XML 45 R30.htm IDEA: XBRL DOCUMENT v3.22.4
Investments (Tables)
 12 Months Ended
Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
Summary of Portfolio by Security and Investment

The following table shows the Company’s portfolio by security type at December 31, 2022 and December 31, 2021:

 

 

 

 

 

 

 

 

($ in thousands)

 

December 31, 2022

 

 

December 31, 2021

 

Security Type

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Senior Secured Loan

 

$

435,856

 

 

$

418,722

 

 

 

73

 

 

$

361,556

 

 

$

364,701

 

 

 

66

 

Junior Secured Loan

 

 

65,776

 

 

 

56,400

 

 

 

10

 

 

 

82,996

 

 

 

70,549

 

 

 

13

 

Senior Unsecured Bond

 

 

416

 

 

 

43

 

 

 

0

 

 

 

416

 

 

 

43

 

 

 

0

 

Equity Securities

 

 

28,848

 

 

 

21,905

 

 

 

4

 

 

 

26,680

 

 

 

22,586

 

 

 

4

 

CLO Fund Securities

 

 

34,649

 

 

 

20,453

 

 

 

3

 

 

 

51,561

 

 

 

31,632

 

 

 

6

 

Asset Manager Affiliates(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Joint Ventures

 

 

68,850

 

 

 

58,955

 

 

 

10

 

 

 

64,365

 

 

 

60,474

 

 

 

11

 

Derivatives

 

 

31

 

 

 

-

 

 

 

-

 

 

 

31

 

 

 

(2,412

)

 

 

-

 

Total

 

$

652,217

 

 

$

576,478

 

 

 

100

%

 

$

605,396

 

 

$

547,573

 

 

 

100

%
(1)
Represents percentage of total portfolio at fair value.
(2)
Represents the equity investment in the Asset Manager Affiliates.

The industry concentrations based on the fair value of the Company’s investment portfolio as of December 31, 2022 and December 31, 2021, were as follows:

 

($ in thousands)

 

December 31, 2022

 

 

December 31, 2021

 

Industry Classification

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Aerospace and Defense

 

$

10,579

 

 

$

10,494

 

 

 

2

 

 

$

11,730

 

 

$

11,692

 

 

 

2

 

Asset Management Company(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Automotive

 

 

7,329

 

 

 

6,947

 

 

 

1

 

 

 

11,331

 

 

 

11,487

 

 

 

2

 

Banking, Finance, Insurance & Real Estate

 

 

76,038

 

 

 

78,264

 

 

 

14

 

 

 

41,487

 

 

 

42,858

 

 

 

8

 

Beverage, Food and Tobacco

 

 

12,619

 

 

 

12,456

 

 

 

2

 

 

 

5,511

 

 

 

5,625

 

 

 

1

 

Capital Equipment

 

 

10,681

 

 

 

2,745

 

 

 

1

 

 

 

14,387

 

 

 

10,620

 

 

 

2

 

Chemicals, Plastics & Rubber

 

 

10,447

 

 

 

10,359

 

 

 

2

 

 

 

12,692

 

 

 

12,969

 

 

 

2

 

CLO Fund Securities

 

 

34,649

 

 

 

20,453

 

 

 

3

 

 

 

51,561

 

 

 

31,632

 

 

 

6

 

Construction & Building

 

 

9,545

 

 

 

9,199

 

 

 

2

 

 

 

8,966

 

 

 

9,501

 

 

 

2

 

Consumer goods: Durable

 

 

16,762

 

 

 

13,943

 

 

 

2

 

 

 

25,151

 

 

 

24,831

 

 

 

5

 

Consumer goods: Non-durable

 

 

-

 

 

 

-

 

 

 

-

 

 

 

4,162

 

 

 

4,197

 

 

 

1

 

Containers, Packaging and Glass

 

 

2,754

 

 

 

2,655

 

 

 

1

 

 

 

2,780

 

 

 

2,570

 

 

 

1

 

Electronics

 

 

10,866

 

 

 

11,129

 

 

 

2

 

 

 

10,623

 

 

 

11,089

 

 

 

2

 

Energy: Electricity

 

 

671

 

 

 

671

 

 

 

0

 

 

 

-

 

 

 

-

 

 

 

-

 

Energy: Oil & Gas

 

 

6,718

 

 

 

1,056

 

 

 

0

 

 

 

7,921

 

 

 

2,355

 

 

 

0

 

Environmental Industries

 

 

4,315

 

 

 

4,930

 

 

 

1

 

 

 

4,315

 

 

 

4,200

 

 

 

1

 

Finance

 

 

17,570

 

 

 

17,581

 

 

 

3

 

 

 

10,916

 

 

 

10,912

 

 

 

2

 

Forest Products & Paper

 

 

1,589

 

 

 

1,373

 

 

 

0

 

