The Company predominately invests in senior secured private debt investments in well-established middle-market businesses that operate across a wide range of industries, as well as syndicated senior secured loans, structured products, bonds and other fixed income securities. Structured products include collateralized loan obligations and asset-backed securities. The Adviser’s existing SEC co-investment exemptive relief under the 1940 Act permits the Company and the Adviser’s affiliated private funds and SEC regulated funds to co-invest in loans originated by the Adviser, which allows the Adviser to efficiently implement its senior secured private debt investment strategy for the Company.


($ in thousands)	Cost		Percentage of Total Portfolio		Fair Value		Percentage of Total Portfolio		Percentage of Total Net Assets
March 31, 2024:
Senior debt and 1st lien notes	$	996,015	73	%	$	982,334	72	%	147	%
Subordinated debt and 2nd lien notes	108,605		8		107,913		8		16
Structured products	28,657		2		27,744		2		4
Equity shares	176,427		13		207,185		15		31
Equity warrants	33		—		1,147		—		—
Investments in joint ventures	50,132		4		36,725		3		5

	$	1,359,869	100	%	$	1,363,048	100	%	203	%


($ in thousands)	Cost		Percentage of Total Portfolio		Fair Value		Percentage of Total Portfolio		Percentage of Total Net Assets
December 31, 2023:
Senior debt and 1st lien notes	$	1,000,294	74	%	$	985,158	73	%	151	%
Subordinated debt and 2nd lien notes	108,487		8		106,894		8		16
Structured products	29,479		2		26,173		2		4
Equity shares	162,731		12		192,641		14		30
Equity warrants	2		—		1,043		—		—
Investments in joint ventures	51,123		4		37,212		3		6

	$	1,352,116	100	%	$	1,349,121	100	%	207	%


($ in thousands)	March 31, 2024		Percent of Portfolio		Percent of Total Net Assets		December 31, 2023		Percent of Portfolio		Percent of Total Net Assets
Aerospace and Defense	$	84,035	6.2	%	12.5	%	$	81,217	6.0	%	12.5	%
Automotive	18,403		1.3		2.8		16,830		1.2		2.6
Banking, Finance, Insurance and Real Estate	224,287		16.5		33.5		227,415		16.9		34.9
Beverage, Food and Tobacco	33,057		2.4		4.9		24,197		1.8		3.7
Capital Equipment	46,833		3.4		7.0		46,500		3.5		7.1
Chemicals, Plastics, and Rubber	29,105		2.1		4.4		25,679		1.9		3.9
Construction and Building	10,719		0.8		1.6		10,070		0.7		1.6
Consumer Goods: Durable	25,526		1.9		3.8		25,563		1.9		3.9
Consumer Goods: Non-durable	14,343		1.1		2.1		9,987		0.7		1.5
Containers, Packaging and Glass	22,927		1.7		3.4		23,032		1.7		3.5

Energy: Electricity	6,297		0.5		1.0		6,676		0.5		1.0
Energy: Oil and Gas	2,669		0.2		0.4		2,670		0.2		0.4
Environmental Industries	29,225		2.1		4.4		30,266		2.2		4.7
Healthcare and Pharmaceuticals	124,015		9.1		18.5		130,845		9.7		20.1
High Tech Industries	137,613		10.1		20.5		141,704		10.5		21.7
Hotel, Gaming and Leisure	21,572		1.6		3.2		19,595		1.5		3.0
Investment Funds and Vehicles	36,725		2.7		5.5		37,212		2.8		5.7
Media: Advertising, Printing and Publishing	32,578		2.4		4.9		32,570		2.4		5.0
Media: Broadcasting and Subscription	8,706		0.6		1.3		8,867		0.7		1.4
Media: Diversified and Production	46,497		3.4		6.9		45,924		3.4		7.1


Services: Business	216,121		15.9		32.3		201,007		14.9		30.8
Services: Consumer	69,268		5.1		10.3		69,643		5.2		10.7
Structured Products	33,667		2.5		5.0		32,763		2.4		5.0
Telecommunications	18,276		1.3		2.7		18,341		1.4		2.8
Transportation: Cargo	58,929		4.3		8.8		68,703		5.1		10.5
Transportation: Consumer	2,000		0.1		0.3		1,900		0.1		0.3
Utilities: Electric	9,655		0.7		1.4		9,945		0.7		1.5


Total	$	1,363,048	100.0	%	203.4	%	$	1,349,121	100.0	%	206.9	%

On February 18, 2021, the Company established a joint venture, Banff Partners LP (“Banff”), with a controlled affiliate of Alberta Investment Management Corporation to invest in senior secured, middle-market, private debt investments, syndicated senior secured loans and structured product investments. During the three months ended March 31, 2024, the Company held a 10.0% partnership interest in Banff. As of March 31, 2024, the cost and fair value of the Company’s investment in Banff was $14.6 million and $16.6 million, respectively. As of December 31, 2023, the cost and fair value of the Company's investment in Banff was $14.6 million and $16.2 million, respectively.


