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INVESTMENTS (Tables) | 9 Months Ended
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Sep. 30, 2022
Schedule of Investments [Abstract] |
Schedule of Investments | Summaries of the composition of the Company’s investment portfolio at cost and fair value, and as a percentage of total investments and net assets, are shown in the following tables:
($ in thousands) | Cost |  | Percentage of Total Portfolio |  | Fair Value |  | Percentage of Total Portfolio |  | Percentage of Total Net Assets
September 30, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,609,541 |  |  | 66 | % |  | $ | 1,557,396 |  |  | 67 | % |  | 127 | %
Subordinated debt and 2 nd lien notes | 339,312 |  |  | 14 |  |  | 279,838 |  |  | 12 |  |  | 23 |
Structured products | 81,105 |  |  | 4 |  |  | 67,811 |  |  | 3 |  |  | 5 |
Equity shares | 225,140 |  |  | 9 |  |  | 279,564 |  |  | 12 |  |  | 23 |
Equity warrants | 178 |  |  | — |  |  | 44 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 175,628 |  |  | 7 |  |  | 147,839 |  |  | 6 |  |  | 12 |
| $ | 2,430,904 |  |  | 100 | % |  | $ | 2,332,492 |  |  | 100 | % |  | 190 | %
December 31, 2021: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,217,899 |  |  | 68 | % |  | $ | 1,221,598 |  |  | 68 | % |  | 165 | %
Subordinated debt and 2 nd lien notes | 253,551 |  |  | 14 |  |  | 240,037 |  |  | 13 |  |  | 32 |
Structured products | 37,055 |  |  | 2 |  |  | 40,271 |  |  | 2 |  |  | 6 |
Equity shares | 145,791 |  |  | 8 |  |  | 154,477 |  |  | 9 |  |  | 21 |
Equity warrants | 1,111 |  |  | — |  |  | 1,107 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 132,417 |  |  | 8 |  |  | 143,104 |  |  | 8 |  |  | 19 |
| $ | 1,787,824 |  |  | 100 | % |  | $ | 1,800,594 |  |  | 100 | % |  | 243 | %
The industry composition of investments at fair value at September 30, 2022 and December 31, 2021, excluding short-term investments, was as follows:
($ in thousands) | September 30, 2022 |  | December 31, 2021
Aerospace and Defense | $ | 110,440 |  |  | 4.7 | % |  | $ | 91,129 |  |  | 5.1 | %
Automotive | 65,696 |  |  | 2.8 |  |  | 55,875 |  |  | 3.1 |
Banking, Finance, Insurance and Real Estate | 257,752 |  |  | 11.1 |  |  | 208,397 |  |  | 11.6 |
Beverage, Food and Tobacco | 34,768 |  |  | 1.5 |  |  | 38,985 |  |  | 2.2 |
Capital Equipment | 50,613 |  |  | 2.2 |  |  | 42,916 |  |  | 2.4 |
Chemicals, Plastics, and Rubber | 85,121 |  |  | 3.6 |  |  | 32,234 |  |  | 1.8 |
Construction and Building | 40,733 |  |  | 1.7 |  |  | 62,083 |  |  | 3.4 |
Consumer goods: Durable | 54,859 |  |  | 2.4 |  |  | 47,316 |  |  | 2.6 |
Consumer goods: Non-durable | 26,196 |  |  | 1.1 |  |  | 28,306 |  |  | 1.6 |
Containers, Packaging and Glass | 37,425 |  |  | 1.6 |  |  | 10,218 |  |  | 0.6 |
Energy: Electricity | 7,241 |  |  | 0.3 |  |  | 12,190 |  |  | 0.7 |
Energy: Oil and Gas | 4,561 |  |  | 0.2 |  |  | 5,774 |  |  | 0.3 |
Environmental Industries | 50,137 |  |  | 2.1 |  |  | 8,081 |  |  | 0.4 |
