|
Maryland
|
| |
80-0741103
|
|
|
(State or other jurisdiction of
incorporation or organization) |
| |
(I.R.S. Employer
Identification No.) |
|
|
201 Rouse Boulevard
Philadelphia, Pennsylvania |
| |
19112
|
|
|
(Address of principal executive offices)
|
| |
(Zip Code)
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|
| | | | Large accelerated filer | | | ☐ | | | Accelerated filer | | | ☐ | |
| | | | Non-accelerated filer | | | ☑ (Do not check if a smaller reporting company) | | | Smaller reporting company | | | ☐ | |
| | | | | | | | | | Emerging growth company | | | ☐ | |
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Page
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PART I—FINANCIAL INFORMATION | | | |||||
ITEM 1.
FINANCIAL STATEMENTS
|
| | |||||
| | | | 1 | | | |
| | | | 2 | | | |
| | | | 3 | | | |
| | | | 4 | | | |
| | | | 17 | | | |
| | | | 28 | | | |
| | | | 57 | | | |
| | | | 74 | | | |
| | | | 75 | | | |
PART II—OTHER INFORMATION | | | |||||
| | | | 77 | | | |
| | | | 77 | | | |
| | | | 77 | | | |
| | | | 77 | | | |
| | | | 77 | | | |
| | | | 77 | | | |
| | | | 78 | | | |
| | | | 83 | | |
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||
Assets | | | | ||||||||||
Investments, at fair value | | | | ||||||||||
Non-controlled/unaffiliated investments (amortized cost—$4,391,551 and $4,270,442, respectively)
|
| | | $ | 4,417,793 | | | | | $ | 4,212,299 | | |
Non-controlled/affiliated investments (amortized cost—$175,294 and $266,825, respectively)
|
| | | | 195,556 | | | | | | 285,096 | | |
Controlled/affiliated investments (amortized cost—$41,923 and $0, respectively)
|
| | | | 12,277 | | | | | | — | | |
Total investments, at fair value (amortized cost—$4,608,768 and $4,537,267, respectively)
|
| | | | 4,625,626 | | | | | | 4,497,395 | | |
Cash
|
| | | | 521,270 | | | | | | 347,076 | | |
Foreign currency, at fair value (cost—$8,331 and $0, respectively)
|
| | | | 8,547 | | | | | | — | | |
Receivable for investments sold and repaid
|
| | | | 2,359 | | | | | | 73,994 | | |
Interest receivable
|
| | | | 54,706 | | | | | | 43,078 | | |
Deferred financing costs
|
| | | | 6,119 | | | | | | 6,315 | | |
Prepaid expenses and other assets
|
| | | | 176 | | | | | | — | | |
Total assets
|
| | | $ | 5,218,803 | | | | | $ | 4,967,858 | | |
Liabilities | | | | ||||||||||
Payable for investments purchased
|
| | | $ | 43,945 | | | | | $ | 14,089 | | |
Repurchase agreements payable (net of deferred financing costs of $0 and $1,065, respectively)(1)
|
| | | | — | | | | | | 398,935 | | |
Credit facilities payable (net of deferred financing costs of $5,630 and $5,534, respectively)(1)
|
| | | | 2,175,717 | | | | | | 1,569,845 | | |
Secured borrowing, at fair value (amortized proceeds of $8,152 and $8,139, respectively)(1)
|
| | | | 8,312 | | | | | | 8,273 | | |
Stockholder distributions payable
|
| | | | 10,825 | | | | | | 10,181 | | |
Management fees payable
|
| | | | 22,547 | | | | | | 21,610 | | |
Subordinated income incentive fees payable(2)
|
| | | | 10,137 | | | | | | 16,493 | | |
Administrative services expense payable
|
| | | | 962 | | | | | | 792 | | |
Interest payable
|
| | | | 16,017 | | | | | | 13,669 | | |
Directors’ fees payable
|
| | | | 298 | | | | | | 282 | | |
Other accrued expenses and liabilities
|
| | | | 1,648 | | | | | | 3,829 | | |
Total liabilities
|
| | | | 2,290,408 | | | | | | 2,057,998 | | |
Commitments and contingencies(3) | | | | ||||||||||
Stockholders’ equity | | | | ||||||||||
Preferred stock, $0.001 par value, 50,000,000 shares authorized, none issued and outstanding
|
| | | | — | | | | | | — | | |
Common stock, $0.001 par value, 450,000,000 shares authorized, 326,954,161 and 326,909,727 shares issued and outstanding, respectively
|
| | | | 327 | | | | | | 327 | | |
Capital in excess of par value
|
| | | | 3,016,330 | | | | | | 3,015,993 | | |
Accumulated undistributed net realized gain/loss on investments and gain/loss on foreign currency(4)
|
| | | | (169,289) | | | | | | (120,529) | | |
Accumulated undistributed net investment income(4)
|
| | | | 64,699 | | | | | | 54,075 | | |
Net unrealized appreciation (depreciation) on investments and secured borrowing
|
| | | | 16,328 | | | | | | (40,006) | | |
Total stockholders’ equity
|
| | | | 2,928,395 | | | | | | 2,909,860 | | |
Total liabilities and stockholders’ equity
|
| | | $ | 5,218,803 | | | | | $ | 4,967,858 | | |
Net asset value per share of common stock at period end
|
| | | $ | 8.96 | | | | | $ | 8.90 | | |
| | |
Three Months Ended
September 30, |
| |
Nine Months Ended
September 30, |
| ||||||||||||||||||
| | |
2017
|
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2016
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2017
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2016
|
| ||||||||||||
Investment income | | | | | | ||||||||||||||||||||
From non-controlled/unaffiliated investments: | | | | | | ||||||||||||||||||||
Interest income
|
| | | $ | 97,122 | | | | | $ | 97,750 | | | | | $ | 290,519 | | | | | $ | 316,134 | | |
Paid-in-kind interest income
|
| | | | 8,863 | | | | | | 8,893 | | | | | | 17,121 | | | | | | 15,004 | | |
Fee income
|
| | | | 5,874 | | | | | | 8,525 | | | | | | 44,974 | | | | | | 19,388 | | |
Dividend income
|
| | | | — | | | | | | — | | | | | | 11 | | | | | | — | | |
From non-controlled/affiliated investments: | | | | | | ||||||||||||||||||||
Interest income
|
| | | | 7,301 | | | | | | 2,891 | | | | | | 18,448 | | | | | | 6,163 | | |
Paid-in-kind interest income
|
| | | | 393 | | | | | | 1,007 | | | | | | 3,067 | | | | | | 2,878 | | |
Fee income
|
| | | | 1,349 | | | | | | — | | | | | | 1,349 | | | | | | 700 | | |
From controlled/affiliated investments: | | | | | | ||||||||||||||||||||
Interest income
|
| | | | — | | | | | | — | | | | | | 1,217 | | | | | | — | | |
Total investment income
|
| | | | 120,902 | | | | | | 119,066 | | | | | | 376,706 | | | | | | 360,267 | | |
Operating expenses | | | | | | ||||||||||||||||||||
Management fees(1)
|
| | | | 25,769 | | | | | | 24,635 | | | | | | 77,005 | | | | | | 72,989 | | |
Subordinated income incentive fees(2)
|
| | | | 10,137 | | | | | | 14,252 | | | | | | 42,352 | | | | | | 45,836 | | |
Administrative services expenses
|
| | | | 799 | | | | | | 1,039 | | | | | | 2,530 | | | | | | 3,096 | | |
Stock transfer agent fees
|
| | | | 506 | | | | | | 506 | | | | | | 1,502 | | | | | | 1,549 | | |
Accounting and administrative fees
|
| | | | 434 | | | | | | 368 | | | | | | 1,303 | | | | | | 1,069 | | |
Interest expense
|
| | | | 22,786 | | | | | | 17,668 | | | | | | 62,971 | | | | | | 51,827 | | |
Directors’ fees
|
| | | | 278 | | | | | | 290 | | | | | | 849 | | | | | | 835 | | |
Other general and administrative expenses
|
| | | | 1,102 | | | | | | 1,166 | | | | | | 2,978 | | | | | | 3,634 | | |
Operating expenses
|
| | | | 61,811 | | | | | | 59,924 | | | | | | 191,490 | | | | | | 180,835 | | |
Management fee waiver(1)
|
| | | | (3,222) | | | | | | (3,080) | | | | | | (9,626) | | | | | | (9,124) | | |
Net expenses
|
| | | | 58,589 | | | | | | 56,844 | | | | | | 181,864 | | | | | | 171,711 | | |
Net investment income
|
| | | | 62,313 | | | | | | 62,222 | | | | | | 194,842 | | | | | | 188,556 | | |
Realized and unrealized gain/loss | | | | | | ||||||||||||||||||||
Net realized gain (loss) on investments: | | | | | | ||||||||||||||||||||
Non-controlled/unaffiliated investments
|
| | | | (13,262) | | | | | | (40,465) | | | | | | (56,519) | | | | | | (87,286) | | |
Non-controlled/affiliated investments
|
| | | | 7,320 | | | | | | (14) | | | | | | 7,320 | | | | | | (14) | | |
Net realized gain (loss) on foreign currency
|
| | | | 122 | | | | | | (5) | | | | | | 439 | | | | | | (2) | | |
Net change in unrealized appreciation (depreciation) on investments:
|
| | | | | ||||||||||||||||||||
Non-controlled/unaffiliated investments
|
| | | | 14,895 | | | | | | 137,129 | | | | | | 84,385 | | | | | | 218,904 | | |
Non-controlled/affiliated investments
|
| | | | 8,323 | | | | | | (902) | | | | | | 1,991 | | | | | | 3,532 | | |
Controlled/affiliated investments
|
| | | | (18,217) | | | | | | — | | | | | | (29,646) | | | | | | — | | |
Net change in unrealized appreciation (depreciation) on secured borrowing(3)
|
| | | | 10 | | | | | | (94) | | | | | | (26) | | | | | | (94) | | |
Net change in unrealized gain (loss) on foreign currency
|
| | | | (186) | | | | | | — | | | | | | (370) | | | | | | — | | |
Total net realized and unrealized gain (loss)
|
| | | | (995) | | | | | | 95,649 | | | | | | 7,574 | | | | | | 135,040 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 61,318 | | | | | $ | 157,871 | | | | | $ | 202,416 | | | | | $ | 323,596 | | |
Per share information—basic and diluted | | | | | | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations (Earnings per Share)
|
| | | $ | 0.19 | | | | | $ | 0.49 | | | | | $ | 0.62 | | | | | $ | 1.00 | | |
Weighted average shares outstanding
|
| | | | 324,993,290 | | | | | | 324,468,282 | | | | | | 325,613,608 | | | | | | 323,463,183 | | |
|
| | |
Nine Months Ended
September 30, |
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2017
|
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2016
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| ||||||
Operations | | | | ||||||||||
Net investment income
|
| | | $ | 194,842 | | | | | $ | 188,556 | | |
Net realized gain (loss) on investments and foreign currency
|
| | | | (48,760) | | | | | | (87,302) | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 56,730 | | | | | | 222,436 | | |
Net change in unrealized appreciation (depreciation) on secured borrowing(1)
|
| | | | (26) | | | | | | (94) | | |
Net change in unrealized gain (loss) on foreign currency
|
| | | | (370) | | | | | | — | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 202,416 | | | | | | 323,596 | | |
Stockholder distributions(2) | | | | ||||||||||
Distributions from net investment income
|
| | | | (184,218) | | | | | | (176,987) | | |
Distributions from net realized gain on investments
|
| | | | — | | | | | | (5,888) | | |
Net decrease in net assets resulting from stockholder distributions
|
| | | | (184,218) | | | | | | (182,875) | | |
Capital share transactions(3) | | | | ||||||||||
Reinvestment of stockholder distributions
|
| | | | 92,907 | | | | | | 106,401 | | |
Repurchases of common stock
|
| | | | (92,570) | | | | | | (62,325) | | |
Net increase in net assets resulting from capital share transactions
|
| | | | 337 | | | | | | 44,076 | | |
Total increase (decrease) in net assets
|
| | | | 18,535 | | | | | | 184,797 | | |
Net assets at beginning of period
|
| | | | 2,909,860 | | | | | | 2,690,412 | | |
Net assets at end of period
|
| | | $ | 2,928,395 | | | | | $ | 2,875,209 | | |
Accumulated undistributed net investment income(2)
|
| | | $ | 64,699 | | | | | $ | 46,593 | | |
|
| | |
Nine Months Ended
September 30, |
| |||||||||
| | |
2017
|
| |
2016
|
| ||||||
Cash flows from operating activities | | | | ||||||||||
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 202,416 | | | | | $ | 323,596 | | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
|
| | | ||||||||||
Purchases of investments
|
| | | | (1,490,626) | | | | | | (806,968) | | |
Paid-in-kind interest
|
| | | | (20,188) | | | | | | (17,882) | | |
Proceeds from sales and repayments of investments
|
| | | | 1,409,656 | | | | | | 1,104,157 | | |
Net realized (gain) loss on investments
|
| | | | 49,199 | | | | | | 87,300 | | |
Net change in unrealized (appreciation) depreciation on investments
|
| | | | (56,730) | | | | | | (222,436) | | |
Net change in unrealized (appreciation) depreciation on secured borrowing
|
| | | | 26 | | | | | | 94 | | |
Accretion of discount
|
| | | | (19,542) | | | | | | (12,864) | | |
Amortization of deferred financing costs and discount
|
| | | | 3,982 | | | | | | 2,565 | | |
Unrealized (gain) loss on borrowings in foreign currency
|
| | | | 1,114 | | | | | | — | | |
(Increase) decrease in receivable for investments sold and repaid
|
| | | | 71,635 | | | | | | (18,363) | | |
(Increase) decrease in interest receivable
|
| | | | (11,628) | | | | | | (15,805) | | |
(Increase) decrease in prepaid expenses and other assets
|
| | | | (176) | | | | | | 170 | | |
Increase (decrease) in payable for investments purchased
|
| | | | 29,856 | | | | | | 30,976 | | |
Increase (decrease) in management fees payable
|
| | | | 937 | | | | | | 26 | | |
Increase (decrease) in subordinated income incentive fees payable
|
| | | | (6,356) | | | | | | (2,002) | | |
Increase (decrease) in administrative services expense payable
|
| | | | 170 | | | | | | (231) | | |
Increase (decrease) in interest payable
|
| | | | 2,348 | | | | | | 857 | | |
Increase (decrease) in directors’ fees payable
|
| | | | 16 | | | | | | (6) | | |
Increase (decrease) in other accrued expenses and liabilities
|
| | | | (2,181) | | | | | | (2,203) | | |
Net cash provided by (used in) operating activities
|
| | | | 163,928 | | | | | | 450,981 | | |
Cash flows from financing activities | | | | ||||||||||
Reinvestment of stockholder distributions
|
| | | | 92,907 | | | | | | 106,401 | | |
Repurchases of common stock
|
| | | | (92,570) | | | | | | (62,325) | | |
Stockholder distributions
|
| | | | (183,574) | | | | | | (193,072) | | |
Borrowings under credit facilities(1)
|
| | | | 777,821 | | | | | | 95,000 | | |
Proceeds from secured borrowing(1)
|
| | | | — | | | | | | 8,132 | | |
Repayments of credit facilities(1)
|
| | | | (172,967) | | | | | | (202,961) | | |
Repayments of repurchase agreement
|
| | | | (400,000) | | | | | | — | | |
Deferred financing costs paid
|
| | | | (2,804) | | | | | | (2,901) | | |
Net cash provided by financing activities
|
| | | | 18,813 | | | | | | (251,726) | | |
Total increase (decrease) in cash
|
| | | | 182,741 | | | | | | 199,255 | | |
Cash at beginning of period
|
| | | | 347,076 | | | | | | 228,781 | | |
Cash at end of period
|
| | | $ | 529,817 | | | | | $ | 428,036 | | |
Supplemental disclosure | | | | ||||||||||
Local and excise taxes paid
|
| | | $ | 1,826 | | | | | $ | 2,069 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Senior Secured Loans—First Lien—110.5% | | | | | | | | | | |||||||||||||||||||||||||||||||
5 Arch Income Fund 2, LLC
|
| |
(o)(s)
|
| | Diversified Financials | | |
10.5%
|
| | | | | | | | | | 11/18/21 | | | | | $ | 10,637 | | | | | $ | 10,661 | | | | | $ | 10,637 | | |
5 Arch Income Fund 2, LLC
|
| |
(o)(p)(s)
|
| | Diversified Financials | | |
10.5%
|
| | | | | | | | | | 11/18/21 | | | | | | 8,363 | | | | | | 8,363 | | | | | | 8,363 | | |
A.T. Cross Co.
|
| |
(m)(n)(y)
|
| | Retailing | | |
L+500, 5.0% PIK
(5.0% Max PIK) |
| | | | 1.0% | | | | | | 9/6/19 | | | | | | 56,447 | | | | | | 40,680 | | | | | | 12,277 | | |
Abaco Energy Technologies LLC
|
| |
(j)
|
| | Energy | | |
L+700, 2.5% PIK
(2.5% Max PIK) |
| | | | 1.0% | | | | | | 11/20/20 | | | | | | 26,029 | | | | | | 25,192 | | | | | | 25,509 | | |
Actian Corp.
|
| |
(f)(g)(j)
|
| | Software & Services | | |
L+796
|
| | | | 1.0% | | | | | | 6/30/22 | | | | | | 45,714 | | | | | | 45,714 | | | | | | 46,057 | | |
AG Group Merger Sub, Inc.
|
| |
(f)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 12/29/23 | | | | | | 62,576 | | | | | | 62,576 | | | | | | 63,358 | | |
All Systems Holding LLC
|
| |
(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+770
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 93,000 | | | | | | 93,000 | | | | | | 94,395 | | |
Altus Power America, Inc.
|
| |
(k)
|
| | Energy | | |
L+750
|
| | | | 1.5% | | | | | | 9/30/21 | | | | | | 2,866 | | | | | | 2,866 | | | | | | 2,905 | | |
Altus Power America, Inc.
|
| |
(p)
|
| | Energy | | |
L+750
|
| | | | 1.5% | | | | | | 9/30/21 | | | | | | 884 | | | | | | 884 | | | | | | 896 | | |
Ascension Insurance, Inc.
|
| |
(f)(g)(h)(j)
|
| | Insurance | | |
L+825
|
| | | | 1.3% | | | | | | 3/5/19 | | | | | | 78,519 | | | | | | 78,134 | | | | | | 79,893 | | |
Ascension Insurance, Inc.
|
| |
(p)
|
| | Insurance | | |
L+825
|
| | | | 1.3% | | | | | | 3/5/19 | | | | | | 27,800 | | | | | | 27,800 | | | | | | 28,287 | | |
Aspect Software, Inc.
|
| | | | | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/18 | | | | | | 1,804 | | | | | | 1,804 | | | | | | 1,800 | | |
Aspect Software, Inc.
|
| |
(p)
|
| | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/18 | | | | | | 46 | | | | | | 46 | | | | | | 46 | | |
Aspect Software, Inc.
|
| |
(j)
|
| | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/20 | | | | | | 3,644 | | | | | | 3,644 | | | | | | 3,644 | | |
Aspect Software, Inc.
|
| |
(p)
|
| | Software & Services | | |
L+1200
|
| | | | 1.0% | | | | | | 5/25/18 | | | | | | 657 | | | | | | 657 | | | | | | 657 | | |
Atlas Aerospace LLC
|
| |
(f)(k)
|
| | Capital Goods | | |
L+802
|
| | | | 1.0% | | | | | | 5/8/19 | | | | | | 57,000 | | | | | | 57,000 | | | | | | 57,855 | | |
ATX Networks Corp.
|
| |
(f)(g)(o)
|
| |
Technology Hardware & Equipment
|
| |
L+600
|
| | | | 1.0% | | | | | | 6/11/21 | | | | | | 1,926 | | | | | | 1,907 | | | | | | 1,906 | | |
ATX Networks Corp.
|
| |
(f)(k)(o)
|
| |
Technology Hardware & Equipment
|
| |
L+600
|
| | | | 1.0% | | | | | | 6/11/21 | | | | | | 25,766 | | | | | | 25,122 | | | | | | 25,508 | | |
AVF Parent, LLC
|
| |
(f)(j)(k)
|
| | Retailing | | |
L+725
|
| | | | 1.3% | | | | | | 3/1/24 | | | | | | 42,463 | | | | | | 42,462 | | | | | | 44,063 | | |
AVF Parent, LLC
|
| |
(p)
|
| | Retailing | | |
L+725
|
| | | | 1.3% | | | | | | 3/1/24 | | | | | | 12,900 | | | | | | 12,900 | | | | | | 13,386 | | |
BenefitMall Holdings, Inc.
|
| |
(g)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0% | | | | | | 11/24/20 | | | | | | 108,102 | | | | | | 108,102 | | | | | | 108,102 | | |
Borden Dairy Co.
|
| |
(g)(h)(j)
|
| | Food, Beverage & Tobacco | | |
L+825
|
| | | | 1.0% | | | | | | 7/6/23 | | | | | | 52,500 | | | | | | 52,500 | | | | | | 52,261 | | |
Cactus Wellhead, LLC
|
| |
(f)(g)
|
| | Energy | | |
L+600
|
| | | | 1.0% | | | | | | 7/31/20 | | | | | | 16,253 | | | | | | 15,591 | | | | | | 15,955 | | |
Cadence Aerospace Finance, Inc.
|
| |
(f)
|
| | Capital Goods | | |
L+625
|
| | | | 1.3% | | | | | | 5/9/18 | | | | | | 2,695 | | | | | | 2,699 | | | | | | 2,589 | | |
CEVA Group Plc
|
| |
(o)(p)
|
| | Transportation | | |
L+500
|
| | | | | | | | | | 3/19/19 | | | | | | 20,000 | | | | | | 20,000 | | | | | | 18,600 | | |
Cimarron Energy Inc.
|
| |
(k)
|
| | Energy | | |
L+1150 PIK
(11.5% Max PIK) |
| | | | 1.0% | | | | | | 12/15/19 | | | | | | 24,811 | | | | | | 24,811 | | | | | | 21,710 | | |
ConnectiveRx, LLC
|
| |
(f)(g)(j)
|
| |
Health Care Equipment & Services
|
| |
L+829
|
| | | | 1.0% | | | | | | 11/25/21 | | | | | | 26,000 | | | | | | 26,000 | | | | | | 25,988 | | |
Crestwood Holdings LLC
|
| |
(f)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 6/19/19 | | | | | | 4,203 | | | | | | 4,197 | | | | | | 4,198 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 11/1/21 | | | | | | 2,296 | | | | | | 2,296 | | | | | | 2,310 | | |
CSafe Acquisition Co., Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 11/1/21 | | | | | | 3,965 | | | | | | 3,965 | | | | | | 3,990 | | |
CSafe Acquisition Co., Inc.
|
| |
(f)(g)(h)(j)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 50,061 | | | | | | 50,061 | | | | | | 50,374 | | |
CSafe Acquisition Co., Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 26,797 | | | | | | 26,797 | | | | | | 26,964 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Dade Paper & Bag, LLC
|
| |
(f)(g)(h)(j)
|
| | Capital Goods | | |
L+750
|
| | | | 1.0% | | | | | | 6/10/24 | | | | | $ | 137,456 | | | | | $ | 137,456 | | | | | $ | 139,175 | | |
Dayton Superior Corp.
|
| |
(k)
|
| | Materials | | |
L+800
|
| | | | 1.0% | | | | | | 11/15/21 | | | | | | 11,579 | | | | | | 11,277 | | | | | | 10,827 | | |
Diamond Resorts International, Inc.
|
| |
(g)
|
| | Consumer Services | | |
L+600
|
| | | | 1.0% | | | | | | 9/2/23 | | | | | | 6,870 | | | | | | 6,724 | | | | | | 6,917 | | |
Eastman Kodak Co.
|
| |
(f)
|
| | Consumer Durables & Apparel | | |
L+625
|
| | | | 1.0% | | | | | | 9/3/19 | | | | | | 6,943 | | | | | | 6,897 | | | | | | 6,861 | | |
Empire Today, LLC
|
| |
(f)(g)(h)(j)(k)
|
| | Retailing | | |
L+800
|
| | | | 1.0% | | | | | | 11/17/22 | | | | | | 89,325 | | | | | | 89,325 | | | | | | 90,218 | | |
Fairway Group Acquisition Co.
