[x] | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
[ ] | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
CĪON Investment Corporation | ||
(Exact name of registrant as specified in its charter) |
Maryland | 45-3058280 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
3 Park Avenue, 36th Floor New York, New York | 10016 | |
(Address of principal executive offices) | (Zip Code) |
(212) 418-4700 | ||
(Registrant’s telephone number, including area code) | ||
Not applicable | ||
(Former name, former address and former fiscal year, if changed since last report) |
Large accelerated filer [ ] | Accelerated filer [ ] | |
Non-accelerated filer [x] (Do not check if a smaller reporting company) | Smaller reporting company [ ] | |
Emerging growth company [ ] |
Page | ||
September 30, 2017 | December 31, 2016 | |||||||
(unaudited) | ||||||||
Assets | ||||||||
Investments, at fair value (amortized cost of $1,688,414 and $1,096,948, respectively) | $ | 1,691,855 | $ | 1,089,478 | ||||
Derivative asset (cost of $0 and $229, respectively) | — | 46 | ||||||
Cash | 21,915 | 15,046 | ||||||
Restricted cash | — | 2,000 | ||||||
Due from counterparty(1) | 3,620 | 143,335 | ||||||
Interest receivable on investments | 8,886 | 6,689 | ||||||
Receivable due on investments sold | 12,147 | — | ||||||
Receivable due on total return swap(1) | — | 4,187 | ||||||
Prepaid expenses and other assets | 1,030 | 282 | ||||||
Total assets | $ | 1,739,453 | $ | 1,261,063 |
Liabilities and Shareholders' Equity | ||||||||
Liabilities | ||||||||
Payable for investments purchased | $ | 55,706 | $ | 15,837 | ||||
Financing arrangements (net of unamortized debt issuance costs of $5,736 and $3,212, respectively) | 625,385 | 221,211 | ||||||
Accounts payable and accrued expenses | 1,267 | 1,476 | ||||||
Interest payable | 1,977 | 864 | ||||||
Commissions payable for common stock purchased | — | 2 | ||||||
Accrued management fees | 7,821 | 5,781 | ||||||
Accrued administrative services expense | 83 | 682 | ||||||
Due to CIG - offering costs | 27 | 45 | ||||||
Unrealized depreciation on total return swap(1) | — | 15,402 | ||||||
Total liabilities | 692,266 | 261,300 | ||||||
Commitments and contingencies (Note 4 and Note 11) | ||||||||
Shareholders' Equity | ||||||||
Common stock, $0.001 par value; 500,000,000 shares authorized; | ||||||||
114,440,741 and 109,787,557 shares issued and outstanding, respectively | 114 | 110 | ||||||
Capital in excess of par value | 1,064,037 | 1,021,280 | ||||||
Undistributed net investment income | 4,314 | 1,428 | ||||||
Accumulated net realized loss from investments | (4,983 | ) | — | |||||
Accumulated net unrealized appreciation (depreciation) on investments | 3,441 | (7,653 | ) | |||||
Accumulated net realized loss from total return swap(1) | (19,736 | ) | — | |||||
Accumulated net unrealized depreciation on total return swap(1) | — | (15,402 | ) | |||||
Total shareholders' equity | 1,047,187 | 999,763 | ||||||
Total liabilities and shareholders' equity | $ | 1,739,453 | $ | 1,261,063 | ||||
Net asset value per share of common stock at end of period | $ | 9.15 | $ | 9.11 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 37,212 | $ | 18,579 | $ | 99,117 | $ | 53,385 | ||||||||
Fee and other income | 1,166 | 154 | 2,651 | 449 | ||||||||||||
Total investment income | 38,378 | 18,733 | 101,768 | 53,834 | ||||||||||||
Operating expenses | ||||||||||||||||
Management fees | 7,820 | 5,187 | 21,724 | 14,311 | ||||||||||||
Administrative services expense | 433 | 425 | 1,204 | 1,151 | ||||||||||||
General and administrative(1) | 1,803 | 1,892 | 5,220 | 4,944 | ||||||||||||
Interest expense | 6,920 | 534 | 15,543 | 761 | ||||||||||||
Total operating expenses | 16,976 | 8,038 | 43,691 | 21,167 | ||||||||||||
Recoupment of expense support from CIG(2) | — | — | — | 667 | ||||||||||||
Net operating expenses | 16,976 | 8,038 | 43,691 | 21,834 | ||||||||||||
Net investment income | 21,402 | 10,695 | 58,077 | 32,000 | ||||||||||||
Realized and unrealized (losses) gains | ||||||||||||||||
Net realized (loss) gain on investments | (2,800 | ) | 379 | (5,142 | ) | 1,078 | ||||||||||
Net realized gain on foreign currency | 12 | — | 159 | — | ||||||||||||
Net change in unrealized appreciation on investments | 1,700 | 14,948 | 11,094 | 16,587 | ||||||||||||
Net realized gain (loss) on total return swap(3) | 67 | 8,188 | (13,789 | ) | 23,799 | |||||||||||
Net change in unrealized appreciation on total return swap(3) | — | 9,527 | 15,402 | 16,826 | ||||||||||||
Total net realized and unrealized (losses) gains | (1,021 | ) | 33,042 | 7,724 | 58,290 | |||||||||||
Net increase in net assets resulting from operations | $ | 20,381 | $ | 43,737 | $ | 65,801 | $ | 90,290 | ||||||||
Per share information—basic and diluted | ||||||||||||||||
Net increase in net assets per share resulting from operations | $ | 0.18 | $ | 0.41 | $ | 0.59 | $ | 0.86 | ||||||||
Weighted average shares of common stock outstanding | 112,954,234 | 106,581,390 | 111,504,552 | 105,130,208 |
Nine Months Ended September 30, | |||||||||
2017 | 2016 | ||||||||
(unaudited) | (unaudited) | ||||||||
Changes in net assets from operations: | |||||||||
Net investment income | $ | 58,077 | $ | 32,000 | |||||
Net realized (loss) gain on investments | (5,142 | ) | 1,078 | ||||||
Net realized gain on foreign currency | 159 | — | |||||||
Net change in unrealized appreciation on investments | 11,094 | 16,587 | |||||||
Net realized (loss) gain on total return swap(1) | (13,789 | ) | 23,799 | ||||||
Net change in unrealized appreciation on total return swap(1) | 15,402 | 16,826 | |||||||
Net increase in net assets resulting from operations | 65,801 | 90,290 | |||||||
Changes in net assets from shareholders' distributions:(2) | |||||||||
Net investment income | (55,191 | ) | (31,744 | ) | |||||
Net realized gain on total return swap | |||||||||
Net interest and other income from TRS portfolio | (3,661 | ) | (22,386 | ) | |||||
Net gain on TRS loan sales(3) | (2,286 | ) | (2,443 | ) | |||||
Net realized gain on investments and foreign currency | — | (1,078 | ) | ||||||
Net decrease in net assets from shareholders' distributions | (61,138 | ) | (57,651 | ) | |||||
Changes in net assets from capital share transactions: | |||||||||
Issuance of common stock, net of issuance costs of $1,713 and $1,739, respectively | 43,227 | 19,278 | |||||||
Reinvestment of shareholders' distributions | 29,701 | 29,179 | |||||||
Repurchase of common stock | (30,167 | ) | (12,231 | ) | |||||
Net increase in net assets resulting from capital share transactions | 42,761 | 36,226 | |||||||
Total increase in net assets | 47,424 | 68,865 | |||||||
Net assets at beginning of period | 999,763 | 904,326 | |||||||
Net assets at end of period | $ | 1,047,187 | $ | 973,191 | |||||
Net asset value per share of common stock at end of period | $ | 9.15 | $ | 9.02 | |||||
Shares of common stock outstanding at end of period | 114,440,741 | 107,920,075 | |||||||
Undistributed net investment income at end of period | $ | 4,314 | $ | 256 |
(1) | See Note 7 for a discussion of the Company’s total return swap agreement. |
(2) | This table presents changes in net assets from shareholders' distributions on a GAAP basis. See Note 5 for a discussion of the sources of distributions paid by the Company. |
(3) | During the nine months ended September 30, 2017 and 2016, the Company realized losses on TRS loans of $19,736 and $1,030, respectively, which are not currently deductible on a tax-basis. |
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
(unaudited) | (unaudited) | |||||||
Operating activities: | ||||||||
Net increase in net assets resulting from operations | $ | 65,801 | $ | 90,290 | ||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in | ||||||||
operating activities: | ||||||||
Net accretion of discount on investments | (6,799 | ) | (1,442 | ) | ||||
Proceeds from principal repayment of investments | 403,098 | 126,908 | ||||||
Purchase of investments | (1,139,000 | ) | (450,390 | ) | ||||
Paid-in-kind interest | (1,704 | ) | (596 | ) | ||||
Increase in short term investments, net | (70,312 | ) | (37,879 | ) | ||||
Proceeds from sale of investments | 218,395 | 14,462 | ||||||
Net realized loss (gain) on investments | 5,142 | (1,078 | ) | |||||
Net unrealized appreciation on investments | (11,094 | ) | (16,587 | ) | ||||
Net unrealized appreciation on total return swap(1) | (15,402 | ) | (16,826 | ) | ||||
Amortization of deferred financing costs | 1,272 | 258 | ||||||
(Increase) decrease in due from counterparty(1) | 139,715 | 82,981 | ||||||
(Increase) decrease in interest receivable on investments | (2,254 | ) | (170 | ) | ||||
(Increase) decrease in receivable due on investments sold | (12,147 | ) | (16 | ) | ||||
(Increase) decrease in receivable due on total return swap(1) | 4,187 | 881 | ||||||
(Increase) decrease in prepaid expenses and other assets | (812 | ) | (197 | ) | ||||
Increase (decrease) in payable for investments purchased | 39,869 | (9,800 | ) | |||||
Increase (decrease) in accounts payable and accrued expenses | (209 | ) | 949 | |||||
Increase (decrease) in interest payable | 1,113 | 272 | ||||||
Increase (decrease) in accrued management fees | 2,040 | 756 | ||||||
Increase (decrease) in accrued administrative services expense | (599 | ) | (192 | ) | ||||
Increase (decrease) in accrued recoupment of expense support from CIG(2) | — | (480 | ) | |||||
Increase (decrease) in due to CIG - offering costs | (18 | ) | (16 | ) | ||||
Net cash used in operating activities | (379,718 | ) | (217,912 | ) | ||||
Financing activities: | ||||||||
Gross proceeds from issuance of common stock | 44,940 | 26,476 | ||||||
Commissions and dealer manager fees paid | (1,715 | ) | (2,213 | ) | ||||
Repurchase of common stock | (30,167 | ) | (12,231 | ) | ||||
Shareholders' distributions paid(3) | (31,437 | ) | (28,472 | ) | ||||
Borrowings under financing arrangements(4) | 406,698 | 242,423 | ||||||
Repayment of financing arrangements | — | (18,000 | ) | |||||
Debt issuance costs paid | (3,732 | ) | (3,322 | ) | ||||
Net cash provided by financing activities | 384,587 | 204,661 | ||||||
Net increase (decrease) in cash and restricted cash | 4,869 | (13,251 | ) | |||||
Cash and restricted cash, beginning of period | 17,046 | 41,741 | ||||||
Cash and restricted cash, end of period | $ | 21,915 | $ | 28,490 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid for interest | $ | 13,075 | $ | 232 | ||||
Supplemental non-cash financing activities: | ||||||||
Reinvestment of shareholders' distributions(3) | $ | 29,701 | $ | 29,179 |
(1) | See Note 7 for a discussion of the Company’s total return swap agreement. |
(2) | See Note 4 for a discussion of expense support from CIG and recoupment of expense support. |
(3) | See Note 5 for a discussion of the sources of distributions paid by the Company. |
(4) | See Note 8 for a discussion of the Company’s financing arrangements. |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | |||||||||||
Senior Secured First Lien Debt - 103.1% | ||||||||||||||||
AbelConn, LLC / Atrenne Computing Solutions, LLC / Airco Industries, LLC, L+875, 1.00% LIBOR Floor, 7/17/2019 (j)(n)(p) | 3 Month LIBOR | Aerospace & Defense | $ | 19,291 | $ | 19,031 | $ | 19,243 | ||||||||
Academy, Ltd., L+400, 1.00% LIBOR Floor, 7/1/2022 (o) | Various | Retail | 14,611 | 11,619 | 9,950 | |||||||||||
Access CIG, LLC, L+500, 1.00% LIBOR Floor, 10/18/2021 (o) | 1 Month LIBOR | Services: Business | 6,746 | 6,788 | 6,791 | |||||||||||
Accruent, LLC, L+475, 1.00% LIBOR Floor, 7/28/2023 | 3 Month LIBOR | High Tech Industries | 3,887 | 3,822 | 3,829 | |||||||||||
Accruent, LLC, 0.75% Unfunded, 7/28/2018 | None | High Tech Industries | 2,866 | — | (15 | ) | ||||||||||
Adams Publishing Group, LLC, L+700, 1.00% LIBOR Floor, 11/3/2020 (n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 4,396 | 4,344 | 4,352 | |||||||||||
Adams Publishing Group, LLC, 0.50% Unfunded, 6/2/2018 | None | Media: Advertising, Printing & Publishing | 1,136 | — | (11 | ) | ||||||||||
Advanced Integration Technology LP, L+475, 1.00% LIBOR Floor, 4/3/2023 (o) | 1 Month LIBOR | Aerospace & Defense | 3,980 | 4,014 | 3,970 | |||||||||||
ALM Media, LLC, L+450, 1.00% LIBOR Floor, 7/31/2020 (o) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 7,580 | 7,278 | 6,936 | |||||||||||
Alvogen Pharma US, Inc., L+500, 1.00% LIBOR Floor, 4/1/2022 (o) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 8,313 | 8,275 | 8,296 | |||||||||||
American Clinical Solutions LLC, L+950, 1.00% LIBOR Floor, 6/11/2020 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 8,834 | 8,733 | 8,547 | |||||||||||
American Dental Partners, Inc., L+475, 1.00% LIBOR Floor, 8/29/2021 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 10,694 | 10,241 | 10,641 | |||||||||||
American Energy - Marcellus, LLC, L+425, 1.00% LIBOR Floor, 8/4/2020 (r) | 1 Month LIBOR | Energy: Oil & Gas | 4,033 | 2,963 | 3,014 | |||||||||||
American Media, Inc., L+900, 1.00% LIBOR Floor, 8/24/2020 (n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 16,148 | 15,809 | 16,552 | |||||||||||
American Media, Inc., 9.00% Unfunded, 8/24/2020 (e) | None | Media: Advertising, Printing & Publishing | 154 | — | 4 | |||||||||||
American Media, Inc., 0.50% Unfunded, 8/24/2020 | None | Media: Advertising, Printing & Publishing | 143 | — | 4 | |||||||||||
American Teleconferencing Services, Ltd., L+650, 1.00% LIBOR Floor, 12/8/2021 (n)(o)(p) | 1 Month LIBOR | Telecommunications | 21,617 | 19,866 | 20,968 | |||||||||||
AMPORTS, Inc., L+500, 1.00% LIBOR Floor, 5/19/2020 (j)(n)(p) | 3 Month LIBOR | Automotive | 18,943 | 18,661 | 18,753 | |||||||||||
AMZ Holding Corp., L+500, 1.00% LIBOR Floor, 6/27/2022 | 1 Month LIBOR | Chemicals, Plastics & Rubber | 6,740 | 6,644 | 6,639 | |||||||||||
AP Exhaust Acquisition, LLC, L+500, 1.00% LIBOR Floor, 5/10/2024 (o) | 3 Month LIBOR | Automotive | 5,627 | 5,431 | 5,514 | |||||||||||
ASG Technologies Group, Inc., L+475, 1.00% LIBOR Floor, 7/31/2024 (o) | 1 Month LIBOR | High Tech Industries | 5,000 | 4,975 | 5,063 | |||||||||||
Associated Asphalt Partners, LLC, L+525, 1.00% LIBOR Floor, 4/5/2024 (o) | 1 Month LIBOR | Construction & Building | 1,259 | 1,254 | 1,241 | |||||||||||
Avaya Inc., L+750, 1.00% LIBOR Floor, 1/24/2018 | 1 Month LIBOR | Telecommunications | 3,509 | 3,497 | 3,544 | |||||||||||
Avaya Inc., L+525, 1.00% LIBOR Floor, 5/29/2020 (o) | 3 Month LIBOR | Telecommunications | 14,689 | 11,941 | 12,480 | |||||||||||
Azure Midstream Energy, LLC, L+650, 1.00% LIBOR Floor, 11/15/2018 (o) | 1 Month LIBOR | Energy: Oil & Gas | 2,188 | 2,117 | 1,958 | |||||||||||
Bakemark Holdings, Inc., L+525, 1.00% LIBOR Floor, 8/14/2023 | 3 Month LIBOR | Beverage, Food & Tobacco | 2,314 | 2,246 | 2,245 | |||||||||||
Caraustar Industries, Inc., L+550, 1.00% LIBOR Floor, 3/14/2022 (o) | 3 Month LIBOR | Forest Products & Paper | 5,591 | 5,655 | 5,598 | |||||||||||
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2021 (o) | 1 Month LIBOR | Services: Consumer | 17,945 | 17,978 | 18,034 | |||||||||||
CF Entertainment Inc., L+850, 1.00% LIBOR Floor, 1/27/2023 (n)(p) | 6 Month LIBOR | Media: Diversified & Production | 50,000 | 49,070 | 49,625 | |||||||||||
CF Entertainment Inc., L+850, 1.00% LIBOR Floor, 1/27/2023 | 6 Month LIBOR | Media: Diversified & Production | 15,000 | 14,721 | 14,963 | |||||||||||
CF Entertainment Inc., L+850, 1.00% LIBOR Floor, 1/27/2023 | 6 Month LIBOR | Media: Diversified & Production | 7,500 | 7,500 | 7,463 | |||||||||||
CF Entertainment Inc., L+850, 1.00% LIBOR Floor, 1/27/2023 | 6 Month LIBOR | Media: Diversified & Production | 5,000 | 4,813 | 4,963 | |||||||||||
CF Entertainment Inc., 2.00% Unfunded, 1/28/2019 | None | Media: Diversified & Production | 5,000 | — | (38 | ) | ||||||||||
Charming Charlie, LLC, L+800, 1.00% LIBOR Floor, 12/24/2019 (r)(s) | 3 Month LIBOR | Retail | 7,791 | 4,388 | 3,701 | |||||||||||
Command Alkon Inc., L+500, 1.00% LIBOR Floor, 9/1/2023 | 1 Month LIBOR | High Tech Industries | 7,560 | 7,470 | 7,408 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | ||||||||
Confie Seguros Holding II Co., L+550, 1.00% LIBOR Floor, 4/16/2022 (o) | 1 Month LIBOR | Banking, Finance, Insurance & Real Estate | 14,942 | 14,832 | 14,634 | ||||||||
Covenant Surgical Partners, Inc., L+475, 0.00% LIBOR Floor, 10/4/2024 (i) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 1,874 | 1,869 | 1,888 | ||||||||
Covenant Surgical Partners, Inc., 0.00% Unfunded, 10/4/2018 (e) | None | Healthcare & Pharmaceuticals | 562 | (1 | ) | 4 | |||||||
CSP Technologies North America, LLC, L+525, 1.00% LIBOR Floor, 1/29/2022 (p) | 3 Month LIBOR | Chemicals, Plastics & Rubber | 13,553 | 13,307 | 13,587 | ||||||||
David's Bridal, Inc., L+400, 1.25% LIBOR Floor, 10/11/2019 (o) | 3 Month LIBOR | Retail | 3,477 | 2,990 | 2,738 | ||||||||
DBRS, Inc., L+525, 1.00% LIBOR Floor, 3/4/2022 (h)(o) | 3 Month LIBOR | Services: Business | 5,922 | 5,724 | 5,878 | ||||||||
Deluxe Entertainment Services Group Inc., L+550, 1.00% LIBOR Floor, 2/28/2020 (o) | 3 Month LIBOR | Media: Diversified & Production | 9,865 | 9,826 | 9,933 | ||||||||
DFC Global Facility Borrower II LLC, L+1075, 1.00% LIBOR Floor, 9/27/2022 | 1 Month LIBOR | Services: Consumer | 37,200 | 36,901 | 37,014 | ||||||||
DFC Global Facility Borrower II LLC, 0.50% Unfunded, 9/27/2019 (e) | None | Services: Consumer | 22,800 | — | (114 | ) | |||||||
Dodge Data & Analytics, LLC / Skyline Data News and Analytics, LLC, L+875, 1.00% LIBOR Floor, 10/31/2019 (n) | 3 Month LIBOR | Construction & Building | 10,012 | 9,907 | 9,849 | ||||||||
DXP Enterprises, Inc., L+550, 1.00% LIBOR Floor, 8/29/2023 (h)(o) | 1 Month LIBOR | Energy: Oil & Gas | 10,000 | 9,901 | 9,963 | ||||||||
EagleTree-Carbide Acquisition Corp., L+475, 1.00% LIBOR Floor, 9/27/2024 (i) | 3 Month LIBOR | Consumer Goods: Durable | 10,000 | 9,900 | 10,006 | ||||||||
Eastman Kodak Company, L+625, 1.00% LIBOR Floor, 9/3/2019 (h)(o) | 3 Month LIBOR | Consumer Goods: Durable | 1,996 | 1,991 | 1,972 | ||||||||
Elemica, Inc., L+800, 1.00% LIBOR Floor, 7/7/2021 (n)(p) | 1 Month LIBOR | High Tech Industries | 17,281 | 16,928 | 17,065 | ||||||||
Elemica, Inc., 0.50% Unfunded, 7/7/2021 (e) | None | High Tech Industries | 2,500 | (47 | ) | (31 | ) | ||||||
Emmis Operating Company, L+700, 1.00% LIBOR Floor, 4/18/2019 (o) | 1 Month LIBOR | Media: Broadcasting & Subscription | 3,627 | 3,439 | 3,522 | ||||||||
Entertainment Studios P&A LLC, 5.00%, 5/18/2037 | None | Media: Diversified & Production | 15,000 | 14,704 | 21,216 | ||||||||
