v3.26.3
DERIVATIVE INSTRUMENTS
 9 Months Ended
Sep. 30, 2026
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 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. On May 8, 2025, the Company entered into the MVC Termination Agreement with Barings to terminate all rights and obligations under the MVC Credit Support Agreement. 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” and net realized gains or losses on the MVC Credit Support Agreement is included in “Net realized gains (losses) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations.
Prior 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 Prior Sierra Credit Support Agreement, pursuant to which the Adviser agreed to provide credit support to the Company in the amount of up to $100.0 million relating to the net cumulative realized and unrealized losses on the acquired Sierra investment portfolio over a 10-year period. On May 29, 2026, the Company entered into the Sierra Termination Agreement. See “Note 2. Agreements and Related Party Transactions” for additional information regarding the Prior Sierra Credit Support Agreement. Net unrealized appreciation or depreciation on the Prior Sierra Credit Support Agreement is included in “Net unrealized appreciation (depreciation) - credit support agreements” and net realized gains or losses on the Prior Sierra Credit Support Agreement is included in “Net realized gains (losses) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations.
The following table presents the fair value and aggregate unrealized appreciation (depreciation) of the Prior Sierra Credit Support Agreement as of December 31, 2025:
As of December 31, 2025
Description
($ in thousands)
CounterpartySettlement DateNotional AmountValueUnrealized Appreciation (Depreciation)
Prior Sierra Credit Support AgreementBarings LLC04/01/32$100,000 $60,500 $16,100 
Total Prior Sierra Credit Support Agreement$16,100 
As of December 31, 2025, the fair value of the Prior Sierra Credit Support Agreement was $60.5 million and is included in “Credit support agreement” in the accompanying Audited Consolidated Balance Sheet. As of December 31, 2025, the fair value of the Prior Sierra Credit Support Agreement was determined based on a simulation analysis, with the primary inputs being the enterprise value, a measure of expected asset volatility, the expected time until an exit event for each portfolio company in the Prior Sierra Reference Portfolio, the Discount Rate and the Recovery Rate, which are all Level 3 inputs.
The following table summarizes the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 Prior Sierra Credit Support Agreement as of December 31, 2025. The average range of unobservable inputs is based on fair value of the Prior Sierra Credit Support Agreement.
December 31, 2025:
($ in thousands)
Fair ValueValuation
Model		Level 3
Input		Range of
Inputs
Average		Impact to Valuation from an Increase in Input
Prior Sierra Credit Support Agreement$60,500 Simulation AnalysisEnterprise Value / Equity Value
$0 - $385,100
$192,550Decrease
Asset Volatility
20.0% - 50.0%
35.0%Increase
Time Until Exit (years)
0.0 - 2.3
1.2Decrease
Discount Rate5.4%5.4%Decrease
Recovery Rate
20.0% - 40.0%
30.0%Decrease
New Sierra Credit Support Agreement
On May 29, 2026, the Company and the Adviser entered into the New Sierra Credit Support Agreement, pursuant to which the Adviser has agreed to provide credit support to the Company in the amount of up to $11.0 million relating to the remaining unrealized investments in two portfolio companies previously covered by the Prior Sierra Credit Support Agreement. See “Note 2. Agreements and Related Party Transactions” for additional information regarding the New Sierra Credit Support Agreement. Net unrealized appreciation or depreciation on the New Sierra Credit Support Agreement is included in “Net unrealized appreciation (depreciation) - credit support agreements” in the Company’s Unaudited Consolidated Statements of Operations.
The following table presents the fair value and aggregate unrealized appreciation (depreciation) of the New Sierra Credit Support Agreement as of September 30, 2026:
As of September 30, 2026
Description
($ in thousands)
CounterpartySettlement DateNotional AmountValueUnrealized Appreciation (Depreciation)
New Sierra Credit Support AgreementBarings LLC04/01/32$10,995 $1,260 $(69)
Total New Sierra Credit Support Agreement$(69)
As of September 30, 2026, the fair value of the New Sierra Credit Support Agreement was $1.3 million and is included in “Credit support agreement” in the accompanying Unaudited Consolidated Balance Sheet. As of September 30, 2026, the fair value of the New Sierra Credit Support Agreement was determined based on a Black-Scholes option analysis, with the primary inputs being a measure of expected asset volatility and the expected time until an exit event, which are all Level 3 inputs.