|
| |
(j)
|
| | Food & Staples Retailing | | |
12.0% PIK
(12.0% Max PIK) |
| | | | | | | | | | 1/3/20 | | | | | | 2,645 | | | | | | 2,645 | | | | | | 2,632 | | |
Fairway Group Acquisition Co.
|
| | | | | Food & Staples Retailing | | |
10.0% PIK
(10.0% Max PIK) |
| | | | | | | | | | 1/3/20 | | | | | | 1,733 | | | | | | 1,733 | | | | | | 693 | | |
Fox Head, Inc.
|
| |
(g)(j)(k)
|
| | Consumer Durables & Apparel | | |
L+850
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 13,053 | | | | | | 13,053 | | | | | | 13,046 | | |
FR Dixie Acquisition Corp.
|
| |
(f)
|
| | Energy | | |
L+475
|
| | | | 1.0% | | | | | | 12/18/20 | | | | | | 4,053 | | | | | | 4,042 | | | | | | 2,634 | | |
FullBeauty Brands Holdings Corp.
|
| |
(k)
|
| | Consumer Durables & Apparel | | |
L+475
|
| | | | 1.0% | | | | | | 10/14/22 | | | | | | 4,962 | | | | | | 4,557 | | | | | | 3,715 | | |
FullBeauty Brands Holdings Corp.
|
| |
(k)
|
| | Consumer Durables & Apparel | | |
L+800
|
| | | | 1.0% | | | | | | 10/14/20 | | | | | | 55,000 | | | | | | 55,000 | | | | | | 55,825 | | |
Greystone Equity Member Corp.
|
| |
(e)(o)
|
| | Diversified Financials | | |
L+1050
|
| | | | | | | | | | 3/31/21 | | | | | | 18,790 | | | | | | 18,822 | | | | | | 18,837 | | |
Greystone Equity Member Corp.
|
| |
(o)
|
| | Diversified Financials | | |
L+1100
|
| | | | | | | | | | 3/31/21 | | | | | | 10,216 | | | | | | 10,216 | | | | | | 10,407 | | |
Greystone Equity Member Corp.
|
| |
(o)(p)
|
| | Diversified Financials | | |
L+1100
|
| | | | | | | | | | 3/31/21 | | | | | | 10,994 | | | | | | 10,994 | | | | | | 11,200 | | |
Gulf Finance, LLC
|
| |
(g)
|
| | Energy | | |
L+525
|
| | | | 1.0% | | | | | | 8/25/23 | | | | | | 4,877 | | | | | | 4,752 | | | | | | 4,630 | | |
H.M. Dunn Co., Inc.
|
| |
(j)(k)
|
| | Capital Goods | | |
L+947
|
| | | | 1.0% | | | | | | 3/26/21 | | | | | | 64,286 | | | | | | 64,286 | | | | | | 64,929 | | |
Hybrid Promotions, LLC
|
| |
(g)(j)(k)
|
| | Consumer Durables & Apparel | | |
L+850
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 47,862 | | | | | | 47,862 | | | | | | 47,835 | | |
Industrial Group Intermediate Holdings, LLC
|
| |
(f)(g)(h)(j)(k)
|
| | Materials | | |
L+800
|
| | | | 1.3% | | | | | | 5/31/20 | | | | | | 130,558 | | | | | | 130,558 | | | | | | 131,211 | | |
Industry City TI Lessor, L.P.
|
| |
(j)
|
| | Consumer Services | | |
10.8%, 1.0% PIK
(1.0% Max PIK) |
| | | | | | | | | | 6/30/26 | | | | | | 12,511 | | | | | | 12,511 | | | | | | 12,699 | | |
JMC Acquisition Merger Corp.
|
| |
(f)(g)(h)
|
| | Capital Goods | | |
L+854
|
| | | | 1.0% | | | | | | 11/6/21 | | | | | | 20,495 | | | | | | 20,495 | | | | | | 20,751 | | |
JSS Holdings, Inc.
|
| |
(f)(g)(j)(k)
|
| | Capital Goods | | |
L+800, 0.0% PIK
(2.5% Max PIK) |
| | | | 1.0% | | | | | | 3/31/23 | | | | | | 72,852 | | | | | | 72,169 | | | | | | 72,900 | | |
JSS Holdings, Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+800, 0.0% PIK
(2.5% Max PIK) |
| | | | 1.0% | | | | | | 3/31/23 | | | | | | 13,273 | | | | | | 13,273 | | | | | | 13,281 | | |
Latham Pool Products, Inc.
|
| |
(f)(g)(j)
|
| |
Commercial & Professional Services
|
| |
L+775
|
| | | | 1.0% | | | | | | 6/29/21 | | | | | | 33,342 | | | | | | 33,342 | | | | | | 33,675 | | |
LD Intermediate Holdings, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+588
|
| | | | 1.0% | | | | | | 12/9/22 | | | | | | 16,681 | | | | | | 15,217 | | | | | | 15,701 | | |
MB Precision Holdings LLC
|
| |
(g)(h)(j)
|
| | Capital Goods | | |
L+588
|
| | | | 1.3% | | | | | | 1/23/21 | | | | | | 63,324 | | | | | | 63,324 | | | | | | 58,575 | | |
MORSCO, Inc.
|
| |
(e)(f)
|
| | Capital Goods | | |
L+700
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 3,604 | | | | | | 3,477 | | | | | | 3,641 | | |
Moxie Liberty LLC
|
| |
(f)(h)
|
| | Energy | | |
L+650
|
| | | | 1.0% | | | | | | 8/21/20 | | | | | | 11,663 | | | | | | 11,682 | | | | | | 10,431 | | |
Moxie Patriot LLC
|
| |
(h)
|
| | Energy | | |
L+575
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 5,397 | | | | | | 5,371 | | | | | | 5,046 | | |
Nobel Learning Communities, Inc.
|
| | | | | Consumer Services | | |
L+450
|
| | | | 1.0% | | | | | | 5/5/21 | | | | | | 1,957 | | | | | | 1,957 | | | | | | 1,957 | | |
Nobel Learning Communities, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+450
|
| | | | 1.0% | | | | | | 5/5/21 | | | | | | 49,689 | | | | | | 49,689 | | | | | | 49,779 | | |
Nobel Learning Communities, Inc.
|
| |
(f)(j)(k)
|
| | Consumer Services | | |
L+450
|
| | | | 4.5% | | | | | | 5/5/23 | | | | | | 84,472 | | | | | | 84,472 | | | | | | 84,624 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Nobel Learning Communities, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+375
|
| | | | 4.5% | | | | | | 5/5/23 | | | | | $ | 9,224 | | | | | $ | 9,224 | | | | | $ | 9,224 | | |
North Haven Cadence Buyer, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+500
|
| | | | 1.0% | | | | | | 9/2/21 | | | | | | 2,625 | | | | | | 2,625 | | | | | | 2,625 | | |
North Haven Cadence Buyer, Inc.
|
| |
(f)(h)(j)(k)
|
| | Consumer Services | | |
L+810
|
| | | | 1.0% | | | | | | 9/2/22 | | | | | | 76,079 | | | | | | 76,079 | | | | | | 77,220 | | |
North Haven Cadence Buyer, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+750
|
| | | | 1.0% | | | | | | 9/2/22 | | | | | | 11,375 | | | | | | 11,375 | | | | | | 11,546 | | |
Nova Wildcat Amerock, LLC
|
| |
(f)(g)(j)
|
| | Consumer Durables & Apparel | | |
L+803
|
| | | | 1.3% | | | | | | 9/10/19 | | | | | | 64,921 | | | | | | 64,921 | | | | | | 64,596 | | |
PHRC License, LLC
|
| |
(e)(g)(h)
|
| | Consumer Services | | |
L+850
|
| | | | 1.5% | | | | | | 4/28/22 | | | | | | 67,500 | | | | | | 67,500 | | | | | | 68,175 | | |
Polymer Additives, Inc.
|
| |
(h)(k)
|
| | Materials | | |
L+834
|
| | | | 1.0% | | | | | | 12/19/22 | | | | | | 29,005 | | | | | | 29,005 | | | | | | 29,150 | | |
Polymer Additives, Inc.
|
| |
(g)(h)(k)
|
| | Materials | | |
L+888
|
| | | | 1.0% | | | | | | 12/19/22 | | | | | | 63,068 | | | | | | 63,068 | | | | | | 64,645 | | |
Power Distribution, Inc.
|
| |
(f)(g)(k)
|
| | Capital Goods | | |
L+725
|
| | | | 1.3% | | | | | | 1/25/23 | | | | | | 45,006 | | | | | | 45,006 | | | | | | 45,456 | | |
Production Resource Group, LLC
|
| |
(g)(j)(k)
|
| | Media | | |
L+750
|
| | | | 1.0% | | | | | | 1/14/19 | | | | | | 137,162 | | | | | | 137,162 | | | | | | 145,735 | | |
Production Resource Group, LLC
|
| |
(p)
|
| | Media | | |
L+750
|
| | | | 1.0% | | | | | | 1/14/19 | | | | | | 5,171 | | | | | | 5,171 | | | | | | 5,494 | | |
Propulsion Acquisition, LLC
|
| |
(f)(g)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+600
|
| | | | 1.0% | | | | | | 7/13/21 | | | | | | 57,020 | | | | | | 54,867 | | | | | | 56,449 | | |
Roadrunner Intermediate Acquisition Co., LLC
|
| |
(f)
|
| |
Health Care Equipment & Services
|
| |
L+725
|
| | | | 1.0% | | | | | | 3/15/23 | | | | | | 7,600 | | | | | | 7,600 | | | | | | 7,635 | | |
Rogue Wave Software, Inc.
|
| |
(j)
|
| | Software & Services | | |
L+860
|
| | | | 1.0% | | | | | | 9/25/21 | | | | | | 19,913 | | | | | | 19,912 | | | | | | 20,112 | | |
Safariland, LLC
|
| |
(h)(j)
|
| | Capital Goods | | |
L+769
|
| | | | 1.1% | | | | | | 11/18/23 | | | | | | 70,234 | | | | | | 70,234 | | | | | | 71,112 | | |
Safariland, LLC
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | 1.1% | | | | | | 11/18/23 | | | | | | 13,867 | | | | | | 13,867 | | | | | | 14,040 | | |
Sequel Youth and Family Services, LLC
|
| |
(f)(j)(k)
|
| |
Health Care Equipment & Services
|
| |
L+796
|
| | | | 1.0% | | | | | | 9/1/22 | | | | | | 70,000 | | | | | | 70,000 | | | | | | 69,979 | | |
Sequel Youth and Family Services, LLC
|
| |
(f)(j)(k)(p)
|
| |
Health Care Equipment & Services
|
| |
L+700
|
| | | | 1.0% | | | | | | 9/1/22 | | | | | | 16,471 | | | | | | 16,471 | | | | | | 16,466 | | |
Sequential Brands Group, Inc.
|
| |
(h)(j)(k)
|
| | Consumer Durables & Apparel | | |
L+900
|
| | | | | | | | | | 7/1/22 | | | | | | 156,899 | | | | | | 156,899 | | | | | | 158,468 | | |
Sorenson Communications, Inc.
|
| |
(f)(g)(h)(j)
|
| | Telecommunication Services | | |
L+575
|
| | | | 2.3% | | | | | | 4/30/20 | | | | | | 98,695 | | | | | | 98,454 | | | | | | 99,373 | | |
Sports Authority, Inc.
|
| |
(f)(m)(n)
|
| | Retailing | | |
L+600
|
| | | | 1.5% | | | | | | 11/16/17 | | | | | | 7,818 | | | | | | 5,562 | | | | | | 391 | | |
SSC (Lux) Limited S.à r.l.
|
| |
(g)(h)(j)(o)
|
| |
Health Care Equipment & Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 9/10/24 | | | | | | 104,545 | | | | | | 104,545 | | | | | | 105,852 | | |
Staples Canada, ULC
|
| |
(o)(w)
|
| | Retailing | | |
L+700
|
| | | | 1.0% | | | | | | 9/12/23 | | | | | | C$ 3,229 | | | | | | 2,667 | | | | | | 2,594 | | |
Strike, LLC
|
| | | | | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 5/30/19 | | | | | $ | 1,000 | | | | | | 935 | | | | | | 1,025 | | |
Strike, LLC
|
| |
(p)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 5/30/19 | | | | | | 4,000 | | | | | | 4,000 | | | | | | 4,100 | | |
Strike, LLC
|
| |
(k)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 11/30/22 | | | | | | 7,219 | | | | | | 7,027 | | | | | | 7,327 | | |
SunGard Availability Services Capital, Inc.
|
| |
(f)(i)
|
| | Software & Services | | |
L+700
|
| | | | 1.0% | | | | | | 9/30/21 | | | | | | 10,749 | | | | | | 10,647 | | | | | | 10,158 | | |
Swift Worldwide Resources US Holdings Corp.
|
| |
(f)(h)
|
| | Energy | | |
L+1000, 1.0% PIK
(1.0% Max PIK) |
| | | | 1.0% | | | | | | 7/20/21 | | | | | | 19,489 | | | | | | 19,489 | | | | | | 19,537 | | |
ThermaSys Corp.
|
| |
(f)
|
| | Capital Goods | | |
L+400
|
| | | | 1.3% | | | | | | 5/3/19 | | | | | | 4,554 | | | | | | 4,555 | | | | | | 4,243 | | |
Trace3, LLC
|
| |
(f)(g)(j)
|
| | Software & Services | | |
L+775
|
| | | | 1.0% | | | | | | 6/6/23 | | | | | | 53,616 | | | | | | 53,616 | | | | | | 53,884 | | |
Transplace Texas, LP
|
| |
(j)
|
| | Transportation | | |
L+742
|
| | | | 1.0% | | | | | | 9/16/21 | | | | | | 22,038 | | | | | | 22,038 | | | | | | 22,038 | | |
U.S. Xpress Enterprises, Inc.
|
| |
(g)(h)(j)
|
| | Transportation | | |
L+1050, 0.0% PIK
(1.8% Max PIK) |
| | | | 1.5% | | | | | | 5/30/19 | | | | | | 66,971 | | | | | | 66,971 | | | | | | 67,055 | | |
USI Senior Holdings, Inc.
|
| |
(h)(j)
|
| | Capital Goods | | |
L+780
|
| | | | 1.0% | | | | | | 1/5/22 | | | | | | 41,150 | | | | | | 41,150 | | | | | | 41,272 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
USI Senior Holdings, Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 1/5/22 | | | | | $ | 8,373 | | | | | $ | 8,373 | | | | | $ | 8,398 | | |
UTEX Industries, Inc.
|
| |
(k)(l)
|
| | Energy | | |
L+400
|
| | | | 1.0% | | | | | | 5/21/21 | | | | | | 22,114 | | | | | | 20,093 | | | | | | 20,041 | | |
Warren Resources, Inc.
|
| |
(e)(j)(x)
|
| | Energy | | |
L+900, 1.0% PIK
(1.0% Max PIK) |
| | | | 1.0% | | | | | | 5/22/20 | | | | | | 42,442 | | | | | | 42,442 | | | | | | 41,594 | | |
Warren Resources, Inc.
|
| |
(p)(x)
|
| | Energy | | |
L+900, 1.0% PIK
(1.0% Max PIK) |
| | | | 1.0% | | | | | | 5/22/20 | | | | | | 3,002 | | | | | | 3,002 | | | | | | 2,942 | | |
Waste Pro USA, Inc.
|
| |
(g)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 10/15/20 | | | | | | 121,428 | | | | | | 121,428 | | | | | | 123,097 | | |
Westbridge Technologies, Inc.
|
| |
(i)
|
| | Software & Services | | |
L+850
|
| | | | 1.0% | | | | | | 4/28/23 | | | | | | 14,906 | | | | | | 14,623 | | | | | | 14,795 | | |
York Risk Services Holding Corp.
|
| | | | | Insurance | | |
L+375
|
| | | | 1.0% | | | | | | 10/1/21 | | | | | | 992 | | | | | | 986 | | | | | | 978 | | |
Zeta Interactive Holdings Corp.
|
| |
(f)(g)(j)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 28,076 | | | | | | 28,139 | | | | | | 28,543 | | |
Zeta Interactive Holdings Corp.
|
| |
(f)(g)(v)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 8,214 | | | | | | 8,152 | | | | | | 8,292 | | |
Zeta Interactive Holdings Corp.
|
| |
(p)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 5,109 | | | | | | 5,109 | | | | | | 5,186 | | |
Zeta Interactive Holdings Corp.
|
| |
(p)(v)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 1,314 | | | | | | 1,314 | | | | | | 1,334 | | |
Total Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 3,501,912 | | | | | | 3,491,311 | | |
Unfunded Loan Commitments
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (255,899) | | | | | | (255,899) | | |
Net Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 3,246,013 | | | | | | 3,235,412 | | |
Senior Secured Loans—Second Lien—11.4% | | | | | | | | | | |||||||||||||||||||||||||||||||
American Bath Group, LLC
|
| |
(k)
|
| | Capital Goods | | |
L+975
|
| | | | 1.0% | | | | | | 9/30/24 | | | | | | 7,000 | | | | | | 6,482 | | | | | | 7,018 | | |
Arena Energy, LP
|
| |
(f)(j)
|
| | Energy | | |
L+900, 4.0% PIK
(4.0% Max PIK) |
| | | | 1.0% | | | | | | 1/24/21 | | | | | | 24,595 | | | | | | 24,595 | | | | | | 24,002 | | |
Ascent Resources - Marcellus, LLC
|
| |
(f)(m)(n)
|
| | Energy | | |
L+750
|
| | | | 1.0% | | | | | | 8/4/21 | | | | | | 3,333 | | | | | | 3,291 | | | | | | 242 | | |
BPA Laboratories Inc.
|
| |
(j)
|
| | Pharmaceuticals, Biotechnology & Life Sciences |
| |
L+250
|
| | | | | | | | | | 4/29/20 | | | | | | 3,272 | | | | | | 3,121 | | | | | | 3,190 | | |
Byrider Finance, LLC
|
| |
(e)
|
| | Automobiles & Components | | |
L+1000, 0.5% PIK
(4.0% Max PIK) |
| | | | 1.3% | | | | | | 8/22/20 | | | | | | 22,580 | | | | | | 22,580 | | | | | | 22,608 | | |
Checkout Holding Corp.
|
| |
(k)
|
| | Media | | |
L+675
|
| | | | 1.0% | | | | | | 4/11/22 | | | | | | 10,000 | | | | | | 9,951 | | | | | | 5,881 | | |
Chisholm Oil and Gas Operating, LLC
|
| | | | | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 3/21/24 | | | | | | 1,000 | | | | | | 1,000 | | | | | | 1,003 | | |
Compuware Corp.
|
| |
(j)
|
| | Software & Services | | |
L+825
|
| | | | 1.0% | | | | | | 12/15/22 | | | | | | 2,299 | | | | | | 2,072 | | | | | | 2,323 | | |
Crossmark Holdings, Inc.
|
| |
(k)
|
| | Media | | |
L+750
|
| | | | 1.3% | | | | | | 12/21/20 | | | | | | 7,778 | | | | | | 7,789 | | | | | | 3,111 | | |
Fairway Group Acquisition Co.
|
| | | | | Food & Staples Retailing | | |
11.0% PIK
(11.0% Max PIK) |
| | | | | | | | | | 10/3/21 | | | | | | 1,520 | | | | | | 1,520 | | | | | | 608 | | |
Fieldwood Energy LLC
|
| |
(e)(k)
|
| | Energy | | |
L+713
|
| | | | 1.3% | | | | | | 9/30/20 | | | | | | 1,947 | | | | | | 1,579 | | | | | | 934 | | |
Gruden Acquisition, Inc.
|
| |
(j)
|
| | Transportation | | |
L+850
|
| | | | 1.0% | | | | | | 8/18/23 | | | | | | 15,000 | | | | | | 14,417 | | | | | | 14,281 | | |
Inmar, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+800
|
| | | | 1.0% | | | | | | 5/1/25 | | | | | | 2,615 | | | | | | 2,578 | | | | | | 2,630 | | |
Jazz Acquisition, Inc.
|
| |
(f)
|
| | Capital Goods | | |
L+675
|
| | | | 1.0% | | | | | | 6/19/22 | | | | | | 3,700 | | | | | | 3,737 | | | | | | 3,524 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
JW Aluminum Co.
|
| |
(e)(j)(k)(x)
|
| | Materials | | |
L+850 PIK
(L+850 Max PIK) |
| | | | 0.8% | | | | | | 11/17/20 | | | | | $ | 33,950 | | | | | $ | 33,942 | | | | | $ | 34,460 | | |
Logan’s Roadhouse, Inc.
|
| |
(x)
|
| | Consumer Services | | |
L+850 PIK
(L+850 Max PIK) |
| | | | 1.0% | | | | | | 11/23/20 | | | | | | 14,370 | | | | | | 14,275 | | | | | | 9,723 | | |
LTI Holdings, Inc.
|
| |
(j)
|
| | Materials | | |
L+875
|
| | | | 1.0% | | | | | | 5/16/25 | | | | | | 9,259 | | | | | | 9,082 | | | | | | 9,294 | | |
P2 Upstream Acquisition Co.
|
| |
(k)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 4/30/21 | | | | | | 14,500 | | | | | | 14,662 | | | | | | 13,920 | | |
Peak 10 Holding Corp.
|
| |
(k)
|
| | Software & Services | | |
L+725
|
| | | | 1.0% | | | | | | 8/1/25 | | | | | | 2,786 | | | | | | 2,758 | | | | | | 2,808 | | |
Production Resource Group, LLC
|
| |
(f)(g)(h)
|
| | Media | | |
L+850
|
| | | | 1.0% | | | | | | 7/23/19 | | | | | | 95,599 | | | | | | 95,599 | | | | | | 94,045 | | |
Spencer Gifts LLC
|
| |
(k)
|
| | Retailing | | |
L+825
|
| | | | 1.0% | | | | | | 6/29/22 | | | | | | 20,000 | | | | | | 20,081 | | | | | | 11,200 | | |
Talos Production LLC
|
| | | | | Energy | | |
11.0%
|
| | | | | | | | | | 4/3/22 | | | | | | 4,500 | | | | | | 4,198 | | | | | | 4,258 | | |
Titan Energy Operating, LLC
|
| |
(g)(j)
|
| | Energy | | |
2.0%, L+1100 PIK
(L+1100 Max PIK) |
| | | | 1.0% | | | | | | 2/23/20 | | | | | | 75,984 | | | | | | 66,476 | | | | | | 54,382 | | |
WP CPP Holdings, LLC
|
| |
(j)
|
| | Capital Goods | | |
L+775
|
| | | | 1.0% | | | | | | 4/30/21 | | | | | | 6,932 | | | | | | 6,912 | | | | | | 6,759 | | |
Total Senior Secured Loans—Second Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 372,697 | | | | | | 332,204 | | |
Senior Secured Bonds—6.1% | | | | | | | | | | |||||||||||||||||||||||||||||||
Advanced Lighting Technologies, Inc.
|
| |
(e)(j)
|
| | Materials | | |
5.3%, 7.3% PIK
(7.3% Max PIK) |
| | | | | | | | | | 6/1/19 | | | | | | 38,718 | | | | | | 14,572 | | | | | | 16,649 | | |
Black Swan Energy Ltd.
|
| |
(o)
|
| | Energy | | |
9.0%
|
| | | | | | | | | | 1/20/24 | | | | | | 1,333 | | | | | | 1,333 | | | | | | 1,316 | | |
Caesars Entertainment Resort Properties, LLC
|
| |
(i)(j)
|
| | Consumer Services | | |
11.0%
|
| | | | | | | | | | 10/1/21 | | | | | | 37,350 | | | | | | 37,837 | | | | | | 39,787 | | |
CEVA Group Plc
|
| |
(i)(o)
|
| | Transportation | | |
9.0%
|
| | | | | | | | | | 9/1/21 | | | | | | 2,000 | | | | | | 2,000 | | | | | | 1,856 | | |
CEVA Group Plc
|
| |
(i)(o)
|
| | Transportation | | |
7.0%
|
| | | | | | | | | | 3/1/21 | | | | | | 5,000 | | | | | | 4,484 | | | | | | 4,862 | | |
CH2M Hill Companies, Ltd.