($ in thousands)	March 31, 2024				December 31, 2023
Aerospace and Defense	$	15,105	10.5	%	$	15,125	10.3	%

Banking, Finance, Insurance and Real Estate	16,190		11.3		16,325		11.2
Beverage, Food and Tobacco	7,577		5.3		7,531		5.1

Chemicals, Plastics, and Rubber	1,937		1.3		1,269		0.9
Construction and Building	1,450		1.0		1,364		0.9
Consumer Goods: Durable	1,731		1.2		1,725		1.2
Consumer Goods: Non-durable	6,026		4.2		6,205		4.2
Containers, Packaging and Glass	6,459		4.5		6,607		4.5




Healthcare and Pharmaceuticals	16,635		11.6		17,205		11.8
High Tech Industries	20,898		14.5		20,942		14.3


Media: Advertising, Printing and Publishing	1,955		1.4		1,957		1.3

Media: Diversified and Production	4,274		3.0		4,306		2.9


Services: Business	21,536		15.0		21,900		15.0
Services: Consumer	12,291		8.5		12,509		8.5

Telecommunications	3,213		2.2		3,243		2.2
Transportation: Cargo	6,420		4.5		8,264		5.7




Total	$	143,697	100	%	$	146,477	100	%


($ in thousands)	March 31, 2024				December 31, 2023
Australia	$	4,360	3.0	%	$	4,449	3.0	%
Belgium	7,577		5.3		7,531		5.1
Canada	1,847		1.3		2,221		1.5
France	27,948		19.4		28,669		19.6
Germany	7,120		5.0		7,277		5.0
Hong Kong	6,179		4.3		6,033		4.1
Netherlands	9,182		6.4		9,193		6.3
New Zealand	2,462		1.7		2,596		1.8
Singapore	3,989		2.8		3,984		2.7
United Kingdom	20,282		14.1		20,401		13.9
USA	52,751		36.7		54,123		37.0
Total	$	143,697	100.0	%	$	146,477	100	%

The Company may sell portions of its investments via assignment to Banff. Since inception, as of both March 31, 2024 and December 31, 2023, the Company had sold $187.9 million of its investments to Banff. As of both March 31, 2024 and December 31, 2023, the Company did not have any unsettled receivables due from Banff. The sale of the investments met the criteria set forth in ASC 860, Transfers and Servicing, for treatment as a sale and satisfies the following conditions:

The Company has determined that Banff is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Banff as it is not a substantially wholly owned investment company subsidiary. In addition, Banff is not an operating company and the Company does not control Banff due to the allocation of voting rights among Banff members.

On April 28, 2020, Thompson Rivers LLC (“Thompson Rivers”) was formed as a Delaware limited liability company. Under Thompson Rivers’ current operating agreement, as amended to date, pursuant to which the Company became a party in June 2021, the Company has a capital commitment of $30.0 million of equity capital to Thompson Rivers, all of which has been funded as of March 31, 2024. As of March 31, 2024, aggregate commitments to Thompson Rivers by the Company and the other members under the current operating agreement total $450.0 million, all of which has been funded.

For the three months ended March 31, 2024 and 2023, Thompson Rivers declared $15.0 million and $57.0 million in dividends, respectively, of which nil was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. In addition, for the three months ended March 31, 2024 and 2023, the Company recognized $1.0 million and $3.8 million, respectively, of the dividends as a return of capital.

As of March 31, 2024, Thompson Rivers had $307.7 million in Ginnie Mae early buyout loans and $7.7 million in cash. As of December 31, 2023, Thompson Rivers had $366.7 million in Ginnie Mae early buyout loans and $7.1 million in cash. As of March 31, 2024, Thompson Rivers had 1,974 outstanding loans with an average unpaid balance of $0.2 million and weighted average coupon of 4.0%. As of December 31, 2023, Thompson Rivers had 2,305 outstanding loans with an average unpaid balance of $0.2 million and weighted average coupon of 4.0%.


