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 |
Maryland | 46-1996220 | |
(State of Incorporation) | (I.R.S. Employer Identification No.) | |
2 Bethesda Metro Center 14th Floor Bethesda, MD 20814 | ||
(Address of principal executive offices) | ||
301-968-9310 | ||
(Registrant’s telephone number, including area code) |
Large accelerated filer | ¨ | Accelerated filer | x | |
Non-accelerated filer | ¨ | (Do not check if a smaller reporting company) | Smaller reporting company | ¨ |
PAGE | ||
PART I. FINANCIAL INFORMATION | ||
Item 1. | Financial Statements | |
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. | ||
June 30, 2016 (unaudited) | December 31, 2015 | |||||||
Assets: | ||||||||
Investments, fair value (cost of $252,347 and $261,875, respectively) | $ | 227,417 | $ | 229,056 | ||||
Cash and cash equivalents | 3,181 | 2,474 | ||||||
Receivable for investments sold | 3,675 | 3,096 | ||||||
Deferred financing costs | 227 | 273 | ||||||
Interest receivable | 576 | 583 | ||||||
Prepaid expenses and other assets | 347 | 89 | ||||||
Receivable from affiliate (see notes 3 and 4) | 455 | 234 | ||||||
Total assets | $ | 235,878 | $ | 235,805 | ||||
Liabilities: | ||||||||
Secured revolving credit facility payable (see note 7) | $ | 97,100 | $ | 110,200 | ||||
Payable for investments purchased | 11,872 | 5,437 | ||||||
Distributions to stockholders payable (see note 10) | 970 | 970 | ||||||
Management fee payable (see note 3) | 1,008 | 536 | ||||||
Interest payable (see note 7) | 26 | 52 | ||||||
Taxes payable (see note 8) | 69 | 278 | ||||||
Payable to affiliate (see note 4) | 161 | 217 | ||||||
Other liabilities and accrued expenses | 127 | 186 | ||||||
Total liabilities | 111,333 | 117,876 | ||||||
Commitments and contingencies (see note 11) | ||||||||
Net Assets: | ||||||||
Common stock, par value $0.01 per share; 10,000,100 issued and outstanding; 300,000,000 authorized | 100 | 100 | ||||||
Paid-in capital in excess of par | 150,903 | 150,903 | ||||||
Undistributed net investment income | 1,586 | 1,560 | ||||||
Accumulated net realized loss from investments | (3,114 | ) | (1,815 | ) | ||||
Net unrealized depreciation on investments | (24,930 | ) | (32,819 | ) | ||||
Total net assets | 124,545 | 117,929 | ||||||
Total liabilities and net assets | $ | 235,878 | $ | 235,805 | ||||
Net asset value per share outstanding | $ | 12.45 | $ | 11.79 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 4,272 | $ | 4,880 | $ | 8,617 | $ | 9,621 | ||||||||
Total investment income | 4,272 | 4,880 | 8,617 | 9,621 | ||||||||||||
Expenses: | ||||||||||||||||
Interest and commitment fee (see note 7) | 617 | 661 | 1,258 | 1,319 | ||||||||||||
Management fee (see note 3) | 511 | 563 | 1,008 | 1,141 | ||||||||||||
Professional fees | 181 | 43 | 234 | 91 | ||||||||||||
Insurance | 109 | 115 | 220 | 233 | ||||||||||||
Amortization of deferred financing costs | 23 | 97 | 46 | 194 | ||||||||||||
Other general and administrative expenses (see note 4) | 443 | 351 | 796 | 708 | ||||||||||||
Total expenses | 1,884 | 1,830 | 3,562 | 3,686 | ||||||||||||
Expense reimbursement (see notes 3 and 4) | (455 | ) | (227 | ) | (693 | ) | (472 | ) | ||||||||
Net expenses | 1,429 | 1,603 | 2,869 | 3,214 | ||||||||||||
Net investment income before taxes | 2,843 | 3,277 | 5,748 | 6,407 | ||||||||||||
Income tax benefit (provision) (see note 8) | 125 | (57 | ) | 98 | (127 | ) | ||||||||||
Net investment income | 2,968 | 3,220 | 5,846 | 6,280 | ||||||||||||
Net (loss) gain on investments: | ||||||||||||||||
Net realized (loss) gain on investments | (409 | ) | 78 | (1,299 | ) | 385 | ||||||||||
Net unrealized appreciation (depreciation) on investments | 7,709 | (150 | ) | 7,889 | 274 | |||||||||||
Income tax benefit | — | 11 | — | 11 | ||||||||||||
Net gain (loss) on investments | 7,300 | (61 | ) | 6,590 | 670 | |||||||||||
Net increase in net assets resulting from operations (“Net Earnings”) | $ | 10,268 | $ | 3,159 | $ | 12,436 | $ | 6,950 | ||||||||
Net investment income per share | $ | 0.30 | $ | 0.32 | $ | 0.58 | $ | 0.63 | ||||||||
Net Earnings per share (see note 5) | $ | 1.03 | $ | 0.32 | $ | 1.24 | $ | 0.70 | ||||||||
Distributions to stockholders declared per share | $ | 0.29 | $ | 0.29 | $ | 0.58 | $ | 0.58 | ||||||||
Weighted average shares outstanding | 10,000 | 10,000 | 10,000 | 10,000 |
Six Months Ended June 30, | ||||||||
2016 | 2015 | |||||||
Operations: | ||||||||
Net investment income | $ | 5,846 | $ | 6,280 | ||||
Net realized (loss) gain | (1,299 | ) | 385 | |||||
Net unrealized appreciation on investments | 7,889 | 285 | ||||||
Net Earnings | 12,436 | 6,950 | ||||||
Distributions to stockholders: | ||||||||
From net investment income | (5,820 | ) | (5,810 | ) | ||||
Capital Transactions: | ||||||||
Proceeds from initial public offering | — | — | ||||||
Offering costs | — | — | ||||||
Distribution for income taxes waived | — | (11 | ) | |||||
Net decrease in net assets from capital transactions | — | (11 | ) | |||||
Net increase in net assets | 6,616 | 1,129 | ||||||
Net assets beginning of period | 117,929 | 144,235 | ||||||
Net assets end of period | $ | 124,545 | $ | 145,364 | ||||
Undistributed net investment income included in net assets | $ | 1,586 | $ | 603 | ||||
Common shares outstanding | 10,000 | 10,000 |
Six Months Ended June 30, | ||||||||
2016 | 2015 | |||||||
Cash Flows from Operating Activities: | ||||||||
Net Earnings | $ | 12,436 | $ | 6,950 | ||||
Adjustments to reconcile net increase in net assets resulting from operations: | ||||||||
Net realized loss (gain) on investments | 1,299 | (385 | ) | |||||
Net unrealized appreciation on investments | (7,889 | ) | (274 | ) | ||||
Accretion of CLO interest income | (3,306 | ) | (3,582 | ) | ||||
Net amortization of discount on loans | (133 | ) | (24 | ) | ||||
Amortization of deferred financing costs | 46 | 194 | ||||||
Purchase of investments | (41,133 | ) | (75,084 | ) | ||||
Proceeds from disposition of investments | 52,801 | 83,528 | ||||||
Increase in receivable for investments sold | (579 | ) | (829 | ) | ||||
Increase in payable for investments purchased | 6,435 | 4,174 | ||||||
Increase in receivable from affiliate | (221 | ) | (63 | ) | ||||
Decrease in interest receivable | 7 | 144 | ||||||
Increase in prepaid expenses and other assets | (258 | ) | (123 | ) | ||||
Decrease in interest payable | (26 | ) | (4 | ) | ||||
(Decrease) increase in other liabilities and accrued expenses | (59 | ) | 13 | |||||
Decrease in payable to affiliate | (56 | ) | (29 | ) | ||||
Increase (decrease) in management fee payable | 472 | (14 | ) | |||||
Decrease (increase) in taxes payable | (209 | ) | 49 | |||||
Net cash provided by operating activities | 19,627 | 14,641 | ||||||
