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INVESTMENTS | 3 Months Ended
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Mar. 31, 2023
Schedule of Investments [Abstract] |
INVESTMENTS | INVESTMENTS Portfolio Composition The Company invests predominately in senior secured private debt investments in well-established middle-market businesses that operate across a wide range of industries, as well as syndicated senior secured loans, structured product investments, bonds and other fixed income securities. Structured product investments include collateralized loan obligations and asset-backed securities. The Adviser’s existing SEC co-investment exemptive relief under the 1940 Act permits the Company and the Adviser’s affiliated private funds and SEC-registered funds to co-invest in loans originated by the Adviser, which allows the Adviser to efficiently implement its senior secured private debt investment strategy for the Company. The cost basis of the Company’s debt investments includes any unamortized purchased premium or discount, unamortized loan origination fees and PIK interest, if any. 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
March 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,813,687 |  |  | 68 | % |  | $ | 1,765,238 |  |  | 69 | % |  | 146 | %
Subordinated debt and 2 nd lien notes | 318,480 |  |  | 12 |  |  | 255,089 |  |  | 10 |  |  | 21 |
Structured products | 96,896 |  |  | 4 |  |  | 79,343 |  |  | 3 |  |  | 7 |
Equity shares | 274,704 |  |  | 10 |  |  | 331,880 |  |  | 13 |  |  | 28 |
Equity warrants | 178 |  |  | — |  |  | 1,056 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 154,539 |  |  | 6 |  |  | 123,508 |  |  | 5 |  |  | 10 |
| $ | 2,658,484 |  |  | 100 | % |  | $ | 2,556,114 |  |  | 100 | % |  | 212 | %
December 31, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,752,943 |  |  | 69 | % |  | $ | 1,696,192 |  |  | 69 | % |  | 142 | %
Subordinated debt and 2 nd lien notes | 326,639 |  |  | 13 |  |  | 263,139 |  |  | 11 |  |  | 22 |
Structured products | 88,805 |  |  | 3 |  |  | 73,550 |  |  | 3 |  |  | 6 |
Equity shares | 230,188 |  |  | 9 |  |  | 284,570 |  |  | 12 |  |  | 24 |
Equity warrants | 178 |  |  | — |  |  | 1,057 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 163,645 |  |  | 6 |  |  | 130,427 |  |  | 5 |  |  | 11 |
| $ | 2,562,398 |  |  | 100 | % |  | $ | 2,448,935 |  |  | 100 | % |  | 205 | %
During the three months ended March 31, 2023, the Company made 11 new investments totaling $65.8 million, made investments in existing portfolio companies totaling $33.9 million and made a $45.0 million equity co-investment alongside certain affiliates in a portfolio company that specializes in providing financing to plaintiff law firms engaged in mass tort and other civil litigation. During the three months ended March 31, 2022, the Company made 22 new investments totaling $229.3 million, purchased $442.2 million of investments as part of the Sierra Merger, made investments in existing portfolio companies totaling $89.3 million and made additional investments in joint venture equity portfolio companies totaling $11.7 million. Industry Composition The industry composition of investments at fair value at March 31, 2023 and December 31, 2022 was as follows:
($ in thousands) | March 31, 2023 |  | December 31, 2022
Aerospace and Defense | $ | 143,668 |  |  | 5.6 | % |  | $ | 120,945 |  |  | 4.9 | %
Automotive | 80,731 |  |  | 3.2 |  |  | 76,934 |  |  | 3.2 |
Banking, Finance, Insurance and Real Estate | 358,053 |  |  | 14.0 |  |  | 312,936 |  |  | 12.8 |
Beverage, Food and Tobacco | 36,133 |  |  | 1.4 |  |  | 34,690 |  |  | 1.4 |
Capital Equipment | 145,705 |  |  | 5.7 |  |  | 141,479 |  |  | 5.8 |
Chemicals, Plastics, and Rubber | 46,877 |  |  | 1.8 |  |  | 47,076 |  |  | 1.9 |
Construction and Building | 44,105 |  |  | 1.7 |  |  | 45,049 |  |  | 1.8 |
Consumer goods: Durable | 43,165 |  |  | 1.7 |  |  | 43,932 |  |  | 1.8 |
Consumer goods: Non-durable | 27,817 |  |  | 1.1 |  |  | 27,693 |  |  | 1.1 |
Containers, Packaging and Glass | 38,312 |  |  | 1.5 |  |  | 37,877 |  |  | 1.5 |
Energy: Electricity | 7,718 |  |  | 0.3 |  |  | 7,337 |  |  | 0.3 |
Energy: Oil and Gas | 4,497 |  |  | 0.2 |  |  | 4,776 |  |  | 0.2 |
Environmental Industries | 51,319 |  |  | 2.0 |  |  | 51,006 |  |  | 2.1 |
Healthcare and Pharmaceuticals | 195,826 |  |  | 7.7 |  |  | 203,576 |  |  | 8.3 |
High Tech Industries | 314,514 |  |  | 12.3 |  |  | 300,980 |  |  | 12.3 |
Hotel, Gaming and Leisure | 54,326 |  |  | 2.1 |  |  | 54,023 |  |  | 2.2 |
Investment Funds and Vehicles | 123,508 |  |  | 4.8 |  |  | 130,427 |  |  | 5.3 |
Media: Advertising, Printing and Publishing | 55,057 |  |  | 2.2 |  |  | 55,477 |  |  | 2.3 |
Media: Broadcasting and Subscription | 20,249 |  |  | 0.8 |  |  | 20,257 |  |  | 0.8 |
Media: Diversified and Production | 62,423 |  |  | 2.4 |  |  | 60,561 |  |  | 2.5 |
Metals and Mining | 32,472 |  |  | 1.3 |  |  | 33,125 |  |  | 1.4 |
Services: Business | 359,253 |  |  | 14.1 |  |  | 338,417 |  |  | 13.8 |
Services: Consumer | 59,465 |  |  | 2.3 |  |  | 67,070 |  |  | 2.7 |
Structured Products | 92,310 |  |  | 3.6 |  |  | 86,703 |  |  | 3.5 |
Telecommunications | 24,930 |  |  | 1.0 |  |  | 24,058 |  |  | 1.0 |
Transportation: Cargo | 100,756 |  |  | 3.9 |  |  | 89,398 |  |  | 3.7 |
Transportation: Consumer | 11,125 |  |  | 0.4 |  |  | 11,062 |  |  | 0.5 |
Utilities: Electric | 17,113 |  |  | 0.7 |  |  | 17,374 |  |  | 0.7 |
Utilities: Oil and Gas | 4,687 |  |  | 0.2 |  |  | 4,697 |  |  | 0.2 |
Total | $ | 2,556,114 |  |  | 100.0 | % |  | $ | 2,448,935 |  |  | 100.0 | %
s Jocassee Partners LLC On May 8, 2019, the Company entered into an agreement with South Carolina Retirement Systems Group Trust (“SCRS”) to create and co-manage Jocassee Partners LLC (“Jocassee”), a joint venture, which invests in a highly diversified asset mix including senior secured, middle-market, private debt investments, syndicated senior secured loans and structured product investments. The Company and SCRS committed to initially provide $50.0 million and $500.0 million, respectively, of equity capital to Jocassee. On June 2, 2022, the Company committed an additional $50.0 million to Jocassee. Equity contributions will be called from each member on a pro-rata basis, based on their equity commitments. During the three months ended March 31, 2023, Jocassee declared $15.7 million in dividends of which $1.4 million was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. The total value of Jocassee’s investment portfolio was $1,222.1 million as of March 31, 2023, as compared to $1,219.9 million as of December 31, 2022. As of March 31, 2023, Jocassee’s investments had an aggregate cost of $1,282.3 million, as compared to $1,296.4 million as of December 31, 2022. As of March 31, 2023 and December 31, 2022, the weighted average yield on the principal amount of Jocassee’s outstanding debt investments was approximately 9.2% and 8.6%, respectively. As of March 31, 2023 and December 31, 2022, the Jocassee investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
March 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,175,878 |  |  |  | 92 | % |  | $ | 1,133,366 |  |  |  | 93 | %
Subordinated debt and 2nd lien notes | 24,151 |  |  |  | 2 |  |  | 23,096 |  |  |  | 2 |
Equity shares | 8,555 |  |  |  | — |  |  | 6,911 |  |  |  | — |
Equity warrants | 31 |  |  |  | — |  |  | 108 |  |  |  | — |
Investment in joint ventures | 63,690 |  |  |  | 5 |  |  | 48,651 |  |  |  | 4 |
Short-term investments | 9,946 |  |  |  | 1 | % |  | 9,946 |  |  |  | 1 | %
| $ | 1,282,251 |  |  |  | 100 | % |  | $ | 1,222,078 |  |  |  | 100 | %
December 31, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,177,895 |  |  |  | 91 | % |  | $ | 1,123,760 |  |  |  | 92 | %
Subordinated debt and 2nd lien notes | 23,141 |  |  |  | 2 |  |  | 21,659 |  |  |  | 2 |
Equity shares | 8,521 |  |  |  | — |  |  | 2,458 |  |  |  | — |
