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Derivative Instruments (Tables)

12 Months Ended

Dec. 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 December 31, 2023 and 2022:

As of December 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					$	17,300					$	3,700
Total MVC Credit Support Agreement																																							$	3,700

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 presents the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of December 31, 2023 and December 31, 2022:

As of December 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					$	40,500					$	(3,900)
Total Sierra Credit Support Agreement																																							$	(3,900)

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

December 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)

$

1,399,907

Yield Analysis

Market Yield

7.8% – 19.6%

11.7%

Decrease

32,150

Market Approach

Adjusted EBITDA Multiple

1.1x – 12.5x

3.7x

Increase

136,594

Recent Transaction

Transaction Price

95.0% – 100.0%

97.9%

Increase

Subordinated debt and 2nd lien notes(2)

167,250

Yield Analysis

Market Yield

8.5% – 18.9%

13.5%

Decrease

39,826

Market Approach

Adjusted EBITDA Multiple

7.0x – 12.3x

8.2x

Increase

5,875

Recent Transaction

Transaction Price

98.0% – 100.0%

99.3%

Increase

Structured products(3)

30,529

Yield Analysis

Market Yield

9.2% – 10.3%

9.7%

Decrease

Equity shares(4)

8,788

Yield Analysis

Market Yield

14.6%

14.6%

Decrease

328,210

Market Approach

Adjusted EBITDA Multiple

4.5x – 30.0x

10.6x

Increase

1,771

Market Approach

Revenue Multiple

6.5x – 9.5x

6.9x

Increase

12,159

Discounted Cash Flow Analysis

Discount Rate

14.2%

14.2%

Decrease

3,196

Net Asset Approach

Liabilities

$(55,281.8)

$(55,281.8)

Decrease

3

Expected Recovery

Expected Recovery

$2.5

$2.5

Increase

12,947

Recent Transaction

Transaction Price

$1.00 – $10.00

$9.5

Increase

Equity warrants

2,389

Market Approach

Adjusted EBITDA Multiple

6.3x – 12.5x

7.3x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

(1)Excludes investments with an aggregate fair value amounting to $25,146, 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 $10,847, 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 $12,443, 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 $7,498, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

During the year ended December 31, 2023, one equity position with a fair value of $5.3 million and six senior debt and first lien note positions with a fair value of $20.0 million transitioned from a yield analysis to a market approach valuation model. In addition, one senior debt and first lien note position with a fair value of $9.9 million and one structured product position with a fair value of $3.3 million transitioned from a discounted cash flow analysis to a broker quote valuation model. Lastly, one equity position with a fair value of nil transitioned from an expected recovery to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company.

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

December 31, 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

$

17,300

Income Approach

Discount Rate

6.7% - 7.7%

7.2%

Decrease

Time Until Exit (years)

2.5 - 5.5

4.0

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

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

December 31, 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

$

40,500

Simulation Analysis

Enterprise Value

$91 - $159,700

$79,900

Decrease

Asset Volatility

35.0% - 50.0%

42.5%

Increase

Time Until Exit (years)

0 - 8.1

4.1

Decrease

Discount Rate

5.7%

5.7%

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 December 31, 2023 and 2022:

As of December 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)

$830

A$1,264

01/10/24

$

(33)

Derivative liabilities

Foreign currency forward contract (AUD)

$41,568

A$64,984

01/10/24

(2,784)

Derivative liabilities

Foreign currency forward contract (CAD)

$126

C$173

01/10/24

(4)

Derivative liabilities

Foreign currency forward contract (CAD)

$7,032

C$9,597

01/10/24

(247)

Derivative liabilities

Foreign currency forward contract (DKK)

$9

65kr.

01/10/24

—

Derivative liabilities

Foreign currency forward contract (DKK)

$7

47kr.

01/10/24

—

Derivative liabilities

Foreign currency forward contract (DKK)

$333

2,354kr.

01/10/24

(16)

Derivative liabilities

Foreign currency forward contract (EUR)

$86,266

€81,489

01/10/24

(3,775)

Derivative liabilities

Foreign currency forward contract (NZD)

$159

NZ$271

01/10/24

(12)

Derivative liabilities

Foreign currency forward contract (NZD)

$170

NZ$270

01/10/24

(1)

Derivative liabilities

Foreign currency forward contract (NZD)

$8,287

NZ$13,912

01/10/24

(522)

Derivative liabilities

Foreign currency forward contract (NOK)

$72

kr740

01/10/24

(1)

Derivative liabilities

Foreign currency forward contract (NOK)

$3,920

kr42,309

01/10/24

(247)

Derivative liabilities

Foreign currency forward contract (GBP)

$60,925

£50,203

01/10/24

(3,077)

Derivative liabilities

Foreign currency forward contract (SEK)

$24

261kr

01/10/24

(2)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,190

12,500kr

01/10/24

(51)

Derivative liabilities

Foreign currency forward contract (SEK)

$203

2,228kr

01/10/24

(18)

Derivative liabilities

Foreign currency forward contract (CHF)

$124

104Fr.

01/10/24

1

Derivative assets

Foreign currency forward contract (CHF)

$5,966

5,418Fr.

01/10/24

(475)

Derivative liabilities

Total

$

(11,264)

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)

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