 

 

1,583

 

 

 

1,271

 

 

 

0

 

Healthcare, Education and Childcare

 

 

9,726

 

 

 

9,586

 

 

 

2

 

 

 

9,783

 

 

 

9,752

 

 

 

2

 

Healthcare & Pharmaceuticals

 

 

51,901

 

 

 

50,566

 

 

 

9

 

 

 

71,696

 

 

 

62,275

 

 

 

11

 

High Tech Industries

 

 

83,661

 

 

 

73,994

 

 

 

13

 

 

 

58,803

 

 

 

58,715

 

 

 

11

 

Hotel, Gaming & Leisure

 

 

10,245

 

 

 

6,798

 

 

 

1

 

 

 

4,906

 

 

 

4,898

 

 

 

1

 

Joint Ventures

 

 

68,850

 

 

 

58,955

 

 

 

10

 

 

 

64,365

 

 

 

60,474

 

 

 

11

 

Machinery (Non-Agrclt/Constr/Electr)

 

 

9,461

 

 

 

9,291

 

 

 

2

 

 

 

7,748

 

 

 

8,967

 

 

 

2

 

Media: Advertising, Printing & Publishing

 

 

150

 

 

 

549

 

 

 

0

 

 

 

150

 

 

 

246

 

 

 

0

 

Media: Broadcasting & Subscription

 

 

14,930

 

 

 

14,358

 

 

 

2

 

 

 

12,407

 

 

 

13,255

 

 

 

2

 

Media: Diversified & Production

 

 

6,976

 

 

 

6,572

 

 

 

1

 

 

 

6,272

 

 

 

6,365

 

 

 

1

 

Metals & Mining

 

 

15,846

 

 

 

14,786

 

 

 

3

 

 

 

15,342

 

 

 

13,647

 

 

 

3

 

Retail

 

 

10,772

 

 

 

10,871

 

 

 

2

 

 

 

6,144

 

 

 

6,775

 

 

 

1

 

Services: Business

 

 

66,807

 

 

 

66,207

 

 

 

11

 

 

 

76,071

 

 

 

77,798

 

 

 

14

 

Services: Consumer

 

 

8,569

 

 

 

8,128

 

 

 

1

 

 

 

990

 

 

 

990

 

 

 

0

 

Telecommunications

 

 

11,475

 

 

 

10,077

 

 

 

2

 

 

 

7,521

 

 

 

6,675

 

 

 

1

 

Textiles and Leather

 

 

12,689

 

 

 

12,808

 

 

 

2

 

 

 

12,496

 

 

 

11,095

 

 

 

2

 

Transportation: Cargo

 

 

11,583

 

 

 

11,342

 

 

 

2

 

 

 

-

 

 

 

-

 

 

 

-

 

Transportation: Consumer

 

 

7,653

 

 

 

7,335

 

 

 

1

 

 

 

7,795

 

 

 

7,837

 

 

 

1

 

Total

 

$

652,217

 

 

$

576,478

 

 

 

100

%

 

$

605,396

 

 

$

547,573

 

 

 

100

%
(1)
Calculated as a percentage of total portfolio at fair value.
(2)
Represents the equity investment in the Asset Manager Affiliates.
Summary of Investments in CLO Fund Securities

The Company's investments in CLO Fund Securities as of December 31, 2022 and December 31, 2021 were as follows:

 

($ in thousands)

 

 

 

 

 

 

December 31, 2022

 

 

December 31, 2021

 

CLO Fund Securities

 

Investment

 

%(1)

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Catamaran CLO 2013- 1 Ltd.

 

Subordinated Notes

 

 

-

 

 

$

-

 

 

$

-

 

 

$

4,198

 

 

$

1,779

 

Catamaran CLO 2014-1 Ltd.

 

Subordinated Notes

 

 

22

 

 

 

4,216

 

 

 

3,232

 

 

 

9,679

 

 

 

4,278

 

Catamaran CLO 2014-2 Ltd.

 

Subordinated Notes

 

 

25

 

 

 

6,066

 

 

 

-

 

 

 

6,066

 

 

 

-

 

Catamaran CLO 2015-1 Ltd.

 

Subordinated Notes

 

 

10

 

 

 

2,534

 

 

 

-

 

 

 

2,549

 

 

 

-

 

Catamaran CLO 2018-1 Ltd.

