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INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2024
Schedule of Investments [Abstract]  
Schedule of Investments Summaries of the composition of the Company’s investment portfolio at cost and fair value, and as a percentage of total investments and net assets, are shown in the following tables:
($ in thousands)CostPercentage of
Total Portfolio		Fair ValuePercentage 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 products28,657 2 27,744 2 4 
Equity shares176,427 13 207,185 15 31 
Equity warrants33 — 1,147 — — 
Investments in joint ventures50,132 4 36,725 3 5 
$1,359,869 100 %$1,363,048 100 %203 %
($ in thousands)CostPercentage of
Total Portfolio		Fair ValuePercentage 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 products29,479 2 26,173 2 4 
Equity shares162,731 12 192,641 14 30 
Equity warrants2 — 1,043 — — 
Investments in joint ventures51,123 4 37,212 3 6 
$1,352,116 100 %$1,349,121 100 %207 %
The industry composition of investments at fair value at March 31, 2024 and December 31, 2023 was as follows:
($ in thousands)March 31, 2024Percent
of
Portfolio		Percent of
Total Net
Assets		December 31, 2023Percent
of
Portfolio		Percent of
Total Net
Assets
Aerospace and Defense$84,035 6.2 %12.5 %$81,217 6.0 %12.5 %
Automotive18,403 1.3 2.8 16,830 1.2 2.6 
Banking, Finance, Insurance and Real Estate224,287 16.5 33.5 227,415 16.9 34.9 
Beverage, Food and Tobacco33,057 2.4 4.9 24,197 1.8 3.7 
Capital Equipment46,833 3.4 7.0 46,500 3.5 7.1 
Chemicals, Plastics, and Rubber29,105 2.1 4.4 25,679 1.9 3.9 
Construction and Building10,719 0.8 1.6 10,070 0.7 1.6 
Consumer Goods: Durable25,526 1.9 3.8 25,563 1.9 3.9 
Consumer Goods: Non-durable14,343 1.1 2.1 9,987 0.7 1.5 
Containers, Packaging and Glass22,927 1.7 3.4 23,032 1.7 3.5 
Energy: Electricity6,297 0.5 1.0 6,676 0.5 1.0 
Energy: Oil and Gas2,669 0.2 0.4 2,670 0.2 0.4 
Environmental Industries29,225 2.1 4.4 30,266 2.2 4.7 
Healthcare and Pharmaceuticals124,015 9.1 18.5 130,845 9.7 20.1 
High Tech Industries137,613 10.1 20.5 141,704 10.5 21.7 
Hotel, Gaming and Leisure21,572 1.6 3.2 19,595 1.5 3.0 
Investment Funds and Vehicles36,725 2.7 5.5 37,212 2.8 5.7 
Media: Advertising, Printing and Publishing32,578 2.4 4.9 32,570 2.4 5.0 
Media: Broadcasting and Subscription8,706 0.6 1.3 8,867 0.7 1.4 
Media: Diversified and Production46,497 3.4 6.9 45,924 3.4 7.1 
Services: Business216,121 15.9 32.3 201,007 14.9 30.8 
Services: Consumer69,268 5.1 10.3 69,643 5.2 10.7 
Structured Products33,667 2.5 5.0 32,763 2.4 5.0 
Telecommunications18,276 1.3 2.7 18,341 1.4 2.8 
Transportation: Cargo58,929 4.3 8.8 68,703 5.1 10.5 
Transportation: Consumer2,000 0.1 0.3 1,900 0.1 0.3 
Utilities: Electric9,655 0.7 1.4 9,945 0.7 1.5 
Total$1,363,048 100.0 %203.4 %$1,349,121 100.0 %206.9 %
The industry composition of Banff’s investments at fair value at March 31, 2024 and December 31, 2023 was as follows:
($ in thousands)March 31, 2024December 31, 2023
Aerospace and Defense$15,105 10.5 %$15,125 10.3 %
Banking, Finance, Insurance and Real Estate16,190 11.3 16,325 11.2 
Beverage, Food and Tobacco7,577 5.3 7,531 5.1 
Chemicals, Plastics, and Rubber1,937 1.3 1,269 0.9 
Construction and Building1,450 1.0 1,364 0.9 
Consumer Goods: Durable1,731 1.2 1,725 1.2 
Consumer Goods: Non-durable6,026 4.2 6,205 4.2 