|
| | | | | Capital Goods | | |
10.0%
|
| | | | | | | | | | 4/28/20 | | | | | | 7,500 | | | | | | 7,500 | | | | | | 8,250 | | |
FourPoint Energy, LLC
|
| |
(e)(j)(k)
|
| | Energy | | |
9.0%
|
| | | | | | | | | | 12/31/21 | | | | | | 46,313 | | | | | | 45,109 | | | | | | 47,181 | | |
Global A&T Electronics Ltd.
|
| |
(e)(k)(m)(n)(o)
|
| | Semiconductors & Semiconductor Equipment |
| |
10.0%
|
| | | | | | | | | | 2/1/19 | | | | | | 19,490 | | | | | | 19,114 | | | | | | 17,508 | | |
Mood Media Corp.
|
| |
(e)(j)(o)(x)
|
| | Media | | |
L+600, 8.0% PIK
(8.0% Max PIK) |
| | | | 1.0% | | | | | | 6/28/24 | | | | | | 23,104 | | | | | | 23,104 | | | | | | 23,104 | | |
Ridgeback Resources Inc.
|
| |
(e)(o)
|
| | Energy | | |
12.0%
|
| | | | | | | | | | 12/29/20 | | | | | | 331 | | | | | | 325 | | | | | | 331 | | |
Sorenson Communications, Inc.
|
| |
(j)
|
| | Telecommunication Services | | |
9.0%, 0.0% PIK
(9.0% Max PIK) |
| | | | | | | | | | 10/31/20 | | | | | | 7,058 | | | | | | 6,892 | | | | | | 7,066 | | |
Sunnova Energy Corp.
|
| | | | | Energy | | |
6.0%, 6.0% PIK
(6.0% Max PIK) |
| | | | | | | | | | 10/24/18 | | | | | | 2,086 | | | | | | 2,086 | | | | | | 2,086 | | |
Velvet Energy Ltd.
|
| |
(o)
|
| | Energy | | |
9.0%
|
| | | | | | | | | | 10/5/23 | | | | | | 10,000 | | | | | | 10,000 | | | | | | 9,927 | | |
Total Senior Secured Bonds
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 174,356 | | | | | | 179,923 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Subordinated Debt—17.3% | | | | | | | | | | |||||||||||||||||||||||||||||||
Ascent Resources Utica Holdings, LLC
|
| |
(i)
|
| | Energy | | |
10.0%
|
| | | | | | | | | | 4/1/22 | | | | | $ | 40,000 | | | | | $ | 40,000 | | | | | $ | 43,150 | | |
Aurora Diagnostics, LLC
|
| |
(j)
|
| |
Health Care Equipment & Services
|
| |
10.8%, 1.5% PIK
(1.5% Max PIK) |
| | | | | | | | | | 1/15/20 | | | | | | 6,143 | | | | | | 5,573 | | | | | | 5,677 | | |
Avantor, Inc.
|
| |
(k)(l)
|
| | Materials / Materials | | |
9.0%
|
| | | | | | | | | | 10/1/25 | | | | | | 20,000 | | | | | | 20,000 | | | | | | 20,487 | | |
Bellatrix Exploration Ltd.
|
| |
(o)
|
| | Energy | | |
8.5%
|
| | | | | | | | | | 5/15/20 | | | | | | 5,000 | | | | | | 4,942 | | | | | | 4,680 | | |
Brooklyn Basketball Holdings, LLC
|
| |
(h)(j)
|
| | Consumer Services | | |
L+725
|
| | | | | | | | | | 10/25/19 | | | | | | 39,746 | | | | | | 39,746 | | | | | | 40,342 | | |
CEC Entertainment, Inc.
|
| |
(i)
|
| | Consumer Services | | |
8.0%
|
| | | | | | | | | | 2/15/22 | | | | | | 18,715 | | | | | | 18,565 | | | | | | 19,553 | | |
Ceridian HCM Holding, Inc.
|
| |
(i)(k)
|
| |
Commercial & Professional Services
|
| |
11.0%
|
| | | | | | | | | | 3/15/21 | | | | | | 40,657 | | | | | | 40,295 | | | | | | 43,157 | | |
Coveris Holdings S.A.
|
| |
(i)(k)(o)
|
| | Materials | | |
7.9%
|
| | | | | | | | | | 11/1/19 | | | | | | 31,534 | | | | | | 31,223 | | | | | | 31,081 | | |
Eclipse Resources Corp.
|
| |
(i)(o)
|
| | Energy | | |
8.9%
|
| | | | | | | | | | 7/15/23 | | | | | | 9,175 | | | | | | 9,021 | | | | | | 9,402 | | |
EV Energy Partners, L.P.
|
| |
(e)
|
| | Energy | | |
8.0%
|
| | | | | | | | | | 4/15/19 | | | | | | 259 | | | | | | 245 | | | | | | 94 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 1/30/25 | | | | | | 818 | | | | | | 818 | | | | | | 832 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 4/30/25 | | | | | | 5,199 | | | | | | 5,199 | | | | | | 5,289 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 9/3/25 | | | | | | 1,074 | | | | | | 1,074 | | | | | | 1,093 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 9/29/25 | | | | | | 1,011 | | | | | | 1,011 | | | | | | 1,029 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 12/4/25 | | | | | | 7,465 | | | | | | 7,465 | | | | | | 7,596 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 12/9/25 | | | | | | 1,221 | | | | | | 1,221 | | | | | | 1,242 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 1/29/26 | | | | | | 639 | | | | | | 639 | | | | | | 651 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | | | | 12/2/26 | | | | | | 1,935 | | | | | | 1,935 | | | | | | 1,968 | | |
Great Lakes Dredge & Dock Corp.
|
| |
(i)(o)
|
| | Capital Goods | | |
8.0%
|
| | | | | | | | | | 5/15/22 | | | | | | 9,000 | | | | | | 9,000 | | | | | | 9,342 | | |
Greystone Mezzanine Equity Member Corp.
|
| |
(o)(p)
|
| | Diversified Financials | | |
L+650
|
| | | | 4.5% | | | | | | 9/15/25 | | | | | | 20,000 | | | | | | 20,000 | | | | | | 20,000 | | |
Jupiter Resources Inc.
|
| |
(h)(k)(o)
|
| | Energy | | |
8.5%
|
| | | | | | | | | | 10/1/22 | | | | | | 28,800 | | | | | | 26,974 | | | | | | 20,684 | | |
NewStar Financial, Inc.
|
| |
(h)(j)(k)(o)
|
| | Diversified Financials | | |
8.3%, 0.0% PIK
(8.8% Max PIK) |
| | | | | | | | | | 12/4/24 | | | | | | 150,000 | | | | | | 124,690 | | | | | | 154,500 | | |
P.F. Chang’s China Bistro, Inc.
|
| |
(i)(j)
|
| | Consumer Services | | |
10.3%
|
| | | | | | | | | | 6/30/20 | | | | | | 31,353 | | | | | | 31,263 | | | | | | 30,118 | | |
S1 Blocker Buyer Inc.
|
| | | | |
Commercial & Professional Services
|
| |
10.0% PIK
(10.0% Max PIK) |
| | | | | | | | | | 10/31/22 | | | | | | 268 | | | | | | 268 | | | | | | 293 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| ||||||||||||
Sorenson Communications, Inc.
|
| |
(e)(j)
|
| | Telecommunication Services | | |
13.9%, 0.0% PIK
(13.9% Max PIK) |
| | | | | | | 10/31/21 | | | | | $ | 5,364 | | | | | $ | 5,108 | | | | | $ | 5,096 | | |
SunGard Availability Services Capital, Inc.
|
| |
(i)
|
| | Software & Services | | |
8.8%
|
| | | | | | | 4/1/22 | | | | | | 5,900 | | | | | | 4,582 | | | | | | 4,005 | | |
TI Group Automotive Systems, LLC
|
| |
(i)(o)
|
| | Automobiles & Components | | |
8.8%
|
| | | | | | | 7/15/23 | | | | | | 7,302 | | | | | | 7,302 | | | | | | 7,749 | | |
York Risk Services Holding Corp.
|
| |
(i)(j)(k)
|
| | Insurance | | |
8.5%
|
| | | | | | | 10/1/22 | | | | | | 38,070 | | | | | | 35,112 | | | | | | 37,546 | | |
Total Subordinated Debt
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 493,271 | | | | | | 526,656 | | |
Unfunded Loan Commitments
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | (20,000) | | | | | | (20,000) | | |
Net Subordinated Debt
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 473,271 | | | | | | 506,656 | | |
Collateralized Securities—0.7% | | | | | | | | | | ||||||||||||||||||||||||||||
CGMS CLO 2013-3A Class Subord.
|
| |
(o)
|
| | Diversified Financials | | |
10.5%
|
| | | | | | | 7/15/25 | | | | | | 17,000 | | | | | | 7,202 | | | | | | 8,136 | | |
NewStar Clarendon 2014-1A Class D
|
| |
(o)
|
| | Diversified Financials | | |
L+435
|
| | | | | | | 1/25/27 | | | | | | 1,060 | | | | | | 1,007 | | | | | | 1,056 | | |
NewStar Clarendon 2014-1A Class Subord. B
|
| |
(o)
|
| | Diversified Financials | | |
15.0%
|
| | | | | | | 1/25/27 | | | | | | 12,140 | | | | | | 9,091 | | | | | | 10,068 | | |
Total Collateralized Securities
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 17,300 | | | | | | 19,260 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value(d) |
| |||||||||
Equity/Other—12.0% | | | | | | | |||||||||||||||||||
5 Arches, LLC, Common Equity
|
| |
(o)(r)
|
| | Diversified Financials | | | | | 10,000 | | | | | $ | 250 | | | | | $ | 250 | | |
A.T. Cross Co., Common Equity, Class A Units
|
| |
(e)(n)(y)
|
| | Retailing | | | | | 1,000,000 | | | | | | 1,000 | | | | | | — | | |
A.T. Cross Co., Preferred Equity, Class A-1 Units
|
| |
(e)(n)(y)
|
| | Retailing | | | | | 243,478 | | | | | | 243 | | | | | | — | | |
A.T. Cross Co., GSO Special Unit
|
| |
(n)(y)
|
| | Retailing | | | | | 1 | | | | | | — | | | | | | — | | |
Abaco Energy Technologies LLC, Common Equity
|
| |
(n)
|
| | Energy | | | | | 3,055,556 | | | | | | 3,055 | | | | | | 229 | | |
Abaco Energy Technologies LLC, Preferred Equity
|
| |
(n)
|
| | Energy | | | | | 12,734,481 | | | | | | 637 | | | | | | 1,273 | | |
ACP FH Holdings GP, LLC, Common Equity
|
| |
(e)(n)
|
| | Consumer Durables & Apparel | | | | | 88,571 | | | | | | 89 | | | | | | 68 | | |
ACP FH Holdings, LP, Common Equity
|
| |
(e)(n)
|
| | Consumer Durables & Apparel | | | | | 8,768,572 | | | | | | 8,769 | | | | | | 6,699 | | |
Advanced Lighting Technologies, Inc., Preferred Equity
|
| |
(n)
|
| | Materials | | | | | 1,652 | | | | | | — | | | | | | 129 | | |
Altus Power America Holdings, LLC, Common Equity
|
| |
(n)
|
| | Energy | | | | | 462,008 | | | | | | 462 | | | | | | 439 | | |
Altus Power America Holdings, LLC, Preferred Equity
|
| |
(t)
|
| | Energy | | | | | 955,284 | | | | | | 955 | | | | | | 956 | | |
AP Exhaust Holdings, LLC, Class A1 Common Units
|
| |
(n)(r)
|
| | Automobiles & Components | | | | | 84 | | | | | | — | | | | | | — | | |
AP Exhaust Holdings, LLC, Class A1 Preferred Units
|
| |
(n)(r)
|
| | Automobiles & Components | | | | | 8,295 | | | | | | 9,248 | | | | | | 9,249 | | |
Ascent Resources Utica Holdings, LLC, Common Equity
|
| |
(n)(q)
|
| | Energy | | | | | 128,734,129 | | | | | | 38,700 | | | | | | 32,184 | | |
ASG Everglades Holdings, Inc., Common Equity
|
| |
(n)(x)
|
| | Software & Services | | | | | 625,178 | | | | | | 13,475 | | | | | | 26,945 | | |
ASG Everglades Holdings, Inc., 6/27/2022, Warrants
|
| |
(n)(x)
|
| | Software & Services | | | | | 253,704 | | | | | | 7,231 | | | | | | 5,417 | | |
Aspect Software Parent, Inc., Common Equity
|
| |
(n)
|
| | Software & Services | | | | | 403,955 | | | | | | 19,021 | | | | | | 12,805 | | |
ATX Holdings, LLC, Common Equity
|
| |
(n)(o)
|
| | Technology Hardware & Equipment | | | | | 72,635 | | | | | | 116 | | | | | | 102 | | |
Aurora Diagnostics Holdings, LLC, Warrants, 5/25/2027
|
| |
(j)(n)
|
| | Health Care Equipment & Services | | | | | 94,193 | | | | | | 686 | | | | | | 672 | | |
BPA Laboratories, Inc., Series A Warrants, 4/29/2024
|
| |
(j)(n)
|
| | Pharmaceuticals, Biotechnology & Life Sciences | | | | | 10,924 | | | | | | — | | | | | | — | | |
BPA Laboratories, Inc., Series B Warrants, 4/29/2024
|
| |
(j)(n)
|
| | Pharmaceuticals, Biotechnology & Life Sciences | | | | | 17,515 | | | | | | — | | | | | | — | | |
Burleigh Point, Ltd., Warrants, 7/16/2020
|
| |
(n)(o)
|
| | Retailing | | | | | 3,451,216 | | | | | | 1,898 | | | | | | — | | |
Chisholm Oil and Gas Operating, LLC, Series A Units
|
| |
(n)(r)
|
| | Energy | | | | | 58,533 | | | | | | 59 | | | | | | 57 | | |
Cimarron Energy Holdco Inc., Common Equity
|
| |
(n)
|
| | Energy | | | | | 3,675,487 | | | | | | 3,323 | | | | | | — | | |
CSF Group Holdings, Inc., Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 417,400 | | | | | | 417 | | | | | | 355 | | |
Eastman Kodak Co., Common Equity
|
| |
(n)
|
| | Consumer Durables & Apparel | | | | | 1,846 | | | | | | 36 | | | | | | 14 | | |
Escape Velocity Holdings, Inc., Common Equity
|
| |
(n)
|
| | Software & Services | | | | | 33,216 | | | | | | 332 | | | | | | 355 | | |
Fairway Group Holdings Corp., Common Equity
|
| |
(n)
|
| | Food & Staples Retailing | | | | | 31,626 | | | | | | 1,016 | | | | | | — | | |
FourPoint Energy, LLC, Common Equity, Class C-II-A Units
|
| |
(n)(r)
|
| | Energy | | | | | 13,000 | | | | | | 13,000 | | | | | | 4,485 | | |
FourPoint Energy, LLC, Common Equity, Class D Units
|
| |
(n)(r)
|
| | Energy | | | | | 2,437 | | | | | | 1,610 | | | | | | 847 | | |
FourPoint Energy, LLC, Common Equity, Class E-II Units
|
| |
(n)(r)
|
| | Energy | | | | | 54,104 | | | | | | 13,526 | | | | | | 18,125 | | |
FourPoint Energy, LLC, Common Equity, Class E-III Units
|
| |
(n)(r)
|
| | Energy | | | | | 43,875 | | | | | | 10,969 | | | | | | 15,027 | | |
Global Jet Capital Holdings, LP, Preferred Equity
|
| |
(e)(n)
|
| | Commercial & Professional Services | | | | | 6,228,866 | | | | | | 6,229 | | | | | | 7,163 | | |
H.I.G. Empire Holdco, Inc., Common Equity
|
| |
(n)
|
| | Retailing | | | | | 411 | | | | | | 1,227 | | | | | | 1,422 | | |
Harvey Holdings, LLC, Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 666,667 | | | | | | 667 | | | | | | 1,467 | | |
Industrial Group Intermediate Holdings, LLC, Common Equity
|
| |
(n)(r)
|
| | Materials | | | | | 2,678,947 | | | | | | 2,679 | | | | | | 4,152 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value(d) |
| |||||||||
JMC Acquisition Holdings, LLC, Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 1,449 | | | | | $ | 1,449 | | | | | $ | 1,949 | | |
JSS Holdco, LLC, Net Profits Interest
|
| |
(n)
|
| | Capital Goods | | | | | — | | | | | | — | | | | | | 324 | | |
JW Aluminum Co., Common Equity
|
| |
(e)(k)(n)(x)
|
| | Materials | | | | | 256 | | | | | | — | | | | | | 142 | | |
JW Aluminum Co., Preferred Equity
|
| |
(e)(k)(x)
|
| | Materials | | | | | 1,469 | | | | | | 12,379 | | | | | | 14,690 | | |
MB Precision Investment Holdings LLC, Class A-2 Units
|
| |
(n)(r)
|
| | Capital Goods | | | | | 2,287,659 | | | | | | 2,288 | | | | | | — | | |
Mood Media Corp., Common Equity
|
| |
(n)(o)(x)
|
| | Media | | | | | 17,400,835 | | | | | | 12,644 | | | | | | 31,478 | | |
NewStar Financial, Inc., Warrants, 11/4/2024
|
| |
(e)(n)(o)
|
| | Diversified Financials | | | | | 6,000,000 | | | | | | 30,115 | | | | | | — | | |
North Haven Cadence TopCo, LLC, Common Equity
|
| |
(n)
|
| | Consumer Services | | | | | 2,916,667 | | | | | | 2,917 | | | | | | 3,938 | | |
PDI Parent LLC, Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 2,076,923 | | | | | | 2,077 | | | | | | 2,181 | | |
Professional Plumbing Group, Inc., Common Equity
|
| |
(e)(n)
|
| | Capital Goods | | | | | 3,000,000 | | | | | | 3,000 | | | | | | 6,900 | | |
PSAV Holdings LLC, Common Equity
|
| | | | | Technology Hardware & Equipment | | | | | 10,000 | | | | | | 10,000 | | | | | | 36,000 | | |
Ridgeback Resources Inc., Common Equity
|
| |
(e)(n)(o)(w)
|
| | Energy | | | | | 817,308 | | | | | | 5,022 | | | | | | 4,737 | | |
Roadhouse Holding Inc., Common Equity
|
| |
(n)(x)
|
| | Consumer Services | | | | | 4,481,763 | | | | | | 4,657 | | | | | | — | | |
S1 Blocker Buyer Inc., Common Equity
|
| | | | | Commercial & Professional Services | | | | | 124 | | | | | | 1,240 | | | | | | 1,084 | | |
SandRidge Energy, Inc., Common Equity
|
| |
(n)(o)
|
| | Energy | | | | | 253,009 | | | | | | 5,647 | | | | | | 5,083 | | |
Sequential Brands Group, Inc., Common Equity
|
| |
(e)(n)
|
| | Consumer Durables & Apparel | | | | | 408,685 | | | | | | 5,517 | | | | | | 1,222 | | |
Sorenson Communications, Inc., Common Equity
|
| |
(e)(n)
|
| | Telecommunication Services | | | | | 43,796 | | | | | | — | | | | | | 33,999 | | |
SSC Holdco Limited, Common Equity
|
| |
(n)(o)
|
| | Health Care Equipment & Services | | | | | 261,364 | | | | | | 5,227 | | | | | | 5,959 | | |
Sunnova Energy Corp., Common Equity
|
| |
(n)
|
| | Energy | | | | | 384,746 | | | | | | 1,444 | | | | | | 2,005 | | |
Sunnova Energy Corp., Preferred Equity
|
| |
(n)
|
| | Energy | | | | | 36,363 | | | | | | 194 | | | | | | 193 | | |
Swift Worldwide Resources Holdco Limited, Common Equity
|
| |
(n)(o)(u)
|
| | Energy | | | | | 1,250,000 | | | | | | 2,009 | | | | | | 625 | | |
TE Holdings, LLC, Common Equity
|
| |
(e)(n)(r)
|
| | Energy | | | | | 717,718 | | | | | | 6,101 | | | | | | 2,153 | | |
TE Holdings, LLC, Preferred Equity
|
| |
(e)(n)
|
| | Energy | | | | | 475,758 | | | | | | 4,751 | | | | | | 4,520 | | |
The Stars Group Inc., Warrants, 5/15/2024
|
| |
(n)(o)
|
| | Consumer Services | | | | | 2,000,000 | | | | | | 16,832 | | | | | | 20,520 | | |
Titan Energy, LLC, Common Equity
|
| |
(e)(n)
|
| | Energy | | | | | 200,040 | | | | | | 6,321 | | | | | | 901 | | |
Warren Resources, Inc., Common Equity
|
| |
(n)(x)
|
| | Energy | | | | | 2,371,337 | | | | | | 11,145 | | | | | | 8,063 | | |
White Star Petroleum Holdings, LLC, Common Equity
|
| |
(n)(r)
|
| | Energy | | | | | 1,613,753 | | | | | | 1,372 | | | | | | 1,291 | | |
Zeta Interactive Holdings Corp., Preferred Equity, Series E-1
|
| |
(n)
|
| | Software & Services | | | | | 620,025 | | | | | | 4,929 | | | | | | 5,895 | | |
Zeta Interactive Holdings Corp., Preferred Equity, Series F
|
| |
(n)
|
| | Software & Services | | | | | 563,932 | | | | | | 4,929 | | | | | | 5,130 | | |
Zeta Interactive Holdings Corp., Warrants, 4/20/2027
|
| |
(n)
|
| | Software & Services | | | | | 84,590 | | | | | | — | | | | | | 303 | | |
Total Equity/Other
|
| | | | | | | | | | | | | | | | 325,131 | | | | | | 352,171 | | |
TOTAL INVESTMENTS—158.0%
|
| | | | | | | | | | | | | | | $ | 4,608,768 | | | | | | 4,625,626 | | |
LIABILITIES IN EXCESS OF OTHER ASSETS—(58.0%)
|
| | | | | | | | | | | | | | | | | | | | |
|
(1,697,231)
|
| |
NET ASSETS—100.0%
|
| | | | | | | | | | | | | | | | | | | | | $ | 2,928,395 | | |
|
| | | |
Portfolio Company
|
| |
Fair Value at
December 31, 2016 |
| |
Transfers
In or Out |
| |
Purchases
and Paid-in-Kind Interest |
| |
Sales and
Repayments |
| |
Accretion
of Discount |
| |
Net Realized
Gain (Loss) |
| |
Net Change in
Unrealized Appreciation (Depreciation) |
| |
Fair Value at
September 30, 2017 |
| |
Interest
Income(3) |
| |
PIK
Income(3) |
| |
Fee
Income(3) |
| |||||||||||||||||||||||||||||||||
| | | | Senior Secured Loans—First Lien | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co.(1)
|
| | | $ | 28,081 | | | | | $ | (31,027) | | | | | $ | — | | | | | $ | — | | | | | $ | (682) | | | | | $ | — | | | | | $ | 3,628 | | | | | $ | — | | | | | $ | (682) | | | | | $ | — | | | | | $ | — | | |
| | | |
ASG Technologies Group, Inc.
|
| | | | 80,505 | | | | | | — | | | | | | 12,509 | | | | | | (91,824) | | | | | | 24 | | | | | | 148 | | | | | | (1,362) | | | | | | — | | | | | | 5,048 | | | | | | 508 | | | | | | — | | |
| | | |
Warren Resources, Inc.(2)
|
| | | | 42,122 | | | | | | — | | | | | | 320 | | | | | | — | | | | | | — | | | | | | — | | | | | | (908) | | | | | | 41,534 | | | | | | 3,572 | | | | | | 320 | | | | | | — | | |
| | | | Senior Secured Loans—Second Lien | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
ASG Everglades Holdings, Inc.
|
| | | | 26,179 | | | | | | — | | | | | | — | | | | | | (26,989) | | | | | | 408 | | | | | | 6,392 | | | | | | (5,990) | | | | | | — | | | | | | 2,312 | | | | | | — | | | | | | 1,349 | | |
| | | |
JW Aluminum Co.
|
| | | | 34,410 | | | | | | — | | | | | | 132 | | | | | | — | | | | | | 2 | | | | | | — | | | | | | (84) | | | | | | 34,460 | | | | | | 2,479 | | | | | | 132 | | | | | | — | | |
| | | |
Logan’s Roadhouse, Inc.