Healthcare and Pharmaceuticals | 169,542 |  |  | 7.3 |  |  | 134,286 |  |  | 7.5 |
High Tech Industries | 309,080 |  |  | 13.3 |  |  | 139,590 |  |  | 7.7 |
Hotel, Gaming and Leisure | 49,799 |  |  | 2.1 |  |  | 27,553 |  |  | 1.5 |
Investment Funds and Vehicles | 149,761 |  |  | 6.4 |  |  | 143,104 |  |  | 7.9 |
Media: Advertising, Printing and Publishing | 54,147 |  |  | 2.3 |  |  | 46,414 |  |  | 2.6 |
Media: Broadcasting and Subscription | 8,317 |  |  | 0.4 |  |  | 7,441 |  |  | 0.4 |
Media: Diversified and Production | 64,810 |  |  | 2.8 |  |  | 52,887 |  |  | 2.9 |
Metals and Mining | 34,003 |  |  | 1.5 |  |  | 10,684 |  |  | 0.6 |
Retail | 42 |  |  | — |  |  | — |  |  | — |
Services: Business | 381,362 |  |  | 16.4 |  |  | 342,758 |  |  | 19.0 |
Services: Consumer | 78,465 |  |  | 3.4 |  |  | 65,801 |  |  | 3.7 |
Structured Products | 62,603 |  |  | 2.7 |  |  | 24,662 |  |  | 1.4 |
Telecommunications | 23,829 |  |  | 1.0 |  |  | 45,182 |  |  | 2.5 |
Transportation: Cargo | 73,174 |  |  | 3.1 |  |  | 86,964 |  |  | 4.8 |
Transportation: Consumer | 25,393 |  |  | 1.1 |  |  | 12,231 |  |  | 0.7 |
Utilities: Electric | 17,291 |  |  | 0.7 |  |  | 12,857 |  |  | 0.7 |
Utilities: Oil and Gas | 4,707 |  |  | 0.2 |  |  | 4,677 |  |  | 0.3 |
Wholesale | 625 |  |  | — |  |  | — |  |  | — |
Total | $ | 2,332,492 |  |  | 100.0 | % |  | $ | 1,800,594 |  |  | 100.0 | %
As of September 30, 2022 and December 31, 2021, the Jocassee investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
September 30, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,191,919 |  |  |  | 91 | % |  | $ | 1,107,318 |  |  |  | 91 | %
Subordinated debt and 2nd lien notes | 23,921 |  |  |  | 2 | % |  | 22,960 |  |  |  | 2 | %
Equity shares | 4,398 |  |  |  | — | % |  | 2,741 |  |  |  | — | %
Equity warrants | 31 |  |  |  | — | % |  | 13 |  |  |  | — | %
Investment in joint ventures | 92,061 |  |  |  | 7 | % |  | 80,201 |  |  |  | 7 | %
Short-term investments | 5,860 |  |  |  | — | % |  | 5,860 |  |  |  | — | %
| $ | 1,318,190 |  |  |  | 100 | % |  | $ | 1,219,093 |  |  |  | 100 | %
December 31, 2021: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,084,502 |  |  |  | 87 | % |  | $ | 1,085,172 |  |  |  | 86 | %
Subordinated debt and 2nd lien notes | 23,607 |  |  |  | 2 |  |  | 24,011 |  |  |  | 2 |
Structured products | 4,569 |  |  |  | — |  |  | 5,410 |  |  |  | 1 |
Equity shares | 5,448 |  |  |  | 1 |  |  | 3,887 |  |  |  | — |
Equity warrants | 31 |  |  |  | — |  |  | 75 |  |  |  | — |
Investment in joint ventures | 111,490 |  |  |  | 9 |  |  | 127,092 |  |  |  | 10 |
Short-term investments | 12,572 |  |  |  | 1 |  |  | 12,572 |  |  |  | 1 |
| $ | 1,242,219 |  |  |  | 100 | % |  | $ | 1,258,219 |  |  |  | 100 | %
The industry composition of Jocassee’s investments at fair value at September 30, 2022 and December 31, 2021, excluding short-term investments, was as follows:
($ in thousands) | September 30, 2022 |  | December 31, 2021