Cash Flows from Financing Activities: | ||||||||
Distributions to stockholders paid | (5,820 | ) | (7,740 | ) | ||||
Payments on revolving credit facility, net | (13,100 | ) | (6,200 | ) | ||||
Net cash used in financing activities | (18,920 | ) | (13,940 | ) | ||||
Net increase in cash and cash equivalents | 707 | 701 | ||||||
Cash and cash equivalents at beginning of period | 2,474 | 1,757 | ||||||
Cash and cash equivalents at end of period | $ | 3,181 | $ | 2,458 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid for interest and commitment fees | $ | 1,284 | $ | 1,323 | ||||
Cash paid for income taxes | $ | 240 | $ | 67 | ||||
Distributions to stockholders declared and payable during the period | 5,820 | 5,810 | ||||||
Supplemental disclosure of non-cash financing activity: | ||||||||
Distribution for income taxes waived | $ | — | $ | (11 | ) |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
Non-Control/Non-Affiliate Investments | |||||||||||||||||||||||
First Lien Floating Rate Loans —139.6% of Net Assets | |||||||||||||||||||||||
24 Hour Fitness Worldwide, Inc. (5) | 05/28/21 | 4.75 | % | L+ 3.75 | 1.00% | Hotels, Restaurants & Leisure | $ | 1,962 | $ | 1,957 | $ | 1,896 | |||||||||||
Acosta, Inc. (5) | 09/26/21 | 4.25 | % | L+ 3.25 | 1.00% | Media | 2,463 | 2,429 | 2,373 | ||||||||||||||
ADMI Corp. (5) | 04/29/22 | 5.25 | % | L+ 4.25 | 1.00% | Health Care Providers & Services | 1,542 | 1,538 | 1,546 | ||||||||||||||
Aegis Toxicology Sciences Corporation (5) | 02/24/21 | 5.50 | % | L+ 4.50 | 1.00% | Health Care Providers & Services | 1,633 | 1,626 | 1,503 | ||||||||||||||
Agrofresh Inc. (3), (5) | 07/31/21 | 5.75 | % | L+ 4.75 | 1.00% | Chemicals | 644 | 642 | 629 | ||||||||||||||
Air Medical Group Holdings, Inc. (5) | 04/28/22 | 4.25 | % | L+ 3.25 | 1.00% | Health Care Providers & Services | 1,980 | 1,984 | 1,937 | ||||||||||||||
Albertson's LLC (5) | 12/21/22 | 4.75 | % | L+ 3.75 | 1.00% | Food & Staples Retailing | 990 | 965 | 991 | ||||||||||||||
AlixPartners, LLP (5) | 07/28/22 | 4.50 | % | L+ 3.50 | 1.00% | Diversified Financial Services | 1,985 | 1,981 | 1,985 | ||||||||||||||
Alliant Holdings Intermediate, LLC (5) | 08/12/22 | 4.50 | % | L+ 3.50 | 1.00% | Insurance | 1,040 | 1,037 | 1,026 | ||||||||||||||
Altice France S. A. (5) | 01/15/24 | 5.00 | % | L+ 4.25 | 0.75% | Media | 1,500 | 1,485 | 1,492 | ||||||||||||||
American Tire Distributors, Inc. (5) | 09/01/21 | 5.25 | % | L+ 4.25 | 1.00% | Distributors | 1,471 | 1,465 | 1,425 | ||||||||||||||
Amneal Pharmaceuticals LLC (5) | 11/01/19 | 4.50 | % | L+ 3.50 | 1.00% | Pharmaceuticals | 987 | 987 | 983 | ||||||||||||||
AmWINS Group, LLC (5) | 09/06/19 | 4.75 | % | L+ 3.75 | 1.00% | Insurance | 2,919 | 2,929 | 2,921 | ||||||||||||||
Anchor Glass Container Corporation (5) | 07/01/22 | 4.75 | % | L+ 3.75 | 1.00% | Containers & Packaging | 2,429 | 2,418 | 2,426 | ||||||||||||||
APLP Holdings Limited Partnership (5) | 04/13/23 | 6.00 | % | L+ 5.00 | 1.00% | Independent Power and Renewable Electricity Producers | 482 | 468 | 483 | ||||||||||||||
AqGen Ascensus, Inc. (5) | 12/05/22 | 5.50 | % | L+ 4.50 | 1.00% | Capital Markets | 1,493 | 1,436 | 1,475 | ||||||||||||||
Aquilex LLC (5) | 12/31/20 | 5.00 | % | L+ 4.00 | 1.00% | Commercial Services & Supplies | 906 | 905 | 868 | ||||||||||||||
Ardent Legacy Acquisitions, Inc. (5) | 08/04/21 | 6.50 | % | L+ 5.50 | 1.00% | Health Care Providers & Services | 331 | 328 | 332 | ||||||||||||||
Arnold and S. Bleichroeder Holdings, Inc. (5) | 12/01/22 | 4.75 | % | L+ 4.00 | 0.75% | Capital Markets | 711 | 698 | 698 | ||||||||||||||
Ascend Learning, LLC (5) | 07/31/19 | 5.50 | % | L+ 4.50 | 1.00% | Diversified Consumer Services | 586 | 584 | 586 | ||||||||||||||
Asurion, LLC (5) | 08/04/22 | 5.00 | % | L+ 4.00 | 1.00% | Commercial Services & Supplies | 2,155 | 2,134 | 2,130 | ||||||||||||||
Avaya Inc. (5) | 05/29/20 | 6.25 | % | L+ 5.25 | 1.00% | Software | 991 | 822 | 709 | ||||||||||||||
BJ's Wholesale Club, Inc. (5) | 09/26/19 | 4.50 | % | L+ 3.50 | 1.00% | Food & Staples Retailing | 1,431 | 1,432 | 1,419 | ||||||||||||||
Blackboard Inc. (5) | 10/04/18 | 4.75 | % | L+ 3.75 | 1.00% | Software | 2,423 | 2,424 | 2,292 | ||||||||||||||
BWay Intermediate Company, Inc. (5) | 08/14/20 | 5.52 | % | L+ 4.50 | 1.00% | Containers & Packaging | 2,378 | 2,362 | 2,374 | ||||||||||||||
C.H.I. Overhead Doors, Inc. (5) | 07/29/22 | 4.75 | % | L+ 3.75 | 1.00% | Building Products | 331 | 330 | 329 | ||||||||||||||
Calceus Acquisition, Inc. (5) | 01/31/20 | 5.00 | % | L+ 4.00 | 1.00% | Textiles, Apparel & Luxury Goods | 2,325 | 2,332 | 1,744 | ||||||||||||||
Camp International Holding Company (5) | 05/31/19 | 4.75 | % | L+ 3.75 | 1.00% | Transportation Infrastructure | 1,950 | 1,967 | 1,944 | ||||||||||||||
Candy Intermediate Holdings, Inc. | 06/15/23 | 5.50 | % | L+ 4.50 | 1.00% | Food Products | 1,800 | 1,798 | 1,801 | ||||||||||||||
Carecore National, LLC (5) | 03/05/21 | 5.50 | % | L+ 4.50 | 1.00% | Health Care Providers & Services | 2,009 | 2,009 | 1,864 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
First Lien Floating Rate Loans (continued) —139.6% of Net Assets | |||||||||||||||||||||||
CCM Merger Inc. (5) | 08/06/21 | 4.50 | % | L+ 3.50 | 1.00% | Hotels, Restaurants & Leisure | $ | 822 | $ | 817 | $ | 823 | |||||||||||
CEC Entertainment, Inc. (5), (7) | 02/12/21 | 4.00 | % | L+ 3.00 | 1.00% | Hotels, Restaurants & Leisure | 746 | 720 | 726 | ||||||||||||||
Checkout Holding Corp. (5) | 04/09/21 | 4.50 | % | L+ 3.50 | 1.00% | Media | 2,450 | 2,449 | 2,062 | ||||||||||||||
CHG Healthcare Services, Inc. (5) | 06/07/23 | 4.75 | % | L+ 3.75 | 1.00% | Health Care Providers & Services | 665 | 665 | 666 | ||||||||||||||
CityCenter Holdings, LLC (5) | 10/16/20 | 4.25 | % | L+ 3.25 | 1.00% | Hotels, Restaurants & Leisure | 1,461 | 1,468 | 1,463 | ||||||||||||||
CNT Holdings III Corp (5) | 01/22/23 | 5.25 | % | L+ 4.25 | 1.00% | Internet & Catalog Retail | 499 | 494 | 499 | ||||||||||||||
Compuware Corporation (5) | 12/15/21 | 6.25 | % | L+ 5.25 | 1.00% | Software | 2,957 | 2,897 | 2,749 | ||||||||||||||
Cotiviti Corporation (5) | 05/14/21 | 4.50 | % | L+ 3.50 | 1.00% | Professional Services | 1,105 | 1,097 | 1,104 | ||||||||||||||
CPG International Inc. (5) | 09/30/20 | 4.75 | % | L+ 3.75 | 1.00% | Building Products | 1,928 | 1,928 | 1,901 | ||||||||||||||
CPI Buyer, LLC (5) | 08/16/21 | 5.50 | % | L+ 4.50 | 1.00% | Trading Companies & Distributors | 968 | 957 | 948 | ||||||||||||||
CT Technologies Intermediate Holdings, Inc. (5) | 12/01/21 | 5.25 | % | L+ 4.25 | 1.00% | Health Care Technology | 495 | 493 | 488 | ||||||||||||||
Dell International LLC (5) | 04/29/20 | 4.00 | % | L+ 3.25 | 0.75% | Technology Hardware, Storage & Peripherals | 2,481 | 2,488 | 2,477 | ||||||||||||||
Dell International LLC (5) | 06/02/23 | 4.00 | % | L+ 3.25 | 0.75% | Technology Hardware, Storage & Peripherals | 2,000 | 1,990 | 1,996 | ||||||||||||||
Deltek, Inc. (5) | 06/25/22 | 5.00 | % | L+ 4.00 | 1.00% | Software | 2,872 | 2,867 | 2,869 | ||||||||||||||
Dole Food Company, Inc. (5) | 11/01/18 | 4.50 | % | L+ 3.50 | 1.00% | Food Products | 2,499 | 2,496 | 2,494 | ||||||||||||||
Duff & Phelps Corporation (5) | 04/23/20 | 4.75 | % | L+ 3.75 | 1.00% | Capital Markets | 2,406 | 2,407 | 2,400 | ||||||||||||||
Electrical Components International, Inc. (5) | 05/28/21 | 5.75 | % | L+ 4.75 | 1.00% | Electrical Equipment | 1,818 | 1,821 | 1,818 | ||||||||||||||
Emerald Expositions Holding, Inc. (5) | 06/17/20 | 4.75 | % | L+ 3.75 | 1.00% | Media | 2,464 | 2,479 | 2,461 | ||||||||||||||
Epicor Software Corporation (5) | 06/01/22 | 4.75 | % | L+ 3.75 | 1.00% | Software | 1,992 | 1,975 | 1,961 | ||||||||||||||
Erie Acquisition Holdings, Inc. (5), (7) | 03/01/23 | 5.75 | % | L+ 4.75 | 1.00% | Commercial Services & Supplies | 499 | 489 | 501 | ||||||||||||||
EWT Holdings III Corp. (5) | 01/15/21 | 4.75 | % | L+ 3.75 | 1.00% | Machinery | 975 | 972 | 968 | ||||||||||||||
Expro Finservices S.à r.l. (3), (5) | 09/02/21 | 5.75 | % | L+ 4.75 | 1.00% | Energy Equipment & Services | 1,965 | 1,943 | 1,487 | ||||||||||||||
Fairmount Minerals, Ltd. (5) | 09/05/19 | 4.50 | % | L+ 3.50 | 1.00% | Metals & Mining | 924 | 927 | 754 | ||||||||||||||
Filtration Group Corporation (5) | 11/23/20 | 4.25 | % | L+ 3.25 | 1.00% | Industrial Conglomerates | 993 | 993 | 989 | ||||||||||||||
Fitness International, LLC (5), (7) | 07/01/20 | 5.50 | % | L+ 4.50 | 1.00% | Hotels, Restaurants & Leisure | 1,750 | 1,726 | 1,736 | ||||||||||||||
Gates Global LLC (5) | 07/06/21 | 4.25 | % | L+ 3.25 | 1.00% | Machinery | 1,460 | 1,458 | 1,389 | ||||||||||||||
Global Tel*Link Corporation (5) | 05/23/20 | 5.00 | % | L+ 3.75 | 1.25% | Diversified Telecommunications Services | 1,659 | 1,638 | 1,502 | ||||||||||||||
Gruden Acquisition, Inc. (5) | 08/18/22 | 5.75 | % | L+ 4.75 | 1.00% | Road & Rail | 332 | 329 | 307 | ||||||||||||||
HFOTC LLC (5), (7) | 08/19/21 | 4.25 | % | L+ 3.25 | 1.00% | Oil, Gas & Consumable Fuels | 1,495 | 1,434 | 1,446 | ||||||||||||||
HGIM Corp. (5) | 06/18/20 | 5.50 | % | L+ 4.50 | 1.00% | Marine | 1,459 | 1,462 | 879 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
First Lien Floating Rate Loans (continued) —139.6% of Net Assets | |||||||||||||||||||||||
HLX Ply Holdings, Inc. (5) | 12/05/21 | 6.00 | % | L+ 5.00 | 1.00% | Containers & Packaging | $ | 500 | $ | 497 | $ | 502 | |||||||||||
Hyland Software, Inc. (5) | 07/01/22 | 4.75 | % | L+ 3.75 | 1.00% | Software | 2,470 | 2,451 | 2,461 | ||||||||||||||
Immucor, Inc. (5) | 08/19/18 | 5.00 | % | L+ 3.75 | 1.25% | Health Care Equipment & Supplies | 980 | 984 | 922 | ||||||||||||||
Indra Holdings Corp. (5) | 05/01/21 | 5.25 | % | L+ 4.25 | 1.00% | Textiles, Apparel & Luxury Goods | 1,190 | 1,182 | 994 | ||||||||||||||
Informatica Corporation (5) | 08/05/22 | 4.50 | % | L+ 3.50 | 1.00% | Software | 1,985 | 1,981 | 1,937 | ||||||||||||||
Information Resources, Inc. (5) | 09/30/20 | 4.75 | % | L+ 3.75 | 1.00% | Professional Services | 1,931 | 1,941 | 1,933 | ||||||||||||||
Inmar, Inc. (5) | 01/27/21 | 4.25 | % | L+ 3.25 | 1.00% | Commercial Services & Supplies | 2,704 | 2,685 | 2,676 | ||||||||||||||
Ion Media Networks, Inc. (5) | 12/18/20 | 4.75 | % | L+ 3.75 | 1.00% | Media | 1,897 | 1,906 | 1,898 | ||||||||||||||
IPC Corp. (5) | 08/06/21 | 5.50 | % | L+ 4.50 | 1.00% | Software | 1,481 | 1,475 | 1,360 | ||||||||||||||
Jaguar Holding Company II (5) | 08/18/22 | 4.25 | % | L+ 3.25 | 1.00% | Life Sciences Tools & Services | 1,485 | 1,478 | 1,473 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/19/21 | 4.50 | % | L+ 3.50 | 1.00% | Aerospace & Defense | 1,961 | 1,965 | 1,775 | ||||||||||||||
Kronos Acquisition Intermediate Inc. (3), (5) | 08/26/22 | 6.00 | % | L+ 5.00 | 1.00% | Household Products | 993 | 971 | 981 | ||||||||||||||
Landslide Holdings, Inc. (5) | 02/25/20 | 5.00 | % | L+ 4.00 | 1.00% | Software | 978 | 975 | 974 | ||||||||||||||
Language Line, LLC (5) | 07/07/21 | 6.50 | % | L+ 5.50 | 1.00% | Commercial Services & Supplies | 888 | 880 | 889 | ||||||||||||||
Learning Care Group (US) No. 2 Inc. (5) | 05/05/21 | 5.00 | % | L+ 4.00 | 1.00% | Diversified Consumer Services | 1,011 | 1,011 | 1,012 | ||||||||||||||
Liberty Cablevision of Puerto Rico LLC (5) | 01/07/22 | 4.50 | % | L+ 3.50 | 1.00% | Media | 1,000 | 993 | 982 | ||||||||||||||
Life Time Fitness, Inc. (5) | 06/10/22 | 4.25 | % | L+ 3.25 | 1.00% | Hotels, Restaurants & Leisure | 869 | 863 | 849 | ||||||||||||||
Manitowoc Foodservice, Inc. (3), (5) | 03/03/23 | 5.75 | % | L+ 4.75 | 1.00% | Machinery | 731 | 717 | 738 | ||||||||||||||
McGraw-Hill Global Education Holdings, LLC (5) | 05/04/22 | 5.00 | % | L+ 4.00 | 1.00% | Media | 1,000 | 995 | 1,000 | ||||||||||||||
Mitchell International, Inc. (5) | 10/13/20 | 4.50 | % | L+ 3.50 | 1.00% | Software | 2,389 | 2,398 | 2,358 | ||||||||||||||
Moneygram International, Inc. (3), (5) | 03/27/20 | 4.25 | % | L+ 3.25 | 1.00% | IT Services | 599 | 572 | 569 | ||||||||||||||
MPH Acquisition Holdings LLC (5) | 06/07/23 | 5.00 | % | L+ 4.00 | 1.00% | Health Care Providers & Services | 500 | 498 | 502 | ||||||||||||||
National Financial Partners Corp. (5) | 07/01/20 | 4.50 | % | L+ 3.50 | 1.00% | Insurance | 2,454 | 2,465 | 2,435 | ||||||||||||||
New Millennium Holdco, Inc. (5) | 12/21/20 | 7.50 | % | L+ 6.50 | 1.00% | Health Care Providers & Services | 322 | 322 | 239 | ||||||||||||||
NVA Holdings, Inc. (5) | 08/14/21 | 5.50 | % | L+ 4.50 | 1.00% | Health Care Providers & Services | 623 | 622 | 624 | ||||||||||||||
Omnitracs, LLC (5) | 11/25/20 | 4.75 | % | L+ 3.75 | 1.00% | Internet Software & Services | 997 | 980 | 975 | ||||||||||||||
Onex Carestream Finance LP (5) | 06/07/19 | 5.00 | % | L+ 4.00 | 1.00% | Health Care Equipment & Supplies | 1,659 | 1,663 | 1,593 | ||||||||||||||
Opal Acquisition, Inc. (5) | 11/27/20 | 5.00 | % | L+ 4.00 | 1.00% | Health Care Providers & Services | 2,900 | 2,885 | 2,549 | ||||||||||||||
Ortho-Clinical Diagnostics S.A. (3), (5) | 06/30/21 | 4.75 | % | L+ 3.75 | 1.00% | Health Care Providers & Services | 2,464 | 2,404 | 2,338 | ||||||||||||||
Peabody Energy Corporation (3), (5), (9) | 09/24/20 | 4.25 | % | L+ 3.25 | 1.00% | Oil, Gas & Consumable Fuels | 769 | 662 | 332 | ||||||||||||||
PetSmart, Inc. (5) | 03/11/22 | 4.25 | % | L+ 3.25 | 1.00% | Specialty Retail | 490 | 488 | 489 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
First Lien Floating Rate Loans (continued) —139.6% of Net Assets | |||||||||||||||||||||||