Entertainment Studios P&A LLC, 15.00%, 9/1/2037 | None | Media: Diversified & Production | 7,500 | 7,352 | 4,613 | ||||||||
EnTrans International, LLC, L+750, 1.00% LIBOR Floor, 6/4/2020 | 3 Month LIBOR | Capital Equipment | 13,312 | 10,366 | 11,449 | ||||||||
Evergreen Skills Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021 (h)(o) | 1 Month LIBOR | High Tech Industries | 10,236 | 9,566 | 9,705 | ||||||||
Everi Payments Inc., L+450, 1.00% LIBOR Floor, 5/9/2024 (o) | 1 Month LIBOR | Hotel, Gaming & Leisure | 4,183 | 4,163 | 4,223 | ||||||||
F+W Media, Inc., L+1000, 1.50% LIBOR Floor, 5/24/2022 (n)(r)(s) | 1 Month LIBOR | Media: Diversified & Production | 2,661 | 2,665 | 2,113 | ||||||||
F+W Media, Inc., L+650, 1.50% LIBOR Floor, 5/24/2022 | 1 Month LIBOR | Media: Diversified & Production | 1,106 | 1,106 | 1,162 | ||||||||
Forbes Media LLC, L+675, 1.00% LIBOR Floor, 9/12/2019 (j)(p) | 1 Month LIBOR | Media: Advertising, Printing & Publishing | 15,000 | 14,717 | 14,888 | ||||||||
Frontline Technologies Group Holding LLC, L+650, 1.00% LIBOR Floor, 9/18/2023 | 3 Month LIBOR | High Tech Industries | 2,755 | 2,722 | 2,722 | ||||||||
Frontline Technologies Group Holding LLC, 1.00% Unfunded, 9/18/2019 (e) | None | High Tech Industries | 540 | — | (6 | ) | |||||||
FWR Holding Corp., L+600, 1.00% LIBOR Floor, 8/21/2023 | 1 Month LIBOR | Hotel, Gaming & Leisure | 1,062 | 1,036 | 1,035 | ||||||||
Global Franchise Group, LLC, L+575, 1.00% LIBOR Floor, 12/18/2019 | 3 Month LIBOR | Beverage, Food & Tobacco | 2,166 | 2,145 | 2,145 | ||||||||
GTCR-Ultra Acquisition, Inc., L+600, 1.00% LIBOR Floor, 8/1/2024 (e) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 5,432 | 5,300 | 5,323 | ||||||||
Harland Clarke Holdings Corp., L+550, 1.00% LIBOR Floor, 2/9/2022 (o) | 3 Month LIBOR | Services: Business | 14,724 | 14,835 | 14,830 | ||||||||
Healogics, Inc., L+425, 1.00% LIBOR Floor, 7/1/2021 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 4,862 | 4,583 | 4,011 | ||||||||
Heartland Dental, LLC, L+475, 1.00% LIBOR Floor, 7/31/2023 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 4,000 | 3,981 | 4,030 | ||||||||
Help/Systems Holdings, Inc., L+450, 1.00% LIBOR Floor, 10/8/2021 (o) | 3 Month LIBOR | Services: Business | 11,939 | 11,926 | 12,018 | ||||||||
Infinity Sales Group, LLC, L+1050, 1.00% LIBOR Floor, 11/21/2018 (n) | 1 Month LIBOR | Services: Business | 7,806 | 7,402 | 7,201 | ||||||||
Infogroup Inc., L+500, 1.00% LIBOR Floor, 4/3/2023 (o) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 9,453 | 9,487 | 9,216 | ||||||||
International Seaways, Inc., L+550, 1.00% LIBOR Floor, 6/22/2022 (h)(o) | 1 Month LIBOR | Transportation: Cargo | 10,000 | 9,807 | 9,844 | ||||||||
Intertain Group Ltd., L+650, 1.00% LIBOR Floor, 4/8/2022 (h)(n) | 3 Month LIBOR | Hotel, Gaming & Leisure | 1,610 | 1,586 | 1,630 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | |||||||||
iPipeline, Inc., L+625, 1.00% LIBOR Floor, 8/4/2022 | 1 Month LIBOR | High Tech Industries | 8,874 | 8,684 | 8,697 | |||||||||
Ipsen, Inc., L+700, 1.00% LIBOR Floor, 9/30/2019 (j)(p) | 1 Month LIBOR | Capital Equipment | 8,095 | 8,021 | 8,075 | |||||||||
Ipsen International GmbH, L+800, 1.00% LIBOR Floor, 9/30/2019 (h)(j) | 1 Month LIBOR | Capital Equipment | 1,295 | 1,299 | 1,295 | |||||||||
Island Medical Management Holdings, LLC, L+550, 1.00% LIBOR Floor, 9/1/2022 (p) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 13,743 | 13,569 | 13,568 | |||||||||
Island Medical Management Holdings, LLC, 1.00% Unfunded, 9/1/2022 (e) | None | Healthcare & Pharmaceuticals | 1,188 | — | (15 | ) | ||||||||
ITC Service Group Acquisition LLC, L+950, 0.50% LIBOR Floor, 5/26/2021 (j)(p) | 1 Month LIBOR | High Tech Industries | 11,250 | 11,065 | 11,109 | |||||||||
Kingpin Intermediate Holdings LLC, L+425, 1.00% LIBOR Floor, 6/29/2024 (o) | 3 Month LIBOR | Hotel, Gaming & Leisure | 9,975 | 9,925 | 10,044 | |||||||||
KLO Intermediate Holdings, LLC, L+775, 1.25% LIBOR Floor, 4/7/2022 (p) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 4,412 | 4,361 | 4,357 | |||||||||
KLO Intermediate Holdings, LLC, L+775, 1.25% LIBOR Floor, 4/7/2022 (p) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 7,621 | 7,532 | 7,526 | |||||||||
KNB Holdings Corp., L+550, 1.00% LIBOR Floor, 4/26/2024 (o) | 3 Month LIBOR | Consumer Goods: Durable | 16,000 | 15,691 | 15,920 | |||||||||
Labvantage Solutions Inc., L+800, 1.00% LIBOR Floor, 12/29/2020 (p) | 1 Month LIBOR | High Tech Industries | 4,688 | 4,651 | 4,734 | |||||||||
Labvantage Solutions Ltd., E+800, 1.00% EURIBOR Floor, 12/29/2020 (h) | 1 Month EURIBOR | High Tech Industries | € | 4,294 | 4,790 | 5,124 | ||||||||
Lift Brands, Inc., L+800, 1.00% LIBOR Floor, 12/23/2019 (n) | 3 Month LIBOR | Services: Consumer | 9,226 | 9,143 | 9,203 | |||||||||
Logix Communications, LP, L+575, 1.00% LIBOR Floor, 8/9/2024 (i)(o) | (u) | Telecommunications | 5,250 | 5,198 | 5,198 | |||||||||
Lonestar Prospects, Ltd., 0.00% Unfunded, 12/31/2017 (e) | None | Energy: Oil & Gas | 18,985 | (363 | ) | (380 | ) | |||||||
LTCG Holdings Corp., L+500, 1.00% LIBOR Floor, 6/6/2020 (o) | 1 Month LIBOR | Services: Business | 5,911 | 5,582 | 5,793 | |||||||||
MB2 Dental Solutions, LLC, L+475, 1.00% LIBOR Floor, 9/29/2023 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 2,191 | 2,163 | 2,163 | |||||||||
Ministry Brands, LLC, L+500, 1.00% LIBOR Floor, 12/2/2022 (n) | 1 Month LIBOR | Services: Business | 4,960 | 4,777 | 4,960 | |||||||||
Ministry Brands, LLC, L+500, 1.00% LIBOR Floor, 12/2/2022 | 1 Month LIBOR | Services: Business | 1,097 | 1,097 | 1,097 | |||||||||
Ministry Brands, LLC, L+100, 1.00% LIBOR Floor, Unfunded, 2/22/2019 (e) | 1 Month LIBOR | Services: Business | 2,795 | — | — | |||||||||
Moss Holding Company, L+675, 1.00% LIBOR Floor, 4/17/2023 (n)(p) | 3 Month LIBOR | Services: Business | 18,924 | 18,607 | 18,640 | |||||||||
Moss Holding Company, 0.75% Unfunded, 5/7/2018 (e) | None | Services: Business | 1,046 | — | (16 | ) | ||||||||
Moss Holding Company, 0.50% Unfunded, 4/17/2023 (e) | None | Services: Business | 2,232 | — | (33 | ) | ||||||||
MSHC, Inc., L+425, 1.00% LIBOR Floor, 7/31/2023 | 3 Month LIBOR | Services: Business | 2,853 | 2,839 | 2,839 | |||||||||
Murray Energy Corp., L+725, 1.00% LIBOR Floor, 4/16/2020 (o) | 3 Month LIBOR | Metals & Mining | 3,639 | 3,548 | 3,341 | |||||||||
Nathan's Famous Inc., 10.00%, 3/15/2020 (h)(n) | None | Beverage, Food & Tobacco | 6,000 | 6,000 | 6,311 | |||||||||
Navex Global, Inc., L+425, 1.00% LIBOR Floor, 11/19/2021 (o) | 1 Month LIBOR | High Tech Industries | 17,957 | 18,010 | 17,979 | |||||||||
Nextech Systems, LLC, L+725, 1.00% LIBOR Floor, 6/22/2021 (j)(n) | 1 Month LIBOR | High Tech Industries | 15,242 | 14,747 | 14,938 | |||||||||
Opal Acquisition, Inc., L+400, 1.00% LIBOR Floor, 11/27/2020 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 10,235 | 9,680 | 9,682 | |||||||||
Orbcomm Inc., 8.00%, 4/1/2024 (n) | None | Telecommunications | 9,237 | 9,237 | 9,912 | |||||||||
P.F. Chang's China Bistro, Inc., L+500, 1.00% LIBOR Floor, 9/1/2022 (i)(o) | 1 Month LIBOR | Beverage, Food & Tobacco | 10,000 | 9,700 | 9,600 | |||||||||
Paris Presents Inc., L+500, 1.00% LIBOR Floor, 12/31/2020 (p) | 1 Month LIBOR | Consumer Goods: Durable | 8,954 | 8,874 | 8,954 | |||||||||
PDI TA Holdings, Inc., L+475, 1.00% LIBOR Floor, 8/25/2023 (n) | 3 Month LIBOR | High Tech Industries | 5,667 | 5,554 | 5,552 | |||||||||
PDI TA Holdings, Inc., 0.50% Unfunded, 8/24/2018 (e) | None | High Tech Industries | 1,283 | — | (20 | ) | ||||||||
Petroflow Energy Corp., L+800, 1.00% LIBOR Floor, 6/29/2019 (n)(r)(s) | 1 Month LIBOR | Energy: Oil & Gas | 4,028 | 3,863 | 3,705 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | ||||||||
Photonis Technologies SAS, L+750, 1.00% LIBOR Floor, 9/18/2019 (h)(o) | 3 Month LIBOR | Aerospace & Defense | 6,397 | 5,552 | 5,598 | ||||||||
Plano Molding Company, LLC, L+750, 1.00% LIBOR Floor, 5/12/2021 (n) | 1 Month LIBOR | Consumer Goods: Non-Durable | 8,774 | 8,687 | 8,160 | ||||||||
Practice Insight, LLC, L+500, 1.00% LIBOR Floor, 8/23/2022 (n) | 1 Month LIBOR | High Tech Industries | 6,567 | 6,405 | 6,402 | ||||||||
Project Leopard Holdings, Inc., L+550, 1.00% LIBOR Floor, 7/7/2023 (o) | 3 Month LIBOR | High Tech Industries | 4,000 | 3,991 | 4,050 | ||||||||
PSC Industrial Holdings Corp., L+475, 1.00% LIBOR Floor, 12/5/2020 (o) | 3 Month LIBOR | Services: Business | 4,863 | 4,649 | 4,863 | ||||||||
Radio One, Inc., L+400, 1.00% LIBOR Floor, 4/18/2023 (o) | 3 Month LIBOR | Media: Broadcasting & Subscription | 2,973 | 2,945 | 2,928 | ||||||||
Rimini Street, Inc., 15.00%, 6/24/2020 (s) | None | High Tech Industries | 13,773 | 13,539 | 16,073 | ||||||||
Robertshaw US Holding Corp., L+450, 0.00% LIBOR Floor, 8/10/2024 (o) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 3,155 | 3,131 | 3,186 | ||||||||
Russell Investments US Institutional Holdco, Inc., L+425, 1.00% LIBOR Floor, 6/1/2023 (o) | 1 Month LIBOR | Banking, Finance, Insurance & Real Estate | 3,970 | 4,022 | 4,032 | ||||||||
Sequoia Healthcare Management, LLC, 16.00%, 7/17/2019 (n)(s) | None | Healthcare & Pharmaceuticals | 5,935 | 5,885 | 5,935 | ||||||||
SFE Intermediate Holdco LLC, L+500, 1.00% LIBOR Floor, 7/31/2023 (n) | 3 Month LIBOR | Beverage, Food & Tobacco | 4,782 | 4,687 | 4,686 | ||||||||
SG Acquisition, Inc., L+500, 1.00% LIBOR Floor, 3/29/2024 (o) | 3 Month LIBOR | Banking, Finance, Insurance & Real Estate | 4,159 | 4,121 | 4,133 | ||||||||
Shift PPC LLC, L+600, 1.00% LIBOR Floor, 12/22/2021 (p) | 3 Month LIBOR | High Tech Industries | 4,878 | 4,775 | 4,878 | ||||||||
SI Organization, Inc., L+475, 1.00% LIBOR Floor, 11/23/2019 (o) | 3 Month LIBOR | Services: Business | 7,693 | 7,785 | 7,810 | ||||||||
Southcross Holdings Borrower LP, 9.00%, 4/13/2023 (s) | None | Energy: Oil & Gas | 179 | 158 | 156 | ||||||||
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 1/21/2020 (n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 12,758 | 12,692 | 12,662 | ||||||||
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 7/21/2020 (s) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 252 | 250 | 249 | ||||||||
Sprint Industrial Holdings, LLC, L+575, 1.25% LIBOR Floor, 5/14/2019 (n) | 3 Month LIBOR | Energy: Oil & Gas | 8,045 | 7,656 | 7,361 | ||||||||
STG-Fairway Acquisitions, Inc., L+525, 1.00% LIBOR Floor, 6/30/2022 (o) | 3 Month LIBOR | Services: Business | 3,929 | 3,821 | 3,826 | ||||||||
Studio Movie Grill Holdings, LLC, L+725, 1.00% LIBOR Floor, 9/30/2020 (e)(n) | 3 Month LIBOR | Hotel, Gaming & Leisure | 16,925 | 16,811 | 16,925 | ||||||||
Survey Sampling International, LLC, L+500, 1.00% LIBOR Floor, 12/16/2020 (o) | 3 Month LIBOR | Services: Business | 7,820 | 7,854 | 7,703 | ||||||||
Teladoc, Inc., L+725, 1.00% LIBOR Floor, 7/14/2022 (h) | 1 Month LIBOR | High Tech Industries | 15,000 | 14,855 | 15,300 | ||||||||
Teladoc, Inc., 0.50% Unfunded, 7/14/2020 (e)(h) | None | High Tech Industries | 1,250 | (47 | ) | 25 | |||||||
Telestream Holdings Corp., L+677, 1.00% LIBOR Floor, 1/15/2020 (j)(n) | 3 Month LIBOR | High Tech Industries | 8,662 | 8,472 | 8,402 | ||||||||
Tenere Inc., L+1000, 1.00% LIBOR Floor, 12/23/2021 (n)(p) | 3 Month LIBOR | Capital Equipment | 31,840 | 31,671 | 31,044 | ||||||||
Tensar Corp., L+475, 1.00% LIBOR Floor, 7/9/2021 (o) | 3 Month LIBOR | Chemicals, Plastics & Rubber | 13,236 | 12,429 | 12,475 | ||||||||
Therapure Biopharma Inc., L+875, 0.50% LIBOR Floor, 12/1/2021 (h) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 15,000 | 14,935 | 15,713 | ||||||||
U.S. Renal Care, Inc., L+425, 1.00% LIBOR Floor, 12/30/2022 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 7,967 | 7,780 | 7,740 | ||||||||
Vero Parent, Inc., L+500, 1.00% LIBOR Floor, 8/16/2024 (o) | 3 Month LIBOR | High Tech Industries | 15,000 | 14,851 | 14,906 | ||||||||
Vince, LLC, L+700, 1.00% LIBOR Floor, 11/27/2019 (h)(o) | 3 Month LIBOR | Retail | 901 | 864 | 789 | ||||||||
Visual Edge Technology, Inc., L+575, 1.00% LIBOR Floor, 8/31/2022 | 3 Month LIBOR | Services: Business | 12,469 | 12,222 | 12,220 | ||||||||
Visual Edge Technology, Inc., L+575, 1.00% LIBOR Floor, 8/31/2022 | 3 Month LIBOR | Services: Business | 1,918 | 1,871 | 1,899 | ||||||||
Visual Edge Technology, Inc., 0.75% Unfunded, 2/28/2019 (e) | None | Services: Business | 2,878 | — | (29 | ) | |||||||
WD Wolverine Holdings, LLC, L+550, 1.00% LIBOR Floor, 8/16/2022 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 14,319 | 14,016 | 13,961 | ||||||||
Western Dental Services, Inc., L+525, 1.00% LIBOR Floor, 6/30/2023 (o) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 2,191 | 2,170 | 2,210 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | |||||||||
Woodstream Corp., L+625, 1.00% LIBOR Floor, 5/29/2022 | 3 Month LIBOR | Consumer Goods: Non-Durable | 7,896 | 7,862 | 7,896 | |||||||||
Woodstream Corp., 0.75% Unfunded, 5/29/2021 (e) | None | Consumer Goods: Non-Durable | 1,553 | — | — | |||||||||
Total Senior Secured First Lien Debt | 1,069,271 | 1,079,520 | ||||||||||||
Senior Secured Second Lien Debt - 38.4% | ||||||||||||||
ABG Intermediate Holdings 2 LLC, L+775, 1.00% LIBOR Floor, 9/29/2025 (i)(n) | 3 Month LIBOR | Retail | 6,475 | 6,427 | 6,556 | |||||||||
Access CIG, LLC, L+875, 1.00% LIBOR Floor, 10/17/2022 (p) | 1 Month LIBOR | Services: Business | 16,030 | 15,512 | 15,709 | |||||||||
Accruent, LLC, L+875, 1.00% LIBOR Floor, 7/28/2024 | 3 Month LIBOR | High Tech Industries | 749 | 717 | 738 | |||||||||
Accruent, LLC, 0.75% Unfunded, 7/28/2018 (e) | None | High Tech Industries | 1,414 | — | (7 | ) | ||||||||
ALM Media, LLC, L+800, 1.00% LIBOR Floor, 7/30/2021 (n)(p) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 10,344 | 10,231 | 9,206 | |||||||||
American Residential Services LLC, L+800, 1.00% LIBOR Floor, 12/31/2022 (n) | 1 Month LIBOR | Construction & Building | 4,933 | 4,894 | 4,958 | |||||||||
American Seafoods Group LLC, L+813, 1.00% LIBOR Floor, 2/21/2024 | 3 Month LIBOR | Beverage, Food & Tobacco | 18,233 | 17,874 | 17,869 | |||||||||
Avalign Technologies, Inc., L+825, 1.00% LIBOR Floor, 7/15/2022 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 5,500 | 5,447 | 5,445 | |||||||||
Command Alkon Inc., L+900, 1.00% LIBOR Floor, 3/1/2024 | 1 Month LIBOR | High Tech Industries | 2,440 | 2,404 | 2,404 | |||||||||
Confie Seguros Holding II Co., L+975, 1.25% LIBOR Floor, 5/8/2019 | 1 Month LIBOR | Banking, Finance, Insurance & Real Estate | 4,577 | 4,471 | 4,497 | |||||||||
Conisus, LLC, L+875, 1.00% LIBOR Floor, 6/23/2021 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 11,750 | 9,868 | 9,400 | |||||||||
Drew Marine Group, Inc., L+700, 1.00% LIBOR Floor, 5/19/2021 (h)(n) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 9,500 | 9,462 | 9,500 | |||||||||
EagleTree-Carbide Acquisition Corp., L+825, 1.00% LIBOR Floor, 8/28/2025 (i) | 3 Month LIBOR | Consumer Goods: Durable | 20,000 | 19,700 | 19,800 | |||||||||
Elements Behavioral Health, Inc., L+1200, 1.00% LIBOR Floor, 2/11/2020 (r)(s) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 6,287 | 6,054 | 4,841 | |||||||||
Emerald 3 Ltd., L+700, 1.00% LIBOR Floor, 5/16/2022 (h)(n) | 3 Month LIBOR | Environmental Industries | 3,000 | 2,981 | 2,813 | |||||||||
Evergreen Skills Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022 (h)(n) | 1 Month LIBOR | High Tech Industries | 9,999 | 7,158 | 8,249 | |||||||||
Flexera Software LLC, L+700, 1.00% LIBOR Floor, 4/2/2021 (p) | 3 Month LIBOR | High Tech Industries | 9,385 | 9,166 | 9,421 | |||||||||
Genex Holdings, Inc., L+775, 1.00% LIBOR Floor, 5/30/2022 (n)(p) | 1 Month LIBOR | Services: Business | 11,410 | 11,331 | 11,324 | |||||||||
GHX Ultimate Parent Corp., L+800, 1.00% LIBOR Floor, 6/30/2025 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 13,926 | 13,517 | 13,508 | |||||||||
Global Tel*Link Corp., L+775, 1.25% LIBOR Floor, 11/23/2020 (p) | 3 Month LIBOR | Telecommunications | 9,500 | 9,492 | 9,488 | |||||||||
GOBP Holdings, Inc., L+825, 1.00% LIBOR Floor, 10/21/2022 (o) | 3 Month LIBOR | Retail | 4,000 | 4,020 | 4,045 | |||||||||
Institutional Shareholder Services Inc., L+850, 1.00% LIBOR Floor, 4/30/2022 (n) | 1 Month LIBOR | Services: Business | 10,648 | 10,543 | 10,648 | |||||||||
Medical Solutions Holdings, Inc., L+825, 1.00% LIBOR Floor, 6/16/2025 (n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 10,000 | 9,856 | 9,950 | |||||||||
Ministry Brands, LLC, L+925, 1.00% LIBOR Floor, 6/2/2023 (n) | 1 Month LIBOR | Services: Business | 7,000 | 6,902 | 7,000 | |||||||||
Ministry Brands, LLC, L+925, 1.00% LIBOR Floor, 6/2/2023 | 1 Month LIBOR | Services: Business | 292 | 292 | 292 | |||||||||
Ministry Brands, LLC, L+100, 1.00% LIBOR Floor, Unfunded, 2/22/2019 (e) | 1 Month LIBOR | Services: Business | 742 | — | — | |||||||||
Mitchell International, Inc., L+750, 1.00% LIBOR Floor, 10/11/2021 (n)(o) | 3 Month LIBOR | High Tech Industries | 14,909 | 14,533 | 15,105 | |||||||||
MSHC, Inc., L+825, 1.00% LIBOR Floor, 7/31/2024 | 2 Month LIBOR | Services: Business | 2,081 | 2,015 | 2,013 | |||||||||
Niacet Corp., E+875, 1.00% EURIBOR Floor, 8/1/2024 (h) | 3 Month EURIBOR | Chemicals, Plastics & Rubber | € | 7,489 | 7,938 | 8,671 | ||||||||
Onex Carestream Finance LP, L+850, 1.00% LIBOR Floor, 12/7/2019 (o) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 12,030 | 11,014 | 11,767 | |||||||||
Onex TSG Holdings II Corp., L+850, 1.00% LIBOR Floor, 7/31/2023 (n)(o) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 12,249 | 12,143 | 12,180 | |||||||||
Paris Presents Inc., L+875, 1.00% LIBOR Floor, 12/31/2021 (n) | 1 Month LIBOR | Consumer Goods: Durable | 3,500 | 3,435 | 3,465 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | ||||||||
Patterson Medical Supply, Inc., L+850, 1.00% LIBOR Floor, 8/28/2023 (n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 13,500 | 13,379 | 13,163 | ||||||||
PDI TA Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/25/2024 | 1 Month LIBOR | High Tech Industries | 2,500 | 2,447 | 2,447 | ||||||||
PDI TA Holdings, Inc., 0.50% Unfunded, 8/24/2018 (e) | None | High Tech Industries | 550 | — | (12 | ) | |||||||
Pelican Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021 (o) | 3 Month LIBOR | Chemicals, Plastics & Rubber | 3,469 | 3,458 | 3,469 | ||||||||
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023 (n) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 15,000 | 14,719 | 14,738 | ||||||||
