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INVESTMENTS (Tables) | 6 Months Ended
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Jun. 30, 2023
Schedule of Investments [Abstract] |
Schedule of Composition of Investment Portfolio at Cost And Fair Value | 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
June 30, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,748,615 |  |  | 69 | % |  | $ | 1,700,975 |  |  | 68 | % |  | 141 | %
Subordinated debt and 2 nd lien notes | 265,943 |  |  | 10 |  |  | 246,997 |  |  | 10 |  |  | 20 |
Structured products | 98,301 |  |  | 4 |  |  | 81,068 |  |  | 3 |  |  | 7 |
Equity shares | 291,794 |  |  | 11 |  |  | 356,201 |  |  | 14 |  |  | 30 |
Equity warrants | 178 |  |  | — |  |  | 1,144 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 149,874 |  |  | 6 |  |  | 119,607 |  |  | 5 |  |  | 10 |
| $ | 2,554,705 |  |  | 100 | % |  | $ | 2,505,992 |  |  | 100 | % |  | 208 | %
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 | %
The industry composition of investments at fair value at June 30, 2023 and December 31, 2022 was as follows:
($ in thousands) | June 30, 2023 |  | December 31, 2022
Aerospace and Defense | $ | 138,050 |  |  | 5.5 | % |  | $ | 120,945 |  |  | 4.9 | %
Automotive | 87,101 |  |  | 3.5 |  |  | 76,934 |  |  | 3.2 |
Banking, Finance, Insurance and Real Estate | 377,001 |  |  | 15.0 |  |  | 312,936 |  |  | 12.8 |
Beverage, Food and Tobacco | 37,055 |  |  | 1.5 |  |  | 34,690 |  |  | 1.4 |
Capital Equipment | 139,473 |  |  | 5.6 |  |  | 141,479 |  |  | 5.8 |
Chemicals, Plastics, and Rubber | 37,204 |  |  | 1.5 |  |  | 47,076 |  |  | 1.9 |
Construction and Building | 29,948 |  |  | 1.2 |  |  | 45,049 |  |  | 1.8 |
Consumer goods: Durable | 44,254 |  |  | 1.8 |  |  | 43,932 |  |  | 1.8 |
Consumer goods: Non-durable | 27,513 |  |  | 1.1 |  |  | 27,693 |  |  | 1.1 |
Containers, Packaging and Glass | 37,913 |  |  | 1.5 |  |  | 37,877 |  |  | 1.5 |
Energy: Electricity | 7,836 |  |  | 0.3 |  |  | 7,337 |  |  | 0.3 |
Energy: Oil and Gas | 4,533 |  |  | 0.2 |  |  | 4,776 |  |  | 0.2 |
Environmental Industries | 51,386 |  |  | 2.1 |  |  | 51,006 |  |  | 2.1 |
Healthcare and Pharmaceuticals | 193,058 |  |  | 7.7 |  |  | 203,576 |  |  | 8.3 |
High Tech Industries | 286,196 |  |  | 11.4 |  |  | 300,980 |  |  | 12.3 |
Hotel, Gaming and Leisure | 54,856 |  |  | 2.2 |  |  | 54,023 |  |  | 2.2 |
Investment Funds and Vehicles | 119,607 |  |  | 4.8 |  |  | 130,427 |  |  | 5.3 |
Media: Advertising, Printing and Publishing | 49,235 |  |  | 1.9 |  |  | 55,477 |  |  | 2.3 |
Media: Broadcasting and Subscription | 20,540 |  |  | 0.8 |  |  | 20,257 |  |  | 0.8 |
Media: Diversified and Production | 62,466 |  |  | 2.5 |  |  | 60,561 |  |  | 2.5 |
Metals and Mining | 32,042 |  |  | 1.3 |  |  | 33,125 |  |  | 1.4 |
Services: Business | 356,439 |  |  | 14.2 |  |  | 338,417 |  |  | 13.8 |
Services: Consumer | 63,407 |  |  | 2.5 |  |  | 67,070 |  |  | 2.7 |
Structured Products | 91,969 |  |  | 3.7 |  |  | 86,703 |  |  | 3.5 |
Telecommunications | 26,462 |  |  | 1.0 |  |  | 24,058 |  |  | 1.0 |
Transportation: Cargo | 97,311 |  |  | 3.9 |  |  | 89,398 |  |  | 3.7 |
Transportation: Consumer | 11,289 |  |  | 0.4 |  |  | 11,062 |  |  | 0.5 |
Utilities: Electric | 17,172 |  |  | 0.7 |  |  | 17,374 |  |  | 0.7 |
Utilities: Oil and Gas | 4,676 |  |  | 0.2 |  |  | 4,697 |  |  | 0.2 |
