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INVESTMENTS (Tables) | 3 Months Ended
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Mar. 31, 2024
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
March 31, 2024: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,699,117 |  |  | 67 | % |  | $ | 1,658,742 |  |  | 66 | % |  | 137 | %
Subordinated debt and 2 nd lien notes | 260,225 |  |  | 10 |  |  | 246,902 |  |  | 10 |  |  | 21 |
Structured products | 105,043 |  |  | 4 |  |  | 95,131 |  |  | 4 |  |  | 8 |
Equity shares | 343,533 |  |  | 13 |  |  | 413,482 |  |  | 16 |  |  | 34 |
Equity warrants | 129 |  |  | — |  |  | 2,586 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 143,252 |  |  | 6 |  |  | 110,694 |  |  | 4 |  |  | 9 |
| $ | 2,551,299 |  |  | 100 | % |  | $ | 2,527,537 |  |  | 100 | % |  | 209 | %
December 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,705,353 |  |  | 67 | % |  | $ | 1,670,300 |  |  | 67 | % |  | 140 | %
Subordinated debt and 2 nd lien notes | 256,850 |  |  | 10 |  |  | 238,215 |  |  | 10 |  |  | 20 |
Structured products | 107,314 |  |  | 4 |  |  | 93,038 |  |  | 4 |  |  | 8 |
Equity shares | 320,335 |  |  | 13 |  |  | 374,704 |  |  | 15 |  |  | 31 |
Equity warrants | 76 |  |  | — |  |  | 2,392 |  |  | — |  |  | — |
Investment in joint ventures / PE fund | 145,648 |  |  | 6 |  |  | 110,066 |  |  | 4 |  |  | 9 |
| $ | 2,535,576 |  |  | 100 | % |  | $ | 2,488,715 |  |  | 100 | % |  | 208 | %
The industry composition of investments at fair value at March 31, 2024 and December 31, 2023 was as follows:
($ in thousands) | March 31, 2024 | Percent of Portfolio | Percent of Total Net Assets |  | December 31, 2023 | Percent of Portfolio | Percent of Total Net Assets
Aerospace and Defense | $ | 137,956 |  | 5.5 | % | 11.4 | % |  | $ | 132,498 |  | 5.3 | % | 11.1 | %
Automotive | 71,897 |  | 2.9 |  | 5.9 |  |  | 80,828 |  | 3.3 |  | 6.7 |
Banking, Finance, Insurance and Real Estate | 406,291 |  | 16.1 |  | 33.5 |  |  | 401,816 |  | 16.1 |  | 33.6 |
Beverage, Food and Tobacco | 33,518 |  | 1.3 |  | 2.8 |  |  | 23,135 |  | 0.9 |  | 1.9 |
Capital Equipment | 136,168 |  | 5.4 |  | 11.2 |  |  | 128,706 |  | 5.2 |  | 10.8 |
Chemicals, Plastics, and Rubber | 40,937 |  | 1.6 |  | 3.4 |  |  | 35,897 |  | 1.5 |  | 3.0 |
Construction and Building | 30,684 |  | 1.2 |  | 2.5 |  |  | 30,387 |  | 1.2 |  | 2.5 |
Consumer goods: Durable | 49,236 |  | 2.0 |  | 4.1 |  |  | 47,074 |  | 1.9 |  | 3.9 |
Consumer goods: Non-durable | 36,108 |  | 1.4 |  | 3.0 |  |  | 28,210 |  | 1.1 |  | 2.4 |
Containers, Packaging and Glass | 37,542 |  | 1.5 |  | 3.1 |  |  | 37,524 |  | 1.5 |  | 3.1 |
Energy: Electricity | 29,079 |  | 1.2 |  | 2.4 |  |  | 20,874 |  | 0.8 |  | 1.7 |
