XML 35 R28.htm IDEA: XBRL DOCUMENT v3.24.1.u1
Investments (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023:

 

 

 

 

 

 

 

 

($ in thousands)

 

March 31, 2024
(Unaudited)

 

 

December 31, 2023

 

Security Type

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Senior Secured Loan

 

$

364,981

 

 

$

349,844

 

 

 

74

 

 

$

356,358

 

 

$

340,159

 

 

 

73

 

Junior Secured Loan

 

 

52,951

 

 

 

36,270

 

 

 

8

 

 

 

53,888

 

 

 

38,875

 

 

 

8

 

Senior Unsecured Bond

 

 

-

 

 

 

-

 

 

 

-

 

 

 

416

 

 

 

43

 

 

 

0

 

Equity Securities

 

 

34,077

 

 

 

23,428

 

 

 

5

 

 

 

31,280

 

 

 

20,533

 

 

 

4

 

CLO Fund Securities

 

 

8,762

 

 

 

8,549

 

 

 

2

 

 

 

9,103

 

 

 

8,968

 

 

 

2

 

Asset Manager Affiliates(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Joint Ventures

 

 

65,008

 

 

 

53,164

 

 

 

11

 

 

 

71,415

 

 

 

59,287

 

 

 

13

 

Derivatives

 

 

31

 

 

 

-

 

 

 

-

 

 

 

31

 

 

 

-

 

 

 

-

 

Total

 

$

543,601

 

 

$

471,255

 

 

 

100

%

 

$

540,282

 

 

$

467,865

 

 

 

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 March 31, 2024 and December 31, 2023 were as follows:

 

($ in thousands)

 

March 31, 2024
(Unaudited)

 

 

December 31, 2023

 

Industry Classification

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

%(¹)

 

Aerospace and Defense

 

$

11,134

 

 

$

11,260

 

 

 

2

 

 

$

11,130

 

 

$

11,256

 

 

 

2

 

Alternative Carriers

 

 

-

 

 

 

-

 

 

 

-

 

 

 

971

 

 

 

937

 

 

 

0

 

Application Software

 

 

1,163

 

 

 

1,162

 

 

 

0

 

 

 

-

 

 

 

-

 

 

 

-

 

Asset Management Company(2)

 

 

17,791

 

 

 

-

 

 

 

-

 

 

 

17,791

 

 

 

-

 

 

 

-

 

Banking, Finance, Insurance & Real Estate

 

 

49,725

 

 

 

51,332

 

 

 

11

 

 

 

51,486

 

 

 

53,918

 

 

 

11

 

Beverage, Food and Tobacco

 

 

12,288

 

 

 

11,531

 

 

 

2

 

 

 

12,220

 

 

 

11,444

 

 

 

2

 

Capital Equipment

 

 

10,668

 

 

 

972

 

 

 

0

 

 

 

10,684

 

 

 

1,203

 

 

 

0

 

Chemicals, Plastics and Rubber

 

 

9,498

 

 

 

9,498

 

 

 

2

 

 

 

9,738

 

 

 

9,836

 

 

 

2

 

CLO Fund Securities

 

 

8,762

 

 

 

8,549

 

 

 

2

 

 

 

9,103

 

 

 

8,968

 

 

 

2

 

Construction & Building

 

 

7,718

 

 

 

7,481

 

 

 

2

 

 

 

7,737

 

 

 

7,441

 

 

 

2

 

Consumer goods: Durable

 

 

24,577

 

 

 

21,869

 

 

 

4

 

 

 

16,431

 

 

 

13,898

 

 

 

3

 

Containers, Packaging and Glass

 

 

2,733

 

 

 

2,673

 

 

 

1

 

 

 

2,734

 

 

 

2,665

 

 

 

1

 

Diversified Financial Services

 

 

2,699

 

 

 

2,696

 

 

 

1

 

 

 

 

 

 

 

 

 

 

