XML 32 R21.htm IDEA: XBRL DOCUMENT v3.25.0.1
Investments
 12 Months Ended
Dec. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
Investments

4. INVESTMENTS

The following table shows the Company’s portfolio by security type at December 31, 2024 and December 31, 2023:

 

 

 

 

 

 

 

 

($ in thousands)

 

December 31, 2024

 

 

December 31, 2023

 

Security Type

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

Fair Value Percentage of Total Portfolio

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

Fair Value Percentage of Total Portfolio

 

First Lien Debt

 

$

311,673

 

 

$

289,957

 

 

 

71.6

%

 

$

351,858

 

 

$

336,599

 

 

 

71.9

%

Second Lien Debt

 

 

34,892

 

 

 

28,996

 

 

 

7.2

%

 

 

50,814

 

 

 

41,254

 

 

 

8.8

%

Subordinated Debt

 

 

8,059

 

 

 

1,740

 

 

 

0.4

%

 

 

7,990

 

 

 

1,224

 

 

 

0.3

%

Collateralized Loan Obligations

 

 

5,318

 

 

 

5,193

 

 

 

1.3

%

 

 

9,103

 

 

 

8,968

 

 

 

1.9

%

Joint Ventures

 

 

66,747

 

 

 

54,153

 

 

 

13.4

%

 

 

71,415

 

 

 

59,287

 

 

 

12.7

%

Equity

 

 

31,921

 

 

 

24,762

 

 

 

6.1

%

 

 

31,280

 

 

 

20,533

 

 

 

4.4

%

Asset Manager Affiliates(1)

 

 

17,791

 

 

 

—

 

 

 

—

 

 

 

17,791

 

 

 

—

 

 

 

—

 

Derivatives

 

 

31

 

 

 

220

 

 

 

0.0

%

 

 

31

 

 

 

—

 

 

 

—

 

Total

 

$

476,432

 

 

$

405,021

 

 

 

100.0

%

 

$

540,282

 

 

$

467,865

 

 

 

100.0

%

 

(1)
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, 2024 and December 31, 2023, were as follows:

 

($ in thousands)

 

December 31, 2024

 

 

December 31, 2023

 

Industry Classification

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

Fair Value Percentage of Total Portfolio

 

 

Cost/Amortized
Cost

 

 

Fair Value

 

 

Fair Value Percentage of Total Portfolio

 

Joint Venture

 

$

66,747

 

 

$

54,153

 

 

 

13.4

%

 

$

71,415

 

 

$

59,287

 

 

 

12.7

%

Services: Business

 

 

55,141

 

 

 

51,776

 

 

 

12.8

%

 

 

58,997

 

 

 

57,168

 

 

 

12.2

%

High Tech Industries

 

 

55,932

 

 

 

50,138

 

 

 

12.4

%

 

 

84,676

 

 

 

73,430

 

 

 

15.7

%

Banking, Finance, Insurance & Real Estate

 

 

44,191

 

 

 

42,854

 

 

 

10.6

%

 

 

51,486

 

 

 

53,918

 

 

 

11.5

%

Healthcare & Pharmaceuticals

 

 

43,882

 

 

 

41,872

 

 

 

10.3

%

 

 

59,189

 

 

 

57,224

 

 

 

12.2

%

Consumer goods: Durable

 

 

28,493

 

 

 

27,028

 

 

 

6.7

%

 

 

16,431

 

 

 

13,898

 

 

 

3.0

%

Finance

 

 

14,815

 

 

 

14,725

 

 

 

3.6

%

 

 

18,884

 

 

 

18,972

 

 

 

4.1

%

Machinery (Non-Agrclt/Constr/Electr)

 

 

11,705

 

 

 

13,608

 

 

 

3.4

%

 

 

9,836

 

 

 

10,097

 

 

 

2.2

%

Media: Broadcasting & Subscription

 

 

19,095

 

 

 

12,972

 

 

 

3.2

%

 

 

16,665

 

 

 

14,618

 

 

 

3.1

%

Beverage, Food and Tobacco

 

 

12,563

 

 

 

11,612

 

 

 

2.9

%

 

 

12,220

 

 

 

11,444

 

 

 

2.4

%

Aerospace and Defense

 

 

11,403

 

 

 

11,390

 

 

 

2.8

%

 

 

11,130

 

 

 

11,256

 

 

 

2.4

%

Chemicals, Plastics and Rubber

 

 

10,135

 

 

 

9,628

 

 

 

2.4

%

 

 

9,738

 

 

 

9,836

 

 

 

2.1

%

Construction & Building

 

 

7,648

 

 

 

7,596

 

 

 

1.9

%

 

 

7,737

 

 

 

7,441

 

 

 

1.6

%

Transportation: Consumer

 

 

7,410

 

 

 

7,470

 

 

 

1.8

%

 

 

7,465

 

 

 

7,409

 

 

 

1.6

%

Retail

 

 

10,246

 

 

 

6,853

 

 

 

1.7

%

 

 

9,334

 

 

 

8,732

 

 

 

1.9

%

Healthcare, Education and Childcare

 

 

6,114

 

 

 

6,115

 

 

 

1.5

%

 

 

6,175

 

 

 

6,163

 

 

 

1.3

%

CLO Fund Securities

 

 

5,318

 

 

 

5,193

 

 

 

1.3

%

 

 

9,103

 

 

 

8,968

 

 

 

1.9

%

Metals & Mining

 

 

9,950

 

 

 

5,103

 

 

 

1.3

%

 

 

9,000

 

 

 

7,742

 

 

 

1.7

%

Transportation: Cargo

 

 

4,223

 

 

 

3,782

 

 

 

0.9

%

 

 

11,606

 

 

 

10,303

 

 

 

2.2

%

Diversified Financial Services

 

 

3,058

 

 

 

3,074

 

 

 

0.8

%

 

 

—

 

 

 

—

 

 

 

0.0

%

Containers, Packaging and Glass

 

 

2,728

 

 

 

2,702

 

 

 

0.7

%

 

 

2,734

 

 

 

2,665

 

 

 

0.6

%

Energy: Electricity

 

 

2,696

 

 

 

2,702

 

 

 

0.7

%

 

 

671

 

 

 

671

 

 

 

0.1

%

Interactive Media & Services

 

 

2,539

 

 

 

2,559

 

 

 

0.6

%

 

 

2,663

 

 

 

2,662

 

 

 

0.6

%

Services: Consumer

 

 

2,699

 

 

 

2,406

 

 

 

0.6

%

 

 

—

 

 

 

—

 

 

 

0.0

%

IT Consulting & Other Services

 

 

2,157

 

 

 

2,243

 

 

 

0.5

%

 

 

2,213

 

 

 

2,259

 

 

 

0.5

%

Hotel, Gaming & Leisure

 

 

7,006

 

 

 

2,205

 

 

 

0.5

%

 

 

8,358

 

 

 

3,948

 

 

 

0.8

%

Capital Equipment

 

 

8,016

 

 

 

1,291

 

 

 

0.3

%

 

 

10,684

 

 

 

1,203

 

 

 

0.3

%

Application Software

 

 

1,165

 

 

 

1,166

 

 

 

0.2

%

 

 

—

 

 

 

—

 

 

 

0.0

%

Telecommunications

 

 

1,541

 

 

 

805

 

 

 

0.2

%

 

 

5,268

 

 

 

4,389

 

 

 

0.9

%

Alternative Carriers

 

 

—

 

 

 

—

 

 

 

0.0

%

 

 

971

 

 

 

937

 

 

 

0.2

%

Asset Management Company(1)

 

 

17,791

 

 

 

—

 

 

 

0.0

%

 

 

17,791

 

 

 

—

 

 

 

0.0

%

Energy: Oil & Gas

 

 

25

 

 

 

—

 

 

 

0.0

%

 

 

6,721

 

 

 

100

 

 

 

0.0

%

Media: Diversified & Production

 

 

—

 

 

 

—

 

 

 

0.0

%

 

 

1,121

 

 

 

1,125

 

 

 

0.2

%

Total

 

$

476,432

 

 

$

405,021

 

 

 

100.0

%

 

$

540,282

 

 

$

467,865

 

 

 

100.0

%

 

(1)
Represents the equity investment in the Asset Manager Affiliates.

Investments in CLO Fund Securities

The Company has made non-controlling investments in the most junior class of securities (typically preferred shares or subordinated securities) of CLO Funds. These securities also are entitled to recurring distributions which generally equal the net remaining cash flow of the payments made by the underlying CLO Fund’s securities less contractual payments to senior bond holders, management fees and CLO Fund expenses. CLO Funds invest primarily in broadly syndicated non-investment grade loans, high-yield bonds and other credit instruments of corporate issuers. The underlying assets in each of the CLO Funds in which the Company has an investment are generally diversified secured or unsecured corporate debt. The CLO Funds are leveraged funds and any excess cash flow or “excess spread” (interest earned by the underlying securities in the CLO Funds less payments made to senior bond holders, fund expenses and management fees) is paid to the holders of the CLO Fund’s subordinated securities or preferred shares.

The Company's investments in CLO Fund Securities as of December 31, 2024 and December 31, 2023 were as follows:

 

($ in thousands)

 

 

 

December 31, 2024

 

 

December 31, 2023

 

CLO Fund Securities

 

Investment

 

Amortized
Cost

 

 

Fair Value

 

 

Percentage Ownership(1)

 

 

Amortized
Cost

 

 

Fair Value

 

Percentage Ownership(1)

 

Catamaran CLO 2014-1 Ltd.

 

Collateralized Loan Obligations

 

$

126

 

 

$

261

 

 

 

22.2

%

 

$

1,024

 

 

$

904

 

 

22.2

%

Catamaran CLO 2018-1 Ltd.

 

Collateralized Loan Obligations

 

 

3,063

 

 

 

2,600

 

 

 

24.8

%

 

 

3,923

 

 

 

3,923

 

 

24.8

%

Dryden 30 Senior Loan Fund

 

Collateralized Loan Obligations

 

 

141

 

 

 

140

 

 

 

6.8

%

 

 

424

 

 

 

409

 

 

6.8

%

JMP Credit Advisors CLO IV Ltd.

 

Collateralized Loan Obligations

 

 

521

 

 

 

725

 

 

 

57.2

%

 

 

683

 

 

 

683

 

 

57.2

%

JMP Credit Advisors CLO V Ltd.

 

Collateralized Loan Obligations

 

 

1,467

 

 

 

1,467

 

 

 

57.2

%

 

 

3,049

 

 

 

3,049

 

 

57.2

%

Total

 

 

 

$

5,318

 

 

$

5,193

 

 

 

 

 

$

9,103

 

 

$

8,968

 

 

 

 

(1)
Represents percentage of class held as of December 31, 2024, and December 31, 2023, respectively.