Energy: Oil and Gas | 3,236 |  | 0.1 |  | 0.3 |  |  | 3,240 |  | 0.1 |  | 0.3 |
Environmental Industries | 51,501 |  | 2.0 |  | 4.2 |  |  | 53,484 |  | 2.1 |  | 4.5 |
Healthcare and Pharmaceuticals | 190,321 |  | 7.5 |  | 15.7 |  |  | 216,952 |  | 8.7 |  | 18.1 |
High Tech Industries | 304,442 |  | 12.0 |  | 25.1 |  |  | 303,082 |  | 12.2 |  | 25.4 |
Hotel, Gaming and Leisure | 55,991 |  | 2.2 |  | 4.6 |  |  | 54,256 |  | 2.2 |  | 4.5 |
Investment Funds and Vehicles | 110,694 |  | 4.4 |  | 9.1 |  |  | 110,066 |  | 4.4 |  | 9.2 |
Media: Advertising, Printing and Publishing | 38,931 |  | 1.5 |  | 3.2 |  |  | 39,447 |  | 1.6 |  | 3.3 |
Media: Broadcasting and Subscription | 13,060 |  | 0.5 |  | 1.1 |  |  | 13,277 |  | 0.5 |  | 1.1 |
Media: Diversified and Production | 65,449 |  | 2.6 |  | 5.4 |  |  | 64,559 |  | 2.6 |  | 5.4 |
Metals and Mining | 9,015 |  | 0.4 |  | 0.7 |  |  | 8,993 |  | 0.4 |  | 0.8 |
Services: Business | 366,291 |  | 14.5 |  | 30.2 |  |  | 326,762 |  | 13.2 |  | 27.3 |
Services: Consumer | 61,307 |  | 2.4 |  | 5.1 |  |  | 61,409 |  | 2.5 |  | 5.1 |
Structured Products | 104,014 |  | 4.1 |  | 8.6 |  |  | 102,922 |  | 4.1 |  | 8.6 |
Telecommunications | 27,535 |  | 1.1 |  | 2.3 |  |  | 27,565 |  | 1.1 |  | 2.3 |
Transportation: Cargo | 88,075 |  | 3.5 |  | 7.3 |  |  | 96,450 |  | 3.9 |  | 8.1 |
Transportation: Consumer | 12,882 |  | 0.5 |  | 1.1 |  |  | 11,951 |  | 0.5 |  | 1.0 |
Utilities: Electric | 15,377 |  | 0.6 |  | 1.3 |  |  | 22,696 |  | 0.9 |  | 1.9 |
Utilities: Oil and Gas | — |  | — |  | — |  |  | 4,655 |  | 0.2 |  | 0.4 |
Total | $ | 2,527,537 |  | 100.0 | % | 208.6 | % |  | $ | 2,488,715 |  | 100.0 | % | 208.0 | %
As of March 31, 2024 and December 31, 2023, the Jocassee investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
March 31, 2024: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,217,642 |  |  |  | 93 | % |  | $ | 1,188,239 |  |  |  | 95 | %
Subordinated debt and 2nd lien notes | 21,207 |  |  |  | 2 |  |  | 21,244 |  |  |  | 2 |
Equity shares | 449 |  |  |  | — |  |  | 244 |  |  |  | — |
Equity warrants | — |  |  |  | — |  |  | 468 |  |  |  | — |
Investment in joint ventures | 51,339 |  |  |  | 4 |  |  | 30,550 |  |  |  | 2 |
Short-term investments | 12,954 |  |  |  | 1 |  |  | 12,954 |  |  |  | 1 |
| $ | 1,303,591 |  |  |  | 100 | % |  | $ | 1,253,699 |  |  |  | 100 | %
December 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 1,284,098 |  |  |  | 93 | % |  | $ | 1,260,183 |  |  |  | 95 | %
Subordinated debt and 2nd lien notes | 21,728 |  |  |  | 2 |  |  | 21,262 |  |  |  | 2 |
Equity shares | 449 |  |  |  | — |  |  | 268 |  |  |  | — |
Equity warrants | — |  |  |  | — |  |  | 467 |  |  |  | — |