Phillips-Medisize Corporation (5) | 06/16/21 | 4.75 | % | L+ 3.75 | 1.00% | Health Care Equipment & Supplies | $ | 1,202 | $ | 1,201 | $ | 1,193 | |||||||||||
Plaskolite, LLC (5) | 11/03/22 | 5.50 | % | L+ 4.50 | 1.00% | Chemicals | 547 | 542 | 548 | ||||||||||||||
Plaze, Inc. (5) | 07/31/22 | 5.25 | % | L+ 4.25 | 1.00% | Chemicals | 830 | 829 | 830 | ||||||||||||||
PODS, LLC (5) | 02/02/22 | 4.50 | % | L+ 3.50 | 1.00% | Road & Rail | 997 | 986 | 992 | ||||||||||||||
Power Buyer, LLC (5) | 05/06/20 | 4.25 | % | L+ 3.25 | 1.00% | Construction & Engineering | 998 | 996 | 994 | ||||||||||||||
Presidio, Inc. (5) | 02/02/22 | 5.25 | % | L+ 4.25 | 1.00% | IT Services | 1,333 | 1,333 | 1,314 | ||||||||||||||
PrimeLine Utility Services LLC (5) | 11/14/22 | 6.50 | % | L+ 5.50 | 1.00% | Construction & Engineering | 987 | 978 | 985 | ||||||||||||||
Quikrete Holdings, Inc. (5) | 09/28/20 | 4.00 | % | L+ 3.00 | 1.00% | Constructions Materials | 2,086 | 2,093 | 2,086 | ||||||||||||||
Ravago Holdings America, Inc. (5) | 06/30/23 | 5.00 | % | L+ 4.00 | 1.00% | Trading Companies & Distributors | 500 | 495 | 499 | ||||||||||||||
Renaissance Learning, Inc. (5) | 04/09/21 | 4.50 | % | L+ 3.50 | 1.00% | Software | 1,955 | 1,954 | 1,915 | ||||||||||||||
RGIS Services, LLC (5) | 10/18/17 | 5.50 | % | L+ 4.25 | 1.25% | Commercial Services & Supplies | 1,506 | 1,502 | 1,287 | ||||||||||||||
Riverbed Technology, Inc. (5) | 04/25/22 | 5.00 | % | L+ 4.00 | 1.00% | Communications Equipment | 1,975 | 1,975 | 1,978 | ||||||||||||||
Road Infrastructure Investment Holdings, Inc. (5) | 06/13/23 | 5.00 | % | L+ 4.00 | 1.00% | Chemicals | 800 | 798 | 800 | ||||||||||||||
Scientific Games International, Inc. (3), (5) | 10/01/21 | 6.00 | % | L+ 5.00 | 1.00% | Hotels, Restaurants & Leisure | 983 | 975 | 970 | ||||||||||||||
Sears Roebuck Acceptance Corp. (3), (5) | 06/30/18 | 5.50 | % | L+ 4.50 | 1.00% | Multiline Retail | 982 | 973 | 939 | ||||||||||||||
Securus Technologies Holdings, Inc. (5) | 04/30/20 | 4.75 | % | L+ 3.50 | 1.25% | Diversified Telecommunications Services | 1,876 | 1,857 | 1,778 | ||||||||||||||
Sedgwick Claims Management Services, Inc. (5) | 03/01/21 | 5.25 | % | L+ 4.25 | 1.00% | Insurance | 500 | 494 | 501 | ||||||||||||||
Shearer's Foods, LLC (5) | 06/30/21 | 5.25 | % | L+ 4.25 | 1.00% | Food Products | 498 | 493 | 489 | ||||||||||||||
Solera, LLC (3), (5) | 03/03/23 | 5.75 | % | L+ 4.75 | 1.00% | Software | 499 | 484 | 499 | ||||||||||||||
Sterigenics-Nordion Holdings, LLC (5) | 05/16/22 | 4.25 | % | L+ 3.25 | 1.00% | Life Sciences Tools & Services | 900 | 892 | 894 | ||||||||||||||
STS Operating, Inc. (5) | 02/12/21 | 4.75 | % | L+ 3.75 | 1.00% | Trading Companies & Distributors | 1,906 | 1,915 | 1,697 | ||||||||||||||
Surgery Center Holdings, Inc. (5) | 11/03/20 | 5.25 | % | L+ 4.25 | 1.00% | Health Care Providers & Services | 1,970 | 1,963 | 1,965 | ||||||||||||||
Syniverse Holdings, Inc. (5) | 04/23/19 | 4.00 | % | L+ 3.00 | 1.00% | Wireless Telecommunication Services | 1,466 | 1,440 | 1,092 | ||||||||||||||
TCH-2 Holdings, LLC (5) | 05/06/21 | 5.50 | % | L+ 4.50 | 1.00% | Internet Software & Services | 546 | 527 | 543 | ||||||||||||||
Thermasys Corp. (5) | 05/03/19 | 5.25 | % | L+ 4.00 | 1.25% | Machinery | 447 | 448 | 369 | ||||||||||||||
TPF II Power, LLC (5) | 10/02/21 | 5.52 | % | L+ 4.50 | 1.00% | Independent Power and Renewable Electricity Producers | 953 | 948 | 951 | ||||||||||||||
Travelport Finance (Luxembourg) S.à r.l. (3), (5) | 09/02/21 | 5.00 | % | L+ 4.00 | 1.00% | Internet Software & Services | 1,970 | 1,952 | 1,962 | ||||||||||||||
Turbocombustor Technology, Inc. (5) | 12/02/20 | 5.50 | % | L+ 4.50 | 1.00% | Aerospace & Defense | 3,413 | 3,391 | 3,071 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
First Lien Floating Rate Loans (continued) —139.6% of Net Assets | |||||||||||||||||||||||
U.S. Renal Care, Inc. (5) | 12/30/22 | 5.25 | % | L+ 4.25 | 1.00% | Health Care Providers & Services | $ | 498 | $ | 493 | $ | 498 | |||||||||||
Univision Communications Inc. (5) | 03/01/20 | 4.00 | % | L+ 3.00 | 1.00% | Media | 1,480 | 1,481 | 1,474 | ||||||||||||||
USAGM Holdco, LLC (5) | 07/28/22 | 5.50 | % | L+ 4.50 | 1.00% | Commercial Services & Supplies | 166 | 164 | 164 | ||||||||||||||
USAGM Holdco, LLC (5) | 07/28/22 | 5.50 | % | L+ 4.50 | 1.00% | Commercial Services & Supplies | 834 | 825 | 827 | ||||||||||||||
USI, Inc. (5) | 12/27/19 | 4.25 | % | L+ 3.25 | 1.00% | Insurance | 1,945 | 1,956 | 1,923 | ||||||||||||||
USIC Holdings, Inc. (5) | 07/10/20 | 4.00 | % | L+ 3.00 | 1.00% | Construction & Engineering | 1,447 | 1,452 | 1,427 | ||||||||||||||
VF Holding Corp. (5) | 06/30/23 | 4.75 | % | L+ 3.75 | 1.00% | Internet Software & Services | 1,000 | 995 | 998 | ||||||||||||||
Weight Watchers International, Inc. (3), (5) | 04/02/20 | 4.00 | % | L+ 3.25 | 0.75% | Diversified Consumer Services | 992 | 828 | 745 | ||||||||||||||
William Morris Endeavor Entertainment, LLC (5) | 05/06/21 | 5.25 | % | L+ 4.25 | 1.00% | Media | 1,955 | 1,953 | 1,951 | ||||||||||||||
WP CPP Holdings, LLC (5) | 12/28/19 | 4.50 | % | L+ 3.50 | 1.00% | Aerospace & Defense | 2,422 | 2,418 | 2,347 | ||||||||||||||
Total First Lien Floating Rate Loans | $ | 181,570 | $ | 180,259 | $ | 173,898 | |||||||||||||||||
Second Lien Floating Rate Loans —13.2% of Net Assets | |||||||||||||||||||||||
Advantage Sales & Marketing Inc. (5) | 07/25/22 | 7.50 | % | L+ 6.50 | 1.00% | Professional Services | $ | 1,000 | $ | 994 | $ | 937 | |||||||||||
Ameriforge Group Inc. (6), (9) | 12/21/20 | 8.75 | % | L+ 7.50 | 1.25% | Energy Equipment & Services | 500 | 467 | 90 | ||||||||||||||
Applied Systems, Inc. | 01/24/22 | 7.50 | % | L+ 6.50 | 1.00% | Software | 970 | 965 | 965 | ||||||||||||||
Asurion, LLC (5) | 03/03/21 | 8.50 | % | L+ 7.50 | 1.00% | Commercial Services & Supplies | 1,000 | 990 | 967 | ||||||||||||||
Camp International Holding Company (5) | 11/29/19 | 8.25 | % | L+ 7.25 | 1.00% | Transportation Infrastructure | 1,000 | 983 | 980 | ||||||||||||||
Camp International Holding Company | 11/29/19 | 8.25 | % | L+ 7.25 | 1.00% | Transportation Infrastructure | 1,000 | 1,000 | 980 | ||||||||||||||
Checkout Holding Corp. (5) | 04/11/22 | 7.75 | % | L+ 6.75 | 1.00% | Media | 1,000 | 1,002 | 629 | ||||||||||||||
Cotiviti Corporation (5) | 05/13/22 | 8.00 | % | L+ 7.00 | 1.00% | Professional Services | 136 | 135 | 136 | ||||||||||||||
Del Monte Foods, Inc. (3), (5) | 08/18/21 | 8.25 | % | L+ 7.25 | 1.00% | Food Products | 1,500 | 1,499 | 1,080 | ||||||||||||||
EWT Holdings III Corp. | 01/15/22 | 8.50 | % | L+ 7.50 | 1.00% | Machinery | 1,000 | 997 | 960 | ||||||||||||||