|
| | | | 10,355 | | | | | | — | | | | | | 3,436 | | | | | | — | | | | | | 15 | | | | | | — | | | | | | (4,083) | | | | | | 9,723 | | | | | | 1,004 | | | | | | 1,007 | | | | | | — | | |
| | | | Senior Secured Bonds | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
Mood Media Corp.
|
| | | | — | | | | | | 23,104 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 23,104 | | | | | | 2,937 | | | | | | — | | | | | | — | | |
| | | | Subordinated Debt | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
Mood Media Corp.
|
| | | | — | | | | | | 6,103 | | | | | | — | | | | | | (6,930) | | | | | | 47 | | | | | | 780 | | | | | | — | | | | | | — | | | | | | 463 | | | | | | — | | | | | | — | | |
| | | | Equity/Other | | | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co., Common Equity, Class A Units(1)
|
| | | | — | | | | | | (1,000) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., Preferred Equity, Class A-1 Units(1)
|
| | | | — | | | | | | (243) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 243 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., GSO Special Unit(1)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
ASG Everglades Holdings, Inc., Common Equity
|
| | | | 29,477 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (2,532) | | | | | | 26,945 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
ASG Everglades Holdings, Inc., 6/27/2022, Warrants
|
| | | | 6,444 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (1,027) | | | | | | 5,417 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
JW Aluminum Co., Common Equity
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 142 | | | | | | 142 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
JW Aluminum Co., Preferred Equity
|
| | | | 11,854 | | | | | | — | | | | | | 1,100 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,736 | | | | | | 14,690 | | | | | | 1,315 | | | | | | 1,100 | | | | | | — | | |
| | | |
Mood Media Corp.
|
| | | | — | | | | | | 7,136 | | | | | | 5,508 | | | | | | — | | | | | | — | | | | | | — | | | | | | 18,834 | | | | | | 31,478 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Roadhouse Holding Inc., Common Equity
|
| | | | 5,472 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (5,472) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Warren Resources, Inc., Common Equity
|
| | | | 10,197 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (2,134) | | | | | | 8,063 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Total
|
| | | $ | 285,096 | | | | | $ | 4,073 | | | | | $ | 23,005 | | | | | $ | (125,743) | | | | | $ | (186) | | | | | $ | 7,320 | | | | | $ | 1,991 | | | | | $ | 195,556 | | | | | $ | 18,448 | | | | | $ | 3,067 | | | | | $ | 1,349 | | |
|
| | | |
Portfolio Company
|
| |
Fair Value at
December 31, 2016 |
| |
Transfers
In or Out |
| |
Purchases and
Paid-in-Kind Interest |
| |
Sales and
Repayments |
| |
Accretion of
Discount |
| |
Net Realized
Gain (Loss) |
| |
Net Change in
Unrealized Appreciation (Depreciation) |
| |
Fair Value at
September 30, 2017 |
| |
Interest
Income(2) |
| |||||||||||||||||||||||||||
| | | | Senior Secured Loans—First Lien | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co.(1)
|
| | | $ | — | | | | | $ | 31,027 | | | | | $ | 9,653 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (28,403) | | | | | $ | 12,277 | | | | | $ | 1,217 | | |
| | | | Equity/Other | | | | | | | | | | | |||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co., Common Equity, Class A Units(1)
|
| | | | — | | | | | | 1,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (1,000) | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., Preferred Equity, Class A-1 Units(1)
|
| | | | — | | | | | | 243 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (243) | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., GSO Special Unit(1)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Total
|
| | | $ | — | | | | | $ | 32,270 | | | | | $ | 9,653 | | | | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | (29,646) | | | | | $ | 12,277 | | | | | $ | 1,217 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Senior Secured Loans—First Lien—98.4% | | | | | | | | | | |||||||||||||||||||||||||||||||
5 Arch Income Fund 2, LLC
|
| |
(o)(s)
|
| | Diversified Financials | | |
10.5%
|
| | | | | | | | | | 11/18/21 | | | | | $ | 9,781 | | | | | $ | 9,806 | | | | | $ | 9,781 | | |
5 Arch Income Fund 2, LLC
|
| |
(o)(p)(s)
|
| | Diversified Financials | | |
10.5%
|
| | | | | | | | | | 11/18/21 | | | | | | 9,219 | | | | | | 9,219 | | | | | | 9,219 | | |
A.T. Cross Co.
|
| |
(f)(x)
|
| | Retailing | | |
L+500, 5.0% PIK
(5.0% Max PIK) |
| | | | 1.0% | | | | | | 9/6/19 | | | | | | 44,750 | | | | | | 31,709 | | | | | | 28,081 | | |
Abaco Energy Technologies LLC
|
| |
(f)(j)
|
| | Energy | | |
L+700, 2.5% PIK
(2.5% Max PIK) |
| | | | 1.0% | | | | | | 11/20/20 | | | | | | 26,600 | | | | | | 25,531 | | | | | | 20,150 | | |
Aeneas Buyer Corp.
|
| |
(f)(g)
|
| |
Health Care Equipment & Services
|
| |
L+500
|
| | | | 1.0% | | | | | | 12/18/21 | | | | | | 16,481 | | | | | | 16,481 | | | | | | 16,481 | | |
Aeneas Buyer Corp.
|
| | | | |
Health Care Equipment & Services
|
| |
L+815
|
| | | | 1.0% | | | | | | 12/18/21 | | | | | | 585 | | | | | | 585 | | | | | | 594 | | |
AG Group Merger Sub, Inc.
|
| |
(f)(h)(j)
|
| |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 12/29/23 | | | | | | 43,750 | | | | | | 43,750 | | | | | | 43,750 | | |
AG Group Merger Sub, Inc.
|
| |
(p)
|
| |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 12/29/23 | | | | | | 19,250 | | | | | | 19,250 | | | | | | 19,250 | | |
All Systems Holding LLC
|
| |
(e)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+770
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 93,000 | | | | | | 93,000 | | | | | | 93,781 | | |
Altus Power America, Inc.
|
| |
(k)
|
| | Energy | | |
L+750
|
| | | | 1.5% | | | | | | 9/30/21 | | | | | | 2,665 | | | | | | 2,665 | | | | | | 2,715 | | |
Altus Power America, Inc.
|
| |
(p)
|
| | Energy | | |
L+750
|
| | | | 1.5% | | | | | | 9/30/21 | | | | | | 1,085 | | | | | | 1,085 | | | | | | 1,106 | | |
American Bath Group, LLC
|
| |
(f)(g)
|
| | Capital Goods | | |
L+575
|
| | | | 1.0% | | | | | | 9/30/23 | | | | | | 24,938 | | | | | | 23,963 | | | | | | 25,031 | | |
AP Exhaust Acquisition, LLC
|
| |
(g)(h)(j)
|
| | Automobiles & Components | | |
L+775
|
| | | | 1.5% | | | | | | 1/16/21 | | | | | | 163,378 | | | | | | 163,378 | | | | | | 147,857 | | |
Ascension Insurance, Inc.
|
| |
(f)(g)(h)(j)
|
| | Insurance | | |
L+825
|
| | | | 1.3% | | | | | | 3/5/19 | | | | | | 76,837 | | | | | | 76,270 | | | | | | 77,702 | | |
ASG Technologies Group, Inc.
|
| |
(f)(g)(h)(j)(x)
|
| | Software & Services | | |
L+786, 1.2% PIK
(1.2% Max PIK) |
| | | | 1.0% | | | | | | 4/30/20 | | | | | | 79,315 | | | | | | 79,143 | | | | | | 80,505 | | |
Aspect Software, Inc.
|
| | | | | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/18 | | | | | | 1,154 | | | | | | 1,154 | | | | | | 1,154 | | |
Aspect Software, Inc.
|
| |
(p)
|
| | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/18 | | | | | | 40 | | | | | | 40 | | | | | | 40 | | |
Aspect Software, Inc.
|
| |
(j)
|
| | Software & Services | | |
L+1000
|
| | | | 1.0% | | | | | | 5/25/20 | | | | | | 3,714 | | | | | | 3,714 | | | | | | 3,756 | | |
Atlas Aerospace LLC
|
| |
(f)(k)
|
| | Capital Goods | | |
L+804
|
| | | | 1.0% | | | | | | 5/8/19 | | | | | | 57,000 | | | | | | 57,000 | | | | | | 57,855 | | |
ATX Networks Corp.
|
| |
(f)(g)(o)
|
| |
Technology Hardware & Equipment
|
| |
L+600
|
| | | | 1.0% | | | | | | 6/11/21 | | | | | | 1,950 | | | | | | 1,928 | | | | | | 1,916 | | |
ATX Networks Corp.
|
| |
(f)(k)(o)
|
| |
Technology Hardware & Equipment
|
| |
L+600
|
| | | | 1.0% | | | | | | 6/11/21 | | | | | | 26,092 | | | | | | 25,311 | | | | | | 25,309 | | |
BenefitMall Holdings, Inc.
|
| |
(g)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0% | | | | | | 11/24/20 | | | | | | 112,700 | | | | | | 112,700 | | | | | | 113,827 | | |
Cactus Wellhead, LLC
|
| |
(f)(g)
|
| | Energy | | |
L+600
|
| | | | 1.0% | | | | | | 7/31/20 | | | | | | 16,379 | | | | | | 15,579 | | | | | | 14,946 | | |
Cadence Aerospace Finance, Inc.
|
| |
(f)
|
| | Capital Goods | | |
L+575
|
| | | | 1.3% | | | | | | 5/9/18 | | | | | | 2,709 | | | | | | 2,717 | | | | | | 2,628 | | |
Caesars Entertainment Operating Co., Inc.
|
| |
(j)(n)(o)
|
| | Consumer Services | | |
L+575
|
| | | | | | | | | | 3/1/17 | | | | | | 11,502 | | | | | | 11,425 | | | | | | 11,818 | | |
Caesars Entertainment Operating Co., Inc.
|
| |
(j)(n)(o)
|
| | Consumer Services | | |
L+675
|
| | | | | | | | | | 3/1/17 | | | | | | 3,856 | | | | | | 3,833 | | | | | | 3,943 | | |
Caesars Entertainment Operating Co., Inc.
|
| |
(f)(i)(j)(n)(o)
|
| | Consumer Services | | |
L+875
|
| | | | 1.0% | | | | | | 3/1/17 | | | | | | 9,086 | | | | | | 9,078 | | | | | | 9,458 | | |
Caesars Entertainment Resort Properties, LLC
|
| |
(j)
|
| | Consumer Services | | |
L+600
|
| | | | 1.0% | | | | | | 10/11/20 | | | | | | 30,562 | | | | | | 29,416 | | | | | | 30,896 | | |
CEVA Group Plc
|
| |
(o)(p)
|
| | Transportation | | |
L+500
|
| | | | | | | | | | 3/19/19 | | | | | | 20,000 | | | | | | 20,000 | | | | | | 16,000 | | |
Cimarron Energy Inc.
|
| |
(k)
|
| | Energy | | |
L+775, 3.8% PIK
(3.8% Max PIK) |
| | | | 1.0% | | | | | | 12/15/19 | | | | | | 23,664 | | | | | | 23,664 | | | | | | 24,019 | | |
Corner Investment PropCo, LLC
|
| |
(f)(j)
|
| | Consumer Services | | |
L+975
|
| | | | 1.3% | | | | | | 11/2/19 | | | | | | 38,758 | | | | | | 39,092 | | | | | | 39,145 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Crestwood Holdings LLC
|
| |
(f)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 6/19/19 | | | | | $ | 5,021 | | | | | $ | 5,010 | | | | | $ | 4,927 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | | | | | | | 11/1/21 | | | | | | 835 | | | | | | 835 | | | | | | 835 | | |
CSafe Acquisition Co., Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | | | | | | | 11/1/21 | | | | | | 5,426 | | | | | | 5,426 | | | | | | 5,426 | | |
CSafe Acquisition Co., Inc.
|
| |
(f)(g)(h)(j)
|
| | Capital Goods | | |
L+725
|
| | | | | | | | | | 10/31/23 | | | | | | 48,000 | | | | | | 48,000 | | | | | | 48,000 | | |
CSafe Acquisition Co., Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | | | | | | | 10/31/23 | | | | | | 29,217 | | | | | | 29,217 | | | | | | 29,217 | | |
Dayton Superior Corp.
|
| |
(k)
|
| | Materials | | |
L+800
|
| | | | 1.0% | | | | | | 11/15/21 | | | | | | 11,667 | | | | | | 11,321 | | | | | | 11,754 | | |
Diamond Resorts International, Inc.
|
| |
(g)
|
| | Consumer Services | | |
L+600
|
| | | | 1.0% | | | | | | 9/2/23 | | | | | | 14,963 | | | | | | 14,604 | | | | | | 15,031 | | |
Eastman Kodak Co.
|
| |
(f)
|
| | Consumer Durables & Apparel | | |
L+625
|
| | | | 1.0% | | | | | | 9/3/19 | | | | | | 6,958 | | | | | | 6,895 | | | | | | 7,002 | | |
Emerging Markets Communications, LLC
|
| |
(f)(g)
|
| | Telecommunication Services | | |
L+575
|
| | | | 1.0% | | | | | | 7/1/21 | | | | | | 12,805 | | | | | | 11,985 | | | | | | 12,613 | | |
Empire Today, LLC
|
| |
(f)(g)(h)(j)(k)
|
| | Retailing | | |
L+800
|
| | | | 1.0% | | | | | | 11/17/22 | | | | | | 90,000 | | | | | | 90,000 | | | | | | 90,797 | | |
Fairway Group Acquisition Co.
|
| |
(j)
|
| | Food & Staples Retailing | | |
L+800
|
| | | | 1.0% | | | | | | 1/3/20 | | | | | | 2,492 | | | | | | 2,492 | | | | | | 2,517 | | |
Fairway Group Acquisition Co.
|
| | | | | Food & Staples Retailing | | |
10.0% PIK
(10.0% Max PIK) |
| | | | | | | | | | 1/3/20 | | | | | | 1,608 | | | | | | 1,608 | | | | | | 1,463 | | |
Fox Head, Inc.
|
| |
(g)(j)(k)
|
| | Consumer Durables & Apparel | | |
L+850
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 13,153 | | | | | | 13,153 | | | | | | 12,963 | | |
FR Dixie Acquisition Corp.
|
| |
(f)
|
| | Energy | | |
L+475
|
| | | | 1.0% | | | | | | 12/18/20 | | | | | | 4,084 | | | | | | 4,072 | | | | | | 2,144 | | |
Greystone Equity Member Corp.
|
| |
(e)(o)
|
| | Diversified Financials | | |
L+1050
|
| | | | | | | | | | 3/31/21 | | | | | | 33,076 | | | | | | 33,209 | | | | | | 33,366 | | |
Greystone Equity Member Corp.
|
| |
(e)(o)(p)
|
| | Diversified Financials | | |
L+1100
|
| | | | | | | | | | 3/31/21 | | | | | | 6,924 | | | | | | 6,924 | | | | | | 6,984 | | |
Gulf Finance, LLC
|
| |
(g)
|
| | Energy | | |
L+525
|
| | | | 1.0% | | | | | | 8/25/23 | | | | | | 4,988 | | | | | | 4,844 | | | | | | 5,025 | | |
H.M. Dunn Co., Inc.
|
| |
(j)(k)
|
| | Capital Goods | | |
L+955
|
| | | | 1.0% | | | | | | 3/26/21 | | | | | | 64,286 | | | | | | 64,286 | | | | | | 65,009 | | |
H.M. Dunn Co., Inc.
|
| |
(p)
|
| | Capital Goods | | |
L+775
|
| | | | 1.0% | | | | | | 3/26/21 | | | | | | 21,429 | | | | | | 21,429 | | | | | | 21,670 | | |
Hybrid Promotions, LLC
|
| |
(g)(j)(k)
|
| | Consumer Durables & Apparel | | |
L+850
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 48,227 | | | | | | 48,227 | | | | | | 47,530 | | |
Industrial Group Intermediate Holdings, LLC
|
| |
(f)(g)(h)(j)(k)
|
| | Materials | | |
L+800
|
| | | | 1.3% | | | | | | 5/31/20 | | | | | | 126,026 | | | | | | 126,026 | | | | | | 127,916 | | |
Industry City TI Lessor, L.P.
|
| |
(j)
|
| | Consumer Services | | |
10.8%, 1.0% PIK
(1.0% Max PIK) |
| | | | | | | | | | 6/30/26 | | | | | | 13,045 | | | | | | 13,045 | | | | | | 13,241 | | |
Intralinks, Inc.
|
| |
(f)(g)(j)(o)
|
| | Software & Services | | |
L+525
|
| | | | 2.0% | | | | | | 2/24/19 | | | | | | 24,313 | | | | | | 24,197 | | | | | | 24,099 | | |
JMC Acquisition Merger Corp.
|
| |
(f)(g)(h)
|
| | Capital Goods | | |
L+857
|
| | | | 1.0% | | | | | | 11/6/21 | | | | | | 18,995 | | | | | | 18,995 | | | | | | 18,995 | | |
JSS Holdings, Inc.
|
| |
(f)
|
| | Capital Goods | | |
L+650
|
| | | | 1.0% | | | | | | 8/31/21 | | | | | | 7,500 | | | | | | 7,085 | | | | | | 7,462 | | |
Latham Pool Products, Inc.
|
| |
(f)(g)(j)
|
| |
Commercial & Professional Services
|
| |
L+775
|
| | | | 1.0% | | | | | | 6/29/21 | | | | | | 35,000 | | | | | | 35,000 | | | | | | 35,350 | | |
LD Intermediate Holdings, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+588
|
| | | | 1.0% | | | | | | 12/9/22 | | | | | | 17,000 | | | | | | 15,305 | | | | | | 15,810 | | |
MB Precision Holdings LLC
|
| |
(g)(h)(j)
|
| | Capital Goods | | |
L+725, 1.5% PIK
(1.5% Max PIK) |
| | | | 1.3% | | | | | | 1/23/20 | | | | | | 59,981 | | | | | | 59,981 | | | | | | 57,657 | | |
MMM Holdings, Inc.
|
| |
(f)
|
| |
Health Care Equipment & Services
|
| |
L+825
|
| | | | 1.5% | | | | | | 6/30/19 | | | | | | 2,009 | | | | | | 2,013 | | | | | | 1,964 | | |
MORSCO, Inc.
|
| |
(e)(f)
|
| | Capital Goods | | |
L+700
|
| | | | 1.0% | | | | | | 10/31/23 | | | | | | 20,000 | | | | | | 19,217 | | | | | | 20,200 | | |
Moxie Liberty LLC
|
| |
(f)(h)
|
| | Energy | | |
L+650
|
| | | | 1.0% | | | | | | 8/21/20 | | | | | | 11,752 | | | | | | 11,777 | | | | | | 11,619 | | |
Moxie Patriot LLC
|
| |
(h)
|
| | Energy | | |
L+575
|
| | | | 1.0% | | | | | | 12/19/20 | | | | | | 5,438 | | | | | | 5,406 | | | | | | 5,411 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
MSO of Puerto Rico, Inc.
|
| |
(f)
|
| |
Health Care Equipment & Services
|
| |
L+825
|
| | | | 1.5% | | | | | | 6/30/19 | | | | | $ | 1,461 | | | | | $ | 1,463 | | | | | $ | 1,428 | | |
Nobel Learning Communities, Inc.
|
| | | | | Consumer Services | | |
L+450
|
| | | | 1.0% | | | | | | 4/27/20 | | | | | | 4,193 | | | | | | 4,193 | | | | | | 4,193 | | |
Nobel Learning Communities, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+450
|
| | | | 1.0% | | | | | | 4/27/20 | | | | | | 6,988 | | | | | | 6,988 | | | | | | 6,988 | | |
Nobel Learning Communities, Inc.
|
| |
(f)(j)(k)
|
| | Consumer Services | | |
L+841
|
| | | | 1.0% | | | | | | 4/27/21 | | | | | | 84,472 | | | | | | 84,472 | | | | | | 85,739 | | |
North Haven Cadence Buyer, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+500
|
| | | | 1.0% | | | | | | 9/2/21 | | | | | | 2,625 | | | | | | 2,625 | | | | | | 2,625 | | |
North Haven Cadence Buyer, Inc.
|
| |
(f)(h)(j)(k)
|
| | Consumer Services | | |
L+813
|
| | | | 1.0% | | | | | | 9/2/22 | | | | | | 74,958 | | | | | | 74,958 | | | | | | 74,958 | | |
North Haven Cadence Buyer, Inc.
|
| |
(p)
|
| | Consumer Services | | |
L+750
|
| | | | 1.0% | | | | | | 9/2/22 | | | | | | 12,542 | | | | | | 12,542 | | | | | | 12,542 | | |
Nova Wildcat Amerock, LLC
|
| |
(f)(g)(j)
|
| | Consumer Durables & Apparel | | |
L+859
|
| | | | 1.3% | | | | | | 9/10/19 | | | | | | 64,759 | | | | | | 64,759 | | | | | | 62,816 | | |
PHRC License, LLC
|
| |
(e)(g)(h)
|
| | Consumer Services | | |
L+900
|
| | | | 1.5% | | | | | | 8/14/20 | | | | | | 58,506 | | | | | | 58,506 | | | | | | 59,091 | | |
Polymer Additives, Inc.
|
| |
(g)(h)(k)
|
| | Materials | | |
L+888
|
| | | | 1.0% | | | | | | 12/20/21 | | | | | | 63,068 | | | | | | 63,068 | | | | | | 63,384 | | |
Polymer Additives, Inc.
|
| |
(k)
|
| | Materials | | |
L+978
|
| | | | 1.0% | | | | | | 12/20/21 | | | | | | 1,941 | | | | | | 1,941 | | | | | | 2,019 | | |
Production Resource Group, LLC
|
| |
(f)(g)(h)(k)
|
| | Media | | |
L+850
|
| | | | 1.0% | | | | | | 7/23/19 | | | | | | 47,500 | | | | | | 47,500 | | | | | | 47,025 | | |
Production Resource Group, LLC
|
| |
(f)(j)(k)
|
| | Media | | |
L+850
|
| | | | 1.0% | | | | | | 7/23/19 | | | | | | 48,099 | | | | | | 48,099 | | | | | | 47,617 | | |
Propulsion Acquisition, LLC
|
| |
(f)(g)(j)
|
| |
Commercial & Professional Services
|
| |
L+600
|
| | | | 1.0% | | | | | | 7/13/21 | | | | | | 37,405 | | | | | | 34,996 | | | | | | 36,657 | | |
PSKW, LLC
|
| |
(f)(g)(j)
|
| |
Health Care Equipment & Services
|
| |
L+839
|
| | | | 1.0% | | | | | | 11/25/21 | | | | | | 26,000 | | | | | | 26,000 | | | | | | 25,297 | | |
Roadrunner Intermediate Acquisition Co., LLC
|
| |
(f)
|
| |
Health Care Equipment & Services
|
| |
L+800
|
| | | | 1.0% | | | | | | 9/22/21 | | | | | | 7,750 | | | | | | 7,750 | | | | | | 7,866 | | |
Rogue Wave Software, Inc.
|
| |
(j)
|
| | Software & Services | | |
L+802
|
| | | | 1.0% | | | | | | 9/25/21 | | | | | | 19,913 | | | | | | 19,913 | | | | | | 19,913 | | |
Safariland, LLC
|
| |
(h)(j)
|
| | Capital Goods | | |
L+769
|
| | | | 1.0% | | | | | | 11/18/23 | | | | | | 70,234 | | | | | | 70,234 | | | | | | 70,059 | | |
Safariland, LLC
|
| |
(p)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0% | | | | | | 11/18/23 | | | | | | 13,867 | | | | | | 13,867 | | | | | | 13,832 | | |
Sequential Brands Group, Inc.
|
| |
(h)(j)(k)(o)
|
| | Consumer Durables & Apparel | | |
L+900
|
| | | | | | | | | | 7/1/22 | | | | | | 159,288 | | | | | | 159,288 | | | | | | 160,881 | | |
Sorenson Communications, Inc.
|
| |
(f)(g)(h)(j)
|
| | Telecommunication Services | | |
L+575
|
| | | | 2.3% | | | | | | 4/30/20 | | | | | | 99,460 | | | | | | 99,158 | | | | | | 98,714 | | |
Sports Authority, Inc.