Total | $ | 2,505,992 |  |  | 100.0 | % |  | $ | 2,448,935 |  |  | 100.0 | %
sAs of June 30, 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
June 30, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,209,696 |  |  |  | 93 | % |  | $ | 1,175,711 |  |  |  | 94 | %
Subordinated debt and 2nd lien notes | 23,249 |  |  |  | 2 |  |  | 22,283 |  |  |  | 2 |
Equity shares | 7,589 |  |  |  | — |  |  | 7,186 |  |  |  | — |
Equity warrants | 31 |  |  |  | — |  |  | 136 |  |  |  | — |
Investment in joint ventures | 57,358 |  |  |  | 4 |  |  | 40,834 |  |  |  | 3 |
Short-term investments | 8,344 |  |  |  | 1 |  |  | 8,344 |  |  |  | 1 |
| $ | 1,306,267 |  |  |  | 100 | % |  | $ | 1,254,494 |  |  |  | 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 June 30, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | June 30, 2023 |  | December 31, 2022
Aerospace and Defense | $ | 76,238 |  |  | 6.1 | % |  | $ | 69,133 |  |  | 5.7 | %
Automotive | 22,154 |  |  | 1.8 |  |  | 20,625 |  |  | 1.7 |
Banking, Finance, Insurance and Real Estate | 107,781 |  |  | 8.6 |  |  | 105,047 |  |  | 8.7 |
Beverage, Food and Tobacco | 31,472 |  |  | 2.5 |  |  | 25,885 |  |  | 2.1 |
Capital Equipment | 26,164 |  |  | 2.1 |  |  | 25,014 |  |  | 2.1 |
Chemicals, Plastics, and Rubber | 32,268 |  |  | 2.6 |  |  | 33,111 |  |  | 2.7 |
Construction and Building | 16,456 |  |  | 1.3 |  |  | 17,616 |  |  | 1.5 |
Consumer goods: Durable | 19,304 |  |  | 1.6 |  |  | 18,751 |  |  | 1.7 |
Consumer goods: Non-durable | 24,320 |  |  | 2.0 |  |  | 22,861 |  |  | 1.9 |
Containers, Packaging and Glass | 25,959 |  |  | 2.1 |  |  | 24,445 |  |  | 2.0 |
Energy: Electricity | 15,458 |  |  | 1.2 |  |  | 15,375 |  |  | 1.3 |
Energy: Oil and Gas | 6,379 |  |  | 0.5 |  |  | 5,726 |  |  | 0.5 |
Environmental Industries | 7,015 |  |  | 0.6 |  |  | 7,314 |  |  | 0.6 |
Forest Products & Paper | 2,951 |  |  | 0.2 |  |  | 2,269 |  |  | 0.2 |
Healthcare and Pharmaceuticals | 140,680 |  |  | 11.3 |  |  | 128,983 |  |  | 10.7 |
High Tech Industries | 151,718 |  |  | 12.2 |  |  | 141,906 |  |  | 11.7 |
Hotel, Gaming and Leisure | 29,274 |  |  | 2.4 |  |  | 23,587 |  |  | 2.0 |
Investment Funds and Vehicles | 40,834 |  |  | 3.3 |  |  | 61,028 |  |  | 5.0 |
Media: Advertising, Printing and Publishing | 11,907 |  |  | 1.0 |  |  | 5,969 |  |  | 0.5 |
Media: Broadcasting and Subscription | 31,533 |  |  | 2.5 |  |  | 34,676 |  |  | 2.9 |
Media: Diversified and Production | 28,556 |  |  | 2.3 |  |  | 28,897 |  |  | 2.4 |
Metals and Mining | 3,903 |  |  | 0.3 |  |  | 5,069 |  |  | 0.4 |
Retail | 14,125 |  |  | 1.1 |  |  | 15,720 |  |  | 1.3 |
Services: Business | 204,382 |  |  | 16.4 |  |  | 199,805 |  |  | 16.5 |
Services: Consumer | 53,562 |  |  | 4.3 |  |  | 52,543 |  |  | 4.3 |
Telecommunications | 37,267 |  |  | 3.0 |  |  | 38,034 |  |  | 3.1 |
Transportation: Cargo | 58,710 |  |  | 4.7 |  |  | 56,018 |  |  | 4.6 |
Transportation: Consumer | 12,749 |  |  | 1.0 |  |  | 12,562 |  |  | 1.0 |
Utilities: Electric | 6,161 |  |  | 0.5 |  |  | 4,194 |  |  | 0.3 |
Utilities: Oil and Gas | 6,870 |  |  | 0.5 |  |  | 6,900 |  |  | 0.6 |
Total | $ | 1,246,150 |  |  | 100.0 | % |  | $ | 1,209,063 |  |  | 100.0 | %
Schedule of Investment Portfolio | The geographic composition of Jocassee’s investments at fair value at June 30, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | June 30, 2023 |  | December 31, 2022