PFS Holding Corp., L+725, 1.00% LIBOR Floor, 1/31/2022 (o) | 1 Month LIBOR | Retail | 4,998 | 4,680 | 4,273 | ||||||||
Premiere Global Services, Inc., L+950, 1.00% LIBOR Floor, 6/6/2022 (n) | 1 Month LIBOR | Telecommunications | 3,000 | 2,892 | 2,895 | ||||||||
PSC Industrial Holdings Corp., L+825, 1.00% LIBOR Floor, 12/5/2021 (n) | 1 Month LIBOR | Services: Business | 10,000 | 9,862 | 10,000 | ||||||||
Robertshaw US Holding Corp., L+900, 0.00% LIBOR Floor, 2/10/2025 | 1 Month LIBOR | Chemicals, Plastics & Rubber | 5,000 | 4,855 | 4,994 | ||||||||
Securus Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021 (o)(p) | 3 Month LIBOR | Telecommunications | 5,500 | 5,478 | 5,514 | ||||||||
Securus Technologies Holdings, Inc., L+825, 1.00% LIBOR Floor, 6/20/2025 (i)(p) | 1 Month LIBOR | Telecommunications | 2,942 | 2,913 | 2,968 | ||||||||
SMG, L+825, 1.00% LIBOR Floor, 2/27/2021 (n) | 1 Month LIBOR | Hotel, Gaming & Leisure | 6,142 | 6,142 | 6,126 | ||||||||
STG-Fairway Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023 (n)(o) | 3 Month LIBOR | Services: Business | 10,000 | 9,879 | 9,000 | ||||||||
Survey Sampling International, LLC, L+900, 1.00% LIBOR Floor, 12/16/2021 (n) | 3 Month LIBOR | Services: Business | 5,000 | 4,931 | 4,950 | ||||||||
TexOak Petro Holdings LLC, 8.00%, 12/29/2019 (r)(s) | None | Energy: Oil & Gas | 7,137 | 2,360 | — | ||||||||
TMK Hawk Parent, Corp., L+800, 1.00% LIBOR Floor, 8/28/2025 (n) | 3 Month LIBOR | Services: Business | 13,393 | 13,061 | 13,058 | ||||||||
TouchTunes Interactive Networks, Inc., L+825, 1.00% LIBOR Floor, 5/29/2022 (p) | 3 Month LIBOR | Hotel, Gaming & Leisure | 6,000 | 5,949 | 6,007 | ||||||||
U.S. Anesthesia Partners, Inc., L+725, 1.00% LIBOR Floor, 6/23/2025 | 1 Month LIBOR | Healthcare & Pharmaceuticals | 10,235 | 10,085 | 10,081 | ||||||||
U.S. Renal Care, Inc., L+800, 1.00% LIBOR Floor, 12/29/2023 (n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 5,000 | 4,917 | 4,875 | ||||||||
Wand Intermediate I LP, L+725, 1.00% LIBOR Floor, 9/19/2022 (n) | 3 Month LIBOR | Automotive | 16,000 | 15,875 | 16,080 | ||||||||
Winebow Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022 (n) | 1 Month LIBOR | Beverage, Food & Tobacco | 12,823 | 12,577 | 11,990 | ||||||||
Zywave Inc., L+900, 1.00% LIBOR Floor, 11/17/2023 (n) | 3 Month LIBOR | High Tech Industries | 5,000 | 4,932 | 4,988 | ||||||||
Total Senior Secured Second Lien Debt | 404,788 | 402,459 | |||||||||||
Collateralized Securities and Structured Products - Debt - 2.7% | |||||||||||||
Deutsche Bank AG Frankfurt CRAFT 2014-1 Class Credit Linked Note, L+965, 5/15/2019 (h) | 3 Month LIBOR | Diversified Financials | 4,304 | 4,304 | 4,200 | ||||||||
Deutsche Bank AG Frankfurt CRAFT 2015-2 Class Credit Linked Note, L+925, 1/16/2022 (h) | 3 Month LIBOR | Diversified Financials | 15,500 | 15,500 | 14,993 | ||||||||
Ivy Hill Middle Market Credit Fund VII, Ltd. Class E Notes, L+565, 10/20/2025 (g)(h) | 3 Month LIBOR | Diversified Financials | 2,000 | 1,887 | 1,931 | ||||||||
NXT Capital CLO 2014-1, LLC Class E Notes, L+550, 4/23/2026 (g)(h) | 3 Month LIBOR | Diversified Financials | 7,500 | 7,127 | 7,160 | ||||||||
Total Collateralized Securities and Structured Products - Debt | 28,818 | 28,284 | |||||||||||
Collateralized Securities and Structured Products - Equity - 2.8% | |||||||||||||
Anchorage Capital CLO 2012-1, Ltd. Subordinated Notes, 2.82% Estimated Yield, 1/13/2025 (h) | (f) | Diversified Financials | 4,000 | 2,621 | 2,244 | ||||||||
APIDOS CLO XVI Subordinated Notes, 11.84% Estimated Yield, 1/19/2025 (h) | (f) | Diversified Financials | 9,000 | 4,140 | 3,569 | ||||||||
CENT CLO 19 Ltd. Subordinated Notes, 6.47% Estimated Yield, 10/29/2025 (h) | (f) | Diversified Financials | 2,000 | 1,305 | 1,087 | ||||||||
Galaxy XV CLO Ltd. Class A Subordinated Notes, 4.60% Estimated Yield, 4/15/2025 (h) | (f) | Diversified Financials | 4,000 | 2,356 | 2,189 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(m) | Fair Value(c) | ||||||||||
Ivy Hill Middle Market Credit Fund VII, Ltd. Subordinated Notes, 10.40% Estimated Yield, 10/20/2025 (h) | (f) | Diversified Financials | 2,000 | 1,581 | 1,479 | ||||||||||
Ivy Hill Middle Market Credit Fund VIII, Ltd. Subordinated Loan, 10.35% Estimated Yield, 2/2/2026 (e)(h) | (f) | Diversified Financials | 10,000 | 9,857 | 9,662 | ||||||||||
Ivy Hill Middle Market Credit Fund IX, Ltd. Subordinated Notes, 14.21% Estimated Yield, 10/18/2025 (h) | (f) | Diversified Financials | 8,146 | 5,933 | 5,885 | ||||||||||
Ivy Hill Middle Market Credit Fund X, Ltd., 10.06% Estimated Yield, 7/24/2027 (h) | (f) | Diversified Financials | 4,760 | 3,744 | 3,473 | ||||||||||
Total Collateralized Securities and Structured Products - Equity | 31,537 | 29,588 | |||||||||||||
Unsecured Debt - 0.7% | |||||||||||||||
Visual Edge Technology, Inc., 12.50%, 8/31/2024 | None | Services: Business | 7,519 | 7,333 | 7,331 | ||||||||||
Total Unsecured Debt | 7,333 | 7,331 | |||||||||||||
Equity - 0.4% | |||||||||||||||
Commerce Topco, LLC (q) | Healthcare & Pharmaceuticals | 87 Units | 85 | 85 | |||||||||||
Commerce Parent, Inc. (q) | Healthcare & Pharmaceuticals | 87 Units | 87 | 87 | |||||||||||
F+W Media, Inc. (q) | Media: Diversified & Production | 31,211 Units | — | — | |||||||||||
Mooregate ITC Acquisition, LLC, Class A Units (q) | High Tech Industries | 500 Units | 563 | 450 | |||||||||||
NS NWN Acquisition, LLC (q) | High Tech Industries | 404 Units | 393 | 450 | |||||||||||
NSG Co-Invest (Bermuda) LP (h)(q) | Consumer Goods: Durable | 1,575 Units | 1,000 | 875 | |||||||||||
Spinal USA, Inc. / Precision Medical Inc., Warrants (q) | Healthcare & Pharmaceuticals | 1,551,569 Units | 853 | 853 | |||||||||||
Southcross Holdings LP, Class A-II Units (q) | Energy: Oil & Gas | 188 Units | 75 | 127 | |||||||||||
Southcross Holdings GP, LLC, Units (q) | Energy: Oil & Gas | 188 Units | — | — | |||||||||||
Speed Commerce Investment Part, LLC (q) | High Tech Industries | 629 Units | 2,640 | 900 | |||||||||||
Tenere Inc. Warrant (q) | Capital Equipment | N/A | 161 | 36 | |||||||||||
TexOak Petro Holdings LLC (q) | Energy: Oil & Gas | 60,000 Units | — | — | |||||||||||
Total Equity | 5,857 | 3,863 | |||||||||||||
Short Term Investments - 13.5%(k) | |||||||||||||||
First American Treasury Obligations Fund, Class Z Shares, 0.89% (l) | 140,810 | 140,810 | |||||||||||||
Total Short Term Investments | 140,810 | 140,810 | |||||||||||||
TOTAL INVESTMENTS - 161.6% | $ | 1,688,414 | 1,691,855 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (61.6%) | (644,668 | ) | |||||||||||||
NET ASSETS - 100% | $ | 1,047,187 |
a. | All of the Company’s investments are issued by eligible U.S. portfolio companies, as defined in the Investment Company Act of 1940, as amended, or the 1940 Act, except for investments specifically identified as non-qualifying per note h. below. The Company does not control and is not an affiliate of any of the portfolio companies in its investment portfolio. Unless specifically identified in note s. below, investments do not contain a paid-in-kind, or PIK, interest provision. |
b. | The 1, 2, 3, and 6 month London Interbank Offered Rate, or LIBOR, rates were 1.24%, 1.27%, 1.34%, and 1.51%, respectively, as of September 30, 2017. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of September 30, 2017, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to September 30, 2017. The 3 month Euro Interbank Offered Rate, or EURIBOR, rate was (0.38%) as of September 30, 2017. |
c. | Fair value determined in good faith by the Company’s board of directors (see Note 9) using significant unobservable inputs unless otherwise noted. |
d. | Denominated in U.S. dollars unless otherwise noted. |
e. | As discussed in Note 11, on September 30, 2017, the Company was committed, upon the satisfaction of certain conditions, to fund an additional $2,156, $1,111 and $992 to Studio Movie Grill Holdings, LLC, Ivy Hill Middle Market Credit Fund VIII, Ltd. and GTCR-Ultra Acquisition, Inc., respectively. On November 9, 2017, the Company was committed, upon the satisfaction of certain conditions, to fund an additional $22,800, $18,985, $3,278, $2,500, $1,865, $1,608, $1,553, $1,250, $1,188, $1,151, $1,111, $992, $815, $540, $459, $157, and $154 to DFC Global Facility Borrower II LLC, Lonestar Prospects, Ltd., Moss Holding Company, Elemica Holdings, Inc., Ministry Brands, LLC, Studio Movie Grill Holdings, LLC, Woodstream Corp., Teledoc, Inc., Island Medical Management Holdings, LLC, Visual Edge Technology, Inc., Ivy Hill Middle Market Credit Fund VIII, Ltd., GTCR-Ultra Acquisition, Inc., PDI TA Holdings, Inc., Frontline Technologies Group Holdings LLC, Covenant Surgical Partners, Inc., Accruent, LLC, and American Media, Inc., respectively. |
f. | The CLO subordinated notes are considered equity positions in the CLO vehicles and are not rated. Equity investments are entitled to recurring distributions, which are generally equal to the remaining cash flow of the payments made by the underlying vehicle's securities less contractual payments to debt holders and expenses. The estimated yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon termination. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized. |
g. | Ivy Hill Middle Market Credit Fund VII Class E Notes and NXT Capital CLO 2014-1 Class E Notes were rated Ba2 on Moody's credit scale as of September 30, 2017. |
h. | The investment or a portion thereof is not a qualifying asset under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets as defined under Section 55 of the 1940 Act. As of September 30, 2017, 89.4% of the Company’s total assets represented qualifying assets. |
i. | Position or a portion thereof unsettled as of September 30, 2017. |
j. | In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional amounts as a result of an arrangement between the Company and other lenders in the syndication in exchange for lower payment priority. |
k. | Short term investments represent an investment in a fund that invests in highly liquid investments with average original maturity dates of three months or less. |
l. | 7-day effective yield as of September 30, 2017. |
m. | Represents amortized cost for debt securities and cost for equity investments. |
n. | Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, 34th Street Funding, LLC, or 34th Street, and was pledged as collateral supporting the amounts outstanding under the credit facility with JPMorgan Chase Bank, National Association, or JPM, as of September 30, 2017 (see Note 8). |
o. | Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Flatiron Funding II, LLC, or Flatiron Funding II, and was pledged as collateral supporting the amounts outstanding under the credit facility with Citibank N.A., or Citibank, as of September 30, 2017 (see Note 8). |
p. | Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Murray Hill Funding II, LLC, or Murray Hill Funding II, and was pledged as collateral supporting the amounts outstanding under the repurchase agreement with UBS AG, or UBS, as of September 30, 2017 (see Note 8). |
q. | Non-income producing security. |
r. | Investment or a portion thereof was on non-accrual status as of September 30, 2017. |
s. | For the nine months ended September 30, 2017, the following investments contain a PIK interest provision whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities: |
Interest Rate | Interest Amount | |||||||||||||||||||
Portfolio Company | Investment Type | Cash | PIK | All-in-Rate | Cash | PIK | Total | |||||||||||||
Charming Charlie, LLC(t) | Senior Secured First Lien Debt | 7.50% | 1.50% | 9.00% | $ | 369 | $ | — | $ | 369 | ||||||||||
Elements Behavioral Health, Inc.(t) | Senior Secured Second Lien Debt | — | 13.00% | 13.00% | $ | — | $ | 365 | $ | 365 | ||||||||||
F+W Media, Inc.(t) | Senior Secured First Lien Debt | 1.50% | 10.00% | 11.50% | $ | 19 | $ | 93 | $ | 112 | ||||||||||
Petroflow Energy Corp.(t) | Senior Secured First Lien Debt | 3.00% | 6.00% | 9.00% | $ | 99 | $ | 187 | $ | 286 | ||||||||||
Rimini Street, Inc. | Senior Secured First Lien Debt | 12.00% | 3.00% | 15.00% | $ | 1,469 | $ | 403 | $ | 1,872 | ||||||||||
Sequoia Healthcare Management, LLC | Senior Secured First Lien Debt | 12.00% | 4.00% | 16.00% | $ | 531 | $ | 211 | $ | 742 | ||||||||||
Southcross Holdings Borrower LP | Senior Secured First Lien Debt | 3.50% | 5.50% | 9.00% | $ | 6 | $ | 7 | $ | 13 | ||||||||||
Spinal USA, Inc. / Precision Medical Inc. | Senior Secured First Lien Debt | — | 10.50% | 10.50% | $ | — | $ | 124 | $ | 124 | ||||||||||
TexOak Petro Holdings LLC(t) | Senior Secured Second Lien Debt | — | 8.00% | 8.00% | $ | — | $ | 314 | $ | 314 |
t. | The PIK interest portion of the investment was on non-accrual status as of September 30, 2017. |
u. | As of November 9, 2017, no interest rate option had been elected as the entire position remained unsettled. |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(p) | Fair Value(c) | |||||||||||
Senior Secured First Lien Debt - 49.0% | ||||||||||||||||
AbelConn, LLC / Atrenne Computing Solutions, LLC / Airco Industries, LLC, L+850, 1.00% LIBOR Floor, 7/17/2019(j) | 3 Month LIBOR | Aerospace & Defense | $ | 22,112 | $ | 21,702 | $ | 21,780 | ||||||||
Adams Publishing Group, LLC, L+700, 1.00% LIBOR Floor, 11/3/2020(n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 3,892 | 3,818 | 3,833 | |||||||||||
American Clinical Solutions LLC, L+950, 1.00% LIBOR Floor, 6/11/2020 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 9,034 | 8,908 | 8,492 | |||||||||||
American Media, Inc., L+750, 1.00% LIBOR Floor, 8/24/2020(n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 11,467 | 11,150 | 11,123 | |||||||||||
American Media, Inc., 0.50% Unfunded, 8/24/2020(e) | None | Media: Advertising, Printing & Publishing | 505 | (15 | ) | (15 | ) | |||||||||
American Media, Inc., 7.50%, 8/24/2020(e) | None | Media: Advertising, Printing & Publishing | 206 | (6 | ) | (6 | ) | |||||||||
American Teleconferencing Services, Ltd., L+650, 1.00% LIBOR Floor, 12/8/2021(n) | 3 Month LIBOR | Telecommunications | 19,248 | 17,475 | 18,863 | |||||||||||
AMPORTS, Inc., L+500, 1.00% LIBOR Floor, 5/19/2020(j) | 3 Month LIBOR | Automotive | 19,100 | 18,743 | 18,718 | |||||||||||
Blue Ribbon, LLC, L+400, 1.00% LIBOR Floor, 11/15/2021(i) | 3 Month LIBOR | Beverage, Food & Tobacco | 9,975 | 9,975 | 9,972 | |||||||||||
CF Entertainment Inc., L+1100, 1.00% LIBOR Floor, 6/26/2020(n) | 3 Month LIBOR | Media: Diversified & Production | 17,094 | 17,057 | 17,094 | |||||||||||
Dodge Data & Analytics, LLC / Skyline Data News and Analytics, LLC, L+875, 1.00% LIBOR Floor, 10/31/2019(n) | 3 Month LIBOR | Construction & Building | 10,387 | 10,241 | 10,218 | |||||||||||
ECI Acquisition Holdings, Inc., L+625, 1.00% LIBOR Floor, 3/11/2019(n) | 3 Month LIBOR | High Tech Industries | 8,517 | 8,493 | 8,517 | |||||||||||
Elemica, Inc., L+800, 1.00% LIBOR Floor, 7/7/2021(n) | 1 Month LIBOR | High Tech Industries | 17,413 | 17,005 | 16,977 | |||||||||||
Elemica, Inc., 0.50% Unfunded, 7/7/2021(e) | None | High Tech Industries | 2,500 | (57 | ) | (62 | ) | |||||||||
EnTrans International, LLC, L+750, 1.00% LIBOR Floor, 6/4/2020 | 3 Month LIBOR | Capital Equipment | 13,594 | 9,977 | 10,331 | |||||||||||
F+W Media, Inc., L+950, 1.25% LIBOR Floor, 6/30/2019(n) | 3 Month LIBOR | Media: Diversified & Production | 7,280 | 7,092 | 6,006 | |||||||||||
Forbes Media LLC, L+675, 1.00% LIBOR Floor, 9/12/2019(j) | 1 Month LIBOR | Media: Advertising, Printing & Publishing | 15,000 | 14,621 | 14,400 | |||||||||||
Ignite Restaurant Group, Inc., L+700, 1.00% LIBOR Floor, 2/13/2019(n) | 3 Month LIBOR | Beverage, Food & Tobacco | 10,482 | 10,400 | 10,167 | |||||||||||
Infinity Sales Group, LLC, L+1050, 1.00% LIBOR Floor, 11/21/2018(n) | 1 Month LIBOR | Services: Business | 8,214 | 7,550 | 7,372 | |||||||||||
Infogroup Inc., L+550, 1.50% LIBOR Floor, 5/26/2018(n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 15,578 | 15,277 | 15,451 | |||||||||||
InterGen N.V., L+450, 1.00% LIBOR Floor, 6/12/2020(h)(i) | 3 Month LIBOR | Energy: Electricity | 1,182 | 1,156 | 1,153 | |||||||||||
Intertain Group Ltd., L+650, 1.00% LIBOR Floor, 4/8/2022(h)(n) | 3 Month LIBOR | Hotel, Gaming & Leisure | 1,765 | 1,736 | 1,780 | |||||||||||
Ipsen International GmbH, L+800, 1.00% LIBOR Floor, 9/30/2019(h)(j) | 1 Month LIBOR | Capital Equipment | 1,422 | 1,429 | 1,429 | |||||||||||
Ipsen, Inc., L+700, 1.00% LIBOR Floor, 9/30/2019(j) | 1 Month LIBOR | Capital Equipment | 8,095 | 8,002 | 8,035 | |||||||||||
ITC Service Group Acquisition LLC, L+950, 0.50% LIBOR Floor, 5/26/2021(j) | 1 Month LIBOR | High Tech Industries | 11,250 | 11,035 | 11,081 | |||||||||||
KPC Health Care, Inc., L+925, 1.00% LIBOR Floor, 8/28/2020(n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 7,544 | 7,401 | 7,809 | |||||||||||
Labvantage Solutions Inc., L+800, 1.00% LIBOR Floor, 12/29/2020(n) | 3 Month LIBOR | High Tech Industries | 4,875 | 4,829 | 4,863 | |||||||||||
Labvantage Solutions Ltd., E+800, 1.00% EURIBOR Floor, 12/29/2020(h) | 3 Month EURIBOR | High Tech Industries | € | 4,495 | 5,005 | 4,728 | ||||||||||
Lift Brands, Inc., L+800, 1.00% LIBOR Floor, 12/23/2019(n) | 3 Month LIBOR | Services: Consumer | 9,548 | 9,438 | 9,477 | |||||||||||
Ministry Brands, LLC, L+500, 1.00% LIBOR Floor, 12/2/2022(e) | 3 Month LIBOR | Services: Business | 9,994 | 9,587 | 9,894 | |||||||||||
Nathan's Famous Inc., 10.00%, 3/15/2020(h)(n) | None | Beverage, Food & Tobacco | 6,000 | 6,000 | 6,540 | |||||||||||
Nextech Systems, LLC, L+725, 1.00% LIBOR Floor, 6/22/2021(j)(n) | 1 Month LIBOR | High Tech Industries | 15,642 | 15,062 | 15,330 | |||||||||||
NWN Acquisition Holding Company LLC, L+1000, 1.00% LIBOR Floor, 10/16/2020(j) | 3 Month LIBOR | High Tech Industries | 13,717 | 13,357 | 13,271 | |||||||||||
Pacific Coast Holding Investment LLC, L+970, 2.00% LIBOR Floor, 2/14/2017 | 1 Month LIBOR | Healthcare & Pharmaceuticals | 5,250 | 5,242 | 5,250 | |||||||||||
Petroflow Energy Corporation, L+800, 1.00% LIBOR Floor, 6/29/2019(q) | 3 Month LIBOR | Energy: Oil & Gas | 4,895 | 4,618 | 4,601 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(p) | Fair Value(c) | ||||||||
Plano Molding Company, LLC, L+700, 1.00% LIBOR Floor, 5/12/2021(n) | 2 Month LIBOR | Consumer Goods: Non-Durable | 8,840 | 8,772 | 8,611 | ||||||||
Rimini Street, Inc., 15.00%, 6/24/2020(m)(q) | None | High Tech Industries | 19,822 | 19,556 | 19,426 | ||||||||
