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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2025

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, 2025 and December 31, 2024:

As of March 31, 2025 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
MVC Credit Support Agreement									Barings LLC												01/01/31						$	23,000					$	23,000					$	9,400
Total MVC Credit Support Agreement																																							$	9,400

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

The following tables present the fair value and aggregate unrealized appreciation (depreciation) of the Sierra Credit Support Agreement as of March 31, 2025 and December 31, 2024:

As of March 31, 2025 Description ($ in thousands)									Counterparty												Settlement Date						Notional Amount						Value						Unrealized Appreciation (Depreciation)
Sierra Credit Support Agreement									Barings LLC												04/01/32						$	100,000					$	44,800					$	400
Total Sierra Credit Support Agreement																																							$	400

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)

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, 2025 and December 31, 2024. The weighted average range of unobservable inputs is based on fair value of investments.

March 31, 2025: ($ 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)

$

1,474,172

Yield Analysis

Market Yield

5.4% – 22.1%

10.6%

Decrease

39,634

Market Approach

Adjusted EBITDA Multiple

0.5x – 10.5x

5.7x

Increase

250,306

Recent Transaction

Transaction Price

97.5% – 100.0%

99.0%

Increase

Subordinated debt and 2nd lien notes

89,687

Yield Analysis

Market Yield

8.6% – 20.0%

12.8%

Decrease

49,993

Market Approach

Adjusted EBITDA Multiple

0.9x – 27.7x

13.4x

Increase

792

Recent Transaction

Transaction Price

98.0%

98.0%

Increase

Structured products(2)

2,739

Yield Analysis

Market Yield

9.3% – 10.3%

9.7%

Decrease

469

Expected Recovery

Expected Recovery

$469.4

$469.4

Increase

Equity shares(3)

31,197

Yield Analysis

Market Yield

11.5% – 30.5%

16.1%

Decrease

355,198

Market Approach

Adjusted EBITDA Multiple

0.5x – 28.5x

14.7x

Increase

712

Market Approach

Revenue Multiple

5.5x – 8.5x

5.9x

Increase

19,983

Discounted Cash Flow Analysis

Discount Rate

12.9%

12.9%

Decrease

4,497

Net Asset Approach

Liabilities

$(100,714.1)

$(100,714.1)

Decrease

55

Expected Recovery

Expected Recovery

$2.5 – $52.1

$49.8

Increase

14,602

Recent Transaction

Transaction Price

$0.00 – $1,000.00

$144.06

Increase

Equity warrants

2,799

Market Approach

Adjusted EBITDA Multiple

0.5x – 11.5x

8.7x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

Royalty rights

6,379

Yield Analysis

Market Yield

15.6% – 30.0%

19.6%

Decrease

(1)Excludes investments with an aggregate fair value amounting to $3,680, 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 $20,296, 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 $2,799, 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, 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)

$

1,323,618

Yield Analysis

Market Yield

6.5% – 75.8%

10.5%

Decrease

50,535

Market Approach

Adjusted EBITDA Multiple

0.5x – 11.0x

6.3x

Increase

247,508

Recent Transaction

Transaction Price

95.0% – 100.0%

98.7%

Increase

Subordinated debt and 2nd lien notes(2)

94,912

Yield Analysis

Market Yield

8.0% – 18.6%

12.7%

Decrease

47,775

Market Approach

Adjusted EBITDA Multiple

0.9x – 22.4x

11.7x

Increase

3,791

Expected Recovery

Expected Recovery

$3,790.6

$3,790.6

Increase

702

Recent Transaction

Transaction Price

98.0%

98.0%

Increase

Structured products(3)

28,904

Yield Analysis

Market Yield

7.6% – 10.3%

8.2%

Decrease

1,733

Expected Recovery

Expected Recovery

$1,733.3

$1,733.3

Increase

5,250

Recent Transaction

Transaction Price

100.0%

100.0%

Increase

Equity shares(4)

30,302

Yield Analysis

Market Yield

10.8% – 30.5%

15.7%

Decrease

339,142

Market Approach

Adjusted EBITDA Multiple

0.5x – 28.5x

12.9x

Increase

1,353

Market Approach

Revenue Multiple

5.5x – 8.8x

6.0x

Increase

16,852

Discounted Cash Flow Analysis

Discount Rate

12.9%

12.9%

Decrease

3,875

Net Asset Approach

Liabilities

$(96,678.3)

$(96,678.3)

Decrease

59

Expected Recovery

Expected Recovery

$2.5 – $56.9

$54.6

Increase

10,008

Recent Transaction

Transaction Price

$1.00 – $1,847.58

$1,525.9

Increase

Equity warrants

2,729

Market Approach

Adjusted EBITDA Multiple

0.5x – 11.8x

8.1x

Increase

3

Expected Recovery

Expected Recovery

$3.0

$3.0

Increase

Royalty rights

5,833

Yield Analysis

Market Yield

18.6% – 26.4%

21.0%

Decrease

(1)Excludes investments with an aggregate fair value amounting to $3,840, 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 $6,523, 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 $12,777, 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 $6,884, 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 December 31, 2024. 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

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, 2025 and December 31, 2024. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.