 

Affiliate Investments:

 

The following table details investments in affiliates at December 31, 2024:

 

Company(1)

Type of Investment

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 December 31, 2024

 

Principal / Shares at December 31, 2024

 

Interest and Fee
Income

 

Dividend
Income

 

Controlled investments(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset Management Company(2)

Asset Manager Affiliates

Asset
Management
Company

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

 

—

 

$

—

 

$

—

 

Tank Partners Equipment Holdings, LLC - Class A Units(5)

Common Stock and Membership Units

Energy: Oil &
Gas

 

—

 

 

—

 

 

—

 

 

—

 

 

6,228

 

 

(6,228

)

 

—

 

 

—

 

 

—

 

 

—

 

Tank Partners Equipment Holdings, LLC

Subordinated Debt

Energy: Oil &
Gas

 

43

 

 

—

 

 

—

 

 

—

 

 

373

 

 

(416

)

 

—

 

 

—

 

 

—

 

 

—

 

ProAir Holdco, LLC(5)

Common Stock and Membership Units

Capital Equipment

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,749,997

 

 

—

 

 

—

 

ProAir, LLC

Subordinated Debt

Capital Equipment

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,020

 

 

—

 

 

—

 

KCAP Freedom 3, LLC(2)

Joint Ventures

Joint Venture

 

14,275

 

 

(1,976

)

 

—

 

 

—

 

 

716

 

 

—

 

 

13,015

 

 

27,220

 

 

—

 

 

—

 

Total Controlled investments

 

 

$

14,318

 

$

(1,976

)

$

—

 

$

—

 

$

7,317

 

$

(6,644

)

$

13,015

 

 

 

$

—

 

$

—

 

Non-controlled affiliated investments(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series A-Great Lakes Funding II LLC(2)(6)(7)

Joint Ventures

Joint Venture

$

45,012

 

$

(2,692

)

$

—

 

$

—

 

$

(1,182

)

$

—

 

$

41,138

 

 

41,309

 

$

—

 

$

6,576

 

GreenPark Infrastructure, LLC - Series A(5)

Preferred Stock and Units

Energy: Electricity

 

500

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

500

 

 

1,000

 

 

—

 

 

—

 

GreenPark Infrastructure, LLC - Series M-1(5)

Common Stock and Membership Units

Energy: Electricity

 

171

 

 

2,025

 

 

—

 

 

—

 

 

6

 

 

—

 

 

2,202

 

 

6,412

 

 

—

 

 

—

 

Kleen-Tech Acquisition, LLC(5)

Common Stock

Services: Business

 

998

 

 

—

 

 

—

 

 

—

 

 

422

 

 

—

 

 

1,420

 

 

250,000

 

 

—

 

 

—

 

Northeast Metal Works LLC - Preferred(5)

Preferred Stock and Units

Metals & Mining

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,368

 

 

—

 

 

—

 

Northeast Metal Works LLC - Class O Preferred(5)

Preferred Stock and Units

Metals & Mining

 

4,182

 

 

450

 

 

—

 

 

—

 

 

(3,472

)

 

—

 

 

1,160

 

 

4,950,000

 

 

485

 

 

—

 

Northeast Metal Works LLC

Second Lien/Senior Secured Debt

Metals & Mining

 

3,560

 

 

—

 

 

—

 

 

—

 

 

(117

)

 

—

 

 

3,443

 

 

4,500

 

 

366

 

 

—

 

Northeast Metal Works LLC

Second Lien/Senior Secured Debt

Metals & Mining

 

—

 

 

500

 

 

—

 

 

—

 

 

—

 

 

—

 

 

500

 

 

500

 

 

36

 

 

—

 

BMP Slappey Holdco, LLC(5)

Preferred Stock and Units

Telecommunications

 

553

 

 

—

 

 

—

 

 

—

 

 

4

 

 

—

 

 

557

 

 

200,000

 

 

—

 

 

—

 

BMP Slappey Investment II(5)

Preferred Stock and Units

Telecommunications

 

246

 

 

—

 

 

—

 

 

—

 

 

2

 

 

—

 

 

248

 

 

88,946

 

 

—

 

 

—

 

Princeton Medspa Partners, LLC(5)

Preferred Stock and Units

Healthcare & Pharmaceuticals

 

—

 

 

1,064

 

 

—

 

 

—

 

 

(205

)

 

—

 

 

859

 

 

1,064

 

 

76

 

 

—

 

Princeton Medspa Partners, LLC - Warrant(5)

Common Stock and Membership Units

Healthcare & Pharmaceuticals

 

—

 

 

—

 

 

—

 

 

—

 

 

28

 

 

—

 

 

28

 

 

0

 

 

—

 

 

—

 

Princeton Medspa Partners, LLC - Put Option(2)(5)

Derivatives

Healthcare & Pharmaceuticals

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

1,000,000

 

 

—

 

 

—

 

PMP OPCO, LLC (Princeton Medspa Partners, LLC)(7)

First Lien/Senior Secured Debt

Healthcare & Pharmaceuticals

 

—

 

 

1,635

 

 

4

 

 

—

 

 

(110

)

 

—

 

 

1,529

 

 

1,679

 

 

147

 

 

—

 

PMP OPCO, LLC (Princeton Medspa Partners, LLC) (Revolver)(7)

First Lien/Senior Secured Debt

Healthcare & Pharmaceuticals

 

—

 

 

(4

)

 

—

 

 

—

 

 

(6

)

 

—

 

 

(10

)

 

—

 

 

1

 

 

—

 

JMP Credit Advisors CLO IV LTD(3)

Collateralized Loan Obligations

CLO Fund Securities

 

—

 

 

(260

)

 

98

 

 

683

 

 

204

 

 

—

 

 

725

 

 

18,407

 

 

98

 

 

—

 

JMP Credit Advisors CLO V LTD(3)