Investment in joint ventures | 54,563 |  |  |  | 4 |  |  | 33,450 |  |  |  | 2 |
Short-term investments | 14,896 |  |  |  | 1 |  |  | 14,896 |  |  |  | 1 |
| $ | 1,375,734 |  |  |  | 100 | % |  | $ | 1,330,526 |  |  |  | 100 | %
The industry composition of Jocassee’s investments at fair value at March 31, 2024 and December 31, 2023, excluding short-term investments, was as follows:
($ in thousands) | March 31, 2024 |  | December 31, 2023
Aerospace and Defense | $ | 85,020 |  |  | 6.8 | % |  | $ | 82,200 |  |  | 6.3 | %
Automotive | 14,460 |  |  | 1.2 |  |  | 26,087 |  |  | 2.0 |
Banking, Finance, Insurance and Real Estate | 121,466 |  |  | 9.8 |  |  | 121,798 |  |  | 9.3 |
Beverage, Food and Tobacco | 29,561 |  |  | 2.4 |  |  | 30,637 |  |  | 2.3 |
Capital Equipment | 14,466 |  |  | 1.2 |  |  | 17,986 |  |  | 1.4 |
Chemicals, Plastics, and Rubber | 39,054 |  |  | 3.1 |  |  | 37,030 |  |  | 2.8 |
Construction and Building | 19,052 |  |  | 1.5 |  |  | 16,942 |  |  | 1.3 |
Consumer goods: Durable | 24,608 |  |  | 2.0 |  |  | 26,412 |  |  | 2.0 |
Consumer goods: Non-durable | 21,383 |  |  | 1.7 |  |  | 21,850 |  |  | 1.7 |
Containers, Packaging and Glass | 27,983 |  |  | 2.3 |  |  | 26,829 |  |  | 2.0 |
Energy: Electricity | 21,150 |  |  | 1.7 |  |  | 20,250 |  |  | 1.5 |
Energy: Oil and Gas | 8,751 |  |  | 0.7 |  |  | 6,724 |  |  | 0.5 |
Environmental Industries | 5,749 |  |  | 0.5 |  |  | 6,986 |  |  | 0.5 |
Forest Products & Paper | 3,601 |  |  | 0.3 |  |  | 3,605 |  |  | 0.3 |
Healthcare and Pharmaceuticals | 127,058 |  |  | 10.2 |  |  | 141,070 |  |  | 10.7 |
High Tech Industries | 161,353 |  |  | 13.0 |  |  | 174,572 |  |  | 13.3 |
Hotel, Gaming and Leisure | 19,691 |  |  | 1.6 |  |  | 22,834 |  |  | 1.7 |
Investment Funds and Vehicles | 30,550 |  |  | 2.5 |  |  | 33,450 |  |  | 2.5 |
Media: Advertising, Printing and Publishing | 11,819 |  |  | 1.0 |  |  | 12,081 |  |  | 0.9 |
Media: Broadcasting and Subscription | 22,596 |  |  | 1.8 |  |  | 31,201 |  |  | 2.4 |
Media: Diversified and Production | 34,354 |  |  | 2.8 |  |  | 34,391 |  |  | 2.6 |
Metals and Mining | 4,870 |  |  | 0.4 |  |  | 3,863 |  |  | 0.3 |
Retail | 12,974 |  |  | 1.0 |  |  | 13,141 |  |  | 1.0 |
Services: Business | 217,010 |  |  | 17.5 |  |  | 222,610 |  |  | 16.9 |
Services: Consumer | 59,055 |  |  | 4.7 |  |  | 58,632 |  |  | 4.5 |
Telecommunications | 35,894 |  |  | 2.9 |  |  | 36,027 |  |  | 2.7 |
Transportation: Cargo | 46,477 |  |  | 3.7 |  |  | 57,575 |  |  | 4.4 |
Transportation: Consumer | 13,682 |  |  | 1.1 |  |  | 12,613 |  |  | 1.0 |
Utilities: Electric | 7,058 |  |  | 0.6 |  |  | 9,396 |  |  | 0.7 |
Utilities: Oil and Gas | — |  |  | — |  |  | 6,838 |  |  | 0.5 |
