XML 32 R18.htm IDEA: XBRL DOCUMENT v3.22.4

Derivative Instruments

12 Months Ended

Dec. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Derivative Instruments

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 Consolidated Statements of Operations.

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

As of December 31, 2022 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement									Barings LLC												01/01/31						$	23,000					$	12,386					$	(1,214)
Total MVC Credit Support Agreement																																							$	(1,214)

As of December 31, 2021 Description ($ in thousands)									Counterparty												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 December 31, 2022 and 2021, the fair value of the MVC Credit Support Agreement was $12.4 million and $15.4 million, respectively, and is included in “Credit support agreements” in the accompanying Consolidated Balance Sheets. As of December 31, 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 simulation analysis, with the primary inputs being the enterprise value, a measure of expected asset volatility, and the expected time until an exit event for each portfolio company in the MVC Reference Portfolio, which are all Level 3 inputs.

The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of December 31, 2022 and 2021. The weighted average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.

December 31, 2022: ($ in thousands)

Fair Value

Valuation Model

Level 3 Input

Range of Inputs

Weighted Average

Impact to Valuation from an Increase in Input

MVC Credit Support Agreement

$

12,386

Income Approach

Discount Rate

7.1% - 8.1%

7.6%

Decrease

December 31, 2021: ($ in thousands)

Fair Value

Valuation Model

Level 3 Input

Range of Inputs

Weighted Average

Impact to Valuation from an Increase in Input

MVC Credit Support Agreement

$

15,400

Simulation Analysis

Enterprise Value

$5,700 - $111,700

$58,700

Decrease

Asset Volatility

25.0% - 47.5%

36.3%

Increase

Time Until Exit (years)

0.5 - 6.0

3.3

Decrease

Sierra Credit Support Agreement

In connection with the Sierra Merger 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 Consolidated Statements of Operations.    

The following table presents the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of December 31, 2022:

As of December 31, 2022 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement									Barings LLC												04/01/32						$	100,000					$	40,700					$	(3,700)
Total Sierra Credit Support Agreement																																							$	(3,700)

As of December 31, 2022, the fair value of the Sierra Credit Support Agreement was $40.7 million, and is included in “Credit support agreements” in the accompanying Consolidated Balance Sheets. The fair value of the Sierra Credit Support Agreement was determined based on a simulation analysis, with the primary inputs being the enterprise value, a measure of expected asset volatility, the expected time until an exit event for each portfolio company in the Sierra Reference Portfolio and the Recovery Rate, which are all Level 3 inputs.

The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 Sierra Credit Support Agreement as of December 31, 2022. The weighted average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.

December 31, 2022: ($ in thousands)

Fair Value

Valuation Model

Level 3 Input

Range of Inputs

Weighted Average

Impact to Valuation from an Increase in Input

Sierra Credit Support Agreement

$

40,700

Simulation Analysis

Enterprise Value

$100 - $403,500

$201,800

Decrease

Asset Volatility

37.5% - 70.0%

53.8%

Increase

Time Until Exit (years)

0 - 9.1

4.6

Decrease

Recovery Rate

0.0% - 70.0%

35.0%

Decrease

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 December 31, 2022 and 2021:

As of December 31, 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$72,553

$48,701

01/09/23

$

511

Derivative assets

Foreign currency forward contract (AUD)

$47,177

A$72,553

01/09/23

(2,035)

Derivative liabilities

Foreign currency forward contract (AUD)

$47,055

A$69,919

04/11/23

(548)

Derivative liabilities

Foreign currency forward contract (CAD)

C$225

$165

01/09/23

1

Derivative assets

Foreign currency forward contract (CAD)

C$9,285

$6,819

01/09/23

34

Derivative assets

Foreign currency forward contract (CAD)

$4,578

C$6,207

01/09/23

(3)

Derivative liabilities

Foreign currency forward contract (CAD)

$2,415

C$3,303

01/09/23

(22)

Derivative liabilities

Foreign currency forward contract (CAD)

$6,865

C$9,339

04/11/23

(34)

Derivative liabilities

Foreign currency forward contract (DKK)

2,260kr.

$323

01/09/23

2

Derivative assets

Foreign currency forward contract (DKK)

$300

2,260kr.

01/09/23

(24)

Derivative liabilities

Foreign currency forward contract (DKK)

$329

2,290kr.

04/11/23

(2)

Derivative liabilities

Foreign currency forward contract (EUR)

€106,443

$113,101

01/09/23

541

Derivative assets

Foreign currency forward contract (EUR)

€1,511

$1,500

01/09/23

113

Derivative assets

Foreign currency forward contract (EUR)

$106,563

€107,954

01/09/23

(8,692)

Derivative liabilities

Foreign currency forward contract (EUR)

$109,735

€102,649

04/11/23

(547)

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$4,000

$2,581

01/09/23

(51)

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$15,175

$9,538

01/09/23

60

Derivative assets

Foreign currency forward contract (NZD)

$208

NZ$351

01/09/23

(14)

Derivative liabilities

Foreign currency forward contract (NZD)

$10,767

NZ$18,824

01/09/23

(1,139)

Derivative liabilities

Foreign currency forward contract (NZD)

$9,644

NZ$15,333

04/11/23

(62)

Derivative liabilities

Foreign currency forward contract (NOK)

kr37,773

$3,835

01/09/23

—

Derivative liabilities

Foreign currency forward contract (NOK)

$3,538

kr37,773

01/09/23

(297)

Derivative liabilities

Foreign currency forward contract (NOK)

$4,050

kr39,732

04/11/23

(1)

Derivative liabilities

Foreign currency forward contract (GBP)

£37,951

$45,898

01/09/23

(240)

Derivative liabilities

Foreign currency forward contract (GBP)

$39,500

£34,951

01/09/23

(2,549)

Derivative liabilities

Foreign currency forward contract (GBP)

$3,396

£3,000

01/09/23

(213)

Derivative liabilities

Foreign currency forward contract (GBP)

$47,147

£38,899

04/11/23

243

Derivative assets

Foreign currency forward contract (SEK)

2,182kr.