Collateralized Loan Obligations

CLO Fund Securities

 

—

 

 

(904

)

 

656

 

 

3,049

 

 

—

 

 

(1,334

)

 

1,467

 

 

17,074

 

 

656

 

 

—

 

EBSC Holdings LLC (Riddell, Inc.)(5)

Preferred Stock and Units

Consumer goods: Durable

 

—

 

 

2,131

 

 

—

 

 

—

 

 

244

 

 

—

 

 

2,375

 

 

2,154

 

 

154

 

 

—

 

Riddell, Inc.(7)

First Lien/Senior Secured Debt

Consumer goods: Durable

 

—

 

 

6,127

 

 

20

 

 

—

 

 

96

 

 

—

 

 

6,243

 

 

6,244

 

 

554

 

 

—

 

Total non-controlled affiliated investments

 

 

$

55,222

 

$

10,072

 

$

778

 

$

3,732

 

$

(4,086

)

$

(1,334

)

$

64,384

 

 

 

$

2,573

 

$

6,576

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total non-controlled affiliated and controlled investments

 

 

$

69,540

 

$

8,096

 

$

778

 

$

3,732

 

$

3,231

 

$

(7,978

)

$

77,399

 

 

 

$

2,573

 

$

6,576

 

 

(1)
All investments valued using unobservable inputs (Level III), unless otherwise noted.

 

(2)
Non-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.
(4)
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.
(5)
Number of shares held.
(6)
The investment is valued at the NAV of the underlying fund.
(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, 2023:

 

Company(1)

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

 

Controlled investments(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset Manager Affiliates(2)

Asset
Management
Company

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Tank Partners Equipment Holdings, LLC - Class A Units(5)

Energy: Oil &
Gas

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

49,000

 

 

—

 

 

—

 

Tank Partners Equipment Holdings, LLC

Energy: Oil &
Gas

 

43

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

43

 

 

511

 

 

—

 

 

—

 

Flight Lease VII(5)

Aerospace and Defense

 

242

 

 

(248

)

 

—

 

 

—

 

 

39

 

 

(33

)

 

—

 

 

—

 

 

—

 

 

—

 

ProAir, LLC(5)

Capital Equipment

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,749,997

 

 

—

 

 

—

 

ProAir, LLC

Capital Equipment

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,020

 

 

—

 

 

—

 

KCAP Freedom 3, LLC(2)

Joint Venture

 

18,668

 

 

—

 

 

—

 

 

—

 

 

(4,393

)

 

—

 

 

14,275

 

 

27,220

 

 

—

 

 

2,184

 

Total controlled investments

 

$

18,953

 

$

(248

)

$

—

 

$

—

 

$

(4,354

)

$

(33

)

$

14,318

 

 

 

$

—

 

$

2,184

 

Non-controlled affiliated investments(4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series A-Great Lakes Funding II LLC(2)(6)(7)

Joint Venture

$

40,287

 

$

2,565

 

$

—

 

$

—

 

$

2,160

 

$

—

 

$

45,012

 

$

44,000

 

$

—

 

$

6,764

 

GreenPark Infrastructure, LLC - Series A(5)

Energy: Electricity

 

500

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

500

 

 

1,000

 

 

—

 

 

—

 

GreenPark Infrastructure, LLC - Series M-1(5)(7)

Energy: Electricity

 

171

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

171

 

 

500

 

 

—

 

 

—

 

Kleen-Tech Acquisition, LLC(5)

Services: Business

 

1,300

 

 

—

 

 

—

 

 

—

 

 

(302

)

 

—

 

 

998

 

 

250,000

 

 

—

 

 

—

 

Northeast Metal Works LLC

Metals & Mining

 

13,445

 

 

(4,428

)

 

—

 

 

(9,000

)

 

1,107

 

 

(1,124

)

 

—

 

 

—

 

 

377

 

 

—

 

Northeast Metal Works LLC - Preferred(5)

Metals & Mining

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

2,368

 

 

—

 

 

—

 

Northeast Metal Works LLC - Class O Preferred(5)

Metals & Mining

 

—

 

 

—

 

 

—

 

 

4,500

 

 

(318

)

 

—

 

 

4,182

 

 

4,500,000

 

 

333

 

 

—

 

Northeast Metal Works LLC

Metals & Mining

 

—

 

 

—

 

 

—

 

 

4,500

 

 

(940

)

 

—

 

 

3,560

 

 

4,500

 

 

270

 

 

—

 

BMP Slappey Holdco, LLC(5)

Telecommunications

 

464

 

 

—

 

 

—

 

 

—

 

 

89

 

 

—

 

 

553

 

 

200,000

 

 

—

 

 

—

 

BMP Slappey Investment II(5)

Telecommunications

 

206

 

 

—

 

 

—

 

 

—

 

 

40

 

 

—

 

 

246

 

 

88,946

 

 

—

 

 

—

 

Surge Hippodrome Partners LP(5)

Services: Business

 

811

 

 

(813

)

 

—

 

 

—

 

 

(386

)

 

388

 

 

—

 

 

—

 

 

—

 

 

—

 

Surge Hippodrome Holdings LLC(5)

Services: Business

 

484

 

 

(496

)

 

—

 

 

—

 

 

(325

)

 

337

 

 

—

 

 

—

 

 

—

 

 

—

 

Surge Hippodrome Holdings LLC

Services: Business

 

5,165

 

 

(5,460

)

 

328

 

 

—

 

 

(33

)

 

—

 

 

—

 

 

—

 

 

675

 

 

—

 

Navex Topco, Inc.