Total | $ | 1,240,745 |  |  | 100.0 | % |  | $ | 1,315,630 |  |  | 100.0 | %
Schedule of Investment Portfolio | The geographic composition of Jocassee’s investments at fair value at March 31, 2024 and December 31, 2023, excluding short-term investments, was as follows:
($ in thousands) | March 31, 2024 |  | December 31, 2023
Australia | $ | 25,432 |  |  | 2.0 | % |  | $ | 26,291 |  |  | 2.0 | %
Austria | 5,940 |  |  | 0.5 |  |  | 6,026 |  |  | 0.5 |
Belgium | 20,564 |  |  | 1.7 |  |  | 20,379 |  |  | 1.5 |
Canada | 1,895 |  |  | 0.2 |  |  | 3,998 |  |  | 0.3 |
Denmark | 538 |  |  | — |  |  | 1,082 |  |  | 0.1 |
Finland | — |  |  | — |  |  | 2,207 |  |  | 0.2 |
France | 133,970 |  |  | 10.8 |  |  | 137,072 |  |  | 10.4 |
Germany | 49,125 |  |  | 4.0 |  |  | 50,672 |  |  | 3.9 |
Hong Kong | 14,570 |  |  | 1.2 |  |  | 14,162 |  |  | 1.1 |
Ireland | 7,248 |  |  | 0.6 |  |  | 7,445 |  |  | 0.6 |
Luxembourg | 1,803 |  |  | 0.1 |  |  | 1,839 |  |  | 0.1 |
Netherlands | 41,631 |  |  | 3.4 |  |  | 41,260 |  |  | 3.1 |
Panama | 1,456 |  |  | 0.1 |  |  | 1,466 |  |  | 0.1 |
Singapore | 4,990 |  |  | 0.4 |  |  | 4,980 |  |  | 0.4 |
Spain | 4,681 |  |  | 0.4 |  |  | 4,777 |  |  | 0.4 |
Sweden | 3,950 |  |  | 0.3 |  |  | 4,519 |  |  | 0.3 |
Switzerland | 585 |  |  | — |  |  | 592 |  |  | — |
United Kingdom | 120,445 |  |  | 9.7 |  |  | 120,398 |  |  | 9.2 |
USA | 801,922 |  |  | 64.6 |  |  | 866,465 |  |  | 65.8 |
Total | $ | 1,240,745 |  |  | 100.0 | % |  | $ | 1,315,630 |  |  | 100.0 | %
As of March 31, 2024 and December 31, 2023, Jocassee had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2024 |  | As of December 31, 2023
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 March 31, 2024 and December 31, 2023, 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, 2024: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 306,491 |  |  | 93 | % |  | $ | 287,390 |  |  | 93 | %
Veterans Affairs (“VA”) loans | 21,604 |  |  | 7 | % |  | 20,295 |  |  | 7 | %
| $ | 328,095 |  |  | 100 | % |  | $ | 307,685 |  |  | 100 | %
December 31, 2023: |  |  |  |  |  |  |
Federal Housing Administration (“FHA”) loans | $ | 360,847 |  |  | 93 | % |  | $ | 342,240 |  |  | 93 | %
Veterans Affairs (“VA”) loans | 25,810 |  |  | 7 | % |  | 24,491 |  |  | 7 | %
| $ | 386,657 |  |  | 100 | % |  | $ | 366,731 |  |  | 100 | %
As of March 31, 2024 and December 31, 2023, Thompson Rivers had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2024 |  | As of December 31, 2023 |
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 $32.1 million of total contributed capital by related parties. As of March 31, 2024 and December 31, 2023, Waccamaw River had the following contributed capital and unfunded commitments from its members:
($ in thousands) |  | As of March 31, 2024 |  | As of December 31, 2023 |
Total contributed capital by Barings BDC, Inc. |  | $ | 30,280 |  |  | $ | 30,280 |  |
Total contributed capital by all members (1) |  | $ | 139,020 |  |  | $ | 139,020 |  |
Total unfunded commitments by Barings BDC, Inc. |  | $ | — |  |  | $ | — |  |
Total unfunded commitments by all members |  | $ | — |  |  | $ | — |  |
(1)Includes $82.0 million of total contributed capital by related parties as of both March 31, 2024 and December 31, 2023. As of March 31, 2024 and December 31, 2023, the Sierra JV investment portfolio consisted of the following investments:
($ in thousands) | Cost |  |  | Percentage of Total Portfolio |  | Fair Value |  |  | Percentage of Total Portfolio
March 31, 2024: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 51,269 |  |  |  | 100 | % |  | $ | 50,361 |  |  |  | 100 | %
| $ | 51,269 |  |  |  | 100 | % |  | $ | 50,361 |  |  |  | 100 | %
December 31, 2023: |  |  |  |  |  |  |  |  |
Senior debt and 1 st lien notes | $ | 85,304 |  |  |  | 100 | % |  | $ | 79,599 |  |  |  | 100 | %
| $ | 85,304 |  |  |  | 100 | % |  | $ | 79,599 |  |  |  | 100 | %
The industry composition of Sierra JV’s investments at fair value at March 31, 2024 and December 31, 2023 was as follows:
($ in thousands) | March 31, 2024 |  | December 31, 2023
Automotive | $ | 2,730 |  |  | 5.4 | % |  | $ | 2,463 |  |  | 3.1 | %
Banking, Finance, Insurance and Real Estate | — |  |  | — |  |  | 254 |  |  | 0.3 |
Beverage, Food and Tobacco | 3,747 |  |  | 7.4 |  |  | 3,172 |  |  | 4.0 |
Capital Equipment | — |  |  | — |  |  | 5,271 |  |  | 6.6 |
Chemicals, Plastics, and Rubber | 3,014 |  |  | 6.0 |  |  | 2,942 |  |  | 3.7 |
Construction and Building | — |  |  | — |  |  | 1,867 |  |  | 2.4 |
Consumer goods: Durable | 1,064 |  |  | 2.1 |  |  | 1,042 |  |  | 1.3 |
Environmental Industries | 3,769 |  |  | 7.5 |  |  | 3,487 |  |  | 4.4 |
Healthcare and Pharmaceuticals | 8,578 |  |  | 17.0 |  |  | 12,880 |  |  | 16.2 |
High Tech Industries | 10,153 |  |  | 20.2 |  |  | 14,661 |  |  | 18.4 |
Retail | 6,219 |  |  | 12.4 |  |  | 6,255 |  |  | 7.9 |
Services: Business | 4,799 |  |  | 9.5 |  |  | 6,798 |  |  | 8.5 |
Services: Consumer | — |  |  | — |  |  | 8,525 |  |  | 10.7 |
Transportation: Cargo | 6,288 |  |  | 12.5 |  |  | 6,296 |  |  | 7.9 |
Transportation: Consumer | — |  |  | — |  |  | 3,686 |  |  | 4.6 |
Total | $ | 50,361 |  |  | 100.0 | % |  | $ | 79,599 |  |  | 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 March 31, 2024 and December 31, 2023. The weighted average range of unobservable inputs is based on fair value of investments.