 

Subordinated Notes

 

 

25

 

 

 

6,338

 

 

 

4,753

 

 

 

8,694

 

 

 

6,314

 

Dryden 30 Senior Loan Fund

 

Subordinated Notes

 

 

7

 

 

 

868

 

 

 

868

 

 

 

1,147

 

 

 

1,258

 

JMP CLO IV Junior Sub Note

 

Subordinated Notes

 

 

57

 

 

 

4,020

 

 

 

4,020

 

 

 

8,530

 

 

 

8,105

 

JMP CLO V Junior Sub Note

 

Subordinated Notes

 

 

57

 

 

 

10,607

 

 

 

7,580

 

 

 

10,698

 

 

 

9,898

 

Total

 

 

 

 

 

 

$

34,649

 

 

$

20,453

 

 

$

51,561

 

 

$

31,632

 
(1)
Represents percentage of class held as of December 31, 2022.
Summary of Investments in Affiliates

The following table details investments in affiliates at December 31, 2022:

 

($ in thousands)

Industry
Classification

Fair Value
as of
December 31,
2021

 

Purchases/
(Sales) of or
Advances/
(Distributions)

 

Net
Accretion

 

Transfers
In/(Out)
of
Affiliates

 

Net Change in Unrealized
Gain/(Loss)

 

Realized
Gain/(Loss)

 

Fair Value
as of December 31, 2022

 

Principal / Shares at December 31, 2022

 

Interest and Fee
Income

 

Dividend
Income

 

Asset Manager Affiliates(1)(2)(3)

Asset
Management
Company

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

 

-

 

$

-

 

$

-

 

Tank Partners Equipment Holdings, LLC(1)(2)(3)(6)

Energy: Oil &
Gas

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

49,000

 

 

-

 

 

-

 

Tank Partners Equipment Holdings, LLC(1)(2)(3)

Energy: Oil &
Gas

 

43

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

43

 

 

511

 

 

-

 

 

-

 

Flight Lease VII (1)(2)(4)(6)

Aerospace and Defense

 

256

 

 

-

 

 

-

 

 

-

 

 

(14

)

 

-

 

 

242

 

 

1,938

 

 

-

 

 

-

 

ProAir, LLC(1)(2)(3)(6)

Capital Equipment

 

-

 

 

-

 

 

-

 

 

4,262

 

 

(4,262

)

 

-

 

 

-

 

 

2,749,997

 

 

-

 

 

-

 

ProAir, LLC(1)(2)(3)

Capital Equipment

 

-

 

 

1,931

 

 

-

 

 

-

 

 

(1,931

)

 

-

 

 

-

 

 

1,931

 

 

181

 

 

-

 

KCAP Freedom 3, LLC (1)(3)

Joint Venture

 

23,062

 

 

-

 

 

-

 

 

-

 

 

(4,394

)

 

-

 

 

18,668

 

 

27,220

 

 

-

 

 

4,141

 

Total controlled affiliates

 

$

23,361

 

$

1,931

 

$

-

 

$

4,262

 

$

(10,601

)

$

-

 

$

18,953

 

 

 

$

181

 

$

4,141

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BCP Great Lakes Holdings LP(5)(7)

Joint Venture

$

37,412

 

$

1,700

 

$

-

 

$

(38,124

)

$

(461

)

$

(527

)

$

-

 

 

-

 

$

-

 

$

3,099

 

Series A-Great Lakes Funding II LLC(5)(6)(8)

Joint Venture

 

-

 

 

3,311

 

 

-

 

 

38,124

 

 

(1,148

)

 

-

 

 

40,287

 

 

41,435

 

 

-

 

 

1,351

 

Flight Lease XII(1)(2)(5)(6)

Aerospace and Defense

 

677

 

 

(742

)

 

-

 

 

-

 

 

(147

)

 

212

 

 

-

 

 

-

 

 

40

 

 

-

 

GreenPark Infrastructure, LLC(1)(2)(5)(6)

Energy: Electricity

 

-

 

 

500

 

 

-

 

 

-

 

 

-

 

 

-

 

 

500

 

 

1,000

 

 

-

 

 

-

 

GreenPark Infrastructure, LLC(1)(2)(5)(6)(8)

Energy: Electricity

 

-

 

 

171

 

 

-

 

 

-

 

 

-

 

 

-

 

 

171

 

 

500

 

 

-

 

 

-

 

Kleen-Tech Acquisition, LLC (1)(2)(5)(6)

Services: Business

 

1,612

 

 

-

 

 

-

 

 

-

 

 

(312

)

 

-

 

 

1,300

 

 

250,000

 

 

-

 

 

-

 

Northeast Metal Works LLC (1)(2)(5)

Metals & Mining

 

12,280

 

 

476

 

 

(10

)

 

-

 

 

699

 

 

-

 

 

13,445

 

 

14,551

 

 

1,455

 

 

-

 

Northeast Metal Works LLC (1)(2)(5)(6)

Metals & Mining

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,368

 

 

-

 

 

-

 

BMP Slappey Holdco, LLC (1)(2)(5)(6)

Telecommunications

 

492

 

 

-

 

 

-

 

 

-

 

 

(28

)

 

-

 

 

464

 

 

200,000

 

 

-

 

 

-

 

BMP Slappey Investment II (1)(2)(5)(6)