Electronics

 

7,604

 

 

(7,700

)

 

310

 

 

—

 

 

(214

)

 

—

 

 

—

 

 

—

 

 

804

 

 

—

 

Zest Acquisition Corp.

Healthcare, Education and Childcare

 

3,390

 

 

(3,501

)

 

9

 

 

—

 

 

102

 

 

—

 

 

—

 

 

—

 

 

42

 

 

—

 

Total non-controlled affiliated investments

 

$

73,827

 

$

(19,833

)

$

647

 

$

—

 

$

980

 

$

(399

)

$

55,222

 

 

 

$

2,501

 

$

6,764

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total non-controlled affiliated and controlled 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, unless otherwise noted.
(2)
Non-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.
(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)
Number of shares held.
(6)
The investment is valued at the NAV of the underlying fund.
(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.

 

Investment in Joint Ventures

For the years ended December 31, 2024, 2023 and 2022, the Company recognized $6.6 million, $8.9 million and $8.6 million, respectively, in investment income from its investments in Joint Ventures. As of December 31, 2024 and December 31, 2023, the aggregate fair value of the Company’s investments in Joint Ventures was approximately $54.2 million and $59.3 million, respectively.

KCAP Freedom 3 LLC

During the third quarter of 2017, the Company and Freedom 3 Opportunities LLC (“Freedom 3 Opportunities”), an affiliate of Freedom 3 Capital LLC, entered into an agreement to create KCAP Freedom 3 LLC (the “F3C Joint Venture”). The fund capitalized by the F3C Joint Venture invests primarily in middle-market loans and the F3C Joint Venture partners may source middle-market loans from time-to-time for the fund.

The Company owns a 62.8% equity investment in the F3C Joint Venture. The F3C Joint Venture is structured as an unconsolidated Delaware limited liability company. All portfolio and other material decisions regarding the F3C Joint Venture must be submitted to its board of managers, which is comprised of four members, two of whom were selected by the Company and two of whom were selected by Freedom 3 Opportunities, and must be approved by at least one member appointed by the Company and one appointed by Freedom 3 Opportunities. In addition, certain matters may be approved by the F3C Joint Venture’s investment committee, which is comprised of one member appointed by the Company and one member appointed by Freedom 3 Opportunities.

The Company has determined that the F3C Joint Venture is an investment company under Accounting Standards Codification (“ASC”), Financial Services — Investment Companies (“ASC 946”), however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in the F3C Joint Venture because the Company does not control the F3C Joint Venture due to allocation of the voting rights among the F3C Joint Venture partners.

The fair value of the Company’s investment in the F3C Joint Venture as of December 31, 2024 and December 31, 2023 was $13.0 million and $14.3 million, respectively.

Series A – Great Lakes Funding II LLC

In August 2022, the Company invested in Series A – Great Lakes Funding II LLC (the “Great Lakes II Joint Venture,” collectively with the F3C Joint Venture the “Joint Ventures”), a joint venture with a third-party financial institution and certain other parties with an investment strategy to underwrite and hold senior, secured unitranche loans made to middle-market companies. The Company treats its investment in the Great Lakes II Joint Venture as a joint venture since affiliated funds of the Adviser collectively control a 50% voting interest in the Great Lakes II Joint Venture.

The Great Lakes II Joint Venture is a Delaware series limited liability company, and pursuant to the terms of the Great Lakes Funding II LLC Limited Liability Company Agreement (the “Great Lakes II LLC Agreement”), prior to the end of the investment period with respect to each series established under the Great Lakes II LLC Agreement, each member of the predecessor series would be offered the opportunity to roll its interests into any subsequent series of the Great Lakes II Joint Venture. The Company does not pay any advisory fees in connection with its investment in the Great Lakes II Joint Venture.

The fair value of the Company’s investment in the Great Lakes II Joint Venture at December 31, 2024 and December 31, 2023 was $41.1 million, and $45.0 million, respectively. Fair value has been determined utilizing the practical expedient pursuant to ASC 820-10. Pursuant to the terms of the Great Lakes II LLC Agreement, the Company generally may not effect any direct or indirect sale, transfer, assignment, hypothecation, pledge or other disposition of or encumbrance upon its interests in the Great Lakes II Joint Venture, except that the Company may sell or otherwise transfer its interests with the consent of the managing members of the Great Lakes II Joint Venture or to an affiliate or a successor to substantially all of the assets of the Company.

As of December 31, 2024, the Company has a $8.2 million unfunded commitment to the Great Lakes II Joint Venture. As of December 31, 2023, the Company had a $5.5 million unfunded commitment to the Great Lakes II Joint Venture.

Fair Value Measurements

The Company follows the provisions of ASC 820: Fair Value, which among other matters, requires enhanced disclosures about investments that are measured and reported at fair value. This standard defines fair value and establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value and expands disclosures about assets and liabilities measured at fair value. ASC 820: Fair Value defines “fair value” as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. This fair value definition focuses on an exit price in the principle, or most advantageous market, and prioritizes, within a measurement of fair value, the use of market-based inputs (which may be weighted or adjusted for relevance, reliability and specific attributes relative to the subject investment) over entity-specific inputs. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

ASC 820: Fair Value establishes the following three-level hierarchy, based upon the transparency of inputs to the fair value measurement of an asset or liability as of the measurement date:

Level I – Unadjusted quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I include listed equities and listed securities. As required by ASC 820: Fair Value, the Company does not adjust the quoted price for these investments, even in situations where the Company holds a large position and a sale could reasonably affect the quoted price.

Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments which are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities for which some level of recent trading activity has been observed.