March 31, 2024: ($ 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) | $ | 1,340,742 |  |  | Yield Analysis |  | Market Yield |  | 6.1% – 27.0% |  | 11.3% |  | Decrease
42,618 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 0.9x – 12.5x |  | 7.4x |  | Increase
190,551 |  |  | Recent Transaction |  | Transaction Price |  | 95.6% – 100.0% |  | 98.0% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 171,135 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 17.7% |  | 13.2% |  | Decrease
48,627 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 5.0x – 11.0x |  | 7.0x |  | Increase
1,875 |  |  | Recent Transaction |  | Transaction Price |  | 100.0% |  | 100.0% |  | Increase
Structured products(3) | 32,112 |  |  | Yield Analysis |  | Market Yield |  | 9.0% – 10.3% |  | 9.6% |  | Decrease
Equity shares(4) | 23,191 |  |  | Yield Analysis |  | Market Yield |  | 10.5% – 14.2% |  | 12.5% |  | Decrease
342,771 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.5x – 27.5x |  | 10.2x |  | Increase
1,762 |  |  | Market Approach |  | Revenue Multiple |  | 6.0x – 9.3x |  | 6.7x |  | Increase
16,055 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 14.5% |  | 14.5% |  | Decrease
3,535 |  |  | Net Asset Approach |  | Liabilities |  | $(64,894.6) |  | $(64,894.6) |  | Decrease
3 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 |  | $2.5 |  | Increase
1,130 |  |  | Recent Transaction |  | Transaction Price |  | $0.00 – $1,037.50 |  | $440.33 |  | Increase
Equity warrants | 2,506 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.3x – 12.5x |  | 7.5x |  | Increase
3 |  |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $21,506, 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 $10,571, 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 $13,097, 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 $2,669, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. During the three months ended March 31, 2024, one equity position with a fair value of $14.2 million transitioned from a market approach to a yield analysis valuation model. In addition, two senior debt and first lien note positions with a fair value of $16.0 million transitioned from a yield analysis to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company.
December 31, 2023: ($ 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) | $ | 1,399,907 |  |  | Yield Analysis |  | Market Yield |  | 7.8% – 19.6% |  | 11.7% |  | Decrease
32,150 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 1.10x – 12.5x |  | 3.7x |  | Increase
136,594 |  |  | Recent Transaction |  | Transaction Price |  | 95.0% – 100.0% |  | 97.9% |  | Increase
Subordinated debt and 2 nd lien notes(2) | 167,250 |  |  | Yield Analysis |  | Market Yield |  | 8.5% – 18.9% |  | 13.5% |  | Decrease
39,826 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 7.0x – 12.3x |  | 8.2x |  | Increase
5,875 |  |  | Recent Transaction |  | Transaction Price |  | 98.0% – 100.0% |  | 99.3% |  | Increase
Structured products(3) | 30,529 |  |  | Yield Analysis |  | Market Yield |  | 9.2% – 10.3% |  | 9.7% |  | Decrease
Equity shares(4) | 8,788 |  |  | Yield Analysis |  | Market Yield |  | 14.6% |  | 14.6% |  | Decrease
328,210 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 4.5x – 30.0x |  | 10.6x |  | Increase
1,771 |  |  | Market Approach |  | Revenue Multiple |  | 6.5x – 9.5x |  | 6.9x |  | Increase
12,159 |  |  | Discounted Cash Flow Analysis |  | Discount Rate |  | 14.2% |  | 14.2% |  | Decrease
3,196 |  |  | Net Asset Approach |  | Liabilities |  | $(55,281.8) |  | $(55,281.8) |  | Decrease
3 |  |  | Expected Recovery |  | Expected Recovery |  | $2.5 |  | $2.5 |  | Increase
12,947 |  |  | Recent Transaction |  | Transaction Price |  | $1.00 – $10.00 |  | $9.5 |  | Increase
Equity warrants | 2,389 |  |  | Market Approach |  | Adjusted EBITDA Multiple |  | 6.3x – 12.5x |  | 7.3x |  | Increase
3 |  | Expected Recovery |  | Expected Recovery |  | $3.0 |  | $3.0 |  | Increase
(1)Excludes investments with an aggregate fair value amounting to $25,146, 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 $10,847, 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 $12,443, 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 $7,498, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. During the year ended December 31, 2023, one equity position with a fair value of $5.3 million and six senior debt and first lien note positions with a fair value of $20.0 million transitioned from a yield analysis to a market approach valuation model. In addition, one senior debt and first lien note position with a fair value of $9.9 million and one structured product position with a fair value of $3.3 million transitioned from a discounted cash flow analysis to a broker quote valuation model. Lastly, one equity position with a fair value of nil transitioned from an expected recovery to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company. The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 MVC Credit Support Agreement as of March 31, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the MVC Credit Support Agreement.