Equity warrants | 31 |  |  |  | — |  |  | 158 |  |  |  | — |
Investment in joint ventures | 75,941 |  |  |  | 6 |  |  | 61,028 |  |  |  | 5 |
Short-term investments | 10,826 |  |  |  | 1 |  |  | 10,826 |  |  |  | 1 |
| $ | 1,296,355 |  |  |  | 100 | % |  | $ | 1,219,889 |  |  |  | 100 | %
The industry composition of Jocassee’s investments at fair value at March 31, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | March 31, 2023 |  | December 31, 2022
Aerospace and Defense | $ | 71,892 |  |  | 5.9 | % |  | $ | 69,133 |  |  | 5.7 | %
Automotive | 21,930 |  |  | 1.8 |  |  | 20,625 |  |  | 1.7 | %
Banking, Finance, Insurance and Real Estate | 106,880 |  |  | 8.8 |  |  | 105,047 |  |  | 8.7 | %
Beverage, Food and Tobacco | 28,321 |  |  | 2.3 |  |  | 25,885 |  |  | 2.1 | %
Capital Equipment | 25,438 |  |  | 2.1 |  |  | 25,014 |  |  | 2.1 | %
Chemicals, Plastics, and Rubber | 31,774 |  |  | 2.6 |  |  | 33,111 |  |  | 2.7 | %
Construction and Building | 17,363 |  |  | 1.4 |  |  | 17,616 |  |  | 1.5 | %
Consumer goods: Durable | 18,441 |  |  | 1.5 |  |  | 18,751 |  |  | 1.7 | %
Consumer goods: Non-durable | 24,468 |  |  | 2.0 |  |  | 22,861 |  |  | 1.9 | %
Containers, Packaging and Glass | 21,468 |  |  | 1.8 |  |  | 24,445 |  |  | 2.0 | %
Energy: Electricity | 15,273 |  |  | 1.3 |  |  | 15,375 |  |  | 1.3 | %
Energy: Oil and Gas | 5,493 |  |  | 0.5 |  |  | 5,726 |  |  | 0.5 | %
Environmental Industries | 7,335 |  |  | 0.6 |  |  | 7,314 |  |  | 0.6 | %
Forest Products & Paper | 2,802 |  |  | 0.2 |  |  | 2,269 |  |  | 0.2 | %
Healthcare and Pharmaceuticals | 132,192 |  |  | 10.9 |  |  | 128,983 |  |  | 10.7 | %
High Tech Industries | 141,309 |  |  | 11.7 |  |  | 141,906 |  |  | 11.7 | %
Hotel, Gaming and Leisure | 27,733 |  |  | 2.3 |  |  | 23,587 |  |  | 2.0 | %
Investment Funds and Vehicles | 48,651 |  |  | 4.0 |  |  | 61,028 |  |  | 5.0 | %
Media: Advertising, Printing and Publishing | 5,982 |  |  | 0.5 |  |  | 5,969 |  |  | 0.5 | %
Media: Broadcasting and Subscription | 33,800 |  |  | 2.8 |  |  | 34,676 |  |  | 2.9 | %
Media: Diversified and Production | 29,830 |  |  | 2.5 |  |  | 28,897 |  |  | 2.4 | %
Metals and Mining | 3,910 |  |  | 0.3 |  |  | 5,069 |  |  | 0.4 | %
Retail | 16,306 |  |  | 1.3 |  |  | 15,720 |  |  | 1.3 | %
Services: Business | 199,721 |  |  | 16.5 |  |  | 199,805 |  |  | 16.5 | %
Services: Consumer | 52,961 |  |  | 4.4 |  |  | 52,543 |  |  | 4.3 | %
Telecommunications | 38,384 |  |  | 3.2 |  |  | 38,034 |  |  | 3.1 | %
Transportation: Cargo | 56,704 |  |  | 4.7 |  |  | 56,018 |  |  | 4.6 | %
Transportation: Consumer | 12,739 |  |  | 1.0 |  |  | 12,562 |  |  | 1.0 | %
Utilities: Electric | 6,147 |  |  | 0.5 |  |  | 4,194 |  |  | 0.3 | %
Utilities: Oil and Gas | 6,885 |  |  | 0.6 |  |  | 6,900 |  |  | 0.6 | %
Total | $ | 1,212,132 |  |  | 100.0 | % |  | $ | 1,209,063 |  |  | 100.0 | %
The geographic composition of Jocassee’s investments at fair value at March 31, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | March 31, 2023 |  | December 31, 2022
Australia | $ | 25,771 |  |  | 2.1 | % |  | $ | 26,111 |  |  | 2.1 | %
Austria | 6,924 |  |  | 0.6 |  |  | 6,697 |  |  | 0.5 |
Belgium | 17,075 |  |  | 1.4 |  |  | 16,385 |  |  | 1.4 |
Canada | 7,309 |  |  | 0.6 |  |  | 7,280 |  |  | 0.6 |
Denmark | 986 |  |  | 0.1 |  |  | 953 |  |  | 0.1 |
Finland | 2,112 |  |  | 0.2 |  |  | 1,967 |  |  | 0.2 |
France | 135,678 |  |  | 11.2 |  |  | 133,682 |  |  | 11.1 |
Germany | 39,323 |  |  | 3.2 |  |  | 38,068 |  |  | 3.1 |
Hong Kong | 16,635 |  |  | 1.4 |  |  | 16,593 |  |  | 1.4 |
Ireland | 4,336 |  |  | 0.3 |  |  | 4,334 |  |  | 0.4 |
Luxembourg | 1,795 |  |  | 0.1 |  |  | 1,759 |  |  | 0.1 |
Netherlands | 35,965 |  |  | 3.0 |  |  | 35,194 |  |  | 2.9 |
Panama | 946 |  |  | 0.1 |  |  | 945 |  |  | 0.1 |
Singapore | 4,961 |  |  | 0.4 |  |  | 4,955 |  |  | 0.4 |
Spain | 4,452 |  |  | 0.4 |  |  | 4,189 |  |  | 0.3 |
Sweden | 4,392 |  |  | 0.4 |  |  | 4,371 |  |  | 0.4 |
Switzerland | 2,404 |  |  | 0.2 |  |  | 5,558 |  |  | 0.5 |
United Kingdom | 128,084 |  |  | 10.5 |  |  | 126,305 |  |  | 10.4 |
USA | 772,984 |  |  | 63.8 |  |  | 773,717 |  |  | 64.0 |
Total | $ | 1,212,132 |  |  | 100.0 | % |  | $ | 1,209,063 |  |  | 100.0 | %
Jocassee’s subscription facility with Bank of America N.A., which is non-recourse to the Company, had approximately $175.9 million and $174.3 million outstanding as of March 31, 2023 and December 31, 2022, respectively. Jocassee’s credit facility with Citibank, N.A., which is non-recourse to the Company, had approximately $359.8 million and $357.9 million outstanding as of March 31, 2023 and December 31, 2022, respectively. Jocassee’s term debt securitization, which is non-recourse to the Company, had approximately $323.3 million outstanding as of both March 31, 2023 and December 31, 2022. The Company may sell portions of its investments via assignment to Jocassee. Since inception, as of both March 31, 2023 and December 31, 2022, the Company had sold $875.9 million of its investments to Jocassee. For the three months ended March 31, 2023 and March 31, 2022, the Company realized a loss on the sales of its investments to Jocassee of nil and $0.2 million, respectively. As of March 31, 2023 and December 31, 2022, the Company had nil and $18.2 million, respectively, in unsettled receivables due from Jocassee that were included in “Receivable from unsettled transactions” in the accompanying Unaudited and Audited Consolidated Balance Sheets. The sale of the investments met the criteria set forth in ASC 860, Transfers and Servicing for treatment as a sale and satisfies the following conditions: •Assigned investments have been isolated from the Company, and put presumptively beyond the reach of the Company and its creditors, even in bankruptcy or other receivership; •each participant has the right to pledge or exchange the assigned investments it received, and no condition both constrains the participant from taking advantage of its right to pledge or exchange and provides more than a trivial benefit to the Company; and •the Company, its consolidated affiliates or its agents do not maintain effective control over the assigned investments through either: (i) an agreement that entitles and/or obligates the Company to repurchase or redeem the assets before maturity, or (ii) the ability to unilaterally cause the holder to return specific assets, other than through a cleanup call. The Company has determined that Jocassee is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Jocassee as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Jocassee due to the allocation of voting rights among Jocassee members. As of March 31, 2023 and December 31, 2022, Jocassee had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2023 |  | As of December 31, 2022
Total contributed capital by Barings BDC, Inc. |  | $ | 35,000 |  |  | $ | 35,000 |
Total contributed capital by all members |  | $ | 385,000 |  |  | $ | 385,000 |
Total unfunded commitments by Barings BDC, Inc. |  | $ | 65,000 |  |  | $ | 65,000 |
Total unfunded commitments by all members |  | $ | 215,000 |  |  | $ | 215,000 |
Thompson Rivers LLC On April 28, 2020, Thompson Rivers LLC (“Thompson Rivers”) was formed as a Delaware limited liability company. On May 13, 2020, the Company entered into a limited liability company agreement governing Thompson Rivers. Under Thompson Rivers’ current operating agreement, as amended to date, the Company has a capital commitment of $75.0 million of equity capital to Thompson Rivers, all of which has been funded as of March 31, 2023. As of March 31, 2023, aggregate commitments to Thompson Rivers by the Company and the other members under the current operating agreement total $450.0 million, all of which has been funded. For the three months ended March 31, 2023 and 2022, Thompson Rivers declared $57.0 million and $20.0 million in dividends, respectively, of which nil and $3.2 million, respectively, was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. In addition, for the three months ended March 31, 2023, the Company recognized $9.1 million of the dividends as a return of capital. As of March 31, 2023, Thompson Rivers had $664.1 million in Ginnie Mae early buyout loans and $29.8 million in cash. As of December 31, 2022, Thompson Rivers had $890.9 million in Ginnie Mae early buyout loans and $65.1 million in cash. As of March 31, 2023, Thompson Rivers had 4,028 outstanding loans with an average unpaid balance of $0.2 million and weighted average coupon of 4.0%. As of December 31, 2022, Thompson Rivers had 5,414 outstanding loans with an average unpaid balance of $0.2 million and weighted average coupon of 4.0%. As of March 31, 2023 and December 31, 2022, the Thompson Rivers investment portfolio consisted of the following investments:
($ in thousands) | Cost |  | Percentage of Total Portfolio |  | Fair Value |  | Percentage of Total Portfolio
March 31, 2023: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 634,664 |  |  | 91 | % |  | $ | 605,542 |  |  | 91 | %
Veterans Affairs (“VA”) loans | 61,344 |  |  | 9 | % |  | 58,569 |  |  | 9 | %
| $ | 696,008 |  |  | 100 | % |  | $ | 664,111 |  |  | 100 | %
December 31, 2022: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 864,625 |  |  | 91 | % |  | $ | 811,358 |  |  | 91 | %
Veterans Affairs (“VA”) loans | 84,654 |  |  | 9 | % |  | 79,553 |  |  | 9 | %
| $ | 949,279 |  |  | 100 | % |  | $ | 890,911 |  |  | 100 | %
Thompson Rivers’ repurchase agreement with JPMorgan Chase Bank, which is non-recourse to the Company, had approximately $171.3 million and $224.2 million outstanding as of March 31, 2023 and December 31, 2022, respectively. Thompson Rivers’ repurchase agreement with Bank of America N.A., which is non-recourse to the Company, had approximately $311.6 million and $428.0 million outstanding as of March 31, 2023 and December 31, 2022, respectively. Thompson Rivers’ repurchase agreement with Barclays Bank, which is non-recourse to the Company, had approximately $104.4 million and $184.2 million outstanding as of March 31, 2023 and December 31, 2022, respectively. The Company has determined that Thompson Rivers is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Thompson Rivers as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Thompson Rivers due to the allocation of voting rights among Thompson Rivers members. As of March 31, 2023 and December 31, 2022, Thompson Rivers had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2023 |  | As of December 31, 2022 |
Total contributed capital by Barings BDC, Inc. (1) |  | $ | 79,411 |  |  | $ | 79,411 |  |
Total contributed capital by all members (2) |  | $ | 482,083 |  |  | $ | 482,083 |  |
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. Waccamaw River LLC On January 4, 2021, Waccamaw River LLC (“Waccamaw River”) was formed as a Delaware limited liability company. On February 8, 2021, the Company entered into a limited liability company agreement governing Waccamaw River. Under Waccamaw River’s current operating agreement, as amended to date, the Company has a capital commitment of $25.0 million of equity capital to Waccamaw River, of which approximately $22.5 million (including approximately $5.3 million of recallable return of capital) has been funded as of March 31, 2023. As of March 31, 2023, aggregate commitments to Waccamaw River by the Company and the other members under the current operating agreement total $125.0 million, of which $112.6 million (including $14.0 million of recallable return of capital) has been funded. For the three months ended March 31, 2023 and 2022, Waccamaw River declared $3.6 million and $1.5 million in dividends, respectively, of which $0.7 million and $0.3 million, respectively, was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. As of March 31, 2023, Waccamaw River had $220.2 million in unsecured consumer loans and $9.7 million in cash. As of December 31, 2022, Waccamaw River had $200.5 million in unsecured consumer loans and $8.0 million in cash. As of March 31, 2023, Waccamaw River had 20,755 outstanding loans with an average loan size of $11,329, remaining average life to maturity of 43.3 months and weighted average interest rate of 12.3%. As of December 31, 2022, Waccamaw River had 18,335 outstanding loans with an average loan size of $11,542, remaining average life to maturity of 44.0 months and weighted average interest rate of 12.0%. Waccamaw River’s secured loan borrowing with JPMorgan Chase Bank, N.A., which is non-recourse to the Company, had approximately $76.5 million and $72.3 million outstanding as of March 31, 2023 and December 31, 2022, respectively. Waccamaw River’s secured loan borrowing with Barclays Bank PLC., which is non-recourse to the Company, had approximately $71.3 million and $44.8 million outstanding as of March 31, 2023 and December 31, 2022, respectively. The Company has determined that Waccamaw River is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Waccamaw River as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Waccamaw River due to the allocation of voting rights among Waccamaw River members. As of March 31, 2023 and December 31, 2022, Waccamaw River had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2023 |  | As of December 31, 2022 |
Total contributed capital by Barings BDC, Inc. |  | $ | 27,800 |  |  | $ | 27,800 |  |
Total contributed capital by all members (1) |  | $ | 126,620 |  |  | $ | 126,620 |  |
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 |  |  | $ | 2,480 |  |
Total unfunded commitments by all members (3) |  | $ | 12,400 |  |  | $ | 12,400 |  |
(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. Sierra Senior Loan Strategy JV I LLC On February 25, 2022, as part of the Sierra Merger, the Company purchased its interest in Sierra Senior Loan Strategy JV I LLC (“Sierra JV”). The Company and MassMutual Ascend Life Insurance Company (“MMALIC”), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company, are the members of Sierra JV, a joint venture formed as a Delaware limited liability company and commenced operations on July 15, 2015. Sierra JV’s investment objective is to generate current income and capital appreciation by investing primarily in the debt of privately-held middle market companies with a focus on senior secured first lien term loans. The members of Sierra JV make capital contributions as investments by Sierra JV are completed, and all portfolio and other material decisions regarding Sierra JV must be submitted to Sierra JV’s board of managers, which is comprised of four members, two of whom are selected by the Company and the other two are selected by MMALIC. Approval of Sierra JV’s board of managers requires the unanimous approval of a quorum of the board of managers, with a quorum consisting of equal representation of members appointed by each of the Company and MMALIC. As of March 31, 2023, Sierra JV had total capital commitments of $124.5 million with the Company committing $110.1 million and MMALIC committing $14.5 million. The Company had fully funded its $110.1 million commitment and total commitments of $124.5 million were funded as of March 31, 2023. For the three months ended March 31, 2023, Sierra JV declared $1.4 million in dividends, of which $1.2 million was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. The Company has determined that Sierra JV is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Sierra JV as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Sierra JV due to the allocation of voting rights among Sierra JV members. The total value of Sierra JV’s investment portfolio was $106.3 million as of March 31, 2023, as compared to $110.0 million, as of December 31, 2022. As of March 31, 2023, Sierra JV’s investments had an aggregate cost $119.7 million, as compared to $125.2 million as of December 31, 2022. As of March 31, 2023 and December 31, 2022, the weighted average yield on the principal amount of Sierra JV’s outstanding debt investments was approximately 9.6% and 9.2%, respectively. As of March 31, 2023 and December 31, 2022, the Sierra JV investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