Telecommunications

 

219

 

 

-

 

 

-

 

 

-

 

 

(13

)

 

-

 

 

206

 

 

88,946

 

 

-

 

 

-

 

Surge Hippodrome Partners LP(1)(2)(5)(6)

Services: Business

 

336

 

 

-

 

 

-

 

 

-

 

 

475

 

 

-

 

 

811

 

 

185

 

 

-

 

 

-

 

Surge Hippodrome Holdings LLC(1)(2)(5)(6)

Services: Business

 

201

 

 

-

 

 

-

 

 

-

 

 

283

 

 

-

 

 

484

 

 

10

 

 

-

 

 

-

 

Surge Hippodrome Holdings LLC(1)(2)(5)

Services: Business

 

5,160

 

 

-

 

 

207

 

 

-

 

 

(202

)

 

-

 

 

5,165

 

 

5,460

 

 

582

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)

Capital Equipment

 

1,531

 

 

(1,536

)

 

33

 

 

-

 

 

(28

)

 

-

 

 

-

 

 

-

 

 

57

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)

Capital Equipment

 

2,598

 

 

(2,628

)

 

110

 

 

-

 

 

(80

)

 

-

 

 

-

 

 

-

 

 

107

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)(6)

Capital Equipment

 

535

 

 

(369

)

 

-

 

 

-

 

 

(284

)

 

118

 

 

-

 

 

-

 

 

-

 

 

-

 

Navex Topco, Inc.(1)(2)(5)

Electronics

 

7,609

 

 

-

 

 

84

 

 

-

 

 

(89

)

 

-

 

 

7,604

 

 

7,700

 

 

680

 

 

-

 

Zest Acquisition Corp.(1)(2)(5)

Healthcare, Education and Childcare

 

3,480

 

 

-

 

 

3

 

 

-

 

 

(93

)

 

-

 

 

3,390

 

 

3,500

 

 

319

 

 

-

 

Total Non-controlled affiliates

 

$

74,142

 

$

883

 

$

427

 

$

-

 

$

(1,428

)

$

(197

)

$

73,827

 

 

 

$

3,240

 

$

4,450

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Affiliated Investments

 

$

97,503

 

$

2,814

 

$

427

 

$

4,262

 

$

(12,029

)

$

(197

)

$

92,780

 

 

 

$

3,421

 

$

8,591

 

 

(1)
Fair value of this investment was determined using significant unobservable inputs.

 

(2)
Qualified asset for purposes of section 55(a) of the Investment Company Act of 1940.
(3)
As defined in the 1940 Act, the Company is deemed to be both an “Affiliated Person” and has “Control” of this portfolio company as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company securities or has the power to exercise control over management or policies of such portfolio company (including through a management agreement). Other than for purposes of the 1940 Act, the Company does not believe that it has control over this portfolio company.
(4)
As defined in the 1940 Act, the Company is deemed to be both an “Affiliated Person” and has “Control” of this portfolio company as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company.
(5)
Under the 1940 Act, the Company is deemed to be an “Affiliated Person” of, as defined in the 1940 Act, this portfolio company as the Company owns at least 5% of the portfolio company’s outstanding voting securities or is under common control with such portfolio company.
(6)
Number of shares held.
(7)
Ownership of LP interest held through the holding company BCP Great Lakes Fund, L.P, a non-U.S. company or principal place of business outside the U.S.
(8)
Security has an unfunded commitment in addition to the amounts shown in the Consolidated Schedule of Investments. See Note 8 for additional information on the Company’s commitments and contingencies.

 

The following table details investments in affiliates at December 31, 2021 (in thousands):

 

($ in thousands)

Industry
Classification

Fair Value
of
December 31,
2020

 

Purchases/
(Sales) of or
Advances/
(Distributions)

 

Net
Accretion

 

Transfers
In/(Out)
of
Affiliates

 

Net Change in Unrealized
Gain/(Loss)

 

Realized
Gain/(Loss)

 

Fair Value
of
December 31,
2021

 

Principal / Shares at
December 31,
2021

 

Interest
Income

 

Dividend
Income

 

Asset Manager Affiliates(1)(2)(3)

Asset
Management
Company

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

$

-

 

 

 

$

-

 

$

-

 

Tank Partners Equipment Holdings, LLC(1)(2)(3)(6)

Energy: Oil &
Gas

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

49,000

 

 

-

 

 

-

 

Tank Partners Equipment Holdings, LLC(1)(2)(3)

Energy: Oil &
Gas

 

208

 

 

0

 

 

-

 

 

-

 

 

(164

)

 

-

 

 

43

 

 

511

 

 

-

 

 

-

 

Flight Lease VII (1)(2)(4)(6)

Aerospace and Defense

 

-

 

 

280

 

 

-

 

 

-

 