Aerospace and Defense | $ | 68,990 |  |  | 5.7 | % |  | $ | 71,857 |  |  | 5.8 | %
Automotive | 20,022 |  |  | 1.7 |  |  | 18,626 |  |  | 1.5 |
Banking, Finance, Insurance and Real Estate | 100,624 |  |  | 8.3 |  |  | 109,961 |  |  | 8.8 |
Beverage, Food and Tobacco | 26,115 |  |  | 2.2 |  |  | 30,352 |  |  | 2.4 |
Capital Equipment | 26,421 |  |  | 2.2 |  |  | 17,006 |  |  | 1.4 |
Chemicals, Plastics, and Rubber | 31,236 |  |  | 2.6 |  |  | 24,665 |  |  | 2.0 |
Construction and Building | 15,700 |  |  | 1.3 |  |  | 14,506 |  |  | 1.2 |
Consumer goods: Durable | 18,181 |  |  | 1.5 |  |  | 10,294 |  |  | 0.8 |
Consumer goods: Non-durable | 21,548 |  |  | 1.8 |  |  | 23,886 |  |  | 1.9 |
Containers, Packaging and Glass | 22,968 |  |  | 1.9 |  |  | 25,277 |  |  | 2.0 |
Energy: Electricity | 15,239 |  |  | 1.3 |  |  | 10,571 |  |  | 0.8 |
Energy: Oil and Gas | 4,689 |  |  | 0.4 |  |  | 5,091 |  |  | 0.4 |
Environmental Industries | 7,244 |  |  | 0.6 |  |  | 7,563 |  |  | 0.6 |
Forest Products & Paper | 271 |  |  | — |  |  | 475 |  |  | — |
Healthcare and Pharmaceuticals | 125,941 |  |  | 10.4 |  |  | 128,495 |  |  | 10.3 |
High Tech Industries | 158,946 |  |  | 13.1 |  |  | 171,960 |  |  | 13.8 |
Hotel, Gaming and Leisure | 22,734 |  |  | 1.9 |  |  | 35,383 |  |  | 2.8 |
Investment Funds and Vehicles | 80,201 |  |  | 6.6 |  |  | 127,092 |  |  | 10.2 |
Media: Advertising, Printing and Publishing | 6,096 |  |  | 0.5 |  |  | 18,423 |  |  | 1.5 |
Media: Broadcasting and Subscription | 34,000 |  |  | 2.8 |  |  | 37,840 |  |  | 3.0 |
Media: Diversified and Production | 27,720 |  |  | 2.3 |  |  | 21,059 |  |  | 1.7 |
Metals and Mining | 5,054 |  |  | 0.4 |  |  | 5,792 |  |  | 0.5 |
Retail | 14,222 |  |  | 1.2 |  |  | 14,420 |  |  | 1.2 |
Services: Business | 192,727 |  |  | 15.9 |  |  | 151,723 |  |  | 12.2 |
Services: Consumer | 50,535 |  |  | 4.1 |  |  | 55,156 |  |  | 4.4 |
Structured Product | — |  |  | — |  |  | 5,409 |  |  | 0.4 |
Telecommunications | 38,311 |  |  | 3.1 |  |  | 36,036 |  |  | 2.9 |
Transportation: Cargo | 54,903 |  |  | 4.5 |  |  | 49,103 |  |  | 3.9 |
Transportation: Consumer | 12,499 |  |  | 1.0 |  |  | 6,546 |  |  | 0.5 |
Utilities: Electric | 3,181 |  |  | 0.2 |  |  | 3,265 |  |  | 0.3 |
Utilities: Oil and Gas | 6,915 |  |  | 0.5 |  |  | 6,870 |  |  | 0.6 |
Wholesale | — |  |  | — |  |  | 945 |  |  | 0.1 |
Total | $ | 1,213,233 |  |  | 100.0 | % |  | $ | 1,245,647 |  |  | 100.0 | %
Schedule of Investment Portfolio | The geographic composition of Jocassee’s investments at fair value at September 30, 2022 and December 31, 2021, excluding short-term investments, was as follows:
($ in thousands) | September 30, 2022 |  | December 31, 2021
Australia | $ | 24,788 |  |  | 2.0 | % |  | $ | 16,509 |  |  | 1.3 | %
Austria | 6,141 |  |  | 0.5 |  |  | 1,115 |  |  | 0.1 |
Belgium | 15,670 |  |  | 1.3 |  |  | 14,814 |  |  | 1.2 |
Canada | 7,273 |  |  | 0.6 |  |  | 8,507 |  |  | 0.7 |
Denmark | 889 |  |  | 0.1 |  |  | 6,960 |  |  | 0.6 |
Finland | 1,733 |  |  | 0.1 |  |  | 47,992 |  |  | 3.9 |