March 31, 2024: ($ 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 | $ | 16,050 |  |  | Income Approach |  | Discount Rate |  | 6.7% - 7.7% |  | 7.2% |  | Decrease
|  | Time Until Exit (years) |  | 2.3 - 5.3 |  | 3.8 |  | Decrease
December 31, 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 | $ | 17,300 |  |  | Income Approach |  | Discount Rate |  | 6.7% - 7.7% |  | 7.2% |  | Decrease
Time Until Exit (years) |  | 2.3 - 5.3 |  | 3.8 |  | 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 March 31, 2024 and December 31, 2023. The average range of unobservable inputs is based on fair value of the Sierra Credit Support Agreement.
March 31, 2024: ($ 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 | $ | 35,400 |  |  | Simulation Analysis |  | Enterprise/Equity Value |  | $18 - $168,600 |  | $84,308 |  | Decrease
|  | Asset Volatility |  | 35.0% - 50.0% |  | 42.5% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 7.8 |  | 3.9 |  | Decrease
|  | Discount Rate |  | 7.2% |  | 7.2% |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Increase
December 31, 2023: ($ 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 | $ | 40,500 |  |  | Simulation Analysis |  | Enterprise/Equity Value |  | $91 - $159,700 |  | $79,900 |  | Decrease
|  | Asset Volatility |  | 35.0% - 50.0% |  | 42.5% |  | Increase
|  | Time Until Exit (years) |  | 0.0 - 8.1 |  | 4.1 |  | Decrease
|  | Discount Rate |  | 5.7% |  | 5.7% |  | Decrease
|  | Recovery Rate |  | 0.0% - 70.0% |  | 35.0% |  | Increase
Schedule of Fair Value, Assets Measured on Recurring Basis | The following tables present the Company’s investment portfolio at fair value as of March 31, 2024 and December 31, 2023, categorized by the ASC Topic 820 valuation hierarchy, as previously described:
| Fair Value as of March 31, 2024
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 63,325 |  |  | $ | 1,595,417 |  |  | $ | 1,658,742 |
Subordinated debt and 2 nd lien notes | — |  |  | 14,694 |  |  | 232,208 |  |  | 246,902 |
Structured products | — |  |  | 49,922 |  |  | 45,209 |  |  | 95,131 |
Equity shares | 16,985 |  |  | 5,381 |  |  | 391,116 |  |  | 413,482 |
Equity warrants | 77 |  |  | — |  |  | 2,509 |  |  | 2,586 |
Investments subject to leveling | $ | 17,062 |  |  | $ | 133,322 |  |  | $ | 2,266,459 |  |  | $ | 2,416,843 |
Investment in joint ventures / PE fund (1) |  |  |  |  |  |  | 110,694 |
|  |  |  |  |  |  | $ | 2,527,537 |
| Fair Value as of December 31, 2023
($ in thousands) | Level 1 |  | Level 2 |  | Level 3 |  | Total
Senior debt and 1 st lien notes | $ | — |  |  | $ | 76,503 |  |  | $ | 1,593,797 |  |  | $ | 1,670,300 |
Subordinated debt and 2 nd lien notes | — |  |  | 14,417 |  |  | 223,798 |  |  | 238,215 |
Structured products | — |  |  | 50,066 |  |  | 42,972 |  |  | 93,038 |
Equity shares | 132 |  |  | — |  |  | 374,572 |  |  | 374,704 |
