DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value and Aggregate Unrealized Appreciation (Depreciation)

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)	Counterparty	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Prior Sierra Credit Support Agreement	Barings LLC	04/01/32	$	100,000	$	60,500	$	16,100
Total Prior Sierra Credit Support Agreement							$	16,100

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)	Counterparty	Settlement Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
New Sierra Credit Support Agreement	Barings LLC	04/01/32	$	10,995	$	1,260	$	(69)
Total New Sierra Credit Support Agreement							$	(69)

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, 2026 and December 31, 2025. The weighted average range of unobservable inputs is based on fair value of investments.

September 30, 2026:

($ 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

1,418,617

Yield Analysis

Market Yield

7.4% – 23.4%

11.4%

Decrease

105,778

Market Approach

Adjusted EBITDA Multiple

0.2x – 12.7x

8.5x

Increase

3,333

Market Approach

Tangible Book Value Multiple

2.0x

Increase

6,474

Expected Recovery

$1,703.8 – $4,770.6

$3,963.5

Increase

235,277

Recent Transaction

Transaction Price

97.5% – 100.0%

98.7%

Increase

Subordinated debt and 2nd lien notes

160,656

Yield Analysis

Market Yield

8.6% – 39.2%

13.4%

Decrease

43,909

Market Approach

Adjusted EBITDA Multiple

0.8x – 12.7x

7.8x

Increase

28,767

Market Approach

Tangible Book Value Multiple

1.1x – 2.0x

1.6x

Increase

Structured products(1)

12,236

Yield Analysis

Market Yield

6.1% – 11.9%

11.2%

Decrease

Equity shares(2)

51,924

Yield Analysis

Market Yield

12.9% – 29.5%

18.5%

Decrease

112,123

Market Approach

Adjusted EBITDA Multiple

0.2x – 22.5x

9.4x

Increase

Market Approach

Revenue Multiple

7.5x

Increase

233,879

Market Approach

Tangible Book Value Multiple

1.1x – 2.0x

1.6x

Increase

362

Black-Scholes

Volatility

40.0%

Increase

21,285

Discounted Cash Flow Analysis

Discount Rate

13.4%

Decrease

1,584

Net Asset Approach

Liabilities

$(57,947.3)

Decrease

8,560

Expected Recovery

$2.5 – $8,540.0

$8,520.0

Increase

2,653

Recent Transaction

Transaction Price

$1.00 – $1,000.00

$133.76

Increase

Equity warrants

1,366

Market Approach

Adjusted EBITDA Multiple

0.4x – 11.3x

11.1x

Increase

Expected Recovery

$3.0

Increase

Royalty rights

1,507

Yield Analysis

Market Yield

26.0% – 28.0%

27.0%

Decrease

(1)Excludes investments with an aggregate fair value amounting to $2,973, 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 $3,030, 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 and changes in the observability of significant inputs.

December 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

1,370,510

Yield Analysis

Market Yield

6.6% – 32.1%

10.5%

Decrease

62,428

Market Approach

Adjusted EBITDA Multiple

0.2x – 12.0x

6.5x

Increase

228,523

Recent Transaction

Transaction Price

98.0% – 100.0%

99.0%

Increase

Subordinated debt and 2nd lien notes

135,739

Yield Analysis

Market Yield

8.0% – 22.5%

12.9%

Decrease

50,987

Market Approach

Adjusted EBITDA Multiple

0.7x – 26.0x

11.8x

Increase

2,667

Recent Transaction

Transaction Price

98.0%

Increase

Structured products(1)

1,868

Yield Analysis

Market Yield

9.3% – 10.3%

9.8%

Decrease

Equity shares(2)

44,513

Yield Analysis

Market Yield

11.0% – 32.8%

16.9%

Decrease

348,612

Market Approach

Adjusted EBITDA Multiple

0.2x – 27.0x

15.7x

Increase

756

Market Approach

Revenue Multiple

5.3x – 8.5x

5.7x

Increase

19,983

Discounted Cash Flow Analysis

Discount Rate

12.4%

Decrease

5,830

Net Asset Approach

Liabilities

$(93,817.9) – $(117,319.9)