($ in thousands)	Cost		Percentage of Total Portfolio		Fair Value		Percentage of Total Portfolio
March 31, 2024:
Federal Housing Administration (“FHA”) loans	$	306,491	93	%	$	287,390	93	%
Veterans Affairs (“VA”) loans	21,604		7		20,295		7
	$	328,095	100	%	$	307,685	100	%
December 31, 2023:
Federal Housing Administration (“FHA”) loans	$	360,847	93		$	342,240	93
Veterans Affairs (“VA”) loans	25,810		7		24,491		7
	$	386,657	100	%	$	366,731	100	%

Thompson Rivers’ repurchase agreement with JPMorgan Chase Bank, which is non-recourse to the Company, had approximately $70.2 million and $83.5 million outstanding as of March 31, 2024 and December 31, 2023, respectively. Thompson Rivers’ repurchase agreement with Bank of America N.A., which is non-recourse to the Company, had approximately $144.1 million and $170.8 million outstanding as of March 31, 2024 and December 31, 2023, respectively. Thompson Rivers’ repurchase agreement with Barclays Bank, which is non-recourse to the Company, had approximately $45.1 million and $50.0 million outstanding as of March 31, 2024 and December 31, 2023, respectively.

The Company has determined that Thompson Rivers is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Thompson Rivers as it is not a substantially wholly owned investment company subsidiary. In addition, Thompson Rivers is not an operating company and the Company does not control Thompson Rivers due to the allocation of voting rights among Thompson Rivers members.

On January 4, 2021, Waccamaw River LLC (“Waccamaw River”) was formed as a Delaware limited liability company. Under Waccamaw River’s current operating agreement, as amended to date, pursuant to which the Company became a party in May 2021, the Company has a capital commitment of $25.0 million of equity capital to Waccamaw River, all of which has been funded (including approximately $1.7 million of recallable return of capital) as of March 31, 2024. As of March 31, 2024, aggregate commitments to Waccamaw River by the Company and the other members under the current operating agreement totaled $125.0 million, all of which has been funded (including $14.0 million of recallable return of capital).

As of March 31, 2024, Waccamaw River had $154.9 million in unsecured consumer loans and $7.2 million in cash. As of December 31, 2023, Waccamaw River had $182.3 million in unsecured consumer loans and $6.6 million in cash. As of March 31, 2024, Waccamaw River had 19,291 outstanding loans with an average loan size of $9,764, remaining average life to maturity of 38.2 months and weighted average interest rate of 12.8%. As of December 31, 2023, Waccamaw River had 21,435 outstanding loans with an average loan size of $10,338, remaining average life to maturity of 40.0 months and weighted average interest rate of 12.7%.

Waccamaw River’s secured loan borrowing with JPMorgan Chase Bank, N.A., which is non-recourse to the Company, had approximately $55.9 million and $71.0 million outstanding as of March 31, 2024 and December 31, 2023, respectively. Waccamaw River’s secured loan borrowing with Barclays Bank PLC, which is non-recourse to the Company, had approximately $38.0 million and $51.3 million outstanding as of March 31, 2024 and December 31, 2023, respectively.

The Company has determined that Waccamaw River is an investment company under ASC Topic 946, Financial Services - Investment Companies, however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a substantially wholly owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its interest in Waccamaw River as it is not a substantially wholly owned investment company subsidiary. In addition, Waccamaw River is not an operating company and the Company does not control Waccamaw River due to the allocation of voting rights among Waccamaw River members.

As of March 31, 2024 and December 31, 2023, Waccamaw River had the following contributed capital and unfunded commitments from its members:


($ in thousands)	As of March 31, 2024		As of December 31, 2023
Total contributed capital by Barings Capital Investment Corporation	$	26,730	$	26,730
Total contributed capital by all members (1)	$	139,020	$	139,020




Total unfunded commitments by Barings Capital Investment Corporation	$	—	$	—
Total unfunded commitments by all members	$	—	$	—

(1) Includes $85.6 million of total contributed capital by related parties as of both March 31, 2024 and December 31, 2023.

On July 8, 2021, the Company made an equity investment in Eclipse Business Capital Holdings LLC (“Eclipse”) of $44.4 million, a second lien senior secured loan of $2.2 million and unfunded revolver of $6.7 million, alongside other related party affiliates. On August 12, 2022, the Company increased the unfunded revolver to $11.2 million. As of March 31, 2024 and December 31, 2023, $2.9 million and $2.7 million, respectively, of the revolver was funded. Eclipse conducts its business through Eclipse Business Capital LLC. Eclipse is one of the country’s leading independent asset-based lending (“ABL”) platforms that provides financing to middle-market borrowers in the U.S. and Canada. Eclipse provides revolving lines of credit and term loans ranging in size from $10 – $125 million that are secured by collateral such as accounts receivable, inventory, equipment, or real estate. Eclipse lends to both privately-owned and publicly-traded companies across a range of industries, including manufacturing, retail, automotive, oil & gas, services, distribution, and consumer products. The addition of Eclipse to the portfolio allows the Company to participate in an asset class and commercial finance operations that offer differentiated income returns as compared to directly originated loans. Eclipse is led by a seasoned team of ABL experts.