Energy: Electricity

 

 

671

 

 

 

671

 

 

 

0

 

 

 

671

 

 

 

671

 

 

 

0

 

Energy: Oil & Gas

 

 

6,304

 

 

 

-

 

 

 

-

 

 

 

6,721

 

 

 

100

 

 

 

0

 

Finance

 

 

19,643

 

 

 

19,702

 

 

 

4

 

 

 

18,884

 

 

 

18,972

 

 

 

4

 

Healthcare & Pharmaceuticals

 

 

57,350

 

 

 

56,094

 

 

 

12

 

 

 

59,189

 

 

 

57,224

 

 

 

12

 

Healthcare, Education and Childcare

 

 

6,161

 

 

 

6,150

 

 

 

1

 

 

 

6,175

 

 

 

6,163

 

 

 

1

 

High Tech Industries

 

 

83,452

 

 

 

72,617

 

 

 

15

 

 

 

84,676

 

 

 

73,430

 

 

 

16

 

Hotel, Gaming & Leisure

 

 

8,353

 

 

 

4,034

 

 

 

1

 

 

 

8,358

 

 

 

3,948

 

 

 

1

 

Interactive Media & Services

 

 

2,625

 

 

 

2,639

 

 

 

1

 

 

 

2,663

 

 

 

2,662

 

 

 

1

 

IT Consulting & Other Services

 

 

2,213

 

 

 

2,267

 

 

 

1

 

 

 

2,213

 

 

 

2,259

 

 

 

1

 

Joint Venture

 

 

65,008

 

 

 

53,164

 

 

 

11

 

 

 

71,415

 

 

 

59,287

 

 

 

13

 

Machinery (Non-Agrclt/Constr/Electr)

 

 

11,378

 

 

 

11,975

 

 

 

2

 

 

 

9,836

 

 

 

10,097

 

 

 

2

 

Media: Broadcasting & Subscription

 

 

17,094

 

 

 

14,044

 

 

 

3

 

 

 

16,665

 

 

 

14,618

 

 

 

3

 

Media: Diversified & Production

 

 

748

 

 

 

750

 

 

 

0

 

 

 

1,121

 

 

 

1,125

 

 

 

0

 

Metals & Mining

 

 

9,500

 

 

 

8,051

 

 

 

2

 

 

 

9,000

 

 

 

7,742

 

 

 

2

 

Retail

 

 

9,510

 

 

 

9,029

 

 

 

2

 

 

 

9,334

 

 

 

8,732

 

 

 

2

 

Services: Business

 

 

61,116

 

 

 

59,607

 

 

 

13

 

 

 

58,997

 

 

 

57,168

 

 

 

12

 

Telecommunications

 

 

5,305

 

 

 

4,637

 

 

 

1

 

 

 

5,268

 

 

 

4,389

 

 

 

1

 

Transportation: Cargo

 

 

10,962

 

 

 

9,416

 

 

 

2

 

 

 

11,606

 

 

 

10,303

 

 

 

2

 

Transportation: Consumer

 

 

7,452

 

 

 

7,385

 

 

 

2

 

 

 

7,465

 

 

 

7,409

 

 

 

2

 

Total

 

$

543,601

 

 

$

471,255

 

 

 

100

%

 

$

540,282

 

 

$

467,865

 

 

 

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 March 31, 2024 (unaudited) and December 31, 2023:

($ in thousands)

 

 

 

 

 

 

March 31, 2024

 

 

 

 

 

December 31, 2023

 

CLO Fund Securities

 

Investment

 

Percentage Ownership(1)

 

 

Amortized
Cost

 

 

Fair Value

 

 

Percentage Ownership(1)

 

 

Amortized
Cost

 

 

Fair Value

 

Catamaran CLO 2014-1 Ltd.

 

Subordinated Notes

 

 

22.2

%

 

$

702

 

 

$

702

 

 

 

22.2

%

 

$

1,024

 

 

$

904

 

Catamaran CLO 2018-1 Ltd.

