DERIVATIVE INSTRUMENTS

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

MVC Credit Support Agreement

In connection with the MVC Acquisition, on December 23, 2020, promptly following the closing of the Company’s merger with MVC, the Company and the Adviser entered into the MVC Credit Support Agreement, pursuant to which the Adviser has agreed to provide credit support to the Company in the amount of up to $23.0 million relating to the net cumulative realized and unrealized losses on the acquired MVC investment portfolio over a 10-year period. See “Note 2 – Agreements and Related Party Transactions” for additional information regarding the MVC Credit Support Agreement. Net unrealized appreciation or depreciation on the MVC Credit Support Agreement is included in “Net unrealized appreciation (depreciation) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations.

The following tables present the fair value and aggregate unrealized depreciation of the MVC Credit Support Agreement as of September 30, 2022 and December 31, 2021:


As of September 30, 2022 Description ($ in thousands)	Counter Party	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement	Barings LLC	01/01/31	$	23,000	$	9,280	$	(4,320)

Total MVC Credit Support Agreement							$	(4,320)


As of December 31, 2021 Description ($ in thousands)	Counter Party	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement	Barings LLC	01/01/31	$	23,000	$	15,400	$	1,800

Total MVC Credit Support Agreement							$	1,800

As of September 30, 2022 and December 31, 2021, the fair value of the MVC Credit Support Agreement was $9.3 million and $15.4 million, respectively, and is included in "Credit support agreements" in the accompanying Unaudited and Audited Consolidated Balance Sheets. As of September 30, 2022, the fair value of the MVC Credit Support Agreement was determined based on an income approach, with the primary input being the discount rate which is a Level 3 input. As of December 31, 2021, the fair value of the MVC Credit Support Agreement was determined based on an income approach, with the primary inputs being the enterprise value, the continuously annual risk-free interest rate, a measure of expected asset volatility, expected time until an exit event for each portfolio company in the MVC Reference Portfolio, which are all Level 3 inputs.

Sierra Credit Support Agreement

In connection with the Sierra Acquisition, on February 25, 2022, promptly following the closing of the Company’s merger with Sierra, the Company and the Adviser entered into the Sierra Credit Support Agreement, pursuant to which the Adviser has agreed to provide credit support to the Company in the amount of up to $100.0 million relating to the net cumulative realized and unrealized losses on the acquired Sierra investment portfolio over a 10-year period. See “Note 2 – Agreements and Related Party Transactions” for additional information regarding the Sierra Credit Support Agreement. Net unrealized appreciation or depreciation on the Sierra Credit Support Agreement is included in "Net unrealized appreciation (depreciation) - credit support agreements" in the Company’s Unaudited Consolidated Statements of Operations.

The following table presents the fair value and aggregate unrealized depreciation of the Sierra Credit Support Agreement as of September 30, 2022:


As of September 30, 2022 Description ($ in thousands)	Counter Party	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement	Barings LLC	04/01/32	$	100,000	$	40,200	$	(4,200)

Total Sierra Credit Support Agreement							$	(4,200)

As of September 30, 2022, the fair value of the Sierra Credit Support Agreement was $40.2 million, and is included in “Credit support agreements” in the accompanying Unaudited Consolidated Balance Sheet. The fair value of the Sierra Credit Support Agreement was determined based on an income approach, with the primary inputs being the enterprise value, the continuously annual risk-free interest rate, a measure of expected asset volatility, and the expected time until an exit event for each portfolio company in the Sierra Reference Portfolio, which are all Level 3 inputs.

Foreign Currency Forward Contracts

The Company enters into forward currency contracts from time to time to primarily help mitigate the impact that an adverse change in foreign exchange rates would have on net interest income from the Company's investments and related borrowings denominated in foreign currencies. Forward currency contracts are considered undesignated derivative instruments.

The following tables present the Company's foreign currency forward contracts as of September 30, 2022 and December 31, 2021:

As of September 30, 2022

Description

($ in thousands)

Notional Amount to be Purchased

Notional Amount to be Sold

Maturity Date

Gross Amount of Recognized Assets (Liabilities)

Balance Sheet Location of Net Amounts

Foreign currency forward contract (AUD)

A$71,257

$46,216

10/06/22

(401)

Derivative liability

Foreign currency forward contract (AUD)

$49,343

A$71,257

10/06/22

3,528

Derivative asset

Foreign currency forward contract (AUD)

$46,250

A$71,176

01/09/23

401

Derivative asset

Foreign currency forward contract (CAD)

C$3,269

$2,389

10/06/22

(10)

Derivative liability

Foreign currency forward contract (CAD)

$2,543

C$3,269

10/06/22

163

Derivative asset

Foreign currency forward contract (CAD)

$2,415

C$3,303

01/09/23

Derivative asset

Foreign currency forward contract (DKK)

2,237kr.

$295

10/06/22

—

Derivative asset

Foreign currency forward contract (DKK)

59kr.

10/06/22

—

Derivative asset

Foreign currency forward contract (DKK)

$310

2,178kr.

10/06/22

Derivative asset

Foreign currency forward contract (DKK)

$300

2,260kr.

01/09/23

—

Derivative liability

Foreign currency forward contract (EUR)

€106,035

$103,841

10/06/22

Derivative asset

Foreign currency forward contract (EUR)

$97,043

€91,567

10/06/22

7,239

Derivative asset

Foreign currency forward contract (EUR)

$10,597

€10,000

10/06/22

800

Derivative asset

Foreign currency forward contract (EUR)

$4,435

€4,378

10/06/22

145

Derivative asset

Foreign currency forward contract (EUR)

$106,563

€107,954

01/09/23

(40)

Derivative liability

Foreign currency forward contract (NZD)

NZ$18,733

$10,709

10/06/22

(113)

Derivative liability

Foreign currency forward contract (NZD)

$162

NZ$263

10/06/22

Derivative asset

Foreign currency forward contract (NZD)

$11,510

NZ$18,471

10/06/22

1,062

Derivative asset

Foreign currency forward contract (NZD)

$10,767

NZ$18,824

01/09/23

113

Derivative asset

Foreign currency forward contract (NOK)

kr2,147

$221

10/06/22

(24)

Derivative liability

Foreign currency forward contract (NOK)

kr37,568

$3,509

10/06/22

(61)

Derivative liability

Foreign currency forward contract (NOK)

$3,815

kr37,350

10/06/22

387

Derivative asset

Foreign currency forward contract (NOK)

$244

kr2,364

10/06/22

Derivative asset

Foreign currency forward contract (NOK)

$3,538

kr37,773

01/09/23

Derivative asset

Foreign currency forward contract (GBP)

£21,831

$24,167

10/06/22

204

Derivative asset

Foreign currency forward contract (GBP)

$6,201

£5,500

10/06/22

Derivative asset

Foreign currency forward contract (GBP)

$19,693

£16,331

10/06/22

1,461

Derivative asset

Foreign currency forward contract (GBP)

$25,438

£22,951

01/09/23

(216)

Derivative liability

Foreign currency forward contract (SEK)

2,026kr

$181

10/06/22

Derivative asset

Foreign currency forward contract (SEK)

$201

2,026kr

10/06/22

Derivative asset

Foreign currency forward contract (SEK)

$197

2,182kr

01/09/23

(1)

Derivative liability