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DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2024
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 March 31, 2024 and December 31, 2023:
As of March 31, 2024 Description ($ in thousands) |  |  | Counterparty |  |  |  | Settlement Date |  | Notional Amount |  | Value |  | Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement |  |  | Barings LLC |  |  |  | 01/01/31 |  | $ | 23,000 |  |  | $ | 16,050 |  |  | $ | 2,450 |
Total MVC Credit Support Agreement |  |  |  |  |  |  |  |  |  | $ | 2,450 |
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 |
The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of March 31, 2024 and December 31, 2023:
As of March 31, 2024 Description ($ in thousands) |  |  | Counterparty |  |  |  | Settlement Date |  | Notional Amount |  | Value |  | Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement |  |  | Barings LLC |  |  |  | 04/01/32 |  | $ | 100,000 |  |  | $ | 35,400 |  |  | $ | (9,000) |
Total Sierra Credit Support Agreement |  |  |  |  |  |  |  |  |  | $ | (9,000) |
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) |
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 March 31, 2024 and December 31, 2023. The weighted average range of unobservable inputs is based on fair value of investments.
March 31, 2024: ($ 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) | $ | 1,340,742 |  |  | Yield Analysis |  | Market Yield |  | 6.1% – 27.0% |  | 11.3% |  | Decrease
42,618 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 0.9x – 12.5x |  | 7.4x |  | Increase
190,551 |  |  | Recent Transaction |  | Transaction Price |  | 95.6% – 100.0% |  | 98.0% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 171,135 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 17.7% |  | 13.2% |  | Decrease
48,627 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.0x – 11.0x |  | 7.0x |  | Increase
1,875 |  |  | Recent Transaction |  | Transaction Price |  | 100.0% |  | 100.0% |  | Increase
Structured products(3) | 32,112 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 10.3% |  | 9.6% |  | Decrease
Equity shares(4) | 23,191 |  |  | Yield Analysis |  | Market Yield |  | 10.5% – 14.2% |  | 12.5% |  | Decrease
342,771 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.5x – 27.5x |  | 10.2x |  | Increase
1,762 |  |  | Market Approach |  | Revenue Multiple |  | 6.0x – 9.3x |  | 6.7x |  | Increase
16,055 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 14.5% |  | 14.5% |  | Decrease
3,535 |  |  | Net Asset Approach |  | Liabilities |  | $(64,894.6) |  | $(64,894.6) |  | Decrease
3 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 |  | $2.5 |  | Increase
1,130 |  |  | Recent Transaction |  | Transaction Price |  | $0.00 – $1,037.50 |  | $440.33 |  | Increase
Equity warrants | 2,506 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.3x – 12.5x |  | 7.5x |  | Increase
3 |  |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $21,506, 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 $10,571, 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 $13,097, 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 $2,669, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. During the three months ended March 31, 2024, one equity position with a fair value of $14.2 million transitioned from a market approach to a yield analysis valuation model. In addition, two senior debt and first lien note positions with a fair value of $16.0 million transitioned from a yield analysis to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company.
December 31, 2023: ($ 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) | $ | 1,399,907 |  |  | Yield Analysis |  | Market Yield |  | 7.8% – 19.6% |  | 11.7% |  | Decrease
32,150 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 1.10x – 12.5x |  | 3.7x |  | Increase
136,594 |  |  | Recent Transaction |  | Transaction Price |  | 95.0% – 100.0% |  | 97.9% |  | Increase
Subordinated debt and 2 nd 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 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 $10,847, 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 $12,443, 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 $7,498, which the Adviser 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 $3.3 million transitioned from a discounted cash flow analysis to a broker quote valuation model. Lastly, one equity position with a fair value of nil transitioned from an expected recovery to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of March 31, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.
March 31, 2024: ($ 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 | $ | 16,050 |  |  | Income Approach |  | Discount Rate |  | 6.7% - 7.7% |  | 7.2% |  | Decrease
|  | Time Until Exit (years) |  | 2.3 - 5.3 |  | 3.8 |  | Decrease
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) |  | 2.3 - 5.3 |  | 3.8 |  | 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, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.