The Company has determined that Eclipse is not an investment company under ASC Topic 946, Financial Services - Investment Companies. Under ASC 810-10-15-12(d), an investment company generally does not consolidate an investee that is not an investment company other than a controlled operating company whose business consists of providing services to the company. Thus, the Company is not required to consolidate Eclipse because it does not provide services to the Company. Instead the Company accounts for its equity investment in Eclipse in accordance with ASC 946-320, presented as a single investment measured at fair value.

On February 1, 2023, the Company made an equity investment in Rocade Holdings LLC (“Rocade”) of $45.0 million, alongside other related party affiliates and made additional investments thereafter during the fiscal year ended December 31, 2023 of $5.5 million. The total equity invested in Rocade as of March 31, 2024 was $50.5 million (excluding preferred dividends) and the Company had $4.5 million of unfunded preferred equity commitments. Rocade conducts its business through Rocade LLC and operates as Rocade Capital. Rocade is one of the country’s leading litigation finance platforms that specializes in providing financing to plaintiff law firms engaged in mass tort and other civil litigation. Rocade typically provides loans to law firms that are secured by the borrowing firm’s interests in award settlements, including contingency fees expected to be earned from successful litigation. The loans generally bear floating rate PIK interest with an overall expected annualized return between 10% and 25% and collect debt service upon receipt of settlement awards and/or contingency fees. The addition of Rocade to the portfolio allows the Company to participate in an uncorrelated asset class that offer differentiated income returns as compared to directly originated loans. Rocade is led by a seasoned team of litigation finance experts.

The Company has determined that Rocade is not an investment company under ASC Topic 946, Financial Services - Investment Companies. Under ASC 810-10-15-12(d), an investment company generally does not consolidate an investee that is not an investment company other than a controlled operating company whose business consists of providing services to the company. Thus, the Company is not required to consolidate Rocade because it does not provide services to the Company. Instead the Company accounts for its equity investment in Rocade in accordance with ASC 946-320, presented as a single investment measured at fair value.

The Adviser conducts the valuation of the Company’s investments, upon which the Company’s net asset value (“NAV”) is primarily based, in accordance with its valuation policy, as well as established and documented processes and methodologies for determining the fair values of portfolio company investments on a recurring (at least quarterly) basis in accordance with the 1940 Act and FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC Topic 820”). The Company’s current valuation policy and processes were established by the Adviser and were approved by the Board.

Under ASC Topic 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between a willing buyer and a willing seller at the measurement date. For the Company’s portfolio securities, fair value is generally the amount that the Company might reasonably expect to receive upon the current sale of the security. The fair value measurement assumes that the sale occurs in the principal market for the security, or in the absence of a principal market, in the most advantageous market for the security. If no market for the security exists or if the Company does not have access to the principal market, the security should be valued based on the sale occurring in a hypothetical market.

A financial instrument is categorized within the ASC Topic 820 valuation hierarchy based upon the lowest level of input to the valuation process that is significant to the fair value measurement. For example, a Level 3 fair value measurement may include inputs that are observable (Levels 1 and 2) and unobservable (Level 3). Therefore, unrealized appreciation and depreciation related to such investments categorized as Level 3 investments within the tables below may include changes in fair value that are attributable to both observable inputs (Levels 1 and 2) and unobservable inputs (Level 3).

The Company’s investment portfolio includes certain debt and equity instruments of privately held companies for which quoted prices or other observable inputs falling within the categories of Level 1 and Level 2 are generally not available. In such cases, the Adviser determines the fair value of the Company’s investments in good faith primarily using Level 3 inputs. In certain cases, quoted prices or other observable inputs exist, and if so, the Adviser assesses the appropriateness of the use of these third-party quotes in determining fair value based on (i) its understanding of the level of actual transactions used by the broker to develop the quote and whether the quote was an indicative price or binding offer and (ii) the depth and consistency of broker quotes and the correlation of changes in broker quotes with the underlying performance of the portfolio company.