 

Subordinated Notes

 

 

24.8

%

 

 

3,846

 

 

 

3,757

 

 

 

24.8

%

 

 

3,923

 

 

 

3,923

 

Dryden 30 Senior Loan Fund

 

Subordinated Notes

 

 

6.8

%

 

 

246

 

 

 

246

 

 

 

6.8

%

 

 

424

 

 

 

409

 

JMP Credit Advisors CLO IV Ltd.

 

Subordinated Notes

 

 

57.2

%

 

 

715

 

 

 

668

 

 

 

57.2

%

 

 

683

 

 

 

683

 

JMP Credit Advisors CLO V Ltd.

 

Subordinated Notes

 

 

57.2

%

 

 

3,253

 

 

 

3,176

 

 

 

57.2

%

 

 

3,049

 

 

 

3,049

 

Total

 

 

 

 

 

 

$

8,762

 

 

$

8,549

 

 

 

 

 

$

9,103

 

 

$

8,968

 
(1)
Represents percentage of class held at March 31, 2024 and December 31, 2023, respectively.
Summary of Investments in Affiliates

The following table details investments in affiliates at March 31, 2024 (unaudited):

($ in thousands)

Industry
Classification

Fair Value
as of December 31, 2023

 

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 March 31, 2024

 

Principal / Shares at March 31, 2024

 

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

 

 

-

 

 

-

 

 

-

 

 

373

 

 

(416

)

 

-

 

 

-

 

 

-

 

 

-

 

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

Aerospace and Defense

 

-

 

 

(1

)

 

-

 

 

-

 

 

1

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

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

 

14,275

 

 

(968

)

 

-

 

 

-

 

 

216

 

 

-

 

 

13,523

 

 

27,220

 

 

-

 

 

-

 

Total controlled affiliates

 

$

14,318

 

$

(969

)

$

-

 

$

-

 

$

590

 

$

(416

)

$

13,523

 

 

 

$

-

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

Joint Venture

$

45,012

 

$

(5,439

)

$

-

 

$

-

 

$

68

 

$

-

 

$

39,641

 

 

38,562

 

$

-

 

$

1,653

 

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

 

998

 

 

-

 

 

-

 

 

-

 

 

150

 

 

-

 

 

1,148

 

 

250,000

 

 

-

 

 

-

 

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

Metals & Mining

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

2,368

 

 

-

 

 

-

 

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

Metals & Mining

 

4,182

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

 

 

4,182

 

 

4,500,000

 

 

112

 

 

-

 

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

Metals & Mining

 

3,560

 

 

-

 

 

-

 

 

-

 

 

(191

)

 

-

 

 

3,369

 

 

4,500

 

 

91

 

 

-

 

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

Metals & Mining

 

-

 

 

500

 

 

-

 

 

-

 

 

-

 

 

-

 

 

500

 

 

500

 

 

4

 

 

-

 

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

Telecommunications

 

553

 

 

-

 

 

-

 

 

-

 

 

78

 

 

-

 

 

631

 

 

200,000

 

 

-

 

 

-

 

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

Telecommunications

 

246

 

 

-

 

 

-

 

 

-

 

 

35

 

 

-

 

 

281

 

 

88,946

 

 

-

 

 

-

 

Total Non-controlled affiliates

 

$

55,222

 

$

(4,939

)

$

-

 

$

-

 

$

140

 

$

-

 

$

50,423

 

 

 

$

207

 

$

1,653

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Affiliated Investments

 

$

69,540

 

$

(5,908

)

$

-

 

$

-

 

$

730

 

$

(416

)

$

63,946

 

 

 

$

207

 

$

1,653

 
(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, 2023:

($ 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 December 31, 2023

 

Principal / Shares at December 31, 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

 

 

(248

)

 

-

 

 

-

 

 

39

 

 

(33

)