Filtration Group Corporation(5) | 11/22/21 | 8.25 | % | L+ 7.25 | 1.00% | Industrial Conglomerates | 126 | 125 | 125 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/19/22 | 7.75 | % | L+ 6.75 | 1.00% | Aerospace & Defense | 1,250 | 1,255 | 962 | ||||||||||||||
Jonah Energy LLC (5), (6) | 05/12/21 | 7.50 | % | L+ 6.50 | 1.00% | Oil, Gas & Consumable Fuels | 500 | 495 | 444 | ||||||||||||||
Landslide Holdings, Inc. | 02/25/21 | 8.25 | % | L+ 7.25 | 1.00% | Software | 1,000 | 995 | 975 | ||||||||||||||
Mitchell International, Inc. (5) | 10/11/21 | 8.50 | % | L+ 7.50 | 1.00% | Software | 750 | 705 | 698 | ||||||||||||||
Ranpak Corp. (5) | 10/03/22 | 8.25 | % | L+ 7.25 | 1.00% | Containers & Packaging | 1,375 | 1,374 | 1,231 | ||||||||||||||
Sedgwick Claims Management Services, Inc. (5) | 02/28/22 | 6.75 | % | L+ 5.75 | 1.00% | Insurance | 2,500 | 2,409 | 2,406 | ||||||||||||||
Solenis International, L.P. (5) | 07/31/22 | 7.75 | % | L+ 6.75 | 1.00% | Chemicals | 500 | 498 | 467 | ||||||||||||||
U.S. Renal Care, Inc. (5) | 12/29/23 | 9.00 | % | L+ 8.00 | 1.00% | Health Care Providers & Services | 1,000 | 986 | 985 | ||||||||||||||
WP CPP Holdings, LLC (5) | 04/30/21 | 8.75 | % | L+ 7.75 | 1.00% | Aerospace & Defense | 493 | 501 | 446 | ||||||||||||||
Total Second Lien Floating Rate Loans | $ | 18,600 | $ | 18,375 | $ | 16,463 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
CLO Equity —29.7% of Net Assets | |||||||||||||||||||||||
Apidos CLO XIV, Income Notes (3), (4), (6) | 04/15/25 | 15.84 | % | $ | 5,900 | $ | 4,348 | $ | 3,283 | ||||||||||||||
Apidos CLO XVIII, Income Notes (3), (4), (6) | 07/22/26 | 12.64 | % | 2,500 | 1,860 | 1,293 | |||||||||||||||||
Ares XXIX CLO Ltd., Subordinated Notes (3), (4), (6) | 04/17/26 | 9.63 | % | 4,750 | 3,737 | 2,406 | |||||||||||||||||
Avery Point II CLO, Income Notes (3), (4), (6) | 07/17/25 | 24.48 | % | 3,200 | 2,108 | 1,031 | |||||||||||||||||
Babson 2015-1, Income Notes (3), (4), (6) | 04/20/27 | 16.37 | % | 2,500 | 2,046 | 1,747 | |||||||||||||||||
Betony CLO, Ltd., Subordinated Notes (3), (4), (6) | 04/15/27 | 10.35 | % | 2,500 | 2,009 | 1,291 | |||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Notes (3), (4), (6) | 01/15/26 | 14.05 | % | 5,400 | 4,134 | 1,773 | |||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Fee Notes (3), (4), (6) | 01/15/26 | 40.20 | % | 99 | 68 | 65 | |||||||||||||||||
Carlyle Global Market Strategies CLO 2015-3, LTD., Subordinated Notes (3), (4), (6) | 07/28/28 | 22.23 | % | 3,000 | 2,332 | 2,263 | |||||||||||||||||
Cent CLO 18 Limited, Subordinated Notes (3), (4), (6) | 07/23/25 | 13.51 | % | 4,675 | 3,366 | 2,205 | |||||||||||||||||
Cent CLO 19 Limited, Subordinated Notes (3), (4), (6) | 10/29/25 | 12.00 | % | 2,750 | 2,080 | 1,351 | |||||||||||||||||
Dryden 30 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 11/15/25 | 23.61 | % | 2,500 | 1,545 | 1,242 | |||||||||||||||||
Dryden 31 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 04/18/26 | 13.40 | % | 5,250 | 3,713 | 2,583 | |||||||||||||||||
Galaxy XVI CLO, Ltd., Subordinated Notes (3), (4), (6) | 11/17/25 | 14.73 | % | 2,750 | 2,009 | 1,459 | |||||||||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd., Subordinated Notes (3), (4), (6) | 04/18/26 | 51.96 | % | 3,750 | 2,744 | 1,335 | |||||||||||||||||
Highbridge Loan Management 2013-2, Ltd., Subordinated Notes (3), (4), (6) | 10/20/24 | 21.22 | % | 1,000 | 703 | 646 | |||||||||||||||||
Magnetite VIII, Limited, Subordinated Notes (3), (4), (6) | 04/15/26 | 14.08 | % | 3,000 | 2,446 | 1,942 | |||||||||||||||||
Neuberger Berman CLO XV, Ltd., Subordinated Notes (3), (4), (6) | 10/15/25 | 15.79 | % | 3,410 | 2,235 | 1,715 | |||||||||||||||||
Octagon Investment Partners XIV, Ltd., Income Notes (3), (4), (6) | 01/15/24 | 13.04 | % | 5,500 | 3,586 | 1,886 | |||||||||||||||||
Octagon Investment Partners XX, Ltd., Subordinated Notes (3), (4), (6) | 08/12/26 | 8.90 | % | 2,500 | 1,985 | 1,299 | |||||||||||||||||
OZLM VI, Ltd., Subordinated Notes (3), (4), (6) | 04/17/26 | 38.14 | % | 2,000 | 1,024 | 1,188 | |||||||||||||||||
OZLM VII, Ltd., Subordinated Notes (3), (4), (6) | 07/17/26 | 38.37 | % | 1,000 | 531 | 591 | |||||||||||||||||
THL Credit Wind River 2014-1 CLO Ltd., Subordinated Notes (3), (4), (6) | 04/18/26 | 17.86 | % | 4,000 | 3,104 | 2,427 | |||||||||||||||||
Total CLO Equity | $ | 73,934 | $ | 53,713 | $ | 37,021 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | |||||||||||||||
Common Equity —0.0% of Net Assets | |||||||||||||||||||||||
New Millennium Holdco, Inc. (9,446 shares) (5), (6), (10) | Health Care Providers & Services | $ | — | $ | — | $ | 35 | ||||||||||||||||
Total Common Equity | $ | — | $ | — | $ | 35 | |||||||||||||||||
Total Non-Control/Non-Affiliate Investments (8) — 182.5% of Net Assets | $ | 274,104 | $ | 252,347 | $ | 227,417 | |||||||||||||||||
Liabilities in Excess of Other Assets — (82.5%) of Net Assets | (102,872 | ) | |||||||||||||||||||||
Net Assets — 100.0% | $ | 124,545 |
(1) | For each debt investment we have provided the weighted-average interest rate in effect as of June 30, 2016. For each CLO investment we have provided the accounting yield as of June 30, 2016 determined using the effective interest method that will be applied to the current amortized cost of the investment as adjusted for credit impairments, if any, in the following quarter. See Note 2 in this Quarterly Report on Form 10-Q regarding the recognition of Investment Income on CLOs. |
(2) | Floating rate debt investments typically accrue interest at a predetermined spread relative to an index, typically the London Interbank Offered Rate (“LIBOR” or “L”) or the prime index rate (“PRIME” or “P”), and reset monthly, quarterly or semi-annually. These instruments may be subject to a LIBOR or PRIME rate floor. |
(3) | Investments that are not “qualifying assets” under Section 55(a) of the 1940 Act. Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. As of June 30, 2016, qualifying assets represented 78% of total assets. |
(4) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(5) | Assets are held at ACSF Funding and are pledged as collateral for the Credit Facility. |
(6) | Fair value was determined using significant unobservable inputs and are classified as Level 3 in the fair value hierarchy. |
(7) | All or a portion of this position has not settled as of June 30, 2016. |
(8) | Net estimated unrealized loss for federal income tax purposes is $(31,388) as of June 30, 2016 based on a tax cost of $258,805. Estimated aggregate gross unrealized loss for federal income tax purposes as of June 30, 2016 is $(33,008); estimated aggregate gross unrealized gain for federal income tax purposes as of June 30, 2016 is $1,620. |