March 31, 2025: ($ 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

$

44,800

Simulation Analysis

Enterprise Value

$44 - $356,400

$178,222

Decrease

Asset Volatility

25.0% - 55.0%

40.0%

Increase

Time Until Exit (years)

0.0 - 6.3

3.2

Decrease

Discount Rate

6.1%

6.1%

Decrease

Recovery Rate

5.0% - 70.0%

37.5%

Increase

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)

0.0 - 6.6

3.3

Decrease

Discount Rate

6.3%

6.3%

Decrease

Recovery Rate

5.0% - 70.0%

37.5%

Increase

Schedule of Foreign Currency Forward Contracts

The following tables present the Company’s foreign currency forward contracts as of March 31, 2025 and December 31, 2024:

As of March 31, 2025 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$8,000

$5,010

04/07/25

$

(25)

Derivative liabilities

Foreign currency forward contract (AUD)

A$57,901

$36,289

04/07/25

(206)

Derivative liabilities

Foreign currency forward contract (AUD)

$747

A$1,178

04/07/25

13

Derivative assets

Foreign currency forward contract (AUD)

$41,247

A$64,724

04/07/25

913

Derivative assets

Foreign currency forward contract (AUD)

$36,510

A$58,216

06/30/25

206

Derivative assets

Foreign currency forward contract (CAD)

C$2,090

$1,457

04/07/25

(4)

Derivative liabilities

Foreign currency forward contract (CAD)

C$7,000

$4,896

04/07/25

(31)

Derivative liabilities

Foreign currency forward contract (CAD)

$124

C$178

04/07/25

—

Derivative assets

Foreign currency forward contract (CAD)

$6,326

C$8,913

04/07/25

132

Derivative assets

Foreign currency forward contract (CAD)

$1,473

C$2,105

06/30/25

4

Derivative assets

Foreign currency forward contract (DKK)

2,669kr.

$387

04/07/25

—

Derivative liabilities

Foreign currency forward contract (DKK)

$378

2,669kr.

04/07/25

(8)

Derivative liabilities

Foreign currency forward contract (DKK)

$390

2,673kr.

06/30/25

—

Derivative assets

Foreign currency forward contract (EUR)

€96,576

$104,609

04/07/25

(260)

Derivative liabilities

Foreign currency forward contract (EUR)

€3,000

$3,277

04/07/25

(36)

Derivative liabilities

Foreign currency forward contract (EUR)

$2,228

€2,052

04/07/25

11

Derivative assets

Foreign currency forward contract (EUR)

$2,016

€1,955

04/07/25

(96)

Derivative liabilities

Foreign currency forward contract (EUR)

$100,856

€95,570

04/07/25

(2,404)

Derivative liabilities

Foreign currency forward contract (EUR)

$105,097

€96,576

06/30/25

248

Derivative assets

Foreign currency forward contract (EUR)

$109

€100

06/30/25

—

Derivative assets

Foreign currency forward contract (NZD)

NZ$16,166

$9,272

04/07/25

(115)

Derivative liabilities

Foreign currency forward contract (NZD)

$184

NZ$326

04/07/25

(1)

Derivative liabilities

Foreign currency forward contract (NZD)

$9,187

NZ$15,840

04/07/25

215

Derivative assets

Foreign currency forward contract (NZD)

$9,333

NZ$16,241

06/30/25

115

Derivative assets

Foreign currency forward contract (NOK)

47,039kr

$4,462

04/07/25

3

Derivative assets

Foreign currency forward contract (NOK)

$90

951kr

04/07/25

—

Derivative liabilities

Foreign currency forward contract (NOK)

$4,132

46,087kr

04/07/25

(243)

Derivative liabilities

Foreign currency forward contract (NOK)

$4,464

47,066kr

06/30/25

(3)

Derivative liabilities

Foreign currency forward contract (GBP)

£13,415

$16,987

04/07/25

329

Derivative assets

Foreign currency forward contract (GBP)

£50,334

$65,063

04/07/25

(96)

Derivative liabilities

Foreign currency forward contract (GBP)

$3,893

£3,141

04/07/25

(162)

Derivative liabilities

Foreign currency forward contract (GBP)

$75,962

£59,607

04/07/25

(975)

Derivative liabilities

Foreign currency forward contract (GBP)

$1,235

£1,000

04/07/25

(56)

Derivative liabilities

Foreign currency forward contract (GBP)

$259

£200

06/30/25

1

Derivative assets

Foreign currency forward contract (GBP)

$62,901

£48,668

06/30/25

88

Derivative assets

Foreign currency forward contract (SEK)

706kr

$66

04/07/25

4

Derivative assets

Foreign currency forward contract (SEK)

17,622kr

$1,739

04/07/25

15

Derivative assets

Foreign currency forward contract (SEK)

$96

1,018kr

04/07/25

(5)

Derivative liabilities

Foreign currency forward contract (SEK)

$46

506kr

04/07/25

(5)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,541

16,805kr

04/07/25

(132)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,750

17,648kr

06/30/25

(15)

Derivative liabilities

Foreign currency forward contract (CHF)

5,685Fr.

$6,445

04/07/25

(16)

Derivative liabilities

Foreign currency forward contract (CHF)

$6,511

5,685Fr.

04/07/25

82

Derivative assets

Foreign currency forward contract (CHF)

$6,609

5,772Fr.

06/30/25

16

Derivative assets

Total

$

(2,499)

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

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

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X

- Definition

Tabular disclosure of the presentation of foreign exchange contracts on the statement of financial position, including the fair value amounts and location of such amounts.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 4B
-Subparagraph (c)(1)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480434/815-10-50-4B

+ Details

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