 

(24

)

 

-

 

 

256

 

 

1,938

 

 

-

 

 

-

 

KCAP Freedom 3, LLC (1)(3)

Joint Venture

 

19,749

 

 

2,500

 

 

-

 

 

-

 

 

813

 

 

-

 

 

23,062

 

 

27,220

 

 

-

 

 

5,170

 

Total controlled affiliates

 

$

19,957

 

$

2,780

 

$

-

 

$

-

 

$

625

 

$

-

 

$

23,361

 

 

27,782

 

$

-

 

$

5,170

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BCP Great Lakes Holdings LP(5)(7)

Joint Venture

$

29,600

 

$

6,933

 

 

-

 

 

-

 

$

879

 

 

-

 

$

37,412

 

 

36,950

 

$

-

 

$

4,006

 

Flight Lease XII(1)(2)(5)(6)

Aerospace and Defense

 

-

 

 

530

 

 

-

 

 

-

 

 

147

 

 

-

 

 

677

 

 

1,000

 

 

-

 

 

-

 

Kleen-Tech Acquisition, LLC (1)(2)(5)(6)

Services: Business

 

-

 

 

1,264

 

 

-

 

 

-

 

 

347

 

 

-

 

 

1,612

 

 

250,000

 

 

-

 

 

-

 

Northeast Metal Works LLC (1)(2)(5)

Metals & Mining

 

-

 

 

11,944

 

 

2,141

 

 

-

 

 

(1,805

)

 

-

 

 

12,280

 

 

14,074

 

 

802

 

 

-

 

Northeast Metal Works LLC (1)(2)(5)(6)

Metals & Mining

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,368

 

 

-

 

 

-

 

BMP Slappey Holdco, LLC (1)(2)(5)(6)

Telecommunications

 

-

 

 

467

 

 

-

 

 

-

 

 

25

 

 

-

 

 

492

 

 

200,000

 

 

-

 

 

-

 

BMP Slappey Holdco, LLC (1)(2)(5)(6)

Telecommunications

 

-

 

 

208

 

 

-

 

 

-

 

 

11

 

 

-

 

 

219

 

 

88,946

 

 

-

 

 

-

 

Surge Hippodrome Holdings LLC(1)(2)(5)(6)

Services: Business

 

-

 

 

425

 

 

-

 

 

-

 

 

(89

)

 

-

 

 

336

 

 

185

 

 

-

 

 

-

 

Surge Hippodrome Holdings LLC(1)(2)(5)(6)

Services: Business

 

-

 

 

159

 

 

-

 

 

-

 

 

42

 

 

-

 

 

201

 

 

10

 

 

-

 

 

-

 

Surge Hippodrome Holdings LLC(1)(2)(5)

Services: Business

 

-

 

 

4,809

 

 

117

 

 

-

 

 

235

 

 

-

 

 

5,160

 

 

5,460

 

 

422

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)

Capital Equipment

 

-

 

 

1,429

 

 

75

 

 

-

 

 

28

 

 

-

 

 

1,531

 

 

1,536

 

 

59

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)

Capital Equipment

 

-

 

 

2,259

 

 

259

 

 

-

 

 

80

 

 

-

 

 

2,598

 

 

2,625

 

 

130

 

 

-

 

VTK Acquisition, Inc.(1)(2)(5)(6)

Capital Equipment

 

-

 

 

251

 

 

-

 

 

-

 

 

284

 

 

-

 

 

535

 

 

90

 

 

-

 

 

-

 

Navex Topco, Inc.(2)(5)

Electronics

 

7,488

 

 

-

 

 

84

 

 

-

 

 

36

 

 

-

 

 

7,609

 

 

7,700

 

 

555

 

 

-

 

Zest Acquisition Corp.(1)(2)(5)

Healthcare, Education and Childcare

 

3,291

 

 

-

 

 

3

 

 

-

 

 

185

 

 

-

 

 

3,480

 

 

3,500

 

 

294

 

 

-

 

GIG Rooster Holdings I, LLC (2)(5)

Energy: Oil &
Gas

 

123

 

 

(139

)

 

-

 

 

-

 

 

(123

)

 

139

 

 

—

 

 

—

 

 

-

 

 

-

 

Total Non-controlled affiliates

 

$

40,503

 

$

30,539

 

$

2,679

 

$

-

 

$

282

 

$

139

 

$

74,142

 

 

72,387

 

$

2,262

 

$

4,006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Affiliated Investments

 

$

60,460

 

$

33,319

 

$

2,679

 

$

-

 

$

907

 

$

139

 

$

97,503

 

 

100,169

 

$

2,262

 