Australia | $ | 25,833 |  |  | 2.1 | % |  | $ | 26,111 |  |  | 2.1 | %
Austria | 6,995 |  |  | 0.6 |  |  | 6,697 |  |  | 0.5 |
Belgium | 20,213 |  |  | 1.6 |  |  | 16,385 |  |  | 1.4 |
Canada | 7,445 |  |  | 0.6 |  |  | 7,280 |  |  | 0.6 |
Denmark | 2,411 |  |  | 0.2 |  |  | 953 |  |  | 0.1 |
Finland | 44,864 |  |  | 3.6 |  |  | 1,967 |  |  | 0.2 |
France | 1,028 |  |  | 0.1 |  |  | 133,682 |  |  | 11.1 |
Germany | 4,591 |  |  | 0.4 |  |  | 38,068 |  |  | 3.1 |
Hong Kong | 2,136 |  |  | 0.2 |  |  | 16,593 |  |  | 1.4 |
Ireland | 135,291 |  |  | 10.8 |  |  | 4,334 |  |  | 0.4 |
Italy | 122,041 |  |  | 9.8 |  |  | — |  |  | — |
Luxembourg | 14,587 |  |  | 1.2 |  |  | 1,759 |  |  | 0.1 |
Netherlands | 7,120 |  |  | 0.6 |  |  | 35,194 |  |  | 2.9 |
Panama | — |  |  | — |  |  | 945 |  |  | 0.1 |
Singapore | 1,813 |  |  | 0.1 |  |  | 4,955 |  |  | 0.4 |
Spain | 40,185 |  |  | 3.2 |  |  | 4,189 |  |  | 0.3 |
Sweden | 963 |  |  | 0.1 |  |  | 4,371 |  |  | 0.4 |
Switzerland | 4,967 |  |  | 0.4 |  |  | 5,558 |  |  | 0.5 |
United Kingdom | 4,217 |  |  | 0.2 |  |  | 126,305 |  |  | 10.4 |
USA | 799,450 |  |  | 64.2 |  |  | 773,717 |  |  | 64.0 |
Total | $ | 1,246,150 |  |  | 100.0 | % |  | $ | 1,209,063 |  |  | 100.0 | %
As of June 30, 2023 and December 31, 2022, Jocassee had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of June 30, 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 |
As of June 30, 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
June 30, 2023: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 510,032 |  |  | 92 | % |  | $ | 479,899 |  |  | 92 | %
Veterans Affairs (“VA”) loans | 44,797 |  |  | 8 | % |  | 42,275 |  |  | 8 | %
| $ | 554,829 |  |  | 100 | % |  | $ | 522,174 |  |  | 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 | %
As of June 30, 2023 and December 31, 2022, Thompson Rivers had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of June 30, 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 $162.1 million, respectively, of total contributed capital by related parties. As of June 30, 2023 and December 31, 2022, Waccamaw River had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of June 30, 2023 |  | As of December 31, 2022 |
Total contributed capital by Barings BDC, Inc. |  | $ | 30,280 |  |  | $ | 27,800 |  |
Total contributed capital by all members (1) |  | $ | 139,020 |  |  | $ | 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 |  |
Total unfunded commitments by all members |  | $ | — |  |  | $ | 12,400 |  | (3)
(1)Includes $82.0 million and $74.6 million of total contributed capital by related parties as of June 30, 2023 and December 31, 2022, respectively. (2)Includes ($7.0) million of total return of capital (recallable) by related parties. (3)Includes $7.4 million of unfunded commitments by related parties. As of June 30, 2023 and December 31, 2022, the Sierra JV investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
June 30, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 115,684 |  |  |  | 100 | % |  | $ | 106,927 |  |  |  | 100 | %
| $ | 115,684 |  |  |  | 100 | % |  | $ | 106,927 |  |  |  | 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 June 30, 2023 and December 31, 2022, excluding short-term investments, was as follows:
($ in thousands) | June 30, 2023 |  | December 31, 2022
Automotive | $ | 2,517 |  |  | 2.3 | % |  | $ | 2,283 |  |  | 2.1 | %