|
| |
(f)(m)(n)
|
| | Retailing | | |
L+600
|
| | | | 1.5% | | | | | | 11/16/17 | | | | | | 7,818 | | | | | | 6,676 | | | | | | 1,593 | | |
Strike, LLC
|
| |
(p)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 5/30/19 | | | | | | 5,000 | | | | | | 4,926 | | | | | | 4,925 | | |
Strike, LLC
|
| |
(k)(l)
|
| | Energy | | |
L+800
|
| | | | 1.0% | | | | | | 11/30/22 | | | | | | 7,500 | | | | | | 7,275 | | | | | | 7,425 | | |
SunGard Availability Services Capital, Inc.
|
| |
(f)(i)
|
| | Software & Services | | |
L+500
|
| | | | 1.0% | | | | | | 3/29/19 | | | | | | 10,749 | | | | | | 10,184 | | | | | | 10,436 | | |
Sunnova Asset Portfolio 5 Holdings, LLC
|
| | | | | Energy | | |
12.0%, 0.0% PIK
(12.0% Max PIK) |
| | | | | | | | | | 11/14/21 | | | | | | 9,406 | | | | | | 9,267 | | | | | | 9,500 | | |
Swift Worldwide Resources US Holdings Corp.
|
| |
(f)(h)
|
| | Energy | | |
L+1100
|
| | | | 1.0% | | | | | | 7/20/21 | | | | | | 19,538 | | | | | | 19,538 | | | | | | 19,538 | | |
ThermaSys Corp.
|
| |
(f)
|
| | Capital Goods | | |
L+400
|
| | | | 1.3% | | | | | | 5/3/19 | | | | | | 4,650 | | | | | | 4,651 | | | | | | 4,010 | | |
TierPoint, LLC
|
| |
(f)
|
| | Software & Services | | |
L+450
|
| | | | 1.0% | | | | | | 12/2/21 | | | | | | 4,526 | | | | | | 4,445 | | | | | | 4,562 | | |
Transplace Texas, LP
|
| |
(j)
|
| | Transportation | | |
L+744
|
| | | | 1.0% | | | | | | 9/16/21 | | | | | | 22,038 | | | | | | 22,038 | | | | | | 22,038 | | |
Transplace Texas, LP
|
| |
(p)
|
| | Transportation | | |
L+700
|
| | | | 1.0% | | | | | | 9/16/21 | | | | | | 486 | | | | | | 486 | | | | | | 486 | | |
U.S. Xpress Enterprises, Inc.
|
| |
(g)(h)(j)
|
| | Transportation | | |
L+1000, 0.0% PIK
(1.8% Max PIK) |
| | | | 1.5% | | | | | | 5/30/19 | | | | | | 67,684 | | | | | | 67,684 | | | | | | 67,684 | | |
UTEX Industries, Inc.
|
| |
(k)
|
| | Energy | | |
L+400
|
| | | | 1.0% | | | | | | 5/21/21 | | | | | | 1,125 | | | | | | 1,121 | | | | | | 1,053 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Vertellus Performance Chemicals LLC
|
| |
(j)(k)
|
| | Materials | | |
L+950
|
| | | | 1.0% | | | | | | 1/30/20 | | | | | $ | 65,000 | | | | | $ | 65,000 | | | | | $ | 61,054 | | |
Warren Resources, Inc.
|
| |
(e)(j)(x)
|
| | Energy | | |
L+900, 1.0% PIK
(1.0% Max PIK) |
| | | | 1.0% | | | | | | 5/22/20 | | | | | | 42,122 | | | | | | 42,122 | | | | | | 42,122 | | |
Warren Resources, Inc.
|
| |
(p)(x)
|
| | Energy | | |
L+900, 1.0% PIK
(1.0% Max PIK) |
| | | | 1.0% | | | | | | 5/22/20 | | | | | | 3,002 | | | | | | 3,002 | | | | | | 3,002 | | |
Waste Pro USA, Inc.
|
| |
(g)(h)(j)(k)
|
| |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0% | | | | | | 10/15/20 | | | | | | 122,363 | | | | | | 122,363 | | | | | | 124,657 | | |
Zeta Interactive Holdings Corp.
|
| |
(f)(g)(j)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 28,076 | | | | | | 28,152 | | | | | | 28,356 | | |
Zeta Interactive Holdings Corp.
|
| |
(f)(g)(v)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 8,214 | | | | | | 8,139 | | | | | | 8,268 | | |
Zeta Interactive Holdings Corp.
|
| |
(p)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 5,109 | | | | | | 5,109 | | | | | | 5,156 | | |
Zeta Interactive Holdings Corp.
|
| |
(p)(v)
|
| | Software & Services | | |
L+750
|
| | | | 1.0% | | | | | | 7/29/22 | | | | | | 1,314 | | | | | | 1,314 | | | | | | 1,319 | | |
Total Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 3,049,882 | | | | | | 3,027,538 | | |
Unfunded Loan Commitments
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (163,449) | | | | | | (163,449) | | |
Net Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 2,886,433 | | | | | | 2,864,089 | | |
Senior Secured Loans—Second Lien—24.7% | | | | | | | | | | |||||||||||||||||||||||||||||||
Alison US LLC
|
| |
(i)(o)
|
| | Capital Goods | | |
L+850
|
| | | | 1.0% | | | | | | 8/29/22 | | | | | | 4,444 | | | | | | 4,303 | | | | | | 4,311 | | |
American Bath Group, LLC
|
| |
(k)
|
| | Capital Goods | | |
L+975
|
| | | | 1.0% | | | | | | 9/30/24 | | | | | | 7,000 | | | | | | 6,448 | | | | | | 6,755 | | |
AP Exhaust Acquisition, LLC
|
| | | | | Automobiles & Components | | |
12.0% PIK
(12.0% Max PIK) |
| | | | | | | | | | 9/28/21 | | | | | | 38,889 | | | | | | 38,889 | | | | | | 33,882 | | |
Arena Energy, LP
|
| |
(f)(j)
|
| | Energy | | |
L+900, 4.0% PIK
(4.0% Max PIK) |
| | | | 1.0% | | | | | | 1/24/21 | | | | | | 23,864 | | | | | | 23,864 | | | | | | 23,983 | | |
Ascent Resources - Marcellus, LLC
|
| |
(f)
|
| | Energy | | |
L+750
|
| | | | 1.0% | | | | | | 8/4/21 | | | | | | 3,333 | | | | | | 3,291 | | | | | | 442 | | |
Ascent Resources - Utica, LLC
|
| |
(e)(h)(j)(k)
|
| | Energy | | |
L+950
|
| | | | 1.5% | | | | | | 9/30/18 | | | | | | 248,050 | | | | | | 247,400 | | | | | | 250,220 | | |
ASG Technologies Group, Inc.
|
| |
(j)(x)
|
| | Software & Services | | |
L+1100, 0.0% PIK
(6.0% Max PIK) |
| | | | 1.0% | | | | | | 6/27/22 | | | | | | 26,989 | | | | | | 20,189 | | | | | | 26,179 | | |
BPA Laboratories Inc.
|
| |
(j)
|
| | Pharmaceuticals, Biotechnology & Life Sciences |
| |
L+250
|
| | | | | | | | | | 7/3/17 | | | | | | 3,272 | | | | | | 3,129 | | | | | | 2,263 | | |
Byrider Finance, LLC
|
| |
(e)
|
| | Automobiles & Components | | |
L+1000, 0.5% PIK
(0.5% Max PIK) |
| | | | 1.3% | | | | | | 8/22/20 | | | | | | 16,745 | | | | | | 16,745 | | | | | | 16,493 | | |
Checkout Holding Corp.
|
| |
(k)
|
| | Media | | |
L+675
|
| | | | 1.0% | | | | | | 4/11/22 | | | | | | 10,000 | | | | | | 9,945 | | | | | | 7,200 | | |
Chief Exploration & Development LLC
|
| |
(f)
|
| | Energy | | |
L+650
|
| | | | 1.3% | | | | | | 5/16/21 | | | | | | 1,174 | | | | | | 1,166 | | | | | | 1,154 | | |
Compuware Corp.
|
| |
(j)
|
| | Software & Services | | |
L+825
|
| | | | 1.0% | | | | | | 12/15/22 | | | | | | 10,000 | | | | | | 8,915 | | | | | | 10,050 | | |
Crossmark Holdings, Inc.
|
| |
(k)
|
| | Media | | |
L+750
|
| | | | 1.3% | | | | | | 12/21/20 | | | | | | 7,778 | | | | | | 7,791 | | | | | | 3,694 | | |
Fairway Group Acquisition Co.
|
| | | | | Food & Staples Retailing | | |
11.0% PIK
(11.0% Max PIK) |
| | | | | | | | | | 10/3/21 | | | | | | 1,400 | | | | | | 1,400 | | | | | | 1,148 | | |
Fieldwood Energy LLC
|
| |
(e)
|
| | Energy | | |
L+713
|
| | | | 1.3% | | | | | | 9/30/20 | | | | | | 2,667 | | | | | | 2,040 | | | | | | 1,900 | | |
Gruden Acquisition, Inc.
|
| |
(j)
|
| | Transportation | | |
L+850
|
| | | | 1.0% | | | | | | 8/18/23 | | | | | | 15,000 | | | | | | 14,366 | | | | | | 11,875 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| |||||||||||||||
Inmar, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+700
|
| | | | 1.0% | | | | | | 1/27/22 | | | | | $ | 2,830 | | | | | $ | 2,810 | | | | | $ | 2,713 | | |
Jazz Acquisition, Inc.
|
| |
(f)
|
| | Capital Goods | | |
L+675
|
| | | | 1.0% | | | | | | 6/19/22 | | | | | | 3,700 | | | | | | 3,742 | | | | | | 3,139 | | |
Jonah Energy LLC
|
| |
(e)
|
| | Energy | | |
L+650
|
| | | | 1.0% | | | | | | 5/12/21 | | | | | | 1,250 | | | | | | 1,095 | | | | | | 1,188 | | |
JW Aluminum Co.
|
| |
(e)(j)(k)(x)
|
| | Materials | | |
L+850 PIK
(L+850 Max PIK) |
| | | | 0.8% | | | | | | 11/17/20 | | | | | | 33,818 | | | | | | 33,808 | | | | | | 34,410 | | |
Logan’s Roadhouse, Inc.
|
| |
(x)
|
| | Consumer Services | | |
L+850 PIK
(L+850 Max PIK) |
| | | | 1.0% | | | | | | 11/23/20 | | | | | | 10,824 | | | | | | 10,824 | | | | | | 10,355 | | |
National Surgical Hospitals, Inc.
|
| |
(j)
|
| |
Health Care Equipment & Services
|
| |
L+900
|
| | | | 1.0% | | | | | | 6/1/23 | | | | | | 17,500 | | | | | | 17,500 | | | | | | 17,508 | | |
Neff Rental LLC
|
| |
(k)
|
| | Capital Goods | | |
L+625
|
| | | | 1.0% | | | | | | 6/9/21 | | | | | | 7,253 | | | | | | 7,227 | | | | | | 7,224 | | |
Nielsen & Bainbridge, LLC
|
| |
(f)(g)
|
| | Consumer Durables & Apparel | | |
L+925
|
| | | | 1.0% | | | | | | 8/15/21 | | | | | | 16,675 | | | | | | 16,490 | | | | | | 16,341 | | |
P2 Upstream Acquisition Co.
|
| |
(k)
|
| | Energy | | |
L+800
|
| | | | 1.3% | | | | | | 4/30/21 | | | | | | 14,500 | | | | | | 14,688 | | | | | | 13,286 | | |
Paw Luxco II Sarl
|
| |
(o)
|
| | Consumer Durables & Apparel | | |
EURIBOR+950
|
| | | | | | | | | | 1/29/19 | | | | | € | 5,727 | | | | | | 7,241 | | | | | | 719 | | |
Payless Inc.
|
| |
(k)
|
| | Retailing | | |
L+750
|
| | | | 1.0% | | | | | | 3/11/22 | | | | | $ | 10,841 | | | | | | 10,762 | | | | | | 1,771 | | |
Peak 10, Inc.
|
| |
(g)
|
| | Software & Services | | |
L+725
|
| | | | 1.0% | | | | | | 6/17/22 | | | | | | 5,500 | | | | | | 5,460 | | | | | | 5,184 | | |
PSAV Acquisition Corp.
|
| |
(j)
|
| |
Technology Hardware & Equipment
|
| |
L+825
|
| | | | 1.0% | | | | | | 1/24/22 | | | | | | 80,000 | | | | | | 79,153 | | | | | | 80,000 | | |
Spencer Gifts LLC
|
| |
(k)
|
| | Retailing | | |
L+825
|
| | | | 1.0% | | | | | | 6/29/22 | | | | | | 20,000 | | | | | | 20,091 | | | | | | 16,550 | | |
Titan Energy Operating, LLC
|
| |
(g)(j)
|
| | Energy | | |
2.0%, L+900 PIK
(L+900 Max PIK) |
| | | | 1.0% | | | | | | 2/23/20 | | | | | | 69,954 | | | | | | 58,348 | | | | | | 57,236 | | |
TNS, Inc.
|
| |
(g)(i)(k)
|
| | Software & Services | | |
L+800
|
| | | | 1.0% | | | | | | 8/14/20 | | | | | | 43,475 | | | | | | 43,220 | | | | | | 43,222 | | |
WP CPP Holdings, LLC
|
| |
(j)
|
| | Capital Goods | | |
L+775
|
| | | | 1.0% | | | | | | 4/30/21 | | | | | | 6,932 | | | | | | 6,909 | | | | | | 6,576 | | |
Total Senior Secured Loans—Second Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 749,249 | | | | | | 718,971 | | |
Senior Secured Bonds—5.1% | | | | | | | | | | |||||||||||||||||||||||||||||||
Advanced Lighting Technologies, Inc.
|
| |
(e)(j)
|
| | Materials | | |
10.5%
|
| | | | | | | | | | 6/1/19 | | | | | | 35,500 | | | | | | 33,181 | | | | | | 12,709 | | |
Caesars Entertainment Resort Properties, LLC
|
| |
(i)(j)
|
| | Consumer Services | | |
11.0%
|
| | | | | | | | | | 10/1/21 | | | | | | 37,350 | | | | | | 37,903 | | | | | | 40,815 | | |
CEVA Group Plc
|
| |
(i)(o)
|
| | Transportation | | |
7.0%
|
| | | | | | | | | | 3/1/21 | | | | | | 5,000 | | | | | | 4,393 | | | | | | 4,082 | | |
CEVA Group Plc
|
| |
(i)(o)
|
| | Transportation | | |
9.0%
|
| | | | | | | | | | 9/1/21 | | | | | | 2,000 | | | | | | 2,000 | | | | | | 1,310 | | |
Diamond Resorts International, Inc.
|
| |
(k)
|
| | Consumer Services | | |
7.8%
|
| | | | | | | | | | 9/1/23 | | | | | | 10,000 | | | | | | 10,000 | | | | | | 10,083 | | |
FourPoint Energy, LLC
|
| |
(e)(j)
|
| | Energy | | |
9.0%
|
| | | | | | | | | | 12/31/21 | | | | | | 46,313 | | | | | | 44,892 | | | | | | 47,413 | | |
Global A&T Electronics Ltd.
|
| |
(e)(k)(o)
|
| | Semiconductors & Semiconductor Equipment |
| |
10.0%
|
| | | | | | | | | | 2/1/19 | | | | | | 19,490 | | | | | | 18,983 | | | | | | 14,837 | | |
Ridgeback Resources Inc.
|
| |
(e)(o)(w)
|
| | Energy | | |
12.0%
|
| | | | | | | | | | 12/29/20 | | | | | | 331 | | | | | | 324 | | | | | | 331 | | |
Sorenson Communications, Inc.
|
| |
(j)
|
| | Telecommunication Services | | |
9.0%, 0.0% PIK
(9.0% Max PIK) |
| | | | | | | | | | 10/31/20 | | | | | | 7,058 | | | | | | 6,861 | | | | | | 6,281 | | |
Velvet Energy Ltd.
|
| |
(o)
|
| | Energy | | |
9.0%
|
| | | | | | | | | | 10/5/23 | | | | | | 10,000 | | | | | | 10,000 | | | | | | 10,224 | | |
Total Senior Secured Bonds
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 168,537 | | | | | | 148,085 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| ||||||||||||
Subordinated Debt—13.9% | | | | | | | | | | ||||||||||||||||||||||||||||
Aurora Diagnostics, LLC
|
| |
(j)
|
| |
Health Care Equipment & Services
|
| |
10.8%
|
| | | | | | | 1/15/18 | | | | | $ | 6,130 | | | | | $ | 6,140 | | | | | $ | 5,287 | | |
Bellatrix Exploration Ltd.
|
| |
(o)
|
| | Energy | | |
8.5%
|
| | | | | | | 5/15/20 | | | | | | 5,000 | | | | | | 4,928 | | | | | | 4,922 | | |
BMC Software Finance, Inc.
|
| |
(k)
|
| | Software & Services | | |
7.3%
|
| | | | | | | 6/1/18 | | | | | | 3,820 | | | | | | 3,651 | | | | | | 3,837 | | |
Brooklyn Basketball Holdings, LLC
|
| |
(h)(j)
|
| | Consumer Services | | |
L+725
|
| | | | | | | 10/25/19 | | | | | | 39,746 | | | | | | 39,746 | | | | | | 39,944 | | |
CEC Entertainment, Inc.
|
| |
(i)
|
| | Consumer Services | | |
8.0%
|
| | | | | | | 2/15/22 | | | | | | 18,715 | | | | | | 18,545 | | | | | | 19,152 | | |
Ceridian HCM Holding, Inc.
|
| |
(i)(k)
|
| |
Commercial & Professional Services
|
| |
11.0%
|
| | | | | | | 3/15/21 | | | | | | 46,250 | | | | | | 45,843 | | | | | | 47,753 | | |
Eclipse Resources Corp.
|
| |
(i)(o)
|
| | Energy | | |
8.9%
|
| | | | | | | 7/15/23 | | | | | | 9,175 | | | | | | 9,008 | | | | | | 9,573 | | |
EV Energy Partners, L.P.
|
| |
(e)
|
| | Energy | | |
8.0%
|
| | | | | | | 4/15/19 | | | | | | 259 | | | | | | 239 | | | | | | 184 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 1/30/25 | | | | | | 732 | | | | | | 732 | | | | | | 727 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 4/30/25 | | | | | | 4,649 | | | | | | 4,649 | | | | | | 4,620 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 9/3/25 | | | | | | 961 | | | | | | 961 | | | | | | 955 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 9/29/25 | | | | | | 904 | | | | | | 904 | | | | | | 899 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 12/4/25 | | | | | | 6,676 | | | | | | 6,676 | | | | | | 6,635 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 12/9/25 | | | | | | 1,092 | | | | | | 1,092 | | | | | | 1,085 | | |
Global Jet Capital Inc.
|
| |
(e)(o)
|
| |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 1/29/26 | | | | | | 572 | | | | | | 572 | | | | | | 568 | | |
Global Jet Capital Inc.
|
| | | | |
Commercial & Professional Services
|
| |
15.0% PIK
(15.0% Max PIK) |
| | | | | | | 12/2/26 | | | | | | 1,730 | | | | | | 1,730 | | | | | | 1,730 | | |
Jupiter Resources Inc.
|
| |
(h)(o)
|
| | Energy | | |
8.5%
|
| | | | | | | 10/1/22 | | | | | | 28,800 | | | | | | 26,772 | | | | | | 25,008 | | |
Mood Media Corp.
|
| |
(l)(o)
|
| | Media | | |
10.0%
|
| | | | | | | 8/6/23 | | | | | | 6,930 | | | | | | 6,103 | | | | | | 6,410 | | |
Mood Media Corp.
|
| |
(e)(j)(o)
|
| | Media | | |
9.3%
|
| | | | | | | 10/15/20 | | | | | | 46,207 | | | | | | 45,764 | | | | | | 28,648 | | |
NewStar Financial, Inc.
|
| |
(h)(j)(k)(o)
|
| | Diversified Financials | | |
8.3%, 0.0% PIK
(8.8% Max PIK) |
| | | | | | | 12/4/24 | | | | | | 150,000 | | | | | | 123,230 | | | | | | 130,500 | | |
P.F. Chang’s China Bistro, Inc.
|
| |
(i)(j)
|
| | Consumer Services | | |
10.3%
|
| | | | | | | 6/30/20 | | | | | | 31,353 | | | | | | 31,262 | | | | | | 30,778 | | |
S1 Blocker Buyer Inc.
|
| | | | |
Commercial & Professional Services
|
| |
10.0% PIK
(10.0% Max PIK) |
| | | | | | | 10/31/22 | | | | | | 268 | | | | | | 268 | | | | | | 272 | | |
SandRidge Energy, Inc.
|
| |
(n)(o)
|
| | Energy | | |
0.0%
|
| | | | | | | 10/4/20 | | | | | | 2,643 | | | | | | 3,522 | | | | | | 3,318 | | |
Scientific Games Corp.
|
| |
(i)(o)
|
| | Consumer Services | | |
8.1%
|
| | | | | | | 9/15/18 | | | | | | 3,340 | | | | | | 3,285 | | | | | | 3,383 | | |
Sorenson Communications, Inc.
|
| |
(e)(j)
|
| | Telecommunication Services | | |
13.9%, 0.0% PIK
(13.9% Max PIK) |
| | | | | | | 10/31/21 | | | | | | 5,364 | | | | | | 5,075 | | | | | | 4,935 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount(c) |
| |
Amortized
Cost |
| |
Fair
Value(d) |
| ||||||||||||
SunGard Availability Services Capital, Inc.
|
| |
(i)
|
| | Software & Services | | |
8.8%
|
| | | | | | | 4/1/22 | | | | | $ | 5,900 | | | | | $ | 4,436 | | | | | $ | 4,064 | | |
Talos Production LLC
|
| |
(e)
|
| | Energy | | |
9.8%
|
| | | | | | | 2/15/18 | | | | | | 4,500 | | | | | | 4,291 | | | | | | 2,497 | | |
TI Group Automotive Systems, LLC
|
| |
(i)(o)
|
| | Automobiles & Components | | |
8.8%
|
| | | | | | | 7/15/23 | | | | | | 7,302 | | | | | | 7,302 | | | | | | 7,699 | | |
York Risk Services Holding Corp.
|
| |
(i)(j)
|
| | Insurance | | |
8.5%
|
| | | | | | | 10/1/22 | | | | | | 8,350 | | | | | | 7,594 | | | | | | 7,014 | | |
Total Subordinated Debt
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 414,320 | | | | | | 402,397 | | |
Collateralized Securities—0.8% | | | | | | | | | | ||||||||||||||||||||||||||||
CGMS CLO 2013-3A Class Subord.