There is no single approach for determining fair value in good faith, as fair value depends upon the specific circumstances of each individual investment. The recorded fair values of the Company’s Level 3 investments may differ significantly from fair values that would have been used had an active market for the securities existed. In addition, changes in the market environment and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently assigned.

The Board must determine fair value in good faith for any or all Company investments for which market quotations are not readily available. The Board has designated the Adviser as valuation designee to perform the fair value determinations relating to the value of the assets held by the Company for which market quotations are not readily available. The Adviser has established a pricing committee that is, subject to the oversight of the Board, responsible for the approval, implementation and oversight of the processes and methodologies that relate to the pricing and valuation of assets held by the Company. The Adviser uses independent third-party providers to price the portfolio, but in the event an acceptable price cannot be obtained from an approved external source, the Adviser will utilize alternative methods in accordance with internal pricing procedures established by the Adviser’s pricing committee.

At least annually, the Adviser conducts reviews of the primary pricing vendors to validate that the inputs used in the vendors’ pricing process are deemed to be market observable. While the Adviser is not provided access to proprietary models of the vendors, the reviews have included on-site walkthroughs of the pricing process, methodologies and control procedures for each asset class and level for which prices are provided. The review also includes an examination of the underlying inputs and assumptions for a sample of individual securities across asset classes, credit rating levels and various durations, a process the Adviser continues to perform annually. In addition, the pricing vendors have an established challenge process in place for all security valuations, which facilitates identification and resolution of prices that fall outside expected ranges. The Adviser believes that the prices received from the pricing vendors are representative of prices that would be received to sell the assets at the measurement date (i.e., exit prices).

The Company’s money market fund investments are generally valued using Level 1 inputs and its equity investments listed on an exchange or on the NASDAQ National Market System are valued using Level 1 inputs, using the last quoted sale price of that day. The Company’s syndicated senior secured loans and structured product investments are generally valued using Level 2 inputs, which are generally valued at the bid quotation obtained from dealers in loans by an independent pricing service. The Company’s middle-market, private debt and equity investments are generally valued using Level 3 inputs.

The fair value of loans and equity investments that are not syndicated or for which market quotations are not readily available, including middle-market loans, are generally submitted to independent providers to perform an independent valuation on those loans and equity investments as of the end of each quarter. Such loans and equity investments are initially held at cost, as that is a reasonable approximation of fair value on the acquisition date, and monitored for material changes that could affect the valuation (for example, changes in interest rates or the credit quality of the borrower). At the quarter end following that of the initial acquisition, such loans and equity investments are generally sent to a valuation provider which will determine the fair value of each investment. The independent valuation providers apply various methods (synthetic rating analysis, discounting cash flows, and re-underwriting analysis) to establish the rate of return a market participant would require (the “discount rate”) as of the valuation date, given market conditions, prevailing lending standards and the perceived credit quality of the issuer. Future expected cash flows for each investment are discounted back to present value using these discount rates in the discounted cash flow analysis. A range of values will be provided by the valuation provider and the Adviser will determine the point within that range that it will use. If the Adviser’s pricing committee disagrees with the price range provided, it may make a fair value recommendation to the Adviser that is outside of the range provided by the independent valuation provider and the reasons therefore. In certain instances, the Company may determine that it is not cost-effective, and as a result is not in the stockholders’ best interests, to request an independent valuation firm to perform an independent valuation on certain investments. Such instances include, but are not limited to, situations where the fair value of the investment in the portfolio company is determined to be insignificant relative to the total investment portfolio.

The Adviser’s valuation techniques are based upon both observable and unobservable pricing inputs. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Adviser’s market assumptions. The Adviser’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. An independent pricing service provider is the preferred source of pricing a loan, however, to the extent the independent pricing service provider price is unavailable or not relevant and reliable,

the Adviser will utilize alternative approaches such as broker quotes or manual prices. The Adviser attempts to maximize the use of observable inputs and minimize the use of unobservable inputs. The availability of observable inputs can vary from investment to investment and is affected by a wide variety of factors, including the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the security.