Sequoia Healthcare Management, LLC, 16.00%, 7/17/2019(n)(q) | None | Healthcare & Pharmaceuticals | 6,511 | 6,405 | 6,397 | ||||||||
Shift PPC LLC, L+600, 1.00% LIBOR Floor, 12/22/2021 | 3 Month LIBOR | High Tech Industries | 9,500 | 9,266 | 9,265 | ||||||||
SmartBear Software Inc., L+750, 1.00% LIBOR Floor, 12/30/2020(n) | 3 Month LIBOR | High Tech Industries | 18,588 | 18,271 | 18,727 | ||||||||
Southcross Holdings Borrower LP, 9.00%, 4/13/2023(q) | None | Energy: Oil & Gas | 172 | 151 | 135 | ||||||||
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 1/21/2020(n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 12,281 | 12,194 | 12,158 | ||||||||
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 7/21/2020(q) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 128 | 126 | 127 | ||||||||
Sprint Industrial Holdings, LLC, L+575, 1.25% LIBOR Floor, 5/14/2019(n) | 3 Month LIBOR | Energy: Oil & Gas | 7,306 | 6,849 | 5,406 | ||||||||
Studio Movie Grill Holdings, LLC, L+725, 1.00% LIBOR Floor, 9/30/2020(e)(n) | 1 Month LIBOR | Hotel, Gaming & Leisure | 15,143 | 15,004 | 15,143 | ||||||||
Telestream Holdings Corp., L+677, 1.00% LIBOR Floor, 1/15/2020(j)(n) | 3 Month LIBOR | High Tech Industries | 7,154 | 7,027 | 7,011 | ||||||||
Tenere Inc., L+1000, 1.00% LIBOR Floor, 12/23/2021 | 3 Month LIBOR | Capital Equipment | 32,000 | 31,219 | 31,199 | ||||||||
Therapure Biopharma Inc., L+875, 0.50% LIBOR Floor, 12/1/2021(h) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 15,000 | 14,925 | 14,925 | ||||||||
WD Wolverine Holdings, LLC, L+550, 1.00% LIBOR Floor, 10/17/2023(i) | 1 Month LIBOR | Healthcare & Pharmaceuticals | 2,000 | 1,960 | 1,946 | ||||||||
Worley Claims Services, LLC, L+800, 1.00% LIBOR Floor, 10/31/2020(n) | 1 Month LIBOR | Services: Business | 20,115 | 19,925 | 20,015 | ||||||||
Zywave Inc., L+500, 1.00% LIBOR Floor, 11/17/2022 | 3 Month LIBOR | High Tech Industries | 5,000 | 4,951 | 4,950 | ||||||||
Total Senior Secured First Lien Debt | 489,904 | 489,913 | |||||||||||
Senior Secured Second Lien Debt - 43.4% | |||||||||||||
ABG Intermediate Holdings 2 LLC, L+850, 1.00% LIBOR Floor, 5/27/2022(e)(m)(n) | 3 Month LIBOR | Retail | 18,666 | 18,365 | 18,852 | ||||||||
Access CIG, LLC, L+875, 1.00% LIBOR Floor, 10/17/2022(m) | 3 Month LIBOR | Services: Business | 16,030 | 15,460 | 15,549 | ||||||||
ALM Media, LLC, L+800, 1.00% LIBOR Floor, 7/30/2021(n) | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 10,344 | 10,205 | 9,568 | ||||||||
American Residential Services LLC, L+800, 1.00% LIBOR Floor, 12/31/2021(n) | 3 Month LIBOR | Construction & Building | 4,933 | 4,889 | 4,983 | ||||||||
AmWINS Group, LLC, L+850, 1.00% LIBOR Floor, 9/4/2020(n) | 1 Month LIBOR | Banking, Finance, Insurance & Real Estate | 3,825 | 3,852 | 3,878 | ||||||||
Confie Seguros Holding II Co., L+900, 1.25% LIBOR Floor, 5/8/2019 | 1 Month LIBOR | Banking, Finance, Insurance & Real Estate | 13,827 | 13,365 | 13,758 | ||||||||
Conisus, LLC, L+875, 1.00% LIBOR Floor, 6/23/2021 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 11,750 | 9,604 | 9,517 | ||||||||
Drew Marine Group, Inc., L+700, 1.00% LIBOR Floor, 5/19/2021(h) | 3 Month LIBOR | Chemicals, Plastics & Rubber | 9,500 | 9,460 | 9,120 | ||||||||
EISI LLC, L+850, 1.00% LIBOR Floor, 9/23/2020(m)(n) | 3 Month LIBOR | High Tech Industries | 20,000 | 19,761 | 19,400 | ||||||||
Elements Behavioral Health, Inc., L+1200, 1.00% LIBOR Floor, 2/11/2020(q) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 5,701 | 5,668 | 4,561 | ||||||||
Emerald 3 Ltd., L+700, 1.00% LIBOR Floor, 5/16/2022(h)(n) | 3 Month LIBOR | Environmental Industries | 3,000 | 2,978 | 2,595 | ||||||||
Flexera Software LLC, L+700, 1.00% LIBOR Floor, 4/2/2021 | 1 Month LIBOR | High Tech Industries | 9,385 | 9,128 | 9,291 | ||||||||
Genex Holdings, Inc., L+775, 1.00% LIBOR Floor, 5/30/2022(n) | 1 Month LIBOR | Services: Business | 11,410 | 11,331 | 11,011 | ||||||||
Global Tel*Link Corp., L+775, 1.25% LIBOR Floor, 11/23/2020 | 3 Month LIBOR | Telecommunications | 9,500 | 9,488 | 9,254 | ||||||||
Infiltrator Water Technologies, LLC, L+875, 1.00% LIBOR Floor, 5/26/2023(n) | 3 Month LIBOR | Construction & Building | 13,917 | 13,732 | 13,986 | ||||||||
Institutional Shareholder Services Inc., L+850, 1.00% LIBOR Floor, 4/30/2022(i)(n) | 2 Month LIBOR | Services: Business | 10,648 | 10,534 | 10,542 | ||||||||
Mergermarket USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022(n) | 3 Month LIBOR | Services: Business | 3,380 | 3,328 | 3,304 | ||||||||
Ministry Brands, LLC, L+925, 1.00% LIBOR Floor, 6/2/2023(e) | 3 Month LIBOR | Services: Business | 5,488 | 5,385 | 5,406 | ||||||||
Mississippi Sand, LLC, L+1000, 1.00% LIBOR Floor, 11/21/2019 | 3 Month LIBOR | Metals & Mining | 13,196 | 10,899 | 11,349 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(p) | Fair Value(c) | ||||||||
Mitchell International, Inc., L+750, 1.00% LIBOR Floor, 10/11/2021(m)(n) | 1 Month LIBOR | High Tech Industries | 14,909 | 14,476 | 14,825 | ||||||||
MSC.Software Corp., L+750, 1.00% LIBOR Floor, 6/1/2021(m) | 3 Month LIBOR | High Tech Industries | 15,000 | 14,832 | 15,019 | ||||||||
MWI Holdings, Inc., L+925, 1.00% LIBOR Floor, 12/28/2020(n) | 3 Month LIBOR | Construction & Building | 10,000 | 9,773 | 9,950 | ||||||||
Navex Global, Inc., L+875, 1.00% LIBOR Floor, 11/18/2022(m)(n) | 12 Month LIBOR | High Tech Industries | 16,245 | 16,031 | 15,920 | ||||||||
Onex TSG Holdings II Corp., L+850, 1.00% LIBOR Floor, 7/31/2023(n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 12,249 | 12,136 | 12,065 | ||||||||
Patterson Medical Supply, Inc., L+850, 1.00% LIBOR Floor, 8/28/2023(n) | 2 Month LIBOR | Healthcare & Pharmaceuticals | 13,500 | 13,378 | 13,095 | ||||||||
Pelican Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021(m) | 3 Month LIBOR | Chemicals, Plastics & Rubber | 3,469 | 3,478 | 3,396 | ||||||||
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023(n) | 1 Month LIBOR | Chemicals, Plastics & Rubber | 15,000 | 14,729 | 14,737 | ||||||||
PetVet Care Centers, LLC, L+850, 1.00% LIBOR Floor, 6/17/2021 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 13,500 | 13,097 | 13,095 | ||||||||
Pike Corp., L+850, 1.00% LIBOR Floor, 6/22/2022(n) | 1 Month LIBOR | Energy: Electricity | 12,500 | 12,354 | 12,562 | ||||||||
Premiere Global Services, Inc., L+950, 1.00% LIBOR Floor, 6/6/2022 | 3 Month LIBOR | Telecommunications | 3,000 | 2,882 | 2,895 | ||||||||
PSC Industrial Holdings Corp., L+825, 1.00% LIBOR Floor, 12/5/2021(n) | 3 Month LIBOR | Services: Business | 10,000 | 9,842 | 9,450 | ||||||||
Securus Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021 | 3 Month LIBOR | Telecommunications | 4,500 | 4,479 | 4,399 | ||||||||
SMG, L+825, 1.00% LIBOR Floor, 2/27/2021(n) | 3 Month LIBOR | Hotel, Gaming & Leisure | 6,142 | 6,142 | 6,126 | ||||||||
Sterling Midco Holdings, Inc., L+775, 1.00% LIBOR Floor, 6/19/2023(n) | 3 Month LIBOR | Services: Business | 10,462 | 10,432 | 10,226 | ||||||||
STG-Fairway Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023(n) | 3 Month LIBOR | Services: Business | 10,000 | 9,869 | 9,400 | ||||||||
Survey Sampling International, LLC, L+900, 1.00% LIBOR Floor, 12/16/2021(m) | 3 Month LIBOR | Services: Business | 15,000 | 14,763 | 14,700 | ||||||||
Telecommunications Management, LLC, L+800, 1.00% LIBOR Floor, 10/30/2020(n) | 3 Month LIBOR | Media: Broadcasting & Subscription | 1,606 | 1,573 | 1,564 | ||||||||
TexOak Petro Holdings LLC, 8.00%, 12/29/2019(q) | None | Energy: Oil & Gas | 6,728 | 1,549 | 2,590 | ||||||||
TMK Hawk Parent, Corp., L+750, 1.00% LIBOR Floor, 10/1/2022(n) | 3 Month LIBOR | Beverage, Food & Tobacco | 15,000 | 14,880 | 14,925 | ||||||||
TouchTunes Interactive Networks, Inc., L+825, 1.00% LIBOR Floor, 5/29/2022 | 3 Month LIBOR | Hotel, Gaming & Leisure | 6,000 | 5,943 | 5,925 | ||||||||
U.S. Renal Care, Inc., L+800, 1.00% LIBOR Floor, 12/29/2023(n) | 3 Month LIBOR | Healthcare & Pharmaceuticals | 10,000 | 9,819 | 8,900 | ||||||||
Wand Intermediate I LP, L+725, 1.00% LIBOR Floor, 9/19/2022(n) | 3 Month LIBOR | Automotive | 16,000 | 15,881 | 15,680 | ||||||||
Winebow Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022(n) | 1 Month LIBOR | Beverage, Food & Tobacco | 12,823 | 12,544 | 12,054 | ||||||||
Zywave Inc., L+900, 1.00% LIBOR Floor, 11/17/2023 | 3 Month LIBOR | High Tech Industries | 5,000 | 4,926 | 4,925 | ||||||||
Total Senior Secured Second Lien Debt | 437,240 | 434,347 | |||||||||||
Collateralized Securities and Structured Products - Debt - 3.8% | |||||||||||||
Deutsche Bank AG Frankfurt CRAFT 2013-1A Class Credit Linked Note, L+925, 4/17/2020(h) | 3 Month LIBOR | Diversified Financials | 2,000 | 2,022 | 1,980 | ||||||||
Deutsche Bank AG Frankfurt CRAFT 2013-1X Class Credit Linked Note, L+925, 4/17/2020(h) | 3 Month LIBOR | Diversified Financials | 610 | 616 | 604 | ||||||||
Deutsche Bank AG Frankfurt CRAFT 2014-1 Class Credit Linked Note, L+965, 5/15/2019(h) | 3 Month LIBOR | Diversified Financials | 5,400 | 5,400 | 5,292 | ||||||||
Deutsche Bank AG Frankfurt CRAFT 2015-2 Class Credit Linked Note, L+925, 1/16/2022(h) | 3 Month LIBOR | Diversified Financials | 15,500 | 15,500 | 14,880 | ||||||||
Great Lakes CLO 2014-1, Ltd. Class E Notes, L+525, 4/15/2025(g)(h) | 3 Month LIBOR | Diversified Financials | 5,000 | 4,615 | 4,484 | ||||||||
Ivy Hill Middle Market Credit Fund VII, Ltd. Class E Notes, L+565, 10/20/2025(g)(h) | 3 Month LIBOR | Diversified Financials | 2,000 | 1,879 | 1,799 | ||||||||
JFIN CLO 2014, Ltd. Class E Notes, L+500, 4/20/2025(g)(h) | 3 Month LIBOR | Diversified Financials | 2,500 | 2,345 | 2,303 | ||||||||
NXT Capital CLO 2014-1, LLC Class E Notes, L+550, 4/23/2026(g)(h) | 3 Month LIBOR | Diversified Financials | 7,500 | 7,094 | 6,772 | ||||||||
Total Collateralized Securities and Structured Products - Debt | 39,471 | 38,114 |
Portfolio Company(a) | Index Rate(b) | Industry | Principal/ Par Amount/ Units(d) | Cost(p) | Fair Value(c) | |||||||||
Collateralized Securities and Structured Products - Equity - 3.5% | ||||||||||||||
Anchorage Capital CLO 2012-1, Ltd. Subordinated Notes, 4.57% Estimated Yield, 1/13/2025(h) | (f) | Diversified Financials | 4,000 | 2,882 | 2,622 | |||||||||
APIDOS CLO XVI Subordinated Notes, 3.28% Estimated Yield, 1/19/2025(h) | (f) | Diversified Financials | 9,000 | 4,704 | 3,099 | |||||||||
CENT CLO 19 Ltd. Subordinated Notes, 8.68% Estimated Yield, 10/29/2025(h) | (f) | Diversified Financials | 2,000 | 1,330 | 1,182 | |||||||||
Dryden XXIII Senior Loan Fund Subordinated Notes, 1.40% Estimated Yield, 7/17/2023(h) | (f) | Diversified Financials | 9,250 | 4,726 | 4,135 | |||||||||
Galaxy XV CLO Ltd. Class A Subordinated Notes, 8.72% Estimated Yield, 4/15/2025(h) | (f) | Diversified Financials | 4,000 | 2,424 | 2,323 | |||||||||
Ivy Hill Middle Market Credit Fund VII, Ltd. Subordinated Notes, 8.80% Estimated Yield, 10/20/2025(h) | (f) | Diversified Financials | 2,000 | 1,654 | 1,478 | |||||||||
Ivy Hill Middle Market Credit Fund VIII, Ltd. Subordinated Loan, 10.35% Estimated Yield, 2/2/2026(e)(h) | (f) | Diversified Financials | 10,000 | 9,940 | 9,773 | |||||||||
Ivy Hill Middle Market Credit Fund IX, Ltd. Subordinated Notes, 14.59% Estimated Yield, 10/18/2025(h) | (f) | Diversified Financials | 8,146 | 6,106 | 6,239 | |||||||||
Ivy Hill Middle Market Credit Fund X, Ltd. Subordinated Notes, 11.50% Estimated Yield, 7/24/2027(h) | (f) | Diversified Financials | 4,760 | 3,947 | 3,797 | |||||||||
Total Collateralized Securities and Structured Products - Equity | 37,713 | 34,648 | ||||||||||||
Unsecured Debt - 1.7% | ||||||||||||||
American Tire Distributors, Inc., 10.25%, 3/1/2022 | None | Automotive | 5,000 | 4,871 | 4,794 | |||||||||
Flex Acquisition Company, Inc., L+700, 1.00% LIBOR Floor, 12/29/2017 | 1 Month LIBOR | Containers, Packaging & Glass | 3,833 | 3,814 | 3,845 | |||||||||
Radio One, Inc., 9.25%, 2/15/2020 | None | Media: Broadcasting & Subscription | 9,000 | 8,605 | 8,212 | |||||||||
Total Unsecured Debt | 17,290 | 16,851 | ||||||||||||
Equity - 0.5% | ||||||||||||||
Mooregate ITC Acquisition, LLC, Class A Units(o) | High Tech Industries | 500 Units | 563 | 538 | ||||||||||
NS NWN Acquisition, LLC(o) | High Tech Industries | 346 Units | 393 | 337 | ||||||||||
NSG Co-Invest (Bermuda), LP(h)(o) | Consumer Goods: Durable | 1,575 Units | 1,000 | 1,000 | ||||||||||
Southcross Holdings GP, LLC, Units(o) | Energy: Oil & Gas | 188 Units | — | — | ||||||||||
Southcross Holdings LP, Class A-II Units(o) | Energy: Oil & Gas | 188 Units | 75 | 71 | ||||||||||
Speed Commerce Investment Part, LLC(o) | High Tech Industries | 629 Units | 2,640 | 3,000 | ||||||||||
Tenere Inc. Warrant(o) | Capital Equipment | N/A | 161 | 161 | ||||||||||
TexOak Petro Holdings, LLC(o) | Energy: Oil & Gas | 60,000 Units | — | — | ||||||||||
Total Equity | 4,832 | 5,107 | ||||||||||||
Short Term Investments - 7.1%(k) | ||||||||||||||
First American Treasury Obligations Fund, Class Z Shares, 0.39%(l) | 70,498 | 70,498 | ||||||||||||
Total Short Term Investments | 70,498 | 70,498 | ||||||||||||
TOTAL INVESTMENTS - 109.0% | $ | 1,096,948 | 1,089,478 | |||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.0%) | (89,715 | ) | ||||||||||||
NET ASSETS - 100% | $ | 999,763 |
Counterparty | Instrument | Maturity Date | Notional Amount (d) | Cost(p) | Fair Value(c) | |||||||||||
Derivative Asset - 0.0% | ||||||||||||||||
Credit Default Swap | ||||||||||||||||
JPMorgan Chase Bank, N.A. | Deutsche Bank AG Credit Default Swap | 3/20/2017 | € | 22,000 | $ | 229 | $ | 46 | ||||||||
Derivative Liability - (1.5%) | ||||||||||||||||
Total Return Swap | ||||||||||||||||
Citibank, N.A. | See Note 7 | 2/18/2017 | $ | 407,847 | N/A | $ | (15,402 | ) |
a. | All of the Company’s investments are issued by eligible U.S. portfolio companies, as defined in the 1940 Act, except for investments specifically identified as non-qualifying per note h. below. The Company does not control and is not an affiliate of any of the portfolio companies in its investment portfolio. Unless specifically identified in note q. below, investments do not contain a PIK interest provision. |
b. | The 1, 2, 3 and 12 month LIBOR rates were 0.77%, 0.82%, 1.00% and 1.69%, respectively, as of December 31, 2016. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of December 31, 2016, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to December 31, 2016. The 3 month EURIBOR rate was (0.34%) as of December 31, 2016. |
c. | Fair value determined in good faith by the Company’s board of directors (see Note 9) using significant unobservable inputs unless otherwise noted. |
d. | Denominated in U.S. dollars unless otherwise noted. |
e. | As discussed in Note 11, the Company was committed, upon the satisfaction of certain conditions, to fund an additional $1,119, $711, $2,500, $1,111, $5,274 and $4,127 as of December 31, 2016 to ABG Intermediate Holdings 2 LLC, American Media, Inc., Elemica Holdings, Inc., Ivy Hill Middle Market Credit Fund VIII, Ltd., Ministry Brands, LLC and Studio Movie Grill Holdings, LLC, respectively. As of March 9, 2017, the Company was committed, upon the satisfaction of certain conditions, to fund an additional $1,119, $415, $10,000, $2,500, $1,111 and $4,127 to ABG Intermediate Holdings 2 LLC, American Media, Inc., CF Entertainment Inc., Elemica Holdings, Inc., Ivy Hill Middle Market Credit Fund VIII, Ltd. and Studio Movie Grill Holdings, LLC, respectively. |
f. | The CLO subordinated notes are considered equity positions in the CLO vehicles and are not rated. Equity investments are entitled to recurring distributions, which are generally equal to the remaining cash flow of the payments made by the underlying vehicle's securities less contractual payments to debt holders and expenses. The estimated yield indicated is based upon a current projection of the amount and timing of these recurring distributions and the estimated amount of repayment of principal upon termination. Such projections are periodically reviewed and adjusted, and the estimated yield may not ultimately be realized. |
g. | Great Lakes CLO 2014-1 Class E Notes, Ivy Hill Middle Market Credit Fund VII Class E Notes and NXT Capital CLO 2014-1 Class E Notes were rated Ba2 on Moody's credit scale as of December 31, 2016. JFIN CLO 2014 Class E Notes were rated BB on S&P's credit scale as of December 31, 2016. |
h. | The investment is not a qualifying asset under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets as defined under Section 55 of the 1940 Act. As of December 31, 2016, 90.5% of the Company’s total assets represented qualifying assets. In addition, as described in Note 7, the Company calculates its compliance with the qualifying asset test on a “look through” basis by treating each loan underlying the total return swap as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 89.1% of the Company’s total assets represented qualifying assets as of December 31, 2016. |
i. | Position or a portion thereof unsettled as of December 31, 2016. |
j. | In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional amounts as a result of an arrangement between the Company and other lenders in the syndication in exchange for lower payment priority. |
k. | Short term investments represent an investment in a fund that invests in highly liquid investments with average original maturity dates of three months or less. |
l. | 7-day effective yield as of December 31, 2016. |
m. | Investment or a portion thereof was pledged as collateral supporting the amounts outstanding, if any, under the revolving credit facility with East West Bank as of December 31, 2016 (see Note 8). |
n. | Investment or a portion thereof held within 34th Street and was pledged as collateral supporting the amounts outstanding under the credit facility with JPM as of December 31, 2016 (see Note 8). |
o. | Non-income producing security. |
p. | Represents amortized cost for debt investments, cost for equity investments and premium paid for derivatives. |
q. | For the year ended December 31, 2016, the following investments contain a PIK interest provision whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities: |
Interest Rate | Interest Amount | |||||||||||||||||||
Portfolio Company | Investment Type | Cash | PIK | All-in-Rate | Cash | PIK | Total | |||||||||||||
Elements Behavioral Health, Inc. | Senior Secured Second Lien Debt | — | 13.00% | 13.00% | $ | — | $ | 700 | $ | 700 | ||||||||||
Petroflow Energy Corp. | Senior Secured First Lien Debt | 3.00% | 6.00% | 9.00% | $ | 14 | $ | 99 | $ | 113 | ||||||||||