(9) | Investment is on non-accrual as of June 30, 2016 and therefore considered non-income producing. All subsequent cash received from investment will be used to reduce its cost basis until the investment is placed back on accrual status or the cost basis has been collected. |
(10) | Common stock is non-income producing. |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
Non-Control/Non-Affiliate Investments | ||||||||||||||||||||||||
First Lien Floating Rate Loans —143.8% of Net Assets | ||||||||||||||||||||||||
24 Hour Fitness Worldwide, Inc. (5) | 05/28/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Hotels, Restaurants & Leisure | $ | 1,972 | $ | 1,966 | $ | 1,846 | |||||||||||
Acosta, Inc. (5) | 09/26/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Media | 2,475 | 2,438 | 2,361 | ||||||||||||||
ADMI Corp. (5) | 04/29/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care Providers & Services | 547 | 546 | 548 | ||||||||||||||
Aegis Toxicology Sciences Corporation (5) | 02/24/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care Providers & Services | 1,642 | 1,633 | 1,384 | ||||||||||||||
Agrofresh Inc. (3), (5) | 07/31/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Chemicals | 647 | 646 | 638 | ||||||||||||||
Air Medical Group Holdings, Inc. (5) | 04/28/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Health Care Providers & Services | 1,990 | 1,995 | 1,932 | ||||||||||||||
Albertson's LLC (5) | 03/21/2019 | 5.50 | % | L+ 4.50 | 1.00 | % | Food & Staples Retailing | 993 | 989 | 991 | ||||||||||||||
AlixPartners, LLP (5) | 07/28/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Diversified Financial Services | 1,995 | 1,990 | 1,984 | ||||||||||||||
Alliant Holdings Intermediate, LLC (5) | 08/12/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Insurance | 1,045 | 1,042 | 1,022 | ||||||||||||||
American Tire Distributors, Inc. (5) | 09/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Distributors | 1,478 | 1,472 | 1,459 | ||||||||||||||
Amneal Pharmaceuticals LLC (5) | 11/01/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Pharmaceuticals | 992 | 992 | 976 | ||||||||||||||
AmWINS Group, LLC (5) | 09/06/2019 | 5.25 | % | L+ 4.25 | 1.00 | % | Insurance | 2,934 | 2,946 | 2,932 | ||||||||||||||
Anchor Glass Container Corporation (5) | 07/01/2022 | 4.54 | % | L+ 3.50 | 1.00 | % | Containers & Packaging | 963 | 959 | 962 | ||||||||||||||
AqGen Ascensus, Inc. (5), (7) | 12/05/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Capital Markets | 941 | 885 | 885 | ||||||||||||||
Aquilex LLC (5) | 12/31/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Commercial Services & Supplies | 968 | 966 | 929 | ||||||||||||||
Ardent Legacy Acquisitions, Inc. (5) | 08/04/2021 | 6.50 | % | L+ 5.50 | 1.00 | % | Health Care Providers & Services | 332 | 329 | 331 | ||||||||||||||
Arnhold and S. Bleichroeder Holdings, Inc. (5) | 12/01/2022 | 4.75 | % | L+ 4.00 | 0.75 | % | Capital Markets | 714 | 700 | 698 | ||||||||||||||
Ascend Learning, LLC (5) | 07/31/2019 | 5.50 | % | L+ 4.50 | 1.00 | % | Diversified Consumer Services | 588 | 586 | 586 | ||||||||||||||
Asurion, LLC (5) | 05/24/2019 | 5.00 | % | L+ 3.75 | 1.25 | % | Commercial Services & Supplies | 943 | 943 | 886 | ||||||||||||||
Asurion, LLC (5) | 08/04/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Commercial Services & Supplies | 1,244 | 1,238 | 1,141 | ||||||||||||||
Avaya Inc. (5) | 05/29/2020 | 6.25 | % | L+ 5.25 | 1.00 | % | Software | 997 | 806 | 700 | ||||||||||||||
BJ's Wholesale Club, Inc. (5) | 09/26/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Food & Staples Retailing | 1,471 | 1,472 | 1,414 | ||||||||||||||
Blackboard Inc. (5) | 10/04/2018 | 4.75 | % | L+ 3.75 | 1.00 | % | Software | 2,435 | 2,436 | 2,345 | ||||||||||||||
Blue Coat Holdings, Inc. (5) | 05/20/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Communications Equipment | 2,000 | 2,001 | 1,938 | ||||||||||||||
BWay Intermediate Company, Inc. (5) | 08/14/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Containers & Packaging | 2,456 | 2,437 | 2,369 | ||||||||||||||
C.H.I. Overhead Doors, Inc. (5) | 07/29/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Building Products | 332 | 332 | 327 | ||||||||||||||
Calceus Acquisition, Inc. (5) | 01/31/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Textiles, Apparel & Luxury Goods | 2,337 | 2,345 | 2,092 | ||||||||||||||
CAMP International Holding Company (5) | 05/31/2019 | 4.75 | % | L+ 3.75 | 1.00 | % | Transportation Infrastructure | 1,960 | 1,980 | 1,908 | ||||||||||||||
Carecore National, LLC (5) | 03/05/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care Providers & Services | 2,047 | 2,047 | 1,781 | ||||||||||||||
CCM Merger, Inc. (5) | 08/06/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Hotels, Restaurants & Leisure | 883 | 877 | 880 | ||||||||||||||
Checkout Holding Corp. (5) | 04/09/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Media | 2,463 | 2,461 | 1,982 | ||||||||||||||
CityCenter Holdings, LLC (5) | 10/16/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Hotels, Restaurants & Leisure | 1,774 | 1,783 | 1,764 | ||||||||||||||
Compuware Corporation (5) | 12/15/2021 | 6.25 | % | L+ 5.25 | 1.00 | % | Software | 2,972 | 2,906 | 2,780 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) —143.8% of Net Assets | ||||||||||||||||||||||||
Cotiviti Corporation (5) | 05/14/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Professional Services | $ | 1,111 | $ | 1,102 | $ | 1,078 | |||||||||||
CPG International Inc. (5) | 09/30/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Building Products | 1,938 | 1,938 | 1,831 | ||||||||||||||
CPI Buyer, LLC (5) | 08/16/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Trading Companies & Distributors | 988 | 976 | 949 | ||||||||||||||
CT Technologies Intermediate Holdings, Inc. (5) | 12/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Health Care Technology | 498 | 495 | 482 | ||||||||||||||
Dell International LLC (5) | 04/29/2020 | 4.00 | % | L+ 3.25 | 0.75 | % | Technology Hardware, Storage & Peripherals | 2,488 | 2,495 | 2,472 | ||||||||||||||
Deltek, Inc. (5) | 06/25/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Software | 2,872 | 2,866 | 2,845 | ||||||||||||||
Dole Food Company, Inc. (5) | 11/01/2018 | 4.50 | % | L+ 3.50 | 1.00 | % | Food Products | 2,513 | 2,509 | 2,502 | ||||||||||||||
Duff & Phelps Corporation (5) | 04/23/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Capital Markets | 3,421 | 3,423 | 3,356 | ||||||||||||||
DynCorp International Inc. (5) | 07/07/2016 | 6.25 | % | L+ 4.50 | 1.75 | % | Aerospace & Defense | 2,189 | 2,191 | 2,097 | ||||||||||||||
Electrical Components International, Inc. (5) | 05/28/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Electrical Equipment | 1,970 | 1,974 | 1,964 | ||||||||||||||
