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Derivative Instruments

12 Months Ended

Dec. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Derivative Instruments

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 Consolidated Statements of Operations.

The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the MVC Credit Support Agreement as of December 31, 2024 and 2023:

As of December 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					$	19,250					$	5,650
Total MVC Credit Support Agreement																																							$	5,650

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 December 31, 2024 and 2023, the fair value of the MVC Credit Support Agreement was $19.3 million and $17.3 million, respectively, and is included in “Credit support agreements” in the accompanying 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 December 31, 2024 and 2023. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.

December 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

$

19,250

Income Approach

Discount Rate

5.4% - 6.4%

5.9%

Decrease

Time Until Exit (years)

1.5 - 4.5

3.0

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)

2.5 - 5.5

4.0

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 Consolidated Statements of Operations.    

The following tables presents the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of December 31, 2024 and December 31, 2023:

As of December 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					$	44,200					$	(200)
Total Sierra Credit Support Agreement																																							$	(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)

As of December 31, 2024 and December 31, 2023, the fair value of the Sierra Credit Support Agreement was $44.2 million and $40.5 million, respectively, and is included in “Credit support agreements” in the accompanying 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/equity 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 December 31, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.

December 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

$

44,200

Simulation Analysis

Enterprise Value

$15 - $393,900

$196,958

Decrease

Asset Volatility

25.0% - 55.0%

40.0%

Increase

Time Until Exit (years)

0 - 6.6

3.3

Decrease

Discount Rate

6.3%

6.3%

Decrease

Recovery Rate

5.0% - 70.0%

37.5%

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 Value / 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

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 December 31, 2024 and 2023:

As of December 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$7,000

$4,519

01/08/25

$

(185)

Derivative liabilities

Foreign currency forward contract (AUD)

A$64,484

$41,090

01/08/25

(1,164)

Derivative liabilities

Foreign currency forward contract (AUD)

A$8,000

$5,010

04/07/25

(56)

Derivative liabilities

Foreign currency forward contract (AUD)

$954

A$1,478

01/08/25

39

Derivative assets

Foreign currency forward contract (AUD)

$965

A$1,411

01/08/25

92

Derivative assets

Foreign currency forward contract (AUD)

$46,948

A$68,596

01/08/25

4,477

Derivative assets

Foreign currency forward contract (AUD)

$41,247

A$64,724

04/07/25

1,167

Derivative assets

Foreign currency forward contract (CAD)

C$8,709

$6,161

01/08/25

(105)

Derivative liabilities

Foreign currency forward contract (CAD)

C$7,000

$4,896

04/07/25

(11)

Derivative liabilities

Foreign currency forward contract (CAD)

$6,461

C$8,709

01/08/25

404

Derivative assets

Foreign currency forward contract (CAD)

$72

C$103

04/07/25

—

Derivative liabilities

Foreign currency forward contract (CAD)

$6,326

C$8,913

04/07/25

107

Derivative assets

Foreign currency forward contract (DKK)

2,570kr.

$362

01/08/25

(5)

Derivative liabilities

Foreign currency forward contract (DKK)

$385

2,570kr.

01/08/25

28

Derivative assets

Foreign currency forward contract (DKK)

$370

2,615kr.

04/07/25

5

Derivative assets

Foreign currency forward contract (EUR)

€4,658

$4,921

01/08/25

(96)

Derivative liabilities

Foreign currency forward contract (EUR)

€95,436

$100,299

01/08/25

(1,455)

Derivative liabilities

Foreign currency forward contract (EUR)

$111,003

€99,494

01/08/25

7,955

Derivative assets

Foreign currency forward contract (EUR)

$671

€600

01/08/25

50

Derivative assets

Foreign currency forward contract (EUR)

$100,856

€95,570

04/07/25

1,467

Derivative assets

Foreign currency forward contract (NZD)

NZ$15,538

$9,003

01/08/25

(297)

Derivative liabilities

Foreign currency forward contract (NZD)

$198

NZ$312

01/08/25

23

Derivative assets

Foreign currency forward contract (NZD)

$9,538

NZ$15,226

01/08/25

1,007

Derivative assets

Foreign currency forward contract (NZD)

$9,187

NZ$15,840

04/07/25

302

Derivative assets

Foreign currency forward contract (NOK)

45,770kr

$4,104

01/08/25

(75)

Derivative liabilities

Foreign currency forward contract (NOK)

$83

921kr

01/08/25

2

Derivative assets

Foreign currency forward contract (NOK)

$4,273

44,849kr

01/08/25

325

Derivative assets

Foreign currency forward contract (NOK)

$4,132

46,087kr

04/07/25

75

Derivative assets

Foreign currency forward contract (GBP)

£5,800

$7,272

01/08/25

(8)

Derivative liabilities

Foreign currency forward contract (GBP)

£59,563

$75,949

01/08/25

(1,356)

Derivative liabilities

Foreign currency forward contract (GBP)

$1,789

£1,382

01/08/25

59

Derivative assets

Foreign currency forward contract (GBP)

$85,174

£63,981

01/08/25

5,047

Derivative assets

Foreign currency forward contract (GBP)

$75,962

£59,607

04/07/25

1,363

Derivative assets

Foreign currency forward contract (SEK)

16,492kr

$1,505

01/08/25

(12)

Derivative liabilities

Foreign currency forward contract (SEK)

$34

339kr

01/08/25

3

Derivative assets

Foreign currency forward contract (SEK)

$1,593

16,153kr

01/08/25

130

Derivative assets

Foreign currency forward contract (SEK)

$1,541

16,805kr

04/07/25

12

Derivative assets

As of December 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 (CHF)

5,622Fr.

$6,378

01/08/25

(173)

Derivative liabilities

Foreign currency forward contract (CHF)

$6,706

5,622Fr.

01/08/25

502

Derivative assets

Foreign currency forward contract (CHF)

$6,511

5,685Fr.

04/07/25

175

Derivative assets

Total

$

19,818

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)

As of December 31, 2024 and 2023, the total fair value of the Company’s foreign currency forward contracts was $19.8 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.

X

- References

No definition available.

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- Definition

The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 815
-SubTopic 40
-Name Accounting Standards Codification
-Section 50
-Paragraph 5
-Subparagraph (f)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480237/815-40-50-5

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 5C
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 815
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org/815/tableOfContent

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