France | 124,836 |  |  | 10.3 |  |  | 3,391 |  |  | 0.3 |
Germany | 51,063 |  |  | 4.2 |  |  | 6,357 |  |  | 0.5 |
Hong Kong | 16,262 |  |  | 1.4 |  |  | 2,272 |  |  | 0.2 |
Ireland | 3,632 |  |  | 0.3 |  |  | 123,816 |  |  | 9.9 |
Italy | — |  |  | — |  |  | 113,896 |  |  | 9.1 |
Luxembourg | 1,608 |  |  | 0.1 |  |  | 4,766 |  |  | 0.4 |
Netherlands | 32,866 |  |  | 2.7 |  |  | 3,744 |  |  | 0.3 |
Panama | 939 |  |  | 0.1 |  |  | — |  |  | — |
Singapore | 4,905 |  |  | 0.4 |  |  | — |  |  | — |
Spain | 3,806 |  |  | 0.3 |  |  | 1,225 |  |  | 0.1 |
Sweden | 4,104 |  |  | 0.4 |  |  | 32,150 |  |  | 2.6 |
Switzerland | 5,176 |  |  | 0.4 |  |  | 965 |  |  | 0.1 |
United Kingdom | 116,853 |  |  | 9.6 |  |  | 5,305 |  |  | 0.4 |
USA | 790,689 |  |  | 65.2 |  |  | 851,863 |  |  | 68.4 |
Total | $ | 1,213,233 |  |  | 100 | % |  | $ | 1,245,647 |  |  | 100 | %
As of September 30, 2022 and December 31, 2021, Jocassee had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of September 30, 2022 |  | As of December 31, 2021
Total contributed capital by Barings BDC, Inc. |  | $ | 35,000 |  |  | $ | 30,000 |
Total contributed capital by all members |  | $ | 385,000 |  |  | $ | 330,000 |
Total unfunded commitments by Barings BDC, Inc. |  | $ | 65,000 |  |  | $ | 20,000 |
Total unfunded commitments by all members |  | $ | 215,000 |  |  | $ | 220,000 |
As of September 30, 2022 and December 31, 2021, the Thompson Rivers investment portfolio consisted of the following investments:
($ in thousands) | Cost |  | Percentage of Total Portfolio |  | Fair Value |  | Percentage of Total Portfolio
September 30, 2022: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 1,119,118 |  |  | 91 | % |  | $ | 1,046,632 |  |  | 91 | %
Veterans Affairs (“VA”) loans | 112,609 |  |  | 9 | % |  | 105,378 |  |  | 9 | %
| $ | 1,231,727 |  |  | 100 | % |  | $ | 1,152,010 |  |  | 100 | %
December 31, 2021: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 2,799,869 |  |  | 93 | % |  | $ | 2,839,495 |  |  | 93 | %
Veterans Affairs (“VA”) loans | 224,660 |  |  | 7 | % |  | 223,540 |  |  | 7 | %
| $ | 3,024,529 |  |  | 100 | % |  | $ | 3,063,035 |  |  | 100 | %
As of September 30, 2022 and December 31, 2021, Thompson Rivers had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of September 30, 2022 |  | As of December 31, 2021 |
Total contributed capital by Barings BDC, Inc.(1) |  | $ | 79,411 |  |  | $ | 79,414 |  |
Total contributed capital by all members |  | $ | 482,083 |  | (2) | $ | 482,120 |  | (3) |
Total unfunded commitments by Barings BDC, Inc. |  | $ | — |  |  | $ | — |  |
Total unfunded commitments by all members |  | $ | — |  |  | $ | — |  |
(1)Includes $4.4 million of dividend re-investments. (2)Includes dividend re-investments of $32.1 million and $162.1 million of total contributed capital by related parties. (3)Includes dividend re-investments of $32.1 million and $162.3 million of total contributed capital by related parties. As of September 30, 2022 and December 31, 2021, Waccamaw River had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of September 30, 2022 |  | As of December 31, 2021 |
