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DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2023
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 March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ in thousands) |  |  | Counterparty |  |  |  | Settlement Date |  | Notional Amount |  | Value |  | Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement |  |  | Barings LLC |  |  |  | 01/01/31 |  | $ | 23,000 |  |  | $ | 13,272 |  |  | $ | (328) |
Total MVC Credit Support Agreement |  |  |  |  |  |  |  |  |  | $ | (328) |
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) |
The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ in thousands) |  |  | Counterparty |  |  |  | Settlement Date |  | Notional Amount |  | Value |  | Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement |  |  | Barings LLC |  |  |  | 04/01/32 |  | $ | 100,000 |  |  | $ | 45,400 |  |  | $ | 1,000 |
Total Sierra Credit Support Agreement |  |  |  |  |  |  |  |  |  | $ | 1,000 |
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 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 March 31, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of investments.
March 31, 2023: ($ 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 1 st lien notes(1) | $ | 1,507,198 |  |  | Yield Analysis |  | Market Yield |  | 7.6% – 43.3% |  | 11.6% |  | Decrease
14,455 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.8x |  | 5.8x |  | Increase
1,104 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x |  | 0.2x |  | Increase
12,967 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 12.6% |  | 12.6% |  | Decrease
88,690 |  |  | Recent Transaction |  | Transaction Price |  | 96.0% – 98.6% |  | 96.8% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 176,745 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 16.9% |  | 12.9% |  | Decrease
34,810 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 7.0x – 11.0x |  | 8.2x |  | Increase
924 |  |  | Market Approach |  | Revenue Multiple |  | 0.5x |  | 0.5x |  | Increase
39 |  |  | Market Approach |  | Liquidation Value |  | $39.4 |  | $39.4 |  | Increase
746 |  |  | Recent Transaction |  | Transaction Price |  | 97.0% |  | 97.0% |  | Increase
Structured products(3) | 4,275 |  |  | Yield Analysis |  | Market Yield |  | 9.6% – 10.6% |  | 10.1% |  | Decrease
9,379 |  |  | Recent Transaction |  | Transaction Price |  | 100.0% |  | 100.0% |  | Increase
Equity shares(4) | 7,197 |  |  | Yield Analysis |  | Market Yield |  | 15.4% – 16.7% |  | 16.1% |  | Decrease
269,697 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 2.3x – 40.0x |  | 10.8x |  | Increase
1,431 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x – 9.5x |  | 6.6x |  | Increase
1,941 |  |  | Net Asset Approach |  | Liabilities |  | $(20,598.4) |  | $(20,598.4) |  | Decrease
112 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 – $110.0 |  | $107.6 |  | Increase
46,008 |  |  | Recent Transaction |  | Transaction Price |  | $0.01 – $1,408.64 |  | $988.3 |  | Increase
Equity warrants | 1,053 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.0x – 16.5x |  | 7.6x |  | Increase
3 |  |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $25,947, which the Adviser 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 $12,470, which the Adviser 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 $12,462, which the Adviser 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 $2,598, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.
December 31, 2022: ($ 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 1 st 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 2 nd 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 |  | $(8,941.8) |  | $(8,941.8) |  | 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 Adviser 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 Adviser 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 Adviser 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 $2,741, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of March 31, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.
March 31, 2023: ($ 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 | $ | 13,272 |  |  | Income Approach |  | Discount Rate |  | 6.5% - 7.5% |  | 7.0% |  | Decrease
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
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 March 31, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.
March 31, 2023: ($ 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 | $ | 45,400 |  |  | Simulation Analysis |  | Enterprise Value |  | $100 - $141,100 |  | $70,600 |  | Decrease
|  | Asset Volatility |  | 40.0% - 70.0% |  | 55.0% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 8.8 |  | 4.4 |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Decrease
December 31, 2022: ($ 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 |  | $201,800 |  | Decrease
|  | Asset Volatility |  | 37.5% - 70.0% |  | 53.8% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 9.1 |  | 4.6 |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Decrease
Schedule of Foreign Currency Forward Contracts | The following tables present the Company’s foreign currency forward contracts as of March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ 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$3,983 |  | $2,681 |  | 04/11/23 |  | $ | (12) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (AUD) |  | $912 |  | A$1,348 |  | 04/11/23 |  | 9 |  |  |  |  | Derivative assets
Foreign currency forward contract (AUD) |  | $47,386 |  | A$70,419 |  | 04/11/23 |  | 210 |  |  |  |  | Derivative assets
Foreign currency forward contract (CAD) |  | $130 |  | C$178 |  | 04/11/23 |  | (2) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (CAD) |  | $6,865 |  | C$9,339 |  | 04/11/23 |  | (37) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (DKK) |  | 63kr. |  | $9 |  | 04/11/23 |  | — |  |  |  |  | Derivative assets
Foreign currency forward contract (DKK) |  | $336 |  | 2,332kr. |  | 04/11/23 |  | (5) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (EUR) |  | €30,414 |  | $32,551 |  | 04/11/23 |  | 505 |  |  |  |  | Derivative assets
Foreign currency forward contract (EUR) |  | €109,735 |  | €102,649 |  | 04/11/23 |  | (1,831) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (EUR) |  | $5,655 |  | €5,268 |  | 04/11/23 |  | (70) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (NZD) |  | NZ$2,500 |  | $1,562 |  | 04/11/23 |  | 2 |  |  |  |  | Derivative assets
Foreign currency forward contract (NZD) |  | $168 |  | NZ$267 |  | 04/11/23 |  | 1 |  |  |  |  | Derivative assets
Foreign currency forward contract (NZD) |  | $9,644 |  | NZ$15,333 |  | 04/11/23 |  | 50 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | kr896 |  | $82 |  | 04/11/23 |  | 3 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | $4,050 |  | kr39,732 |  | 04/11/23 |  | 255 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | $65 |  | kr645 |  | 04/11/23 |  | 4 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | £1,500 |  | $1,852 |  | 04/11/23 |  | 3 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | £7,000 |  | $8,436 |  | 04/11/23 |  | 220 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | $47,147 |  | £38,899 |  | 04/11/23 |  | (957) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (SEK) |  | $217 |  | 2,247kr |  | 04/11/23 |  | — |  |  |  |  | Derivative assets
Foreign currency forward contract (CHF) |  | $4,194 |  | 3,841Fr. |  | 04/11/23 |  | (14) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (CHF) |  | $437 |  | 400Fr. |  | 04/11/23 |  | (1) |  |  |  |  | Derivative liabilities
Total |  |  |  |  |  | $ | (1,667) |  |  |  |  |
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) |  |  |  |  |
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 Unaudited Consolidated Statements of Operations. Net realized gains or losses on forward contracts recognized by the Company for the three months ended March 31, 2023 and 2022 are shown in the following table:
| Three Months Ended |  | Three Months Ended |  |  |  |
($ in thousands) | March 31, 2023 |  | March 31, 2022 |  |  |  |
Forward currency contracts | $ | (14,218) |  |  | $ | 438 |  |  |  |  |
Net unrealized appreciation or depreciation on forward currency contracts are included in “Net unrealized appreciation (depreciation) - foreign currency transactions” in the Company’s Unaudited Consolidated Statements of Operations. Net unrealized appreciation or depreciation on forward contracts recognized by the Company for the three months ended March 31, 2023 and 2022 are shown in the following table:
| Three Months Ended |  | Three Months Ended |  |  |  |
($ in thousands) | March 31, 2023 |  | March 31, 2022 |  |  |  |
Forward currency contracts | $ | 13,502 |  |  | $ | (903) |  |  |  |  |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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