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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

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 1st 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 2nd 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 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

1.10x – 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 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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