XML 38 R28.htm IDEA: XBRL DOCUMENT v3.23.3
Investments (Tables)
 9 Months Ended
Sep. 30, 2023
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 September 30, 2023 and December 31, 2022:

 

 

 

 

 

 

 

 

($ in thousands)

 

September 30, 2023
(Unaudited)

 

 

December 31, 2022

 

Security Type

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Senior Secured Loan

 

$

378,284

 

 

$

360,994

 

 

 

72

 

 

$

435,856

 

 

$

418,722

 

 

 

73

 

Junior Secured Loan

 

 

61,016

 

 

 

47,537

 

 

 

10

 

 

 

65,776

 

 

 

56,400

 

 

 

10

 

Senior Unsecured Bond

 

 

416

 

 

 

43

 

 

 

0

 

 

 

416

 

 

 

43

 

 

 

0

 

Equity Securities

 

 

29,667

 

 

 

19,189

 

 

 

4

 

 

 

28,848

 

 

 

21,905

 

 

 

4

 

CLO Fund Securities

 

 

21,868

 

 

 

10,425

 

 

 

2

 

 

 

34,649

 

 

 

20,453

 

 

 

3

 

Asset Manager Affiliates(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Joint Ventures

 

 

75,513

 

 

 

62,231

 

 

 

12

 

 

 

68,850

 

 

 

58,955

 

 

 

10

 

Derivatives

 

 

31

 

 

 

-

 

 

 

-

 

 

 

31

 

 

 

-

 

 

 

-

 

Total

 

$

584,586

 

 

$

500,419

 

 

 

100

%

 

$

652,217

 

 

$

576,478

 

 

 

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 September 30, 2023 and December 31, 2022 were as follows:

 

($ in thousands)

 

September 30, 2023
(Unaudited)

 

 

December 31, 2022

 

Industry Classification

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Aerospace and Defense

 

$

9,456

 

 

$

9,587

 

 

 

2

 

 

$

10,579

 

 

$

10,494

 

 

 

2

 

Asset Management Company(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Automotive

 

 

6,574

 

 

 

5,408

 

 

 

1

 

 

 

7,329

 

 

 

6,947

 

 

 

1

 

Banking, Finance, Insurance & Real Estate

 

 

53,155

 

 

 

54,235

 

 

 

11

 

 

 

76,038

 

 

 

78,264

 

 

 

14

 

Beverage, Food and Tobacco

 

 

11,952

 

 

 

11,759

 

 

 

2

 

 

 

12,619

 

 

 

12,456

 

 

 

2

 

Capital Equipment

 

 

10,683

 

 

 

1,435

 

 

 

0

 

 

 

10,681

 

 

 

2,745

 

 

 

1

 

Chemicals, Plastics and Rubber

 

 

9,713

 

 

 

9,701

 

 

 

2

 

 

 

10,447

 

 

 

10,359

 

 

 

2

 

CLO Fund Securities

 

 

21,868

 

 

 

10,425

 

 

 

2

 

 

 

34,649

 

 

 

20,453

 

 

 

3

 

Construction & Building

 

 

7,755

 

 

 

7,501

 

 

 

1

 

 

 

9,545

 

 

 

9,199

 

 

 

2

 

Consumer goods: Durable

 

 

16,635

 

 

 

13,413

 

 

 

3

 

 

 

16,762

 

 

 

13,943

 

 

 

2

 

Containers, Packaging and Glass

 

 

2,736

 

 

 

2,736

 

 

 

1

 

 

 

2,754

 

 

 

2,655

 

 

 

1

 

Electronics

 

 

7,454

 

 

 

7,616

 

 

 

2

 

 

 

10,866

 

 

 

11,129

 

 

 

2

 

Energy: Electricity

 

 

671

 

 

 

672

 

 

 

0

 

 

 

671

 

 

 

671

 

 

 

0

 

Energy: Oil & Gas

 

 

6,719

 

 

 

495

 

 

 

0

 

 

 

6,718

 

 

 

1,056

 

 

 

0

 

Environmental Industries

 

 

-

 

 

 

-

 

 

 

-

 

 

 

4,315

 

 

 

4,930

 

 

 

1

 

Finance

 

 

18,950

 

 

 

19,090

 

 

 

4

 

 

 

17,570

 

 

 

17,581

 

 

 

3

 

Forest Products & Paper

 

 

-

 

 

 

-

 

 

 