|
| |
(o)
|
| | Diversified Financials | | |
16.8%
|
| | | | | | | 7/15/25 | | | | | | 17,000 | | | | | | 7,941 | | | | | | 10,674 | | |
NewStar Clarendon 2014-1A Class D
|
| |
(o)
|
| | Diversified Financials | | |
L+435
|
| | | | | | | 1/25/27 | | | | | | 1,060 | | | | | | 1,003 | | | | | | 1,000 | | |
NewStar Clarendon 2014-1A Class Subord. B
|
| |
(o)
|
| | Diversified Financials | | |
16.4%
|
| | | | | | | 1/25/27 | | | | | | 12,140 | | | | | | 9,680 | | | | | | 9,698 | | |
Octagon CLO 2012-1A Class Income
|
| |
(o)
|
| | Diversified Financials | | |
5.8%
|
| | | | | | | 1/15/24 | | | | | | 4,650 | | | | | | 1,644 | | | | | | 1,801 | | |
Total Collateralized Securities
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 20,268 | | | | | | 23,173 | | |
|
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value(d) |
| |||||||||
Equity/Other—11.7% | | | | | | | |||||||||||||||||||
5 Arches, LLC, Common Equity
|
| |
(n)(o)(r)
|
| | Diversified Financials | | | | | 4,738 | | | | | $ | 125 | | | | | $ | 125 | | |
A.T. Cross Co., Common Equity, Class A Units
|
| |
(e)(n)(x)
|
| | Retailing | | | | | 1,000,000 | | | | | | 1,000 | | | | | | — | | |
A.T. Cross Co., Preferred Equity, Class A-1 Units
|
| |
(e)(n)(x)
|
| | Retailing | | | | | 243,478 | | | | | | 243 | | | | | | — | | |
A.T. Cross Co., GSO Special Unit
|
| |
(n)(x)
|
| | Retailing | | | | | 1 | | | | | | — | | | | | | — | | |
Abaco Energy Technologies LLC, Common Equity
|
| |
(n)
|
| | Energy | | | | | 3,055,556 | | | | | | 3,056 | | | | | | 153 | | |
Abaco Energy Technologies LLC, Preferred Equity
|
| |
(n)
|
| | Energy | | | | | 12,734,481 | | | | | | 637 | | | | | | 637 | | |
ACP FH Holdings GP, LLC, Common Equity
|
| |
(e)(n)
|
| | Consumer Durables & Apparel | | | | | 88,571 | | | | | | 89 | | | | | | 71 | | |
ACP FH Holdings, LP, Common Equity
|
| |
(e)(n)
|
| | Consumer Durables & Apparel | | | | | 8,768,572 | | | | | | 8,769 | | | | | | 7,017 | | |
Altus Power America Holdings, LLC, Common Equity
|
| |
(n)
|
| | Energy | | | | | 462,008 | | | | | | 462 | | | | | | 462 | | |
Altus Power America Holdings, LLC, Preferred Equity
|
| |
(t)
|
| | Energy | | | | | 833,333 | | | | | | 888 | | | | | | 888 | | |
Amaya Inc., Warrants, 5/15/2024
|
| |
(n)(o)
|
| | Consumer Services | | | | | 2,000,000 | | | | | | 16,832 | | | | | | 13,360 | | |
AP Exhaust Holdings, LLC, Common Equity
|
| |
(n)(r)
|
| | Automobiles & Components | | | | | 8,378 | | | | | | 8,378 | | | | | | 419 | | |
Ascent Resources Utica Holdings, LLC, Common Equity
|
| |
(n)(q)
|
| | Energy | | | | | 128,734,129 | | | | | | 38,700 | | | | | | 28,836 | | |
ASG Technologies Group, Inc., Common Equity
|
| |
(n)(x)
|
| | Software & Services | | | | | 625,178 | | | | | | 13,475 | | | | | | 29,477 | | |
ASG Technologies Group, Inc., Warrants, 6/27/2022
|
| |
(n)(x)
|
| | Software & Services | | | | | 253,704 | | | | | | 7,231 | | | | | | 6,444 | | |
Aspect Software, Inc., Common Equity
|
| |
(n)
|
| | Software & Services | | | | | 386,092 | | | | | | 18,639 | | | | | | 21,081 | | |
ATX Holdings, LLC, Common Equity
|
| |
(n)(o)
|
| | Technology Hardware & Equipment | | | | | 72,635 | | | | | | 116 | | | | | | 116 | | |
BPA Laboratories, Inc., Series A Warrants, 4/29/2024
|
| |
(j)(n)
|
| | Pharmaceuticals, Biotechnology & Life Sciences | | | | | 10,924 | | | | | | — | | | | | | — | | |
BPA Laboratories, Inc., Series B Warrants, 4/29/2024
|
| |
(j)(n)
|
| | Pharmaceuticals, Biotechnology & Life Sciences | | | | | 17,515 | | | | | | — | | | | | | — | | |
Burleigh Point, Ltd., Warrants, 7/16/2020
|
| |
(n)(o)
|
| | Retailing | | | | | 3,451,216 | | | | | | 1,898 | | | | | | 276 | | |
Cimarron Energy Holdco Inc., Common Equity
|
| |
(n)
|
| | Energy | | | | | 3,201,631 | | | | | | 2,991 | | | | | | 1,921 | | |
CSF Group Holdings, Inc., Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 417,400 | | | | | | 417 | | | | | | 417 | | |
DHS Technologies LLC, Common Equity
|
| |
(e)(n)
|
| | Capital Goods | | | | | 60,872 | | | | | | 5,000 | | | | | | 626 | | |
Eastman Kodak Co., Common Equity
|
| |
(n)
|
| | Consumer Durables & Apparel | | | | | 1,846 | | | | | | 36 | | | | | | 29 | | |
H.I.G. Empire Holdco, Inc., Common Equity
|
| |
(n)
|
| | Retailing | | | | | 411 | | | | | | 1,227 | | | | | | 1,260 | | |
Fairway Group Acquisition Co., Common Equity
|
| |
(n)
|
| | Food & Staples Retailing | | | | | 31,626 | | | | | | 1,016 | | | | | | 822 | | |
FourPoint Energy, LLC, Common Equity, Class C-II-A Units
|
| |
(n)(r)
|
| | Energy | | | | | 13,000 | | | | | | 13,000 | | | | | | 6,273 | | |
FourPoint Energy, LLC, Common Equity, Class D Units
|
| |
(n)(r)
|
| | Energy | | | | | 2,437 | | | | | | 1,610 | | | | | | 1,188 | | |
FourPoint Energy, LLC, Common Equity, Class E-II Units
|
| |
(n)(r)
|
| | Energy | | | | | 54,104 | | | | | | 13,526 | | | | | | 24,753 | | |
FourPoint Energy, LLC, Common Equity, Class E-III Units
|
| |
(e)(n)(r)
|
| | Energy | | | | | 43,875 | | | | | | 10,969 | | | | | | 21,170 | | |
Global Jet Capital Holdings, LP, Preferred Equity
|
| |
(e)(n)(o)
|
| | Commercial & Professional Services | | | | | 6,228,866 | | | | | | 6,229 | | | | | | 6,229 | | |
Harvey Holdings, LLC, Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 666,667 | | | | | | 667 | | | | | | 1,533 | | |
Industrial Group Intermediate Holdings, LLC, Common Equity
|
| |
(n)(r)
|
| | Materials | | | | | 2,678,947 | | | | | | 2,679 | | | | | | 4,688 | | |
JMC Acquisition Holdings, LLC, Common Equity
|
| |
(n)
|
| | Capital Goods | | | | | 1,449 | | | | | | 1,449 | | | | | | 1,616 | | |
JW Aluminum Co., Common Equity
|
| |
(e)(k)(n)(x)
|
| | Materials | | | | | 256 | | | | | | — | | | | | | — | | |
JW Aluminum Co., Preferred Equity
|
| |
(e)(k)(x)
|
| | Materials | | | | | 1,184 | | | | | | 11,279 | | | | | | 11,854 | | |
Portfolio Company(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value(d) |
| |||||||||
MB Precision Investment Holdings LLC, Class A-2 Units
|
| |
(n)(r)
|
| | Capital Goods | | | | | 2,287,659 | | | | | $ | 2,288 | | | | | $ | 458 | | |
NewStar Financial, Inc., Warrants, 11/4/2024
|
| |
(e)(n)(o)
|
| | Diversified Financials | | | | | 6,000,000 | | | | | | 30,115 | | | | | | 16,620 | | |
North Haven Cadence Buyer, Inc., Common Equity
|
| |
(n)
|
| | Consumer Services | | | | | 2,916,667 | | | | | | 2,917 | | | | | | 3,063 | | |
Professional Plumbing Group, Inc., Common Equity
|
| |
(e)(n)
|
| | Capital Goods | | | | | 3,000,000 | | | | | | 3,000 | | | | | | 7,500 | | |
PSAV Holdings LLC, Common Equity
|
| | | | | Technology Hardware & Equipment | | | | | 10,000 | | | | | | 10,000 | | | | | | 28,500 | | |
Ridgeback Resources Inc., Common Equity
|
| |
(e)(n)(o)(w)
|
| | Energy | | | | | 817,308 | | | | | | 5,022 | | | | | | 5,022 | | |
Roadhouse Holding Inc., Common Equity
|
| |
(n)(x)
|
| | Consumer Services | | | | | 4,481,763 | | | | | | 4,657 | | | | | | 5,472 | | |
S1 Blocker Buyer Inc., Common Equity
|
| | | | | Commercial & Professional Services | | | | | 124 | | | | | | 1,240 | | | | | | 1,208 | | |
SandRidge Energy, Inc., Common Equity
|
| |
(n)(o)
|
| | Energy | | | | | 112,112 | | | | | | 2,803 | | | | | | 2,640 | | |
Sequential Brands Group, Inc., Common Equity
|
| |
(e)(n)(o)
|
| | Consumer Durables & Apparel | | | | | 408,685 | | | | | | 5,517 | | | | | | 1,913 | | |
Sorenson Communications, Inc., Common Equity
|
| |
(e)(n)
|
| | Telecommunication Services | | | | | 43,796 | | | | | | — | | | | | | 36,990 | | |
Sunnova Energy Corp., Common Equity
|
| |
(n)
|
| | Energy | | | | | 384,746 | | | | | | 1,444 | | | | | | 2,089 | | |
Sunnova Energy Corp., Preferred Equity
|
| |
(n)
|
| | Energy | | | | | 36,363 | | | | | | 194 | | | | | | 197 | | |
Swift Worldwide Resources Holdco Limited, Common Equity
|
| |
(n)(o)(u)
|
| | Energy | | | | | 1,250,000 | | | | | | 2,010 | | | | | | 625 | | |
TE Holdings, LLC, Common Equity
|
| |
(e)(n)(r)
|
| | Energy | | | | | 717,718 | | | | | | 6,101 | | | | | | 5,383 | | |
TE Holdings, LLC, Preferred Equity
|
| |
(e)(n)
|
| | Energy | | | | | 475,758 | | | | | | 4,751 | | | | | | 7,136 | | |
Titan Energy LLC, Common Equity
|
| |
(e)(n)
|
| | Energy | | | | | 200,040 | | | | | | 6,322 | | | | | | 4,801 | | |
Warren Resources, Inc., Common Equity
|
| |
(n)(x)
|
| | Energy | | | | | 2,371,337 | | | | | | 11,145 | | | | | | 10,197 | | |
White Star Petroleum Holdings, LLC, Common Equity
|
| |
(e)(n)
|
| | Energy | | | | | 1,613,753 | | | | | | 1,372 | | | | | | 1,573 | | |
Zeta Interactive Holdings Corp., Preferred Equity
|
| |
(n)
|
| | Software & Services | | | | | 620,025 | | | | | | 4,929 | | | | | | 5,552 | | |
Total Equity/Other
|
| | | | | | | | | | | | | | | | 298,460 | | | | | | 340,680 | | |
TOTAL INVESTMENTS—154.6%
|
| | | | | | | | | | | | | | | $ | 4,537,267 | | | | | | 4,497,395 | | |
LIABILITIES IN EXCESS OF OTHER ASSETS—(54.6%)
|
| | | | | | | | | | | | | | | | | | | | | | (1,587,535) | | |
NET ASSETS—100.0%
|
| | | | | | | | | | | | | | | | | | | | | $ | 2,909,860 | | |
|
| | | |
Portfolio Company
|
| |
Fair Value at
December 31, 2015 |
| |
Purchases and
Paid-in-Kind Interest |
| |
Sales and
Repayments |
| |
Accretion of
Discount |
| |
Net Realized
Gain (Loss) |
| |
Net Change in
Unrealized Appreciation (Depreciation) |
| |
Fair Value at
December 31, 2016 |
| |
Interest
Income |
| |
Fee
Income |
| |
Dividend
Income |
| ||||||||||||||||||||||||||||||
| | | | Senior Secured Loans—First Lien | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co.
|
| | | | — | | | | | $ | 31,027 | | | | | | — | | | | | $ | 682 | | | | | | — | | | | | $ | (3,628) | | | | | $ | 28,081 | | | | | $ | 1,807 | | | | | | — | | | | | | — | | |
| | | |
ASG Technologies Group, Inc.(1)
|
| | | $ | 71,389 | | | | | $ | 8,439 | | | | | | — | | | | | $ | 22 | | | | | | — | | | | | $ | 655 | | | | | $ | 80,505 | | | | | $ | 7,735 | | | | | | — | | | | | | — | | |
| | | |
Warren Resources, Inc.(2)
|
| | | | — | | | | | $ | 42,122 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 42,122 | | | | | $ | 1,095 | | | | | $ | 180 | | | | | | — | | |
| | | | Senior Secured Loans—Second Lien | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
ASG Technologies Group, Inc.(1)
|
| | | | — | | | | | $ | 19,758 | | | | | | — | | | | | $ | 431 | | | | | | — | | | | | $ | 5,990 | | | | | $ | 26,179 | | | | | $ | 1,926 | | | | | $ | 810 | | | | | | — | | |
| | | |
JW Aluminum Co.
|
| | | $ | 30,061 | | | | | $ | 3,747 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 602 | | | | | $ | 34,410 | | | | | $ | 3,040 | | | | | | — | | | | | | — | | |
| | | |
Logan’s Roadhouse, Inc.
|
| | | | — | | | | | $ | 10,824 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | (469) | | | | | $ | 10,355 | | | | | $ | 111 | | | | | $ | 9 | | | | | | — | | |
| | | | Senior Secured Bonds | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
JW Aluminum Co.
|
| | | | — | | | | | $ | 4,421 | | | | | $ | (4,466) | | | | | $ | 59 | | | | | $ | (14) | | | | | | — | | | | | | — | | | | | $ | 115 | | | | | | — | | | | | | — | | |
| | | | Equity/Other | | | | | | | | | | | | ||||||||||||||||||||||||||||||||||||||||||||||||||
| | | |
A.T. Cross Co., Common Equity, Class A Units(3)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | (1,000) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., Preferred Equity, Class A-1 Units(3)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | (243) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
A.T. Cross Co., GSO Special Unit
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
ASG Technologies Group, Inc. Common Equity(1)
|
| | | $ | 28,821 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 656 | | | | | $ | 29,477 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
ASG Technologies Group, Inc., Warrants, 6/27/2022(1)
|
| | | | — | | | | | $ | 7,231 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | (787) | | | | | $ | 6,444 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
JW Aluminum Co., Common Equity
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
JW Aluminum Co., Preferred Equity
|
| | | $ | 11,247 | | | | | $ | 223 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 384 | | | | | $ | 11,854 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Roadhouse Holding Inc., Common Equity
|
| | | | — | | | | | $ | 4,657 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 815 | | | | | $ | 5,472 | | | | | | — | | | | | | — | | | | | | — | | |
| | | |
Warren Resources, Inc., Common Equity
|
| | | | — | | | | | $ | 11,145 | | | | | | — | | | | | | — | | | | | | — | | | | | $ | (948) | | | | | $ | 10,197 | | | | | | — | | | | | | — | | | | | | — | | |
| | |
Nine Months Ended September 30,
|
| |||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||
| | |
Shares
|
| |
Amount
|
| |
Shares
|
| |
Amount
|
| ||||||||||||
Reinvestment of Distributions
|
| | | | 10,255,691 | | | | | $ | 92,907 | | | | | | 12,541,507 | | | | | $ | 106,401 | | |
Share Repurchase Program
|
| | | | (10,211,257) | | | | | | (92,570) | | | | | | (7,368,833) | | | | | | (62,325) | | |
Net Proceeds from Share Transactions
|
| | | | 44,434 | | | | | $ | 337 | | | | | | 5,172,674 | | | | | $ | 44,076 | | |
|
For the Three Months Ended
|
| |
Repurchase Date
|
| |
Shares
Repurchased |
| |
Percentage of
Shares Tendered That Were Repurchased |
| |
Percentage of
Outstanding Shares Repurchased as of the Repurchase Date |
| |
Repurchase
Price Per Share |
| |
Aggregate
Consideration for Repurchased Shares |
| |||||||||||||||
Fiscal 2016 | | | | | | | | |||||||||||||||||||||||||||
December 31, 2015
|
| |
January 4, 2016
|
| | | | 1,779,357 | | | | | | 100% | | | | | | 0.55% | | | | | $ | 8.550 | | | | | $ | 15,214 | | |
March 31, 2016
|
| |
April 1, 2016
|
| | | | 2,715,325 | | | | | | 100% | | | | | | 0.84% | | | | | $ | 8.300 | | | | | | 22,537 | | |
June 30, 2016
|
| |
July 1, 2016
|
| | | | 2,874,151 | | | | | | 100% | | | | | | 0.88% | | | | | $ | 8.550 | | | | | | 24,574 | | |
Total
|
| | | | | | | 7,368,833 | | | | | | | | | | | | | | | | | | | | | | | $ | 62,325 | | |
Fiscal 2017 | | | | | | | | |||||||||||||||||||||||||||
December 31, 2016
|
| |
January 3, 2017
|
| | | | 2,344,810 | | | | | | 100% | | | | | | 0.72% | | | | | $ | 8.950 | | | | | $ | 20,986 | | |
March 31, 2017
|
| |
April 3, 2017
|
| | | | 3,353,328 | | | | | | 100% | | | | | | 1.02% | | | | | $ | 9.100 | | | | | | 30,515 | | |
June 30, 2017
|
| |
July 3, 2017
|
| | | | 4,513,119 | | | | | | 100% | | | | | | 1.38% | | | | | $ | 9.100 | | | | | | 41,069 | | |
Total
|
| | | | | | | 10,211,257 | | | | | | | | | | | | | | | | | | | | | | | $ | 92,570 | | |
|
| | | | | | | | |
Three Months Ended
September 30, |
| |
Nine Months Ended
September 30, |
| ||||||||||||||||||
Related Party
|
| |
Source Agreement
|
| |
Description
|
| |
2017
|
| |
2016
|
| |
2017
|
| |
2016
|
| ||||||||||||
FSIC II Advisor
|
| | Investment Advisory and Administrative Services Agreement |
| |
Base Management Fee(1)
|
| | | $ | 22,547 | | | | | $ | 21,555 | | | | | $ | 67,379 | | | | | $ | 63,865 | | |
FSIC II Advisor
|
| | Investment Advisory and Administrative Services Agreement |
| | Subordinated Incentive Fee on Income(2) |
| | | $ | 10,137 | | | | | $ | 14,252 | | | | | $ | 42,352 | | | | | $ | 45,836 | | |
FSIC II Advisor
|
| | Investment Advisory and Administrative Services Agreement |
| | Administrative Services Expenses(3) |
| | | $ | 799 | | | | | $ | 1,039 | | | | | $ | 2,530 | | | | | $ | 3,096 | | |
| | |
Distribution
|
| |||||||||
For the Three Months Ended
|
| |
Per Share
|
| |
Amount
|
| ||||||
Fiscal 2016 | | | | ||||||||||
March 31, 2016
|
| | | $ | 0.1885 | | | | | $ | 60,744 | | |
June 30, 2016
|
| | | | 0.1885 | | | | | | 60,976 | | |
September 30, 2016
|
| | | | 0.1885 | | | | | | 61,155 | | |
Total
|
| | | $ | 0.5655 | | | | | $ | 182,875 | | |
Fiscal 2017 | | | | ||||||||||
March 31, 2017
|
| | | $ | 0.1885 | | | | | $ | 61,436 | | |
June 30, 2017
|
| | | | 0.1885 | | | | | | 61,505 | | |
September 30, 2017
|
| | | | 0.1885 | | | | | | 61,277 | | |
Total
|
| | | $ | 0.5655 | | | | | $ | 184,218 | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||
Source of Distribution
|
| |
Distribution
Amount |
| |
Percentage
|
| |
Distribution
Amount |
| |
Percentage
|
| ||||||||||||
Offering proceeds
|
| | | $ | — | | | | | | — | | | | | $ | — | | | | | | — | | |
Borrowings
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net investment income(1)
|
| | | | 184,218 | | | | | | 100% | | | | | | 176,987 | | | | | | 97% | | |
Short-term capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Long-term capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | 5,888 | | | | | | 3% | | |
Non-capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Distributions on account of preferred and common equity
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Expense reimbursement from sponsor
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | $ | 184,218 | | | | | | 100% | | | | | $ | 182,875 | | | | | | 100% | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||
| | |
2017
|
| |
2016
|
| ||||||
GAAP-basis net investment income
|
| | | $ | 194,842 | | | | | $ | 188,556 | | |
Income subject to tax not recorded for GAAP
|
| | | | (2,111) | | | | | | 7,074 | | |
GAAP versus tax-basis of consolidation of certain subsidiaries
|
| | | | 5,901 | | | | | | 3,994 | | |
Reclassification or deferral of unamortized original issue discount and prepayment fees
|
| | | | (13,822) | | | | | | (12,729) | | |
Other miscellaneous differences
|
| | | | 429 | | | | | | (12) | | |
Tax-basis net investment income
|
| | | $ | 185,239 | | | | | $ | 186,883 | | |
|
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||
Distributable ordinary income
|
| | | $ | 60,955 | | | | | $ | 59,934 | | |
Capital loss carryover(1)
|
| | | | (133,150) | | | | | | (112,726) | | |
Other temporary differences
|
| | | | (155) | | | | | | (165) | | |
Net unrealized appreciation (depreciation) on investments and secured borrowing and gain (loss) on foreign currency(2)
|
| | | | (10,881) | | | | | | (53,503) | | |
Total
|
| | | $ | (83,231) | | | | | $ | (106,460) | | |
|
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost(1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost(1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 3,246,013 | | | | | $ | 3,235,412 | | | | | | 70% | | | | | $ | 2,886,433 | | | | | $ | 2,864,089 | | | | | | 64% | | |
Senior Secured Loans—Second Lien
|
| | | | 372,697 | | | | | | 332,204 | | | | | | 7% | | | | | | 749,249 | | | | | | 718,971 | | | | | | 16% | | |
Senior Secured Bonds
|
| | | | 174,356 | | | | | | 179,923 | | | | | | 4% | | | | | | 168,537 | | | | | | 148,085 | | | | | | 3% | | |
Subordinated Debt
|
| | | | 473,271 | | | | | | 506,656 | | | | | | 11% | | | | | | 414,320 | | | | | | 402,397 | | | | | | 9% | | |
Collateralized Securities
|
| | | | 17,300 | | | | | | 19,260 | | | | | | 0% | | | | | | 20,268 | | | | | | 23,173 | | | | | | 1% | | |
Equity/Other
|
| | | | 325,131 | | | | | | 352,171 | | | | | | 8% | | | | | | 298,460 | | | | | | 340,680 | | | | | | 7% | | |
Total
|
| | | $ | 4,608,768 | | | | | $ | 4,625,626 | | | | | | 100% | | | | | $ | 4,537,267 | | | | | $ | 4,497,395 | | | | | | 100% | | |
|
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||||||||||||||
Industry Classification
|
| |
Fair
Value |
| |
Percentage
of Portfolio |
| |
Fair
Value |
| |
Percentage
of Portfolio |
| ||||||||||||
Automobiles & Components
|
| | | $ | 39,606 | | | | | | 1% | | | | | $ | 206,350 | | | | | | 5% | | |
Capital Goods
|
| | | | 683,649 | | | | | | 15% | | | | | | 418,102 | | | | | | 9% | | |
Commercial & Professional Services
|
| | | | 550,473 | | | | | | 12% | | | | | | 520,703 | | | | | | 12% | | |
Consumer Durables & Apparel
|
| | | | 358,349 | | | | | | 8% | | | | | | 317,282 | | | | | | 7% | | |
Consumer Services
|
| | | | 415,834 | | | | | | 9% | | | | | | 523,918 | | | | | | 12% | | |
Diversified Financials
|
| | | | 214,097 | | | | | | 5% | | | | | | 213,625 | | | | | | 5% | | |
Energy
|
| | | | 523,379 | | | | | | 11% | | | | | | 749,437 | | | | | | 17% | | |
Food & Staples Retailing
|
| | | | 3,933 | | | | | | 0% | | | | | | 5,950 | | | | | | 0% | | |
Food, Beverage & Tobacco