Equity warrants | — |  |  | — |  |  | 2,392 |  |  | 2,392 |
Investments subject to leveling | $ | 132 |  |  | $ | 140,986 |  |  | $ | 2,237,531 |  |  | $ | 2,378,649 |
Investment in joint ventures / PE fund (1) |  |  |  |  |  |  | 110,066 |
|  |  |  |  |  |  | $ | 2,488,715 |
(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 three months ended March 31, 2024 and 2023:
Three Months Ended March 31, 2024: ($ 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 | $ | 1,593,797 |  |  | $ | 223,798 |  |  | $ | 42,972 |  |  | $ | 374,572 |  |  | $ | 2,392 |  |  |  |  | $ | 2,237,531 |
New investments | 117,843 |  |  | 18,330 |  |  | 49 |  |  | 4,831 |  |  | — |  |  |  |  | 141,053 |
Investment restructuring | (22,249) |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (22,249) |
Transfers into (out of) Level 3, net | (2,596) |  |  | — |  |  | — |  |  | (4,829) |  |  | — |  |  |  |  | (7,425) |
Proceeds from sales of investments | (187) |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (187) |
Loan origination fees received | (2,238) |  |  | (281) |  |  | — |  |  | — |  |  | — |  |  |  |  | (2,519) |
Principal repayments received | (78,200) |  |  | (11,091) |  |  | (357) |  |  | — |  |  | — |  |  |  |  | (89,648) |
Payment-in-kind interest/dividends | 921 |  |  | 1,363 |  |  | — |  |  | 2,062 |  |  | — |  |  |  |  | 4,346 |
Accretion of loan premium/discount | 134 |  |  | 27 |  |  | — |  |  | — |  |  | — |  |  |  |  | 161 |
Accretion of deferred loan origination revenue | 2,266 |  |  | 133 |  |  | — |  |  | — |  |  | — |  |  |  |  | 2,399 |
Realized gain (loss) | (7,528) |  |  | (5,107) |  |  | (6) |  |  | — |  |  | — |  |  |  |  | (12,641) |
Unrealized appreciation (depreciation) | (6,546) |  |  | 5,036 |  |  | 2,551 |  |  | 14,480 |  |  | 117 |  |  |  |  | 15,638 |
Fair value, end of period | $ | 1,595,417 |  |  | $ | 232,208 |  |  | $ | 45,209 |  |  | $ | 391,116 |  |  | $ | 2,509 |  |  |  |  | $ | 2,266,459 |
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 |
Schedule of Fee Income | Fee income for the three months ended March 31, 2024 and 2023 was as follows:
| Three Months Ended |  | Three Months Ended |  |  |  |
($ in thousands) | March 31, 2024 |  | March 31, 2023 |  |  |  |
Recurring Fee Income: |  |  |  |  |  |  |
Amortization of loan origination fees | $ | 1,685 |  |  | $ | 1,672 |  |  |  |  |
Management, valuation and other fees | 445 |  |  | 593 |  |  |  |  |
Total Recurring Fee Income | 2,130 |  |  | 2,265 |  |  |  |  |
Non-Recurring Fee Income: |  |  |  |  |  |  |
Prepayment fees | 1 |  |  | — |  |  |  |  |
Acceleration of unamortized loan origination fees | 734 |  |  | 345 |  |  |  |  |
Advisory, loan amendment and other fees | 609 |  |  | 690 |  |  |  |  |
Total Non-Recurring Fee Income | 1,344 |  |  | 1,035 |  |  |  |  |
Total Fee Income | $ | 3,474 |  |  | $ | 3,300 |  |  |  |  |

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