Containers, Packaging and Glass6,459 4.5 6,607 4.5 
Healthcare and Pharmaceuticals16,635 11.6 17,205 11.8 
High Tech Industries20,898 14.5 20,942 14.3 
Media: Advertising, Printing and Publishing1,955 1.4 1,957 1.3 
Media: Diversified and Production4,274 3.0 4,306 2.9 
Services: Business21,536 15.0 21,900 15.0 
Services: Consumer12,291 8.5 12,509 8.5 
Telecommunications3,213 2.2 3,243 2.2 
Transportation: Cargo6,420 4.5 8,264 5.7 
Total$143,697 100 %$146,477 100 %
Schedule of Capital Contributed and Unfunded As of March 31, 2024 and December 31, 2023, the Banff investment portfolio consisted of the following investments:
($ in thousands)CostPercentage of
Total Portfolio		Fair ValuePercentage of
Total Portfolio
March 31, 2024:
Senior debt and 1st lien notes
$146,901 97 %$139,697 97 %
Subordinated debt and 2nd lien notes
3,920 3 4,000 3 
$150,821 100 %$143,697 100 %
December 31, 2023:
Senior debt and 1st lien notes$147,990 97 %$142,490 97 %
Subordinated debt and 2nd lien notes3,917 3 3,987 3 
$151,907 100 %$146,477 100 %
The geographic composition of Banff’s investments at fair value at March 31, 2024 and December 31, 2023 was as follows:
($ in thousands)March 31, 2024December 31, 2023
Australia$4,360 3.0 %$4,449 3.0 %
Belgium7,577 5.3 7,531 5.1 
Canada1,847 1.3 2,221 1.5 
France27,948 19.4 28,669 19.6 
Germany7,120 5.0 7,277 5.0 
Hong Kong6,179 4.3 6,033 4.1 
Netherlands9,182 6.4 9,193 6.3 
New Zealand2,462 1.7 2,596 1.8 
Singapore3,989 2.8 3,984 2.7 
United Kingdom20,282 14.1 20,401 13.9 
USA52,751 36.7 54,123 37.0 
Total$143,697 100.0 %$146,477 100 %
As of March 31, 2024 and December 31, 2023, the Thompson Rivers investment portfolio consisted of the following investments:
($ in thousands)CostPercentage of
Total Portfolio		Fair ValuePercentage of
Total Portfolio
March 31, 2024:
Federal Housing Administration (“FHA”) loans$306,491 93 %$287,390 93 %
Veterans Affairs (“VA”) loans21,604 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”) loans25,810 7 24,491 7 
$386,657 100 %$366,731 100 %
As of March 31, 2024 and December 31, 2023, Thompson Rivers had the following contributed capital and unfunded commitments from its members:
($ in thousands)
As of
 March 31, 2024
As of December 31, 2023
Total contributed capital by Barings Capital Investment Corporation (1)$32,318 $32,318 
Total contributed capital by all members (2)$482,083 $482,083 
Total unfunded commitments by Barings Capital Investment Corporation$— $— 
Total unfunded commitments by all members$— $— 
(1)Includes $2.3 million of dividend re-investments.
(2)Includes dividend re-investments of $32.1 million of total contributed capital by related parties.
As of March 31, 2024 and December 31, 2023, Waccamaw River had the following contributed capital and unfunded commitments from its members:
($ 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 $85.6 million of total contributed capital by related parties as of both March 31, 2024 and December 31, 2023.
Schedule of Fair Value Measurement Inputs and Valuation Techniques
The following tables summarize the significant unobservable inputs the Adviser used in the valuation of the Company’s Level 3 debt and equity securities as of March 31, 2024 and December 31, 2023. The weighted average range of unobservable inputs is based on fair value of investments.
March 31, 2024
($ in thousands)(3)
Fair ValueValuation
Model		Level 3
Input		Range of
Inputs		Weighted
Average		Impact to Valuation from an Increase in Input
Senior debt and 1st lien notes(1)
$844,660 Yield AnalysisMarket Yield
6.1% – 27.0%
10.9%Decrease
10,163 Market ApproachAdjusted EBITDA Multiple
1.2x – 12.5x
9.3xIncrease
79,471 Recent TransactionTransaction Price
95.6% – 100.0%
98.0%Increase
Subordinated debt and 2nd lien notes(2)
87,205 Yield AnalysisMarket Yield
9.0% – 17.7%
12.7%Decrease
10,166 Market ApproachAdjusted EBITDA Multiple
6.0x – 11.0x
8.5xIncrease
1,875 Recent TransactionTransaction Price100.0%100.0%Increase
Equity shares(4)
16,103 Yield AnalysisMarket Yield
10.5% – 14.2%
13.0%Decrease
162,274 Market ApproachAdjusted EBITDA Multiple
5.5x – 27.5x
11.1xIncrease
1,353 Market ApproachRevenue Multiple
6.0x – 9.3x
6.5xIncrease
8,027 Discounted Cash Flow AnalysisDiscount Rate14.5%14.5%Decrease
2,357 Net Asset ApproachLiabilities$(64,894.6)$(64,894.6)Decrease
749 Recent TransactionTransaction Price
$0.00 – $1,037.50
$438.67Increase
Equity Warrants1,102 Market ApproachAdjusted EBITDA Multiple
6.3x – 12.5x
7.7xIncrease
(1) Excludes investments with an aggregate fair value amounting to $11,856, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(2) Excludes investments with an aggregate fair value amounting to $5,821, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(3) For structured products, investments with an aggregate fair value amounting to $15,801, were valued by the Adviser using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(4) Excludes investments with an aggregate fair value amounting to $2,670, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
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 ValueValuation
Model		Level 3
Input		Range of
Inputs		Weighted
Average		Impact to Valuation from an Increase in Input
Senior debt and 1st lien notes(1)
$844,635 Yield AnalysisMarket Yield
7.8% – 19.6%
11.2%Decrease
7,247 Market ApproachAdjusted EBITDA Multiple
1.1x – 12.5x
3.5xIncrease
84,483 Recent TransactionTransaction Price
97.0% – 100.0%
97.9%Increase
Subordinated debt and 2nd lien notes(2)
85,803 Yield AnalysisMarket Yield
8.5% – 18.9%
13.1%Decrease
4,986 Market ApproachAdjusted EBITDA Multiple11.0x11.0xIncrease
670 Recent TransactionTransaction Price98.0%98.0%Increase
Equity shares(4)
8,788 Yield AnalysisMarket Yield14.6%14.6%Decrease
162,996 Market ApproachAdjusted EBITDA Multiple
4.8x – 30.0x
11.2xIncrease
1,390 Market ApproachRevenue Multiple
6.5x – 9.5x
6.8xIncrease
6,080 Discounted Cash Flow AnalysisDiscount Rate14.2%14.2%Decrease
2,131 Net Asset ApproachLiabilities$(55,281.8)$(55,281.8)Decrease
5,203 Recent TransactionTransaction Price
$1.00 – $10.00
$9.64Increase
Equity Warrants1,043 Market ApproachAdjusted EBITDA Multiple
6.3x – 12.5x
7.5xIncrease
(1) Excludes investments with an aggregate fair value amounting to $12,714, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(2) Excludes investments with an aggregate fair value amounting to $5,392, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(3) For structured products, investments with an aggregate fair value amounting to $14,915, were valued by the Adviser using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
(4) Excludes investments with an aggregate fair value amounting to $5,975, which the Adviser valued using unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs were not readily available.
Schedule of Fair Value, Assets Measured on Recurring Basis
The following tables present the Company’s investment portfolio at fair value as of March 31, 2024 and December 31, 2023, categorized by the ASC Topic 820 valuation hierarchy, as previously described:
 
Fair Value as of March 31, 2024
($ in thousands)Level 1Level 2Level 3Total
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 shares9,936 3,716 193,533 207,185 
Equity warrants45 — 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 1Level 2Level 3Total
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 shares78 — 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 
$1,349,121 
(1)The Company’s investments in Banff, Thompson Rivers and Waccamaw River are measured at fair value using NAV and have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Unaudited Consolidated Balance Sheet and Consolidated Balance Sheet.
Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables reconcile the beginning and ending balances of the Company’s investment portfolio measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2024 and 2023:
Three Months Ended
March 31, 2024:
($ in thousands)
Senior Debt
and 1st Lien
Notes
Subordinated Debt and 2nd Lien Notes
Structured ProductsEquity SharesEquity WarrantsTotal
Fair value, beginning of period$949,079 $96,851 $14,915 $192,563 $1,043 $1,254,451 
New investments36,126 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/dividends386 692 — 1,559 — 2,637 
Accretion of loan premium/discount95 27 — — — 122 
Accretion of deferred loan origination revenue1,205 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 ProductsEquity SharesEquity WarrantsTotal
Fair value, beginning of period$872,193 $97,805 $14,210 $112,878 $476 $1,097,562 
New investments54,252 683 — 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/dividends583 826 — — — 1,409 
Accretion of loan premium/discount95 33 — — — 128 
Accretion of deferred loan origination revenue1,028 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 $1,196,089 
Schedule of Recurring and Non Recurring Fee Income
Fee income for the three months ended March 31, 2024 and 2023 was as follows:
Three Months EndedThree Months Ended
($ in thousands)March 31, 2024March 31, 2023
Recurring Fee Income:
Amortization of loan origination fees$996 $928 
Management, valuation and other fees229 336 
Total Recurring Fee Income1,225 1,264 
Non-Recurring Fee Income:
Acceleration of unamortized loan origination fees297 201 
Advisory, loan amendment and other fees74 221 
Total Non-Recurring Fee Income371 422 
Total Fee Income$1,596 $1,686