Rimini Street, Inc. | Senior Secured First Lien Debt | 12.00% | 3.00% | 15.00% | $ | 1,286 | $ | 164 | $ | 1,450 | ||||||||||
Sequoia Healthcare Management, LLC | Senior Secured First Lien Debt | 12.00% | 4.00% | 16.00% | $ | 206 | $ | 68 | $ | 274 | ||||||||||
Smile Brands Group, Inc.(r) | Senior Secured First Lien Debt | 7.50% | 1.50% | 9.00% | $ | 187 | $ | 34 | $ | 221 | ||||||||||
Southcross Holdings Borrower LP(s) | Senior Secured First Lien Debt | 3.50% | 5.50% | 9.00% | $ | 2 | $ | 6 | $ | 8 | ||||||||||
Spinal USA, Inc. / Precision Medical Inc. | Senior Secured First Lien Debt | — | 10.50% | 10.50% | $ | — | $ | 3 | $ | 3 | ||||||||||
TexOak Petro Holdings LLC | Senior Secured Second Lien Debt | — | 8.00% | 8.00% | $ | — | $ | 181 | $ | 181 |
r. | Outstanding principal and accrued interest of the underlying loan was fully repaid on August 17, 2016. |
s. | Prior to December 31, 2016, the underlying loan was assigned to the Company and removed from the TRS. |
Level 1 - | Quoted prices in active markets for identical assets or liabilities, accessible by the Company at the measurement date. |
Level 2 - | Quoted prices for similar assets or liabilities in active markets, or quoted prices for identical or similar assets or liabilities in markets that are not active, or other observable inputs other than quoted prices. |
Level 3 - | Unobservable inputs for the asset or liability. The inputs used in the determination of fair value may require significant management judgment or estimation. Such information may be the result of consensus pricing information or broker quotes that include a disclaimer that the broker would not be held to such a price in an actual transaction. The non-binding nature of consensus pricing and/or quotes accompanied by the disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence. |
i. | Market comparable statistics and public trading multiples discounted for illiquidity, minority ownership and other factors for companies with similar characteristics. |
ii. | Valuations implied by third-party investments in the applicable portfolio companies. |
iii. | Discounted cash flow analysis, including a terminal value or exit multiple. |
• | the size and scope of a portfolio company and its specific strengths and weaknesses; |
• | prevailing interest rates for like securities; |
• | expected volatility in future interest rates; |
• | leverage; |
• | call features, put features and other relevant terms of the debt; |
• | the borrower’s ability to adequately service its debt; |
• | the fair market value of the portfolio company in relation to the face amount of its outstanding debt; |
• | the quality of collateral securing the Company’s debt investments; |
• | multiples of earnings before interest, taxes, depreciation and amortization, or EBITDA, cash flows, net income, revenues or, in some cases, book value or liquidation value; and |
• | other factors deemed applicable. |
Nine Months Ended September 30, | |||||||||||||
2017 | 2016 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Gross shares/proceeds from the offering | 4,718,559 | $ | 44,940 | 2,173,945 | $ | 21,017 | |||||||
Reinvestment of distributions | 3,251,250 | 29,701 | 3,328,161 | 29,179 | |||||||||
Total gross shares/proceeds | 7,969,809 | 74,641 | 5,502,106 | 50,196 | |||||||||
Sales commissions and dealer manager fees | — | (1,713 | ) | — | (1,739 | ) | |||||||
Net shares/proceeds | 7,969,809 | 72,928 | 5,502,106 | 48,457 | |||||||||
Share repurchase program | (3,316,625 | ) | (30,167 | ) | (1,396,392 | ) | (12,231 | ) | |||||
Net shares/proceeds from share transactions | 4,653,184 | $ | 42,761 | 4,105,714 | $ | 36,226 |
Approval Date | Effective Date | New Offering Price Per Share | ||
December 28, 2012 | January 2, 2013 | $10.04 | ||
January 31, 2013 | February 1, 2013 | $10.13 | ||
March 14, 2013 | March 18, 2013 | $10.19 | ||
May 15, 2013 | May 16, 2013 | $10.24 | ||
August 15, 2013 | August 16, 2013 | $10.32 | ||
February 4, 2014 | February 5, 2014 | $10.45 | ||
October 6, 2015 | October 7, 2015 | $10.20 | ||
November 24, 2015 | November 25, 2015 | $10.05 | ||
December 22, 2015 | December 23, 2015 | $9.95 | ||
March 8, 2016 | March 9, 2016 | $9.40 | ||
March 15, 2016 | March 16, 2016 | $9.45 | ||
March 22, 2016 | March 23, 2016 | $9.50 | ||
March 29, 2016 | March 30, 2016 | $9.55 | ||
April 5, 2016 | April 6, 2016 | $9.60 | ||
April 26, 2016 | April 27, 2016 | $9.65 | ||
May 3, 2016 | May 4, 2016 | $9.70 | ||
May 10, 2016 | May 11, 2016 | $9.75 | ||
May 31, 2016 | June 1, 2016 | $9.80 | ||
July 19, 2016 | July 20, 2016 | $9.85 | ||
July 26, 2016 | July 27, 2016 | $9.90 | ||
August 9, 2016 | August 10, 2016 | $9.95 | ||
August 23, 2016 | August 24, 2016 | $10.00 | ||
October 4, 2016 | October 5, 2016 | $10.05 | ||
October 11, 2016 | October 12, 2016 | $10.10 | ||
January 3, 2017 | January 4, 2017 | $9.57(1) | ||
January 24, 2017 | January 25, 2017 | $9.60 | ||
March 7, 2017 | March 8, 2017 | $9.65 | ||
August 22, 2017 | August 23, 2017 | $9.70 |
(1) | On December 28, 2016, the Company entered into an amended and restated follow-on dealer manager agreement pursuant to which, among other things, the dealer manager fee was reduced to up to 2% and selling commissions were reduced to up to 3%. As a result, the Company adjusted its public offering price from $10.10 per share to $9.57 per share in order to maintain its net offering price of $9.09 per share (net of selling commissions and dealer manager fees). |
Three Months Ended | Repurchase Date | Shares Repurchased | Percentage of Shares Tendered That Were Repurchased | Repurchase Price Per Share | Aggregate Consideration for Repurchased Shares | ||||||||||
March 31, 2017 | January 4, 2017 | 814,223 | 100 | % | 9.05 | $ | 7,370 | ||||||||
June 30, 2017 | April 5, 2017 | 1,137,234 | 100 | % | 9.12 | 10,372 | |||||||||
September 30, 2017 | July 5, 2017 | 1,365,168 | 100 | % | 9.10 | 12,425 | |||||||||
Total | 3,316,625 | $ | 30,167 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||
Entity | Capacity | Description | 2017 | 2016 | 2017 | 2016 | ||||||||||||||
CION Securities, LLC | Dealer manager | Dealer manager fees(1) | $ | 290 | $ | 331 | $ | 782 | $ | 588 | ||||||||||
CIM | Investment adviser | Management fees(2) | 7,820 | 5,187 | 21,724 | 14,311 | ||||||||||||||
ICON Capital, LLC | Administrative services provider | Administrative services expense(2) | 433 | 425 | 1,204 | 1,151 | ||||||||||||||
CIG | Sponsor | Recoupment of expense support(2) | — | — | — | 667 | ||||||||||||||
$ | 8,543 | $ | 5,943 | $ | 23,710 | $ | 16,717 |
(1) | Amounts charged directly to equity. |
(2) | Amounts charged directly to operations. |
Distributions | ||||||||
Three Months Ended | Per Share | Amount | ||||||
2016 | ||||||||
March 31, 2016 (thirteen record dates) | $ | 0.1829 | $ | 19,004 | ||||
June 30, 2016 (thirteen record dates) | 0.1829 | 19,167 | ||||||
September 30, 2016 (thirteen record dates) | 0.1829 | 19,480 | ||||||
December 31, 2016 (thirteen record dates) | 0.1829 | 19,808 | ||||||
Total distributions for the year ended December 31, 2016 | $ | 0.7316 | $ | 77,459 | ||||
2017 | ||||||||
March 31, 2017 (thirteen record dates) | $ | 0.1829 | $ | 20,123 | ||||
June 30, 2017 (thirteen record dates) | 0.1829 | 20,371 | ||||||
September 30, 2017 (thirteen record dates) | 0.1829 | 20,644 | ||||||
Total distributions for the nine months ended September 30, 2017 | $ | 0.5487 | $ | 61,138 |
Record Date | Payment Date | Distribution Amount Per Share | ||
October 3, 2017 | November 1, 2017 | $0.014067 | ||
October 10, 2017 | November 1, 2017 | $0.014067 | ||
October 17, 2017 | November 1, 2017 | $0.014067 | ||
October 24, 2017 | November 1, 2017 | $0.014067 | ||
October 31, 2017 | November 1, 2017 | $0.014067 | ||
November 7, 2017 | November 29, 2017 | $0.014067 | ||
November 14, 2017 | November 29, 2017 | $0.014067 | ||
November 21, 2017 | November 29, 2017 | $0.014067 | ||
November 28, 2017 | November 29, 2017 | $0.014067 | ||
December 5, 2017 | December 27, 2017 | $0.014067 | ||
December 12, 2017 | December 27, 2017 | $0.014067 | ||
December 19, 2017 | December 27, 2017 | $0.014067 | ||
December 26, 2017 | December 27, 2017 | $0.014067 |
Nine Months Ended September 30, | ||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||
Source of Distribution | Per Share | Amount | Percentage | Per Share | Amount | Percentage | ||||||||||||||||
Net investment income | $ | 0.4953 | $ | 55,191 | 90.3 | % | $ | 0.3021 | $ | 31,744 | 55.1 | % | ||||||||||
Net realized gain on total return swap | ||||||||||||||||||||||
Net interest and other income from TRS portfolio | 0.0329 | 3,661 | 6.0 | % | 0.2131 | 22,386 | 38.8 | % | ||||||||||||||
Net gain on TRS loan sales(1) | 0.0205 | 2,286 | 3.7 | % | 0.0232 | 2,443 | 4.2 | % | ||||||||||||||
Net realized gain on investments and foreign currency | — | — | — | 0.0103 | 1,078 | 1.9 | % | |||||||||||||||
Total distributions | $ | 0.5487 | $ | 61,138 | 100.0 | % | $ | 0.5487 | $ | 57,651 | 100.0 | % |
(1) | During the nine months ended September 30, 2017, the Company realized losses on TRS loans of $19,736 primarily due to the purchase of loans by Flatiron Funding II, LLC in connection with the TRS refinancing that were previously held in the TRS and are not currently deductible on a tax-basis. See Note 8 for an additional discussion regarding this purchase. During the nine months ended September 30, 2016, the Company realized losses on TRS loans of $1,030, which are not currently deductible on a tax-basis. |
December 31, 2016 | |||
Undistributed ordinary income | $ | 3,847 | |
Undistributed long term capital gains | 924 | ||
Net unrealized depreciation on investments and total return swap | (26,398 | ) | |
Total accumulated earnings | $ | (21,627 | ) |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||
Cost(1) | Fair Value | Percentage of Investment Portfolio | Cost(1) | Fair Value | Percentage of Investment Portfolio | |||||||||||||||||
Senior secured first lien debt | $ | 1,069,271 | $ | 1,079,520 | 69.6 | % | $ | 489,904 | $ | 489,913 | 48.1 | % | ||||||||||
Senior secured second lien debt | 404,788 | 402,459 | 26.0 | % | 437,240 | 434,347 | 42.6 | % | ||||||||||||||
Collateralized securities and structured products - debt | 28,818 | 28,284 | 1.8 | % | 39,471 | 38,114 | 3.7 | % | ||||||||||||||
Collateralized securities and structured products - equity | 31,537 | 29,588 | 1.9 | % | 37,713 | 34,648 | 3.4 | % | ||||||||||||||
Unsecured debt | 7,333 | 7,331 | 0.5 | % | 17,290 | 16,851 | 1.7 | % | ||||||||||||||
Equity | 5,857 | 3,863 | 0.2 | % | 4,832 | 5,107 | 0.5 | % | ||||||||||||||
Subtotal/total percentage | 1,547,604 | 1,551,045 | 100.0 | % | 1,026,450 | 1,018,980 | 100.0 | % | ||||||||||||||
Short term investments(2) | 140,810 | 140,810 | 70,498 | 70,498 | ||||||||||||||||||
Total investments | $ | 1,688,414 | $ | 1,691,855 | $ | 1,096,948 | $ | 1,089,478 |
(1) | Cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, for debt investments and cost for equity investments. |
(2) | Short term investments represent an investment in a fund that invests in highly liquid investments with average original maturity dates of three months or less. |
September 30, 2017 | December 31, 2016 | |||||||||||||
Industry Classification | Investments at Fair Value | Percentage of Investment Portfolio | Investments at Fair Value | Percentage of Investment Portfolio | ||||||||||
High Tech Industries | $ | 229,022 | 14.8 | % | $ | 217,339 | 21.3 | % | ||||||
Healthcare & Pharmaceuticals | 222,843 | 14.4 | % | 118,337 | 11.6 | % | ||||||||
Services: Business | 209,615 | 13.5 | % | 126,869 | 12.5 | % | ||||||||
Media: Diversified & Production | 116,013 | 7.5 | % | 23,100 | 2.3 | % | ||||||||
Chemicals, Plastics & Rubber | 89,142 | 5.8 | % | 27,253 | 2.7 | % | ||||||||
Telecommunications | 72,967 | 4.7 | % | 35,411 | 3.5 | % | ||||||||
Services: Consumer | 64,137 | 4.1 | % | 9,477 | 0.9 | % | ||||||||
Media: Advertising, Printing & Publishing | 61,147 | 3.9 | % | 54,354 | 5.3 | % | ||||||||
Consumer Goods: Durable | 60,992 | 3.9 | % | 1,000 | 0.1 | % | ||||||||
Diversified Financials | 57,872 | 3.7 | % | 72,762 | 7.1 | % | ||||||||
Beverage, Food & Tobacco | 54,846 | 3.5 | % | 53,658 | 5.3 | % | ||||||||
Capital Equipment | 51,899 | 3.3 | % | 51,155 | 5.0 | % | ||||||||
Hotel, Gaming & Leisure | 45,990 | 3.0 | % | 28,974 | 2.8 | % | ||||||||
Automotive | 40,347 | 2.6 | % | 39,192 | 3.9 | % | ||||||||
Retail | 32,052 | 2.1 | % | 18,852 | 1.9 | % | ||||||||
Aerospace & Defense | 28,811 | 1.9 | % | 21,780 | 2.1 | % | ||||||||
Banking, Finance, Insurance & Real Estate | 27,296 | 1.8 | % | 17,636 | 1.7 | % | ||||||||
Energy: Oil & Gas | 25,904 | 1.7 | % | 12,803 | 1.3 | % | ||||||||
Consumer Goods: Non-Durable | 16,056 | 1.0 | % | 8,611 | 0.8 | % | ||||||||
Construction & Building | 16,048 | 1.0 | % | 39,137 | 3.8 | % | ||||||||
Transportation: Cargo | 9,844 | 0.6 | % | — | — | |||||||||
Media: Broadcasting & Subscription | 6,450 | 0.4 | % | 9,776 | 1.0 | % | ||||||||
Forest Products & Paper | 5,598 | 0.4 | % | — | — | |||||||||
Metals & Mining | 3,341 | 0.2 | % | 11,349 | 1.1 | % | ||||||||
Environmental Industries | 2,813 | 0.2 | % | 2,595 | 0.3 | % | ||||||||
Energy: Electricity | — | — | 13,715 | 1.3 | % | |||||||||
Containers, Packaging & Glass | — | — | 3,845 | 0.4 | % | |||||||||
Subtotal/total percentage | 1,551,045 | 100.0 | % | 1,018,980 | 100.0 | % | ||||||||
Short term investments | 140,810 | 70,498 | ||||||||||||
Total investments | $ | 1,691,855 | $ | 1,089,478 |
September 30, 2017 | December 31, 2016 | |||||||||||||
Geographic Dispersion(1) | Investments at Fair Value | Percentage of Investment Portfolio | Investments at Fair Value | Percentage of Investment Portfolio | ||||||||||
United States | $ | 1,407,912 | 90.8 | % | $ | 916,260 | 89.9 | % | ||||||
Cayman Islands | 31,519 | 2.0 | % | 43,234 | 4.2 | % | ||||||||
Canada | 30,747 | 2.0 | % | 16,705 | 1.6 | % | ||||||||
Germany | 20,488 | 1.3 | % | 24,185 | 2.4 | % | ||||||||
Netherlands | 18,171 | 1.2 | % | 10,273 | 1.0 | % | ||||||||
Luxembourg | 17,954 | 1.1 | % | — | — | |||||||||
Marshall Islands | 9,844 | 0.6 | % | — | — | |||||||||
France | 5,598 | 0.4 | % | — | — | |||||||||
Cyprus | 5,124 | 0.3 | % | 4,728 | 0.5 | % | ||||||||
United Kingdom | 2,813 | 0.2 | % | 2,595 | 0.3 | % | ||||||||
Bermuda | 875 | 0.1 | % | 1,000 | 0.1 | % | ||||||||
Subtotal/total percentage | 1,551,045 | 100.0 | % | 1,018,980 | 100.0 | % | ||||||||
Short term investments | 140,810 | 70,498 | ||||||||||||
Total investments | $ | 1,691,855 | $ | 1,089,478 |
(1) | The geographic dispersion is determined by the portfolio company's country of domicile. |
December 31, 2016 | ||||
Interest and other income from TRS portfolio | $ | 5,620 | ||
Interest and other expense from TRS portfolio | (1,928 | ) | ||
Net gain on TRS loan sales | 495 | |||
Receivable on total return swap | $ | 4,187 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest and other income from TRS portfolio | $ | 67 | $ | 9,426 | $ | 6,610 | $ | 32,693 | ||||||||
Interest and other expense from TRS portfolio | — | (3,265 | ) | (2,949 | ) | (10,307 | ) | |||||||||
Net gain (loss) on TRS loan sales | — | 2,027 | (17,450 | ) | 1,413 | |||||||||||
Net realized gain (loss)(1) | $ | 67 | $ | 8,188 | $ | (13,789 | ) | $ | 23,799 |
(1) | Net realized gain (loss) is reflected in net realized gain (loss) on total return swap on the Company's consolidated statements of operations. |
Underlying Loans(a) | Index Rate(b) | Industry | Notional Amount | Fair Value(c) | Unrealized Appreciation / (Depreciation) | |||||||||||
Senior Secured First Lien Debt | ||||||||||||||||
Academy, Ltd., L+400, 1.00% LIBOR Floor, 7/1/2022 | Various | Retail | $ | 14,564 | $ | 13,653 | $ | (911 | ) | |||||||
Access CIG, LLC, L+500, 1.00% LIBOR Floor, 10/18/2021 | 3 Month LIBOR | Services: Business | 6,751 | 6,798 | 47 | |||||||||||
ALM Media, LLC, L+450, 1.00% LIBOR Floor, 7/31/2020 | 3 Month LIBOR | Media: Advertising, Printing & Publishing | 7,679 | 7,328 | (351 | ) | ||||||||||
Alvogen Pharma US, Inc., L+500, 1.00% LIBOR Floor, 4/1/2022 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 9,430 | 9,150 | (280 | ) | ||||||||||
American Dental Partners, Inc., L+475, 1.00% LIBOR Floor, 8/29/2021 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 12,158 | 12,219 | 61 | |||||||||||
American Energy - Marcellus, LLC, L+425, 1.00% LIBOR Floor, 8/4/2020 | 3 Month LIBOR | Energy: Oil & Gas | 4,254 | 2,370 | (1,884 | ) | ||||||||||
American Residential Services, LLC, L+450, 1.00% LIBOR Floor, 6/30/2021 | 3 Month LIBOR | Construction & Building | 14,067 | 14,269 | 202 | |||||||||||
Aquilex, LLC, L+400, 1.00% LIBOR Floor, 12/31/2020 | 3 Month LIBOR | Chemicals, Plastics & Rubber | 1,810 | 1,778 | (32 | ) | ||||||||||
Avaya Inc., L+525, 1.00% LIBOR Floor, 5/29/2020 | 3 Month LIBOR | Telecommunications | 14,542 | 12,798 | (1,744 | ) | ||||||||||
Azure Midstream Energy, LLC, L+650, 1.00% LIBOR Floor, 11/15/2018 | 1 Month LIBOR | Energy: Oil & Gas | 2,375 | 2,200 | (175 | ) | ||||||||||
Caraustar Industries, Inc., L+675, 1.25% LIBOR Floor, 5/1/2019 | 3 Month LIBOR | Forest Products & Paper | 11,954 | 12,521 | 567 | |||||||||||
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2020 | 1 Month LIBOR | Services: Consumer | 12,915 | 13,058 | 143 | |||||||||||
Charming Charlie, LLC, L+800, 1.00% LIBOR Floor, 12/24/2019 | 3 Month LIBOR | Retail | 7,723 | 4,314 | (3,409 | ) | ||||||||||
CSP Technologies North America, LLC, L+600, 1.00% LIBOR Floor, 1/29/2022 | 3 Month LIBOR | Chemicals, Plastics & Rubber | 13,385 | 13,590 | 205 | |||||||||||
CT Technologies Intermediate Holdings, Inc., L+425, 1.00% LIBOR Floor, 12/1/2021 | 1 Month LIBOR | Healthcare & Pharmaceuticals | 14,681 | 14,160 | (521 | ) | ||||||||||
David's Bridal, Inc., L+400, 1.25% LIBOR Floor, 10/11/2019 | 3 Month LIBOR | Retail | 3,339 | 3,095 | (244 | ) | ||||||||||
DBRS, Inc., L+525, 1.00% LIBOR Floor, 3/4/2022(d) | 3 Month LIBOR | Services: Business | 12,874 | 12,094 | (780 | ) | ||||||||||
EIG Investors Corp., L+548, 1.00% LIBOR Floor, 11/9/2019(d) | 3 Month LIBOR | Services: Business | 1,773 | 1,772 | (1 | ) | ||||||||||
Emmis Operating Company, L+600, 1.00% LIBOR Floor, 6/10/2021 | 3 Month LIBOR | Media: Broadcasting & Subscription | 7,508 | 7,075 | (433 | ) | ||||||||||
Evergreen Skills Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021(d) | 6 Month LIBOR | High Tech Industries | 7,174 | 6,821 | (353 | ) | ||||||||||