 

-

 

 

-

 

 

-

 

 

-

 

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

 

 

-

 

 

-

 

 

-

 

 

(4,393

)

 

-

 

 

14,275

 

 

27,220

 

 

-

 

 

2,184

 

Total controlled affiliates

 

$

18,953

 

$

(248

)

$

-

 

$

-

 

$

(4,354

)

$

(33

)

$

14,318

 

 

 

$

-

 

$

2,184

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

Joint Venture

$

40,287

 

$

2,565

 

$

-

 

$

-

 

$

2,160

 

$

-

 

$

45,012

 

 

44,000

 

$

-

 

$

6,764

 

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

 

 

-

 

 

-

 

 

-

 

 

(302

)

 

-

 

 

998

 

 

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

 

 

(318

)

 

-

 

 

4,182

 

 

4,500,000

 

 

333

 

 

-

 

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

Metals & Mining

 

-

 

 

-

 

 

-

 

 

4,500

 

 

(940

)

 

-

 

 

3,560

 

 

4,500

 

 

270

 

 

-

 

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

Telecommunications

 

464

 

 

-

 

 

-

 

 

-

 

 

89

 

 

-

 

 

553

 

 

200,000

 

 

-

 

 

-

 

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

Telecommunications

 

206

 

 

-

 

 

-

 

 

-

 

 

40

 

 

-

 

 

246

 

 

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

 

 

(5,460

)

 

328

 

 

-

 

 

(33

)

 

-

 

 

-

 

 

-

 

 

675

 

 

-

 

Navex Topco, Inc.(2)(5)

Electronics

 

7,604

 

 

(7,700

)

 

310

 

 

-

 

 

(214

)

 

-

 

 

-

 

 

-

 

 

804

 

 

-

 

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

Healthcare, Education and Childcare

 

3,390

 

 

(3,501

)

 

9

 

 

-

 

 

102

 

 

-

 

 

-

 

 

-

 

 

42

 

 

-

 

Total Non-controlled affiliates

 

$

73,827

 

$

(19,833

)

$

647

 

$

-

 

$

980

 

$

(399

)

$

55,222

 

 

 

$

2,501

 

$

6,764

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Affiliated Investments

 

$

92,780

 

$

(20,081

)

$

647

 

$

-

 

$

(3,374

)

$

(432

)

$

69,540

 

 

 

$

2,501

 

$

8,948

 
(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 March 31, 2024 (unaudited) and December 31, 2023, respectively:

 

 

As of March 31, 2024

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

Debt securities

 

$

-

 

 

$

65,961

 

 

$

320,153

 

 

$

-

 

 

$

386,114

 

Equity securities

 

 

-

 

 

 

-

 

 

 

23,428

 

 

 

-

 

 

 

23,428

 

CLO Fund securities

 

 

-

 

 

 

-

 

 

 

8,549

 

 

 

-

 

 

 

8,549

 

Joint Ventures

 

 

-

 

 

 

-

 

 

 

13,523

 

 

 

39,641

 

 

 

53,164

 

Derivatives

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

$

-

 

 

$

65,961

 

 

$

365,653

 

 

$

39,641

 

 

$

471,255

 

 

 

 

As of December 31, 2023

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

Debt securities

 

$

-

 

 

$

65,325

 

 

$

313,752

 

 

$

-

 

 

$

379,077

 

Equity securities

 

 

-

 

 

 

-

 

 

 

20,533

 

 

 

-

 

 

 

20,533

 

CLO Fund securities

 

 

-

 

 

 

-

 

 

 

8,968

 

 

 

-

 

 

 

8,968

 

Joint Ventures

 

 

-

 

 

 

-

 

 

 

14,275

 

 

 

45,012

 

 

 

59,287

 

Derivatives

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Total

 

$

-

 

 

$

65,325

 

 

$

357,528

 

 

$

45,012

 

 

$

467,865

 
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:

 

 

 

Three Months Ended March 31, 2024

 

($ in thousands)

 

Debt
Securities

 

 

Equity
Securities

 

 

CLO Fund
Securities

 

 

Joint
Ventures

 

 

Derivatives

 

 

Total

 

Balance, December 31, 2023

 

$

313,752

 

 

$

20,533

 

 

$

8,968

 

 

$

14,275

 

 

$

-

 

 

$

357,528

 

Transfers out of Level III¹

 

 

(9,239

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(9,239

)

Transfers into Level III²

 

 

6,433

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

6,433

 

Net accretion

 

 

444

 

 

 

-

 

 

 

556

 

 

 

-

 

 

 

-

 

 

 

1,000

 

Purchases

 

 

34,377

 

 

 

2,797

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

37,174

 

Sales/Paydowns/Return of Capital

 

 

(22,566

)

 

 

(503

)

 

 

(392

)

 

 

(968

)

 

 

-

 

 

 

(24,429

)

Total realized gain (loss) included in earnings

 

 

(1,660

)

 

 

503

 

 

 

(505

)

 

 

-

 

 

 

-

 

 

 

(1,662

)

Change in unrealized gain (loss) included in earnings

 

 

(1,388

)

 

 

98

 

 

 

(78

)

 

 

216

 

 

 

-

 

 

 

(1,152

)

Balance, March 31, 2024

 

$

320,153

 

 

$

23,428

 

 

$

8,549

 

 

$

13,523

 

 

$

-

 

 

$

365,653

 

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

 

$

(1,388

)

 

$

98

 

 

$

(78

)

 

$

216

 

 

$

-

 

 

$

(1,152

)
(1)
Transfers out of Level III represent a transfer of $9.2 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of March 31, 2024.
(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 March 31, 2024.

 

 

Three Months Ended March 31, 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

 

 

(5,585

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(5,585

)

Transfers into Level III²

 

 

6,519

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

6,519

 

Net accretion

 

 

2,197

 

 

 

-

 

 

 

548

 

 

 

-

 

 

 

-

 

 

 

2,745

 

Purchases

 

 

8,880

 

 

 

68

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

8,948

 

Sales/Paydowns/Return of Capital

 

 

(29,317

)

 

 

(5,429

)

 

 

(457

)

 

 

-

 

 

 

-

 

 

 

(35,203

)

Total realized gain (loss) included in earnings

 

 

(31

)

 

 

858

 

 

 

(3,881

)

 

 

-

 

 

 

-

 

 

 

(3,054

)

Change in unrealized gain (loss) included in earnings

 

 

(3,318

)

 

 

(2,082

)

 

 

2,578

 

 

 

(2,592

)

 

 

-

 

 

 

(5,414

)

Balance, March 31, 2023

 

$

389,489

 

 

$

15,320

 

 

$

19,241

 

 

$

16,076

 

 

$

-

 

 

$

440,126

 

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

 

$

(6,986

)

 

$

(1,032

)

 

$

2,578

 

 

$

(2,592

)

 

$

-

 

 

$

(8,033

)
(1)
Transfers out of Level III represent a transfer of $5.6 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of March 31, 2023.
(2)
Transfers into Level III represent a transfer of $6.5 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of March 31, 2023.
Schedule of Valuation Techniques and Significant Inputs of Level III Investments

As of March 31, 2024, the Company’s Level III portfolio investments had the following valuation techniques and significant inputs (dollars in thousands):

 

Type

 

Fair Value

 

 

Primary Valuation
Techniques

 

Unobservable
Inputs

 

Range of Inputs
(Weighted Average)

 

 

$

40,404

 

 

Enterprise Value

 

Average EBITDA Multiple

 

0.4x-8.8x (5.7x)

Debt Securities

 

 

 

 

 

 

Expected Sale Proceeds

 

$6.3-$90.3 ($87.4)

 

 

 

 

 

 

 