March 31, 2024

($ in thousands)(3)

Fair Value

Valuation
Model

Level 3
Input

Range of
Inputs

Weighted
Average

Impact to Valuation from an Increase in Input

Senior debt and 1st lien notes(1)

844,660

Yield Analysis

Market Yield

6.1% – 27.0%

10.9%

Decrease

10,163

Market Approach

Adjusted EBITDA Multiple

1.2x – 12.5x

9.3x

Increase

79,471

Recent Transaction

Transaction Price

95.6% – 100.0%

98.0%

Increase

Subordinated debt and 2nd lien notes(2)

87,205

Yield Analysis

Market Yield

9.0% – 17.7%

12.7%

Decrease

10,166

Market Approach

Adjusted EBITDA Multiple

6.0x – 11.0x

8.5x

Increase

1,875

Recent Transaction

Transaction Price

100.0%

Increase

Equity shares(4)

16,103

Yield Analysis

Market Yield

10.5% – 14.2%

13.0%

Decrease

162,274

Market Approach

Adjusted EBITDA Multiple

5.5x – 27.5x

11.1x

Increase

1,353

Market Approach

Revenue Multiple

6.0x – 9.3x

6.5x

Increase

8,027

Discounted Cash Flow Analysis

Discount Rate

14.5%

Decrease

2,357

Net Asset Approach

Liabilities

$(64,894.6)

Decrease

749

Recent Transaction

Transaction Price

$0.00 – $1,037.50

$438.67

Increase

Equity Warrants

1,102

Market Approach

Adjusted EBITDA Multiple

6.3x – 12.5x

7.7x

Increase

During the three months ended March 31, 2024, one equity position with a fair value of $7.1 million transitioned from a market approach to a yield analysis valuation model. In addition, one senior debt and first lien note position with a fair value of $2.7 million transitioned from a yield analysis to a market approach valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company.

December 31, 2023

($ in thousands)(3)

Fair Value

Valuation
Model

Level 3
Input

Range of
Inputs

Weighted
Average

Impact to Valuation from an Increase in Input

Senior debt and 1st lien notes(1)

844,635

Yield Analysis

Market Yield

7.8% – 19.6%

11.2%

Decrease

7,247

Market Approach

Adjusted EBITDA Multiple

1.1x – 12.5x

3.5x

Increase

84,483

Recent Transaction

Transaction Price

97.0% – 100.0%

97.9%

Increase

Subordinated debt and 2nd lien notes(2)

85,803

Yield Analysis

Market Yield

8.5% – 18.9%

13.1%

Decrease

4,986

Market Approach

Adjusted EBITDA Multiple

11.0x

Increase

670

Recent Transaction

Transaction Price

98.0%

Increase

Equity shares(4)

8,788

Yield Analysis

Market Yield

14.6%

Decrease

162,996

Market Approach

Adjusted EBITDA Multiple

4.8x – 30.0x

11.2x

Increase

1,390

Market Approach

Revenue Multiple

6.5x – 9.5x

6.8x

Increase

6,080

Discounted Cash Flow Analysis

Discount Rate

14.2%

Decrease

2,131

Net Asset Approach

Liabilities

$(55,281.8)

Decrease

5,203

Recent Transaction

Transaction Price

$1.00 – $10.00

$9.64

Increase

Equity Warrants

1,043

Market Approach

Adjusted EBITDA Multiple

6.3x – 12.5x

7.5x

Increase

During the year ended December 31, 2023, one equity position with a fair value of $2.6 million and four senior debt and first lien note positions with a fair value of $7.1 million transitioned from a yield analysis to a market approach valuation model. In addition, one structured product position with a fair value of $6.5 million transitioned from a discounted cash flow analysis to a broker quote valuation model. The changes in approach were driven by considerations given to the financial performance of each portfolio company.


	Fair Value as of March 31, 2024
($ in thousands)	Level 1		Level 2		Level 3		Total
Senior debt and 1st lien notes	$	—	$	36,184	$	946,150	$	982,334
Subordinated debt and 2nd lien notes	—		2,846		105,067		107,913
Structured products	—		11,943		15,801		27,744
Equity shares	9,936		3,716		193,533		207,185
Equity warrants	45		—		1,102		1,147

Investments subject to leveling	$	9,981	$	54,689	$	1,261,653	$	1,326,323
Investments in joint ventures (1)							36,725
							$	1,363,048


	Fair Value as of December 31, 2023
($ in thousands)	Level 1		Level 2		Level 3		Total
Senior debt and 1st lien notes	$	—	$	36,079	$	949,079	$	985,158
Subordinated debt and 2nd lien notes	—		10,043		96,851		106,894
Structured products	—		11,258		14,915		26,173
Equity shares	78		—		192,563		192,641
Equity warrants	—		—		1,043		1,043

Investments subject to leveling	$	78	$	57,380	$	1,254,451	$	1,311,909
Investment in joint ventures (1)							$	37,212
							$	1,349,121