$

9,176

 
(1)
Fair value of this investment was determined using significant unobservable inputs.
(2)
Qualified asset for purposes of section 55(a) of the Investment Company Act of 1940.
(3)
As defined in the 1940 Act, the Company is deemed to be both an “Affiliated Person” and has “Control” of this portfolio company as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company securities or has the power to exercise control over management or policies of such portfolio company (including through a management agreement). Other than for purposes of the 1940 Act, the Company does not believe that it has control over this portfolio company.
(4)
As defined in the 1940 Act, the Company is deemed to be both an “Affiliated Person” and has “Control” of this portfolio company as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company.
(5)
Under the 1940 Act, the Company is deemed to be an “Affiliated Person” of, as defined in the 1940 Act, this portfolio company as the Company owns at least 5% of the portfolio company’s outstanding voting securities or is under common control with such portfolio company.
(6)
Number of shares held.
(7)
Ownership of LP interest held through the holding company BCP Great Lakes Fund, L.P, a non-U.S. company or principal place of business outside the U.S.
Summary of Financial Information

KCAP Freedom 3 LLC

Summarized Statements of Financial Condition

(in thousands)

 

 

As of December 31, 2021

 

 

 

 

 

Cash

 

$

-

 

Investment at fair value

 

 

35,841

 

Total Assets

 

$

35,841

 

Total Liabilities

 

$

164

 

Total Equity

 

$

35,677

 

Total Liabilities and Equity

 

$

35,841

 

KCAP Freedom 3 LLC

Summarized Statements of Operations

(in thousands)

 

 

For the Year Ended December 31,

 

 

 

2021

 

 

2020

 

Investment income

 

$

7,274

 

 

$

5,006

 

Operating expenses

 

 

67

 

 

 

72

 

Net investment income

 

 

7,207

 

 

 

4,934

 

Unrealized appreciation on investments

 

 

2,577

 

 

 

(518

)

Net income

 

$

9,784

 

 

$

4,416

 

 

KCAP Freedom 3 LLC

Schedule of Investments

December 31, 2021

(in thousands)

Portfolio Company

 

Investment

 

Percentage
Ownership
by Joint
Venture

 

 

Amortized
Cost

 

 

Fair Value

 

Great Lakes KCAP F3C Senior, LLC(1)(2)

 

Subordinated Securities, effective interest 21.3%, 12/29 maturity

 

 

100.0

%

 

$

40,847

 

 

$

35,841

 

Total Investments

 

 

 

 

 

 

$

40,847

 

 

$

35,841

 
(1)
CLO Subordinated Investments are entitled to periodic distributions which are generally equal to the remaining cash flow of the payments made by the underlying fund’s investments less contractual payments to debt holders and fund expenses. The estimated annualized effective yield indicated is based upon a current projection of the amount and timing of these distributions. Such projections are updated on a quarterly basis and the estimated effective yield is adjusted prospectively.
(2)
Fair value of this investment was determined using significant unobservable inputs, including default rates, prepayment rates, spreads, and the discount rate by which to value the resulting cash flows.
Summary of Fair Value of Investments by Fair Value Hierarchy Levels

The following table summarizes the fair value of investments by fair value hierarchy levels provided by ASC 820: Fair Value as of December 31, 2022 and December 31, 2021, respectively:

 

 

As of December 31, 2021

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

Debt securities

 

$

-

 

 

$

42,861

 

 

$

392,432

 

 

$

-

 

 

$

435,293

 

CLO Fund securities

 

 

-

 

 

 

-

 

 

 

31,632

 

 

 

-

 

 

 

31,632

 

Equity securities

 

 

1,594

 

 

 

-

 

 

 

20,992

 

 

 

-

 

 

 

22,586

 

Joint Ventures

 

 

-

 

 

 

-

 

 

 

23,062

 

 

 

37,412

 

 

 

60,474

 

Derivatives

 

 

-

 

 

 

-

 

 

 

(2,412

)

 

 

-

 

 

 

(2,412

)

Total

 

$

1,594

 

 

$

42,861

 

 

$

465,706

 

 

$

37,412

 

 

$

547,573

 

As a BDC, the Company is required to invest primarily in the debt and equity of non-public companies for which there is little, if any, market-observable information. As a result, a significant portion of the Company’s investments at any given time will likely be deemed Level III investments. Investment values derived by a third party pricing service are generally deemed to be Level III values. For those that have observable trades, the Company considers them to be Level II.
Summary of Information Relating to Investments Measured at Fair Value for Company has Used Unobservable Inputs to Determine Fair Value

The Company’s policy for determining transfers between levels is based solely on the previously defined three-level hierarchy for fair value measurement. Transfers between the levels of the fair value hierarchy are separately noted in the tables below and the reason for such transfer described in each table’s respective footnotes. Certain information relating to investments measured at fair value for which the Company has used unobservable inputs to determine fair value is as follows:

 

 

Year Ended December 31, 2022

 

($ in thousands)

 

Debt
Securities

 

 