Banking, Finance, Insurance and Real Estate | 1,040 |  |  | 1.0 |  |  | 1,414 |  |  | 1.3 |
Beverage, Food and Tobacco | 3,307 |  |  | 3.1 |  |  | 3,181 |  |  | 2.9 |
Capital Equipment | 9,273 |  |  | 8.7 |  |  | 9,208 |  |  | 8.4 |
Chemicals, Plastics, and Rubber | 2,684 |  |  | 2.5 |  |  | 2,772 |  |  | 2.5 |
Construction and Building | 1,877 |  |  | 1.8 |  |  | 1,887 |  |  | 1.7 |
Consumer goods: Durable | 988 |  |  | 0.9 |  |  | 1,272 |  |  | 1.1 |
Containers, Packaging and Glass | 1,803 |  |  | 1.7 |  |  | 1,812 |  |  | 1.6 |
Environmental Industries | 8,062 |  |  | 7.5 |  |  | 7,797 |  |  | 7.1 |
Healthcare and Pharmaceuticals | 13,301 |  |  | 12.4 |  |  | 13,614 |  |  | 12.4 |
High Tech Industries | 14,684 |  |  | 13.7 |  |  | 13,713 |  |  | 12.5 |
Media: Advertising, Printing and Publishing | 9,918 |  |  | 9.3 |  |  | 10,032 |  |  | 9.1 |
Media: Diversified and Production | 5,626 |  |  | 5.3 |  |  | 5,498 |  |  | 5.0 |
Retail | 6,055 |  |  | 5.7 |  |  | 5,489 |  |  | 5.0 |
Services: Business | 6,867 |  |  | 6.4 |  |  | 10,876 |  |  | 9.9 |
Services: Consumer | 8,382 |  |  | 7.8 |  |  | 8,265 |  |  | 7.5 |
Transportation: Cargo | 6,311 |  |  | 5.9 |  |  | 6,221 |  |  | 5.6 |
Transportation: Consumer | 4,232 |  |  | 4.0 |  |  | 4,713 |  |  | 4.3 |
Total | $ | 106,927 |  |  | 100.0 | % |  | $ | 110,047 |  |  | 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 June 30, 2023 and December 31, 2022. The weighted average range of unobservable inputs is based on fair value of investments.
June 30, 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) | $ | 1,499,714 |  |  | Yield Analysis |  | Market Yield |  | 7.5% – 30.6% |  | 11.9% |  | Decrease
15,133 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.8x |  | 5.8x |  | Increase
1,141 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x |  | 0.2x |  | Increase
47,748 |  |  | Recent Transaction |  | Transaction Price |  | 93.3% – 97.5% |  | 96.0% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 165,875 |  |  | Yield Analysis |  | Market Yield |  | 8.6% – 18.1% |  | 13.5% |  | Decrease
36,829 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 7.0x – 11.0x |  | 8.2x |  | Increase
1,504 |  |  | Recent Transaction |  | Transaction Price |  | 97.0% – 98.0% |  | 97.6% |  | Increase
Structured products(3) | 18,797 |  |  | Yield Analysis |  | Market Yield |  | 8.2% – 11.6% |  | 9.2% |  | Decrease
Equity shares(4) | 8,220 |  |  | Yield Analysis |  | Market Yield |  | 13.6% – 14.8% |  | 14.2% |  | Decrease
337,091 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 1.8x – 40.0x |  | 10.7x |  | Increase
1,425 |  |  | Market Approach |  | Revenue Multiple |  | 0.2x – 9.5x |  | 6.6x |  | Increase
2,938 |  |  | Net Asset Approach |  | Liabilities |  | $(33,951.4) |  | $(33,951.4) |  | Decrease
112 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 – $110.0 |  | $107.6 |  | Increase
2,111 |  |  | Recent Transaction |  | Transaction Price |  | $0.98 – $14.94 |  | $11.8 |  | Increase
Equity warrants | 1,141 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.3x – 14.5x |  | 8.4x |  | Increase
3 |  |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $32,393, 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 $4,882, 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 $12,098, 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 $3,278, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.