Total contributed capital by Barings BDC, Inc. |  | $ | 27,800 |  |  | $ | 19,000 |  |
Total contributed capital by all members |  | $ | 126,620 |  | (1) | $ | 82,620 |  | (4)
Total return of capital (recallable) by Barings BDC, Inc. |  | $ | (5,280) |  |  | $ | (5,280) |  |
Total return of capital (recallable) by all members(2) |  | $ | (14,020) |  |  | $ | (14,020) |  |
Total unfunded commitments by Barings BDC, Inc. |  | $ | 2,480 |  |  | $ | 11,280 |  |
Total unfunded commitments by all members |  | $ | 12,400 |  | (3) | $ | 56,400 |  | (5)
(1)Includes $74.6 million of total contributed capital by related parties. (2)Includes ($7.0) million of total return of capital (recallable) by related parties. (3)Includes $7.4 million of unfunded commitments by related parties. (4)Includes $48.2 million of total contributed capital by related parties. (5)Includes $33.8 million of unfunded commitments by related parties. As of September 30, 2022, the Sierra JV investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
September 30, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 129,684 |  |  |  | 100 | % |  | $ | 115,670 |  |  |  | 100 | %
| $ | 129,684 |  |  |  | 100 | % |  | $ | 115,670 |  |  |  | 100 | %
The industry composition of Sierra JV’s investments at fair value at September 30, 2022, excluding short-term investments, was as follows:
($ in thousands) | September 30, 2022 |  |
Automotive | 2,362 |  |  | 2.1 | % |  |  |  |
Banking, Finance, Insurance and Real Estate | 1,541 |  |  | 1.3 |  |  |  |  |
Beverage, Food and Tobacco | 4,069 |  |  | 3.5 |  |  |  |  |
Capital Equipment | 9,231 |  |  | 8.0 |  |  |  |  |
Chemicals, Plastics, and Rubber | 2,832 |  |  | 2.4 |  |  |  |  |
Construction and Building | 1,892 |  |  | 1.6 |  |  |  |  |
Consumer goods: Durable | 1,365 |  |  | 1.2 |  |  |  |  |
Containers, Packaging and Glass | 1,817 |  |  | 1.6 |  |  |  |  |
Environmental Industries | 8,417 |  |  | 7.3 |  |  |  |  |
Forest Products & Paper | 1,790 |  |  | 1.5 |  |  |  |  |
Healthcare and Pharmaceuticals | 14,272 |  |  | 12.3 |  |  |  |  |
High Tech Industries | 13,825 |  |  | 12.0 |  |  |  |  |
Media: Advertising, Printing and Publishing | 10,038 |  |  | 8.7 |  |  |  |  |
Media: Diversified and Production | 5,407 |  |  | 4.7 |  |  |  |  |
Retail | 5,647 |  |  | 4.9 |  |  |  |  |
Services: Business | 11,768 |  |  | 10.2 |  |  |  |  |
Services: Consumer | 8,361 |  |  | 7.2 |  |  |  |  |
Transportation: Cargo | 6,181 |  |  | 5.3 |  |  |  |  |
Transportation: Consumer | 4,855 |  |  | 4.2 |  |  |  |  |
Total | 115,670 |  |  | 100.0 | % |  |  |  |
Schedule of Fair Value Measurement Inputs and Valuation Techniques | 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, 2022 and December 31, 2021. The weighted average range of unobservable inputs is based on fair value of investments.