March 31, 2024: ($ 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 | $ | 35,400 |  |  | Simulation Analysis |  | Enterprise/Equity Value |  | $18 - $168,600 |  | $84,308 |  | Decrease
|  | Asset Volatility |  | 35.0% - 50.0% |  | 42.5% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 7.8 |  | 3.9 |  | Decrease
|  | Discount Rate |  | 7.2% |  | 7.2% |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Increase
December 31, 2023: ($ 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/Equity Value |  | $91 - $159,700 |  | $79,900 |  | Decrease
|  | Asset Volatility |  | 35.0% - 50.0% |  | 42.5% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 8.1 |  | 4.1 |  | Decrease
|  | Discount Rate |  | 5.7% |  | 5.7% |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Increase
Schedule of Foreign Currency Forward Contracts | The following tables present the Company’s foreign currency forward contracts as of March 31, 2024 and December 31, 2023:
As of March 31, 2024 Description ($ 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$69,834 |  | $45,588 |  | 04/08/24 |  | $ | (22) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (AUD) |  | $905 |  | A$1,384 |  | 04/08/24 |  | 2 |  |  |  |  | Derivative assets
Foreign currency forward contract (AUD) |  | $890 |  | A$1,327 |  | 04/08/24 |  | 24 |  |  |  |  | Derivative assets
Foreign currency forward contract (AUD) |  | $45,523 |  | A$67,123 |  | 04/08/24 |  | 1,726 |  |  |  |  | Derivative assets
Foreign currency forward contract (AUD) |  | $45,714 |  | A$69,853 |  | 07/08/24 |  | 21 |  |  |  |  | Derivative assets
Foreign currency forward contract (CAD) |  | C$282 |  | $211 |  | 04/08/24 |  | (3) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (CAD) |  | C$9,611 |  | $7,074 |  | 04/08/24 |  | 29 |  |  |  |  | Derivative assets
Foreign currency forward contract (CAD) |  | $7,437 |  | C$9,893 |  | 04/08/24 |  | 125 |  |  |  |  | Derivative assets
Foreign currency forward contract (CAD) |  | $7,192 |  | C$9,759 |  | 07/08/24 |  | (30) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (DKK) |  | 2,461kr. |  | $357 |  | 04/08/24 |  | (1) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (DKK) |  | $6 |  | 44kr. |  | 04/08/24 |  | — |  |  |  |  | Derivative assets
Foreign currency forward contract (DKK) |  | $357 |  | 2,417kr. |  | 04/08/24 |  | 6 |  |  |  |  | Derivative assets
Foreign currency forward contract (DKK) |  | $361 |  | 2,477kr. |  | 07/08/24 |  | 1 |  |  |  |  | Derivative assets
Foreign currency forward contract (EUR) |  | €85,546 |  | $92,584 |  | 04/08/24 |  | (177) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (EUR) |  | $4,348 |  | €4,000 |  | 04/08/24 |  | 27 |  |  |  |  | Derivative assets
Foreign currency forward contract (EUR) |  | $89,642 |  | €81,546 |  | 04/08/24 |  | 1,556 |  |  |  |  | Derivative assets
Foreign currency forward contract (EUR) |  | $97,565 |  | €89,811 |  | 07/08/24 |  | 185 |  |  |  |  | Derivative assets
Foreign currency forward contract (NZD) |  | NZ$14,769 |  | $8,865 |  | 04/08/24 |  | (31) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (NZD) |  | $166 |  | NZ$273 |  | 04/08/24 |  | 3 |  |  |  |  | Derivative assets
Foreign currency forward contract (NZD) |  | $9,072 |  | NZ$14,496 |  | 04/08/24 |  | 402 |  |  |  |  | Derivative assets
Foreign currency forward contract (NZD) |  | $8,932 |  | NZ$14,880 |  | 07/08/24 |  | 31 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | 44,032kr |  | $4,085 |  | 04/08/24 |  | (26) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (NOK) |  | $82 |  | 864kr |  | 04/08/24 |  | 3 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | $4,187 |  | 43,168kr |  | 04/08/24 |  | 207 |  |  |  |  | Derivative assets
Foreign currency forward contract (NOK) |  | $4,097 |  | 44,064kr |  | 07/08/24 |  | 26 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | £53,186 |  | $67,139 |  | 04/08/24 |  | 50 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | $3,052 |  | £2,394 |  | 04/08/24 |  | 28 |  |  |  |  | Derivative assets
Foreign currency forward contract (GBP) |  | $64,113 |  | £50,792 |  | 04/08/24 |  | (51) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (GBP) |  | $67,585 |  | £53,514 |  | 07/08/24 |  | (52) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (SEK) |  | 15,255kr |  | $1,437 |  | 04/08/24 |  | (10) |  |  |  |  | Derivative liabilities
Foreign currency forward contract (SEK) |  | $1,500 |  | 15,255kr |  | 04/08/24 |  | 73 |  |  |  |  | Derivative assets
Foreign currency forward contract (SEK) |  | $1,480 |  | 15,652kr |  | 07/08/24 |  | 11 |  |  |  |  | Derivative assets
Foreign currency forward contract (CHF) |  | 5,526Fr. |  | $6,100 |  | 04/08/24 |  | 38 |  |  |  |  | Derivative assets
Foreign currency forward contract (CHF) |  | $6,575 |  | 5,526Fr. |  | 04/08/24 |  | 437 |  |  |  |  | Derivative assets
Foreign currency forward contract (CHF) |  | $6,134 |  | 5,501Fr. |  | 07/08/24 |  | (39) |  |  |  |  | Derivative liabilities
Total |  |  |  |  |  | $ | 4,569 |  |  |  |  |
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) |  |  |  |  |

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