-

 

 

 

1,589

 

 

 

1,373

 

 

 

0

 

Healthcare, Education and Childcare

 

 

6,190

 

 

 

6,187

 

 

 

1

 

 

 

9,726

 

 

 

9,586

 

 

 

2

 

Healthcare & Pharmaceuticals

 

 

59,881

 

 

 

57,802

 

 

 

12

 

 

 

51,901

 

 

 

50,566

 

 

 

9

 

High Tech Industries

 

 

85,656

 

 

 

77,590

 

 

 

16

 

 

 

83,661

 

 

 

73,994

 

 

 

13

 

Hotel, Gaming & Leisure

 

 

10,764

 

 

 

3,538

 

 

 

1

 

 

 

10,245

 

 

 

6,798

 

 

 

1

 

Joint Venture

 

 

75,513

 

 

 

62,231

 

 

 

12

 

 

 

68,850

 

 

 

58,955

 

 

 

10

 

Machinery (Non-Agrclt/Constr/Electr)

 

 

10,411

 

 

 

10,504

 

 

 

2

 

 

 

9,461

 

 

 

9,291

 

 

 

2

 

Media: Advertising, Printing & Publishing

 

 

-

 

 

 

-

 

 

 

-

 

 

 

150

 

 

 

549

 

 

 

0

 

Media: Broadcasting & Subscription

 

 

16,241

 

 

 

14,445

 

 

 

3

 

 

 

14,930

 

 

 

14,358

 

 

 

2

 

Media: Diversified & Production

 

 

1,493

 

 

 

1,500

 

 

 

0

 

 

 

6,976

 

 

 

6,572

 

 

 

1

 

Metals & Mining

 

 

9,000

 

 

 

7,963

 

 

 

2

 

 

 

15,846

 

 

 

14,786

 

 

 

3

 

Retail

 

 

9,113

 

 

 

9,031

 

 

 

2

 

 

 

10,772

 

 

 

10,871

 

 

 

2

 

Services: Business

 

 

68,006

 

 

 

66,655

 

 

 

13

 

 

 

66,807

 

 

 

66,207

 

 

 

11

 

Services: Consumer

 

 

-

 

 

 

-

 

 

 

-

 

 

 

8,569

 

 

 

8,128

 

 

 

1

 

Telecommunications

 

 

11,126

 

 

 

10,139

 

 

 

2

 

 

 

11,475

 

 

 

10,077

 

 

 

2

 

Textiles and Leather

 

 

-

 

 

 

-

 

 

 

-

 

 

 

12,689

 

 

 

12,808

 

 

 

2

 

Transportation: Cargo

 

 

11,601

 

 

 

11,355

 

 

 

2

 

 

 

11,583

 

 

 

11,342

 

 

 

2

 

Transportation: Consumer

 

 

7,479

 

 

 

7,406

 

 

 

1

 

 

 

7,653

 

 

 

7,335

 

 

 

1

 

Total

 

$

584,586

 

 

$

500,419

 

 

 

100

%

 

$

652,217

 

 

$

576,478

 

 

 

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 following table details investments in CLO Fund Securities at September 30, 2023 (unaudited) and December 31, 2022:

($ in thousands)

 

 

 

 

 

 

September 30, 2023

 

 

December 31, 2022

 

CLO Fund Securities

 

Investment

 

%(1)

 

 

Amortized
Cost

 

 

Fair Value

 

 

Amortized
Cost

 

 

Fair Value

 

Catamaran CLO 2014-1 Ltd.

 

Subordinated Notes

 

 

22

 

 

$

938

 

 

$

938

 

 

$

4,216

 

 

$

3,232

 

Catamaran CLO 2014-2 Ltd.

 

Subordinated Notes

 

 

25

 

 

 

6,066

 

 

 

-

 

 

 

6,066

 

 

 

-

 

Catamaran CLO 2015-1 Ltd.

 

Subordinated Notes

 

 

10

 

 

 

2,531

 

 

 

-

 

 

 

2,534

 

 

 

-

 

Catamaran CLO 2018-1 Ltd.

 

Subordinated Notes

 

 

25

 

 

 

5,794

 

 

 

3,945

 

 

 

6,338

 

 

 

4,753

 

Dryden 30 Senior Loan Fund

 

Subordinated Notes

 

 

7

 

 

 

454

 

 

 

455

 

 

 

868

 

 

 

868

 

JMP Credit Advisors CLO IV Ltd.

