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DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2024 and December 31, 2023:

As of June 30, 2024 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement									Barings LLC												01/01/31						$	23,000					$	17,946					$	4,346
Total MVC Credit Support Agreement																																							$	4,346

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 June 30, 2024 and December 31, 2023:

As of June 30, 2024 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement									Barings LLC												04/01/32						$	100,000					$	32,600					$	(11,800)
Total Sierra Credit Support Agreement																																							$	(11,800)

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 June 30, 2024 and December 31, 2023. The weighted average range of unobservable inputs is based on fair value of investments.

June 30, 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)

$

1,352,872

Yield Analysis

Market Yield

8.1% – 22.0%

11.5%

Decrease

44,784

Market Approach

Adjusted EBITDA Multiple

1.9x – 11.5x

7.4x

Increase

105,185

Recent Transaction

Transaction Price

95.0% – 99.5%

98.3%

Increase

Subordinated debt and 2nd lien notes(2)

152,920

Yield Analysis

Market Yield

8.5% – 18.0%

13.3%

Decrease

53,325

Market Approach

Adjusted EBITDA Multiple

6.0x – 23.2x

10.8x

Increase

709

Recent Transaction

Transaction Price

98.0%

98.0%

Increase

Structured products(3)

32,298

Yield Analysis

Market Yield

9.1% – 10.3%

9.6%

Decrease

Equity shares(4)

29,729

Yield Analysis

Market Yield

9.7% – 25.7%

14.3%

Decrease

322,402

Market Approach

Adjusted EBITDA Multiple

3.8x – 27.0x

15.4x

Increase

1,617

Market Approach

Revenue Multiple

5.5x – 9.0x

6.4x

Increase

16,086

Discounted Cash Flow Analysis

Discount Rate

14.4%

14.4%

Decrease

3,535

Net Asset Approach

Liabilities

$(76,365.9)

$(76,365.9)

Decrease

68

Expected Recovery

Expected Recovery

$0.00 – $65.9

$63.6

Increase

277

Recent Transaction

Transaction Price

$0.00 – $100.00

$100.00

Increase

Equity warrants

2,621

Market Approach

Adjusted EBITDA Multiple

6.3x – 11.5x

7.7x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

Royalty rights

3,871

Recent Transaction

Transaction Price

$1.00

$1.00

Increase

(1)Excludes investments with an aggregate fair value amounting to $17,106, 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 $6,069, 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 $13,202, 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 $8,881, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

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

1.1x – 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 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.

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 June 30, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.

June 30, 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

$

17,946

Income Approach

Discount Rate

6.6% - 7.6%

7.1%

Decrease

Time Until Exit (years)

2.0 - 5.0

3.5

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 June 30, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.

June 30, 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

$

32,600

Simulation Analysis

Enterprise/Equity Value

$0 - $160,200

$80,100

Decrease

Asset Volatility

35.0% - 100.0%

67.5%

Increase

Time Until Exit (years)

0.0 - 7.6

3.8

Decrease

Discount Rate

6.9%

6.9%

Decrease

Recovery Rate

5.0% - 60.0%

32.5%

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 June 30, 2024 and December 31, 2023:

As of June 30, 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$71,210

$47,693

07/08/24

$

(129)

Derivative liabilities

Foreign currency forward contract (AUD)

$46,598

A$71,210

07/08/24

(967)

Derivative liabilities

Foreign currency forward contract (AUD)

$48,403

A$72,096

10/08/24

139

Derivative assets

Foreign currency forward contract (CAD)

C$240

$175

07/08/24

—

Derivative assets

Foreign currency forward contract (CAD)

C$215

$158

07/08/24

(1)

Derivative liabilities

Foreign currency forward contract (CAD)

C$9,305

$6,802

07/08/24

(1)

Derivative liabilities

Foreign currency forward contract (CAD)

$7,192

C$9,759

07/08/24

59

Derivative assets

Foreign currency forward contract (CAD)

$6,839

C$9,334

10/07/24

1

Derivative assets

Foreign currency forward contract (DKK)

2,477kr.

$361

07/08/24

(5)

Derivative liabilities

Foreign currency forward contract (DKK)

$361

2,477kr.

07/08/24

5

Derivative assets

Foreign currency forward contract (DKK)

$369

2,518kr.

10/07/24

5

Derivative assets

Foreign currency forward contract (EUR)

€94,252

$102,329

07/08/24

(1,286)

Derivative liabilities

Foreign currency forward contract (EUR)

$97,565

€89,811

07/08/24

1,283

Derivative assets

Foreign currency forward contract (EUR)

$4,783

€4,441

07/08/24

22

Derivative assets

Foreign currency forward contract (EUR)

$103,034

€94,497

10/07/24

1,285

Derivative assets

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$15,166

$9,428

07/08/24

(187)

Derivative liabilities

Foreign currency forward contract (NZD)

$176

NZ$285

07/08/24

2

Derivative assets

Foreign currency forward contract (NZD)

$8,932

NZ$14,880

07/08/24

(136)

Derivative liabilities

Foreign currency forward contract (NZD)

$9,464

NZ$15,226

10/07/24

187

Derivative assets

Foreign currency forward contract (NOK)

44,794kr

$4,267

07/08/24

(60)

Derivative liabilities

Foreign currency forward contract (NOK)

$69

730kr

07/08/24

1

Derivative assets

Foreign currency forward contract (NOK)

$4,097

44,064kr

07/08/24

(42)

Derivative liabilities

Foreign currency forward contract (NOK)

$4,281

44,849kr

10/07/24

59

Derivative assets

Foreign currency forward contract (GBP)

£59,714

$76,691

07/08/24

(1,204)

Derivative liabilities

Foreign currency forward contract (GBP)

$4,122

£3,279

07/08/24

(24)

Derivative liabilities

Foreign currency forward contract (GBP)

$3,665

£2,920

07/08/24

(27)

Derivative liabilities

Foreign currency forward contract (GBP)

$67,585

£53,514

07/08/24

(64)

Derivative liabilities

Foreign currency forward contract (GBP)

$75,927

£59,086

10/07/24

1,184

Derivative assets

Foreign currency forward contract (SEK)

15,652kr

$1,522

07/08/24

(43)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,480

15,652kr

07/08/24

2

Derivative assets

Foreign currency forward contract (SEK)

$1,578

16,153kr

10/07/24

45

Derivative assets

Foreign currency forward contract (CHF)

5,583Fr.

$6,283

07/08/24

(65)

Derivative liabilities

Foreign currency forward contract (CHF)

$6,134

5,501Fr.

07/08/24

8

Derivative assets

Foreign currency forward contract (CHF)

$91

82Fr.

07/08/24

(1)

Derivative liabilities

Foreign currency forward contract (CHF)

$6,392

5,622Fr.

10/07/24

63

Derivative assets

Total

$

108

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

$173

01/10/24

(4)

Derivative liabilities

Foreign currency forward contract (CAD)

$7,032

$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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