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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

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 1st 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 2nd 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 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

$(8,941.8)

$(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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