Global Cash Access, Inc., L+525, 1.00% LIBOR Floor, 12/18/2020 | 2 Month LIBOR | Hotel, Gaming & Leisure | 10,483 | 10,406 | (77 | ) | ||||||||||
Healogics, Inc., L+425, 1.00% LIBOR Floor, 7/1/2021 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 4,829 | 4,520 | (309 | ) | ||||||||||
IMG Worldwide Holdings, LLC, L+425, 1.00% LIBOR Floor, 5/6/2021 | 3 Month LIBOR | Media: Diversified & Production | 7,111 | 7,277 | 166 | |||||||||||
LTCG Holdings Corp., L+500, 1.00% LIBOR Floor, 6/6/2020 | 1 Month LIBOR | Services: Business | 5,882 | 5,409 | (473 | ) | ||||||||||
Murray Energy Corp., L+725, 1.00% LIBOR Floor, 4/16/2020 | 3 Month LIBOR | Metals & Mining | 3,588 | 3,528 | (60 | ) | ||||||||||
Navex Global, Inc, L+475, 1.00% LIBOR Floor, 11/19/2021 | 6 Month LIBOR | High Tech Industries | 13,597 | 13,617 | 20 | |||||||||||
Nielsen & Bainbridge, LLC, L+500, 1.00% LIBOR Floor, 8/15/2020 | 6 Month LIBOR | Consumer Goods: Durable | 15,843 | 15,942 | 99 | |||||||||||
Oasis Outsourcing Holdings, Inc., L+475, 1.00% LIBOR Floor, 12/26/2021 | 1 Month LIBOR | Services: Business | 9,319 | 9,472 | 153 | |||||||||||
Onex TSG Holdings II Corp., L+400, 1.00% LIBOR Floor, 7/29/2022 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 3,408 | 3,441 | 33 | |||||||||||
Opal Acquisition, Inc., L+400, 1.00% LIBOR Floor, 11/27/2020 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 10,236 | 9,802 | (434 | ) | ||||||||||
Pelican Products, Inc., L+425, 1.00% LIBOR Floor, 4/10/2020 | 3 Month LIBOR | Chemicals, Plastics & Rubber | 2,493 | 2,503 | 10 | |||||||||||
Photonis Technologies SAS, L+750, 1.00% LIBOR Floor, 9/18/2019(d) | 3 Month LIBOR | Aerospace & Defense | 6,337 | 5,564 | (773 | ) | ||||||||||
PSC Industrial Holdings Corp., L+475, 1.00% LIBOR Floor, 12/5/2020 | 3 Month LIBOR | Services: Business | 4,851 | 4,741 | (110 | ) | ||||||||||
Scientific Games International, Inc., L+500, 1.00% LIBOR Floor, 10/1/2021(d) | Various | Hotel, Gaming & Leisure | 10,400 | 10,665 | 265 | |||||||||||
SESAC Holdco II LLC, L+425, 1.00% LIBOR Floor, 2/7/2019 | 1 Month LIBOR | Media: Broadcasting & Subscription | 2,935 | 2,938 | 3 | |||||||||||
SG Acquisition, Inc., L+525, 1.00% LIBOR Floor, 8/19/2021 | 3 Month LIBOR | Banking, Finance, Insurance & Real Estate | 11,414 | 11,547 | 133 | |||||||||||
SI Organization, Inc., L+475, 1.00% LIBOR Floor, 11/23/2019 | 3 Month LIBOR | Services: Business | 7,746 | 7,866 | 120 | |||||||||||
STG-Fairway Acquisitions, Inc., L+525, 1.00% LIBOR Floor, 6/30/2022 | 3 Month LIBOR | Services: Business | 3,845 | 3,840 | (5 | ) | ||||||||||
Survey Sampling International, LLC, L+500, 1.00% LIBOR Floor, 12/16/2020 | 3 Month LIBOR | Services: Business | 7,781 | 7,899 | 118 | |||||||||||
TIBCO Software Inc., L+550, 1.00% LIBOR Floor, 12/4/2020 | 1 Month LIBOR | High Tech Industries | 16,827 | 17,319 | 492 | |||||||||||
Travel Leaders Group, LLC, L+600, 1.00% LIBOR Floor, 12/7/2020 | 1 Month LIBOR | Services: Consumer | 5,169 | 5,176 | 7 | |||||||||||
Vince, LLC, L+500, 1.00% LIBOR Floor, 11/27/2019(d) | 3 Month LIBOR | Retail | 1,124 | 1,093 | (31 | ) | ||||||||||
Western Dental Services, Inc., L+650, 1.00% LIBOR Floor, 11/1/2018 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 5,573 | 5,566 | (7 | ) | ||||||||||
Total Senior Secured First Lien Debt | 351,747 | 341,194 | (10,553 | ) |
Underlying Loans(a) | Index Rate(b) | Industry | Notional Amount | Fair Value(c) | Unrealized Appreciation / (Depreciation) | |||||||||||
Senior Secured Second Lien Debt | ||||||||||||||||
Asurion, LLC, L+750, 1.00% LIBOR Floor, 3/3/2021 | 1 Month LIBOR | Services: Consumer | 7,772 | 8,044 | 272 | |||||||||||
Evergreen Skills Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022(d) | 6 Month LIBOR | High Tech Industries | 9,798 | 7,594 | (2,204 | ) | ||||||||||
GOBP Holdings, Inc., L+825, 1.00% LIBOR Floor, 10/21/2022 | 3 Month LIBOR | Retail | 3,940 | 4,010 | 70 | |||||||||||
Mergermarket USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022 | 3 Month LIBOR | Services: Business | 6,965 | 6,842 | (123 | ) | ||||||||||
Onex Carestream Finance LP, L+850, 1.00% LIBOR Floor, 12/7/2019 | 3 Month LIBOR | Healthcare & Pharmaceuticals | 13,600 | 11,318 | (2,282 | ) | ||||||||||
Pelican Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021 | 3 Month LIBOR | Chemicals, Plastics & Rubber | 8,050 | 7,830 | (220 | ) | ||||||||||
PFS Holding Corp., L+725, 1.00% LIBOR Floor, 1/31/2022 | 1 Month LIBOR | Retail | 4,973 | 4,636 | (337 | ) | ||||||||||
Securus Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021 | 3 Month LIBOR | Telecommunications | 1,002 | 977 | (25 | ) | ||||||||||
Total Senior Secured Second Lien Debt | 56,100 | 51,251 | (4,849 | ) | ||||||||||||
Total | $ | 407,847 | $ | 392,445 | $ | (15,402 | ) |
(a) | All of the underlying loans subject to the TRS were issued by eligible U.S. portfolio companies, as defined in the 1940 Act, except for investments specifically identified as non-qualifying per note (d) below. The Company did not control and was not an affiliate of any of the companies that were issuers of the underlying loans subject to the TRS. |
(b) | The 1, 2, 3, and 6 month LIBOR rates were 0.77%, 0.82%, 1.00% and 1.32%, respectively, as of December 31, 2016. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of December 31, 2016, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to December 31, 2016. |
(c) | Fair value determined in good faith by the Company’s board of directors (see Note 9) using significant unobservable inputs unless otherwise noted. |
(d) | All or a portion of the underlying loan subject to the TRS was not a qualifying asset under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets as defined under Section 55 of the 1940 Act. As of December 31, 2016, 90.5% of the Company’s total assets represented qualifying assets. In addition, as described in this Note 7, the Company calculated its compliance with the qualifying asset test on a “look through” basis by treating each loan underlying the TRS as either a qualifying asset or non-qualifying asset based on whether the obligor was an eligible portfolio company. On this basis, 89.1% of the Company’s total assets represented qualifying assets as of December 31, 2016. |
(e) | For the year ended December 31, 2016, the following underlying loans subject to the TRS contained a PIK interest provision whereby the issuer had either the option or the obligation to make interest payments with the issuance of additional securities: |
Interest Rate | Interest Amount | |||||||||||||||||||
Issuer of Underlying Loan | Investment Type | Cash | PIK | All-in-Rate | Cash | PIK | Total | |||||||||||||
Smile Brands Group, Inc.(f) | Senior Secured First Lien Debt | 7.50% | 1.50% | 9.00% | $ | 233 | $ | 41 | $ | 274 | ||||||||||
Southcross Holdings Borrower LP(g) | Senior Secured First Lien Debt | 3.50% | 5.50% | 9.00% | $ | 1 | $ | 1 | $ | 2 |
(f) | Outstanding principal and accrued interest of the underlying loan was fully repaid on August 17, 2016. |
(g) | Prior to December 31, 2016, the underlying loan was assigned to the Company and removed from the TRS. |
Arrangement | Type of Arrangement | Rate | Amount Outstanding | Amount Available | Maturity Date | |||||||||
Citibank Credit Facility | Revolving Credit Facility | L+2.00% | $ | 281,698 | $ | 43,302 | March 29, 2019 | |||||||
JPM Credit Facility | Term Loan Credit Facility | L+3.50% | 224,423 | 577 | August 23, 2020 | |||||||||
UBS Facility | Repurchase Agreement | L+3.50% | 125,000 | — | May 19, 2020 |
Three Months Ended September 30, 2017 | Period from March 29, 2017 to September 30, 2017 | |||||||
Stated interest expense | $ | 1,953 | $ | 3,860 | ||||
Non-usage fee | 173 | 356 | ||||||
Amortization of deferred financing costs | 174 | 330 | ||||||
Total interest expense | $ | 2,300 | $ | 4,546 | ||||
Weighted average interest rate(1) | 3.54 | % | 3.50 | % | ||||
Average borrowings | $ | 234,416 | $ | 233,042 |
(1) | Includes the stated interest expense and non-usage fee on the unused portion of the Amended Citibank Credit Facility and is annualized for periods covering less than one year. |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||
Stated interest expense | $ | 2,770 | $ | 7,978 | ||||
Amortization of deferred financing costs | 222 | 660 | ||||||
Non-usage fee | 1 | 3 | ||||||
Total interest expense | $ | 2,993 | $ | 8,641 | ||||
Weighted average interest rate(1) | 4.74 | % | 4.61 | % | ||||
Average borrowings | $ | 224,423 | $ | 224,423 |
(1) | Includes the stated interest expense and non-usage fee on the unused portion of the Amended JPM Credit Facility and is annualized for periods covering less than one year. |
Three Months Ended September 30, 2017 | Period from May 19, 2017 to September 30, 2017 | |||||||
Stated interest expense | $ | 1,480 | $ | 2,009 | ||||
Amortization of deferred financing costs | 147 | 219 | ||||||
Total interest expense | $ | 1,627 | $ | 2,228 | ||||
Weighted average interest rate(1) | 4.74 | % | 4.72 | % | ||||
Average borrowings | $ | 125,000 | $ | 113,519 |
(1) | Includes the stated interest expense and non-usage fee, if any, on the unused portion of the UBS Facility and is annualized for periods covering less than one year. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Non-usage fee | $ | — | $ | 46 | $ | 65 | $ | 147 | |||||||
Amortization of deferred financing costs | — | 51 | 63 | 177 | |||||||||||
Stated interest expense | — | 44 | — | 44 | |||||||||||
Total interest expense | $ | — | $ | 141 | $ | 128 | $ | 368 | |||||||
Weighted average interest rate(1) | — | 8.62 | % | — | 18.25 | % | |||||||||
Average borrowings | $ | — | $ | 4,109 | $ | — | $ | 1,380 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Senior secured first lien debt | $ | — | $ | — | $ | 1,079,520 | $ | 1,079,520 | $ | — | $ | — | $ | 489,913 | $ | 489,913 | |||||||||||||||
Senior secured second lien debt | — | — | 402,459 | 402,459 | — | — | 434,347 | 434,347 | |||||||||||||||||||||||
Collateralized securities and structured products - debt | — | — | 28,284 | 28,284 | — | — | 38,114 | 38,114 | |||||||||||||||||||||||
Collateralized securities and structured products - equity | — | — | 29,588 | 29,588 | — | — | 34,648 | 34,648 | |||||||||||||||||||||||
Unsecured debt | — | — | 7,331 | 7,331 | — | — | 16,851 | 16,851 | |||||||||||||||||||||||
Equity | — | — | 3,863 | 3,863 | — | — | 5,107 | 5,107 | |||||||||||||||||||||||
Short term investments | 140,810 | — | — | 140,810 | 70,498 | — | — | 70,498 | |||||||||||||||||||||||
Total Investments | $ | 140,810 | $ | — | $ | 1,551,045 | $ | 1,691,855 | $ | 70,498 | $ | — | $ | 1,018,980 | $ | 1,089,478 | |||||||||||||||
Total return swap | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (15,402 | ) | $ | (15,402 | ) | |||||||||||||
Credit default swap | — | — | — | — | — | 46 | — | 46 | |||||||||||||||||||||||
Total Derivatives | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 46 | $ | (15,402 | ) | $ | (15,356 | ) | |||||||||||||
Total Investments and Derivatives | $ | 140,810 | $ | — | $ | 1,551,045 | $ | 1,691,855 | $ | 70,498 | $ | 46 | $ | 1,003,578 | $ | 1,074,122 |
Three Months Ended September 30, 2017 | |||||||||||||||||||||||||||||||
Senior Secured First Lien Debt | Senior Secured Second Lien Debt | Collateralized Securities and Structured Products - Debt | Collateralized Securities and Structured Products - Equity | Unsecured Debt | Equity | Total Return Swap | Total | ||||||||||||||||||||||||
Beginning balance, June 30, 2017 | $ | 1,062,513 | $ | 413,690 | $ | 29,113 | $ | 30,190 | $ | — | $ | 3,554 | $ | — | $ | 1,539,060 | |||||||||||||||
Investments purchased | 215,514 | 61,505 | — | — | 7,331 | 853 | — | 285,203 | |||||||||||||||||||||||
Net realized (loss) gain | (5,600 | ) | 2,805 | (5 | ) | — | — | — | 67 | (2,733 | ) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 5,400 | (3,079 | ) | 253 | (328 | ) | (2 | ) | (544 | ) | — | 1,700 | |||||||||||||||||||
Accretion of discount | 1,825 | 690 | 13 | — | 2 | — | — | 2,530 | |||||||||||||||||||||||
Sales and principal repayments | (200,132 | ) | (73,152 | ) | (1,090 | ) | (274 | ) | — | — | (67 | ) | (274,715 | ) | |||||||||||||||||
Ending balance, September 30, 2017 | $ | 1,079,520 | $ | 402,459 | $ | 28,284 | $ | 29,588 | $ | 7,331 | $ | 3,863 | $ | — | $ | 1,551,045 | |||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2017(1) | $ | 1,205 | $ | (1,434 | ) | $ | 253 | $ | (328 | ) | $ | (2 | ) | $ | (544 | ) | $ | — | $ | (850 | ) |
(1) | Included in net change in unrealized appreciation on investments in the consolidated statements of operations except where related to the total return swap, which is included in net change in unrealized appreciation on total return swap. |
Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||||||
Senior Secured First Lien Debt | Senior Secured Second Lien Debt | Collateralized Securities and Structured Products - Debt | Collateralized Securities and Structured Products - Equity | Unsecured Debt | Equity | Total Return Swap | Total | ||||||||||||||||||||||||
Beginning balance, December 31, 2016 | $ | 489,913 | $ | 434,347 | $ | 38,114 | $ | 34,648 | $ | 16,851 | $ | 5,107 | $ | (15,402 | ) | $ | 1,003,578 | ||||||||||||||
Investments purchased | 951,502 | 179,814 | — | — | 8,420 | 1,025 | — | 1,140,761 | |||||||||||||||||||||||
Net realized (loss) gain | (8,883 | ) | 4,256 | 2 | (451 | ) | 163 | — | (13,789 | ) | (18,702 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 10,240 | 564 | 823 | 1,116 | 437 | (2,269 | ) | 15,402 | 26,313 | ||||||||||||||||||||||
Accretion of discount | 4,768 | 1,940 | 60 | — | 31 | — | — | 6,799 | |||||||||||||||||||||||
Sales and principal repayments | (368,020 | ) | (218,462 | ) | (10,715 | ) | (5,725 | ) | (18,571 | ) | — | 13,789 | (607,704 | ) | |||||||||||||||||
Ending balance, September 30, 2017 | $ | 1,079,520 | $ | 402,459 | $ | 28,284 | $ | 29,588 | $ | 7,331 | $ | 3,863 | $ | — | $ | 1,551,045 | |||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2017(1) | $ | 10,033 | $ | 1,612 | $ | 596 | $ | 1,116 | $ | (2 | ) | $ | (2,269 | ) | $ | — | $ | 11,086 |
(1) | Included in net change in unrealized appreciation on investments in the consolidated statements of operations except where related to the total return swap, which is included in net change in unrealized appreciation on total return swap. |
Three Months Ended September 30, 2016 | |||||||||||||||||||||||||||||||
Senior Secured First Lien Debt | Senior Secured Second Lien Debt | Collateralized Securities and Structured Products - Debt | Collateralized Securities and Structured Products - Equity | Unsecured Debt | Equity | Total Return Swap | Total | ||||||||||||||||||||||||
Beginning balance, June 30, 2016 | $ | 168,798 | $ | 431,875 | $ | 40,288 | $ | 34,397 | $ | 28,275 | $ | 72 | $ | (27,601 | ) | $ | 676,104 | ||||||||||||||
Investments purchased | 255,919 | 40,108 | — | — | — | 5,540 | — | 301,567 | |||||||||||||||||||||||
Net realized gain | 153 | 226 | — | — | — | — | 8,188 | 8,567 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,372 | 8,736 | 1,625 | 848 | 1,369 | (2 | ) | 9,527 | 24,475 | ||||||||||||||||||||||
Accretion of discount | 339 | 208 | 27 | — | 32 | — | — | 606 | |||||||||||||||||||||||
Sales and principal repayments | (14,022 | ) | (21,721 | ) | (5,000 | ) | (856 | ) | — | — | (8,188 | ) | (49,787 | ) | |||||||||||||||||
Ending balance, September 30, 2016 | $ | 413,559 | $ | 459,432 | $ | 36,940 | $ | 34,389 | $ | 29,676 | $ | 5,610 | $ | (18,074 | ) | $ | 961,532 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2016(1) | $ | 1,987 | $ | 8,712 | $ | 1,625 | $ | 848 | $ | 1,369 | $ | (2 | ) | $ | 9,868 | $ | 24,407 |
(1) | Included in net change in unrealized appreciation on investments in the consolidated statements of operations except where related to the total return swap, which is included in net change in unrealized appreciation on total return swap. |
Nine Months Ended September 30, 2016 | |||||||||||||||||||||||||||||||
Senior Secured First Lien Debt | Senior Secured Second Lien Debt | Collateralized Securities and Structured Products - Debt | Collateralized Securities and Structured Products - Equity | Unsecured Debt | Equity | Total Return Swap | Total | ||||||||||||||||||||||||
Beginning balance, December 31, 2015 | $ | 104,187 | $ | 453,713 | $ | 41,663 | $ | 24,604 | $ | 26,740 | $ | — | $ | (34,900 | ) | $ | 616,007 | ||||||||||||||
Investments purchased | 337,712 | 94,931 | — | 10,000 | 2,704 | 5,615 | — | 450,962 | |||||||||||||||||||||||
Net realized gain | 268 | 799 | — | — | 11 | — | 23,799 | 24,877 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 991 | 10,395 | 195 | 2,169 | 2,842 | (5 | ) | 16,826 | 33,413 | ||||||||||||||||||||||
Accretion of discount | 692 | 574 | 82 | — | 94 | — | — | 1,442 | |||||||||||||||||||||||
Sales and principal repayments | (30,291 | ) | (100,980 | ) | (5,000 | ) | (2,384 | ) | (2,715 | ) | — | (23,799 | ) | (165,169 | ) | ||||||||||||||||
Ending balance, September 30, 2016 | $ | 413,559 | $ | 459,432 | $ | 36,940 | $ | 34,389 | $ | 29,676 | $ | 5,610 | $ | (18,074 | ) | $ | 961,532 | ||||||||||||||
Change in net unrealized (depreciation) appreciation on investments still held as of September 30, 2016(1) | $ | (421 | ) | $ | 8,495 | $ | 135 | $ | 2,169 | $ | 2,842 | $ | (5 | ) | $ | 14,399 | $ | 27,614 |
(1) | Included in net change in unrealized appreciation on investments in the consolidated statements of operations except where related to the total return swap, which is included in net change in unrealized appreciation on total return swap. |
September 30, 2017 | ||||||||||||||||
Fair Value | Valuation Techniques/ Methodologies | Unobservable Inputs | Range | Weighted Average(1) | ||||||||||||
Senior secured first lien debt | $ | 697,598 | Discounted Cash Flow | Discount Rates | 5.7% | - | 51.9% | 9.8% | ||||||||
361,263 | Broker Quotes | Broker Quotes | N/A | N/A | ||||||||||||
20,659 | Market Comparable Approach | EBITDA Multiple | 3.50x | - | 9.00x | 6.45x | ||||||||||
Revenue Multiple | 0.75x | - | 1.00x | 0.88x | ||||||||||||
Senior secured second lien debt | 204,912 | Broker Quotes | Broker Quotes | N/A | N/A | |||||||||||
188,147 | Discounted Cash Flow | Discount Rates | 8.3% | - | 26.8% | 10.4% | ||||||||||
9,400 | Market Comparable Approach | EBITDA Multiple | 7.50x | - | 8.50x | 7.74x | ||||||||||
Collateralized securities and structured products - debt | 28,284 | Discounted Cash Flow | Discount Rates | 7.5% | - | 11.0% | 9.9% | |||||||||