March 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 119,673 |  |  |  | 100 | % |  | $ | 106,251 |  |  |  | 100 | %
| $ | 119,673 |  |  |  | 100 | % |  | $ | 106,251 |  |  |  | 100 | %
December 31, 2022: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 125,220 |  |  |  | 100 | % |  | $ | 110,047 |  |  |  | 100 | %
| $ | 125,220 |  |  |  | 100 | % |  | $ | 110,047 |  |  |  | 100 | %
The industry composition of Sierra JV’s investments at fair value at March 31, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | March 31, 2023 |  | December 31, 2022
Automotive | $ | 2,386 |  |  | 2.2 | % |  | $ | 2,283 |  |  | 2.1 |
Banking, Finance, Insurance and Real Estate | 1,016 |  |  | 1.0 |  |  | 1,414 |  |  | 1.3 |
Beverage, Food and Tobacco | 3,132 |  |  | 2.9 |  |  | 3,181 |  |  | 2.9 |
Capital Equipment | 9,226 |  |  | 8.7 |  |  | 9,208 |  |  | 8.4 |
Chemicals, Plastics, and Rubber | 2,751 |  |  | 2.6 |  |  | 2,772 |  |  | 2.5 |
Construction and Building | 1,882 |  |  | 1.8 |  |  | 1,887 |  |  | 1.7 |
Consumer goods: Durable | 750 |  |  | 0.7 |  |  | 1,272 |  |  | 1.1 |
Containers, Packaging and Glass | 1,807 |  |  | 1.7 |  |  | 1,812 |  |  | 1.6 |
Environmental Industries | 7,950 |  |  | 7.5 |  |  | 7,797 |  |  | 7.1 |
Healthcare and Pharmaceuticals | 13,856 |  |  | 13.0 |  |  | 13,614 |  |  | 12.4 |
High Tech Industries | 14,226 |  |  | 13.4 |  |  | 13,713 |  |  | 12.5 |
Media: Advertising, Printing and Publishing | 9,975 |  |  | 9.4 |  |  | 10,032 |  |  | 9.1 |
Media: Diversified and Production | 5,596 |  |  | 5.3 |  |  | 5,498 |  |  | 5.0 |
Retail | 5,746 |  |  | 5.4 |  |  | 5,489 |  |  | 5.0 |
Services: Business | 6,746 |  |  | 6.4 |  |  | 10,876 |  |  | 9.9 |
Services: Consumer | 8,396 |  |  | 7.9 |  |  | 8,265 |  |  | 7.5 |
Transportation: Cargo | 6,319 |  |  | 5.9 |  |  | 6,221 |  |  | 5.6 |
Transportation: Consumer | 4,491 |  |  | 4.2 |  |  | 4,713 |  |  | 4.3 |
Total | $ | 106,251 |  |  | 100.0 | % |  | $ | 110,047 |  |  | 100.0 | %
Sierra JV’s revolving credit facility with Wells Fargo Bank, N.A., which is non-recourse to the Company, had $77.0 million outstanding as of March 31, 2023 and $75.0 million outstanding as of December 31, 2022. Eclipse Business Capital Holdings LLC On July 8, 2021, the Company made an equity investment in Eclipse Business Capital Holdings LLC (“Eclipse”) of $89.8 million, a second lien senior secured loan of $4.5 million and unfunded revolver of $13.6 million, alongside other related party affiliates. On August 12, 2022, the Company increased the unfunded revolver to $22.7 million. As of March 31, 2023 and December 31, 2022, $4.4 million and $5.3 million, respectively, of the revolver was funded. Eclipse conducts its business through Eclipse Business Capital LLC. Eclipse is one of the country’s leading independent asset-based lending (“ABL”) platforms that provides financing to middle-market borrowers in the U.S. and Canada. Eclipse provides revolving lines of credit and term loans ranging in size from $10 – $125 million that are secured by collateral such as accounts receivable, inventory, equipment, or real estate. Eclipse lends to both privately-owned and publicly-traded companies across a range of industries, including manufacturing, retail, automotive, oil & gas, services, distribution, and consumer products. The addition of Eclipse to the portfolio allows the Company to participate in an asset class and commercial finance operations that offer differentiated income returns as compared to directly originated loans. Eclipse is led by a seasoned team of ABL experts. The Company has determined that Eclipse is not an investment company under ASC Topic 946, Financial Services - Investment Companies. Under ASC 810-10-15-12(d), an investment company generally does not consolidate an investee that is not an investment company other than a controlled operating company whose business consists of providing services to the company. Thus, the Company is not required to consolidate Eclipse because it does not provide services to the Company. Instead the Company accounts for its equity investment in Eclipse in accordance with ASC 946-320, presented as a single investment measured at fair value. Rocade Holdings LLC On February 1, 2023, the Company made an equity investment in Rocade Holdings LLC (“Rocade”) of $45.0 million, alongside other related party affiliates. Rocade conducts its business through Rocade LLC and operates as Rocade Capital. Rocade is one of the country’s leading litigation finance platforms that specializes in providing financing to plaintiff law firms engaged in mass tort and other civil litigation. Rocade typically provides loans to law firms that are secured by the borrowing firm’s interests in award settlements, including contingency fees expected to be earned from successful litigation. The loans generally bear floating rate PIK interest with an overall expected annualized return between 10% and 25% and collect debt service upon receipt of settlement awards and/or contingency fees. The addition of Rocade to the portfolio allows the Company to participate in an uncorrelated asset class that offer differentiated income returns as compared to directly originated loans. Rocade is led by a seasoned team of litigation finance experts. The Company has determined that Rocade is not an investment company under ASC Topic 946, Financial Services - Investment Companies. Under ASC 810-10-15-12(d), an investment company generally does not consolidate an investee that is not an investment company other than a controlled operating company whose business consists of providing services to the company. Thus, the Company is not required to consolidate Rocade because it does not provide services to the Company. Instead the Company accounts for its equity investment in Rocade in accordance with ASC 946-320, presented as a single investment measured at fair value. Valuation of Investments The Adviser conducts the valuation of the Company’s investments, upon which the Company’s net asset value is primarily based, in accordance with its valuation policy, as well as established and documented processes and methodologies for determining the fair values of portfolio company investments on a recurring (at least quarterly) basis in accordance with the 1940 Act and FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC Topic 820”). The Company’s current valuation policy and processes were established by the Adviser and were approved by the Board. Under ASC Topic 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between a willing buyer and a willing seller at the measurement date. For the Company’s portfolio securities, fair value is generally the amount that the Company might reasonably expect to receive upon the current sale of the security. The fair value measurement assumes that the sale occurs in the principal market for the security, or in the absence of a principal market, in the most advantageous market for the security. If no market for the security exists or if the Company does not have access to the principal market, the security should be valued based on the sale occurring in a hypothetical market. Under ASC Topic 820, there are three levels of valuation inputs, as follows: Level 1 Inputs – include quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2 Inputs – include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 Inputs – include inputs that are unobservable and significant to the fair value measurement. A financial instrument is categorized within the ASC Topic 820 valuation hierarchy based upon the lowest level of input to the valuation process that is significant to the fair value measurement. For example, a Level 3 fair value