|
| | | | 52,261 | | | | | | 1% | | | | | | — | | | | | | — | | |
Health Care Equipment & Services
|
| | | | 221,757 | | | | | | 5% | | | | | | 76,425 | | | | | | 2% | | |
Insurance
|
| | | | 118,904 | | | | | | 3% | | | | | | 84,716 | | | | | | 2% | | |
Materials
|
| | | | 366,917 | | | | | | 8% | | | | | | 329,788 | | | | | | 7% | | |
Media
|
| | | | 303,677 | | | | | | 7% | | | | | | 140,594 | | | | | | 3% | | |
Pharmaceuticals, Biotechnology & Life Sciences
|
| | | | 3,190 | | | | | | 0% | | | | | | 2,263 | | | | | | 0% | | |
Retailing
|
| | | | 162,651 | | | | | | 3% | | | | | | 140,328 | | | | | | 3% | | |
Semiconductors & Semiconductor Equipment
|
| | | | 17,508 | | | | | | 0% | | | | | | 14,837 | | | | | | 0% | | |
Software & Services
|
| | | | 271,699 | | | | | | 6% | | | | | | 354,714 | | | | | | 8% | | |
Technology Hardware & Equipment
|
| | | | 63,516 | | | | | | 1% | | | | | | 135,841 | | | | | | 3% | | |
Telecommunication Services
|
| | | | 145,534 | | | | | | 3% | | | | | | 159,533 | | | | | | 3% | | |
Transportation
|
| | | | 108,692 | | | | | | 2% | | | | | | 102,989 | | | | | | 2% | | |
Total
|
| | | $ | 4,625,626 | | | | | | 100% | | | | | $ | 4,497,395 | | | | | | 100% | | |
|
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||||||||||||||
Valuation Inputs
|
| |
Investments
|
| |
Secured
Borrowing |
| |
Investments
|
| |
Secured
Borrowing |
| ||||||||||||
Level 1—Price quotations in active markets
|
| | | $ | 7,220 | | | | | $ | — | | | | | $ | 9,383 | | | | | $ | — | | |
Level 2—Significant other observable inputs
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Level 3—Significant unobservable inputs
|
| | | | 4,618,406 | | | | | | (8,312) | | | | | | 4,488,012 | | | | | | (8,273) | | |
Total
|
| | | $ | 4,625,626 | | | | | $ | (8,312) | | | | | $ | 4,497,395 | | | | | $ | (8,273) | | |
|
| | |
For the Nine Months Ended September 30, 2017
|
| |||||||||||||||||||||||||||||||||||||||
| | |
Senior Secured
Loans—First Lien |
| |
Senior Secured
Loans—Second Lien |
| |
Senior
Secured Bonds |
| |
Subordinated
Debt |
| |
Collateralized
Securities |
| |
Equity/
Other |
| |
Total
|
| |||||||||||||||||||||
Fair value at beginning of period
|
| | | $ | 2,864,089 | | | | | $ | 718,971 | | | | | $ | 148,085 | | | | | $ | 402,397 | | | | | $ | 23,173 | | | | | $ | 331,297 | | | | | $ | 4,488,012 | | |
Accretion of discount (amortization of premium)
|
| | | | 4,257 | | | | | | 12,330 | | | | | | 418 | | | | | | 2,533 | | | | | | 4 | | | | | | — | | | | | | 19,542 | | |
Net realized gain (loss)
|
| | | | 4,315 | | | | | | (16,697) | | | | | | (18,593) | | | | | | (14,935) | | | | | | (167) | | | | | | (3,122) | | | | | | (49,199) | | |
Net change in unrealized appreciation (depreciation)
|
| | | | 11,743 | | | | | | (10,215) | | | | | | 26,019 | | | | | | 45,308 | | | | | | (945) | | | | | | (10,173) | | | | | | 61,737 | | |
Purchases
|
| | | | 1,165,253 | | | | | | 126,861 | | | | | | 25,468 | | | | | | 134,356 | | | | | | — | | | | | | 35,844 | | | | | | 1,487,782 | | |
Paid-in-kind interest
|
| | | | 7,537 | | | | | | 9,470 | | | | | | 23 | | | | | | 2,059 | | | | | | — | | | | | | 1,099 | | | | | | 20,188 | | |
Sales and repayments
|
| | | | (821,782) | | | | | | (508,516) | | | | | | (1,497) | | | | | | (65,062) | | | | | | (2,805) | | | | | | (9,994) | | | | | | (1,409,656) | | |
Net transfers in or out of Level 3
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Fair value at end of period
|
| | | $ | 3,235,412 | | | | | $ | 332,204 | | | | | $ | 179,923 | | | | | $ | 506,656 | | | | | $ | 19,260 | | | | | $ | 344,951 | | | | | $ | 4,618,406 | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date
|
| | | $ | (3,650) | | | | | $ | (21,506) | | | | | $ | 5,632 | | | | | $ | 25,937 | | | | | $ | (789) | | | | | $ | 3,068 | | | | | $ | 8,692 | | |
|
| | |
For the Nine Months Ended September 30, 2016
|
| |||||||||||||||||||||||||||||||||||||||
| | |
Senior Secured
Loans—First Lien |
| |
Senior Secured
Loans—Second Lien |
| |
Senior
Secured Bonds |
| |
Subordinated
Debt |
| |
Collateralized
Securities |
| |
Equity/
Other |
| |
Total
|
| |||||||||||||||||||||
Fair value at beginning of period
|
| | | $ | 2,802,207 | | | | | $ | 902,113 | | | | | $ | 181,200 | | | | | $ | 319,019 | | | | | $ | 113,383 | | | | | $ | 214,930 | | | | | $ | 4,532,852 | | |
Accretion of discount (amortization of premium)
|
| | | | 4,272 | | | | | | 4,113 | | | | | | 2,071 | | | | | | 2,311 | | | | | | 97 | | | | | | — | | | | | | 12,864 | | |
Net realized gain (loss)
|
| | | | 58 | | | | | | (27,866) | | | | | | (27,399) | | | | | | (33,298) | | | | | | (341) | | | | | | 1,546 | | | | | | (87,300) | | |
Net change in unrealized appreciation (depreciation)
|
| | | | 47,615 | | | | | | 67,983 | | | | | | 9,329 | | | | | | 81,430 | | | | | | 6,748 | | | | | | 9,269 | | | | | | 222,374 | | |
Purchases
|
| | | | 502,042 | | | | | | 110,169 | | | | | | 25,594 | | | | | | 69,143 | | | | | | — | | | | | | 93,699 | | | | | | 800,647 | | |
Paid-in-kind interest
|
| | | | 4,612 | | | | | | 11,482 | | | | | | 155 | | | | | | 1,633 | | | | | | — | | | | | | — | | | | | | 17,882 | | |
Sales and repayments
|
| | | | (614,986) | | | | | | (302,460) | | | | | | (36,724) | | | | | | (45,905) | | | | | | (97,289) | | | | | | (6,793) | | | | | | (1,104,157) | | |
Net transfers in or out of Level 3(1)
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (2,791) | | | | | | (2,791) | | |
Fair value at end of period
|
| | | $ | 2,745,820 | | | | | $ | 765,534 | | | | | $ | 154,226 | | | | | $ | 394,333 | | | | | $ | 22,598 | | | | | $ | 309,860 | | | | | $ | 4,392,371 | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date
|
| | | $ | 18,177 | | | | | $ | 25,587 | | | | | $ | (13,639) | | | | | $ | 43,453 | | | | | $ | 1,933 | | | | | $ | 9,013 | | | | | $ | 84,524 | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||
| | |
2017
|
| |
2016
|
| ||||||
Fair value at beginning of period
|
| | | $ | (8,273) | | | | | $ | — | | |
Amortization of premium (accretion of discount)
|
| | | | (13) | | | | | | (3) | | |
Net realized gain (loss)
|
| | | | — | | | | | | — | | |
Net change in unrealized (appreciation) depreciation
|
| | | | (26) | | | | | | (94) | | |
Proceeds from secured borrowing
|
| | | | — | | | | | | (8,132) | | |
Paid-in-kind interest
|
| | | | — | | | | | | — | | |
Repayments on secured borrowing
|
| | | | — | | | | | | — | | |
Net transfers in or out of Level 3
|
| | | | — | | | | | | — | | |
Fair value at end of period
|
| | | $ | (8,312) | | | | | $ | (8,229) | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to a secured borrowing still held at the reporting date
|
| | | $ | (26) | | | | | $ | (94) | | |
|
Type of Investment
|
| |
Fair Value at
September 30, 2017 (Unaudited) |
| |
Valuation
Technique(1) |
| |
Unobservable Input
|
| |
Range
|
| |
Weighted
Average |
| |||
Senior Secured Loans—First Lien
|
| | | $ | 2,826,185 | | | | Market Comparables | | | Market Yield (%) | | |
4.8% - 18.3%
|
| |
9.0%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
7.5x - 8.0x
|
| |
7.8x
|
|
| | | | | 44,952 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 364,275 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
6.0% - 103.0%
|
| |
97.9%
|
|
Senior Secured Loans—
Second Lien |
| | | | 244,482 | | | | Market Comparables | | | Market Yield (%) | | |
8.3% - 16.9%
|
| |
13.9%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
5.8x - 6.8x
|
| |
6.3x
|
|
| | | | | 87,722 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
8.2% - 101.5%
|
| |
87.9%
|
|
Senior Secured Bonds
|
| | | | 98,507 | | | | Market Comparables | | | Market Yield (%) | | |
8.3% - 10.0%
|
| |
8.7%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
4.8x - 9.5x
|
| |
8.6x
|
|
| | | | | | | | | | | | Production Multiples (Mboe/d) | | |
$42,250.0 - $44,750.0
|
| |
$43,500.0
|
|
| | | | | | | | | | | |
Proved Reserves Multiples (Mmboe)
|
| |
$10.0 - $11.0
|
| |
$10.5
|
|
| | | | | | | | | | | | PV-10 Multiples (x) | | |
0.7x - 0.8x
|
| |
0.8x
|
|
| | | | | 27,844 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 53,572 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
93.3% - 106.7%
|
| |
104.5%
|
|
Subordinated Debt
|
| | | | 60,335 | | | | Market Comparables | | | Market Yield (%) | | |
7.8% - 14.8%
|
| |
10.1%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
10.3x - 11.3x
|
| |
10.8x
|
|
| | | | | 154,500 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 291,821 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
36.5% - 108.0%
|
| |
99.6%
|
|
Collateralized Securities
|
| | | | 19,260 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
47.9% - 99.6%
|
| |
69.0%
|
|
Equity/Other
|
| | | | 295,968 | | | | Market Comparables | | | Market Yield (%) | | |
13.8% - 14.3%
|
| |
14.0%
|
|
| | | | | | | | | | | | Capacity Multiple ($/kW) | | |
$2,500.0 - $2,750.0
|
| |
$2,625.0
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
1.9x - 16.0x
|
| |
8.1x
|
|
| | | | | | | | | | | | Production Multiples (Mboe/d) | | |
$42,250.0 - $50,000.0
|
| |
$44,949.1
|
|
| | | | | | | | | | | | Production Multiples (MMcfe/d) | | |
$5,750.0 - $6,750.0
|
| |
$6,250.0
|
|
| | | | | | | | | | | | Proved Reserves Multiples (Bcfe) | | |
$1.7 - $1.9
|
| |
$1.8
|
|
| | | | | | | | | | | |
Proved Reserves Multiples (Mmboe)
|
| |
$10.0 - $11.3
|
| |
$10.9
|
|
| | | | | | | | | | | | PV-10 Multiples (x) | | |
0.7x - 3.3x
|
| |
2.6x
|
|
| | | | | | | | |
Discounted Cash Flow
|
| | Discount Rate (%) | | |
19.8% - 21.8%
|
| |
20.8%
|
|
| | | | | | | | |
Option Valuation Model
|
| | Volatility (%) | | |
30.0% - 37.0%
|
| |
36.4%
|
|
| | | | | 42,310 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 6,673 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
0.0% - 9.8%
|
| |
7.7%
|
|
Total
|
| | | $ | 4,618,406 | | | | | | | ||||||||
Secured Borrowing
|
| | | $ | (8,312) | | | | Market Comparables | | | Market Yield (%) | | |
(6.0%) - (7.1%)
|
| |
(6.6)%
|
|
Type of Investment
|
| |
Fair Value at
December 31, 2016 |
| |
Valuation
Technique(1) |
| |
Unobservable Input
|
| |
Range
|
| |
Weighted
Average |
| |||
Senior Secured Loans—First Lien
|
| | | $ | 2,266,541 | | | | Market Comparables | | | Market Yield (%) | | |
5.5% - 17.3%
|
| |
9.8%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
6.8x - 7.3x
|
| |
7.0x
|
|
| | | | | 10,615 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 517,874 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
18.2% - 104.1%
|
| |
98.0%
|
|
| | | | | 69,059 | | | | Cost | | | Cost | | |
100.0% - 100.0%
|
| |
100.0%
|
|
Senior Secured Loans—Second Lien
|
| | | | 550,266 | | | | Market Comparables | | | Market Yield (%) | | |
8.8% - 22.9%
|
| |
11.9%
|
|
| | | | | 168,705 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
8.8% - 101.0%
|
| |
90.2%
|
|
Senior Secured Bonds
|
| | | | 70,677 | | | | Market Comparables | | | Market Yield (%) | | |
7.5% - 9.0%
|
| |
7.9%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
6.3x - 7.3x
|
| |
6.5x
|
|
| | | | | | | | | | | | Production Multiples (Mboe/d) | | |
$45,000.0 - $50,000.0
|
| |
$47,500.0
|
|
| | | | | | | | | | | |
Proved Reserves Multiples (Mmboe)
|
| |
$14.5 - $15.0
|
| |
$14.8
|
|
| | | | | | | | | | | | PV-10 Multiples (x) | | |
0.8x - 0.9x
|
| |
0.9x
|
|
| | | | | 77,408 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
65.0% - 109.6%
|
| |
98.0%
|
|
Subordinated Debt
|
| | | | 187,936 | | | | Market Comparables | | | Market Yield (%) | | |
8.0% - 15.3%
|
| |
10.6%
|
|
| | | | | | | | | | | | EBITDA Multiples (x) | | |
9.3x - 10.3x
|
| |
9.8x
|
|
| | | | | 214,461 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
54.5% - 125.5%
|
| |
92.4%
|
|
Collateralized Securities
|
| | | | 23,173 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
38.7% - 94.3%
|
| |
69.4%
|
|
Equity/Other
|
| | | | 305,308 | | | | Market Comparables | | | EBITDA Multiples (x) | | |
4.5x - 16.3x
|
| |
8.4x
|
|
| | | | | | | | | | | | Production Multiples (Mboe/d) | | |
$2,225.0 - $55,000.0
|
| |
$37,276.1
|
|
| | | | | | | | | | | |
Proved Reserves Multiples (Mmboe)
|
| |
$0.7 - $15.0
|
| |
$8.1
|
|
| | | | | | | | | | | |
Undeveloped Acreage Multiples ($)
|
| |
$8,000.0 - $10,000.0
|
| |
$9,000.0
|
|
| | | | | | | | | | | | Capacity Multiple ($/kW) | | |
$2,375.0 - $2,875.0
|
| |
$2,625.0
|
|
| | | | | | | | | | | | PV-10 Multiples (x) | | |
0.8x - 2.1x
|
| |
1.6x
|
|
| | | | | | | | |
Discounted Cash Flow
|
| | Discount Rate (%) | | |
11.0% - 24.8%
|
| |
18.7%
|
|
| | | | | | | | |
Option Valuation Model
|
| | Volatility (%) | | |
34.5% - 41.0%
|
| |
39.3%
|
|
| | | | | 12,532 | | | | Other(2) | | | Other | | |
N/A
|
| |
N/A
|
|
| | | | | 13,341 | | | | Market Quotes | | | Indicative Dealer Quotes | | |
0.0% - 32.0%
|
| |
12.7%
|
|
| | | | | 116 | | | | Cost | | | Cost | | |
100.0% - 100.0%
|
| |
100.0%
|
|
Total
|
| | | $ | 4,488,012 | | | | | | | ||||||||
Secured Borrowing
|
| | | $ | (8,273) | | | | Market Comparables | | | Market Yield (%) | | |
(6.0)% - (7.1)%
|
| |
(6.6)%
|
|
| | |
As of September 30, 2017
(Unaudited) |
| ||||||||||||||||||
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity
Date |
| ||||||
Green Creek Credit Facility(1)
|
| |
Term Loan Credit Facility
|
| |
L+2.50%
|
| | | $ | 500,000 | | | | | $ | — | | | |
December 15, 2019
|
|
Cooper River Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+2.25%
|
| | | | 180,933 | | | | | | 19,067 | | | |
May 29, 2020
|
|
Wissahickon Creek Credit
Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+1.50%
to L+2.50% |
| | | | 240,146 | | | | | | 9,854 | | | |
February 18, 2022
|
|
Darby Creek Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+2.50%
|
| | | | 250,000 | | | | | | — | | | |
August 19, 2020
|
|
Dunning Creek Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+1.80%
|
| | | | 149,400 | | | | | | 600 | | | |
May 14, 2018
|
|
Juniata River Credit Facility(1)
|
| |
Term Loan Credit Facility
|
| |
L+2.68%
|
| | | | 850,000 | | | | | | — | | | |
October 11, 2020
|
|
FSIC II Revolving Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
See Note(2)
|
| | | | 10,868(3) | | | | | | 109,132 | | | |
February 23, 2021
|
|
Total
|
| | | | | | | | | $ | 2,181,347 | | | | | $ | 138,653 | | | | ||
Partial Loan Sale
|
| |
Secured Borrowing
|
| |
L+4.50%
(1.0% floor) |
| | | $ | 8,214 | | | | | $ | — | | | |
July 29, 2022
|
|
| | |
December 31, 2016
|
| ||||||||||||||||||
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity
Date |
| ||||||
Goldman Repurchase Facility
|
| |
Repurchase Agreement
|
| |
L+2.50%
|
| | | $ | 400,000 | | | | | $ | — | | | |
December 15, 2018
|
|
Cooper River Credit Facility
|
| |
Revolving Credit Facility
|
| |
L+2.25%
|
| | | | 166,033 | | | | | | 33,967 | | | |
May 29, 2020
|
|
Wissahickon Creek Credit Facility
|
| |
Revolving Credit Facility
|
| |
L+1.50%
to L+2.50% |
| | | | 240,146 | | | | | | 9,854 | | | |
February 19, 2019
|
|
Darby Creek Credit Facility
|
| |
Revolving Credit Facility
|
| |
L+2.50%
|
| | | | 225,000 | | | | | | 25,000 | | | |
August 19, 2020
|
|
Dunning Creek Credit Facility
|
| |
Revolving Credit Facility
|
| |
L+1.70%
|
| | | | 94,200 | | | | | | 55,800 | | | |
May 14, 2017
|
|
Juniata River Credit Facility
|
| |
Term Loan Credit Facility
|
| |
L+2.68%
|
| | | | 850,000 | | | | | | — | | | |
October 11, 2020
|
|
FSIC II Revolving Credit Facility
|
| |
Revolving Credit Facility
|
| |
L+1.75%
|
| | | | — | | | | | | 120,000 | | | |
February 23, 2021
|
|
Total
|
| | | | | | | | | $ | 1,975,379 | | | | | $ | 244,621 | | | | ||
Partial Loan Sale
|
| |
Secured Borrowing
|
| |
L+4.50%
(1.0% floor) |
| | | $ | 8,214 | | | | | $ | — | | | |
July 29, 2022
|
|
| | |
Three Months Ended September 30,
|
| |||||||||||||||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||||||||||||||
Arrangement(1)
|
| |
Direct
Interest Expense(2) |
| |
Amortization
of Deferred Financing Costs |
| |
Total
Interest Expense |
| |
Direct
Interest Expense(2) |
| |
Amortization
of Deferred Financing Costs |
| |
Total
Interest Expense |
| ||||||||||||||||||
JPM Repurchase Facility
|
| | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 4,569 | | | | | $ | 9 | | | | | $ | 4,578 | | |
Goldman Repurchase Facility
|
| | | | — | | | | | | — | | | | | | — | | | | | | 3,295 | | | | | | 138 | | | | | | 3,433 | | |
Green Creek Credit Facility
|
| | | | 4,655 | | | | | | 125 | | | | | | 4,780 | | | | | | — | | | | | | — | | | | | | — | | |
Cooper River Credit Facility
|
| | | | 1,628 | | | | | | 117 | | | | | | 1,745 | | | | | | 1,352 | | | | | | 118 | | | | | | 1,470 | | |
Wissahickon Creek Credit Facility
|
| | | | 2,289 | | | | | | 266 | | | | | | 2,555 | | | | | | 1,875 | | | | | | 172 | | | | | | 2,047 | | |
Darby Creek Credit Facility
|
| | | | 2,567 | | | | | | 345 | | | | | | 2,912 | | | | | | 2,091 | | | | | | 274 | | | | | | 2,365 | | |
Dunning Creek Credit Facility
|
| | | | 1,198 | | | | | | 94 | | | | | | 1,292 | | | | | | 728 | | | | | | 105 | | | | | | 833 | | |
Juniata River Credit Facility
|
| | | | 8,587 | | | | | | 369 | | | | | | 8,956 | | | | | | 2,432 | | | | | | 18 | | | | | | 2,450 | | |
FSIC II Revolving Credit Facility
|
| | | | 407 | | | | | | 13 | | | | | | 420 | | | | | | 372 | | | | | | 41 | | | | | | 413 | | |
Partial Loan Sale(3)
|
| | | | 121 | | | | | | 5 | | | | | | 126 | | | | | | 76 | | | | | | 3 | | | | | | 79 | | |
Total
|
| | | $ | 21,452 | | | | | $ | 1,334 | | | | | $ | 22,786 | | | | | $ | 16,790 | | | | | $ | 878 | | | | | $ | 17,668 | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||||||||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||||||||||||||
Arrangement(1)
|
| |
Direct
Interest Expense(2) |
| |
Amortization
of Deferred Financing Costs |
| |
Total
Interest Expense |
| |
Direct
Interest Expense(2) |
| |
Amortization
of Deferred Financing Costs |
| |
Total
Interest Expense |
| ||||||||||||||||||
JPM Repurchase Facility
|
| | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | 13,605 | | | | | $ | 29 | | | | | $ | 13,634 | | |
Goldman Repurchase Facility
|
| | | | 5,249 | | | | | | 202 | | | | | | 5,451 | | | | | | 9,495 | | | | | | 410 | | | | | | 9,905 | | |
Green Creek Credit Facility
|
| | | | 6,503 | | | | | | 205 | | | | | | 6,708 | | | | | | — | | | | | | — | | | | | | — | | |
Cooper River Credit Facility
|
| | | | 4,586 | | | | | | 347 | | | | | | 4,933 | | | | | | 4,202 | | | | | | 386 | | | | | | 4,588 | | |
Wissahickon Creek Credit Facility
|
| | | | 6,519 | | | | | | 744 | | | | | | 7,263 | | | | | | 5,500 | | | | | | 512 | | | | | | 6,012 | | |
Darby Creek Credit Facility
|
| | | | 7,306 | | | | | | 1,023 | | | | | | 8,329 | | | | | | 6,340 | | | | | | 691 | | | | | | 7,031 | | |
Dunning Creek Credit Facility
|
| | | | 3,008 | | | | | | 298 | | | | | | 3,306 | | | | | | 1,990 | | | | | | 391 | | | | | | 2,381 | | |
Juniata River Credit Facility
|
| | | | 24,381 | | | | | | 1,095 | | | | | | 25,476 | | | | | | 7,136 | | | | | | 52 | | | | | | 7,188 | | |
FSIC II Revolving Credit Facility
|
| | | | 1,086 | | | | | | 55 | | | | | | 1,141 | | | | | | 918 | | | | | | 91 | | | | | | 1,009 | | |
Partial Loan Sale(3)
|
| | | | 351 | | | | | | 13 | | | | | | 364 | | | | | | 76 | | | | | | 3 | | | | | | 79 | | |
Total
|
| | | $ | 58,989 | | | | | $ | 3,982 | | | | | $ | 62,971 | | | | | $ | 49,262 | | | | | $ | 2,565 | | | | | $ | 51,827 | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||||||||||||||||||||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||||||||||||||||||||||||||
Arrangement(1)
|
| |
Cash Paid
for Interest Expense |
| |
Average
Borrowings |
| |
Effective
Interest Rate |
| |
Weighted
Average Interest Rate(2) |
| |
Cash Paid
for Interest Expense |
| |
Average
Borrowings |
| |
Effective
Interest Rate |
| |
Weighted
Average Interest Rate(2) |
| ||||||||||||||||||||||||
JPM Repurchase Facility(3)
|
| | | $ | — | | | | | $ | — | | | | | | —% | | | | | | —% | | | | | $ | 13,704 | | | | | $ | 550,000 | | | | | | 3.25% | | | | | | 3.25% | | |
Goldman Repurchase Facility(3)
|
| | | | 6,982 | | | | | | 400,000 | | | | | | —% | | | | | | 3.53% | | | | | | 9,205 | | | | | | 400,000 | | | | | | 3.32% | | | | | | 3.12% | | |
Green Creek Credit Facility(3)
|
