XML 27 R17.htm IDEA: XBRL DOCUMENT
v3.23.1

DERIVATIVE INSTRUMENTS | 3 Months Ended
--- | ---
Mar. 31, 2023
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 $23.0 million relating to the net cumulative realized and unrealized losses on the acquired MVC investment portfolio over a 10-year period. See “Note 2 – Agreements and Related Party Transactions” for additional information regarding the MVC Credit Support Agreement. Net unrealized appreciation or depreciation on the MVC Credit Support Agreement is included in “Net unrealized appreciation (depreciation) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations. The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the MVC Credit Support Agreement as of March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ 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) |
As of March 31, 2023 and December 31, 2022, the fair value of the MVC Credit Support Agreement was $13.3 million and $12.4 million, respectively, and is included in “Credit support agreements” in the accompanying Unaudited and Audited Consolidated Balance Sheets. The fair value of the MVC Credit Support Agreement was determined based on an income approach, with the primary input being the discount rate which is a Level 3 input. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of March 31, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.
March 31, 2023: ($ 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
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 $100.0 million relating to the net cumulative realized and unrealized losses on the acquired Sierra investment portfolio over a 10-year period. See “Note 2 – Agreements and Related Party Transactions” for additional information regarding the Sierra Credit Support Agreement. Net unrealized appreciation or depreciation on the Sierra Credit Support Agreement is included in “Net unrealized appreciation (depreciation) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations. The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ 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) |
As of March 31, 2023 and December 31, 2022, the fair value of the Sierra Credit Support Agreement was $45.4 million and $40.7 million, respectively, and is included in “Credit support agreements” in the accompanying Unaudited and Audited Consolidated Balance Sheets. The fair value of the Sierra Credit Support Agreement was determined based on a simulation analysis, with the primary inputs being the enterprise value, a measure of expected asset volatility, the expected time until an exit event for each portfolio company in the Sierra Reference Portfolio and the Recovery Rate, which are all Level 3 inputs. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 Sierra Credit Support Agreement as of March 31, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.
March 31, 2023: ($ 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 |  | $201,800 |  | Decrease
|  | Asset Volatility |  | 37.5% - 70.0% |  | 53.8% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 9.1 |  | 4.6 |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Decrease
Foreign Currency Forward Contracts The Company enters into forward currency contracts from time to time to primarily help mitigate the impact that an adverse change in foreign exchange rates would have on net interest income from the Company’s investments and related borrowings denominated in foreign currencies. Forward currency contracts are considered undesignated derivative instruments. The following tables present the Company’s foreign currency forward contracts as of March 31, 2023 and December 31, 2022:
As of March 31, 2023 Description ($ 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) |  |  |  |  |
As of March 31, 2023 and December 31, 2022, the total fair value of the Company’s foreign currency forward contracts was $(1.7) million and $(15.2) million, respectively. The fair values of the Company’s foreign currency forward contracts are based on unadjusted prices from independent pricing services and independent indicative broker quotes, which are Level 2 inputs. Net realized gains or losses on forward currency contracts are included in “Net realized gains (losses) - foreign currency transactions” in the Company’s Unaudited Consolidated Statements of Operations. Net realized gains or losses on forward contracts recognized by the Company for the three months ended March 31, 2023 and 2022 are shown in the following table:
| Three Months Ended |  | Three Months Ended |  |  |  |
($ 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) |  |  |  |  |

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