Three Months Ended March 31, 2024: ($ in thousands)	Senior Debt and 1st Lien Notes		Subordinated Debt and 2nd Lien Notes		Structured Products		Equity Shares		Equity Warrants		Total
Fair value, beginning of period	$	949,079	$	96,851	$	14,915	$	192,563	$	1,043	$	1,254,451
New investments	36,126		12,535		—		2,599		—		51,260
Investment restructuring	(13,015)		—		—		—		—		(13,015)
Transfers into (out of) Level 3, net	—		—		—		(3,305)		—		(3,305)
Proceeds from sales of investments	(129)		—		—		—		—		(129)
Loan origination fees received	(545)		(281)		—		—		—		(826)
Principal repayments received	(24,253)		(5,480)		(799)		—		—		(30,532)
Payment-in-kind interest/dividends	386		692		—		1,559		—		2,637
Accretion of loan premium/discount	95		27		—		—		—		122
Accretion of deferred loan origination revenue	1,205		82		—		—		—		1,287
Realized gain (loss)	(4,217)		—		—		—		—		(4,217)
Unrealized appreciation (depreciation)	1,418		641		1,685		117		59		3,920
Fair value, end of period	$	946,150	$	105,067	$	15,801	$	193,533	$	1,102	$	1,261,653


Three Months Ended March 31, 2023: ($ in thousands)	Senior Debt and 1st Lien Notes		Subordinated Debt and 2nd Lien Notes		Structured Products		Equity Shares		Equity Warrants		Total
Fair value, beginning of period	$	872,193	$	97,805	$	14,210	$	112,878	$	476	$	1,097,562
New investments	54,252		683		—		45,971		—		100,906
Transfers into (out of) Level 3, net	—		—		1,767		—		—		1,767
Proceeds from sales of investments	—		—		—		—		—		—
Loan origination fees received	(1,495)		(20)		—		—		—		(1,515)
Principal repayments received	(13,531)		(449)		(806)		—		—		(14,786)
Payment-in-kind interest/dividends	583		826		—		—		—		1,409
Accretion of loan premium/discount	95		33		—		—		—		128
Accretion of deferred loan origination revenue	1,028		70		—		—		—		1,098
Realized gain (loss)	(224)		—		—		—		—		(224)
Unrealized appreciation (depreciation)	3,174		1,313		379		4,863		15		9,744
Fair value, end of period	$	916,075	$	100,261	$	15,550	$	163,712	$	491	$	1,196,089

All realized gains and losses and unrealized appreciation and depreciation are included in earnings (changes in net assets) and are reported on separate line items within the Company’s Unaudited Consolidated Statements of Operations. Pre-tax net unrealized depreciation on Level 3 investments of $0.6 million during the three months ended March 31, 2024 was related to portfolio company investments that were still held by the Company as of March 31, 2024. Pre-tax net unrealized appreciation on Level 3 investments of $9.5 million during the three months ended March 31, 2023 was related to portfolio company investments that were still held by the Company as of March 31, 2023.

Investment transactions are recorded based on the trade date of the transaction. As a result, unsettled purchases and sales are recorded as payables and receivables from unsettled transactions, respectively. While purchase and sales of the Company’s syndicated senior secured loans generally settle on a T+7 basis, the settlement period will sometimes extend past the scheduled settlement. In such cases, the Company is contractually owed and recognizes interest income equal to the applicable margin (“spread”) beginning on the T+7 date. Such income is accrued as interest receivable and is collected upon settlement of the investment transaction.

In accordance with the provisions of the 1940 Act, the Company classifies investments by level of control. As defined in the 1940 Act, “Control Investments” are investments in those companies that the Company is deemed to “Control.” “Affiliate Investments” are investments in those companies that are “Affiliated Persons” of the Company, as defined in the 1940 Act, other than Control Investments. “Non-Control / Non-Affiliate Investments” are those that are neither Control Investments nor Affiliate Investments. Generally, under the 1940 Act, the Company is deemed to control a company in which it has invested if the Company owns more than 25.0% of the voting securities (i.e., securities with the right to elect directors) and/or has the power to exercise control over the management or policies of such portfolio company. As of March 31, 2024, the Company does not “Control” any of its portfolio companies for the purposes of the 1940 Act. Under the 1940 Act, the Company is deemed to be an Affiliated Person of a company in which the Company has invested if it owns at least 5.0%, but no more than 25.0%, of the outstanding voting securities of such company.

Interest income, including amortization of premium and accretion of discount, is recorded on the accrual basis to the extent that such amounts are expected to be collected. Generally, when interest and/or principal payments on a loan become past due, or if the Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company will place the loan on non-accrual status and will generally cease recognizing interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to a restructuring such that the interest income is deemed to be collectible. The Company writes off any previously accrued and uncollected interest when it is determined that interest is no longer considered collectible. As of March 31, 2024 and December 31, 2023, the Company had three portfolio companies and one portfolio company, respectively, with investments that were on non-accrual.