Equity
Securities

 

 

CLO Fund
Securities

 

 

Joint
Ventures

 

 

Derivatives

 

 

Total

 

Balance, December 31, 2021

 

$

392,432

 

 

$

20,992

 

 

$

31,632

 

 

$

23,062

 

 

$

(2,412

)

 

$

465,706

 

Transfers out of Level III¹

 

 

(14,172

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(14,172

)

Transfers into Level III²

 

 

3,815

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

3,815

 

Net accretion

 

 

9,054

 

 

 

-

 

 

 

4,044

 

 

 

-

 

 

 

-

 

 

 

13,098

 

Purchases

 

 

146,017

 

 

 

6,861

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

152,878

 

Sales/Paydowns/Return of Capital

 

 

(108,369

)

 

 

(4,696

)

 

 

(6,194

)

 

 

-

 

 

 

2,075

 

 

 

(117,184

)

Total realized gain (loss) included in earnings

 

 

(15,763

)

 

 

1,257

 

 

 

(14,762

)

 

 

-

 

 

 

(2,095

)

 

 

(31,363

)

Change in unrealized gain (loss) included in earnings

 

 

(2,870

)

 

 

(2,509

)

 

 

5,733

 

 

 

(4,394

)

 

 

2,432

 

 

 

(1,608

)

Balance, December 31, 2022

 

$

410,144

 

 

$

21,905

 

 

$

20,453

 

 

$

18,668

 

 

$

-

 

 

$

471,170

 

Changes in unrealized gains (losses) included in earnings related to investments still held at reporting date

 

$

(15,256

)

 

$

(2,250

)

 

$

3,315

 

 

$

(4,394

)

 

$

(10

)

 

$

(18,595

)
(1)
Transfers out of Level III represent a transfer of $14.2 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of December 31, 2022.
(2)
Transfers into Level III represent a transfer of $3.8 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of December 31, 2022.

 

 

Year Ended December 31, 2021

 

($ in thousands)

 

Debt
Securities

 

 

Equity
Securities

 

 

CLO Fund
Securities

 

 

Joint
Ventures

 

 

Derivatives

 

 

Total

 

Balance, December 31, 2020

 

$

334,245

 

 

$

12,537

 

 

$

19,583

 

 

$

19,749

 

 

$

(1,109

)

 

$

385,005

 

Transfers out of Level III¹

 

 

(10,938

)

 

 

2

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(10,936

)

Transfers into Level III²

 

 

21,522

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

21,522

 

Net accretion

 

 

23,906

 

 

 

-

 

 

 

4,754

 

 

 

-

 

 

 

-

 

 

 

28,660

 

Purchases

 

 

274,406

 

 

 

9,000

 

 

 

18,077

 

 

 

2,500

 

 

 

-

 

 

 

303,983

 

Sales/Paydowns/Return of Capital

 

 

(232,167

)

 

 

(4,738

)

 

 

(11,675

)

 

 

-

 

 

 

(880

)

 

 

(249,460

)

Total realized gain (loss) included in earnings

 

 

568

 

 

 

(2,176

)

 

 

(5,323

)

 

 

-

 

 

 

880

 

 

 

(6,051

)

Change in unrealized gain (loss) included in earnings

 

 

(19,110

)

 

 

6,367

 

 

 

6,216

 

 

 

813

 

 

 

(1,303

)

 

 

(7,017

)

Balance, December 31, 2021

 

$

392,432

 

 

$

20,992

 

 

$

31,632

 

 

$

23,062

 

 

$

(2,412

)

 

$

465,706

 

Changes in unrealized gains (losses) included in earnings related to investments still held at reporting date

 

$

(8,356

)

 

$

3,355

 

 

$

893

 

 

$

813

 

 

$

(1,303

)

 

$

(4,597

)
(1)
Transfers out of Level III represent a transfer of $10.9 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of December 31, 2021.
(2)
Transfers into Level III represent a transfer of $21.5 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of December 31, 2021.
Schedule of Valuation Techniques and Significant Inputs of Level III Investments

As of December 31, 2022, the Company’s Level III portfolio investments had the following valuation techniques and significant inputs:

 

Type

 

Fair Value

 

 

Primary Valuation
Techniques

 

Unobservable
Inputs

 

Range of Inputs
(Weighted Average)

 

 

$

10,142

 

 

Enterprise Value

 

Average
EBITDA
Multiple

 

14.5x

Debt Securities

 

 

 

 

 

 

Recovery Rate Multiple

 

0.1x

 

 

 

 

 

 

 

Average Revenue Multiple

 

0.3x

 

 

 

387,805

 

 

Income Approach

 

Implied
Discount Rate

 

5.4%-28.6% (12.2%)

 

 

 

12,197

 

 

Recent Transaction

 

Implied
Discount Rate

 

11.9%-13.2% (13.0%)

