DERIVATIVE INSTRUMENTS

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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, 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

As of March 31, 2024 and December 31, 2023, the fair value of the MVC Credit Support Agreement was $16.1 million and $17.3 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 inputs being the discount rate and the expected time until an exit event for each portfolio company in the MVC Reference Portfolio, 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 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

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, 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)

As of March 31, 2024 and December 31, 2023, the fair value of the Sierra Credit Support Agreement was $35.4 million and $40.5 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, the Discount Rate 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, 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%

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%

Decrease

Recovery Rate

0.0% - 70.0%

35.0%

Increase

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, 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

Derivative assets

Foreign currency forward contract (AUD)

$890

A$1,327

04/08/24

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

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

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)

44kr.

04/08/24

—

Derivative assets

Foreign currency forward contract (DKK)

$357

2,417kr.

04/08/24

Derivative assets

Foreign currency forward contract (DKK)

$361

2,477kr.

07/08/24

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

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

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

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

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

Derivative assets

Foreign currency forward contract (GBP)

£53,186

$67,139

04/08/24

Derivative assets

Foreign currency forward contract (GBP)

$3,052

£2,394

04/08/24

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

Derivative assets

Foreign currency forward contract (SEK)

$1,480

15,652kr

07/08/24

Derivative assets

Foreign currency forward contract (CHF)

5,526Fr.

$6,100

04/08/24

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)

65kr.

01/10/24

—

Derivative liabilities

Foreign currency forward contract (DKK)

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

Derivative assets

Foreign currency forward contract (CHF)

$5,966

5,418Fr.

01/10/24

(475)

Derivative liabilities

Total

(11,264)

As of March 31, 2024 and December 31, 2023, the total fair value of the Company’s foreign currency forward contracts was $4.6 million and $(11.3) 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.