 

Subordinated Notes

 

 

57

 

 

 

1,860

 

 

 

1,204

 

 

 

4,020

 

 

 

4,020

 

JMP Credit Advisors CLO V Ltd.

 

Subordinated Notes

 

 

57

 

 

 

4,225

 

 

 

3,883

 

 

 

10,607

 

 

 

7,580

 

Total

 

 

 

 

 

 

$

21,868

 

 

$

10,425

 

 

$

34,649

 

 

$

20,453

 
(1)
Represents percentage of class held at September 30, 2023.
Summary of Investments in Affiliates

The following table details investments in affiliates at September 30, 2023 (unaudited):

($ in thousands)

Industry
Classification

Fair Value
as of
December 31,
2022

 

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 September 30, 2023

 

Principal / Shares at September 30, 2023

 

Interest and Fee
Income

 

Dividend
Income

 

Asset Manager Affiliates(1)(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

 

242

 

 

(200

)

 

-

 

 

-

 

 

38

 

 

(80

)

 

-

 

 

-

 

 

-

 

 

-

 

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

Capital Equipment

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,749,997

 

 

-

 

 

-

 

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

Capital Equipment

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,020

 

 

-

 

 

-

 

KCAP Freedom 3, LLC (1)(3)

Joint Venture

 

18,668

 

 

-

 

 

-

 

 

-

 

 

(3,488

)

 

-

 

 

15,180

 

 

27,220

 

 

-

 

 

2,184

 

Total controlled affiliates

 

$

18,953

 

$

(200

)

$

-

 

$

-

 

$

(3,450

)

$

(80

)

$

15,223

 

 

 

$

-

 

$

2,184

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series A-Great Lakes Funding II LLC(5)(6)(7)

Joint Venture

$

40,287

 

$

6,662

 

$

-

 

$

-

 

$

102

 

$

-

 

$

47,051

 

 

48,098

 

$

-

 

$

4,677

 

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

Energy: Electricity

 

500

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

500

 

 

1,000

 

 

-

 

 

-

 

GreenPark Infrastructure, LLC(1)(2)(5)(6)(7)

Energy: Electricity

 

171

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

171

 

 

500

 

 

-

 

 

-

 

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

Services: Business

 

1,300

 

 

-

 

 

-

 

 

-

 

 

(394

)

 

-

 

 

906

 

 

250,000

 

 

-

 

 

-

 

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

Metals & Mining

 

13,445

 

 

(4,428

)

 

-

 

 

(9,000

)

 

1,107

 

 

(1,124

)

 

-

 

 

-

 

 

377

 

 

-

 

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

Metals & Mining

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,368

 

 

-

 

 

-

 

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

Metals & Mining

 

-

 

 

-

 

 

-

 

 

4,500

 

 

(79

)

 

-

 

 

4,421

 

 

4,500,000

 

 

220

 

 

-

 

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

Metals & Mining

 

-

 

 

-

 

 

-

 

 

4,500

 

 

(958

)

 

-

 

 

3,542

 

 

4,500

 

 

179

 

 

-

 

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

Telecommunications

 

464

 

 

-

 

 

-

 

 

-

 

 

55

 

 

-

 

 

519

 

 

200,000

 

 

-

 

 

-

 

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

Telecommunications

 

206

 

 

-

 

 

-

 

 

-

 

 

25

 

 

-

 

 

231

 

 

88,946

 

 

-

 

 

-

 

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

Services: Business

 

811

 

 

(813

)

 

-

 

 

-

 

 

(386

)

 

388

 

 

-

 

 

-

 

 

-

 

 

-

 

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

Services: Business

 

484

 

 

(496

)

 

-

 

 

-

 

 

(325

)

 

337

 

 

-

 

 

-

 

 

-

 

 

-

 

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

Services: Business

 

5,165

 

 

-

 

 

155

 

 

-

 

 

140

 

 

-

 

 

5,460

 

 

5,460

 

 

667

 

 

-

 

Navex Topco, Inc.(2)(5)

Electronics

 

7,604

 

 

-

 

 

64

 

 

-

 

 

(51

)

 

-

 

 

7,617

 

 

7,700

 

 

700

 

 

-

 

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

Healthcare, Education and Childcare

 

3,390

 

 

(3,501

)

 

9

 

 

-

 

 

102

 

 

-

 

 

-

 

 