| | | | 4,095 | | | | | | 456,834 | | | | | | 3.69% | | | | | | 3.69% | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Cooper River Credit Facility(3)
|
| | | | 4,352 | | | | | | 171,428 | | | | | | 3.49% | | | | | | 3.53% | | | | | | 4,071 | | | | | | 186,310 | | | | | | 3.07% | | | | | | 2.96% | | |
Wissahickon Creek Credit Facility(3)
|
| | | | 6,266 | | | | | | 240,146 | | | | | | 3.73% | | | | | | 3.58% | | | | | | 5,289 | | | | | | 230,511 | | | | | | 3.31% | | | | | | 3.13% | | |
Darby Creek Credit Facility(3)
|
| | | | 6,886 | | | | | | 246,429 | | | | | | 3.91% | | | | | | 3.91% | | | | | | 6,477 | | | | | | 245,182 | | | | | | 3.57% | | | | | | 3.40% | | |
Dunning Creek Credit Facility(3)
|
| | | | 2,753 | | | | | | 129,149 | | | | | | 3.12% | | | | | | 3.07% | | | | | | 1,907 | | | | | | 111,499 | | | | | | 2.81% | | | | | | 2.34% | | |
Juniata River Credit Facility(3)
|
| | | | 23,870 | | | | | | 850,000 | | | | | | 3.84% | | | | | | 3.78% | | | | | | 6,902 | | | | | | 300,000 | | | | | | 3.18% | | | | | | 3.13% | | |
FSIC II Revolving Credit Facility(4)
|
| | | | 1,090 | | | | | | 41,995 | | | | | | 5.82% | | | | | | 3.41% | | | | | | 850 | | | | | | 45,310 | | | | | | 0.38% | | | | | | 2.66% | | |
Partial Loan Sale(3)
|
| | | | 347 | | | | | | 8,214 | | | | | | 5.81% | | | | | | 5.64% | | | | | | — | | | | | | 8,214 | | | | | | 5.50% | | | | | | 5.50% | | |
| | | | $ | 56,641 | | | | | $ | 2,544,195 | | | | | | 3.74% | | | | | | 3.66% | | | | | $ | 48,405 | | | | | $ | 2,077,026 | | | | | | 3.20% | | | | | | 3.13% | | |
|
| | |
Nine Months Ended
September 30, 2017 (Unaudited) |
| |
Year Ended
December 31, 2016 |
| ||||||
Per Share Data:(1) | | | | ||||||||||
Net asset value, beginning of period
|
| | | $ | 8.90 | | | | | $ | 8.37 | | |
Results of operations(2) | | | | ||||||||||
Net investment income
|
| | | | 0.60 | | | | | | 0.79 | | |
Net realized and unrealized appreciation (depreciation) on investments, gain/loss on foreign currency and secured borrowing
|
| | | | 0.03 | | | | | | 0.49 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 0.63 | | | | | | 1.28 | | |
Stockholder distributions(3) | | | | ||||||||||
Distributions from net investment income
|
| | | | (0.57) | | | | | | (0.73) | | |
Distributions from net realized gain on investments
|
| | | | — | | | | | | (0.02) | | |
Net decrease in net assets resulting from stockholder distributions
|
| | | | (0.57) | | | | | | (0.75) | | |
Capital share transactions | | | | ||||||||||
Issuance of common stock(4)
|
| | | | — | | | | | | — | | |
Repurchases of common stock(5)
|
| | | | — | | | | | | — | | |
Net increase (decrease) in net assets resulting from capital share transactions
|
| | | | — | | | | | | — | | |
Net asset value, end of period
|
| | | $ | 8.96 | | | | | $ | 8.90 | | |
Shares outstanding, end of period
|
| | | | 326,954,161 | | | | | | 326,909,727 | | |
Total return(6)
|
| | | | 7.13% | | | | | | 16.07% | | |
Total return (without assuming reinvestment of distributions)(6)
|
| | | | 7.08% | | | | | | 15.29% | | |
Ratio/Supplemental Data: | | | | ||||||||||
Net assets, end of period
|
| | | $ | 2,928,395 | | | | | $ | 2,909,860 | | |
Ratio of net investment income to average net assets(7)
|
| | | | 8.92% | | | | | | 9.28% | | |
Ratio of operating expenses and excise taxes to average net assets(7)
|
| | | | 8.77% | | | | | | 8.96% | | |
Ratio of net operating expenses and excise taxes to average net assets(7)
|
| | | | 8.33% | | | | | | 8.51% | | |
Portfolio turnover(8)
|
| | | | 30.54% | | | | | | 31.77% | | |
Total amount of senior securities outstanding, exclusive of treasury securities
|
| | | $ | 2,189,561 | | | | | $ | 1,983,593 | | |
Asset coverage per unit(9)
|
| | | | 2.34 | | | | | | 2.47 | | |
| | | | | | |
Nine Months Ended
September 30, 2017 (Unaudited) |
| |
Year Ended
December 31, 2016 |
| ||||||
| | | |
Ratio of subordinated income incentive fees to average net assets
|
| | | | 1.94% | | | | | | 2.27% | | |
| | | |
Ratio of interest expense to average net assets
|
| | | | 2.88% | | | | | | 2.57% | | |
| | | |
Ratio of excise taxes to average net assets
|
| | | | —% | | | | | | 0.07% | | |
Net Investment Activity
|
| |
For the Three Months Ended
September 30, 2017 |
| |
For the Nine Months Ended
September 30, 2017 |
| ||||||
Purchases
|
| | | $ | 267,272 | | | | | $ | 1,490,626 | | |
Sales and Redemptions
|
| | | | (392,093) | | | | | | (1,409,656) | | |
Net Portfolio Activity
|
| | | $ | (124,821) | | | | | $ | 80,970 | | |
|
| | |
For the Three Months Ended
September 30, 2017 |
| |
For the Nine Months Ended
September 30, 2017 |
| ||||||||||||||||||
New Investment Activity by Asset Class
|
| |
Purchases
|
| |
Percentage
|
| |
Purchases
|
| |
Percentage
|
| ||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 252,112 | | | | | | 94% | | | | | $ | 1,165,253 | | | | | | 78% | | |
Senior Secured Loans—Second Lien
|
| | | | 11,432 | | | | | | 4% | | | | | | 126,861 | | | | | | 8% | | |
Senior Secured Bonds
|
| | | | — | | | | | | — | | | | | | 25,468 | | | | | | 2% | | |
Subordinated Debt
|
| | | | 3,728 | | | | | | 2% | | | | | | 134,356 | | | | | | 9% | | |
Collateralized Securities
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Equity/Other
|
| | | | — | | | | | | — | | | | | | 38,688 | | | | | | 3% | | |
Total | | | | $ | 267,272 | | | | | | 100% | | | | | $ | 1,490,626 | | | | | | 100% | | |
|
| | |
September 30, 2017
(Unaudited) |
| |
December 31, 2016
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost(1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost(1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 3,246,013 | | | | | $ | 3,235,412 | | | | | | 70% | | | | | $ | 2,886,433 | | | | | $ | 2,864,089 | | | | | | 64% | | |
Senior Secured Loans—Second Lien
|
| | | | 372,697 | | | | | | 332,204 | | | | | | 7% | | | | | | 749,249 | | | | | | 718,971 | | | | | | 16% | | |
Senior Secured Bonds
|
| | | | 174,356 | | | | | | 179,923 | | | | | | 4% | | | | | | 168,537 | | | | | | 148,085 | | | | | | 3% | | |
Subordinated Debt
|
| | | | 473,271 | | | | | | 506,656 | | | | | | 11% | | | | | | 414,320 | | | | | | 402,397 | | | | | | 9% | | |
Collateralized Securities
|
| | | | 17,300 | | | | | | 19,260 | | | | | | 0% | | | | | | 20,268 | | | | | | 23,173 | | | | | | 1% | | |
Equity/Other
|
| | | | 325,131 | | | | | | 352,171 | | | | | | 8% | | | | | | 298,460 | | | | | | 340,680 | | | | | | 7% | | |
Total
|
| | | $ | 4,608,768 | | | | | $ | 4,625,626 | | | | | | 100% | | | | | $ | 4,537,267 | | | | | $ | 4,497,395 | | | | | | 100% | | |
|
| | |
September 30,
2017 |
| |
December 31,
2016 |
|
Number of Portfolio Companies
|
| |
135
|
| |
138
|
|
% Variable Rate (based on fair value)
|
| |
77.8%
|
| |
79.0%
|
|
% Fixed Rate (based on fair value)
|
| |
14.2%
|
| |
13.4%
|
|
% Income Producing Equity or Other Investments (based on fair value)
|
| |
1.1%
|
| |
1.0%
|
|
% Non-Income Producing Equity or Other Investments (based on fair value)
|
| |
6.9%
|
| |
6.6%
|
|
Average Annual EBITDA of Portfolio Companies
|
| |
$106,300
|
| |
$125,000
|
|
Weighted Average Purchase Price of Debt Investments (as a % of par)
|
| |
97.5%
|
| |
97.5%
|
|
% of Investments on Non-Accrual (based on fair value)
|
| |
0.7%
|
| |
0.0%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost)
|
| |
9.1%
|
| |
9.4%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost)—Excluding Non-Income Producing Assets
|
| |
9.9%
|
| |
10.1%
|
|
New Direct Originations
|
| |
For the Three Months Ended
September 30, 2017 |
| |
For the Nine Months Ended
September 30, 2017 |
| ||||||
Total Commitments (including unfunded commitments)
|
| | | $ | 224,126 | | | | | $ | 1,132,686 | | |
Exited Investments (including partial paydowns)
|
| | | | (189,936) | | | | | | (853,945) | | |
Net Direct Originations
|
| | | $ | 34,190 | | | | | $ | 278,741 | | |
|
| | |
For the Three Months Ended
September 30, 2017 |
| |
For the Nine Months Ended
September 30, 2017 |
| ||||||||||||||||||
New Direct Originations by Asset Class (including unfunded
commitments) |
| |
Commitment
Amount |
| |
Percentage
|
| |
Commitment
Amount |
| |
Percentage
|
| ||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 198,571 | | | | | | 89% | | | | | $ | 1,077,871 | | | | | | 95% | | |
Senior Secured Loans—Second Lien
|
| | | | 5,555 | | | | | | 2% | | | | | | 9,094 | | | | | | 1% | | |
Senior Secured Bonds
|
| | | | — | | | | | | — | | | | | | 3,396 | | | | | | — | | |
Subordinated Debt
|
| | | | 20,000 | | | | | | 9% | | | | | | 20,000 | | | | | | 2% | | |
Collateralized Securities
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Equity/Other
|
| | | | — | | | | | | — | | | | | | 22,325 | | | | | | 2% | | |
Total | | | | $ | 224,126 | | | | | | 100% | | | | | $ | 1,132,686 | | | | | | 100% | | |
|
| | |
For the Three Months Ended
September 30, 2017 |
| |
For the Nine Months Ended
September 30, 2017 |
|
Average New Direct Origination Commitment Amount
|
| |
$37,354
|
| |
$33,314
|
|
Weighted Average Maturity for New Direct Originations
|
| |
3/19/22
|
| |
8/6/22
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of New Direct Originations Funded during Period
|
| |
9.4%
|
| |
8.8%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of New Direct Originations Funded during Period—Excluding Non-Income Producing Assets
|
| |
9.7%
|
| |
9.1%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Direct Originations Exited during Period
|
| |
11.5%
|
| |
10.2%
|
|
Characteristics of All Direct Originations Held in Portfolio
|
| |
September 30, 2017
|
| |
December 31, 2016
|
|
Number of Portfolio Companies
|
| |
77
|
| |
68
|
|
Average Annual EBITDA of Portfolio Companies
|
| |
$73,600
|
| |
$66,700
|
|
Average Leverage Through Tranche of Portfolio Companies—Excluding Equity/Other and Collateralized Securities
|
| |
4.8x
|
| |
4.8x
|
|
% of Investments on Non-Accrual (based on fair value)
|
| |
0.3%
|
| |
—
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Funded Direct Originations
|
| |
9.1%
|
| |
9.5%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Funded Direct Originations—Excluding Non-Income Producing Assets
|
| |
9.9%
|
| |
10.2%
|
|
| | |
September 30, 2017
|
| |
December 31, 2016
|
| ||||||||||||||||||
Portfolio Composition by Strategy
|
| |
Fair
Value |
| |
Percentage of
Portfolio |
| |
Fair
Value |
| |
Percentage of
Portfolio |
| ||||||||||||
Direct Originations
|
| | | $ | 3,820,845 | | | | | | 83% | | | | | $ | 3,635,978 | | | | | | 81% | | |
Opportunistic
|
| | | | 618,281 | | | | | | 13% | | | | | | 568,120 | | | | | | 13% | | |
Broadly Syndicated/Other
|
| | | | 186,500 | | | | | | 4% | | | | | | 293,297 | | | | | | 6% | | |
Total
|
| | | $ | 4,625,626 | | | | | | 100% | | | | | $ | 4,497,395 | | | | | | 100% | | |
|
Investment Rating |
| |
Summary Description
|
|
1
|
| | Investment exceeding expectations and/or capital gain expected. | |
2
|
| | Performing investment generally executing in accordance with the portfolio company’s business plan—full return of principal and interest expected. | |
3
|
| | Performing investment requiring closer monitoring. | |
4
|
| | Underperforming investment—some loss of interest or dividend possible, but still expecting a positive return on investment. | |
5
|
| | Underperforming investment with expected loss of interest and some principal. | |
| | |
September 30, 2017
|
| |
December 31, 2016
|
| ||||||||||||||||||
Investment Rating
|
| |
Fair
Value |
| |
Percentage of
Portfolio |
| |
Fair
Value |
| |
Percentage of
Portfolio |
| ||||||||||||
1
|
| | | $ | 432,118 | | | | | | 9% | | | | | $ | 301,900 | | | | | | 7% | | |
2
|
| | | | 3,864,835 | | | | | | 84% | | | | | | 3,628,492 | | | | | | 81% | | |
3
|
| | | | 215,403 | | | | | | 5% | | | | | | 449,511 | | | | | | 10% | | |
4
|
| | | | 21,710 | | | | | | 0% | | | | | | 87,088 | | | | | | 2% | | |
5
|
| | | | 91,560 | | | | | | 2% | | | | | | 30,404 | | | | | | 0% | | |
Total
|
| | | $ | 4,625,626 | | | | | | 100% | | | | | $ | 4,497,395 | | | | | | 100% | | |
|
| | |
Three Months Ended September 30,
|
| |||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||
| | |
Amount
|
| |
Percentage of
Total Income |
| |
Amount
|
| |
Percentage of
Total Income |
| ||||||||||||
Interest Income
|
| | | $ | 104,423 | | | | | | 87% | | | | | $ | 100,641 | | | | | | 85% | | |
Paid-in-kind interest income
|
| | | | 9,256 | | | | | | 7% | | | | | | 9,900 | | | | | | 8% | | |
Fee income
|
| | | | 7,223 | | | | | | 6% | | | | | | 8,525 | | | | | | 7% | | |
Total investment income(1)
|
| | | $ | 120,902 | | | | | | 100% | | | | | $ | 119,066 | | | | | | 100% | | |
|
| | |
Three Months Ended
September 30, |
| |||||||||
| | |
2017
|
| |
2016
|
| ||||||
Management fees
|
| | | $ | 25,769 | | | | | $ | 24,635 | | |
Subordinated income incentive fees(1)
|
| | | | 10,137 | | | | | | 14,252 | | |
Administrative services expenses
|
| | | | 799 | | | | | | 1,039 | | |
Stock transfer agent fees
|
| | | | 506 | | | | | | 506 | | |
Accounting and administrative fees
|
| | | | 434 | | | | | | 368 | | |
Interest expense
|
| | | | 22,786 | | | | | | 17,668 | | |
Directors’ fees
|
| | | | 278 | | | | | | 290 | | |
Expenses associated with our independent audit and related fees
|
| | | | 129 | | | | | | 89 | | |
Legal fees
|
| | | | 207 | | | | | | 157 | | |
Printing fees
|
| | | | 187 | | | | | | 387 | | |
Other
|
| | | | 579 | | | | | | 533 | | |
Total operating expenses
|
| | | $ | 61,811 | | | | | $ | 59,924 | | |
Management fee waiver
|
| | | | (3,222) | | | | | | (3,080) | | |
Net operating expenses
|
| | | $ | 58,589 | | | | | $ | 56,844 | | |
|
| | |
Nine Months Ended September 30,
|
| |||||||||||||||||||||
| | |
2017
|
| |
2016
|
| ||||||||||||||||||
| | |
Amount
|
| |
Percentage of
Total Income |
| |
Amount
|
| |
Percentage of
Total Income |
| ||||||||||||
Interest Income
|
| | | $ | 310,184 | | | | | | 82% | | | | | $ | 322,297 | | | | | | 89% | | |
Paid-in-kind interest income
|
| | | | 20,188 | | | | | | 6% | | | | | | 17,882 | | | | | | 5% | | |
Fee income
|
| | | | 46,323 | | | | | | 12% | | | | | | 20,088 | | | | | | 6% | | |
Dividend Income
|
| | | | 11 | | | | | | 0% | | | | | | — | | | | | | — | | |
Total investment income(1)
|
| | | $ | 376,706 | | | | | | 100% | | | | | $ | 360,267 | | | | | | 100% | | |
|
| | |
Nine Months Ended
September 30, |
| |||||||||
| | |
2017
|
| |
2016
|
| ||||||
Management fees
|
| | | $ | 77,005 | | | | | $ | 72,989 | | |
Subordinated income incentive fees(1)
|
| | | | 42,352 | | | | | | 45,836 | | |
Administrative services expenses
|
| | | | 2,530 | | | | | | 3,096 | | |
Stock transfer agent fees
|
| | | | 1,502 | | | | | | 1,549 | | |
Accounting and administrative fees
|
| | | | 1,303 | | | | | | 1,069 | | |
Interest expense
|
| | | | 62,971 | | | | | | 51,827 | | |
Directors’ fees
|
| | | | 849 | | | | | | 835 | | |
Expenses associated with our independent audit and related fees
|
| | | | 382 | | | | | | 309 | | |
Legal fees
|
| | | | 612 | | | | | | 432 | | |
Printing fees
|
| | | | 847 | | | | | | 1,281 | | |
Other
|
| | | | 1,137 | | | | | | 1,612 | | |
Total operating expenses
|
| | | $ | 191,490 | | | | | $ | 180,835 | | |
Management fee waiver
|
| | | | (9,626) | | | | | | (9,124) | | |
Net operating expenses
|
| | | $ | 181,864 | | | | | $ | 171,711 | | |
|
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity
Date |
| ||||||
Green Creek Credit Facility(1)
|
| |
Term Loan Credit Facility
|
| |
L+2.50%
|
| | | $ | 500,000 | | | | | $ | — | | | |
December 15, 2019
|
|
Cooper River Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+2.25%
|
| | | | 180,933 | | | | | | 19,067 | | | |
May 29, 2020
|
|
Wissahickon Creek Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+1.50% to L+2.50%
|
| | | | 240,146 | | | | | | 9,854 | | | |
February 18, 2022
|
|
Darby Creek Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+2.50%
|
| | | | 250,000 | | | | | | — | | | |
August 19, 2020
|
|
Dunning Creek Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
L+1.80%
|
| | | | 149,400 | | | | | | 600 | | | |
May 14, 2018
|
|
Juniata River Credit Facility(1)
|
| |
Term Loan Credit Facility
|
| |
L+2.68%
|
| | | | 850,000 | | | | | | — | | | |
October 11, 2020
|
|
FSIC II Revolving Credit Facility(1)
|
| |
Revolving Credit Facility
|
| |
See Note(2)
|
| | | | 10,868(3) | | | | | | 109,132 | | | |
February 23, 2021
|
|
Total
|
| | | | | | | | | $ | 2,181,347 | | | | | $ | 138,653 | | | | ||
Partial Loan Sale
|
| |
Secured Borrowing
|
| |
L+4.50% (1.0% floor)
|
| | | $ | 8,214 | | | | | $ | — | | | |
July 29, 2022
|
|
| | |
Distribution
|
| |||||||||
For the Three Months Ended
|
| |
Per Share
|
| |
Amount
|
| ||||||
Fiscal 2016 | | | | ||||||||||
March 31, 2016
|
| | | $ | 0.1885 | | | | | $ | 60,744 | | |
June 30, 2016
|
| | | | 0.1885 | | | | | | 60,976 | | |
September 30, 2016
|
| | | | 0.1885 | | | | | | 61,155 | | |
Total
|
| | | $ | 0.5655 | | | | | $ | 182,875 | | |
Fiscal 2017 | | | | ||||||||||
March 31, 2017
|
| | | $ | 0.1885 | | | | | $ | 61,436 | | |
June 30, 2017
|
| | | | 0.1885 | | | | | | 61,505 | | |
September 30, 2017
|
| | | | 0.1885 | | | | | | 61,277 | | |
Total
|
| | | $ | 0.5655 | | | | | $ | 184,218 | | |
|
| | |
Payments Due By Period
|
| |||||||||||||||||||||||||||
| | |
Total
|
| |
Less than 1 year
|
| |
1–3 years
|
| |
3–5 years
|
| |
More than 5 years
|
| |||||||||||||||
Green Creek Credit Facility(1)
|
| | | $ | 500,000 | | | | | | — | | | | | $ | 500,000 | | | | | | — | | | | | | — | | |
Cooper River Credit Facility(2)
|
| | | $ | 180,933 | | | | | | — | | | | | $ | 180,933 | | | | | | — | | | | | | — | | |
Wissahickon Creek Credit Facility(3)
|
| | | $ | 240,146 | | | | | | — | | | | | | — | | | | | $ | 240,146 | | | | | | — | | |
Darby Creek Credit Facility(4)
|
| | | $ | 250,000 | | | | | | — | | | | | $ | 250,000 | | | | | | — | | | | | | — | | |
Dunning Creek Credit Facility(5)
|
| | | $ | 149,400 | | | | | $ | 149,400 | | | | | | — | | | | | | — | | | | | | — | | |
Juniata River Credit Facility(6)
|
| | | $ | 850,000 | | | | | | — | | | | | | — | | | | | $ | 850,000 | | | | | | — | | |
FSIC II Revolving Credit Facility(7)
|
| | | $ | 10,868 | | | | | | — | | | | | | — | | | | | $ | 10,868 | | | | | | — | | |
Partial Loan Sale(8)
|
| | | $ | 8,214 | | | | | | — | | | | | | — | | | | | $ | 8,214 | | | | | | — | | |
Basis Point Change in Interest Rates
|
| |
Increase
(Decrease) in Interest Income(1) |
| |
Increase
(Decrease) in Interest Expense |
| |
Increase
(Decrease) in Net Interest Income |
| |
Percentage
Change in Net Interest Income |
| ||||||||||||
Down 100 basis points
|
| | | $ | (11,858) | | | | | $ | (17,709) | | | | | $ | 5,851 | | | | | | 1.7% | | |
No change
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Up 100 basis points
|
| | | $ | 34,200 | | | | | $ | 17,709 | | | | | $ | 16,491 | | | | | | 4.7% | | |
Up 300 basis points
|
| | | $ | 104,788 | | | | | $ | 53,127 | | | | | $ | 51,662 | | | | | | 14.8% | | |
Up 500 basis points
|
| | | $ | 176,939 | | | | | $ | 88,545 | | | | | $ | 88,395 | | | | | | 25.4% | | |
Period
|
| |
Total Number
of Shares Purchased |
| |
Average
Price Paid per Share |
| |
Total Number of
Shares Purchased as Part of Publicly Announced Plans or Programs |
| |
Maximum Number of
Shares that May Yet Be Purchased Under the Plans or Programs |
| ||||||||||||
July 1 to July 31, 2017
|
| | | | 4,513,119 | | | | | $ | 9.10 | | | | | | 4,513,119 | | | | | | (1) | | |
August 1 to August 31, 2017
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
September 1 to September 30, 2017
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | | 4,513,119 | | | | | $ | 9.10 | | | | | | 4,513,119 | | | | | | (1) | | |
| | | | FS INVESTMENT CORPORATION II | | |||
| | | |
By:
|
| |
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer (Principal Executive Officer) |
|
| | | |
By:
|
| |
/s/ William Goebel
William Goebel
Chief Financial Officer (Principal Financial and Accounting Officer) |
|
|
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer |
| | | |
|
/s/ William Goebel
William Goebel
Chief Financial Officer |
| | | |
| | | | Dated: November 13, 2017 | |
| | | |
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer |
|
| | | |
/s/ William Goebel
William Goebel
Chief Financial Officer |
|