measurement may include inputs that are observable (Levels 1 and 2) and unobservable (Level 3). Therefore, unrealized appreciation and depreciation related to such investments categorized as Level 3 investments within the tables below may include changes in fair value that are attributable to both observable inputs (Levels 1 and 2) and unobservable inputs (Level 3). The Company’s investment portfolio includes certain debt and equity instruments of privately held companies for which quoted prices or other observable inputs falling within the categories of Level 1 and Level 2 are generally not available. In such cases, the Adviser determines the fair value of the Company’s investments in good faith primarily using Level 3 inputs. In certain cases, quoted prices or other observable inputs exist, and if so, the Adviser assesses the appropriateness of the use of these third-party quotes in determining fair value based on (i) its understanding of the level of actual transactions used by the broker to develop the quote and whether the quote was an indicative price or binding offer and (ii) the depth and consistency of broker quotes and the correlation of changes in broker quotes with the underlying performance of the portfolio company. There is no single standard for determining fair value in good faith, as fair value depends upon the specific circumstances of each individual investment. The recorded fair values of the Company’s Level 3 investments may differ significantly from fair values that would have been used had an active market for the securities existed. In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently assigned. Investment Valuation Process The Board must determine fair value in good faith for any or all Company investments for which market quotations are not readily available. The Board has designated the Adviser as valuation designee to perform the fair value determinations relating to the value of the assets held by the Company for which market quotations are not readily available. The Adviser has established a pricing committee that is, subject to the oversight of the Board, responsible for the approval, implementation and oversight of the processes and methodologies that relate to the pricing and valuation of assets held by the Company. The Adviser uses independent third-party providers to price the portfolio, but in the event an acceptable price cannot be obtained from an approved external source, the Adviser will utilize alternative methods in accordance with internal pricing procedures established by the Adviser’s pricing committee. At least annually, the Adviser conducts reviews of the primary pricing vendors to validate that the inputs used in the vendors’ pricing process are deemed to be market observable. While the Adviser is not provided access to proprietary models of the vendors, the reviews have included on-site walkthroughs of the pricing process, methodologies and control procedures for each asset class and level for which prices are provided. The review also includes an examination of the underlying inputs and assumptions for a sample of individual securities across asset classes, credit rating levels and various durations, a process the Adviser continues to perform annually. In addition, the pricing vendors have an established challenge process in place for all security valuations, which facilitates identification and resolution of prices that fall outside expected ranges. The Adviser believes that the prices received from the pricing vendors are representative of prices that would be received to sell the assets at the measurement date (i.e., exit prices). The Company’s money market fund investments are generally valued using Level 1 inputs and its equity investments listed on an exchange or on the NASDAQ National Market System are valued using Level 1 inputs, using the last quoted sale price of that day. The Company’s syndicated senior secured loans and structured product investments are generally valued using Level 2 inputs, which are generally valued at the bid quotation obtained from dealers in loans by an independent pricing service. The Company’s middle-market, private debt and equity investments are generally valued using Level 3 inputs. Independent Valuation The fair value of loans and equity investments that are not syndicated or for which market quotations are not readily available, including middle-market loans, are generally submitted to independent providers to perform an independent valuation on those loans and equity investments as of the end of each quarter. Such loans and equity investments are initially held at cost, as that is a reasonable approximation of fair value on the acquisition date, and monitored for material changes that could affect the valuation (for example, changes in interest rates or the credit quality of the borrower). At the quarter end following that of the initial acquisition, such loans and equity investments are generally sent to a valuation provider which will determine the fair value of each investment. The independent valuation providers apply various methods (synthetic rating analysis, discounting cash flows, and re-underwriting analysis) to establish the rate of return a market participant would require (the “discount rate”) as of the valuation date, given market conditions, prevailing lending standards and the perceived credit quality of the issuer. Future expected cash flows for each investment are discounted back to present value using these discount rates in the discounted cash flow analysis. A range of values will be provided by the valuation provider and the Adviser will determine the point within that range that it will use. If the Adviser’s pricing committee disagrees with the price range provided, it may make a fair value recommendation to the Adviser that is outside of the range provided by the independent valuation provider and the reasons therefore. In certain instances, the Company may determine that it is not cost-effective, and as a result is not in the stockholders’ best interests, to request an independent valuation firm to perform an independent valuation on certain investments. Such instances include, but are not limited to, situations where the fair value of the investment in the portfolio company is determined to be insignificant relative to the total investment portfolio. Valuation Inputs The Adviser’s valuation techniques are based upon both observable and unobservable pricing inputs. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Adviser’s market assumptions. The Adviser’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. An independent pricing service provider is the preferred source of pricing a loan, however, to the extent the independent pricing service provider price is unavailable or not relevant and reliable, the Adviser will utilize alternative approaches such as broker quotes or manual prices. The Adviser attempts to maximize the use of observable inputs and minimize the use of unobservable inputs. The availability of observable inputs can vary from investment to investment and is affected by a wide variety of factors, including the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the security. Valuation of Investments in Jocassee, Thompson Rivers, Waccamaw River, Sierra JV and MVC Private Equity Fund LP As Jocassee, Thompson Rivers, Waccamaw River, Sierra JV and MVC Private Equity Fund LP are investment companies with no readily determinable fair values, the Adviser estimates the fair value of the Company’s investments in these entities using net asset value of each company and the Company’s ownership percentage as a practical expedient. The net asset value is determined in accordance with the specialized accounting guidance for investment companies. Level 3 Unobservable Inputs 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, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of investments.