-

 

 

42

 

 

-

 

Total Non-controlled affiliates

 

$

73,827

 

$

(2,576

)

$

228

 

$

-

 

$

(662

)

$

(399

)

$

70,418

 

 

 

$

2,185

 

$

4,677

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Affiliated Investments

 

$

92,780

 

$

(2,776

)

$

228

 

$

-

 

$

(4,112

)

$

(479

)

$

85,641

 

 

 

$

2,185

 

$

6,861

 
(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)
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, 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 consolidated schedule of investments. See Note 8 for additional information on the Company's commitments and contingencies
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 September 30, 2023 (unaudited) and December 31, 2022, respectively:

 

 

As of September 30, 2023

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

Debt securities

 

$

-

 

 

$

56,786

 

 

$

351,788

 

 

$

-

 

 

$

408,574

 

Equity securities

 

 

-

 

 

 

-

 

 

 

19,189

 

 

 

-

 

 

 

19,189

 

CLO Fund securities

 

 

-

 

 

 

-

 

 

 

10,425

 

 

 

-

 

 

 

10,425

 

Joint Ventures

 

 

-

 

 

 

-

 

 

 

15,180

 

 

 

47,051

 

 

 

62,231

 

Derivatives

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

$

-

 

 

$

56,786

 

 

$

396,582

 

 

$

47,051

 

 

$

500,419

 

 

 

 

As of December 31, 2022

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

Debt securities

 

$

-

 

 

$

65,021

 

 

$

410,144

 

 

$

-

 

 

$

475,165

 

Equity securities

 

 

-

 

 

 

-

 

 

 

21,905

 

 

 

-

 

 

 

21,905

 

CLO Fund securities

 

 

-

 

 

 

-

 

 

 

20,453

 

 

 

-

 

 

 

20,453

 

Joint Ventures

 

 

-

 

 

 

-

 

 

 

18,668

 

 

 

40,287

 

 

 

58,955

 

Derivatives

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

$

-

 

 

$

65,021

 

 

$

471,170

 

 

$

40,287

 

 

$

576,478

 
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:

 

 

 

Nine Months Ended September 30, 2023

 

($ in thousands)

 

Debt
Securities

 

 

Equity
Securities

 

 

CLO Fund
Securities

 

 

Joint
Ventures

 

 

Derivatives

 

 

Total

 

Balance, December 31, 2022

 

$

410,144

 

 

$

21,905

 

 

$

20,453

 

 

$

18,668

 

 

$

-

 

 

$

471,170

 

Transfers out of Level III¹

 

 

(8,332

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(8,332

)

Transfers into Level III²

 

 

6,369

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

6,369

 

Net accretion

 

 

4,811

 

 

 

-

 

 

 

1,879

 

 

 

-

 

 

 

-

 

 

 

6,690

 

Purchases

 

 

30,135

 

 

 

478

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

30,613

 

Sales/Paydowns/Return of Capital

 

 

(83,336

)

 

 

(2,258

)

 

 

(1,741

)

 

 

-

 

 

 

-

 

 

 

(87,335

)

Total realized gain (loss) included in earnings

 

 

(800

)

 

 

2,599

 

 

 

(12,918

)

 

 

-

 

 

 

-

 

 

 

(11,119

)

Change in unrealized gain (loss) included in earnings

 

 

(7,203

)

 

 

(3,535

)

 

 

2,752

 

 

 

(3,488

)

 

 

-

 

 

 

(11,474

)

Balance, September 30, 2023

 

$

351,788

 

 

$

19,189

 

 

$

10,425

 

 

$

15,180

 

 

$

-

 

 

$

396,582

 

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

 

$

(12,279

)

 

$

(1,743

)

 

$

2,752

 

 

$

(3,488

)

 

$

-

 

 

$

(14,759

)
(1)
Transfers out of Level III represent a transfer of $8.3 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of September 30, 2023.
(2)
Transfers into Level III represent a transfer of $6.4 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of September 30, 2023.

