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Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

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

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)

Schedule of Foreign Currency Forward Contracts

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)

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

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)

Schedule of Fair Value Measurement Inputs and Valuation Techniques

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

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

Senior debt and 1st lien notes(1)

$

1,305,819

Yield Analysis

Market Yield

7.7% – 37.3%

11.7%

Decrease

14,794

Market Approach

Adjusted EBITDA Multiple

6.0x

6.0x

Increase

1,263

Market Approach

Revenue Multiple

0.2x

0.2x

Increase

13,153

Discounted Cash Flow Analysis

Discount Rate

13.0%

13.0%

Decrease

233,824

Recent Transaction

Transaction Price

96.7% – 100.0%

97.5%

Increase

Subordinated debt and 2nd lien notes(2)

182,856

Yield Analysis

Market Yield

8.4% – 16.6%

13.1%

Decrease

35,536

Market Approach

Adjusted EBITDA Multiple

6.5x – 9.0x

7.4x

Increase

2,186

Market Approach

Revenue Multiple

0.5x

0.5x

Increase

513

Recent Transaction

Transaction Price

97.3%

97.3%

Increase

Structured products(3)

3,792

Discounted Cash Flow Analysis

Discount Rate

10.4%

10.4%

Decrease

5,239

Recent Transaction

Transaction Price

100.0%

100.0%

Increase

Equity shares(4)

12,600

Yield Analysis

Market Yield

15.7% – 17.8%

16.7%

Decrease

259,219

Market Approach

Adjusted EBITDA Multiple

4.0x – 43.0x

9.4x

Increase

1,321

Market Approach

Revenue Multiple

0.2x – 7.0x

6.8x

Increase

221

Market Approach

Adjusted EBITDA/Revenue Multiple Blend

5.8x

5.8x

Increase

1,932

Net Asset Approach

Liabilities

$(8,942)

$(8,942)

Decrease

112

Expected Recovery

Expected Recovery

$2.5 - $110

$107.6

Increase

4,921

Recent Transaction

Transaction Price

$0.00 – $1,015.13

$521.22

Increase

Equity warrants

1,054

Market Approach

Adjusted EBITDA Multiple

4.0x – 17.5x

7.3x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

(1)Excludes investments with an aggregate fair value amounting to $22,503, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(2)Excludes investments with an aggregate fair value amounting to $13,123, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(3)Excludes investments with an aggregate fair value amounting to $8,796, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(4)Excludes investments with an aggregate fair value amounting to 2,741, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

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

Senior debt and 1st lien notes(1)

$

717,374

Yield Analysis

Market Yield

5.2% – 33.5%

7.7%

Decrease

416,010

Recent Transaction

Transaction Price

96.5% – 99.0%

97.7%

Increase

Subordinated debt and 2nd lien notes(2)

107,345

Yield Analysis

Market Yield

5.3% – 19.0%

11.5%

Decrease

64,895

Market Approach

Adjusted EBITDA Multiple

0.6x – 9.0x

5.67x

Increase

40,354

Recent Transaction

Transaction Price

97.0% – 100.0%

98.0%

Increase

Equity shares(3)

137,393

Market Approach

Adjusted EBITDA Multiple

5.5x – 54.0x

13.1x

Increase

6,197

Expected Transaction(4)

Transaction Price

$6,197,037

$6,197,037

Increase

4,546

Recent Transaction

Transaction Price

$1.0 – $1,000

$140.03

Increase

Equity warrants

864

Market Approach

Adjusted EBITDA Multiple

5.0x – 6.0x

6.0x

Increase

(1)Excludes investments with an aggregate fair value amounting to $3,939, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(2)Excludes investments with an aggregate fair value amounting to $17,975, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(3)Excludes investments with an aggregate fair value amounting to $3,146, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

(4)Estimated proceeds expected to be received under legally binding asset purchase agreement for sale of real estate held by portfolio company.

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

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

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