March 31, 2023: ($ 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) | $ | 1,507,198 |  |  | Yield Analysis |  | Market Yield |  | 7.6% – 43.3% |  | 11.6% |  | Decrease
14,455 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.8x |  | 5.8x |  | Increase
1,104 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x |  | 0.2x |  | Increase
12,967 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 12.6% |  | 12.6% |  | Decrease
88,690 |  |  | Recent Transaction |  | Transaction Price |  | 96.0% – 98.6% |  | 96.8% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 176,745 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 16.9% |  | 12.9% |  | Decrease
34,810 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 7.0x – 11.0x |  | 8.2x |  | Increase
924 |  |  | Market Approach |  | Revenue Multiple |  | 0.5x |  | 0.5x |  | Increase
39 |  |  | Market Approach |  | Liquidation Value |  | $39.4 |  | $39.4 |  | Increase
746 |  |  | Recent Transaction |  | Transaction Price |  | 97.0% |  | 97.0% |  | Increase
Structured products(3) | 4,275 |  |  | Yield Analysis |  | Market Yield |  | 9.6% – 10.6% |  | 10.1% |  | Decrease
9,379 |  |  | Recent Transaction |  | Transaction Price |  | 100.0% |  | 100.0% |  | Increase
Equity shares(4) | 7,197 |  |  | Yield Analysis |  | Market Yield |  | 15.4% – 16.7% |  | 16.1% |  | Decrease
269,697 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 2.3x – 40.0x |  | 10.8x |  | Increase
1,431 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x – 9.5x |  | 6.6x |  | Increase
1,941 |  |  | Net Asset Approach |  | Liabilities |  | $(20,598.4) |  | $(20,598.4) |  | Decrease
112 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 – $110.0 |  | $107.6 |  | Increase
46,008 |  |  | Recent Transaction |  | Transaction Price |  | $0.01 – $1,408.64 |  | $988.3 |  | Increase
Equity warrants | 1,053 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.0x – 16.5x |  | 7.6x |  | Increase
3 |  |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $25,947, 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 $12,470, 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 $12,462, 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 $2,598, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.
December 31, 2022: ($ 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) | $ | 1,305,819 |  |  | Yield Analysis |  | Market Yield |  | 7.7% – 37.3% |  | 11.7% |  | Decrease
14,794 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.0x |  | 6.0x |  | Increase
1,263 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x |  | 0.2x |  | Increase
13,153 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 13.0% |  | 13.0% |  | Decrease
233,824 |  |  | Recent Transaction |  | Transaction Price |  | 96.7% – 100.0% |  | 97.5% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 182,856 |  |  | Yield Analysis |  | Market Yield |  | 8.4% – 16.6% |  | 13.1% |  | Decrease
35,536 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.5x – 9.0x |  | 7.4x |  | Increase
2,186 |  |  | Market Approach |  | Revenue Multiple |  | 0.5x |  | 0.5x |  | Increase
513 |  |  | Recent Transaction |  | Transaction Price |  | 97.3% |  | 97.3% |  | Increase
Structured products(3) | 3,792 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 10.4% |  | 10.4% |  | Decrease
5,239 |  |  | Recent Transaction |  | Transaction Price |  | 100.0% |  | 100.0% |  | Increase
Equity shares(4) | 12,600 |  |  | Yield Analysis |  | Market Yield |  | 15.7% – 17.8% |  | 16.7% |  | Decrease
259,219 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.0x – 43.0x |  | 9.4x |  | Increase
1,321 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x – 7.0x |  | 6.8x |  | Increase
221 |  |  | Market Approach |  | Adjusted EBITDA/Revenue Multiple Blend |  | 5.8x |  | 5.8x |  | Increase
1,932 |  |  | Net Asset Approach |  | Liabilities |  | $(8,941.8) |  | $(8,941.8) |  | Decrease
112 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 – $110 |  | $107.6 |  | Increase
4,921 |  |  | Recent Transaction |  | Transaction Price |  | $0.00 – $1,015.13 |  | $521.22 |  | Increase
Equity warrants | 1,054 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.0x – 17.5x |  | 7.3x |  | Increase
3 |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $22,503, 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 $13,123, 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 $8,796, 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 $2,741, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. The following tables present the Company’s investment portfolio at fair value as of March 31, 2023 and December 31, 2022, categorized by the ASC Topic 820 valuation hierarchy, as previously described:
| Fair Value as of March 31, 2023
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 114,877 |  |  | $ | 1,650,361 |  |  | $ | 1,765,238 |
Subordinated debt and 2 nd lien notes | — |  |  | 29,355 |  |  | 225,734 |  |  | 255,089 |
Structured products | — |  |  | 53,227 |  |  | 26,116 |  |  | 79,343 |
Equity shares | 145 |  |  | 2,751 |  |  | 328,984 |  |  | 331,880 |
Equity warrants | — |  |  | — |  |  | 1,056 |  |  | 1,056 |
Investments subject to leveling | $ | 145 |  |  | $ | 200,210 |  |  | $ | 2,232,251 |  |  | $ | 2,432,606 |
Investment in joint ventures / PE fund (1) |  |  |  |  |  |  | 123,508 |
|  |  |  |  |  |  | $ | 2,556,114 |
| Fair Value as of December 31, 2022
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 104,836 |  |  | $ | 1,591,356 |  |  | $ | 1,696,192 |
Subordinated debt and 2 nd lien notes | — |  |  | 28,925 |  |  | 234,214 |  |  | 263,139 |
Structured products | — |  |  | 55,723 |  |  | 17,827 |  |  | 73,550 |
Equity shares | 164 |  |  | 1,339 |  |  | 283,067 |  |  | 284,570 |
Equity warrants | — |  |  | — |  |  | 1,057 |  |  | 1,057 |
Investments subject to leveling | $ | 164 |  |  | $ | 190,823 |  |  | $ | 2,127,521 |  |  | $ | 2,318,508 |
Investment in joint ventures / PE fund (1) |  |  |  |  |  |  | 130,427 |
|  |  |  |  |  |  | $ | 2,448,935 |
(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. 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 three months ended March 31, 2023 and 2022:
Three Months Ended March 31, 2023: ($ 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 | $ | 1,591,356 |  |  | $ | 234,214 |  |  | $ | 17,827 |  |  | $ | 283,067 |  |  | $ | 1,057 |  |  |  |  | $ | 2,127,521 |
New investments | 86,805 |  |  | 769 |  |  | 9,382 |  |  | 46,758 |  |  | — |  |  |  |  | 143,714 |
Transfers into (out of) Level 3, net | (9,898) |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (9,898) |
Proceeds from sales of investments | (326) |  |  | — |  |  | — |  |  | (4,200) |  |  | — |  |  |  |  | (4,526) |
Loan origination fees received | (2,397) |  |  | (23) |  |  | — |  |  | — |  |  | — |  |  |  |  | (2,420) |
Principal repayments received | (25,486) |  |  | (11,575) |  |  | (367) |  |  | — |  |  | — |  |  |  |  | (37,428) |
Payment-in-kind interest/dividends | 1,170 |  |  | 2,449 |  |  | — |  |  | — |  |  | — |  |  |  |  | 3,619 |
Accretion of loan premium/discount | 132 |  |  | 41 |  |  | — |  |  | — |  |  | — |  |  |  |  | 173 |
Accretion of deferred loan origination revenue | 1,787 |  |  | 161 |  |  | — |  |  | — |  |  | — |  |  |  |  | 1,948 |
Realized gain (loss) | (274) |  |  | 5 |  |  | — |  |  | 953 |  |  | — |  |  |  |  | 684 |
Unrealized appreciation (depreciation) | 7,492 |  |  | (307) |  |  | (726) |  |  | 2,406 |  |  | (1) |  |  |  |  | 8,864 |