The Company currently holds, and expects to hold in the future, some loans in its portfolio that contain PIK interest provisions. PIK interest, computed at the contractual rate specified in each loan agreement, is periodically added to the principal balance of the loan, rather than being paid to the Company in cash, and is recorded as interest income. Thus, the actual collection of PIK interest may be deferred until the time of debt principal repayment.

PIK interest, which is a non-cash source of income at the time of recognition, is included in the Company’s taxable income and therefore affects the amount the Company is required to distribute to its stockholders to maintain its tax treatment as a RIC for federal income tax purposes, even though the Company has not yet collected the cash. Generally, when current cash interest and/or principal payments on a loan become past due, or if the Company otherwise does not expect the borrower to be able to service its debt and other obligations, the Company will place the loan on non-accrual status and will generally cease recognizing PIK interest income on that loan for financial reporting purposes until all principal and interest have been brought current through payment or due to a restructuring such that the interest income is deemed to be collectible. The Company writes off any accrued and uncollected PIK interest when it is determined that the PIK interest is no longer collectible.

Origination, facility, commitment, consent and other advance fees received in connection with loan agreements (“Loan Origination Fees”) are recorded as deferred income and recognized as investment income over the term of the loan. Upon prepayment of a loan, any unamortized Loan Origination Fees are recorded as investment income. In the general course of its business, the Company receives certain fees from portfolio companies, which are non-recurring in nature. Such fees include loan prepayment penalties, structuring fees, covenant waiver fees and loan amendment fees, and are recorded as investment income when earned.


	Three Months Ended		Three Months Ended
($ in thousands)	March 31, 2024		March 31, 2023
Recurring Fee Income:
Amortization of loan origination fees	$	996	$	928
Management, valuation and other fees	229		336
Total Recurring Fee Income	1,225		1,264
Non-Recurring Fee Income:

Acceleration of unamortized loan origination fees	297		201
Advisory, loan amendment and other fees	74		221
Total Non-Recurring Fee Income	371		422
Total Fee Income	$	1,596	$	1,686

As of both March 31, 2024 and December 31, 2023, there were no individual investments representing greater than 10% of the fair value of the Company’s portfolio. As of March 31, 2024 and December 31, 2023, the Company’s largest single portfolio company investment represented approximately 5.6% and 5.7%, respectively, of the fair value of the Company’s portfolio. Income, consisting of interest, dividends, fees, other investment income and realization of gains or losses on equity interests, can fluctuate dramatically upon repayment of an investment or sale of an equity interest and in any given year can be highly concentrated among several portfolio companies.

As of March 31, 2024 the Company held 12 investments that were denominated in Australian dollars, two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian kroner, 60 investments that were denominated in Euros, two investments that were denominated in Swiss francs, one investment that was denominated in Swedish kronor and 23 investments that were denominated in British pounds sterling. As of December 31, 2023, the Company held 12 investments that were denominated in Australian dollars, two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian kroner, 58 investments that were denominated in Euros, two investments that were denominated in Swiss francs, one investment that was denominated Swedish kronor and 23 investments that were denominated in British pounds sterling.

At each balance sheet date, portfolio company investments denominated in foreign currencies are translated into United States dollars using the spot exchange rate on the last business day of the period. Purchases and sales of foreign portfolio company investments, and any income from such investments, are translated into United States dollars using the rates of exchange prevailing on the respective dates of such transactions.

Although the fair values of foreign portfolio company investments and the fluctuation in such fair values are translated into United States dollars using the applicable foreign exchange rates described above, the Company does not separately report that portion of the change in fair values resulting from foreign currency exchange rates fluctuations from the change in fair values of the underlying investment. All fluctuations in fair value are included in net unrealized appreciation (depreciation) of investments in the Company’s Unaudited Consolidated Statements of Operations.

In addition, during both the three months ended March 31, 2024 and March 31, 2023, the Company entered into forward currency contracts primarily to help mitigate the impact that an adverse change in foreign exchange rates would have on the Company’s investments denominated in foreign currencies. Net unrealized appreciation or depreciation on foreign currency contracts are included in “Net unrealized appreciation (depreciation) - forward currency contracts” and net realized gains or losses on forward currency contracts are included in “Net realized gains (losses) - forward currency contracts” in the Company’s Unaudited Consolidated Statements of Operations.