December 31, 2022: ($ 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 $2,741, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of June 30, 2023 and December 31, 2022. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.
June 30, 2023: ($ in thousands) | Fair Value |  | Valuation Model |  | Level 3 Input |  | Range of Inputs |  | Average |  | Impact to Valuation from an Increase in Input
MVC Credit Support Agreement | $ | 15,650 |  |  | Income Approach |  | Discount Rate |  | 6.8% - 7.8% |  | 7.3% |  | Decrease
|  | Time Until Exit (years) |  | 2.5 - 5.5 |  | 4.0 |  | Decrease
December 31, 2022: ($ in thousands) | Fair Value |  | Valuation Model |  | Level 3 Input |  | Range of Inputs |  | Average |  | Impact to Valuation from an Increase in Input
MVC Credit Support Agreement | $ | 12,386 |  |  | Income Approach |  | Discount Rate |  | 7.1% - 8.1% |  | 7.6% |  | Decrease
The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 Sierra Credit Support Agreement as of June 30, 2023 and December 31, 2022. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.
June 30, 2023: ($ in thousands) | Fair Value |  | Valuation Model |  | Level 3 Input |  | Range of Inputs |  | Average |  | Impact to Valuation from an Increase in Input
Sierra Credit Support Agreement | $ | 45,000 |  |  | Simulation Analysis |  | Enterprise Value |  | $12 - $138,800 |  | $69,406 |  | Decrease
|  | Asset Volatility |  | 40.0% - 70.0% |  | 55.0% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 8.6 |  | 4.3 |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Decrease
December 31, 2022: ($ in thousands) | Fair Value |  | Valuation Model |  | Level 3 Input |  | Range of Inputs |  | Average |  | Impact to Valuation from an Increase in Input
Sierra Credit Support Agreement | $ | 40,700 |  |  | Simulation Analysis |  | Enterprise Value |  | $100 - $403,500 |  | $201,800 |  | Decrease
|  | Asset Volatility |  | 37.5% - 70.0% |  | 53.8% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 9.1 |  | 4.6 |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Decrease
Schedule of Fair Value, Assets Measured on Recurring Basis | The following tables present the Company’s investment portfolio at fair value as of June 30, 2023 and December 31, 2022, categorized by the ASC Topic 820 valuation hierarchy, as previously described:
| Fair Value as of June 30, 2023
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 104,846 |  |  | $ | 1,596,129 |  |  | $ | 1,700,975 |
Subordinated debt and 2 nd lien notes | — |  |  | 37,907 |  |  | 209,090 |  |  | 246,997 |
Structured products | — |  |  | 50,173 |  |  | 30,895 |  |  | 81,068 |
Equity shares | 121 |  |  | 905 |  |  | 355,175 |  |  | 356,201 |
Equity warrants | — |  |  | — |  |  | 1,144 |  |  | 1,144 |
Investments subject to leveling | $ | 121 |  |  | $ | 193,831 |  |  | $ | 2,192,433 |  |  | $ | 2,386,385 |
Investment in joint ventures / PE fund (1) |  |  |  |  |  |  | 119,607 |
|  |  |  |  |  |  | $ | 2,505,992 |
| 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.