Fair value, end of period | $ | 1,650,361 |  |  | $ | 225,734 |  |  | $ | 26,116 |  |  | $ | 328,984 |  |  | $ | 1,056 |  |  |  |  | $ | 2,232,251 |
Three Months Ended March 31, 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 | 258,441 |  |  | 30,065 |  |  | — |  |  | 11,936 |  |  |  |  | — |  |  | 300,442 |
Investments acquired in Sierra merger | 210,176 |  |  | 54,177 |  |  | — |  |  | 7,065 |  |  |  |  | 72 |  |  | 271,490 |
Transfers into Level 3, net | 2,580 |  |  | — |  |  | 4,905 |  |  | — |  |  |  |  | — |  |  | 7,485 |
Proceeds from sales of investments | (151,580) |  |  | — |  |  | — |  |  | (1,364) |  |  |  |  | (250) |  |  | (153,194) |
Loan origination fees received | (5,350) |  |  | 36 |  |  | — |  |  | — |  |  |  |  | — |  |  | (5,314) |
Principal repayments received | (7,773) |  |  | (11,020) |  |  | — |  |  | — |  |  |  |  | — |  |  | (18,793) |
Payment-in-kind interest/dividends | 308 |  |  | 6,984 |  |  | — |  |  | — |  |  |  |  | — |  |  | 7,292 |
Accretion of loan premium/discount | 7 |  |  | 10 |  |  | — |  |  | — |  |  |  |  | — |  |  | 17 |
Accretion of deferred loan origination revenue | 1,390 |  |  | 62 |  |  | — |  |  | — |  |  |  |  | — |  |  | 1,452 |
Realized gain (loss) | 611 |  |  | 8 |  |  | — |  |  | — |  |  |  |  | (760) |  |  | (141) |
Unrealized appreciation (depreciation) | (5,602) |  |  | (14,894) |  |  | 81 |  |  | 40,403 |  |  |  |  | 146 |  |  | 20,134 |
Fair value, end of period | $ | 1,440,531 |  |  | $ | 295,997 |  |  | $ | 4,986 |  |  | $ | 209,322 |  |  |  |  | $ | 72 |  |  | $ | 1,950,908 |
All realized gains and losses and unrealized appreciation and depreciation are included in earnings (changes in net assets) and are reported on separate line items within the Company’s Unaudited Consolidated Statements of Operations. Pre-tax net unrealized appreciation on Level 3 investments of $9.6 million during the three months ended March 31, 2023 was related to portfolio company investments that were still held by the Company as of March 31, 2023. Pre-tax net unrealized appreciation on Level 3 investments of $21.0 million during the three months ended March 31, 2022 was related to portfolio company investments that were still held by the Company as of March 31, 2022. During the three months ended March 31, 2023, the Company made investments of approximately $128.0 million in portfolio companies to which it was not previously contractually committed to provide such financing. During the three months ended March 31, 2023, the Company made investments of $16.7 million in portfolio companies to which it was previously committed to provide such financing. During the three months ended March 31, 2022, the Company made investments of approximately $741.9 million in portfolio companies to which it was not previously contractually committed to provide such financing. During the three months ended March 31, 2022, the Company made investments of $30.5 million in portfolio companies to which it was previously committed to provide such financing. Unsettled Purchases and Sales of Investments Investment transactions are recorded based on the trade date of the transaction. As a result, unsettled purchases and sales are recorded as payables and receivables from unsettled transactions, respectively. While purchases and sales of the Company’s syndicated senior secured loans generally settle on a T+7 basis, the settlement period will sometimes extend past the scheduled settlement. In such cases, the Company generally is contractually owed and recognizes interest income equal to the applicable margin (“spread”) beginning on the T+7 date. Such income is accrued as interest receivable and is collected upon settlement of the investment transaction. Realized Gain or Loss and Unrealized Appreciation or Depreciation of Portfolio Investments Realized gains or losses are recorded upon the sale or liquidation of investments and are calculated as the difference between the net proceeds from the sale or liquidation, if any, and the cost basis of the investment using the specific identification method. Unrealized appreciation or depreciation reflects the difference between the fair value of the investments and the cost basis of the investments. Investment Classification In accordance with the provisions of the 1940 Act, the Company classifies investments by level of control. As defined in the 1940 Act, “Control Investments” are investments in those companies that the Company is deemed to “Control.” “Affiliate Investments” are investments in those companies that are “Affiliated Persons” of the Company, as defined in the 1940 Act, other than Control Investments. “Non-Control / Non-Affiliate Investments” are those that are neither Control Investments nor Affiliate Investments. Generally, under the 1940 Act, the Company is deemed to control a company in which it has invested if the Company owns more than 25.0% of the voting securities (i.e., securities with the right to elect directors) and/or has the power to exercise control over the management or policies of such portfolio company. Generally, under the 1940 Act, “Affiliate Investments” that are not otherwise “Control Investments” are defined as investments in which the Company owns at least 5.0%, up to 25.0% (inclusive), of the voting securities and does not have the power to exercise control over the management or policies of such portfolio company. Cash and Foreign Currencies Cash consists of deposits held at a custodian bank. Cash is carried at cost, which approximates fair value. The Company places its cash with financial institutions and, at times, cash may exceed insured limits under applicable law. Investment Income Interest income, including amortization of premium and accretion of discount, is recorded on the accrual basis to the extent that such amounts are expected to be collected. Generally, when interest and/or principal payments on a loan become past due, or if the Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company will place the loan on non-accrual status and will generally cease recognizing interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to a restructuring such that the interest income is deemed to be collectible. The Company writes off any previously accrued and uncollected interest when it is determined that interest is no longer considered collectible. As of March 31, 2023 and December 31, 2022, the Company had nine and seven portfolio companies, respectively, with investments that were on non-accrual. As of March 31, 2023, the nine portfolio companies on non-accrual included five portfolio companies purchased as part of the Sierra Merger, two purchased as part of the MVC Acquisition and two portfolio companies were originated by Barings. As of December 31, 2022, the seven portfolio companies on non-accrual included four portfolio companies purchases as part of the Sierra Merger, two purchased as part of the MVC Acquisition and one portfolio company was originated by Barings. Interest income from investments in the equity class of a collateralized loan obligation (“CLO”) security (typically subordinated notes) is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows in accordance with ASC 325-40, Beneficial Interests in Securitized Financial Assets. The Company monitors the expected cash flows from these investments, including the expected residual payments, and the effective yield is determined and updated periodically. Any difference between the cash distribution received and the amount calculated