Level III – Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level II inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. These inputs into the determination of fair value may require significant management judgment or estimation. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level III if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation methodology.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and the Company considers factors specific to the investment. A majority of the Company’s investments are classified as Level III. The Company evaluates the source of inputs, including any markets in which its investments are trading, in determining fair value. Inputs that are highly correlated to the specific investment being valued and those derived from reliable or knowledgeable sources will tend to have a higher weighting in determining fair value. The Company’s fair value determinations may include factors such as an assessment of each underlying investment, its current and prospective operating and financial performance, consideration of financing and sale transactions with third parties, expected cash flows and market-based information, including comparable transactions, performance factors, and other investment or industry specific market data, among other factors.

The following table summarizes the fair value of investments by fair value hierarchy levels provided by ASC 820: Fair Value as of December 31, 2024 and December 31, 2023, respectively:

 

 

 

As of December 31, 2024

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

First Lien Debt

 

$

—

 

 

$

—

 

 

$

289,957

 

 

$

—

 

 

$

289,957

 

Second Lien Debt

 

 

—

 

 

 

—

 

 

 

28,996

 

 

 

—

 

 

 

28,996

 

Subordinated Debt

 

 

—

 

 

 

—

 

 

 

1,740

 

 

 

—

 

 

 

1,740

 

Equity

 

 

—

 

 

 

—

 

 

 

24,762

 

 

 

—

 

 

 

24,762

 

Collateralized Loan Obligations

 

 

—

 

 

 

—

 

 

 

5,193

 

 

 

—

 

 

 

5,193

 

Joint Ventures

 

 

—

 

 

 

—

 

 

 

13,015

 

 

 

41,138

 

 

 

54,153

 

Derivatives

 

 

—

 

 

 

—

 

 

 

220

 

 

 

—

 

 

 

220

 

Total

 

$

—

 

 

$

—

 

 

$

363,883

 

 

$

41,138

 

 

$

405,021

 

 

 

 

 

As of December 31, 2023

 

($ in thousands)

 

Level I

 

 

Level II

 

 

Level III

 

 

NAV

 

 

Total

 

First Lien Debt

 

$

—

 

 

$

47,303

 

 

$

289,295

 

 

$

—

 

 

$

336,598

 

Second Lien Debt

 

 

—

 

 

 

18,022

 

 

 

23,232

 

 

 

—

 

 

 

41,254

 

Subordinated Debt

 

 

—

 

 

 

—

 

 

 

1,225

 

 

 

—

 

 

 

1,225

 

Equity

 

 

—

 

 

 

—

 

 

 

20,533

 

 

 

—

 

 

 

20,533

 

Collateralized Loan Obligations

 

 

—

 

 

 

—

 

 

 

8,968

 

 

 

—

 

 

 

8,968

 

Joint Ventures

 

 

—

 

 

 

—

 

 

 

14,275

 

 

 

45,012

 

 

 

59,287

 

Derivatives

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total

 

$

—

 

 

$

65,325

 

 

$

357,528

 

 

$

45,012

 

 

$

467,865

 

 

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.

The fair value of the Company’s investment in the Great Lakes II Joint Venture at December 31, 2024 and December 31, 2023 was $41.1 million and $45.0 million, respectively. Fair value has been determined utilizing the practical expedient pursuant to ASC 820-10.

Subject to the limitations noted above, values derived for debt and equity securities using comparable public/private companies generally utilize market-observable data from such comparables and specific, non-public and non-observable financial measures (such as earnings or cash flows) for the private, underlying company/issuer. Such non-observable company/issuer data is typically provided on a monthly or quarterly basis, is certified as correct by the management of the company/issuer and/or audited by an independent accounting firm on an annual basis. Since such private company/issuer data is not publicly available it is not deemed market-observable data and, as a result, such investment values are grouped as Level III assets.

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:

 

For the Year Ended December 31, 2024

 

($ in thousands)

First Lien Debt

 

Second Lien Debt

 

Subordinated Debt

 

Equity

 

Collateral Loan Obligations

 

Joint
Ventures

 

Derivatives

 

Total

 

Balance, December 31, 2023

$

289,295

 

$

23,232

 

$

1,225

 

$

20,533

 

$

8,968

 

$

14,275

 

$

—

 

$

357,528

 

Transfers out of Level III(1)

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

Transfers into Level III(2)

 

47,303

 

 

18,022

 

 

—

 

 

—

 

 

—

 

 

—

 

 

—

 

 

65,325

 

Net accretion

 

2,991

 

 

116

 

 

—

 

 

—

 

 

1,511

 

 

—

 

 

—

 

 

4,618

 

Purchases

 

70,344

 

 

2,361

 

 

997

 

 

7,173

 

 

—

 

 

—

 

 

—

 

 

80,875

 

Sales/Paydowns/Return of Capital

 

(101,614

)

 

(10,526

)

 

(511

)

 

78

 

 

(2,722

)

 

(1,976

)

 

—

 

 

(117,271

)

Total realized gain (loss) included in earnings

 

(11,908

)

 

(7,868

)

 

(417

)

 

(6,611

)

 

(2,576

)

 

—

 

 

—

 

 

(29,380

)

Change in unrealized gain (loss) included in earnings

 

(6,454

)

 

3,659

 

 

446

 

 

3,589

 

 

12

 

 

716

 

 

220

 

 

2,188

 

Balance, December 31, 2024

$

289,957

 

$

28,996

 

$

1,740

 

$

24,762

 

$

5,193

 

$

13,015

 

$

220

 

$

363,883

 

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

$

(18,958

)

$

(2,312

)

$

(1,932

)

$

(4,721

)

$

11

 

$

716

 

$

220

 

$

(26,976

)

 

(1)
Transfers out of Level III represent a transfer of $– million relating to debt securities for which pricing inputs, other than their quoted prices in active markets, were observable as of December 31, 2024.
(2)
Transfers into Level III represent a transfer of $65.3 million relating to debt securities for which pricing inputs were unobservable as of December 31, 2024.