 

 

 

20,221

 

 

Enterprise Value

 

Average
EBITDA
Multiple /
WACC

 

0.4x-15.8x (6.73x)

Equity Securities

 

 

 

 

 

 

Recovery Rate

 

0.3x

 

 

 

1,013

 

 

Income Approach

 

Implied
Discount Rate

 

15.0%-19.3% (15.0%)

 

 

 

671

 

 

Recent Transaction

 

Implied
Discount Rate

 

12.40%

 

 

 

 

 

 

 

Discount Rate

 

19.9%-25.5% (22.3%)

 

 

 

 

 

 

 

Probability of
Default

 

1.5%-2.5% (1.9%)

CLO Fund Securities

 

 

20,453

 

 

Discounted Cash Flow

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

 

 

 

 

 

 

 

Discount Rate

 

22.1%-23.7% (22.9%)

 

 

 

 

 

 

 

Probability of
Default

 

2.8%-3.3% (3%)

Joint Ventures

 

 

18,668

 

 

Discounted Cash Flow

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

Derivatives

 

 

-

 

 

Enterprise Value

 

Average
EBITDA
Multiple

 

3.0x

Total Level III Investments

 

$

471,170

 

 

 

 

 

 

 

 

As of December 31, 2021, the Company’s Level III portfolio investments had the following valuation techniques and significant inputs:

 

Type

 

Fair Value

 

 

Primary Valuation
Techniques

 

Unobservable
Inputs

 

Range of Inputs
(Weighted Average)

 

 

$

24,513

 

 

Enterprise Value

 

Average
EBITDA
Multiple

 

0.0x-8.0x (4.3x)

Debt Securities

 

 

 

 

 

 

Recovery Rate Multiple

 

0.1x-0.1x (0.1x)

 

 

 

367,919

 

 

Income Approach

 

Implied
Discount Rate

 

0%-26.8% (8.9%)

 

 

 

12,874

 

 

Enterprise Value

 

Average
EBITDA
Multiple /
WACC

 

0.0x-12.5x (8.7x)

Equity Securities

 

 

 

 

 

 

Recovery Rate Multiple

 

0.0x-0.0x (0.0x)

 

 

 

8,118

 

 

Income Approach

 

Implied
Discount Rate

 

10.7%-18.8% (17.2%)

 

 

 

 

 

 

 

Discount Rate

 

13.0%-20.1% (16.6%)

 

 

 

 

 

 

 

Probability of
Default

 

1.5%-2.0% (1.8%)

CLO Fund Securities

 

 

31,632

 

 

Discounted Cash Flow

 

Loss Severity

 

25.0%-35.0% (30.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

 

 

 

 

 

 

 

Discount Rate

 

14.5%-16.0% (15.3%)

 

 

 

 

 

 

 

Probability of
Default

 

2.5%-3.0% (2.8%)

Joint Ventures

 

 

23,062

 

 

Discounted Cash Flow

 

Loss Severity

 

25.0%-35.0% (30.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

Derivatives

 

 

(2,412

)

 

Market Approach

 

Transacted Value/Contractual Financing Rate

 

 

Total Level III Investments

 

$

465,706

 

 

 

 

 

 

 

 
Schedule of Derivative Investments

The following table details derivative investments at December 31, 2022 and December 31, 2021:

 

($ in thousands)

 

December 31, 2022

 

Types of contracts

 

Notional amounts

 

 

Derivative assets (liabilities)

 

 

Realized gain(loss)

 

 

Unrealized gain(loss)

 

Call option(2)

 

$

8

 

 

$

-

 

 

$

-

 

 

$

(10

)

Put option(2)

 

 

563

 

 

 

-

 

 

 

-

 

 

 

-

 

Securities Swap and Option Agreement(1)

 

 

-

 

 

 

-

 

 

 

(2,095

)

 

 

2,422

 

Total

 

$

571

 

 

$

-

 

 

$

(2,095

)

 

$

2,412

 

(1) Net amount included in the derivative caption on the consolidated balance sheets

 

(2) Net amount included in non-controlled/non- affiliated investments on the consolidated balance sheets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

December 31, 2021

 

Types of contracts

 

Notional amounts

 

 

Derivative assets (liabilities) (1)

 

 

Realized gain(loss)

 

 

Unrealized gain(loss)

 

Call option

 

$

8

 

 

$

10

 

 

$

-

 

 

$

(2

)

Put option

 

 

150

 

 

 

-

 

 

 

-

 

 

 

-

 

Securities Swap and Option Agreement

 

 

5,500

 

 

 

(2,422

)

 

 

880

 

 

 

(1,301

)

Total

 

$

5,658

 

 

$

(2,412

)

 

$

880

 

 

$

(1,303

)

(1) Net amount included in the derivative caption on the consolidated balance sheets