Collateralized securities and structured products - equity | 29,588 | Discounted Cash Flow | Discount Rates | 14.0% | - | 15.0% | 14.7% | |||||||||
Unsecured debt | 7,331 | Discounted Cash Flow | Discount Rates | N/A | 13.1% | |||||||||||
Equity | 3,827 | Market Comparable Approach | EBITDA Multiple | 4.75x | - | 20.00x | 7.82x | |||||||||
Revenue Multiple | 0.50x | - | 0.75x | 0.57x | ||||||||||||
36 | Options Pricing Model | Expected Volatility | 31.0% | - | 32.0% | 31.5% | ||||||||||
Total | $ | 1,551,045 |
(1) | Weighted average amounts are based on the estimated fair values. |
December 31, 2016 | ||||||||||||||||
Fair Value | Valuation Techniques/ Methodologies | Unobservable Inputs | Range | Weighted Average(1) | ||||||||||||
Senior secured first lien debt | $ | 417,736 | Discounted Cash Flow | Discount Rates | 6.0% | - | 21.3% | 16.5% | ||||||||
61,846 | Broker Quotes | Broker Quotes | N/A | N/A | ||||||||||||
10,331 | Market Comparable Approach | EBITDA Multiple | 4.00x | - | 6.00x | 4.78x | ||||||||||
Senior secured second lien debt | 291,189 | Discounted Cash Flow | Discount Rates | 8.5% | - | 20.6% | 10.5% | |||||||||
129,219 | Broker Quotes | Broker Quotes | N/A | N/A | ||||||||||||
13,939 | Market Comparable Approach | EBITDA Multiple | 6.50x | - | 9.50x | 8.09x | ||||||||||
Revenue Multiple | 0.65x | - | 0.90x | 0.65x | ||||||||||||
Collateralized securities and structured products - debt | 38,114 | Discounted Cash Flow | Discount Rates | 7.8% | - | 11.0% | 10.1% | |||||||||
Collateralized securities and structured products - equity | 34,648 | Discounted Cash Flow | Discount Rates | 9.3% | - | 17.0% | 13.8% | |||||||||
Unsecured debt | 16,851 | Broker Quotes | Broker Quotes | N/A | N/A | |||||||||||
Equity | 4,946 | Market Comparable Approach | EBITDA Multiple | 3.75x | - | 10.50x | 7.23x | |||||||||
161 | Options Pricing Model | Expected Volatility | N/A | 36.2% | ||||||||||||
Total return swap | (1,002 | ) | Discounted Cash Flow | Discount Rates | 5.1% | - | 14.6% | 7.3% | ||||||||
(14,400 | ) | Broker Quotes | Broker Quotes | N/A | N/A | |||||||||||
Total | $ | 1,003,578 |
(1) | Weighted average amounts are based on the estimated fair values. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Valuation expense | $ | 463 | $ | 125 | $ | 989 | $ | 350 | |||||||
Transfer agent expense | 321 | 307 | 947 | 926 | |||||||||||
Professional fees | 147 | 680 | 943 | 1,284 | |||||||||||
Dues and subscriptions | 223 | 177 | 630 | 621 | |||||||||||
Director fees and expenses | 125 | 69 | 327 | 207 | |||||||||||
Insurance expense | 102 | 105 | 309 | 271 | |||||||||||
Printing and other related costs | 59 | 177 | 291 | 520 | |||||||||||
Due diligence fees | 87 | 120 | 145 | 401 | |||||||||||
Other expenses | 276 | 132 | 639 | 364 | |||||||||||
Total general and administrative expense | $ | 1,803 | $ | 1,892 | $ | 5,220 | $ | 4,944 |
Unfunded Commitments | September 30, 2017(1) | December 31, 2016(1) | ||||||
DFC Global Facility Borrower II LLC(2) | $ | 22,800 | $ | — | ||||
Lonestar Prospects, Ltd.(2) | 18,985 | — | ||||||
CF Entertainment Inc. | 5,000 | — | ||||||
Accruent, LLC(2) | 4,238 | — | ||||||
Ministry Brands, LLC(2) | 3,537 | 5,274 | ||||||
Moss Holding Company(2) | 3,278 | — | ||||||
Visual Edge Technology, Inc.(2) | 2,878 | — | ||||||
Elemica Holdings, Inc.(2) | 2,500 | 2,500 | ||||||
Studio Movie Grill Holdings, LLC(2) | 2,156 | 4,127 | ||||||
PDI TA Holdings, Inc.(2) | 1,833 | — | ||||||
Woodstream Corporation(2) | 1,553 | — | ||||||
Teledoc, Inc.(2) | 1,250 | — | ||||||
Island Medical Management Holdings, LLC(2) | 1,188 | — | ||||||
Adams Publishing Group, LLC | 1,136 | — | ||||||
Ivy Hill Middle Market Credit Fund VIII, Ltd.(2) | 1,111 | 1,111 | ||||||
GTCR-Ultra Acquisition, Inc.(2) | 992 | — | ||||||
Covenant Surgical Partners, Inc.(2) | 562 | — | ||||||
Frontline Technologies Group Holdings LLC(2) | 540 | — | ||||||
American Media, Inc.(2) | 296 | 711 | ||||||
Tennessee Merger Sub, Inc.(3) | — | 10,254 | ||||||
ABG Intermediate Holdings 2 LLC | — | 1,119 | ||||||
Total | $ | 75,833 | $ | 25,096 |
(1) | Unless otherwise noted, the funding criteria for these unfunded commitments had not been met at the date indicated. |
(2) | As of November 9, 2017, the Company's unfunded commitments were to portfolio companies DFC Global Facility Borrower II LLC, Lonestar Prospects, Ltd., Discovery DJ Holdings, LLC, Moss Holding Company, Elemica Holdings, Inc., Ministry Brands, LLC, Studio Movie Grill Holdings, LLC, Woodstream Corp., Teladoc, Inc., Island Medical Management Holdings, LLC, Visual Edge Technology, Inc., Ivy Hill Middle Market Credit Fund VIII, Ltd., VLS Recovery Services, LLC, GTCR-Ultra Acquisition, Inc., Pathway Partners Vet Management Company, LLC, PDI TA Holdings, Inc., Frontline Technologies Group Holdings LLC, Covenant Surgical Partners, Inc., Accruent, LLC and American Media, Inc., in the amount of $22,800, $18,985, $4,706, $3,278, $2,500, $1,865, $1,608, $1,553, $1,250, $1,188, $1,151, $1,111, $1,108, $992, $906, $815, $540, $459, $157 and $154, respectively. In addition, subsequent to September 30, 2017, the Company entered into unfunded commitments of $12,171 and $3,780 to Centene Corp. and Itron, Inc., respectively. |
(3) | As of December 31, 2016, such commitment was subject to the execution of a definitive loan agreement and the consummation of the underlying corporate transaction, and conditional upon receipt of all necessary shareholder, regulatory and other applicable approvals. Prior to September 30, 2017, the unfunded commitment was terminated. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Amendment fees | $ | 984 | $ | 112 | $ | 1,979 | $ | 156 | |||||||
Commitment fees | 182 | 42 | 672 | 293 | |||||||||||
Total | $ | 1,166 | $ | 154 | $ | 2,651 | $ | 449 |
Nine Months Ended September 30, | ||||||||
2017 | 2016 | |||||||
Per share data:(1) | ||||||||
Net asset value at beginning of period | $ | 9.11 | $ | 8.71 | ||||
Results of operations: | ||||||||
Net investment income(2) | 0.52 | 0.30 | ||||||
Net realized gain and net change in unrealized appreciation on investments(3) | 0.06 | 0.17 | ||||||
Net realized gain and net change in unrealized appreciation on total return swap | 0.01 | 0.39 | ||||||
Net increase in net assets resulting from operations(3) | 0.59 | 0.86 | ||||||
Shareholder distributions: | ||||||||
Distributions from net investment income | (0.50 | ) | (0.30 | ) | ||||
Distributions from net realized gains | (0.05 | ) | (0.25 | ) | ||||
Net decrease in net assets from shareholders' distributions | (0.55 | ) | (0.55 | ) | ||||
Capital share transactions: | ||||||||
Issuance of common stock above net asset value(4) | — | — | ||||||
Repurchases of common stock(5) | — | — | ||||||
Net increase in net assets resulting from capital share transactions | — | — | ||||||
Net asset value at end of period | $ | 9.15 | $ | 9.02 | ||||
Shares of common stock outstanding at end of period | 114,440,741 | 107,920,075 | ||||||
Total investment return-net asset value(6) | 6.68 | % | 10.25 | % | ||||
Net assets at beginning of period | $ | 999,763 | $ | 904,326 | ||||
Net assets at end of period | $ | 1,047,187 | $ | 973,191 | ||||
Average net assets | $ | 1,020,019 | $ | 922,031 | ||||
Ratio/Supplemental data: | ||||||||
Ratio of net investment income to average net assets(7) | 5.69 | % | 3.47 | % | ||||
Ratio of gross operating expenses to average net assets(8) | 4.28 | % | 2.37 | % | ||||
Ratio of expenses (before recoupment of expense support) to average net assets(9) | 4.28 | % | 2.30 | % | ||||
Ratio of net expense recoupments to average net assets(10) | — | 0.07 | % | |||||
Ratio of net operating expenses to average net assets | 4.28 | % | 2.37 | % | ||||
Portfolio turnover rate(11) | 46.07 | % | 20.04 | % | ||||
Asset coverage ratio(12) | 2.66 | 2.85 |
(1) | The per share data for the nine months ended September 30, 2017 and 2016 was derived by using the weighted average shares of common stock outstanding during each period. |
(2) | Net investment income per share includes expense support recoupments to CIG of $0.01 per share for the nine months ended September 30, 2016. |
(3) | The amount shown for net realized gain and net change in unrealized appreciation on investments is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a share outstanding throughout the period may not agree with the change in the aggregate gains and losses in portfolio securities for the period because of the timing of sales and repurchases of the Company’s shares in relation to fluctuating market values for the portfolio. As a result, net increase in net assets resulting from operations in this schedule may vary from the consolidated statements of operations. |
(4) | The continuous issuance of shares of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share impact of the continuous issuance of shares of common stock was an increase to net asset value of less than $0.01 per share during the nine months ended September 30, 2017 and 2016. |
(5) | Repurchases of common stock may cause an incremental decrease in net asset value per share due to the repurchase of shares at a price in excess of net asset value per share on each repurchase date. The per share impact of repurchases of common stock was a decrease to net asset value of less than $0.01 per share during the nine months ended September 30, 2017 and 2016. |
(6) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including distributions paid or payable during the period. Total investment return-net asset value is based on (i) the beginning period net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the value of distributions payable, if any, on the last day of the period. The total investment return-net asset value calculation assumes that monthly cash distributions are reinvested in accordance with the Company's distribution reinvestment plan then in effect as described in Note 5. The total investment return-net asset value does not consider the effect of the sales load from the sale of the Company’s common stock. The total investment return-net asset value includes the effect of the issuance of shares at a net offering price that is greater than net asset value per share, which causes an increase in net asset value per share. Total returns covering less than a full year are not annualized. |
(7) | Excluding the impact of the recoupment of expense support by CIG during the period, the ratio of net investment income to average net assets would have been 5.69% and 3.54% for the nine months ended September 30, 2017 and 2016, respectively. |
(8) | Ratio of gross operating expenses to average net assets does not include expense support provided by CIG and/or AIM, if any. |
(9) | The ratio of gross expense recoupments to CIG to average net assets for the nine months ended September 30, 2017 and 2016 was 0.00% and (0.07%), respectively. |
(10) | In order to record an obligation to reimburse CIG for expense support provided, the ratio of gross operating expenses to average net assets, when considering the recoupment, in the period in which recoupment is sought, cannot exceed the ratio of gross operating expenses to average net assets for the period when the expense support was provided. For purposes of this calculation, gross operating expenses include all expenses borne by the Company, except for offering and organizational costs, base management fees, incentive fees, administrative services expenses, other general and administrative expenses owed to CIM and its affiliates and interest expense. For the nine months ended September 30, 2017 and 2016, the ratio of gross operating expenses to average net assets, when considering recoupment of expense support to CIG, if any, was 0.46% and 0.43%, respectively. |
(11) | Portfolio turnover rate is calculated using the lesser of year-to-date sales or purchases over the average of the invested assets at fair value, excluding short term investments, and is not annualized. |
(12) | Asset coverage ratio is equal to (i) the sum of (a) net assets at the end of the period and (b) total senior securities outstanding at the end of the period (excluding unfunded commitments), divided by (ii) total senior securities outstanding at the end of the period. For purposes of the asset coverage ratio test applicable to the Company as a BDC, the Company treated the outstanding TRS notional amount at the end of the period, less the total amount of cash collateral posted by Flatiron under the TRS, as senior securities. |
• | our future operating results; |
• | our business prospects and the prospects of our portfolio companies; |
• | the impact of the investments that we expect to make; |
• | the ability of our portfolio companies to achieve their objectives; |
• | our current and expected financings and investments; |
• | the adequacy of our cash resources, financing sources and working capital; |
• | the use of borrowed money to finance a portion of our investments; |
• | the timing of cash flows, if any, from the operations of our portfolio companies; |
• | our contractual arrangements and relationships with third parties; |
• | the actual and potential conflicts of interest with CIM and Apollo and their respective affiliates; |
• | the ability of CIM and AIM to locate suitable investments for us and the ability of CIM to monitor and administer our investments; |
• | the ability of CIM and AIM and their respective affiliates to attract and retain highly talented professionals; |
• | the dependence of our future success on the general economy and its impact on the industries in which we invest; |
• | the effects of a changing interest rate environment; |
• | our ability to source favorable private investments; |
• | our tax status; |
• | the effect of changes to tax legislation and our tax position; |
• | the tax status of the companies in which we invest; and |
• | the timing and amount of distributions and dividends from the companies in which we invest. |
• | changes in the economy; |
• | risks associated with possible disruption in our operations or the economy generally due to terrorism or natural disasters; and |
• | future changes in laws or regulations and conditions in our operating areas. |
Three Months Ended September 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
Net Investment Activity | Investment Portfolio | Total Return Swap | Total | Investment Portfolio | Total Return Swap | Total | ||||||||||||||||||
Purchases and drawdowns | ||||||||||||||||||||||||
Senior secured first lien debt | $ | 215,196 | $ | — | $ | 215,196 | $ | 255,919 | $ | 211 | $ | 256,130 | ||||||||||||
Senior secured second lien debt | 61,464 | — | 61,464 | 40,108 | — | 40,108 | ||||||||||||||||||
Unsecured debt | 7,331 | — | 7,331 | — | — | — | ||||||||||||||||||
Equity | 853 | — | 853 | 5,540 | — | 5,540 | ||||||||||||||||||
Sales and principal repayments | (274,648 | ) | — | (274,648 | ) | (41,599 | ) | (245,657 | ) | (287,256 | ) | |||||||||||||
Net portfolio activity | $ | 10,196 | $ | — | $ | 10,196 | $ | 259,968 | $ | (245,446 | ) | $ | 14,522 |
September 30, 2017 | |||||||||||
Investments Cost(1) | Investments Fair Value | Percentage of Investment Portfolio | |||||||||
Senior secured first lien debt | $ | 1,069,271 | $ | 1,079,520 | 69.6 | % | |||||
Senior secured second lien debt | 404,788 | 402,459 | 26.0 | % | |||||||
Collateralized securities and structured products - debt | 28,818 | 28,284 | 1.8 | % | |||||||
Collateralized securities and structured products - equity | 31,537 | 29,588 | 1.9 | % | |||||||
Unsecured debt | 7,333 | 7,331 | 0.5 | % | |||||||
Equity | 5,857 | 3,863 | 0.2 | % | |||||||
Subtotal/total percentage | 1,547,604 | 1,551,045 | 100.0 | % | |||||||
Short term investments(2) | 140,810 | 140,810 | |||||||||
Total investments | $ | 1,688,414 | $ | 1,691,855 | |||||||
Number of portfolio companies | 161 | ||||||||||
Average annual EBITDA of portfolio companies | $82.9 million | ||||||||||
Median annual EBITDA of portfolio companies | $49.0 million | ||||||||||
Purchased at a weighted average price of par | 95.95 | % | |||||||||
Gross annual portfolio yield based upon the purchase price(3) | 9.15 | % |
(1) | Represents amortized cost for debt investments and cost for equity investments. Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on our investments. |
(2) | Short term investments represent an investment in a fund that invests in highly liquid investments with average original maturity dates of three months or less. |
(3) | The gross annual portfolio yield does not represent and may be higher than an actual investment return to shareholders because it excludes our expenses and all sales commissions and dealer manager fees and does not consider the cost of leverage. |
December 31, 2016 | ||||||||||||||||||||||||||||||||
Investment Portfolio | Total Return Swap | Total | ||||||||||||||||||||||||||||||
Investments Cost(1) | Investments Fair Value | Percentage of Investment Portfolio | Notional Amount of Underlying TRS Loans | Fair Value of Underlying TRS Loans | Percentage of Underlying TRS Loans | Cost/Notional Amount(1) | Fair Value | Percentage | ||||||||||||||||||||||||
Senior secured first lien debt | $ | 489,904 | $ | 489,913 | 48.1 | % | $ | 351,747 | $ | 341,194 | 86.9 | % | $ | 841,651 | $ | 831,107 | 58.9 | % | ||||||||||||||
Senior secured second lien debt | 437,240 | 434,347 | 42.6 | % | 56,100 | 51,251 | 13.1 | % | 493,340 | 485,598 | 34.4 | % | ||||||||||||||||||||
Collateralized securities and structured products - debt | 39,471 | 38,114 | 3.7 | % | — | — | — | 39,471 | 38,114 | 2.7 | % | |||||||||||||||||||||
Collateralized securities and structured products - equity | 37,713 | 34,648 | 3.4 | % | — | — | — | 37,713 | 34,648 | 2.5 | % | |||||||||||||||||||||
Unsecured debt | 17,290 | 16,851 | 1.7 | % | — | — | — | 17,290 | 16,851 | 1.1 | % | |||||||||||||||||||||
Equity | 4,832 | 5,107 | 0.5 | % | — | — | — | 4,832 | 5,107 | 0.4 | % | |||||||||||||||||||||
Subtotal/total percentage | 1,026,450 | 1,018,980 | 100.0 | % | 407,847 | 392,445 | 100.0 | % | 1,434,297 | 1,411,425 | 100.0 | % | ||||||||||||||||||||
Short term investments(2) | 70,498 | 70,498 | — | — | 70,498 | 70,498 | ||||||||||||||||||||||||||
Total investments | $ | 1,096,948 | $ | 1,089,478 | $ | 407,847 | $ | 392,445 | $ | 1,504,795 | $ | 1,481,923 | ||||||||||||||||||||
Number of portfolio companies | 103 | 49 | 141(3) | |||||||||||||||||||||||||||||
