DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value and Aggregate Unrealized Appreciation (Depreciation)

The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the MVC Credit Support Agreement as of September 30, 2023 and December 31, 2022:


As of September 30, 2023 Description ($ in thousands)	Counterparty	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement	Barings LLC	01/01/31	$	23,000	$	16,800	$	3,200

Total MVC Credit Support Agreement							$	3,200


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 September 30, 2023 and December 31, 2022:


As of September 30, 2023 Description ($ in thousands)	Counterparty	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement	Barings LLC	04/01/32	$	100,000	$	37,400	$	(7,000)

Total Sierra Credit Support Agreement							$	(7,000)


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 Significant Unobservable Inputs used in Valuation

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 September 30, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of investments.

September 30, 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)

1,397,313

Yield Analysis

Market Yield

7.3% – 41.4%

12.2%

Decrease

13,132

Market Approach

Adjusted EBITDA Multiple

5.0x – 5.8x

5.1x

Increase

1,127

Market Approach

Revenue Multiple

0.2x

Increase

167,325

Recent Transaction

Transaction Price

96.1% – 100.0%

97.6%

Increase

Subordinated debt and 2nd lien notes(2)

172,950

Yield Analysis

Market Yield

9.0% – 18.9%

13.6%

Decrease

21,563

Market Approach

Adjusted EBITDA Multiple

7.0x – 12.50x

9.3x

Increase

3,176

Recent Transaction

Transaction Price

100.0%

Increase

Structured products(3)

23,519

Yield Analysis

Market Yield

8.8% – 11.0%

9.5%

Decrease

Equity shares(4)

8,518

Yield Analysis

Market Yield

14.2% – 15.5%

14.9%

Decrease

330,192

Market Approach

Adjusted EBITDA Multiple

1.8x – 35.0x

10.6x

Increase

1,452

Market Approach

Revenue Multiple

0.2x – 9.5x

6.7x

Increase

3,026

Net Asset Approach

Liabilities

$(44,742.4)

Decrease

1,402

Expected Recovery

$2.5 – $1,400.0

$1,397.5

Increase

3,326

Recent Transaction

Transaction Price

$1.00 – $1,000.00

$171.5

Increase

Equity warrants

1,243

Market Approach

Adjusted EBITDA Multiple

5.0x – 14.0x

7.9x

Increase

Expected Recovery

$3.0

Increase

(1)Excludes investments with an aggregate fair value amounting to $23,430, 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 $45,908, 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 $12,081, 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 $7,705, 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

Increase

1,263

Market Approach

Revenue Multiple

0.2x

Increase

13,153

Discounted Cash Flow Analysis

Discount Rate

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

Increase

513

Recent Transaction

Transaction Price

97.3%

Increase

Structured products(3)

3,792

Discounted Cash Flow Analysis

Discount Rate

10.4%

Decrease

5,239

Recent Transaction

Transaction Price

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

Increase

1,932

Net Asset Approach

Liabilities

$(8,941.8)

Decrease

112

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

Expected Recovery

$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 September 30, 2023 and December 31, 2022. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.

September 30, 2023:

($ in thousands)

Fair Value

Valuation
Model

Level 3
Input

Range of
Inputs

Average

Impact to Valuation from an Increase in Input

MVC Credit Support Agreement

16,800

Income Approach

Discount Rate

7.0% - 8.0%

7.5%

Decrease

Time Until Exit (years)

2.8 - 5.8

4.3

Decrease

December 31, 2022:

($ in thousands)

Fair Value

Valuation
Model

Level 3
Input

Range of
Inputs

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 September 30, 2023 and December 31, 2022. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.

September 30, 2023:

($ in thousands)

Fair Value

Valuation
Model

Level 3
Input

Range of
Inputs

Average

Impact to Valuation from an Increase in Input

Sierra Credit Support Agreement

37,400

Simulation Analysis

Enterprise Value

$91 - $150,800

$75,446

Decrease

Asset Volatility

35.0% - 70.0%

52.5%

Increase

Time Until Exit (years)

0.0 - 8.3

4.2

Decrease

Discount Rate

7.1%

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

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 September 30, 2023 and December 31, 2022:

As of September 30, 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$4,471

$3,035

10/10/23

(149)

Derivative liabilities

Foreign currency forward contract (AUD)

A$2,000

$1,281

10/10/23

Derivative assets

Foreign currency forward contract (AUD)

$47,086

A$70,298

10/10/23

1,706

Derivative assets

Foreign currency forward contract (CAD)

$7,011

C$9,229

10/10/23

184

Derivative assets

Foreign currency forward contract (CAD)

$130

C$176

10/10/23

—

Derivative assets

Foreign currency forward contract (DKK)

$13

89kr.

10/10/23

—

Derivative assets

Foreign currency forward contract (DKK)

$342

2,312kr.

10/10/23

Derivative assets

Foreign currency forward contract (EUR)

€5,000

$5,289

10/10/23

Derivative assets

Foreign currency forward contract (EUR)

€2,000

$2,203

10/10/23

(85)

Derivative liabilities

Foreign currency forward contract (EUR)

$86,143

€78,162

10/10/23

3,366

Derivative assets

Foreign currency forward contract (NZD)

$8,491

NZ$13,780

10/10/23

212

Derivative assets

Foreign currency forward contract (NZD)

$160

NZ$257

10/10/23

Derivative assets

Foreign currency forward contract (NOK)

$3,918

kr42,019

10/10/23

(32)

Derivative liabilities

Foreign currency forward contract (GBP)

£4,000

$4,879

10/02/23

Derivative assets

Foreign currency forward contract (GBP)

£1,000

$1,216

10/10/23

Derivative assets

Foreign currency forward contract (GBP)

$52,028

£41,019

10/10/23

1,960

Derivative assets

Foreign currency forward contract (GBP)

$1,464

£1,200

10/10/23

—

Derivative liabilities

Foreign currency forward contract (GBP)

$8,965

£6,976

10/10/23

450

Derivative assets

Foreign currency forward contract (GBP)

$3,152

£2,500

10/10/23

101

Derivative assets

Foreign currency forward contract (SEK)

$226

2,407kr

10/10/23

Derivative assets

Foreign currency forward contract (CHF)

$79

68Fr.

10/10/23

Derivative assets

Foreign currency forward contract (CHF)

$5,690

5,031Fr.

10/10/23

187

Derivative assets

Foreign currency forward contract (CHF)

$305

260Fr.

10/10/23

Derivative assets

Total

7,974

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

Derivative assets

Foreign currency forward contract (CAD)

C$9,285

$6,819

01/09/23

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

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

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

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)

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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