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DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 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 September 30, 2024 and December 31, 2023:

As of September 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					$	19,000					$	5,400
Total MVC Credit Support Agreement																																							$	5,400

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 September 30, 2024 and December 31, 2023:

As of September 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					$	32,200					$	(12,200)
Total Sierra Credit Support Agreement																																							$	(12,200)

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

September 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)

$

1,365,234

Yield Analysis

Market Yield

6.6% – 75.9%

10.5%

Decrease

48,076

Market Approach

Adjusted EBITDA Multiple

0.5x – 10.5x

7.8x

Increase

134,738

Recent Transaction

Transaction Price

97.0% – 99.5%

98.3%

Increase

Subordinated debt and 2nd lien notes(2)

127,431

Yield Analysis

Market Yield

8.6% – 18.1%

12.3%

Decrease

52,566

Market Approach

Adjusted EBITDA Multiple

5.6x – 23.9x

10.4x

Increase

1,012

Recent Transaction

Transaction Price

98.0% – 100.0%

98.6%

Increase

Structured products(3)

32,903

Yield Analysis

Market Yield

7.6% – 10.3%

8.3%

Decrease

Equity shares(4)

29,008

Yield Analysis

Market Yield

11.2% – 33.5%

15.7%

Decrease

323,252

Market Approach

Adjusted EBITDA Multiple

0.5x – 28.0x

13.5x

Increase

1,473

Market Approach

Revenue Multiple

5.5x – 9.0x

6.2x

Increase

15,677

Discounted Cash Flow Analysis

Discount Rate

14.4%

14.4%

Decrease

3,649

Net Asset Approach

Liabilities

$(88,826.0)

$(88,826.0)

Decrease

64

Expected Recovery

Expected Recovery

$0.00 – $61.5

$59.2

Increase

2,228

Recent Transaction

Transaction Price

$0.98 – $100.00

$11.47

Increase

Equity warrants

2,597

Market Approach

Adjusted EBITDA Multiple

0.5x – 11.6x

7.9x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

Royalty rights

3,819

Yield Analysis

Market Yield

20.6% – 26.4%

23.0%

Decrease

(1)Excludes investments with an aggregate fair value amounting to $11,772, 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 $6,296, 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 $12,779, 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 $2,857, 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 September 30, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.

September 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

$

19,000

Income Approach

Discount Rate

5.4% - 6.4%

5.9%

Decrease

Time Until Exit (years)

1.8 - 4.8

3.3

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

September 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

$

32,200

Simulation Analysis

Enterprise/Equity Value

$14 - $376,000

$188,007

Decrease

Asset Volatility

30.0% - 55.0%

42.5%

Increase

Time Until Exit (years)

0.0 - 7.3

3.7

Decrease

Discount Rate

5.8%

5.8%

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 September 30, 2024 and December 31, 2023:

As of September 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$3,500

$2,369

10/08/24

$

59

Derivative assets

Foreign currency forward contract (AUD)

A$68,596

$46,917

10/08/24

676

Derivative assets

Foreign currency forward contract (AUD)

$48,403

A$72,096

10/08/24

(1,618)

Derivative liabilities

Foreign currency forward contract (AUD)

$965

A$1,411

01/08/25

(14)

Derivative liabilities

Foreign currency forward contract (AUD)

$46,948

A$68,596

01/08/25

(678)

Derivative liabilities

Foreign currency forward contract (CAD)

C$625

$459

10/07/24

4

Derivative assets

Foreign currency forward contract (CAD)

C$8,709

$6,446

10/07/24

2

Derivative assets

Foreign currency forward contract (CAD)

$6,839

C$9,334

10/07/24

(72)

Derivative liabilities

Foreign currency forward contract (CAD)

$6,461

C$8,709

01/08/25

(2)

Derivative liabilities

Foreign currency forward contract (DKK)

2,518kr.

$376

10/07/24

1

Derivative assets

Foreign currency forward contract (DKK)

$369

2,518kr.

10/07/24

(8)

Derivative liabilities

Foreign currency forward contract (DKK)

$385

2,570kr.

01/08/25

(1)

Derivative liabilities

Foreign currency forward contract (EUR)

€94,494

$105,135

10/07/24

346

Derivative assets

Foreign currency forward contract (EUR)

€3,193

$3,471

10/07/24

92

Derivative assets

Foreign currency forward contract (EUR)

$2,431

€2,190

10/07/24

(13)

Derivative liabilities

Foreign currency forward contract (EUR)

$103,034

€94,497

10/07/24

(2,449)

Derivative liabilities

Foreign currency forward contract (EUR)

$1,119

€1,000

10/07/24

2

Derivative assets

Foreign currency forward contract (EUR)

$105,509

€94,494

01/08/25

(368)

Derivative liabilities

Foreign currency forward contract (EUR)

$671

€600

01/08/25

(1)

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$15,226

$9,537

10/07/24

150

Derivative assets

Foreign currency forward contract (NZD)

$9,464

NZ$15,226

10/07/24

(223)

Derivative liabilities

Foreign currency forward contract (NZD)

$198

NZ$312

01/08/25

(1)

Derivative liabilities

Foreign currency forward contract (NZD)

$9,538

NZ$15,226

01/08/25

(151)

Derivative liabilities

Foreign currency forward contract (NOK)

44,849kr

$4,272

10/07/24

(14)

Derivative liabilities

Foreign currency forward contract (NOK)

$4,281

44,849kr

10/07/24

23

Derivative assets

Foreign currency forward contract (NOK)

$4,273

44,849kr

01/08/25

14

Derivative assets

Foreign currency forward contract (GBP)

£1,310

$1,712

10/07/24

45

Derivative assets

Foreign currency forward contract (GBP)

£62,759

$83,647

10/07/24

535

Derivative assets

Foreign currency forward contract (GBP)

$6,455

£4,984

10/07/24

(231)

Derivative liabilities

Foreign currency forward contract (GBP)

$75,927

£59,086

10/07/24

(3,328)

Derivative liabilities

Foreign currency forward contract (GBP)

$83,616

£62,759

01/08/25

(536)

Derivative liabilities

Foreign currency forward contract (SEK)

16,153kr

$1,585

10/07/24

9

Derivative assets

Foreign currency forward contract (SEK)

$1,578

16,153kr

10/07/24

(16)

Derivative liabilities

Foreign currency forward contract (SEK)

$34

339kr

01/08/25

—

Derivative assets

Foreign currency forward contract (SEK)

$1,593

16,153kr

01/08/25

(9)

Derivative liabilities

Foreign currency forward contract (CHF)

5,622Fr.

$6,638

10/07/24

30

Derivative assets

Foreign currency forward contract (CHF)

$6,392

5,622Fr.

10/07/24

(276)

Derivative liabilities

Foreign currency forward contract (CHF)

$6,706

5,622Fr.

01/08/25

(30)

Derivative liabilities

Total

$

(8,051)

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

740kr

01/10/24

(1)

Derivative liabilities

Foreign currency forward contract (NOK)

$3,920

42,309kr

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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