The following table summarizes the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 New Sierra Credit Support Agreement as of September 30, 2026.
September 30, 2026:
($ in thousands)
Fair ValueValuation
Model		Level 3
Input		InputImpact to Valuation from an Increase in Input
New Sierra Credit Support Agreement$1,260 Black-ScholesAsset Volatility25.0%Increase
Time Until Exit (years)5.5Increase
Foreign Currency Forward Contracts
The Company enters into forward currency contracts from time to time to primarily help mitigate the impact that an adverse change in foreign exchange rates would have on net interest income from the Company’s investments and related borrowings denominated in foreign currencies. Forward currency contracts are considered undesignated derivative instruments.
The following tables present the Company’s foreign currency forward contracts as of September 30, 2026 and December 31, 2025:
As of September 30, 2026
Description
($ in thousands)
Notional Amount to be PurchasedNotional Amount to be SoldMaturity DateGross Amount of Recognized Assets (Liabilities)Balance Sheet Location of Net Amounts
Foreign currency forward contract (AUD)A$4,000$2,80112/30/26$(22)Derivative liabilities
Foreign currency forward contract (AUD)$44,703A$63,01712/30/26918 Derivative assets
Foreign currency forward contract (CAD)$2,088C$2,92312/30/2620 Derivative assets
Foreign currency forward contract (DKK)$5343,473kr.12/30/264 Derivative assets
Foreign currency forward contract (EUR)€625$71812/30/26(5)Derivative liabilities
Foreign currency forward contract (EUR)$143,320€124,76712/30/261,070 Derivative assets
Foreign currency forward contract (NZD)$3,368NZ$5,86912/30/2645 Derivative assets
Foreign currency forward contract (NOK)$4,00237,831kr12/30/2660 Derivative assets
Foreign currency forward contract (GBP)$145,101£108,68412/30/26664 Derivative assets
Foreign currency forward contract (SEK)$1,98419,432kr12/30/2626 Derivative assets
Foreign currency forward contract (CHF)$5,5964,542Fr.12/30/2698 Derivative assets
Total$2,878 
As of December 31, 2025
Description
($ in thousands)
Notional Amount to be PurchasedNotional Amount to be SoldMaturity DateGross Amount of Recognized Assets (Liabilities)Balance Sheet Location of Net Amounts
Foreign currency forward contract (AUD)$37,436A$56,36903/31/26$(155)Derivative liabilities
Foreign currency forward contract (CAD)$1,951C$2,68603/31/26(16)Derivative liabilities
Foreign currency forward contract (DKK)$5203,312kr.03/31/26(3)Derivative liabilities
Foreign currency forward contract (EUR)$39,619€33,50003/31/26119 Derivative assets
Foreign currency forward contract (EUR)$14,642€12,50003/31/26(97)Derivative liabilities
Foreign currency forward contract (NZD)NZ$10,000$5,82703/31/26(58)Derivative liabilities
Foreign currency forward contract (NZD)$9,006NZ$15,50403/31/2662 Derivative assets
Foreign currency forward contract (NOK)$4,85249,215kr03/31/26(25)Derivative liabilities
Foreign currency forward contract (GBP)£1,500$2,02603/31/26(9)Derivative liabilities
Foreign currency forward contract (GBP)£2,000$2,69103/31/26(2)Derivative liabilities
Foreign currency forward contract (GBP)$132,483£99,34203/31/26(1,106)Derivative liabilities
Foreign currency forward contract (SEK)$1,99918,499kr03/31/26(17)Derivative liabilities
Foreign currency forward contract (CHF)$5,5714,421Fr.03/31/26(59)Derivative liabilities
Total$(1,366)
As of September 30, 2026 and December 31, 2025, the total fair value of the Company’s foreign currency forward contracts were $2.9 million and $(1.4) 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.