 

 

Nine Months Ended September 30, 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

 

 

(13,988

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(13,988

)

Transfers into Level III²

 

 

5,351

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

5,351

 

Net accretion

 

 

7,810

 

 

 

-

 

 

 

3,476

 

 

 

-

 

 

 

-

 

 

 

11,286

 

Purchases

 

 

153,420

 

 

 

3,817

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

157,237

 

Sales/Paydowns/Return of Capital

 

 

(120,378

)

 

 

(4,092

)

 

 

(5,571

)

 

 

-

 

 

 

2,075

 

 

 

(127,966

)

Total realized gain (loss) included in earnings

 

 

(14,624

)

 

 

1,271

 

 

 

(12,054

)

 

 

-

 

 

 

(2,095

)

 

 

(27,502

)

Change in unrealized gain (loss) included in earnings

 

 

2,222

 

 

 

1,182

 

 

 

7,140

 

 

 

(4,872

)

 

 

2,440

 

 

 

8,112

 

Balance, September 30, 2022

 

$

412,245

 

 

$

23,170

 

 

$

24,623

 

 

$

18,190

 

 

$

8

 

 

$

478,236

 

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

 

$

(10,299

)

 

$

1,613

 

 

$

4,722

 

 

$

(4,872

)

 

$

(2

)

 

$

(8,838

)
(1)
Transfers out of Level III represent a transfer of $14.0 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of September 30, 2022.
(2)
Transfers into Level III represent a transfer of $5.4 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of September 30, 2022.
Schedule of Valuation Techniques and Significant Inputs of Level III Investments

As of September 30, 2023 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)

 

 

$

26,391

 

 

Enterprise Value

 

Average EBITDA Multiple

 

7.8x-9.5x (7.8x)

Debt Securities

 

 

 

 

 

 

Recovery Rate Multiple

 

0.1x-0.4x (0.3x)

 

 

 

 

 

 

 

Expected Sale Proceeds

 

$97.6

 

 

 

 

 

 

 

Average Settlement Value

 

$47.1

 

 

 

 

 

 

 

Recovery Rate Agreement

 

82.5%

 

 

 

318,992

 

 

Income Approach

 

Implied
Discount Rate

 

6.0%-41.2% (11.9%)

 

 

 

6,405

 

 

Recent Transaction

 

Implied
Discount Rate

 

10.9%-14.6% (12.0%)

 

 

 

18,066

 

 

Enterprise Value

 

Average EBITDA Multiple

 

5.5x-17.3x (7.2x)

 

 

 

 

 

 

 

Average EBITDA Multiple / WACC

 

0.4x-3.7x (1.1x)

 

 

 

 

 

 

 

Book Value of Equity

 

1.0x-1.6x (1.6x)

 

 

 

 

 

 

 

Expected Sale Proceeds

 

$175

Equity Securities

 

 

451

 

 

Income Approach

 

Implied
Discount Rate

 

15.0%

 

 

 

672

 

 

Recent Transaction

 

Implied
Discount Rate

 

12.4%

 

 

 

 

 

 

 

Discount Rate

 

19.1%-25.9% (22.2%)

 

 

 

 

 

 

 

Probability of
Default

 

1.8%-2.5% (2.0%)

CLO Fund Securities

 

 

10,425

 

 

Discounted Cash Flow

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

 

 

 

 

 

 

 

Discount Rate

 

21.3%-22.9% (22.1%)

 

 

 

 

 

 

 

Probability of
Default

 

2.8%-3.3% (3.0%)

Joint Ventures

 

 

15,180

 

 

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

 

2.5x

Total Level III Investments

 

$

396,582

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 
Schedule of Derivative Investments

The following table details derivative investments at September 30, 2023 and December 31, 2022;

($ in thousands)

 

September 30, 2023

 

Types of contracts

 

Notional amounts

 

 

Derivative assets (liabilities)

 

 

Realized gain(loss)

 

 

Unrealized gain(loss)

 

Call option(1)

 

$

8

 

 

$

-

 

 

$

-

 

 

$

-

 

Put option(1)

 

 

563

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

$

571

 

 

$

-

 

 

$

-

 

 

$

-

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

($ in thousands)

 

December 31, 2022

 

Types of contracts

 

Notional amounts

 

 

Derivative assets (liabilities)

 

 

Realized gain(loss)

 

 

Unrealized gain(loss)

 

Call option(1)

 

$

8

 

 

$

-

 

 

$

-

 

 

$

(10

)

Put option(1)

 

 

563

 

 

 

-

 

 

 

-

 

 

 

-

 

Securities Swap and Option Agreement(2)

 

 

-

 

 

 

-

 

 

 

(2,095

)

 

 

2,422

 

Total

 

$

571

 

 

$

-

 

 

$

(2,095

)

 

$

2,412

 

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

 

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