Emerald Expositions Holding, Inc. (5) | 06/17/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Media | 2,622 | 2,640 | 2,587 | ||||||||||||||
Epicor Software Corporation (5) | 06/01/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Software | 995 | 993 | 974 | ||||||||||||||
eResearchTechnology, Inc. (5) | 05/08/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Life Sciences Tools & Services | 995 | 991 | 978 | ||||||||||||||
Evergreen Acqco 1 LP (5) | 07/09/2019 | 5.00 | % | L+ 3.75 | 1.25 | % | Multiline Retail | 621 | 623 | 509 | ||||||||||||||
EWT Holdings III Corp. (5) | 01/15/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Machinery | 980 | 976 | 965 | ||||||||||||||
Expro Finservices S.à r.l. (3), (5) | 09/02/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Energy Equipment & Services | 1,975 | 1,950 | 1,334 | ||||||||||||||
Fairmount Minerals, Ltd. (5) | 09/05/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Metals & Mining | 2,933 | 2,945 | 1,463 | ||||||||||||||
Filtration Group Corporation (5) | 11/23/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Industrial Conglomerates | 998 | 998 | 973 | ||||||||||||||
Fitness International, LLC (5) | 07/01/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Hotels, Restaurants & Leisure | 1,288 | 1,279 | 1,194 | ||||||||||||||
Gates Global LLC (5) | 07/06/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Machinery | 1,489 | 1,487 | 1,400 | ||||||||||||||
Global Tel*Link Corporation (5) | 05/23/2020 | 5.00 | % | L+ 3.75 | 1.25 | % | Diversified Telecommunications Services | 1,685 | 1,662 | 1,239 | ||||||||||||||
Gruden Acquisition, Inc. (5) | 08/18/2022 | 5.75 | % | L+ 4.75 | 1.00 | % | Road & Rail | 333 | 330 | 320 | ||||||||||||||
HGIM Corp. (5) | 06/18/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Marine | 1,466 | 1,470 | 872 | ||||||||||||||
Hyland Software, Inc. (5) | 07/01/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Software | 2,482 | 2,461 | 2,451 | ||||||||||||||
Immucor, Inc. (5) | 08/19/2018 | 5.00 | % | L+ 3.75 | 1.25 | % | Health Care Equipment & Supplies | 985 | 990 | 940 | ||||||||||||||
Indra Holdings Corp. (5) | 05/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Textiles, Apparel & Luxury Goods | 1,190 | 1,181 | 1,113 | ||||||||||||||
Informatica Corporation (5) | 08/05/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Software | 1,995 | 1,990 | 1,926 | ||||||||||||||
Information Resources, Inc. (5) | 09/30/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Professional Services | 1,955 | 1,965 | 1,945 | ||||||||||||||
Inmar, Inc. (5) | 01/27/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Commercial Services & Supplies | 1,970 | 1,956 | 1,927 | ||||||||||||||
Ion Media Networks, Inc. (5) | 12/18/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Media | 1,965 | 1,975 | 1,941 | ||||||||||||||
IPC Corp. (5) | 08/06/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Software | 1,489 | 1,482 | 1,404 | ||||||||||||||
Jaguar Holding Company I (5) | 08/18/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Life Sciences Tools & Services | 1,493 | 1,485 | 1,454 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/19/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Aerospace & Defense | 1,971 | 1,975 | 1,791 | ||||||||||||||
Key Safety Systems, Inc. (5) | 08/29/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Auto Components | 1,481 | 1,475 | 1,444 | ||||||||||||||
Kronos Acquisition Intermediate Inc. (3), (5) | 08/26/2022 | 6.00 | % | L+ 5.00 | 1.00 | % | Household Products | 998 | 974 | 971 | ||||||||||||||
La Frontera Generation, LLC (5) | 09/30/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Independent Power and Renewable Electricity Producers | 1,783 | 1,792 | 1,693 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) —143.8% of Net Assets | ||||||||||||||||||||||||
Landmark Aviation FBO Canada, Inc. (3), (5) | 10/25/2019 | 4.75 | % | L+ 3.75 | 1.00 | % | Aerospace & Defense | $ | 75 | $ | 75 | $ | 75 | |||||||||||
Landslide Holdings, Inc. (5) | 02/25/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Software | 983 | 979 | 963 | ||||||||||||||
Language Line, LLC (5) | 07/07/2021 | 6.50 | % | L+ 5.50 | 1.00 | % | Commercial Services & Supplies | 956 | 947 | 953 | ||||||||||||||
Learning Care Group (US) No. 2 Inc. (5) | 05/05/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Diversified Consumer Services | 1,016 | 1,016 | 1,012 | ||||||||||||||
Leonardo Acquisition Corp. (5) | 01/29/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Internet & Catalog Retail | 2,940 | 2,950 | 2,930 | ||||||||||||||
Life Time Fitness, Inc. (5) | 06/10/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Hotels, Restaurants & Leisure | 498 | 495 | 486 | ||||||||||||||
LM U.S. Member LLC (5) | 10/25/2019 | 4.75 | % | L+ 3.75 | 1.00 | % | Aerospace & Defense | 1,895 | 1,902 | 1,889 | ||||||||||||||
Mallinckrodt International Finance S.A. (3), (5), (7) | 03/19/2021 | 3.25 | % | L+ 2.50 | 0.75 | % | Pharmaceuticals | 570 | 532 | 555 | ||||||||||||||
Mitchell International, Inc. (5), (7) | 10/13/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Software | 2,401 | 2,411 | 2,283 | ||||||||||||||
Moneygram International, Inc. (3), (5) | 03/27/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | IT Services | 602 | 571 | 552 | ||||||||||||||
National Financial Partners Corp. (5) | 07/01/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Insurance | 2,466 | 2,480 | 2,376 | ||||||||||||||
New Millennium Holdco, Inc. (5) | 12/21/2020 | 7.50 | % | L+ 6.50 | 1.00 | % | Health Care Providers & Services | 323 | 323 | 299 | ||||||||||||||
Onex Carestream Finance LP (5) | 06/07/2019 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care Equipment & Supplies | 1,708 | 1,713 | 1,547 | ||||||||||||||
Opal Acquisition, Inc. (5) | 11/27/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care Providers & Services | 2,934 | 2,917 | 2,453 | ||||||||||||||
Ortho-Clinical Diagnostics Holdings Luxembourg S.À R.L. (3), (5) | 06/30/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care Providers & Services | 1,970 | 1,968 | 1,682 | ||||||||||||||
P2 Lower Acquisition, LLC (5) | 10/22/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care Providers & Services | 1,895 | 1,890 | 1,876 | ||||||||||||||
Peabody Energy Corporation (3), (5) | 09/24/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Oil, Gas & Consumable Fuels | 990 | 903 | 475 | ||||||||||||||
PetSmart, Inc. (5) | 03/11/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Specialty Retail | 995 | 991 | 971 | ||||||||||||||