$(105,349.0)

Decrease

Expected Recovery

$2.5 – $36.0

$33.8

Increase

8,584

Recent Transaction

Transaction Price

$0.00 – $1,000.00

$31.33

Increase

Equity warrants

1,167

Market Approach

Adjusted EBITDA Multiple

0.5x – 11.3x

11.3x

Increase

Expected Recovery

$3.0

Increase

Royalty rights

1,486

Yield Analysis

Market Yield

28.0% – 30.0%

29.0%

Decrease

(1)Excludes investments with an aggregate fair value amounting to $14,820, 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 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 Value

Valuation
Model

Level 3
Input

Range of
Inputs

Average

Impact to Valuation from an Increase in Input

Prior Sierra Credit Support Agreement

60,500

Simulation Analysis

Enterprise Value / Equity Value

$0 - $385,100

$192,550

Decrease

Asset Volatility

20.0% - 50.0%

35.0%

Increase

Time Until Exit (years)

0.0 - 2.3

1.2

Decrease

Discount Rate

5.4%

Decrease

Recovery Rate

20.0% - 40.0%

30.0%

Decrease

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 Value

Valuation
Model

Level 3
Input

Input

Impact to Valuation from an Increase in Input

New Sierra Credit Support Agreement

1,260

Black-Scholes

Asset Volatility

25.0%

Increase

Time Until Exit (years)

5.5

Increase

Schedule of Foreign Currency Forward Contracts

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 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$4,000

$2,801

12/30/26

(22)

Derivative liabilities

Foreign currency forward contract (AUD)

$44,703

A$63,017

12/30/26

918

Derivative assets

Foreign currency forward contract (CAD)

$2,088

C$2,923

12/30/26

Derivative assets

Foreign currency forward contract (DKK)

$534

3,473kr.

12/30/26

Derivative assets

Foreign currency forward contract (EUR)

€625

$718

12/30/26

(5)

Derivative liabilities

Foreign currency forward contract (EUR)

$143,320

€124,767

12/30/26

1,070

Derivative assets

Foreign currency forward contract (NZD)

$3,368

NZ$5,869

12/30/26

Derivative assets

Foreign currency forward contract (NOK)

$4,002

37,831kr

12/30/26

Derivative assets

Foreign currency forward contract (GBP)

$145,101

£108,684

12/30/26

664

Derivative assets

Foreign currency forward contract (SEK)

$1,984

19,432kr

12/30/26

Derivative assets

Foreign currency forward contract (CHF)

$5,596

4,542Fr.

12/30/26

Derivative assets

Total

2,878

As of December 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)

$37,436

A$56,369

03/31/26

(155)

Derivative liabilities

Foreign currency forward contract (CAD)

$1,951

C$2,686

03/31/26

(16)

Derivative liabilities

Foreign currency forward contract (DKK)

$520

3,312kr.

03/31/26

(3)

Derivative liabilities

Foreign currency forward contract (EUR)

$39,619

€33,500

03/31/26

119

Derivative assets

Foreign currency forward contract (EUR)

$14,642

€12,500

03/31/26

(97)

Derivative liabilities

Foreign currency forward contract (NZD)

NZ$10,000

$5,827

03/31/26

(58)

Derivative liabilities

Foreign currency forward contract (NZD)

$9,006

NZ$15,504

03/31/26

Derivative assets

Foreign currency forward contract (NOK)

$4,852

49,215kr

03/31/26

(25)

Derivative liabilities

Foreign currency forward contract (GBP)

£1,500

$2,026

03/31/26

(9)

Derivative liabilities

Foreign currency forward contract (GBP)

£2,000

$2,691

03/31/26

(2)

Derivative liabilities

Foreign currency forward contract (GBP)

$132,483

£99,342

03/31/26

(1,106)

Derivative liabilities

Foreign currency forward contract (SEK)

$1,999

18,499kr

03/31/26

(17)

Derivative liabilities

Foreign currency forward contract (CHF)

$5,571

4,421Fr.

03/31/26

(59)

Derivative liabilities

Total

(1,366)