pursuant to the effective interest method is recorded as an adjustment to the cost basis of such investments. Dividend income on preferred equity securities is recorded on the accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity is recorded on the ex-dividend date. Payment-in-Kind Interest The Company currently holds, and expects to hold in the future, some loans in its portfolio that contain payment-in-kind (“PIK”) interest provisions. PIK interest, computed at the contractual rate specified in each loan agreement, is periodically added to the principal balance of the loan, rather than being paid to the Company in cash, and is recorded as interest income. Thus, the actual collection of PIK interest may be deferred until the time of debt principal repayment. PIK interest, which is a non-cash source of income at the time of recognition, is included in the Company’s taxable income and therefore affects the amount the Company is required to distribute to its stockholders to maintain its tax treatment as a RIC for federal income tax purposes, even though the Company has not yet collected the cash. Generally, when current cash interest and/or principal payments on a loan become past due, or if the Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company will place the loan on non-accrual status and will generally cease recognizing PIK interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to a restructuring such that the interest income is deemed to be collectible. The Company writes off any accrued and uncollected PIK interest when it is determined that the PIK interest is no longer collectible. Fee Income Origination, facility, commitment, consent and other advance fees received in connection with loan agreements (“Loan Origination Fees”) are recorded as deferred income and recognized as investment income over the term of the loan. Upon prepayment of a loan, any unamortized Loan Origination Fees are recorded as investment income. In the general course of its business, the Company receives certain fees from portfolio companies, which are non-recurring in nature. Such fees include loan prepayment penalties, structuring fees and covenant waiver fees and amendment fees, and are recorded as investment income when earned. Fee income for the three months ended March 31, 2023 and 2022 was as follows:
| Three Months Ended |  | Three Months Ended |  |  |  |
($ in thousands) | March 31, 2023 |  | March 31, 2022 |  |  |  |
Recurring Fee Income: |  |  |  |  |  |  |
Amortization of loan origination fees | $ | 1,672 |  |  | $ | 1,327 |  |  |  |  |
Management, valuation and other fees | 593 |  |  | (585) |  |  |  |  |
Total Recurring Fee Income | 2,265 |  |  | 742 |  |  |  |  |
Non-Recurring Fee Income: |  |  |  |  |  |  |
Acceleration of unamortized loan origination fees | 345 |  |  | 196 |  |  |  |  |
Advisory, loan amendment and other fees | 690 |  |  | 259 |  |  |  |  |
Total Non-Recurring Fee Income | 1,035 |  |  | 455 |  |  |  |  |
Total Fee Income | $ | 3,300 |  |  | $ | 1,197 |  |  |  |  |
General and Administrative Expenses General and administrative expenses include administrative costs, facilities costs, insurance, legal and accounting expenses, expenses reimbursable to the Adviser under the terms of the Administration Agreement and other costs related to operating as a publicly-traded company. Deferred Financing Fees Costs incurred to issue debt are capitalized and are amortized over the term of the debt agreements using the effective interest method. Segments The Company lends to and invests in customers in various industries. The Company separately evaluates the performance of each of its lending and investment relationships. However, because each of these loan and investment relationships has similar business and economic characteristics, they have been aggregated into a single lending and investment segment. All applicable segment disclosures are included in or can be derived from the Company’s financial statements. Concentration of Credit Risk As of March 31, 2023 and December 31, 2022, there were no individual investments representing greater than 10% of the fair value of the Company’s portfolio. As of March 31, 2023 and December 31, 2022, the Company’s largest single portfolio company investment represented approximately 6.0% and 5.9%, respectively, of the fair value of the Company’s portfolio. Income, consisting of interest, dividends, fees, other investment income and realization of gains or losses on equity interests, can fluctuate dramatically upon repayment of an investment or sale of an equity interest and in any given year can be highly concentrated among several portfolio companies. As of March 31, 2023, all of the Company’s assets were or will be pledged as collateral for the February 2019 Credit Facility. Investments Denominated in Foreign Currencies As of March 31, 2023, the Company held two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, 11 investments that were denominated in Australian dollars, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian krone, one investment that was denominated in Swiss francs, one investment that was denominated in Swedish krona, 63 investments that were denominated in Euros and 29 investments that were denominated in British pounds sterling. As of December 31, 2022, the Company held two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, 11 investments that were denominated in Australian dollars, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian krone, one investment that was denominated in Swiss francs, one investment that was denominated in Swedish krona, 58 investments that were denominated in Euros and 28 investments that were denominated in British pounds sterling. At each balance sheet date, portfolio company investments denominated in foreign currencies are translated into United States dollars using the spot exchange rate on the last business day of the period. Purchases and sales of foreign portfolio company investments, and any income from such investments, are translated into United States dollars using the rates of exchange prevailing on the respective dates of such transactions. Although the fair values of foreign portfolio company investments and the fluctuation in such fair values are translated into United States dollars using the applicable foreign exchange rates described above, the Company does not separately report that portion of the change in fair values resulting from foreign currency exchange rate fluctuations from the change in fair values of the underlying investment. All fluctuations in fair value are included in net unrealized appreciation (depreciation) of investments in the Company’s Unaudited Consolidated Statements of Operations. In addition, during both the three months ended March 31, 2023 and March 31, 2022, the Company entered into forward currency contracts primarily to 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. Net unrealized appreciation or depreciation on foreign currency contracts are included in “Net unrealized appreciation (depreciation) - foreign currency transactions” and net realized gains or losses on forward currency contracts are included in “Net realized gains (losses) - foreign currency transactions” in the Company’s Unaudited Consolidated Statements of Operations. Investments denominated in foreign currencies and foreign currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. Dollar.

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