September 30, 2022: ($ 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 1 st lien notes(1) | $ | 1,198,500 |  |  | Yield Analysis |  | Market Yield |  | 6.9% – 33.1% |  | 10.8% |  | Decrease
16,479 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.0x |  | 6.0x |  | Increase
1,171 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x |  | 0.2x |  | Increase
23,823 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 9.5% – 12.9% |  | 11.6% |  | Decrease
190,721 |  |  | Recent Transaction |  | Transaction Price |  | 96.8% – 100.0% |  | 97.9% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 181,741 |  |  | Yield Analysis |  | Market Yield |  | 8.4% – 16.9% |  | 12.5% |  | Decrease
29,772 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.25x – 9.75x |  | 7.5x |  | Increase
| 4,495 |  |  | Market Approach |  | Revenue Multiple |  | 0.7x |  | 0.7x |  | Increase
| 1,814 |  |  | Expected Recovery |  | Expected Recovery |  | $1,814 |  | $1,814 |  | Increase
| 8,807 |  |  | Recent Transaction |  | Transaction Price |  | 96.0% – 100.0% |  | 98.0% |  | Increase
Structured products(3) | 4,274 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 9.27% |  | 9.27% |  | Decrease
Equity shares(4) | 223,502 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.3x – 43.0x |  | 9.4x |  | Increase
27,103 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x – 29.8x |  | 13.1x |  | Increase
5,862 |  |  | Expected Transaction(5) |  | Transaction Price |  | $5,495 |  | $5,495 |  | Increase
18,279 |  |  | Recent Transaction |  | Transaction Price |  | $0.00 – $953.45 |  | $747.2 |  | Increase
Equity warrants | 3 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 3.3x – 18.5x |  | 3.3x |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $31,719, 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 $43,366, 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 $5,208, 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 $2,742, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. (5)Estimated proceeds expected to be received under legally binding asset purchase agreement for sale of real estate held by portfolio company.
December 31, 2021: ($ 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 1 st lien notes(1) | $ | 717,374 |  |  | Yield Analysis |  | Market Yield |  | 5.2% – 33.5% |  | 7.7% |  | Decrease
416,010 |  |  | Recent Transaction |  | Transaction Price |  | 96.5% – 99.0% |  | 97.7% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 107,345 |  |  | Yield Analysis |  | Market Yield |  | 5.3% – 19.0% |  | 11.5% |  | Decrease
64,895 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 0.6x – 9.0x |  | 5.67x |  | Increase
| 40,354 |  |  | Recent Transaction |  | Transaction Price |  | 97.0% – 100.0% |  | 98.0% |  | Increase
Equity shares(3) | 137,393 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.5x – 54.0x |  | 13.1x |  | Increase
6,197 |  |  | Expected Transaction(4) |  | Transaction Price |  | $6,197,037 |  | $6,197,037 |  | Increase
4,546 |  |  | Recent Transaction |  | Transaction Price |  | $1.0 – $1,000 |  | $140.03 |  | Increase
Equity warrants | 864 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.0x-6.0x |  | 6.0x |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $3,938, which the Company 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 $17,974, which the Company 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 $3,146, which the Company valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. (4)Estimated proceeds expected to be received under legally binding asset purchase agreement for sale of real estate held by portfolio company.