Average annual EBITDA of portfolio companies | $49.9 million | $200.7 million | $94.7 million | |||||||||||||||||||||||||||||
Median annual EBITDA of portfolio companies | $42.7 million | $66.0 million | $50.4 million | |||||||||||||||||||||||||||||
Purchased at a weighted average price of par | 95.87 | % | 98.96 | % | 96.73 | % | ||||||||||||||||||||||||||
Gross annual portfolio yield based upon the purchase price(4) | 9.99 | % | 6.73 | % | 9.07 | % |
(1) | Represents amortized cost for debt investments and cost for equity investments. Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on our investments. |
(2) | Short term investments represent an investment in a fund that invests in highly liquid investments with average original maturity dates of three months or less. |
(3) | The sum of investment portfolio and TRS portfolio companies does not equal the total number of portfolio companies. This is due to 11 portfolio companies being in both the investment and TRS portfolios. |
(4) | The gross annual portfolio yield does not represent and may be higher than an actual investment return to shareholders because it excludes our expenses and all sales commissions and dealer manager fees and does not consider the cost of leverage. |
September 30, 2017 | |||||||||||
Interest Rate Allocation | Investments Cost | Investments Fair Value | Percentage of Investment Portfolio | ||||||||
Floating interest rate investments | $ | 1,444,100 | $ | 1,446,737 | 93.3 | % | |||||
Fixed interest rate investments | 66,474 | 71,233 | 4.6 | % | |||||||
Other income producing investments | 31,537 | 29,588 | 1.9 | % | |||||||
Non-income producing equity | 5,493 | 3,487 | 0.2 | % | |||||||
Total investments | $ | 1,547,604 | $ | 1,551,045 | 100.0 | % |
December 31, 2016 | |||||||||||||||||||||||||||||||||
Investment Portfolio | Total Return Swap | Total | |||||||||||||||||||||||||||||||
Interest Rate Allocation | Investments Cost | Investments Fair Value | Percentage of Investment Portfolio | Notional Amount of Underlying TRS Loans | Fair Value of Underlying TRS Loans | Percentage of Underlying TRS Loans | Cost/Notional Amount | Fair Value | Percentage | ||||||||||||||||||||||||
Floating interest rate investments | $ | 936,846 | $ | 931,214 | 91.4 | % | $ | 407,847 | $ | 392,445 | 100.0 | % | $ | 1,344,693 | $ | 1,323,659 | 93.8 | % | |||||||||||||||
Fixed interest rate investments | 47,059 | 48,011 | 4.7 | % | — | — | — | 47,059 | 48,011 | 3.4 | % | ||||||||||||||||||||||
Other income producing investments | 37,713 | 34,648 | 3.4 | % | — | — | — | 37,713 | 34,648 | 2.4 | % | ||||||||||||||||||||||
Non-income producing equity | 4,832 | 5,107 | 0.5 | % | — | — | — | 4,832 | 5,107 | 0.4 | % | ||||||||||||||||||||||
Total investments | $ | 1,026,450 | $ | 1,018,980 | 100.0 | % | $ | 407,847 | $ | 392,445 | 100.0 | % | $ | 1,434,297 | $ | 1,411,425 | 100.0 | % |
September 30, 2017 | |||||||
Industry Classification | Investments at Fair Value | Percentage of Investment Portfolio | |||||
High Tech Industries | $ | 229,022 | 14.8 | % | |||
Healthcare & Pharmaceuticals | 222,843 | 14.4 | % | ||||
Services: Business | 209,615 | 13.5 | % | ||||
Media: Diversified & Production | 116,013 | 7.5 | % | ||||
Chemicals, Plastics & Rubber | 89,142 | 5.8 | % | ||||
Telecommunications | 72,967 | 4.7 | % | ||||
Services: Consumer | 64,137 | 4.1 | % | ||||
Media: Advertising, Printing & Publishing | 61,147 | 3.9 | % | ||||
Consumer Goods: Durable | 60,992 | 3.9 | % | ||||
Diversified Financials | 57,872 | 3.7 | % | ||||
Beverage, Food & Tobacco | 54,846 | 3.5 | % | ||||
Capital Equipment | 51,899 | 3.3 | % | ||||
Hotel, Gaming & Leisure | 45,990 | 3.0 | % | ||||
Automotive | 40,347 | 2.6 | % | ||||
Retail | 32,052 | 2.1 | % | ||||
Aerospace & Defense | 28,811 | 1.9 | % | ||||
Banking, Finance, Insurance & Real Estate | 27,296 | 1.8 | % | ||||
Energy: Oil & Gas | 25,904 | 1.7 | % | ||||
Consumer Goods: Non-Durable | 16,056 | 1.0 | % | ||||
Construction & Building | 16,048 | 1.0 | % | ||||
Transportation: Cargo | 9,844 | 0.6 | % | ||||
Media: Broadcasting & Subscription | 6,450 | 0.4 | % | ||||
Forest Products & Paper | 5,598 | 0.4 | % | ||||
Metals & Mining | 3,341 | 0.2 | % | ||||
Environmental Industries | 2,813 | 0.2 | % | ||||
Subtotal/total percentage | 1,551,045 | 100.0 | % | ||||
Short term investments | 140,810 | ||||||
Total investments | $ | 1,691,855 |
December 31, 2016 | |||||||||||||||||||||
Investment Portfolio | Total Return Swap | Total | |||||||||||||||||||
Industry Classification | Investments Fair Value | Percentage of Investment Portfolio | Fair Value of Underlying TRS Loans | Percentage of Underlying TRS Loans | Fair Value | Percentage | |||||||||||||||
High Tech Industries | $ | 217,339 | 21.3 | % | $ | 45,351 | 11.6 | % | $ | 262,690 | 18.6 | % | |||||||||
Services: Business | 126,869 | 12.5 | % | 66,733 | 17.0 | % | 193,602 | 13.7 | % | ||||||||||||
Healthcare & Pharmaceuticals | 118,337 | 11.6 | % | 70,176 | 17.9 | % | 188,513 | 13.4 | % | ||||||||||||
Diversified Financials | 72,762 | 7.1 | % | — | — | 72,762 | 5.2 | % | |||||||||||||
Media: Advertising, Printing & Publishing | 54,354 | 5.3 | % | 7,328 | 1.9 | % | 61,682 | 4.4 | % | ||||||||||||
Beverage, Food & Tobacco | 53,658 | 5.3 | % | — | — | 53,658 | 3.8 | % | |||||||||||||
Construction & Building | 39,137 | 3.8 | % | 14,269 | 3.6 | % | 53,406 | 3.8 | % | ||||||||||||
Chemicals, Plastics & Rubber | 27,253 | 2.7 | % | 25,701 | 6.5 | % | 52,954 | 3.7 | % | ||||||||||||
Capital Equipment | 51,155 | 5.0 | % | — | — | 51,155 | 3.6 | % | |||||||||||||
Hotel, Gaming & Leisure | 28,974 | 2.8 | % | 21,071 | 5.4 | % | 50,045 | 3.5 | % | ||||||||||||
Retail | 18,852 | 1.9 | % | 30,801 | 7.8 | % | 49,653 | 3.5 | % | ||||||||||||
Telecommunications | 35,411 | 3.5 | % | 13,775 | 3.5 | % | 49,186 | 3.5 | % | ||||||||||||
Automotive | 39,192 | 3.9 | % | — | — | 39,192 | 2.8 | % | |||||||||||||
Services: Consumer | 9,477 | 0.9 | % | 26,278 | 6.7 | % | 35,755 | 2.5 | % | ||||||||||||
Media: Diversified & Production | 23,100 | 2.3 | % | 7,277 | 1.8 | % | 30,377 | 2.1 | % | ||||||||||||
Banking, Finance, Insurance & Real Estate | 17,636 | 1.7 | % | 11,547 | 2.9 | % | 29,183 | 2.1 | % | ||||||||||||
Aerospace & Defense | 21,780 | 2.1 | % | 5,564 | 1.4 | % | 27,344 | 1.9 | % | ||||||||||||
Media: Broadcasting & Subscription | 9,776 | 1.0 | % | 10,013 | 2.6 | % | 19,789 | 1.4 | % | ||||||||||||
Energy: Oil & Gas | 12,803 | 1.3 | % | 4,570 | 1.2 | % | 17,373 | 1.2 | % | ||||||||||||
Consumer Goods: Durable | 1,000 | 0.1 | % | 15,942 | 4.1 | % | 16,942 | 1.2 | % | ||||||||||||
Metals & Mining | 11,349 | 1.1 | % | 3,528 | 0.9 | % | 14,877 | 1.1 | % | ||||||||||||
Energy: Electricity | 13,715 | 1.3 | % | — | — | 13,715 | 1.0 | % | |||||||||||||
Forest Products & Paper | — | — | 12,521 | 3.2 | % | 12,521 | 0.9 | % | |||||||||||||
Consumer Goods: Non-Durable | 8,611 | 0.8 | % | — | — | 8,611 | 0.6 | % | |||||||||||||
Containers, Packaging & Glass | 3,845 | 0.4 | % | — | — | 3,845 | 0.3 | % | |||||||||||||
Environmental Industries | 2,595 | 0.3 | % | — | — | 2,595 | 0.2 | % | |||||||||||||
Subtotal/total percentage | 1,018,980 | 100.0 | % | 392,445 | 100.0 | % | 1,411,425 | 100.0 | % | ||||||||||||
Short term investments | 70,498 | — | 70,498 | ||||||||||||||||||
Total investments | $ | 1,089,478 | $ | 392,445 | $ | 1,481,923 |
Investment Rating | Description | |
1 | Indicates the least amount of risk to our initial cost basis. The trends and risk factors for this investment since origination or acquisition are generally favorable, which may include the performance of the portfolio company or a potential exit. | |
2 | Indicates a level of risk to our initial cost basis that is similar to the risk to our initial cost basis at the time of origination or acquisition. This portfolio company is generally performing in accordance with our analysis of its business and the full return of principal and interest or dividend is expected. | |
3 | Indicates that the risk to our ability to recoup the cost of such investment has increased since origination or acquisition, but full return of principal and interest or dividend is expected. A portfolio company with an investment rating of 3 requires closer monitoring. | |
4 | Indicates that the risk to our ability to recoup the cost of such investment has increased significantly since origination or acquisition, including as a result of factors such as declining performance and noncompliance with debt covenants, and we expect some loss of interest, dividend or capital appreciation, but still expect an overall positive internal rate of return on the investment. | |
5 | Indicates that the risk to our ability to recoup the cost of such investment has increased materially since origination or acquisition and the portfolio company likely has materially declining performance. Loss of interest or dividend and some loss of principal investment is expected, which would result in an overall negative internal rate of return on the investment. |
September 30, 2017 | |||||||
Investment Rating | Investments Fair Value | Percentage of Investment Portfolio | |||||
1 | $ | — | — | ||||
2 | 1,282,461 | 82.7 | % | ||||
3 | 207,746 | 13.4 | % | ||||
4 | 53,223 | 3.4 | % | ||||
5 | 7,615 | 0.5 | % | ||||
$ | 1,551,045 | 100.0 | % |
December 31, 2016 | |||||||||||||||||||||
Investment Portfolio | Total Return Swap | Total | |||||||||||||||||||
Investment Rating | Investments Fair Value | Percentage of Investment Portfolio | Fair Value of Underlying TRS Loans | Percentage of Underlying TRS Loans | Fair Value | Percentage | |||||||||||||||
1 | $ | — | — | $ | — | — | $ | — | — | ||||||||||||
2 | 963,477 | 94.6 | % | 342,620 | 87.3 | % | 1,306,097 | 92.5 | % | ||||||||||||
3 | 50,942 | 5.0 | % | 34,657 | 8.8 | % | 85,599 | 6.1 | % | ||||||||||||
4 | 4,561 | 0.4 | % | 12,798 | 3.3 | % | 17,359 | 1.2 | % | ||||||||||||
5 | — | — | 2,370 | 0.6 | % | 2,370 | 0.2 | % | |||||||||||||
$ | 1,018,980 | 100.0 | % | $ | 392,445 | 100.0 | % | $ | 1,411,425 | 100.0 | % |
Three Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Investment income | $ | 38,378 | $ | 18,733 | |||
Net operating expenses | 16,976 | 8,038 | |||||
Net investment income | 21,402 | 10,695 | |||||
Net realized (loss) gain on investments and foreign currency | (2,788 | ) | 379 | ||||
Net change in unrealized appreciation on investments | 1,700 | 14,948 | |||||
Net realized gain on total return swap | 67 | 8,188 | |||||
Net change in unrealized appreciation on total return swap | — | 9,527 | |||||
Net increase in net assets resulting from operations | $ | 20,381 | $ | 43,737 |
Three Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Management fees | $ | 7,820 | $ | 5,187 | |||
Administrative services expense | 433 | 425 | |||||
General and administrative | 1,803 | 1,892 | |||||
Interest expense | 6,920 | 534 | |||||
Total operating expenses | 16,976 | 8,038 | |||||
Recoupment of expense support from CIG | — | — | |||||
Net operating expenses | $ | 16,976 | $ | 8,038 |
Three Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Valuation expense | $ | 463 | $ | 125 | |||
Transfer agent expense | 321 | 307 | |||||
Dues and subscriptions | 223 | 177 | |||||
Professional fees | 147 | 680 | |||||
Director fees and expenses | 125 | 69 | |||||
Insurance expense | 102 | 105 | |||||
Due diligence fees | 87 | 120 | |||||
Printing and other related costs | 59 | 177 | |||||
Other expenses | 276 | 132 | |||||
Total general and administrative expense | $ | 1,803 | $ | 1,892 |
Three Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Interest and other income from TRS portfolio | $ | 67 | $ | 9,426 | |||
Interest and other expense from TRS portfolio | — | (3,265 | ) | ||||
Net gain on TRS loan sales | — | 2,027 | |||||
Total | $ | 67 | $ | 8,188 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Investment income | $ | 101,768 | $ | 53,834 | |||
Net operating expenses | 43,691 | 21,834 | |||||
Net investment income | 58,077 | 32,000 | |||||
Net realized (loss) gain on investments and foreign currency | (4,983 | ) | 1,078 | ||||
Net change in unrealized appreciation on investments | 11,094 | 16,587 | |||||
Net realized (loss) gain on total return swap | (13,789 | ) | 23,799 | ||||
Net change in unrealized appreciation on total return swap | 15,402 | 16,826 | |||||
Net increase in net assets resulting from operations | $ | 65,801 | $ | 90,290 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Management fees | $ | 21,724 | $ | 14,311 | |||
Administrative services expense | 1,204 | 1,151 | |||||
General and administrative | 5,220 | 4,944 | |||||
Interest expense | 15,543 | 761 | |||||
Total operating expenses | 43,691 | 21,167 | |||||
Recoupment of expense support from CIG | — | 667 | |||||
Net operating expenses | $ | 43,691 | $ | 21,834 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Valuation expense | $ | 989 | $ | 350 | |||
Transfer agent expense | 947 | 926 | |||||
Professional fees | 943 | 1,284 | |||||
Dues and subscriptions | 630 | 621 | |||||
Director fees and expenses | 327 | 207 | |||||
Insurance expense | 309 | 271 | |||||
Printing and other related costs | 291 | 520 | |||||
Due diligence fees | 145 | 401 | |||||
Other expenses | 639 | 364 | |||||
Total general and administrative expense | $ | 5,220 | $ | 4,944 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Interest and other income from TRS portfolio | $ | 6,610 | $ | 32,693 | |||
Interest and other expense from TRS portfolio | (2,949 | ) | (10,307 | ) | |||
Net (loss) gain on TRS loan sales | (17,450 | ) | 1,413 | ||||
Total | $ | (13,789 | ) | $ | 23,799 |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||||
Investment Portfolio | Total Return Swap Portfolio | Total Investment Portfolio | Percentage | Investment Portfolio | Total Return Swap Portfolio | Total Investment Portfolio | Percentage | |||||||||||||||||||||||
Net investment income | $ | 20,577 | $ | 67 | $ | 20,644 | 100.0 | % | $ | 55,191 | $ | 3,661 | $ | 58,852 | 96.3 | % | ||||||||||||||
Capital gains from the sale of assets(1)(2) | — | — | — | — | — | 2,286 | 2,286 | 3.7 | % | |||||||||||||||||||||
Total | $ | 20,577 | $ | 67 | $ | 20,644 | 100.0 | % | $ | 55,191 | $ | 5,947 | $ | 61,138 | 100.0 | % |
(1) | For the three and nine months ended September 30, 2017, we estimate that we had no net capital gains classified as long-term. The final determination of the tax attributes of our distributions is made annually as of the end of the year. |
(2) | During the nine months ended September 30, 2017, the Company realized losses of $24,164 primarily in connection with the refinancing of the TRS, which are not currently deductible on a tax-basis. |
• | our quarterly valuation process begins with each portfolio company or investment being initially valued by certain of CIM’s investment professionals and certain members of its management team, with such valuation taking into account information received from various sources, including independent valuation firms and AIM, if applicable; |
• | preliminary valuation conclusions are then documented and discussed with CIM’s valuation committee; |
• | CIM’s valuation committee reviews the preliminary valuation, and, if applicable, delivers such preliminary valuation to an independent valuation firm for its review; |
• | CIM’s valuation committee, or its designee, and, if appropriate, the relevant investment professionals meet with the independent valuation firm to discuss the preliminary valuation; |
• | designated members of CIM’s management team respond and supplement the preliminary valuation to reflect any comments provided by the independent valuation firm; |
• | our audit committee meets with members of CIM’s management team and the independent valuation firm to discuss the assistance provided and the results of the independent valuation firm’s review; and |
• | our board of directors discusses the valuation and determines the fair value of each investment in our portfolio in good faith based on various statistical and other factors, including the input and recommendation of CIM, the audit committee and any third-party valuation firm, if applicable. |
Change in Interest Rates | Increase (Decrease) in Net Interest Income(1) | Percentage Change in Net Interest Income | |||||
Down 100 basis points | $ | 1,290 | 1.2 | % | |||
Down 50 basis points | (1,585 | ) | (1.5 | )% | |||
Current base interest rate | — | — | |||||
Up 50 basis points | 4,276 | 4.0 | % | ||||
Up 100 basis points | 8,560 | 8.1 | % | ||||
Up 200 basis points | 17,126 | 16.1 | % | ||||
Up 300 basis points | 25,693 | 24.2 | % |
(1) | This table assumes no change in defaults or prepayments by portfolio companies over the next twelve months. |
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 | 1,365,168 | $ | 9.10 | 1,365,168 | (1 | ) | |||||||
August 1 to August 31, 2017 | — | — | — | — | |||||||||
September 1 to September 30, 2017 | — | — | — | — | |||||||||
Total | 1,365,168 | $ | 9.10 | 1,365,168 | (1 | ) |
(1) | A description of the maximum number of shares of our common stock that may be repurchased is set forth in a detailed discussion of the terms of our share repurchase program in Note 3 to our unaudited consolidated financial statements contained in this Quarterly Report on Form 10-Q. |
Exhibit Number | Description of Document | |
2.1 | ||
3.1 | ||
3.2 | ||
3.3 | ||
4.1 | ||
4.2 | ||
10.1 | ||
10.2 | ||
10.3 | ||
10.4 | ||
10.5 | ||
10.6 | ||
10.7 | ||
10.8 | ||
10.9 | ||
10.10 | ||
10.11 | ||
10.12 | ||
10.13 | ||
10.14 | ||
10.15 | ||
10.16 |
Exhibit Number | Description of Document | |
10.17 | ||
10.18 | ||
10.19 | ||
10.20 | ||
10.21 | ||
10.22 | ||
10.23 | ||
10.24 | ||
10.25 | ||
10.26 | ||
10.27 | ||
10.28 | ||
10.29 | ||
10.30 | ||
10.31 | ||
10.32 | ||
10.33 | ||
10.34 | ||
10.35 | ||
31.1 | ||
31.2 | ||
31.3 | ||
32.1 | ||
32.2 | ||
32.3 |
By: /s/ Michael A. Reisner |
Michael A. Reisner |
Co-Chief Executive Officer |
(Principal Executive Officer) |
By: /s/ Mark Gatto |
Mark Gatto |
Co-Chief Executive Officer |
(Principal Executive Officer) |
By: /s/ Keith S. Franz |
Keith S. Franz |
Chief Financial Officer |
(Principal Financial and Accounting Officer) |
1. | I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared; |
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
1. | The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
1. | The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
1. | The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
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