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 six months ended June 30, 2023 and 2022:
Six Months Ended June 30, 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 | 131,734 |  |  | 11,478 |  |  | 13,479 |  |  | 60,137 |  |  | — |  |  |  |  | 216,828 |
Transfers into (out of) Level 3, net | (9,417) |  |  | (7,748) |  |  | — |  |  | 914 |  |  | — |  |  |  |  | (16,251) |
Proceeds from sales of investments | (68,425) |  |  | (2,800) |  |  | — |  |  | (4,200) |  |  | — |  |  |  |  | (75,425) |
Loan origination fees received | (2,825) |  |  | (51) |  |  | — |  |  | — |  |  | — |  |  |  |  | (2,876) |
Principal repayments received | (59,097) |  |  | (32,345) |  |  | (367) |  |  | — |  |  | — |  |  |  |  | (91,809) |
Payment-in-kind interest/dividends | 2,309 |  |  | 6,187 |  |  | — |  |  | 3,711 |  |  | — |  |  |  |  | 12,207 |
Accretion of loan premium/discount | 259 |  |  | 426 |  |  | — |  |  | — |  |  | — |  |  |  |  | 685 |
Accretion of deferred loan origination revenue | 3,672 |  |  | 281 |  |  | — |  |  | — |  |  | — |  |  |  |  | 3,953 |
Realized gain (loss) | (661) |  |  | (43,902) |  |  | — |  |  | 953 |  |  | — |  |  |  |  | (43,610) |
Unrealized appreciation (depreciation) | 7,224 |  |  | 43,350 |  |  | (44) |  |  | 10,593 |  |  | 87 |  |  |  |  | 61,210 |
Fair value, end of period | $ | 1,596,129 |  |  | $ | 209,090 |  |  | $ | 30,895 |  |  | $ | 355,175 |  |  | $ | 1,144 |  |  |  |  | $ | 2,192,433 |
Six Months Ended June 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 | 510,243 |  |  | 80,752 |  |  | 6,000 |  |  | 45,116 |  |  |  |  | — |  |  | 642,111 |
Investments acquired in Sierra merger | 210,176 |  |  | 54,177 |  |  | — |  |  | 7,065 |  |  |  |  | 72 |  |  | 271,490 |
Transfers into Level 3, net | (6,054) |  |  | — |  |  | 4,905 |  |  | 7,263 |  |  |  |  | — |  |  | 6,114 |
Proceeds from sales of investments | (220,592) |  |  | (14,754) |  |  | — |  |  | (1,472) |  |  |  |  | (250) |  |  | (237,068) |
Loan origination fees received | (10,371) |  |  | (1,121) |  |  | — |  |  | — |  |  |  |  | — |  |  | (11,492) |
Principal repayments received | (157,387) |  |  | (22,610) |  |  | — |  |  | — |  |  |  |  | — |  |  | (179,997) |
Payment-in-kind interest/dividends | 985 |  |  | 8,939 |  |  | — |  |  | — |  |  |  |  | — |  |  | 9,924 |
Accretion of loan premium/discount | 74 |  |  | 36 |  |  | — |  |  | — |  |  |  |  | — |  |  | 110 |
Accretion of deferred loan origination revenue | 4,178 |  |  | 974 |  |  | — |  |  | — |  |  |  |  | — |  |  | 5,152 |
Realized gain (loss) | (5,329) |  |  | (1,506) |  |  | — |  |  | 18 |  |  |  |  | (760) |  |  | (7,577) |
Unrealized appreciation (depreciation) | (25,312) |  |  | (39,874) |  |  | (471) |  |  | 55,059 |  |  |  |  | 109 |  |  | (10,489) |
Fair value, end of period | $ | 1,437,934 |  |  | $ | 295,582 |  |  | $ | 10,434 |  |  | $ | 264,331 |  |  |  |  | $ | 35 |  |  | $ | 2,008,316 |
Schedule of Fee Income | Fee income for the three and six months ended June 30, 2023 and 2022 was as follows:
| Three Months Ended |  | Three Months Ended |  | Six Months Ended |  | Six Months Ended
($ in thousands) | June 30, 2023 |  | June 30, 2022 |  | June 30, 2023 |  | June 30, 2022
Recurring Fee Income: |  |  |  |  |  |  |
Amortization of loan origination fees | $ | 1,749 |  |  | $ | 1,489 |  |  | $ | 3,420 |  |  | $ | 2,816 |
Management, valuation and other fees | 601 |  |  | 633 |  |  | 1,194 |  |  | 47 |
Total Recurring Fee Income | 2,350 |  |  | 2,122 |  |  | 4,614 |  |  | 2,863 |
Non-Recurring Fee Income: |  |  |  |  |  |  |
Prepayment fees | 329 |  |  | 133 |  |  | 329 |  |  | 133 |
Acceleration of unamortized loan origination fees | 328 |  |  | 2,301 |  |  | 674 |  |  | 2,497 |
Advisory, loan amendment and other fees | 1,294 |  |  | 516 |  |  | 1,984 |  |  | 775 |
Total Non-Recurring Fee Income | 1,951 |  |  | 2,950 |  |  | 2,987 |  |  | 3,405 |
Total Fee Income | $ | 4,301 |  |  | $ | 5,072 |  |  | $ | 7,601 |  |  | $ | 6,268 |

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