Schedule of Fair Value, Assets Measured on Recurring Basis | The following tables present the Company’s investment portfolio at fair value as of September 30, 2022 and December 31, 2021, categorized by the ASC Topic 820 valuation hierarchy, as previously described:
| Fair Value as of September 30, 2022
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 94,983 |  |  | $ | 1,462,413 |  |  | $ | 1,557,396 |
Subordinated debt and 2 nd lien notes | — |  |  | 9,843 |  |  | 269,995 |  |  | 279,838 |
Structured products | — |  |  | 58,329 |  |  | 9,482 |  |  | 67,811 |
Equity shares | 210 |  |  | 1,866 |  |  | 277,488 |  |  | 279,564 |
Equity warrants | — |  |  | 41 |  |  | 3 |  |  | 44 |
Investments subject to leveling | $ | 210 |  |  | $ | 165,062 |  |  | $ | 2,019,381 |  |  | $ | 2,184,653 |
Investment in joint ventures / PE fund(1) |  |  |  |  |  |  | 147,839 |
|  |  |  |  |  |  | $ | 2,332,492 |
| Fair Value as of December 31, 2021
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 84,275 |  |  | $ | 1,137,323 |  |  | $ | 1,221,598 |
Subordinated debt and 2 nd lien notes | — |  |  | 9,468 |  |  | 230,569 |  |  | 240,037 |
Structured products | — |  |  | 40,271 |  |  | — |  |  | 40,271 |
Equity shares | 111 |  |  | 3,084 |  |  | 151,282 |  |  | 154,477 |
Equity warrants | — |  |  | 243 |  |  | 864 |  |  | 1,107 |
Investments subject to leveling | $ | 111 |  |  | $ | 137,341 |  |  | $ | 1,520,038 |  |  | $ | 1,657,490 |
Investment in joint ventures / PE fund(2) |  |  |  |  |  |  | 143,104 |
|  |  |  |  |  |  | $ | 1,800,594 |
(1)The Company's investments in Jocassee, Sierra JV, Thompson Rivers, Waccamaw River and MVC Private Equity Fund LP are measured at fair value using NAV and have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Unaudited Consolidated Balance Sheet and Consolidated Balance Sheet. (2)The Company's investments in Jocassee, Thompson Rivers, Waccamaw River and MVC Private Equity Fund LP are measured at fair value using NAV and have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Unaudited Consolidated Balance Sheet and Consolidated Balance Sheet.
Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables reconcile the beginning and ending balances of the Company’s investment portfolio measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the nine months ended September 30, 2022 and 2021:
Nine Months Ended September 30, 2022: ($ in thousands) | Senior Debt and 1 st Lien Notes |  | Subordinated Debt and 2 nd Lien Notes |  | Structured Products |  | Equity Shares |  | Equity Warrants |  |  |  | Total
Fair value, beginning of period | $ | 1,137,323 |  |  | $ | 230,569 |  |  | $ | — |  |  | $ | 151,282 |  |  | $ | 864 |  |  |  |  | $ | 1,520,038 |
New investments | 689,638 |  |  | 89,749 |  |  | 6,000 |  |  | 63,344 |  |  | 4 |  |  |  |  | 848,735 |
Investments acquired in Sierra merger | 210,176 |  |  | 54,177 |  |  | — |  |  | 7,065 |  |  | 72 |  |  |  |  | 271,490 |
Transfers into (out of) Level 3, net | 18,015 |  |  | 9,056 |  |  | 4,905 |  |  | 7,263 |  |  | — |  |  |  |  | 39,239 |
Proceeds from sales of investments | (321,758) |  |  | (21,555) |  |  | — |  |  | (1,472) |  |  | (250) |  |  |  |  | (345,035) |
Loan origination fees received | (14,660) |  |  | (1,303) |  |  | — |  |  | — |  |  | — |  |  |  |  | (15,963) |
Principal repayments received | (207,026) |  |  | (56,443) |  |  | (357) |  |  | — |  |  | — |  |  |  |  | (263,826) |