Average Settlement Value

 

$47.1-$47.1($47.1)

 

 

 

279,749

 

 

Income Approach

 

Implied
Discount Rate

 

0.5%-21.49% (11.9%)

 

 

 

18,574

 

 

Enterprise Value

 

Average EBITDA Multiple

 

1.5x-18.3x (6.2x)

 

 

 

 

 

 

 

Average EBITDA Multiple / WACC

 

0.4x-3.7x (1.1x)

 

 

 

 

 

 

 

Book Value of Equity

 

1x-8x (6.3x)

Equity Securities

 

 

 

 

 

 

Expected Sale Proceeds

 

90.25x-110x (0x)

 

 

 

4,182

 

 

Income Approach

 

Implied
Discount Rate

 

15%-17.95% (18%)

 

 

 

672

 

 

Recent Transaction

 

Implied
Discount Rate

 

12.4%-12.4% (12.4%)

 

 

 

 

 

 

 

Discount Rate

 

18.1%-24.9% (20.9%)

 

 

 

 

 

 

 

Probability of
Default

 

1.8%-2.5% (2.0%)

CLO Fund Securities

 

 

8,549

 

 

Discounted Cash Flow

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

 

 

 

 

 

 

 

Discount Rate

 

19.6%-21.1% (20.3%)

 

 

 

 

 

 

 

Probability of
Default

 

2.8%-3.3% (3.0%)

Joint Ventures

 

 

13,523

 

 

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

 

$

365,653

 

 

 

 

 

 

 

 

As of December 31, 2023, the Company’s Level III portfolio investments had the following valuation techniques and significant inputs (dollars in thousands):

 

Type

 

Fair Value

 

 

Primary Valuation
Techniques

 

Unobservable
Inputs

 

Range of Inputs
(Weighted Average)

 

 

$

10,371

 

 

Enterprise Value

 

Average
EBITDA
Multiple

 

0.4x-9.5x (1.0x)

Debt Securities

 

 

 

 

 

 

Recovery Rate Multiple

 

0.1x

 

 

 

 

 

 

 

Expected Sale Proceeds

 

$97.6

 

 

 

 

 

 

 

Average Settlement Value

 

$61.0

 

 

 

298,111

 

 

Income Approach

 

Implied
Discount Rate

 

5.3%-40.7% (12.4%)

 

 

 

5,270

 

 

Recent Transaction

 

Implied
Discount Rate

 

13.8%-14.2% (14.0%)

 

 

 

19,805

 

 

Enterprise Value

 

Average EBITDA Multiple

 

5.0x-18.0x (6.9x)

 

 

 

 

 

 

 

Average EBITDA Multiple / WACC

 

0.4x-3.7x (1.1x)

Equity Securities

 

 

 

 

 

 

Book Value of Equity

 

1.0x-1.6x (1.6x)

 

 

 

57

 

 

Income Approach

 

Implied
Discount Rate

 

15.0%

 

 

 

671

 

 

Recent Transaction

 

Implied
Discount Rate

 

12.4%

 

 

 

 

 

 

 

Discount Rate

 

18.4%-25.2% (21.1%)

 

 

 

 

 

 

 

Probability of
Default

 

1.8%-2.5% (2.0%)

CLO Fund Securities

 

 

8,968

 

 

Discounted Cash Flow

 

Recovery Rate

 

65.0%-75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment
Rate

 

15.0%-25.0% (20.0%)

 

 

 

 

 

 

 

Discount Rate

 

20.5%-22.1% (21.3%)

 

 

 

 

 

 

 

Probability of
Default

 

2.8%-3.3% (3.0%)

Joint Ventures

 

 

14,275

 

 

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

 

$

357,528

 

 

 

 

 

 

 

 
Schedule of Derivative Investments

The following table details derivative investments at March 31, 2024 and December 31, 2023;

($ in thousands)

 

March 31, 2024

 

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, 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