 

 

 

 

For the Year Ended December 31, 2023

 

($ in thousands)

 

First Lien Debt

 

 

Second Lien Debt

 

 

Subordinated Debt

 

 

Equity

 

 

Collateralized Loan Obligations

 

 

Joint
Ventures

 

 

Derivatives

 

 

Total

 

Balance, December 31, 2022

 

$

359,648

 

 

$

50,453

 

 

$

43

 

 

$

21,905

 

 

$

20,453

 

 

$

18,668

 

 

$

—

 

 

$

471,170

 

Transfers out of Level III(1)

 

 

(18,021

)

 

 

(1,178

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(19,199

)

Transfers into Level III(2)

 

 

—

 

 

 

1,643

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,643

 

Net accretion

 

 

5,034

 

 

 

283

 

 

 

—

 

 

 

—

 

 

 

1,998

 

 

 

—

 

 

 

—

 

 

 

7,315

 

Purchases

 

 

40,727

 

 

 

857

 

 

 

—

 

 

 

649

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

42,233

 

Sales/Paydowns/Return of Capital

 

 

(95,846

)

 

 

(26,708

)

 

 

5,568

 

 

 

(1,552

)

 

 

(2,097

)

 

 

—

 

 

 

—

 

 

 

(120,635

)

Realized gain (loss) included in earnings

 

 

(704

)

 

 

(1,124

)

 

 

—

 

 

 

3,334

 

 

 

(25,446

)

 

 

—

 

 

 

—

 

 

 

(23,940

)

Change in unrealized gain (loss) included in earnings

 

 

(1,543

)

 

 

(994

)

 

 

(4,386

)

 

 

(3,803

)

 

 

14,060

 

 

 

(4,393

)

 

 

—

 

 

 

(1,059

)

Balance, December 31, 2023

 

$

289,295

 

 

$

23,232

 

 

$

1,225

 

 

$

20,533

 

 

$

8,968

 

 

$

14,275

 

 

$

—

 

 

$

357,528

 

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

 

$

(6,242

)

 

$

(2,037

)

 

$

(4,388

)

 

$

(2,082

)

 

$

5,461

 

 

$

(4,392

)

 

$

—

 

 

$

(13,680

)

 

(1) Transfers out of Level III represent a transfer of $19.2 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were observable as of December 31, 2023.

(2) Transfers into Level III represent a transfer of $1.6 million relating to debt securities for which pricing inputs, other than their quoted prices in active markets were unobservable as of December 31, 2023.

 

As of December 31, 2023, the Company’s Level II portfolio investments were valued by a third-party pricing services for which the prices are not adjusted and for which inputs are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or by inputs that are derived principally from, or corroborated by, observable market information. The fair value of the Company’s Level II portfolio investments was $0.0 million and $65.3 million as of December 31, 2024 and December 31, 2023, respectively.

As of December 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)(1)

First Lien Debt

 

$

47,177

 

 

Enterprise Value

 

Average EBITDA Multiple

 

0.1x - 9.0x (4.7x)

 

 

 

 

 

 

 

Average Revenue Multiple

 

0.2x - 1.4x (1.1x)

 

 

 

214,658

 

 

Income Approach

 

Implied Discount Rate

 

7.3% - 37.8% (11.6%)

 

 

 

28,122

 

 

Market

 

Broker/Dealer Quotes

 

N/A

Second Lien Debt

 

 

20,980

 

 

Income Approach

 

Implied Discount Rate

 

8.2% - 19.5% (15.8%)

 

 

 

8,016

 

 

Market

 

Broker/Dealer Quotes

 

N/A

Subordinated Debt

 

 

528

 

 

Income Approach

 

Implied Discount Rate

 

15.4%

 

 

 

1,212

 

 

Enterprise Value

 

Recovery Percentage

 

19.4%

Equity

 

 

24,519

 

 

Enterprise Value

 

Average EBITDA Multiple

 

0.1x - 18.0x (6.2x)

 

 

 

 

 

 

 

Average Revenue Multiple

 

1.4x - 1.4x (0.0x)

 

 

 

 

 

 

 

Book value of equity (asset)

 

1.0x

 

 

 

 

 

 

 

Book Value Multiple

 

0.5x

 

 

 

 

 

 

 

Time Horizon

 

3.3 - 4.9 (3.7)

 

 

 

243

 

 

Income Approach

 

Implied Discount Rate

 

17.8%

Collateralized Loan Obligations

 

 

5,193

 

 

Discounted Cash Flow

 

Discount Rate

 

15.9% - 18.2% (9.6%)

 

 

 

 

 

 

 

Probability of Default

 

1.8% - 2.5% (2.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0% - 75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment Rate

 

15.0% - 25.0% (20.0%)

Joint Ventures

 

 

13,015

 

 

Discounted Cash Flow

 

Discount Rate

 

18.1% - 19.7% (18.9%)

 

 

 

 

 

 

 

Probability of Default

 

2.8% - 3.3% (3.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0% - 75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment Rate

 

15.0% - 25.0% (20.0%)

Derivatives

 

 

220

 

 

Enterprise Value

 

Average EBITDA Multiple

 

14.5x - 14.5x (0.0x)

 

 

 

 

 

 

 

Average Revenue Multiple

 

1.4x - 1.4x (0.0x)

 

 

 

 

 

 

 

Book Value Multiple

 

0.5x

 

 

 

 

 

 

 

Discount Rate

 

40.0%

Total Level III Investments

 

$

363,883

 

 

 

 

 

 

 

 

 

(1) The weighted averages disclosed in the table above were weighted by their relative fair value.