Payment-in-kind interest/dividends | 1,994 |  |  | 9,320 |  |  | — |  |  | 206 |  |  | — |  |  |  |  | 11,520 |
Accretion of loan premium/discount | 222 |  |  | 89 |  |  | — |  |  | — |  |  | — |  |  |  |  | 311 |
Accretion of deferred loan origination revenue | 6,574 |  |  | 1,761 |  |  | — |  |  | — |  |  | — |  |  |  |  | 8,335 |
Realized gain (loss) | (12,292) |  |  | (2,567) |  |  | — |  |  | 18 |  |  | (760) |  |  |  |  | (15,601) |
Unrealized appreciation (depreciation) | (45,793) |  |  | (42,858) |  |  | (1,066) |  |  | 49,782 |  |  | 73 |  |  |  |  | (39,862) |
Fair value, end of period | $ | 1,462,413 |  |  | $ | 269,995 |  |  | $ | 9,482 |  |  | $ | 277,488 |  |  | $ | 3 |  |  |  |  | $ | 2,019,381 |
Nine Months Ended September 30, 2021: ($ in thousands) | Senior Debt and 1 st Lien Notes |  | Subordinated Debt and 2 nd Lien Notes |  | Equity Shares |  |  |  | Equity Warrants |  | Total
Fair value, beginning of period | $ | 1,055,717 |  |  | $ | 130,820 |  |  | $ | 44,227 |  |  |  |  | $ | 1,134 |  |  | $ | 1,231,898 |
New investments | 585,196 |  |  | 83,856 |  |  | 96,309 |  |  |  |  | 163 |  |  | 765,524 |
Transfers into Level 3, net | — |  |  | 2,234 |  |  | 3,224 |  |  |  |  | — |  |  | 5,458 |
Proceeds from sales of investments | (394,827) |  |  | (8,771) |  |  | (6,903) |  |  |  |  | (450) |  |  | (410,951) |
Loan origination fees received | (12,485) |  |  | (1,209) |  |  | — |  |  |  |  | — |  |  | (13,694) |
Principal repayments received | (170,947) |  |  | (27,317) |  |  | — |  |  |  |  | — |  |  | (198,264) |
Payment-in-kind interest | 685 |  |  | 7,721 |  |  | — |  |  |  |  | — |  |  | 8,406 |
Accretion of loan premium/discount | 10 |  |  | 211 |  |  | — |  |  |  |  | — |  |  | 221 |
Accretion of deferred loan origination revenue | 6,029 |  |  | 376 |  |  | — |  |  |  |  | — |  |  | 6,405 |
Realized gain (loss) | 1,837 |  |  | (28) |  |  | 341 |  |  |  |  | 163 |  |  | 2,313 |
Unrealized appreciation (depreciation) | (1,464) |  |  | (2,646) |  |  | 4,748 |  |  |  |  | (386) |  |  | 252 |
Fair value, end of period | $ | 1,069,751 |  |  | $ | 185,247 |  |  | $ | 141,946 |  |  |  |  | $ | 624 |  |  | $ | 1,397,568 |
Schedule of Fee Income | Fee income for the three and nine months ended September 30, 2022 and 2021 was as follows:
| Three Months Ended |  | Three Months Ended |  | Nine Months Ended |  | Nine Months Ended
($ in thousands) | September 30, 2022 |  | September 30, 2021 |  | September 30, 2022 |  | September 30, 2021
Recurring Fee Income: |  |  |  |  |  |  |
Amortization of loan origination fees | $ | 1,582 |  |  | $ | 1,144 |  |  | $ | 4,398 |  |  | $ | 3,386 |
Management, valuation and other fees | 620 |  |  | 542 |  |  | 667 |  |  | 1,671 |
Total Recurring Fee Income | 2,202 |  |  | 1,686 |  |  | 5,065 |  |  | 5,057 |
Non-Recurring Fee Income: |  |  |  |  |  |  |
Prepayment fees | — |  |  | 242 |  |  | 134 |  |  | 292 |
Acceleration of unamortized loan origination fees | 1,685 |  |  | 1,930 |  |  | 4,182 |  |  | 3,201 |
Advisory, loan amendment and other fees | 434 |  |  | 630 |  |  | 1,208 |  |  | 640 |
Total Non-Recurring Fee Income | 2,119 |  |  | 2,802 |  |  | 5,524 |  |  | 4,133 |
Total Fee Income | $ | 4,321 |  |  | $ | 4,488 |  |  | $ | 10,589 |  |  | $ | 9,190 |

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