The Company invests predominately 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 product investments, bonds and other fixed income securities. Structured product investments 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-registered 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
September 30, 2023:
Senior debt and 1st lien notes	$	1,751,992	68	%	$	1,700,689	67	%	142	%
Subordinated debt and 2nd lien notes	277,176		11		257,633		10		21
Structured products	105,045		4		89,731		4		7
Equity shares	293,210		11		355,690		14		30
Equity warrants	178		—		1,246		—		—
Investment in joint ventures / PE fund	148,596		6		116,646		5		10

	$	2,576,197	100	%	$	2,521,635	100	%	210	%
December 31, 2022:
Senior debt and 1st lien notes	$	1,752,943	69	%	$	1,696,192	69	%	142	%
Subordinated debt and 2nd lien notes	326,639		13		263,139		11		22
Structured products	88,805		3		73,550		3		6
Equity shares	230,188		9		284,570		12		24
Equity warrants	178		—		1,057		—		—
Investment in joint ventures / PE fund	163,645		6		130,427		5		11

	$	2,562,398	100	%	$	2,448,935	100	%	205	%

During the three months ended September 30, 2023, the Company made 10 new investments totaling $64.5 million and made investments in existing portfolio companies totaling $73.4 million. During the nine months ended September 30, 2023, the Company made 25 new investments totaling $156.8 million, made investments in existing portfolio companies totaling $134.2 million, made a $55.0 million equity co-investment alongside certain affiliates in a portfolio company that specializes in providing financing to plaintiff law firms engaged in mass tort and other civil litigation and made additional investments in joint venture equity portfolio companies totaling $2.5 million.

During the three months ended September 30, 2022, the Company made 21 new investments totaling $183.4 million and made investments in existing portfolio companies totaling $50.7 million. During the nine months ended September 30, 2022, the Company made 69 new investments totaling $681.2 million, purchased $442.2 million of investments as part of the Sierra Merger, made investments in existing portfolio companies totaling $221.7 million and made additional investments in joint venture equity portfolio companies totaling $13.8 million.

The industry composition of investments at fair value at September 30, 2023 and December 31, 2022 was as follows:


($ in thousands)	September 30, 2023				December 31, 2022
Aerospace and Defense	$	132,059	5.2	%	$	120,945	4.9	%
Automotive	82,755		3.3		76,934		3.2
Banking, Finance, Insurance and Real Estate	372,497		14.8		312,936		12.8
Beverage, Food and Tobacco	39,573		1.6		34,690		1.4
Capital Equipment	135,679		5.4		141,479		5.8
Chemicals, Plastics, and Rubber	36,720		1.4		47,076		1.9
Construction and Building	30,072		1.2		45,049		1.8
Consumer goods: Durable	36,567		1.4		43,932		1.8
Consumer goods: Non-durable	27,142		1.1		27,693		1.1
Containers, Packaging and Glass	37,732		1.5		37,877		1.5
Energy: Electricity	22,589		0.9		7,337		0.3
Energy: Oil and Gas	4,544		0.2		4,776		0.2
Environmental Industries	53,387		2.1		51,006		2.1

Healthcare and Pharmaceuticals	201,815		8.0		203,576		8.3
High Tech Industries	298,811		11.9		300,980		12.3
Hotel, Gaming and Leisure	54,301		2.2		54,023		2.2
Investment Funds and Vehicles	116,646		4.5		130,427		5.3
Media: Advertising, Printing and Publishing	44,811		1.8		55,477		2.3
Media: Broadcasting and Subscription	20,480		0.8		20,257		0.8
Media: Diversified and Production	67,829		2.7		60,561		2.5
Metals and Mining	32,000		1.3		33,125		1.4

Services: Business	352,052		14.0		338,417		13.8
Services: Consumer	57,578		2.3		67,070		2.7
Structured Products	100,827		4.0		86,703		3.5
Telecommunications	26,432		1.0		24,058		1.0
Transportation: Cargo	98,385		3.9		89,398		3.7
Transportation: Consumer	11,102		0.4		11,062		0.5
Utilities: Electric	22,584		0.9		17,374		0.7
Utilities: Oil and Gas	4,666		0.2		4,697		0.2

Total	$	2,521,635	100.0	%	$	2,448,935	100.0	%

On May 8, 2019, the Company entered into an agreement with South Carolina Retirement Systems Group Trust (“SCRS”) to create and co-manage Jocassee Partners LLC (“Jocassee”), a joint venture, which invests in a highly diversified asset mix including senior secured, middle-market, private debt investments, syndicated senior secured loans and structured product investments. The Company and SCRS committed to initially provide $50.0 million and $500.0 million, respectively, of equity capital to Jocassee. On June 2, 2022, the Company committed an additional $50.0 million to Jocassee. Equity contributions will be called from each member on a pro-rata basis, based on their equity commitments.

The total value of Jocassee’s investment portfolio was $1,274.4 million as of September 30, 2023, as compared to $1,219.9 million as of December 31, 2022. As of September 30, 2023, Jocassee’s investments had an aggregate cost of $1,334.3 million, as compared to $1,296.4 million as of December 31, 2022. As of September 30, 2023 and December 31, 2022, the weighted average yield on the principal amount of Jocassee’s outstanding debt investments was approximately 10.0% and 8.6%, respectively. As of September 30, 2023 and December 31, 2022, the Jocassee investment portfolio consisted of the following investments:


($ in thousands)	Cost		Percentage of Total Portfolio		Fair Value		Percentage of Total Portfolio
September 30, 2023:
Senior debt and 1st lien notes	$	1,237,158	93	%	$	1,197,052	94	%
Subordinated debt and 2nd lien notes	23,479		2		22,221		2

Equity shares	449		—		417		—
Equity warrants	31		—		185		—
Investment in joint ventures	55,638		4		37,001		3
Short-term investments	17,514		1		17,514		1
	$	1,334,269	100	%	$	1,274,390	100	%
December 31, 2022:
Senior debt and 1st lien notes	$	1,177,895	91	%	$	1,123,760	92	%
Subordinated debt and 2nd lien notes	23,141		2		21,659		2

Equity shares	8,521		—		2,458		—
Equity warrants	31		—		158		—
Investment in joint ventures	75,941		6		61,028		5
Short-term investments	10,826		1		10,826		1
	$	1,296,355	100	%	$	1,219,889	100	%


($ in thousands)	September 30, 2023				December 31, 2022
Aerospace and Defense	$	80,321	6.4	%	$	69,133	5.7	%
Automotive	23,133		1.8		20,625		1.7
Banking, Finance, Insurance and Real Estate	114,941		9.1		105,047		8.7
Beverage, Food and Tobacco	28,953		2.3		25,885		2.1
Capital Equipment	24,955		2.0		25,014		2.1
Chemicals, Plastics, and Rubber	30,817		2.5		33,111		2.7
Construction and Building	16,513		1.3		17,616		1.5
Consumer goods: Durable	12,915		1.0		18,751		1.7
Consumer goods: Non-durable	20,874		1.7		22,861		1.9
Containers, Packaging and Glass	28,684		2.3		24,445		2.0

Energy: Electricity	15,325		1.2		15,375		1.3
Energy: Oil and Gas	6,392		0.5		5,726		0.5
Environmental Industries	6,866		0.6		7,314		0.6
Forest Products & Paper	3,059		0.2		2,269		0.2
Healthcare and Pharmaceuticals	142,345		11.3		128,983		10.7
High Tech Industries	163,461		13.0		141,906		11.7
Hotel, Gaming and Leisure	22,185		1.8		23,587		2.0
Investment Funds and Vehicles	37,001		3.0		61,028		5.0
Media: Advertising, Printing and Publishing	15,482		1.2		5,969		0.5
Media: Broadcasting and Subscription	32,690		2.6		34,676		2.9
Media: Diversified and Production	28,105		2.2		28,897		2.4
Metals and Mining	3,863		0.3		5,069		0.4
Retail	12,395		1.0		15,720		1.3
Services: Business	208,216		16.6		199,805		16.5
Services: Consumer	56,439		4.5		52,543		4.3

Telecommunications	35,066		2.8		38,034		3.1
Transportation: Cargo	59,279		4.7		56,018		4.6
Transportation: Consumer	12,626		1.0		12,562		1.0
Utilities: Electric	7,120		0.6		4,194		0.3
Utilities: Oil and Gas	6,855		0.5		6,900		0.6

Total	$	1,256,876	100.0	%	$	1,209,063	100.0	%


($ in thousands)	September 30, 2023				December 31, 2022
Australia	$	25,033	2.0	%	$	26,111	2.1	%
Austria	6,815		0.5		6,697		0.5
Belgium	19,497		1.6		16,385		1.4
Canada	4,823		0.4		7,280		0.6
Denmark	1,029		0.1		953		0.1
Finland	2,104		0.2		1,967		0.2
France	139,206		11.1		133,682		11.1
Germany	43,703		3.5		38,068		3.1
Hong Kong	14,465		1.1		16,593		1.4
Ireland	7,064		0.6		4,334		0.4

Luxembourg	1,788		0.1		1,759		0.1
Netherlands	39,751		3.2		35,194		2.9
Panama	1,464		0.1		945		0.1
Singapore	4,973		0.4		4,955		0.4
Spain	4,569		0.4		4,189		0.3
Sweden	4,192		0.3		4,371		0.4
Switzerland	582		—		5,558		0.5
United Kingdom	116,029		9.2		126,305		10.4
USA	819,789		65.2		773,717		64.0
Total	$	1,256,876	100.0	%	$	1,209,063	100.0	%

Jocassee’s subscription facility with Bank of America N.A., which is non-recourse to the Company, had approximately $174.1 million and $174.3 million outstanding as of September 30, 2023 and December 31, 2022, respectively. Jocassee’s credit facility with Citibank, N.A., which is non-recourse to the Company, had approximately $332.4 million and $357.9 million outstanding as of September 30, 2023 and December 31, 2022, respectively. Jocassee’s term debt securitization, which is non-recourse to the Company, had approximately $323.4 million outstanding as of both September 30, 2023 and December 31, 2022.

The Company may sell portions of its investments via assignment to Jocassee. Since inception, as of September 30, 2023 and December 31, 2022, the Company had sold $967.4 million and $875.9 million, respectively, of its investments to Jocassee. For the three and nine months ended September 30, 2023, the Company realized a loss on the sales of its investments to Jocassee of $0.5 million and $0.3 million, respectively. For the three and nine months ended September 30, 2022, the Company realized a loss on the sales of its investments to Jocassee of $5.4 million and $5.6 million, respectively. As of September 30, 2023 and December 31, 2022, the Company had $45.1 million and $18.2 million, respectively, in unsettled receivables due from Jocassee that were included in “Receivable from unsettled transactions” in the accompanying Unaudited and Audited Consolidated Balance Sheets. 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:

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 Jocassee as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Jocassee due to the allocation of voting rights among Jocassee members.

On April 28, 2020, Thompson Rivers LLC (“Thompson Rivers”) was formed as a Delaware limited liability company. On May 13, 2020, the Company entered into a limited liability company agreement governing Thompson Rivers. Under Thompson Rivers’ current operating agreement, as amended to date, the Company has a capital commitment of $75.0 million of equity capital to Thompson Rivers, all of which has been funded as of September 30, 2023. As of September 30, 2023, 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 and nine months ended September 30, 2023, Thompson Rivers declared $8.0 million and $106.0 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 and nine months ended September 30, 2023, the Company recognized $1.3 million and $16.9 million, respectively, of the dividends as a return of capital. For the three and nine months ended September 30, 2022, Thompson Rivers declared $89.1 million and $178.5 million in dividends, respectively, of which $2.2 million and $7.7 million, respectively, was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. In addition, for the three and nine months ended September 30, 2022, the Company recognized $12.0 million and $20.8 million, respectively, of the dividends as a return of capital.

As of September 30, 2023, Thompson Rivers had $415.6 million in Ginnie Mae early buyout loans and $13.2 million in cash. As of December 31, 2022, Thompson Rivers had $890.9 million in Ginnie Mae early buyout loans and $65.1 million in cash. As of September 30, 2023, Thompson Rivers had 2,677 outstanding loans with an average unpaid balance of $0.2 million and weighted average coupon of 4.0%. As of December 31, 2022, Thompson Rivers had 5,414 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
September 30, 2023:
Federal Housing Administration (“FHA”) loans	$	419,651	92	%	$	384,251	92	%
Veterans Affairs (“VA”) loans	34,071		8	%	31,380		8	%

	$	453,722	100	%	$	415,631	100	%
December 31, 2022:
Federal Housing Administration (“FHA”) loans	$	864,625	91	%	$	811,358	91	%
Veterans Affairs (“VA”) loans	84,654		9	%	79,553		9	%

	$	949,279	100	%	$	890,911	100	%

Thompson Rivers’ repurchase agreement with JPMorgan Chase Bank, which is non-recourse to the Company, had approximately $101.2 million and $224.2 million outstanding as of September 30, 2023 and December 31, 2022, respectively. Thompson Rivers’ repurchase agreement with Bank of America N.A., which is non-recourse to the Company, had approximately $195.6 million and $428.0 million outstanding as of September 30, 2023 and December 31, 2022, respectively. Thompson Rivers’ repurchase agreement with Barclays Bank, which is non-recourse to the Company, had approximately $64.1 million and $184.2 million outstanding as of September 30, 2023 and December 31, 2022, 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, 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. On February 8, 2021, the Company entered into a limited liability company agreement governing Waccamaw River. Under Waccamaw River’s current operating agreement, as amended to date, the Company has a capital commitment of $25.0 million of equity capital to Waccamaw River, all of which has been funded (including approximately $5.3 million of recallable return of capital) as of September 30, 2023. As of September 30, 2023, aggregate commitments to Waccamaw River by the Company and the other members under the current operating agreement total $125.0 million, all of which has been funded (including $14.0 million of recallable return of capital).

For the three months ended September 30, 2023, Waccamaw River did not declare a dividend. For the nine months ended September 30, 2023, Waccamaw River declared $7.3 million in dividends, of which $1.5 million was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. For the three and nine months ended September 30, 2022, Waccamaw River declared $2.7 million and $6.6 million in dividends, respectively, of which $0.5 million and $1.3 million, respectively, was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations.

As of September 30, 2023, Waccamaw River had $223.7 million in unsecured consumer loans and $21.2 million in cash. As of December 31, 2022, Waccamaw River had $200.5 million in unsecured consumer loans and $8.0 million in cash. As of September 30, 2023, Waccamaw River had 23,199 outstanding loans with an average loan size of $10,832, remaining average life to maturity of 41.8 months and weighted average interest rate of 12.7%. As of December 31, 2022, Waccamaw River had 18,335 outstanding loans with an average loan size of $11,542, remaining average life to maturity of 44.0 months and weighted average interest rate of 12.0%.

Waccamaw River’s secured loan borrowing with JPMorgan Chase Bank, N.A., which is non-recourse to the Company, had approximately $88.3 million and $72.3 million outstanding as of September 30, 2023 and December 31, 2022, respectively. Waccamaw River’s secured loan borrowing with Barclays Bank PLC., which is non-recourse to the Company, had approximately $75.2 million and $44.8 million outstanding as of September 30, 2023 and December 31, 2022, 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, the Company does not control Waccamaw River due to the allocation of voting rights among Waccamaw River members.


($ in thousands)	As of September 30, 2023		As of December 31, 2022
Total contributed capital by Barings BDC, Inc.	$	30,280	$	27,800
Total contributed capital by all members (1)	$	139,020	$	126,620

Total return of capital (recallable) by Barings BDC, Inc.	$	(5,280)	$	(5,280)
Total return of capital (recallable) by all members (2)	$	(14,020)	$	(14,020)

Total unfunded commitments by Barings BDC, Inc.	$	—	$	2,480
Total unfunded commitments by all members	$	—	$	12,400	(3)

Delaware limited liability company and commenced operations on July 15, 2015. Sierra JV’s investment objective is to generate current income and capital appreciation by investing primarily in the debt of privately-held middle market companies with a focus on senior secured first lien term loans. The members of Sierra JV make capital contributions as investments by Sierra JV are completed, and all portfolio and other material decisions regarding Sierra JV must be submitted to Sierra JV’s board of managers, which is comprised of four members, two of whom are selected by the Company and the other two are selected by MMALIC. Approval of Sierra JV’s board of managers requires the unanimous approval of a quorum of the board of managers, with a quorum consisting of equal representation of members appointed by each of the Company and MMALIC.

For the three and nine months ended September 30, 2023, Sierra JV declared $1.5 million and $4.4 million in dividends, respectively, of which $1.3 million and $3.9 million, respectively, was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. For the three and nine months ended September 30, 2022, Sierra JV declared $12.0 million and $43.8 million in dividends, respectively, of which $1.6 million and $3.2 million, respectively. was recognized as dividend income in the Company’s Unaudited Consolidated Statements of Operations. In addition, for the three and nine months ended September 30, 2022, the Company recognized $9.0 million and $35.7 million, respectively, of the dividends as a return of capital.

The Company has determined that Sierra JV 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 Sierra JV as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control Sierra JV due to the allocation of voting rights among Sierra JV members.

The total value of Sierra JV’s investment portfolio was $91.9 million as of September 30, 2023, as compared to $110.0 million, as of December 31, 2022. As of September 30, 2023, Sierra JV’s investments had an aggregate cost $99.0 million, as compared to $125.2 million as of December 31, 2022. As of September 30, 2023 and December 31, 2022, the weighted average yield on the principal amount of Sierra JV’s outstanding debt investments was approximately 10.2% and 9.2%, respectively. As of September 30, 2023 and December 31, 2022, the Sierra JV investment portfolio consisted of the following investments:


($ in thousands)	September 30, 2023				December 31, 2022

Automotive	$	2,347	2.5	%	$	2,283	2.1	%
Banking, Finance, Insurance and Real Estate	677		0.7		1,414		1.3
Beverage, Food and Tobacco	3,302		3.6		3,181		2.9
Capital Equipment	9,250		10.1		9,208		8.4
Chemicals, Plastics, and Rubber	2,954		3.2		2,772		2.5
Construction and Building	1,872		2.0		1,887		1.7
Consumer goods: Durable	1,005		1.1		1,272		1.1

Containers, Packaging and Glass	—		—		1,812		1.6



Environmental Industries	8,083		8.8		7,797		7.1

Healthcare and Pharmaceuticals	13,407		14.6		13,614		12.4
High Tech Industries	14,156		15.4		13,713		12.5


Media: Advertising, Printing and Publishing	—		—		10,032		9.1

Media: Diversified and Production	3,234		3.5		5,498		5.0

Retail	6,028		6.6		5,489		5.0
Services: Business	6,870		7.5		10,876		9.9
Services: Consumer	8,449		9.2		8,265		7.5


Transportation: Cargo	6,301		6.9		6,221		5.6
Transportation: Consumer	3,967		4.3		4,713		4.3



Total	$	91,902	100.0	%	$	110,047	100.0	%

On July 8, 2021, the Company made an equity investment in Eclipse Business Capital Holdings LLC (“Eclipse”) of $89.8 million, a second lien senior secured loan of $4.5 million and unfunded revolver of $13.6 million, alongside other related party affiliates. On August 12, 2022, the Company increased the unfunded revolver to $22.7 million. As of September 30, 2023 and December 31, 2022, $4.7 million and $5.3 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. In April 2023, the Company made an additional equity investment in Rocade totaling $10.0 million. As of September 30, 2023, the Company had $30.0 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 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.

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

As Jocassee, Thompson Rivers, Waccamaw River, Sierra JV and MVC Private Equity Fund LP are investment companies with no readily determinable fair values, the Adviser estimates the fair value of the Company’s investments in these entities using NAV of each company and the Company’s ownership percentage as a practical expedient. The NAV is determined in accordance with the specialized accounting guidance for investment companies.

September 30, 2023:

($ in thousands)

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)

1,397,313

Yield Analysis

Market Yield

7.3% – 41.4%

12.2%

Decrease

13,132

Market Approach

Adjusted EBITDA Multiple

5.0x – 5.8x

5.1x

Increase

1,127

Market Approach

Revenue Multiple

0.2x

Increase

167,325

Recent Transaction

Transaction Price

96.1% – 100.0%

97.6%

Increase

Subordinated debt and 2nd lien notes(2)

172,950

Yield Analysis

Market Yield

9.0% – 18.9%

13.6%

Decrease

21,563

Market Approach

Adjusted EBITDA Multiple

7.0x – 12.50x

9.3x

Increase

3,176

Recent Transaction

Transaction Price

100.0%

Increase

Structured products(3)

23,519

Yield Analysis

Market Yield

8.8% – 11.0%

9.5%

Decrease

Equity shares(4)

8,518

Yield Analysis

Market Yield

14.2% – 15.5%

14.9%

Decrease

330,192

Market Approach

Adjusted EBITDA Multiple

1.8x – 35.0x

10.6x

Increase

1,452

Market Approach

Revenue Multiple

0.2x – 9.5x

6.7x

Increase

3,026

Net Asset Approach

Liabilities

$(44,742.4)

Decrease

1,402

Expected Recovery

$2.5 – $1,400.0

$1,397.5

Increase

3,326

Recent Transaction

Transaction Price

$1.00 – $1,000.00

$171.5

Increase

Equity warrants

1,243

Market Approach

Adjusted EBITDA Multiple

5.0x – 14.0x

7.9x

Increase

Expected Recovery

$3.0

Increase

December 31, 2022:

($ in thousands)

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)

1,305,819

Yield Analysis

Market Yield

7.7% – 37.3%

11.7%

Decrease

14,794

Market Approach

Adjusted EBITDA Multiple

6.0x

Increase

1,263

Market Approach

Revenue Multiple

0.2x

Increase

13,153

Discounted Cash Flow Analysis

Discount Rate

13.0%

Decrease

233,824

Recent Transaction

Transaction Price

96.7% – 100.0%

97.5%

Increase

Subordinated debt and 2nd lien notes(2)

182,856

Yield Analysis

Market Yield

8.4% – 16.6%

13.1%

Decrease

35,536

Market Approach

Adjusted EBITDA Multiple

6.5x – 9.0x

7.4x

Increase

2,186

Market Approach

Revenue Multiple

0.5x

Increase

513

Recent Transaction

Transaction Price

97.3%

Increase

Structured products(3)

3,792

Discounted Cash Flow Analysis

Discount Rate

10.4%

Decrease

5,239

Recent Transaction

Transaction Price

100.0%

Increase

Equity shares(4)

12,600

Yield Analysis

Market Yield

15.7% – 17.8%

16.7%

Decrease

259,219

Market Approach

Adjusted EBITDA Multiple

4.0x – 43.0x

9.4x

Increase

1,321

Market Approach

Revenue Multiple

0.2x – 7.0x

6.8x

Increase

221

Market Approach

Adjusted EBITDA/Revenue Multiple Blend

5.8x

Increase

1,932

Net Asset Approach

Liabilities

$(8,941.8)

Decrease

112

Expected Recovery

$2.5 – $110

$107.6

Increase

4,921

Recent Transaction

Transaction Price

$0.00 – $1,015.13

$521.22

Increase

Equity warrants

1,054

Market Approach

Adjusted EBITDA Multiple

4.0x – 17.5x

7.3x

Increase

Expected Recovery

$3.0

Increase

The following tables present the Company’s investment portfolio at fair value as of September 30, 2023 and December 31, 2022, categorized by the ASC Topic 820 valuation hierarchy, as previously described:


	Fair Value as of September 30, 2023
($ in thousands)	Level 1		Level 2		Level 3		Total
Senior debt and 1st lien notes	$	—	$	98,362	$	1,602,327	$	1,700,689
Subordinated debt and 2nd lien notes	—		14,036		243,597		257,633
Structured products	—		54,131		35,600		89,731
Equity shares	69		—		355,621		355,690
Equity warrants	—		—		1,246		1,246

Investments subject to leveling	$	69	$	166,529	$	2,238,391	$	2,404,989
Investment in joint ventures / PE fund (1)							116,646
							$	2,521,635

	Fair Value as of December 31, 2022
($ in thousands)	Level 1		Level 2		Level 3		Total
Senior debt and 1st lien notes	$	—	$	104,836	$	1,591,356	$	1,696,192
Subordinated debt and 2nd lien notes	—		28,925		234,214		263,139
Structured products	—		55,723		17,827		73,550
Equity shares	164		1,339		283,067		284,570
Equity warrants	—		—		1,057		1,057

Investments subject to leveling	$	164	$	190,823	$	2,127,521	$	2,318,508
Investment in joint ventures / PE fund (1)							130,427
							$	2,448,935

(1)The Company’s investments in Jocassee, Sierra JV, Thompson Rivers, Waccamaw River and MVC Private Equity Fund LP 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.


Nine Months Ended September 30, 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	$	1,591,356	$	234,214	$	17,827	$	283,067	$	1,057	$	2,127,521
New investments	232,280		32,722		22,669		68,680		—		356,351


Transfers into (out of) Level 3, net	(18,355)		16,815		—		914		—		(626)
Proceeds from sales of investments	(113,358)		(2,800)		—		(4,367)		—		(120,525)
Loan origination fees received	(5,801)		(51)		—		—		—		(5,852)
Principal repayments received	(93,447)		(44,129)		(1,018)		—		—		(138,594)
Payment-in-kind interest/dividends	3,834		7,803		—		5,331		—		16,968

Accretion of loan premium/discount	427		465		—		—		—		892
Accretion of deferred loan origination revenue	5,380		437		—		—		—		5,817
Realized gain (loss)	(1,029)		(43,902)		—		(3,434)		—		(48,365)
Unrealized appreciation (depreciation)	1,040		42,023		(3,878)		5,430		189		44,804
Fair value, end of period	$	1,602,327	$	243,597	$	35,600	$	355,621	$	1,246	$	2,238,391


Nine Months Ended September 30, 2022: ($ 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	$	1,137,323	$	230,569	$	—	$	151,282	$	864	$	1,520,038
New investments	689,638		89,749		6,000		63,344		4		848,735
Investments acquired in Sierra merger	210,176		54,177		—		7,065		72		271,490
Transfers into (out of) Level 3, net	18,015		9,056		4,905		7,263		—		39,239
Proceeds from sales of investments	(321,758)		(21,555)		—		(1,472)		(250)		(345,035)
Loan origination fees received	(14,660)		(1,303)		—		—		—		(15,963)
Principal repayments received	(207,026)		(56,443)		(357)		—		—		(263,826)
Payment-in-kind interest/dividends	1,994		9,320		—		206		—		11,520
Accretion of loan premium/discount	222		89		—		—		—		311
Accretion of deferred loan origination revenue	6,574		1,761		—		—		—		8,335
Realized gain (loss)	(12,292)		(2,567)		—		18		(760)		(15,601)
Unrealized appreciation (depreciation)	(45,793)		(42,858)		(1,066)		49,782		73		(39,862)
Fair value, end of period	$	1,462,413	$	269,995	$	9,482	$	277,488	$	3	$	2,019,381

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 $5.2 million during the nine months ended September 30, 2023 was related to portfolio company investments that were still held by the Company as of September 30, 2023. Pre-tax net unrealized depreciation on Level 3 investments of $44.3 million during the nine months ended September 30, 2022 was related to portfolio company investments that were still held by the Company as of September 30, 2022.

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 purchases 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 generally 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. Generally, under the 1940 Act, “Affiliate Investments” that are not otherwise “Control Investments” are defined as investments in which the Company owns at least 5.0%, up to 25.0% (inclusive), of the voting securities and does not have the power to exercise control over the management or policies of such portfolio 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 both September 30, 2023 and December 31, 2022, the Company had seven portfolio companies, respectively, with investments that were on non-accrual. As of September 30, 2023, the seven portfolio companies on non-accrual included four portfolio companies purchased as part of the Sierra Merger, one purchased as part of the MVC Acquisition and two portfolio company originated by Barings. As of December 31, 2022, the seven portfolio companies on non-accrual included four portfolio companies purchases as part of the Sierra Merger, two purchased as part of the MVC Acquisition and one portfolio company was originated by Barings.

Interest income from investments in the equity class of a collateralized loan obligation (“CLO”) security (typically subordinated notes) is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows in accordance with ASC 325-40, Beneficial Interests in Securitized Financial Assets. The Company monitors the expected cash flows from these investments, including the expected residual payments, and the effective yield is determined and updated periodically. Any difference between the cash distribution received and the amount calculated pursuant to the effective interest method is recorded as an adjustment to the cost basis of such investments.

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 and covenant waiver fees and amendment fees, and are recorded as investment income when earned.


	Three Months Ended		Three Months Ended		Nine Months Ended		Nine Months Ended
($ in thousands)	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Recurring Fee Income:
Amortization of loan origination fees	$	1,740	$	1,582	$	5,160	$	4,398
Management, valuation and other fees	518		620		1,712		667
Total Recurring Fee Income	2,258		2,202		6,872		5,065
Non-Recurring Fee Income:
Prepayment fees	—		—		329		134
Acceleration of unamortized loan origination fees	208		1,685		882		4,182
Advisory, loan amendment and other fees	184		434		2,167		1,208
Total Non-Recurring Fee Income	392		2,119		3,378		5,524
Total Fee Income	$	2,650	$	4,321	$	10,250	$	10,589

The Company lends to and invests in customers in various industries. The Company separately evaluates the performance of each of its lending and investment relationships. However, because each of these loan and investment relationships has similar business and economic characteristics, they have been aggregated into a single lending and investment segment. All applicable segment disclosures are included in or can be derived from the Company’s financial statements.

As of September 30, 2023 and December 31, 2022, there were no individual investments representing greater than 10% of the fair value of the Company’s portfolio. As of September 30, 2023 and December 31, 2022, the Company’s largest single portfolio company investment represented approximately 6.2% and 5.9%, 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 September 30, 2023, the Company held two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, 10 investments that were denominated in Australian dollars, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian krone, two investments that were denominated in Swiss francs, one investment that was denominated in Swedish krona, 65 investments that were denominated in Euros and 29 investments that were denominated in British pounds sterling. As of December 31, 2022, the Company held two investments that were denominated in Canadian dollars, one investment that was denominated in Danish kroner, 11 investments that were denominated in Australian dollars, two investments that were denominated in New Zealand dollars, one investment that was denominated in Norwegian krone, one investment that was denominated in Swiss francs, one investment that was denominated in Swedish krona, 58 investments that were denominated in Euros and 28 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 rate 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 nine months ended September 30, 2023 and September 30, 2022, the Company entered into forward currency contracts primarily to help mitigate the impact that an adverse change in foreign exchange rates would have on net interest income from the Company’s investments and related borrowings 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.