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)(1)

First Lien Debt

 

$

8,846

 

 

Enterprise Value

 

Average EBITDA Multiple

 

0.4x - 0.4x (0.1x)

 

 

 

 

 

 

 

Expected Sale Proceeds

 

97.6x

 

 

 

275,179

 

 

Income Approach

 

Implied Discount Rate

 

5.3% - 40.7% (12.4%)

 

 

 

5,270

 

 

Recent Transaction

 

Implied Discount Rate

 

13.8% - 14.2% (14.0%)

Second Lien Debt

 

 

300

 

 

Enterprise Value

 

Implied Discount Rate

 

9.5x - 9.5x (9.5x)

 

 

 

22,932

 

 

Income approach

 

Implied Discount Rate

 

13.8% - 14.2% (14.0%)

Subordinated Debt

 

 

1,225

 

 

Enterprise Value

 

Average Settlement Value

 

61.0x - 61.0x (61.0x)

 

 

 

 

 

 

 

Recovery Rate Multiple

 

0.1x - 0.1x (0.1x)

Collateralized Loan Obligations

 

 

8,968

 

 

Discounted Cash Flow

 

Discount Rate

 

18.4% - 25.2% (21.1%)

 

 

 

 

 

 

 

Probability of Default

 

1.8% - 2.5% (2.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0% - 75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment Rate

 

15.0% - 25.0% (20.0%)

Joint Ventures

 

 

14,275

 

 

Discounted Cash Flow

 

Discount Rate

 

20.5% - 22.1% (21.3%)

 

 

 

 

 

 

 

Probability of Default

 

2.8% - 3.3% (3.0%)

 

 

 

 

 

 

 

Recovery Rate

 

65.0% - 75.0% (70.0%)

 

 

 

 

 

 

 

Prepayment Rate

 

15.0% - 25.0% (20.0%)

Equity

 

 

19,805

 

 

Enterprise Value

 

Average EBITDA Multiple

 

5.0x - 18.0x (6.9x)

 

 

 

 

 

 

 

Average EBITDA Multiple / WACC

 

0.4x - 3.7x (1.1x)

 

 

 

 

 

 

 

Book Value of Equity

 

1.0x - 1.6x (1.6x)

 

 

 

57

 

 

Income Approach

 

Implied Discount Rate

 

15.0% - 15.0% (15.0%)

 

 

 

671

 

 

Recent Transaction

 

Implied Discount Rate

 

12.4% - 12.4% (12.4%)

Derivatives

 

 

—

 

 

Enterprise Value

 

Average EBITDA Multiple

 

2.5x - 2.5x (2.5x)

Total Level III Investments

 

$

357,528

 

 

 

 

 

 

 

 

 

(1) The weighted averages disclosed in the table above were weighted by their relative fair value.

The significant unobservable inputs used in the fair value measurement of the Company’s debt securities may include, among other things, broad market indices, the comparable yields of similar investments in similar industries, effective discount rates, average EBITDA multiples, and weighted average cost of capital. Significant increases or decreases in such comparable yields would result in a significantly lower or higher fair value measurement, respectively.

The significant unobservable inputs used in the fair value measurement of the Company’s equity securities include the EBITDA multiple of similar investments in similar industries and the weighted average cost of capital. Significant increases or decreases in such inputs would result in a significantly lower or higher fair value measurement.

Significant unobservable inputs used in the fair value measurement of the Company’s CLO Fund Securities include default rates, recovery rates, prepayment rates, spreads, and the discount rate by which to value the resulting underlying cash flows. Such assumptions can vary significantly, depending on market data sources which often vary in depth and level of analysis, understanding of the CLO market, detailed or broad characterization of the CLO market and the application of such data to an appropriate framework for analysis. The application of data points are based on the specific attributes of each individual CLO Fund Security’s underlying assets, historic, current and prospective performance, vintage, and other quantitative and qualitative factors that would be evaluated by market participants. The Company evaluates the source of market data for reliability as an indicative market input, consistency amongst other inputs and results and also the context in which such data is presented. Significant increases or decreases in probability of default and loss severity inputs in isolation would result in a significantly lower or higher fair value measurement, respectively. In general, a change in the assumption of the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity in an event of default. Significant increases or decreases in the discount rate in isolation would result in a significantly lower or higher fair value measurement.

The Company’s investment in the F3C Joint Venture is carried at fair value based upon the fair value of the investments held by the F3C Joint Venture.

The Company values derivative contracts using various pricing models that take into account the terms of the contract (including notional amount and contract maturity) and observable and unobservable inputs such as interest rates and changes in fair value of the reference asset.

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

($ in thousands)

 

December 31, 2024

 

Types of contracts

 

Notional amounts

 

 

Derivative assets (liabilities)

 

 

Realized gain(loss)

 

 

Unrealized gain(loss)

 

Call option(1)

 

$

8

 

 

$

220

 

 

$

—

 

 

$

220

 

Put option(1)

 

 

1,563

 

 

 

—

 

 

 

—

 

 

 

-

 

Total

 

$

1,571

 

 

$

220

 

 

$

—

 

 

$

220

 

 

 

(1) Net amount included in non-controlled/non-affiliated investments on the consolidated statements of assets and liabilities.

 

($ 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 statements of assets and liabilities.