significant unobservable inputs used in the fair value measurement of the Company’s warrant and equity securities are revenue and/or earnings multiples (e.g. EBITDA, EBT, ARR), market equity adjustment factors, and discounts for lack of marketability. Significant increases/(decreases) in the inputs in isolation would result in a significantly higher/(lower) fair value measurement, depending on the materiality of the investment. For some investments, additional consideration may be given to data from the last round of financing or merger/acquisition events near the measurement date. The significant unobservable input used in the fair value measurement of impaired equity securities is the probability weighting of alternative outcomes.
(2)
Represents amounts used when the Company has determined that market participants would use such multiples when pricing the investments.
(3)
Represents amounts used when the Company has determined market participants would take into account these discounts when pricing the investments.
(4)
Represents the range of changes in industry valuations since the portfolio company's last external valuation event.
(5)
Weighted averages are calculated based on the fair market value of each investment.
(6)
The fair market value of these investments is derived based on recent market transactions.
(7)
The discount rate used is based on current portfolio yield adjusted for uncertainty of actual performance and timing in capital deployments.

The Company believes that the carrying amounts of its financial instruments, other than investments and debt, which consist of cash and cash equivalents, receivables including escrow receivables, accounts payable and accrued liabilities, approximate the fair values of such items due to the short maturity of such instruments. The debt obligations of the Company are recorded at amortized cost and not at fair value on the Consolidated Statements of Assets and Liabilities. The fair value of the Company’s outstanding debt obligations are based on observable market trading prices or quotations and unobservable market rates as applicable for each instrument.

As of June 30, 2023 and December 31, 2022, the 2033 Notes were trading on the New York Stock Exchange (“NYSE”) at $24.70 and $24.59 per unit at par value. The par value at underwriting for the 2033 Notes was $25.00 per unit. Based on market quotations on or around June 30, 2023 and December 31, 2022, the 2031 Asset-Backed Notes were quoted for 0.932 and 0.951. The fair values of the SBA debentures, July 2024 Notes, February 2025 Notes, June 2025 Notes, June 2025 3-Year Notes, March 2026 A Notes, March 2026 B Notes, September 2026, and January 2027 Notes are calculated based on the net present value of payments over the term of the notes using estimated market rates for similar notes and remaining terms. The fair values of the outstanding debt under the MUFG Bank Facility and the SMBC Facility are equal to their outstanding principal balances as of June 30, 2023 and December 31, 2022.

The following tables provide additional information about the approximate fair value and level in the fair value hierarchy of the Company’s outstanding borrowings as of June 30, 2023 and December 31, 2022:

(in thousands)

 

June 30, 2023

 

 

 

Carrying

 

 

Approximate

 

 

Identical Assets

 

 

Observable Inputs

 

 

Unobservable Inputs

 

Description

 

Value

 

 

Fair Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

SBA Debentures

 

$

170,028

 

 

$

146,395

 

 

$

 

 

$

 

 

$

146,395

 

July 2024 Notes

 

 

104,680

 

 

 

103,447

 

 

 

 

 

 

 

 

 

103,447

 

February 2025 Notes

 

 

49,809

 

 

 

47,754

 

 

 

 

 

 

 

 

 

47,754

 

June 2025 Notes

 

 

69,676

 

 

 

65,121

 

 

 

 

 

 

 

 

 

65,121

 

June 2025 3-Year Notes

 

 

49,694

 

 

 

47,831

 

 

 

 

 

 

 

 

 

47,831

 

March 2026 A Notes

 

 

49,747

 

 

 

46,038

 

 

 

 

 

 

 

 

 

46,038

 

March 2026 B Notes

 

 

49,725

 

 

 

46,105

 

 

 

 

 

 

 

 

 

46,105

 

September 2026 Notes

 

 

321,849

 

 

 

274,835

 

 

 

 

 

 

 

 

 

274,835

 

January 2027 Notes

 

 

345,269

 

 

 

301,265

 

 

 

 

 

 

 

 

 

301,265

 

2031 Asset-Backed Notes

 

 

148,251

 

 

 

139,740

 

 

 

 

 

 

139,740

 

 

 

 

2033 Notes

 

 

38,880

 

 

 

39,520

 

 

 

 

 

 

39,520

 

 

 

 

MUFG Bank Facility(1)

 

 

61,000

 

 

 

61,000

 

 

 

 

 

 

 

 

 

61,000

 

SMBC Facility

 

 

130,000

 

 

 

130,000

 

 

 

 

 

 

 

 

 

130,000

 

Total

 

$

1,588,608

 

 

$

1,449,051

 

 

$

 

 

$

179,260

 

 

$

1,269,791

 

 

(in thousands)

 

December 31, 2022

 

 

 

Carrying

 

 

Approximate

 

 

Identical Assets

 

 

Observable Inputs

 

 

Unobservable Inputs

 

Description

 

Value

 

 

Fair Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

SBA Debentures

 

$

169,738

 

 

$

155,257

 

 

$

 

 

$

 

 

$

155,257

 

July 2024 Notes

 

 

104,533

 

 

 

102,019

 

 

 

 

 

 

 

 

 

102,019