$210

01/09/23

—

Derivative liabilities

Foreign currency forward contract (SEK)

$197

2,182kr.

01/09/23

(13)

Derivative liabilities

Foreign currency forward contract (SEK)

$217

2,247kr.

04/11/23

—

Derivative assets

Foreign currency forward contract (CHF)

3,803Fr.

$4,110

01/09/23

3

Derivative assets

Foreign currency forward contract (CHF)

$618

600Fr.

01/09/23

(31)

Derivative liabilities

Foreign currency forward contract (CHF)

$3,305

3,203Fr.

01/09/23

(158)

Derivative liabilities

Foreign currency forward contract (CHF)

$4,194

3,841Fr.

04/11/23

(2)

Derivative liabilities

Total

$

(15,169)

As of December 31, 2021 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$31,601

$22,850

01/06/22

$

126

Derivative assets

Foreign currency forward contract (AUD)

A$2,099

$1,508

01/06/22

18

Derivative assets

Foreign currency forward contract (AUD)

$20,727

A$28,700

01/06/22

(139)

Derivative liability

Foreign currency forward contract (AUD)

$3,580

A$5,000

04/08/22

(55)

Derivative liability

Foreign currency forward contract (AUD)

$18,247

A$25,386

04/08/22

(215)

Derivative liability

Foreign currency forward contract (CAD)

C$3,230

$2,528

01/06/22

29

Derivative assets

Foreign currency forward contract (CAD)

C$3,000

$2,425

01/06/22

(50)

Derivative liabilities

Foreign currency forward contract (CAD)

$4,881

C$6,230

01/06/22

(51)

Derivative liabilities

Foreign currency forward contract (CAD)

$2,506

C$3,203

04/08/22

(29)

Derivative liabilities

Foreign currency forward contract (DKK)

2,143kr.

$326

01/06/22

1

Derivative assets

Foreign currency forward contract (DKK)

$335

2,143kr.

01/06/22

7

Derivative assets

Foreign currency forward contract (DKK)

$323

2,116kr.

04/08/22

(1)

Derivative liabilities

Foreign currency forward contract (EUR)

€52,583

$59,524

01/06/22

275

Derivative assets

Foreign currency forward contract (EUR)

€5,020

$5,701

04/08/22

18

Derivative assets

Foreign currency forward contract (EUR)

$24,722

€21,500

01/06/22

271

Derivative assets

Foreign currency forward contract (EUR)

$14,563

€12,900

01/06/22

(108)

Derivative liabilities

Foreign currency forward contract (EUR)

$20,655

€18,183

01/06/22

(23)

Derivative liabilities

Foreign currency forward contract (EUR)

$60,413

€53,265

04/08/22

(282)

Derivative liabilities

Foreign currency forward contract (EUR)

$1,130

€1,000

04/08/22

(10)

Derivative liabilities

Foreign currency forward contract (EUR)

$8,514

€7,500

04/08/22

(33)

Derivative liabilities

Foreign currency forward contract (GBP)

£9,900

$13,220

01/06/22

190

Derivative assets

Foreign currency forward contract (GBP)

$13,349

£9,900

01/06/22

(60)

Derivative liabilities

Foreign currency forward contract (GBP)

$6,122

£4,599

04/08/22

(104)

Derivative liabilities

Foreign currency forward contract (SEK)

1,792kr

$198

01/07/22

—

Derivative liabilities

Foreign currency forward contract (SEK)

$204

1,792kr

01/07/22

6

Derivative assets

Foreign currency forward contract (SEK)

$207

1,875kr

04/08/22

—

Derivative assets

Total

$

(219)

As of December 31, 2022 and 2021, the total fair value of the Company’s foreign currency forward contracts was $(15.2) million and $(0.2) million, respectively. The fair values of the Company’s foreign currency forward contracts are based on unadjusted prices from independent pricing services and independent indicative broker quotes, which are Level 2 inputs.

Net realized gains or losses on forward currency contracts are included in “Net realized gains (losses) - foreign currency transactions” in the Company’s Consolidated Statements of Operations. Net realized gains or losses on forward contracts recognized by the Company for the years ended December 31, 2022, 2021 and 2020 are shown in the following table:

						December 31,
($ in thousands)						2022						2021						2020
Forward currency contracts						$	25,140					$	(378)					$	191

Net unrealized appreciation or depreciation on forward currency contracts are included in “Net unrealized appreciation (depreciation) - foreign currency transactions” in the Company’s Consolidated Statements of

Operations. Net unrealized appreciation or depreciation on forward contracts recognized by the Company for the years ended December 31, 2022, 2021 and 2020 are shown in the following table:

						December 31,
($ in thousands)						2022						2021						2020
Forward currency contracts						$	(14,950)					$	262					$	(455)

X

- References

No definition available.

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-URI https://asc.fasb.org/topic&trid=2229140

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 40
-Section 50
-Paragraph 5
-Subparagraph (f)
-URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration