Consolidated Portfolio Asset Allocation
|
2
|
Unaudited Consolidated Financial Statements
|
|
Consolidated Statement of Assets and Liabilities
|
3
|
Consolidated Statement of Investments
|
4
|
Consolidated Statement of Operations
|
11
|
Consolidated Statements of Changes in Net Assets
|
12
|
Consolidated Statement of Cash Flows
|
13
|
Notes to Consolidated Financial Statements
|
14
|
Consolidated Schedule of Changes in Investments in Affiliates
|
27
|
Consolidated Schedule of Restricted Securities of Unaffiliated Issuers
|
28
|
Supplemental Information (Unaudited)
|
|
Consolidating Statement of Assets and Liabilities
|
29
|
Consolidating Statement of Operations
|
30
|
Approval of Investment Management Agreements
|
31
|
Percent of Cash
|
|
Industry
|
and Investments
|
Wired Telecommunications Carriers
|
11.4%
|
Gambling Industries
|
8.8%
|
Radio and Television Broadcasting
|
6.0%
|
Business Support Services
|
5.2%
|
Cable and Other Subscription Programming
|
4.3%
|
Scheduled Air Transportation
|
4.0%
|
Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments Manufacturing
|
3.9%
|
Accounting, Tax Preparation, Bookkeeping, and Payroll Services
|
3.7%
|
Architectural, Engineering, and Related Services
|
3.7%
|
Communications Equipment Manufacturing
|
3.3%
|
Motion Picture and Video Industries
|
3.3%
|
Other Financial Investment Activities
|
3.0%
|
Electronic Shopping and Mail-Order Houses
|
2.9%
|
Electric Power Generation, Transmission and Distribution
|
2.6%
|
Pharmaceutical and Medicine Manufacturing
|
2.5%
|
Full-Service Restaurants
|
2.5%
|
Other General Merchandise Stores
|
2.3%
|
Semiconductor and Other Electronic Component Manufacturing
|
2.2%
|
Metal and Mineral (except Petroleum) Merchant Wholesalers
|
2.2%
|
Oil and Gas Extraction
|
1.9%
|
Industrial Machinery Manufacturing
|
1.8%
|
Software Publishers
|
1.8%
|
Aerospace Product and Parts Manufacturing
|
1.2%
|
Other Professional, Scientific, and Technical Services
|
1.2%
|
Sporting Goods, Hobby, Book, and Music Stores
|
1.1%
|
Data Processing, Hosting, and Related Services
|
1.0%
|
Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing
|
0.7%
|
Support Activities for Mining
|
0.7%
|
Offices of Real Estate Agents and Brokers
|
0.5%
|
Activities Related to Credit Intermediation
|
0.4%
|
Health and Personal Care Stores
|
0.4%
|
Depository Credit Intermediation
|
0.3%
|
Traveler Accommodation
|
0.3%
|
Highway, Street, and Bridge Construction
|
0.2%
|
Charter Bus Industry
|
0.2%
|
Home Furnishings Stores
|
0.1%
|
Newspaper, Periodical, Book, and Directory Publishers
|
0.0%
|
Other Amusement and Recreation Industries
|
0.0%
|
Motor Vehicle Manufacturing
|
0.0%
|
Other Ambulatory Health Care Services
|
0.0%
|
Cash and Cash Equivalents
|
8.4%
|
Total
|
100.0%
|
Assets
|
||||
Investments, at fair value:
|
||||
Unaffiliated issuers (cost $1,000,976,400)
|
$ | 935,937,911 | ||
Controlled companies (cost $31,700,273)
|
53,525,716 | |||
Other affiliates (cost $388,593,284)
|
329,685,289 | |||
Total investments (cost $1,421,269,957)
|
1,319,148,916 | |||
Cash and cash equivalents
|
121,277,363 | |||
Accrued interest income:
|
||||
Unaffiliated issuers
|
18,470,956 | |||
Controlled companies
|
111,074 | |||
Other affiliates
|
1,603,940 | |||
Deferred debt issuance costs
|
3,762,856 | |||
Receivable for investments sold
|
360,940 | |||
Prepaid expenses and other assets
|
876,842 | |||
Total assets
|
1,465,612,887 | |||
Liabilities
|
||||
Credit facility payable
|
89,912,400 | |||
Payable for investments purchased
|
14,216,090 | |||
Management and advisory fees payable
|
2,387,500 | |||
Unrealized loss on foreign currency forward exchange contract
|
610,749 | |||
Equity placement costs payable
|
543,163 | |||
Payable to the Investment Manager
|
146,730 | |||
Interest payable
|
4,161 | |||
Accrued expenses and other liabilities
|
506,252 | |||
Total liabilities
|
108,327,045 | |||
Preferred stock
|
||||
Series Z; $500/share liquidation preference; 560 shares authorized,
|
||||
issued and outstanding
|
280,000 | |||
Accumulated dividends on Series Z preferred stock
|
12,729 | |||
Total preferred stock
|
292,729 | |||
Preferred equity facility
|
||||
Series A preferred limited partner interests in Tennenbaum Opportunities Partners V, LP; $20,000/interest liquidation preference; 25,000 interests authorized, 18,450 interests issued and outstanding
|
369,000,000 | |||
Accumulated dividends on Series A preferred equity facility
|
849,724 | |||
Total preferred limited partner interests
|
369,849,724 | |||
Net assets applicable to common shareholders
|
$ | 987,143,389 | ||
Composition of net assets applicable to common shareholders
|
||||
Common stock, $0.001 par value; unlimited shares authorized, 78,287.806 shares
|
||||
issued and outstanding
|
$ | 78 | ||
Paid-in capital in excess of par
|
1,078,833,219 | |||
Accumulated net investment income
|
2,262,259 | |||
Accumulated net realized gain
|
10,617,544 | |||
Accumulated net unrealized depreciation
|
(104,556,982 | ) | ||
Accumulated dividends to Series Z preferred shareholders
|
(12,729 | ) | ||
Net assets applicable to common shareholders
|
$ | 987,143,389 | ||
Common stock, NAV per share
|
12,609.16 |
Principal
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
Amount
|
Value
|
and Investments
|
|||||||||
Debt Investments (76.59%)
|
||||||||||||
Bank Debt (46.82%) (1)
|
||||||||||||
Accounting, Tax Preparation, Bookkeeping, and Payroll Services (0.25%)
|
||||||||||||
NCO Group, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 5.5%, 2.5% LIBOR Floor, due 11/15/13
|
$ | 3,620,977 | $ | 3,580,219 | 0.25 | % | ||||||
Architectural, Engineering, and Related Services (0.88%)
|
||||||||||||
ESP Holdings, Inc., 2nd Lien Term Loan, LIBOR + 10%, 3.5% LIBOR Floor, due 9/12/14 (2)
|
$ | 12,633,618 | 12,633,618 | 0.88 | % | |||||||
Business Support Services (4.96%)
|
||||||||||||
STG-Fairway Acquisitions, Inc., Senior Secured 1st Lien Term Loan, 13.5%, due 12/29/15
|
$ | 70,005,527 | 71,405,637 | 4.96 | % | |||||||
Cable and Other Subscription Programming (3.71%)
|
||||||||||||
Medfort, S.a.r.l., 1st Lien Term Loan A, 15%, due 11/21/17 - (Germany) (2), (3)
|
€ | 2,728,036 | 3,730,694 | 0.26 | % | |||||||
Medfort, S.a.r.l., 1st Lien Term Loan B, 1%, due 11/21/17 - (Germany) (2), (3)
|
€ | 27,207,347 | 26,869,600 | 1.86 | % | |||||||
Primacom Management GmbH, 2nd Lien Term Loan, 10% PIK, due 5/19/17 - (Germany) (2), (3)
|
€ | 7,500,000 | 11,692,238 | 0.81 | % | |||||||
Primacom Management GmbH, Mezzanine Term Loan A, 1% PIK, due 11/21/17 - (Germany) (2), (3)
|
€ | 2,501,250 | 2,415,790 | 0.17 | % | |||||||
Primacom Management GmbH, Mezzanine Term Loan B, 1% PIK, due 11/21/17 - (Germany) (2), (3)
|
€ | 9,103,800 | 8,792,752 | 0.61 | % | |||||||
Total Cable and Other Subscription Programming
|
53,501,074 | |||||||||||
Charter Bus Industry (0.22%)
|
||||||||||||
Coach America Holdings, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 2.75% Cash + 3% PIK, 1.5% LIBOR Floor, due 4/20/14
|
$ | 3,294,121 | 2,651,767 | 0.18 | % | |||||||
Coach America Holdings, Inc., Senior Secured Letter of Credit, LIBOR + 2.75% Cash + 3% PIK, 1.5% LIBOR Floor, due 4/20/14
|
$ | 705,879 | 568,233 | 0.04 | % | |||||||
Total Charter Bus Industry
|
3,220,000 | |||||||||||
Communications Equipment Manufacturing (3.33%)
|
||||||||||||
Dialogic Corporation, Senior Secured Notes, LIBOR + 11%, 2% LIBOR Floor, due 9/30/13
|
$ | 47,933,138 | 47,933,138 | 3.33 | % | |||||||
Electric Power Generation, Transmission and Distribution (2.64%)
|
||||||||||||
Texas Competitive Electric Holdings Company, LLC, Extended Term Loan, LIBOR + 4.5%, due 10/10/17
|
$ | 48,559,251 | 37,971,586 | 2.64 | % | |||||||
Electronic Shopping and Mail-Order Houses (2.83%)
|
||||||||||||
Shopzilla, Inc., Senior Secured 2nd Lien Term Loan, 13%, due 6/1/14
|
$ | 42,055,553 | 40,772,859 | 2.83 | % | |||||||
Highway, Street, and Bridge Construction (0.24%)
|
||||||||||||
Contech Construction Products, Inc., Senior Secured 1st Lien Term Loan, LIBOR + 4%, 1.25% LIBOR Floor, due 1/31/13
|
$ | 4,266,323 | 3,516,163 | 0.24 | % | |||||||
Machine Shops; Turned Product; and Screw, Nut and Bolt Manufacturing (0.69%)
|
||||||||||||
Precision Partners Holdings, 1st Lien Delayed Draw Term Loan, Prime + 6.5%, 4.5% Prime Floor, due 10/1/13
|
$ | 738,926 | 657,644 | 0.05 | % | |||||||
Precision Partners Holdings, 1st Lien Term Loan, Prime + 6.5%, 4.5% Prime Floor, due 10/1/13
|
$ | 10,397,653 | 9,253,911 | 0.64 | % | |||||||
Total Machine Shops; Turned Product; and Screw, Nut and Bolt Manufacturing
|
9,911,555 | |||||||||||
Motion Picture and Video Industries (3.32%)
|
||||||||||||
CKX Entertainment, Inc., Senior Secured Bridge Term Loan, LIBOR + 7%, 1.5% LIBOR Floor, due 6/21/12
|
$ | 47,930,238 | 47,762,482 | 3.32 | % |
Principal
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
Amount
|
Value
|
and Investments
|
|||||||||
Debt Investments (continued)
|
||||||||||||
Newspaper, Periodical, Book, and Directory Publishers (0.01%)
|
||||||||||||
Local Insight Regatta Holdings, Inc., 1st Lien Term Loan, LIBOR + 4%, due 4/23/15
|
$ | 1,000,000 | $ | 211,250 | 0.01 | % | ||||||
Offices of Real Estate Agents and Brokers (0.50%)
|
||||||||||||
Realogy Corporation, 2nd Lien Term Loan A, 13.5%, due 10/15/17
|
$ | 2,036,336 | 2,161,911 | 0.15 | % | |||||||
Realogy Corporation, Revolver, LIBOR + 2.25%, due 4/10/13
|
$ | 24,164,053 | 5,041,531 | 0.35 | % | |||||||
Total Offices of Real Estate Agents and Brokers
|
7,203,442 | |||||||||||
Other Ambulatory Health Care Services (0.00%)
|
||||||||||||
Rural Metro Corporation, Bridge Commitment Term Loan, LIBOR + 7%,
|
||||||||||||
1.25% LIBOR Floor, due 9/28/11
|
$ | 15,000,000 | - | - | ||||||||
Other Financial Investment Activities (2.94%)
|
||||||||||||
American Capital, Ltd., Senior Secured 1st Lien Term Loan, LIBOR + 5.5%,
|
||||||||||||
2% LIBOR Floor, due 12/31/13
|
$ | 8,393,285 | 8,432,633 | 0.59 | % | |||||||
Marsico Capital Management, Senior Secured 1st Lien Term Loan, LIBOR + 5%, due 12/14/14
|
$ | 46,987,265 | 33,909,158 | 2.35 | % | |||||||
Total Other Financial Investment Activities
|
42,341,791 | |||||||||||
Other General Merchandise Stores (2.27%)
|
||||||||||||
Conn Appliances, Inc., Term Loan, LIBOR + 11.5%, 3% LIBOR Floor, due 11/30/14
|
$ | 31,912,946 | 32,710,770 | 2.27 | % | |||||||
Radio and Television Broadcasting (5.58%)
|
||||||||||||
Encompass Digital Media, Inc., 1st Lien Term Loan, LIBOR + 6%,
|
||||||||||||
1.75% LIBOR Floor, due 2/28/16 (2)
|
$ | 9,819,141 | 10,113,715 | 0.70 | % | |||||||
Encompass Digital Media, Inc., 2nd Lien Term Loan, 16.5%, due 8/28/16 (2)
|
$ | 55,687,843 | 57,915,356 | 4.02 | % | |||||||
RMG Networks, Inc., Senior Secured 1st Lien Term Loan, 14%, due 4/10/15 (2)
|
$ | 14,903,064 | 12,399,349 | 0.86 | % | |||||||
Total Radio and Television Broadcasting
|
80,428,420 | |||||||||||
Resin, Synthetic Rubber, and Artificial Synthetic Fibers and
|
||||||||||||
Filaments Manufacturing (0.36%)
|
||||||||||||
Gundle/SLT Environmental, Inc., Senior Secured 2nd Lien Term Loan,
|
||||||||||||
LIBOR + 9.5% Cash + 2% PIK, 1.5% LIBOR Floor, due 11/27/16
|
$ | 5,271,389 | 5,205,497 | 0.36 | % | |||||||
Scheduled Air Transportation (2.52%)
|
||||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N508UA), 20%, due 8/25/16
|
$ | 2,122,753 | 2,250,118 | 0.16 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N510UA), 20%, due 9/26/16 (2), (8)
|
$ | 4,821,099 | 6,631,422 | 0.46 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N512UA), 20%, due 10/26/16 (2), (8)
|
$ | 4,838,980 | 6,685,051 | 0.46 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N530UA), 20%, due 11/25/13
|
$ | 1,841,285 | 1,841,285 | 0.13 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N536UA), 16%, due 8/21/14 (2), (8)
|
$ | 4,078,611 | 4,804,603 | 0.33 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N545UA), 16%, due 7/17/15 (2), (8)
|
$ | 5,104,384 | 6,214,587 | 0.43 | % | |||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N585UA), 20%, due 10/25/16 (2), (8)
|
$ | 5,681,687 | 7,849,250 | 0.55 | % | |||||||
Total Scheduled Air Transportation
|
36,276,316 | |||||||||||
Semiconductor and Other Electronic Component Manufacturing (2.06%)
|
||||||||||||
Isola USA Corporation, 1st Lien Term Loan, LIBOR + 8%, 2% LIBOR Floor, due 9/29/15
|
$ | 27,414,213 | 26,865,929 | 1.86 | % | |||||||
Isola USA Corporation, Mezzanine Term Loan, 8% Cash + 8% PIK, due 3/29/16
|
$ | 2,871,422 | 2,871,422 | 0.20 | % | |||||||
Total Semiconductor and Other Electronic Component Manufacturing
|
29,737,351 |
Principal
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
Amount
|
Value
|
and Investments
|
|||||||||
Debt Investments (continued)
|
||||||||||||
Software Publishers (1.75%)
|
||||||||||||
EAM Software Finance Pty, Ltd, Senior Secured 1st Lien Tranche A Term Loan, BBSY + 2.25% Cash + 1.5% PIK, due 5/10/13 - (Australia) (3)
|
AUD |
8,611,914
|
$ | 9,215,227 | 0.64 | % | ||||||
EAM Software Finance Pty, Ltd, Senior Secured 1st Lien Tranche B Term Loan, BBSY + 2.75% Cash + 1.5% PIK, due 11/10/13 - (Australia) (3)
|
AUD |
14,018,221
|
15,000,276 | 1.04 | % | |||||||
Infor Global Solutions, Extended Initial 1st Lien Delayed Draw Term Loan, LIBOR + 5.75%, due 12/31/13
|
$ | 344,161 | 333,836 | 0.02 | % | |||||||
Infor Global Solutions, Extended Initial 1st Lien Term Loan, LIBOR + 5.75%, due 12/31/13
|
$ | 648,026 | 631,691 | 0.05 | % | |||||||
Total Software Publishers
|
25,181,030 | |||||||||||
Sporting Goods, Hobby, Book, and Music Stores (1.08%)
|
||||||||||||
Borders Group, Inc., Senior Secured Super Priority DIP Term Loan, LIBOR + 12.5%, 1% LIBOR Floor, due 2/16/12
|
$ | 15,527,079 | 15,527,079 | 1.08 | % | |||||||
Support Activities for Mining (0.08%)
|
||||||||||||
Trico Shipping AS, 1st Lien Term Loan A, LIBOR + 8.5%, 1.5% LIBOR Floor, due 5/13/14 - (Norway)
|
$ | 1,133,655 | 1,133,655 | 0.08 | % | |||||||
Trico Shipping AS, 1st Lien Term Loan B, LIBOR + 8.5%, 1.5% LIBOR Floor, due 5/13/14 - (Norway)
|
$ | 1,133,286 | - | - | ||||||||
Total Support Activities for Mining
|
1,133,655 | |||||||||||
Traveler Accommodation (0.25%)
|
||||||||||||
Buffets Holdings, Inc., 1st Lien Term Loan, LIBOR + 10%, due 4/22/15
|
$ | 4,000,000 | 3,570,000 | 0.25 | % | |||||||
Wired Telecommunications Carriers (4.35%)
|
||||||||||||
Bulgaria Telecom Company AD, 1st Lien Tranche B Term Loan, EURIBOR + 2.75%, due 8/9/15 - (Bulgaria) (3)
|
€ | 5,852,181 | 6,895,552 | 0.48 | % | |||||||
Hawaiian Telcom Communications, Inc., Senior Secured Term Loan, LIBOR + 6%, 3% LIBOR Floor, due 10/28/15
|
$ | 12,978,024 | 13,336,074 | 0.93 | % | |||||||
Integra Telecom Holdings, Inc., 1st Lien Term Loan, LIBOR + 7.25%, 2% LIBOR Floor,
due 4/15/15 (2) |
$ | 15,625,677 | 15,703,806 | 1.09 | % | |||||||
NEF Telecom Company BV, 1st Lien Tranche C Term Loan, EURIBOR + 3.5%, due 8/9/16 - (Netherlands) (3)
|
€ | 13,645,416 | 14,693,023 | 1.02 | % | |||||||
NEF Telecom Company BV, 2nd Lien Tranche D Term Loan, EURIBOR + 5.5%, due 2/16/17 - (Netherlands) (3), (4)
|
€ | 12,698,410 | 11,979,110 | 0.83 | % | |||||||
Total Wired Telecommunications Carriers
|
62,607,565 | |||||||||||
Total Bank Debt (Cost $640,993,292)
|
674,342,497 |
Principal
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
Amount
|
Value
|
and Investments
|
|||||||||
Debt Investments (continued)
|
||||||||||||
Other Corporate Debt Securities (29.77%)
|
||||||||||||
Accounting, Tax Preparation, Bookkeeping, and Payroll Services (3.45%)
|
||||||||||||
NCO Group, Inc., Senior Subordinated Notes, 11.875%, due 11/15/14
|
$ | 27,195,000 | $ | 23,265,594 | 1.61 | % | ||||||
NCO Group, Inc., Senior Unsecured Floating Rate Notes, LIBOR + 4.875%, due 11/15/13
|
$ | 29,404,000 | 26,451,250 | 1.84 | % | |||||||
Total Accounting, Tax Preparation, Bookkeeping, and Payroll Services
|
49,716,844 | |||||||||||
Aerospace Product and Parts Manufacturing (1.22%)
|
||||||||||||
Hawker Beechcraft, Inc., Senior Unsecured Notes, 8.5%, due 4/1/15
|
$ | 17,602,000 | 13,905,580 | 0.96 | % | |||||||
Hawker Beechcraft, Inc., Senior Unsecured Notes, 8.875%, due 4/1/15
|
$ | 4,695,000 | 3,705,012 | 0.26 | % | |||||||
Total Aerospace Product and Parts Manufacturing
|
17,610,592 | |||||||||||
Architectural, Engineering, and Related Services (2.52%)
|
||||||||||||
Alion Science & Technology Corporation, Senior Notes, 10.25%, due 2/1/15
|
$ | 25,525,000 | 21,254,668 | 1.47 | % | |||||||
Alion Science & Technology Corporation, Senior Secured Notes, 10% Cash + 2% PIK, due 11/1/14
|
$ | 12,807,604 | 13,221,673 | 0.92 | % | |||||||
ESP Holdings, Inc., Junior Unsecured Subordinated Promissory Notes, 18% PIK, due 3/31/15 (2), (5)
|
$ | 1,870,660 | 1,870,660 | 0.13 | % | |||||||
Total Architectural, Engineering, and Related Services
|
36,347,001 | |||||||||||
Data Processing, Hosting, and Related Services (0.41%)
|
||||||||||||
GXS Worldwide, Inc., Fixed Notes, 9.75%, due 6/15/15
|
$ | 5,814,000 | 5,920,629 | 0.41 | % | |||||||
Full-Service Restaurants (2.51%)
|
||||||||||||
Real Mex Restaurants, Inc., Senior Secured Notes, 14%, due 1/1/13
|
$ | 37,041,000 | 36,084,972 | 2.51 | % | |||||||
Gambling Industries (3.82%)
|
||||||||||||
Harrah's Operating Company, Inc., 2nd Priority Secured Notes, 10%, due 12/15/18
|
$ | 60,600,000 | 55,070,250 | 3.82 | % | |||||||
Health and Personal Care Stores (0.43%)
|
||||||||||||
Rite Aid Corporation, Senior Unsecured Notes, 9.5%, due 6/15/17
|
$ | 6,640,000 | 6,139,875 | 0.43 | % | |||||||
Home Furnishings Stores (0.05%)
|
||||||||||||
Linens 'n Things, Inc., Senior Secured Notes, LIBOR + 5.625%, due 1/15/14 (4)
|
$ | 9,189,000 | 689,175 | 0.05 | % | |||||||
Industrial Machinery Manufacturing (1.29%)
|
||||||||||||
GSI Group, Inc., Senior Secured Notes, 12.25% Cash or 13% PIK, due 1/15/14 (5)
|
$ | 18,616,761 | 18,616,761 | 1.29 | % | |||||||
Metal and Mineral (except Petroleum) Merchant Wholesalers (2.16%)
|
||||||||||||
Edgen Murray Corporation, Senior Secured Notes, 12.25%, due 1/15/15
|
$ | 30,334,000 | 31,054,433 | 2.16 | % | |||||||
Oil and Gas Extraction (1.94%)
|
||||||||||||
Geokinetics Holdings, Inc., Senior Secured Notes, 9.75%, due 12/15/14
|
$ | 3,777,000 | 3,644,805 | 0.25 | % | |||||||
Woodbine Acquisition Corporation, Senior Secured Notes, 12%, due 5/15/16 (2), (5)
|
$ | 23,610,000 | 24,259,275 | 1.69 | % | |||||||
Total Oil and Gas Extraction
|
27,904,080 | |||||||||||
Other Professional, Scientific, and Technical Services (1.22%)
|
||||||||||||
MSX International, Inc., Senior Secured 2nd Lien Notes, 12.5%, due 4/1/12 - (France, Germany, United Kingdom) (5)
|
$ | 20,785,000 | 17,568,729 | 1.22 | % | |||||||
Pharmaceutical and Medicine Manufacturing (2.52%)
|
||||||||||||
Novasep Holdings SAS, Senior Secured 1st Lien Notes, 9.75%, due 12/15/16 - (France) (5)
|
$ | 30,893,000 | 18,226,870 | 1.26 | % | |||||||
Novasep Holdings SAS, Senior Secured Notes, 9.625%, due 12/15/16 - (France) (3)
|
€ | 19,650,000 | 16,955,376 | 1.18 | % | |||||||
Novasep Holdings SAS, Senior Secured Notes, 9.625%, due 12/15/16 - (France) (3), (5)
|
€ | 1,312,000 | 1,132,084 | 0.08 | % | |||||||
Total Pharmaceutical and Medicine Manufacturing
|
36,314,330 |
Principal Amount
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
or Shares
|
Value
|
and Investments
|
|||||||||
Debt Investments (continued)
|
||||||||||||
Resin, Synthetic Rubber, and Artificial Synthetic Fibers and Filaments Manufacturing (3.51%)
|
||||||||||||
AGY Holding Corporation, Senior Secured 2nd Lien Notes, 11%, due 11/15/14
|
$ | 52,174,000 | $ | 50,590,519 | 3.51 | % | ||||||
Wired Telecommunications Carriers (2.72%)
|
||||||||||||
ITC^DeltaCom, Inc., Senior Secured Notes, 10.5%, due 4/1/16 (5)
|
$ | 18,170,000 | 19,078,500 | 1.32 | % | |||||||
NEF Telecom Company BV, Mezzanine Term Loan, EURIBOR + 4.5% Cash + 7.5% PIK, due 8/16/17 - (Netherlands) (3), (4), (5)
|
€ | 54,730,879 | 7,937,072 | 0.55 | % | |||||||
Zayo Group, LLC, Senior Secured 1st Lien Notes, 10.25%, due 3/15/17
|
$ | 11,067,000 | 12,207,454 | 0.85 | % | |||||||
Total Wired Telecommunications Carriers
|
39,223,026 | |||||||||||
Total Other Corporate Debt Securities (Cost $479,979,127)
|
428,851,216 | |||||||||||
Total Debt Investments (Cost $1,120,972,419)
|
1,103,193,713 | |||||||||||
Equity Securities (14.99%)
|
||||||||||||
Activities Related to Credit Intermediation (0.44%)
|
||||||||||||
Online Resources Corporation, Common Stock (2), (4), (6)
|
1,959,400 | 6,387,644 | 0.44 | % | ||||||||
Architectural, Engineering, and Related Services (0.25%)
|
||||||||||||
Alion Science & Technology Corporation, Warrants (4)
|
10,380 | 547,545 | 0.04 | % | ||||||||
ESP Holdings, Inc., 15% PIK, Preferred Stock (2), (5), (6)
|
6,674 | 1,055,412 | 0.07 | % | ||||||||
ESP Holdings, Inc., Common Stock (2), (4), (5), (6)
|
29,156 | 1,990,314 | 0.14 | % | ||||||||
Total Architectural, Engineering, and Related Services
|
3,593,271 | |||||||||||
Business Support Services (0.27%)
|
||||||||||||
STG-Fairway Holdings, LLC, Class A Units (4), (5)
|
226,242 | 3,911,398 | 0.27 | % | ||||||||
Cable and Other Subscription Programming (0.63%)
|
||||||||||||
Perseus Holdings S.A., Common Stock - (Luxembourg) (2), (3), (4), (5), (6)
|
78,000 | 9,016,619 | 0.63 | % | ||||||||
Data Processing, Hosting, and Related Services (0.61%)
|
||||||||||||
GXS Holdings, Inc., Common Stock (4), (5)
|
1,806,332 | 181 | - | |||||||||
GXS Holdings, Inc., Series A Preferred Stock (4), (5)
|
34,251 | 8,809,380 | 0.61 | % | ||||||||
Total Data Processing, Hosting, and Related Services
|
8,809,561 | |||||||||||
Depository Credit Intermediation (0.33%)
|
||||||||||||
Doral Financial Corporation, Common Stock (4)
|
2,410,796 | 4,725,160 | 0.33 | % | ||||||||
Doral GP, Ltd., GP Interest (2), (4), (5), (6)
|
100 | 225 | - | |||||||||
Total Depository Credit Intermediation
|
4,725,385 | |||||||||||
Electronic Shopping and Mail-Order Houses (0.08%)
|
||||||||||||
Shop Holding, LLC, Class A Units (4), (5)
|
1,379,026 | 1,110,266 | 0.08 | % | ||||||||
Shop Holding, LLC, Warrants to Purchase Class A Units (4), (5)
|
919,351 | - | - | |||||||||
Total Electronic Shopping and Mail-Order Houses
|
1,110,266 | |||||||||||
Gambling Industries (4.93%)
|
||||||||||||
TOPV New World Holdings, LLC, Membership Interests - (Canada) (2), (4),(5), (6)
|
77,442,845 | 67,925,269 | 4.71 | % | ||||||||
Tropicana Entertainment, Inc., Common Stock (4), (5)
|
180,844 | 3,119,559 | 0.22 | % | ||||||||
Total Gambling Industries
|
71,044,828 | |||||||||||
Highway, Street, and Bridge Construction (0.00%)
|
||||||||||||
Contech Construction Products Holdings, Inc., Common Stock (4), (5)
|
393,882 | - | - |
Fair
|
Percent of Cash
|
|||||||||||
Investment
|
Shares
|
Value
|
and Investments
|
|||||||||
Equity Securities (continued)
|
||||||||||||
Industrial Machinery Manufacturing (0.52%)
|
||||||||||||
GSI Group, Inc., Common Stock (4), (5)
|
625,422 | $ | 7,536,335 | 0.52 | % | |||||||
Machine Shops; Turned Product; and Screw, Nut, and Bolt Manufacturing (0.00%)
|
||||||||||||
Precision Holdings, LLC, Class C Membership Interests (4), (5)
|
83 | 16,386 | - | |||||||||
Motor Vehicle Manufacturing (0.00%)
|
||||||||||||
Fleetwood Enterprises, Inc., Common Stock (2), (4), (6)
|
11,500,685 | 11,501 | - | |||||||||
Other Amusement and Recreation Industries (0.00%)
|
||||||||||||
Bally Total Fitness Holding Corporation, Common Stock (4), (5)
|
1,799 | 37,599 | - | |||||||||
Bally Total Fitness Holding Corporation, Warrants (4), (5)
|
3,245 | 15,576 | - | |||||||||
Total Other Amusement and Recreation Industries
|
53,175 | |||||||||||
Radio and Television Broadcasting (0.40%)
|
||||||||||||
Encompass Digital Media Group, Inc., Common Stock (2), (4), (5), (6)
|
661,765 | 3,034,688 | 0.21 | % | ||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Common Stock (2), (4), (5), (6)
|
7,179,572 | 269,778 | 0.02 | % | ||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series A Preferred Stock (2), (4), (5), (6)
|
2,272,580 | 353,829 | 0.03 | % | ||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series B Preferred Stock (2), (4), (5), (6)
|
2,476,138 | 1,728,898 | 0.12 | % | ||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series C Preferred Stock (2), (4), (5), (6)
|
1,419,264 | 345,275 | 0.02 | % | ||||||||
Total Radio and Television Broadcasting
|
5,732,468 | |||||||||||
Scheduled Air Transportation (1.48%)
|
||||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N510UA) (2), (5), (8)
|
298 | 3,792,296 | 0.26 | % | ||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N512UA) (2), (5), (8)
|
295 | 3,735,427 | 0.26 | % | ||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N536UA) (2), (5), (8)
|
372 | 5,052,049 | 0.35 | % | ||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N545UA) (2), (5), (8)
|
330 | 4,677,939 | 0.33 | % | ||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N585UA) (2), (5), (8)
|
295 | 4,083,092 | 0.28 | % | ||||||||
Total Scheduled Air Transportation
|
21,340,803 | |||||||||||
Semiconductor and Other Electronic Component Manufacturing (0.17%)
|
||||||||||||
TPG Hattrick Holdco, LLC, Common Units (4), (5)
|
1,935,857 | 2,400,463 | 0.17 | % | ||||||||
Support Activities for Mining (0.58%)
|
||||||||||||
DeepOcean Group Holding AS, Common Stock (Norway) (4), (5)
|
410,366 | 8,414,241 | 0.58 | % | ||||||||
Wired Telecommunications Carriers (4.30%)
|
||||||||||||
Hawaiian Telcom Holdco, Inc., Common Stock (4), (5)
|
462,676 | 11,913,907 | 0.83 | % | ||||||||
Hawaiian Telcom Holdco, Inc., Warrants (4), (5)
|
54,272 | 672,973 | 0.05 | % | ||||||||
Integra Telecom, Inc., Common Stock (2), (4), (5), (6)
|
10,080,250 | 49,168,984 | 3.41 | % | ||||||||
Integra Telecom, Inc., Warrants (2), (4), (5), (6)
|
3,018,747 | - | - | |||||||||
NEF Kamchia Co-Investment Fund, LP Interest - (Cayman Islands) (3), (4), (5)
|
6,550,500 | 94,995 | 0.01 | % | ||||||||
Total Wired Telecommunications Carriers
|
61,850,859 | |||||||||||
Total Equity Securities (Cost $300,297,538)
|
215,955,203 | |||||||||||
Total Investments (Cost $1,421,269,957) (7)
|
1,319,148,916 |
Principal
|
Fair
|
Percent of Cash
|
||||||||||
Investment
|
Amount
|
Value
|
and Investments
|
|||||||||
Cash and Cash Equivalents (8.42%)
|
||||||||||||
Wells Fargo & Company, Overnight Repurchase Agreement, 0.02%, due 7/1/11 Collateralized by Federal Home Loan Banks Bonds
|
$ | 5,446,522 | $ | 5,446,522 | 0.38 | % | ||||||
General Electric Capital Corporation, Commercial Paper, 0.12%, due 7/6/11
|
$ | 17,000,000 | 16,999,717 | 1.18 | % | |||||||
General Electric Capital Corporation, Commercial Paper, 0.12%, due 7/13/11
|
$ | 15,000,000 | 14,999,400 | 1.04 | % | |||||||
American Express Credit Corporation, Commercial Paper, 0.13%, due 7/20/11
|
$ | 20,000,000 | 19,998,628 | 1.39 | % | |||||||
Union Bank of California, Commercial Paper, 0.23%, due 8/1/11
|
$ | 15,000,000 | 14,997,029 | 1.04 | % | |||||||
Toyota Motor Credit Corporation, Commercial Paper, 0.21%, due 8/4/11
|
$ | 10,000,000 | 9,998,017 | 0.70 | % | |||||||
Union Bank NA, Commercial Paper, 0.2%, due 9/6/11
|
$ | 18,000,000 | 17,993,300 | 1.25 | % | |||||||
Toyota Motor Credit Corporation, Commercial Paper, 0.19%, due 9/13/11
|
$ | 16,000,000 | 15,993,751 | 1.11 | % | |||||||
Cash Denominated in Foreign Currency
|
CAD |
42,433
|
44,045 | - | ||||||||
Cash Denominated in Foreign Currency
|
€ | 388,848 | 563,908 | 0.04 | % | |||||||
Cash Denominated in Foreign Currency
|
£ | 100,175 | 160,811 | 0.01 | % | |||||||
Cash Held on Account at Various Institutions
|
$ | 4,082,235 | 4,082,235 | 0.28 | % | |||||||
Total Cash and Cash Equivalents
|
121,277,363 | |||||||||||
Total Cash and Investments
|
$ | 1,440,426,279 | 100.00 | % |
(1)
|
Investments in bank debt generally are bought and sold among institutional investors in transactions not subject to registration under the Securities Act of 1933. Such transactions are generally subject to contractual restrictions, such as approval of the agent or borrower.
|
(2)
|
Affiliated issuer - as defined under the Investment Company Act of 1940 (ownership of 5% or more of the outstanding voting securities of this issuer).
|
(3)
|
Principal amount denominated in foreign currency. Amortized cost and fair value converted from foreign currency to U.S. dollars.
|
(4)
|
Non-income producing security.
|
(5)
|
Restricted security.
|
(6)
|
Not a controlling position.
|
(7)
|
Includes investments with an aggregate fair value of $20,293,224 that have been segregated to collateralize certain unfunded commitments.
|
(8)
|
Issuer is a controlled company.
|
Instrument
|
Notional Amount
|
Fair Value
|
|||||
Foreign currency forward exchange contract, sell AUD for settlement on 8/17/11
|
AUD |
23,678,245
|
$ | (610,749 | ) |
Investment income
|
||||
Interest income:
|
||||
Unaffiliated issuers
|
$ | 54,939,856 | ||
Controlled companies
|
2,348,614 | |||
Other affiliates
|
8,497,295 | |||
Other income:
|
||||
Unaffiliated issuers
|
4,071,659 | |||
Controlled companies
|
467,172 | |||
Total investment income
|
70,324,596 | |||
Operating expenses
|
||||
Management and advisory fees
|
14,325,000 | |||
Interest expense
|
613,720 | |||
Amortization of deferred debt issuance costs
|
530,634 | |||
Commitment fees
|
275,585 | |||
Insurance expense
|
213,959 | |||
Custody fees
|
88,000 | |||
Director fees
|
81,500 | |||
Legal fees, professional fees and due diligence expenses
|
(224,704 | ) | ||
Other operating expenses
|
178,283 | |||
Total expenses
|
16,081,977 | |||
Net investment income
|
54,242,619 | |||
Net realized and unrealized gain (loss)
|
||||
Net realized gain from:
|
||||
Investments in unaffiliated issuers
|
35,456,923 | |||
Investments in other affiliates
|
1,274,211 | |||
Foreign currency transactions
|
1,636,961 | |||
Net realized gain
|
38,368,095 | |||
Net change in net unrealized appreciation/depreciation on:
|
||||
Investments
|
(41,898,838 | ) | ||
Foreign currency
|
(919,076 | ) | ||
Net change in net unrealized appreciation/depreciation
|
(42,817,914 | ) | ||
Net realized and unrealized loss
|
(4,449,819 | ) | ||
Dividends paid on Series A preferred equity facility
|
(1,753,704 | ) | ||
Net change in accumulated dividends on Series A preferred equity facility
|
17,755 | |||
Dividends paid on Series Z preferred shareholders
|
- | |||
Net change in reserve for dividends to Series Z preferred shareholders
|
(11,262 | ) | ||
Net increase in net assets applicable to common shareholders resulting from operations
|
$ | 48,045,589 |
Six Months
|
||||||||
Ended
|
||||||||
June 30, 2011
|
Year Ended
|
|||||||
(Unaudited)
|
December 31, 2010
|
|||||||
Total common shareholder committed capital
|
$ | 1,105,000,000 | $ | 1,105,000,000 | ||||
Net assets applicable to common shareholders, beginning of period
|
$ | 1,010,097,800 | $ | 940,230,903 | ||||
Net investment income
|
54,242,619 | 107,002,523 | ||||||
Net realized gain
|
38,368,095 | 65,407,303 | ||||||
Net change in net unrealized appreciation/depreciation
|
(42,817,914 | ) | 6,106,544 | |||||
Dividends paid on Series A preferred equity facility from
|
||||||||
net investment income
|
(1,753,704 | ) | (3,661,319 | ) | ||||
Net change in accumulated dividends on Series A preferred
|
||||||||
equity facility
|
17,755 | 34,557 | ||||||
Dividends paid to Series Z preferred shareholders from
|
||||||||
net investment income
|
- | (44,708 | ) | |||||
Net change in reserve for dividends to Series Z preferred
|
||||||||
shareholders
|
(11,262 | ) | 21,997 | |||||
Net increase in net assets applicable to common
|
||||||||
shareholders resulting from operations
|
48,045,589 | 174,866,897 | ||||||
Distributions to common shareholders from:
|
||||||||
Net investment income
|
(49,500,000 | ) | (105,000,000 | ) | ||||
Net realized gain
|
(21,500,000 | ) | - | |||||
Total distributions to common shareholders
|
(71,000,000 | ) | (105,000,000 | ) | ||||
Net assets applicable to common shareholders, end of period
|
||||||||
(including accumulated net investment income and distributions in excess
|
||||||||
of net investment income of $2,262,259 and $744,411, respectively)
|
$ | 987,143,389 | $ | 1,010,097,800 |
Operating activities
|
||||
Net increase in net assets applicable to common shareholders resulting from operations
|
$ | 48,045,589 | ||
Adjustments to reconcile net increase in net assets applicable to common shareholders resulting from operations to net cash provided by operating activities:
|
||||
Net realized gain
|
(38,368,095 | ) | ||
Net change in net unrealized appreciation/depreciation
|
41,898,838 | |||
Dividends paid on Series A preferred equity facility
|
1,753,704 | |||
Net change in accumulated dividends on Series A preferred equity facility
|
(17,755 | ) | ||
Net change in reserve for dividends to Series Z preferred shareholders
|
11,262 | |||
Accrual of interest and dividend income paid in kind
|
(8,922,942 | ) | ||
Net accretion of market discount
|
(2,731,013 | ) | ||
Accretion of original issue discount
|
(1,979,787 | ) | ||
Amortization of deferred debt issuance costs
|
530,634 | |||
Changes in assets and liabilities:
|
||||
Purchases of investments
|
(299,592,787 | ) | ||
Net proceeds from sales, maturities and paydowns of investments
|
312,490,782 | |||
Decrease in receivable for investments sold
|
14,201,661 | |||
Increase in accrued interest income - unaffiliated issuers
|
(1,202,745 | ) | ||
Increase in accrued interest income - controlled companies
|
(111,074 | ) | ||
Increase in accrued interest income - other affiliated issuers
|
(1,316,280 | ) | ||
Increase in prepaid expenses and other assets
|
(682,930 | ) | ||
Decrease in payable for investments purchased
|
(722,388 | ) | ||
Increase in payable to investment manager
|
96,121 | |||
Increase in interest payable
|
1,375 | |||
Decrease in accrued expenses and other liabilities
|
(37,725 | ) | ||
Net cash provided by operating activities
|
63,344,445 | |||
Financing activities
|
||||
Proceeds from draws on credit facility
|
5,691,601 | |||
Principal repayments on credit facility
|
(9,980,268 | ) | ||
Dividends paid on Series A preferred equity facility
|
(1,753,704 | ) | ||
Distributions to common shareholders
|
(71,000,000 | ) | ||
Net cash used in financing activities
|
(77,042,371 | ) | ||
Net decrease in cash and cash equivalents
|
(13,697,926 | ) | ||
Cash and cash equivalents at beginning of period
|
134,975,289 | |||
Cash and cash equivalents at end of period
|
$ | 121,277,363 | ||
Supplemental disclosure:
|
||||
Interest payments
|
$ | 612,345 |
Level
|
Basis for Determining Fair Value
|
Bank Debt
|
Other
Corporate Debt
|
Equity
Securities
|
||||||||||
1
|
Quoted prices in active markets for identical assets
|
$ | - | $ | 55,070,250 | $ | 18,649,139 | |||||||
2
|
Other observable market inputs*
|
153,208,433 | 345,356,473 | 11,925,408 | ||||||||||
3
|
Independent third-party pricing sources that employ significant unobservable inputs
|
518,262,642 | 28,424,493 | 172,880,328 | ||||||||||
3
|
Internal valuations with significant unobservable inputs
|
2,871,422 | - | 12,500,328 | ||||||||||
Total
|
$ | 674,342,497 | $ | 428,851,216 | $ | 215,955,203 |
Independent Third-Party Valuation
|
||||||||||||
Bank Debt
|
Other
Corporate Debt
|
Equity
Securities
|
||||||||||
Beginning balance
|
$ | 441,244,014 | $ | 84,300,000 | $ | 145,954,427 | ||||||
Net realized and unrealized gains (losses)
|
6,973,833 | (20,554,397 | ) | 8,139,940 | ||||||||
Acquisitions
|
208,415,559 | 4,012,353 | 20,719,251 | |||||||||
Dispositions
|
(177,704,227 | ) | - | (1,933,290 | ) | |||||||
Reclassifications within Level 3
|
39,333,463 | (39,333,463 | ) | - | ||||||||
Ending balance
|
$ | 518,262,642 | $ | 28,424,493 | $ | 172,880,328 | ||||||
Net change in unrealized gains (losses) during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
|
$ | 4,599,132 | $ | (20,554,397 | ) | $ | 8,127,303 |
Investment Manager Valuation
|
||||||||||||
Bank Debt
|
Other Corporate
Debt
|
Equity Securities
|
||||||||||
Beginning balance
|
$ | 4,419,714 | $ | - | $ | 20,356,159 | ||||||
Net realized and unrealized gains (losses)
|
(40,689 | ) | - | (493,508 | ) | |||||||
Acquisitions
|
110,610 | - | - | |||||||||
Dispositions
|
(1,618,213 | ) | - | - | ||||||||
Transfer out of Level 3 †
|
- | - | (7,362,323 | ) | ||||||||
Ending balance
|
$ | 2,871,422 | $ | - | $ | 12,500,328 | ||||||
Net change in unrealized gains (losses) during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
|
$ | (40,689 | ) | $ | - | $ | (493,508 | ) |
Instrument
|
Realized Gain (Loss)
|
Change in Unrealized Depreciation
|
||||||
Currency options
|
$ | (1,208,808 | ) | $ | 749,590 | |||
Foreign currency forward exchange contract
|
- | (610,749 | ) |
Level
|
Basis for Determining Fair Value
|
Aggregate Value
|
||||
2
|
Other observable market inputs
|
$ | (610,749 | ) |
Unrealized appreciation
|
$ | 127,365,870 | ||
Unrealized depreciation
|
(230,097,660 | ) | ||
Net unrealized depreciation
|
$ | (102,731,790 | ) | |
Cost
|
$ | 1,421,269,957 |
Six Months
|
October 10, 2006
|
|||||||||||||||||||||||
Ended
|
(Inception) to
|
|||||||||||||||||||||||
June 30, 2011
|
Year Ended December 31,
|
December 31,
|
||||||||||||||||||||||
(Unaudited)
|
2010
|
2009
|
2008
|
2007
|
2006
|
|||||||||||||||||||
Per Common Share(1)
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 12,902.36 | $ | 12,009.93 | $ | 7,317.59 | $ | 15,376.96 | $ | 20,038.77 | $ | 20,000.00 | ||||||||||||
Equity placement costs charged to paid-in capital
|
- | - | (6.86 | ) | (18.62 | ) | (355.40 | ) | (10.34 | ) | ||||||||||||||
Investment operations:
|
||||||||||||||||||||||||
Net investment income (loss)
|
692.86 | 1,366.78 | 1,022.14 | 1,095.15 | (666.61 | ) | (111.27 | ) | ||||||||||||||||
Net realized and unrealized gain (loss)
|
(56.84 | ) | 913.47 | 4,688.68 | (8,186.72 | ) | (2,506.47 | ) | 164.16 | |||||||||||||||
Dividends on Series A preferred equity facility
|
(22.40 | ) | (46.77 | ) | (50.27 | ) | (104.90 | ) | (79.02 | ) | - | |||||||||||||
Net change in accumulated dividends on
|
||||||||||||||||||||||||
Series A preferred equity facility
|
0.23 | 0.44 | 9.72 | 5.96 | (74.10 | ) | (3.07 | ) | ||||||||||||||||
Dividends to Series Z preferred shareholders
|
- | (0.57 | ) | - | (0.95 | ) | - | - | ||||||||||||||||
Net change in reserve for dividends to
|
||||||||||||||||||||||||
Series Z preferred shareholders
|
(0.14 | ) | 0.28 | (0.29 | ) | 0.51 | (1.36 | ) | (0.71 | ) | ||||||||||||||
Total from investment operations
|
613.71 | 2,233.63 | 5,669.98 | (7,190.95 | ) | (3,327.56 | ) | 49.11 | ||||||||||||||||
Net increase from capital stock transactions
|
- | - | - | - | 456.74 | - | ||||||||||||||||||
Distributions to common shareholders from:
|
||||||||||||||||||||||||
Net investment income
|
(632.28 | ) | (1,341.20 | ) | (970.78 | ) | (849.80 | ) | - | - | ||||||||||||||
Net realized gain
|
(274.63 | ) | - | - | - | - | - | |||||||||||||||||
Returns of capital
|
- | - | - | - | (1,435.59 | ) | - | |||||||||||||||||
Net asset value, end of period
|
$ | 12,609.16 | $ | 12,902.36 | $ | 12,009.93 | $ | 7,317.59 | $ | 15,376.96 | $ | 20,038.77 | ||||||||||||
Return on invested assets (2), (3)
|
4.8 | % | 18.0 | % | 58.9 | % | (32.0 | )% | (3.3 | )% | 3.2 | % | ||||||||||||
Total return to common shareholders (2), (4)
|
4.8 | % | 19.4 | % | 81.6 | % | (51.2 | )% | (19.2 | )% | 0.2 | % | ||||||||||||
Less: performance allocation
|
- | - | - | - | - | - | ||||||||||||||||||
Return to common shareholders (2), (4)
|
4.8 | % | 19.4 | % | 81.6 | % | (51.2 | )% | (19.2 | )% | 0.2 | % | ||||||||||||
Ratios to average common equity: (5), (6)
|
||||||||||||||||||||||||
Net investment income (loss)
|
10.7 | % | 10.9 | % | 11.2 | % | 8.7 | % | 0.1 | % | (3.3 | )% | ||||||||||||
Expenses
|
3.2 | % | 3.4 | % | 4.9 | % | 7.9 | % | 11.7 | % | 14.3 | % | ||||||||||||
Expenses and General Partner allocation
|
3.2 | % | 3.4 | % | 4.9 | % | 7.9 | % | 11.7 | % | 14.3 | % | ||||||||||||
Ending common shareholder equity
|
$ | 987,143,389 | $ | 1,010,097,800 | $ | 940,230,903 | $ | 463,448,012 | $ | 694,367,823 | $ | 145,281,047 | ||||||||||||
Portfolio turnover rate (2)
|
23.9 | % | 66.8 | % | 48.3 | % | 61.5 | % | 42.7 | % | 6.1 | % | ||||||||||||
Weighted-average debt outstanding
|
$ | 90,721,274 | $ | 82,122,988 | $ | 119,602,754 | $ | 347,492,137 | $ | 125,714,977 | $ | 4,253,012 | ||||||||||||
Weighted-average interest rate
|
1.4 | % | 0.9 | % | 1.3 | % | 3.8 | % | 5.5 | % | 5.7 | % | ||||||||||||
Weighted-average number of shares
|
78,287.8060 | 78,287.8060 | 78,246.8351 | 50,800.8348 | 19,776.0839 | 7,250.0000 | ||||||||||||||||||
Average debt per share (7)
|
$ | 1,159 | $ | 1,049 | $ | 1,529 | $ | 6,840 | $ | 6,357 | $ | 587 |
Annualized Inception to Date Performance Data as of June 30, 2011:
|
||||
Return on invested assets (3)
|
6.5 | % | ||
Internal rate of return (8)
|
5.2 | % |
(1)
|
Per share changes in net asset value are computed based on the actual number of shares subscribed and outstanding during the time in which such activity occurred.
|
(2)
|
Not annualized for periods of less than one year.
|
(3)
|
Return on invested assets is a time-weighted, geometrically linked rate of return and excludes cash and cash equivalents.
|
(4)
|
Returns (net of dividends on the preferred equity facility, allocations to the General Partner, and fund expenses, including financing costs and management fees) calculated on a monthly geometrically linked, time-weighted basis.
|
(5)
|
Annualized for periods of less than one year, except for allocations to the General Partner.
|
(6)
|
These ratios included interest expense but do not reflect the effect of dividend payments on the preferred equity facility. The ratio of expenses to average common shareholder equity is higher in earlier periods, and net investment income to average common shareholder equity is reduced, due to the Company's relatively smaller capital base while the Company was ramping up.
|
(7)
|
Includes subscribed shares.
|
(8)
|
Returns are net of dividends on the preferred equity facility, allocations to the General Partner and fund expenses, including financing costs and management fees. Internal rate of return (“IRR”) is the imputed annual return over an investment period and, mathematically, is the rate of return at which the discounted cash flows equal the initial cash outlays. The IRR presented assumes liquidation of the fund at net asset value as of the balance sheet date, and is reduced in earlier periods due to the equity placement and offering costs that were charged to paid-in capital and the organizational costs that were expensed at the inception of the Company.
|
Value,
|
Value,
|
|||||||||||||||
Beginning of
|
End of
|
|||||||||||||||
Investment
|
Period
|
Acquisitions
|
Dispositions
|
Period
|
||||||||||||
Doral GP, Ltd., GP Interest
|
$ | 225 | $ | - | $ | - | $ | 225 | ||||||||
Encompass Digital Media Group, Inc., 1st Lien Revolver, 13%, due 12/31/14
|
3,825,000 | 262,276 | (3,825,000 | ) | - | |||||||||||
Encompass Digital Media Group, Inc., Common Stock
|
3,031,875 | - | - | 3,034,688 | ||||||||||||
Encompass Digital Media, Inc., 1st Lien Term Loan, LIBOR + 6%, 1.75% LIBOR Floor, due 2/28/16
|
- | 9,657,629 | (24,609 | ) | 10,113,715 | |||||||||||
Encompass Digital Media, Inc., 2nd Lien Term Loan, 16.5%, due 8/28/16
|
71,586,882 | 2,655,961 | (15,728,570 | ) | 57,915,356 | |||||||||||
ESP Holdings, Inc., 2nd Lien Term Loan, LIBOR + 10%, 3.5% LIBOR Floor, due 9/12/14
|
14,854,583 | - | (2,220,965 | ) | 12,633,618 | |||||||||||
ESP Holdings, Inc., Junior Unsecured Subordinated Promissory Notes, 18% PIK, due 3/31/15
|
1,749,916 | 120,744 | - | 1,870,660 | ||||||||||||
ESP Holdings, Inc., 15% PIK, Preferred Stock
|
988,369 | - | - | 1,055,412 | ||||||||||||
ESP Holdings, Inc., Common Stock
|
2,487,659 | - | - | 1,990,314 | ||||||||||||
Fleetwood Enterprises, Inc., Common Stock
|
11,501 | - | - | 11,501 | ||||||||||||
Integra Telecom Holdings, Inc., 1st Lien Term Loan, LIBOR + 7.25%, 2% LIBOR Floor, due 4/15/15
|
15,835,461 | - | - | 15,703,806 | ||||||||||||
Integra Telecom, Inc., Common Stock
|
51,369,376 | - | - | 49,168,984 | ||||||||||||
Integra Telecom, Inc., Warrants
|
44,376 | - | - | - | ||||||||||||
Medfort, S.a.r.1., 1st Lien Term Loan A, 15%, due 11/21/17
|
- | 1,639,328 | - | 3,730,694 | ||||||||||||
Medfort, S.a.r.1., 1st Lien Term Loan B, 1%, due 11/21/17
|
- | 39,661,307 | (1,234 | ) | 26,869,600 | |||||||||||
Online Resources Corporation, Common Stock
|
9,111,210 | - | - | 6,387,644 | ||||||||||||
Perseus Holdings S.A., Common Stock
|
- | 5,385,680 | - | 9,016,619 | ||||||||||||
Primacom Management GmbH, 2nd Lien Term Loan, 10% PIK, due 5/19/17
|
- | 4,635,071 | - | 11,692,238 | ||||||||||||
Primacom Management GmbH, Mezzanine Term Loan A, 1% PIK, due 11/21/17
|
- | 3,646,179 | - | 2,415,790 | ||||||||||||
Primacom Management GmbH, Mezzanine Term Loan B, 1% PIK, due 11/21/17
|
- | 13,270,961 | - | 8,792,752 | ||||||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Common Stock
|
- | 234,903 | - | 269,778 | ||||||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series A Preferred Stock
|
- | 308,089 | - | 353,829 | ||||||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series B Preferred Stock
|
- | 1,505,401 | - | 1,728,898 | ||||||||||||
Reach Media Group Holdings, Inc., Warrants to Purchase Series C Preferred Stock
|
- | 300,641 | - | 345,275 | ||||||||||||
RMG Networks, Inc., Senior Secured 1st Lien Term Loan, 14%, due 4/10/15
|
- | 12,132,334 | - | 12,399,349 | ||||||||||||
TOPV New World Holdings, LLC, Membership Interests
|
65,524,403 | 216,601 | - | 67,925,269 | ||||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N510UA), 20%, due 9/26/16
|
6,851,330 | - | (248,327 | ) | 6,631,422 | |||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N512UA), 20%, due 10/26/16
|
6,893,691 | - | (242,989 | ) | 6,685,051 | |||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N536UA), 16%, due 8/21/14
|
5,324,675 | - | (476,287 | ) | 4,804,603 | |||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N545UA), 16%, due 7/17/15
|
6,620,831 | - | (426,804 | ) | 6,214,587 | |||||||||||
United Air Lines, Inc., Aircraft Secured Mortgage (N585UA), 20%, due 10/25/16
|
8,097,209 | - | (285,306 | ) | 7,849,250 | |||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N510UA)
|
2,964,485 | 248,327 | (323,274 | ) | 3,792,296 | |||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N512UA)
|
2,934,268 | 242,988 | (323,274 | ) | 3,735,427 | |||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N536UA)
|
3,584,483 | 476,285 | (311,544 | ) | 5,052,049 | |||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N545UA)
|
3,410,770 | 426,803 | (361,800 | ) | 4,677,939 | |||||||||||
United Air Lines, Inc., Equipment Trust Beneficial Interests (N585UA)
|
3,230,557 | 285,305 | (379,572 | ) | 4,083,092 | |||||||||||
Woodbine Acquisition Corporation, Senior Secured Notes, 12%, due 5/15/16
|
- | 23,596,176 | - | 24,259,275 |
Investment
|
Acquisition Date
|
Cost
|
||||
Bally Total Fitness Holding Corporation, Common Stock
|
4/30/10
|
$ | 13,422,993 | |||
Bally Total Fitness Holding Corporation, Warrants
|
4/30/10
|
- | ||||
Contech Construction Products Holdings, Inc., Common Stock
|
6/29/11
|
- | ||||
DeepOcean Group Holding AS, Common Stock
|
5/13/11
|
9,786,480 | ||||
GSI Group, Inc., Common Stock
|
7/23/10
|
3,379,704 | ||||
GSI Group, Inc., Senior Secured Notes, 12.25% Cash or 13% PIK, due 1/15/14
|
Various 2010
|
16,560,908 | ||||
GXS Holdings, Inc., Common Stock
|
3/28/08
|
2,510,633 | ||||
GXS Holdings, Inc., Series A Preferred Stock
|
3/28/08
|
100,425 | ||||
Hawaiian Telcom Holdco, Inc., Common Stock
|
Var. 2010 & 2011
|
7,795,324 | ||||
Hawaiian Telcom Holdco, Inc., Warrants
|
Various 2008
|
5,025,972 | ||||
ITC^DeltaCom, Inc., Senior Secured Notes, 10.5%, due 4/1/16
|
4/9/10
|
17,780,617 | ||||
MSX International, Inc., Senior Secured 2nd Lien Notes, 12.5%, due 4/1/12
|
Various 2010
|
15,282,535 | ||||
NEF Kamchia Co-Investment Fund, LP Interest
|
7/31/07
|
8,982,702 | ||||
NEF Telecom Company BV, Mezzanine Term Loan, EURIBOR + 4.5% Cash + 7.5% PIK, due 8/16/17
|
8/31/07
|
69,576,180 | ||||
Novasep Holdings SAS, Senior Secured 1st Lien Notes, 9.75%, due 12/15/16
|
Various 2011
|
20,497,233 | ||||
Novasep Holdings SAS, Senior Secured Notes, 9.625%, due 12/15/16
|
4/5/11
|
1,217,603 | ||||
Precision Holdings, LLC, Class C Membership Interests
|
9/30/10
|
1,858 | ||||
Shop Holding, LLC, Class A Units
|
6/2/11
|
1,301,747 | ||||
Shop Holding, LLC, Warrants to Purchase Class A Units
|
6/2/11
|
- | ||||
STG-Fairway Holdings, LLC, Class A Units
|
12/30/10
|
3,096,484 | ||||
TPG Hattrick Holdco, LLC, Common Units
|
9/30/10
|
892,388 | ||||
Tropicana Entertainment, Inc., Common Stock
|
3/8/10
|
9,612,500 |
Tennenbaum
|
Tennenbaum
|
Tennenbaum
|
||||||||||||||
Opportunities
|
Opportunities
|
Opportunities
|
||||||||||||||
Fund V, LLC
|
Partners V, LP
|
Fund V, LLC
|
||||||||||||||
Standalone
|
Standalone
|
Eliminations
|
Consolidated
|
|||||||||||||
Assets
|
||||||||||||||||
Investments:
|
||||||||||||||||
Unaffiliated issuers
|
$ | - | $ | 935,937,911 | $ | - | $ | 935,937,911 | ||||||||
Controlled companies
|
- | 53,525,716 | 53,525,716 | |||||||||||||
Investment in subsidiary
|
987,189,795 | - | (987,189,795 | ) | - | |||||||||||
Other affiliates
|
- | 329,685,289 | - | 329,685,289 | ||||||||||||
Total investments
|
987,189,795 | 1,319,148,916 | (987,189,795 | ) | 1,319,148,916 | |||||||||||
Cash and cash equivalents
|
- | 121,277,363 | - | 121,277,363 | ||||||||||||
Accrued interest income
|
- | 20,185,970 | - | 20,185,970 | ||||||||||||
Deferred debt issuance costs
|
- | 3,762,856 | - | 3,762,856 | ||||||||||||
Receivable for investments sold
|
- | 360,940 | - | 360,940 | ||||||||||||
Receivable from the Partnership
|
773,163 | - | (773,163 | ) | - | |||||||||||
Prepaid expenses and other assets
|
117,282 | 759,560 | - | 876,842 | ||||||||||||
Total assets
|
988,080,240 | 1,465,495,605 | (987,962,958 | ) | 1,465,612,887 | |||||||||||
Liabilities
|
||||||||||||||||
Credit facility payable
|
- | 89,912,400 | - | 89,912,400 | ||||||||||||
Payable for investments purchased
|
- | 14,216,090 | - | 14,216,090 | ||||||||||||
Management and advisory fees payable
|
- | 2,387,500 | - | 2,387,500 | ||||||||||||
Payable to the Company
|
- | 773,163 | (773,163 | ) | - | |||||||||||
Unrealized loss on foreign currency
|
||||||||||||||||
forward exchange contract
|
- | 610,749 | - | 610,749 | ||||||||||||
Equity placement costs payable
|
543,163 | - | - | 543,163 | ||||||||||||
Payable to the Investment Manager
|
37,461 | 109,269 | - | 146,730 | ||||||||||||
Interest payable
|
- | 4,161 | - | 4,161 | ||||||||||||
Accrued expenses and other liabilities
|
63,498 | 442,754 | - | 506,252 | ||||||||||||
Total liabilities
|
644,122 | 108,456,086 | (773,163 | ) | 108,327,045 | |||||||||||
Preferred stock
|
||||||||||||||||
Series Z preferred stock
|
280,000 | - | - | 280,000 | ||||||||||||
Accumulated dividends on Series Z preferred stock
|
12,729 | - | - | 12,729 | ||||||||||||
Total preferred stock
|
292,729 | - | - | 292,729 | ||||||||||||
Preferred equity facility
|
||||||||||||||||
Series A preferred limited partner interests
|
- | 369,000,000 | - | 369,000,000 | ||||||||||||
Accumulated dividends on Series A
|
||||||||||||||||
preferred equity facility
|
- | 849,724 | - | 849,724 | ||||||||||||
Total preferred limited partner interests
|
- | 369,849,724 | - | 369,849,724 | ||||||||||||
Net assets
|
$ | 987,143,389 | $ | 987,189,795 | $ | (987,189,795 | ) | $ | 987,143,389 | |||||||
Composition of net assets
|
||||||||||||||||
Common stock
|
$ | 78 | $ | - | $ | - | $ | 78 | ||||||||
Additional paid-in capital
|
1,078,833,219 | 1,081,728,330 | (1,081,728,330 | ) | 1,078,833,219 | |||||||||||
Accumulated losses
|
(91,677,179 | ) | (94,538,535 | ) | 94,538,535 | (91,677,179 | ) | |||||||||
Accumulated dividends to Series Z
|
||||||||||||||||
preferred shareholders
|
(12,729 | ) | - | - | (12,729 | ) | ||||||||||
Net assets
|
$ | 987,143,389 | $ | 987,189,795 | $ | (987,189,795 | ) | $ | 987,143,389 |
Tennenbaum
|
Tennenbaum
|
Tennenbaum
|
||||||||||||||
Opportunities
|
Opportunities
|
Opportunities
|
||||||||||||||
Fund V, LLC
|
Partners V, LP
|
Fund V, LLC
|
||||||||||||||
Standalone
|
Standalone
|
Eliminations
|
Consolidated
|
|||||||||||||
Investment income
|
||||||||||||||||
Interest income:
|
||||||||||||||||
Unaffiliated issuers
|
$ | - | $ | 54,939,856 | $ | - | $ | 54,939,856 | ||||||||
Controlled companies
|
- | 2,348,614 | 2,348,614 | |||||||||||||
Other affiliates
|
- | 8,497,295 | - | 8,497,295 | ||||||||||||
Other income:
|
- | - | - | |||||||||||||
Unaffiliated issuers
|
- | 4,071,659 | 4,071,659 | |||||||||||||
Controlled companies
|
- | 467,172 | 467,172 | |||||||||||||
Total interest and related investment income
|
- | 70,324,596 | - | 70,324,596 | ||||||||||||
Operating expenses:
|
||||||||||||||||
Management and advisory fees
|
- | 14,325,000 | - | 14,325,000 | ||||||||||||
Interest expense
|
- | 613,720 | - | 613,720 | ||||||||||||
Amortization of deferred debt issuance costs
|
- | 530,634 | - | 530,634 | ||||||||||||
Commitment fees
|
- | 275,585 | - | 275,585 | ||||||||||||
Insurance expense
|
64,260 | 149,699 | - | 213,959 | ||||||||||||
Custody fees
|
- | 88,000 | - | 88,000 | ||||||||||||
Director fees
|
27,165 | 54,335 | - | 81,500 | ||||||||||||
Legal fees, professional fees and
|
||||||||||||||||
due diligence expenses
|
36,649 | (261,353 | ) | - | (224,704 | ) | ||||||||||
Other operating expenses
|
(1,183 | ) | 179,466 | - | 178,283 | |||||||||||
Total expenses
|
126,891 | 15,955,086 | - | 16,081,977 | ||||||||||||
Net investment income
|
(126,891 | ) | 54,369,510 | - | 54,242,619 | |||||||||||
Net realized and unrealized gain (loss)
|
||||||||||||||||
Net realized gain from:
|
||||||||||||||||
Investments in unaffiliated issuers
|
- | 35,456,923 | - | 35,456,923 | ||||||||||||
Investments in other affiliates
|
- | 1,274,211 | - | 1,274,211 | ||||||||||||
Foreign currency transactions
|
- | 1,636,961 | - | 1,636,961 | ||||||||||||
Net realized gain
|
- | 38,368,095 | - | 38,368,095 | ||||||||||||
Net change in net unrealized depreciation
|
48,183,742 | (42,817,914 | ) | (48,183,742 | ) | (42,817,914 | ) | |||||||||
Net realized and unrealized loss
|
48,183,742 | (4,449,819 | ) | (48,183,742 | ) | (4,449,819 | ) | |||||||||
Dividends paid on Series A preferred equity facility
|
- | (1,753,704 | ) | - | (1,753,704 | ) | ||||||||||
Net change in accumulated dividends on
|
||||||||||||||||
Series A preferred equity facility
|
- | 17,755 | - | 17,755 | ||||||||||||
Dividends paid to Series Z preferred shareholders
|
- | - | - | - | ||||||||||||
Net change in reserve for distributions to
|
||||||||||||||||
Series Z preferred shareholders
|
(11,262 | ) | - | - | (11,262 | ) | ||||||||||
Net increase in net assets resulting
|
||||||||||||||||
from operations
|
$ | 48,045,589 | $ | 48,183,742 | $ | (48,183,742 | ) | $ | 48,045,589 |
ITEM 2.
|
CODE OF ETHICS.
|
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT.
|
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES.
|
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS.
|
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
|
ITEM 8.
|
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT COMPANIES.
|
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
|
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
|
ITEM 11.
|
CONTROLS AND PROCEDURES.
|
ITEM 12.
|
EXHIBITS.
|
By:
|
/s/ Hugh Steven Wilson
|
Name: Hugh Steven Wilson
|
|
Title: Chief Executive Officer
|
|
Date: September 7, 2011
|
By:
|
/s/ Hugh Steven Wilson
|
Name: Hugh Steven Wilson
|
|
Title: Chief Executive Officer
|
|
Date: September 7, 2011
|
|
By:
|
/s/ Paul L. Davis
|
Name: Paul L. Davis
|
|
Title: Chief Financial Officer
|
|
Date: September 7, 2011
|
/s/ Hugh Steven Wilson
|
|
Hugh Steven Wilson
|
|
Chief Executive Officer
|
/s/ Paul L. Davis
|
|
Paul L. Davis
|
|
Chief Financial Officer
|
/s/ Hugh Steven Wilson
|
|
Hugh Steven Wilson
|
|
Chief Executive Officer
|
|
Dated: September 7, 2011
|
|
/s/ Paul L. Davis
|
|
Paul L. Davis
|
|
Chief Financial Officer
|