Phillips-Medisize Corporation (5) | 06/16/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care Equipment & Supplies | 1,208 | 1,207 | 1,181 | ||||||||||||||
Plaskolite, LLC (5) | 11/03/2022 | 5.75 | % | L+ 4.75 | 1.00 | % | Chemicals | 550 | 545 | 547 | ||||||||||||||
Plaze, Inc. (5) | 07/31/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Chemicals | 832 | 831 | 828 | ||||||||||||||
Presidio, Inc. (5) | 02/02/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | IT Services | 1,340 | 1,340 | 1,311 | ||||||||||||||
PrimeLine Utility Services LLC (5) | 11/14/2022 | 6.50 | % | L+ 5.50 | 1.00 | % | Construction & Engineering | 1,000 | 990 | 993 | ||||||||||||||
Quikrete Holdings, Inc. (5) | 09/28/2020 | 4.00 | % | L+ 3.00 | 1.00 | % | Constructions Materials | 2,086 | 2,093 | 2,066 | ||||||||||||||
RCHP, Inc. (5) | 04/23/2019 | 6.00 | % | L+ 5.00 | 1.00 | % | Health Care Providers & Services | 1,970 | 1,957 | 1,947 | ||||||||||||||
Renaissance Learning, Inc. (5) | 04/09/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Software | 1,965 | 1,964 | 1,887 | ||||||||||||||
RGIS Services, LLC (5) | 10/18/2017 | 5.50 | % | L+ 4.25 | 1.25 | % | Commercial Services & Supplies | 2,931 | 2,923 | 2,089 | ||||||||||||||
Riverbed Technology, Inc. (5) | 04/25/2022 | 6.00 | % | L+ 5.00 | 1.00 | % | Communications Equipment | 993 | 988 | 990 | ||||||||||||||
Scientific Games International, Inc. (3), (5) | 10/01/2021 | 6.00 | % | L+ 5.00 | 1.00 | % | Hotels, Restaurants & Leisure | 988 | 979 | 903 | ||||||||||||||
Sears Roebuck Acceptance Corp. (3), (5) | 06/30/2018 | 5.50 | % | L+ 4.50 | 1.00 | % | Multiline Retail | 987 | 976 | 931 | ||||||||||||||
Securus Technologies Holdings, Inc (5) | 04/30/2020 | 4.75 | % | L+ 3.50 | 1.25 | % | Diversified Telecommunications Services | 1,885 | 1,864 | 1,371 | ||||||||||||||
Shearer's Foods, LLC (5), (7) | 06/30/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Food Products | 500 | 495 | 494 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) —143.8% of Net Assets | ||||||||||||||||||||||||
Spin Holdco Inc. (5) | 11/14/2019 | 4.25 | % | L+ 3.25 | 1.00 | % | Diversified Consumer Services | $ | 2,442 | $ | 2,442 | $ | 2,352 | |||||||||||
Sterigenics-Nordion Holdings, LLC (5) | 05/16/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Life Sciences Tools & Services | 905 | 896 | 882 | ||||||||||||||
STS Operating, Inc. (5) | 02/12/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Trading Companies & Distributors | 1,965 | 1,975 | 1,886 | ||||||||||||||
Surgery Center Holdings, Inc. (5) | 11/03/2020 | 5.25 | % | L+ 4.25 | 1.00 | % | Health Care Providers & Services | 1,980 | 1,972 | 1,962 | ||||||||||||||
Syniverse Holdings, Inc. (5) | 04/23/2019 | 4.00 | % | L+ 3.00 | 1.00 | % | Wireless Telecommunication Services | 1,500 | 1,468 | 1,107 | ||||||||||||||
Thermasys Corp. (5) | 05/03/2019 | 5.25 | % | L+ 4.00 | 1.25 | % | Machinery | 453 | 454 | 400 | ||||||||||||||
TPF II Power, LLC (5) | 10/02/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Independent Power and Renewable Electricity Producers | 984 | 978 | 966 | ||||||||||||||
Travelport Finance (Luxembourg) S.à r.l. (3), (5) | 09/02/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Internet Software & Services | 1,980 | 1,960 | 1,943 | ||||||||||||||
Turbocombustor Technology, Inc. (5) | 12/02/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Aerospace & Defense | 3,430 | 3,406 | 3,018 | ||||||||||||||
Tyche Holdings, LLC (5) | 11/12/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | IT Services | 1,832 | 1,827 | 1,820 | ||||||||||||||
U.S. Renal Care, Inc. (5), (7) | 12/30/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Health Care Providers & Services | 500 | 495 | 497 | ||||||||||||||
Univision Communications Inc. (5) | 03/01/2020 | 4.00 | % | L+ 3.00 | 1.00 | % | Media | 1,488 | 1,489 | 1,459 | ||||||||||||||
USI, Inc. (5) | 12/27/2019 | 4.25 | % | L+ 3.25 | 1.00 | % | Insurance | 1,955 | 1,968 | 1,899 | ||||||||||||||
USIC Holdings, Inc. (5) | 07/10/2020 | 4.00 | % | L+ 3.00 | 1.00 | % | Construction & Engineering | 1,455 | 1,460 | 1,370 | ||||||||||||||
Weight Watchers International, Inc. (3), (5) | 04/02/2020 | 4.00 | % | L+ 3.25 | 0.75 | % | Diversified Consumer Services | 997 | 810 | 741 | ||||||||||||||
William Morris Endeavor Entertainment, LLC (5) | 05/06/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Media | 1,965 | 1,963 | 1,936 | ||||||||||||||
WP CPP Holdings, LLC (5) | 12/28/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Aerospace & Defense | 2,435 | 2,431 | 2,272 | ||||||||||||||
Total First Lien Floating Rate Loans | $ | 182,373 | $ | 181,367 | $ | 169,580 | ||||||||||||||||||
Second Lien Floating Rate Loans —19.1% of Net Assets | ||||||||||||||||||||||||
Advantage Sales & Marketing Inc. (5) | 07/25/2022 | 7.50 | % | L+ 6.50 | 1.00 | % | Professional Services | $ | 1,000 | $ | 994 | $ | 902 | |||||||||||
Ameriforge Group Inc. (6), (9) | 12/21/2020 | 8.75 | % | L+ 7.50 | 1.25 | % | Energy Equipment & Services | 500 | 489 | 42 | ||||||||||||||
Applied Systems, Inc. | 01/24/2022 | 7.50 | % | L+ 6.50 | 1.00 | % | Software | 980 | 975 | 912 | ||||||||||||||
Asurion, LLC (5) | 03/03/2021 | 8.50 | % | L+ 7.50 | 1.00 | % | Commercial Services & Supplies | 1,000 | 989 | 860 | ||||||||||||||
CAMP International Holding Company | 11/29/2019 | 8.25 | % | L+ 7.25 | 1.00 | % | Transportation Infrastructure | 1,000 | 1,000 | 974 | ||||||||||||||
Checkout Holding Corp. (5) | 04/11/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Media | 1,000 | 1,002 | 573 | ||||||||||||||
Cotiviti Corporation (5) | 05/13/2022 | 8.00 | % | L+ 7.00 | 1.00 | % | Professional Services | 1,250 | 1,240 | 1,236 | ||||||||||||||
Del Monte Foods, Inc. (3), (5) | 08/18/2021 | 8.25 | % | L+ 7.25 | 1.00 | % | Food Products | 1,500 | 1,499 | 1,235 | ||||||||||||||
EWT Holdings III Corp. | 01/15/2022 | 8.50 | % | L+ 7.50 | 1.00 | % | Machinery | 1,000 | 996 | 965 | ||||||||||||||
Filtration Group Corporation (5) | 11/22/2021 | 8.25 | % | L+ 7.25 | 1.00 | % | Industrial Conglomerates | 126 | 125 | 123 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/19/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Aerospace & Defense | 1,250 | 1,255 | 1,125 | ||||||||||||||
Jonah Energy LLC (5) | 05/12/2021 | 7.50 | % | L+ 6.50 | 1.00 | % | Oil, Gas & Consumable Fuels | 500 | 494 | 318 | ||||||||||||||
Landslide Holdings, Inc. | 02/25/2021 | 8.25 | % | L+ 7.25 | 1.00 | % | Software | 1,000 | 994 | 920 | ||||||||||||||
P2 Lower Acquisition, LLC | 10/22/2021 | 9.50 | % | L+ 8.50 | 1.00 | % | Health Care Providers & Services | 500 | 498 | 495 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
Second Lien Floating Rate Loans (continued) —19.1% of Net Assets | ||||||||||||||||||||||||
Performance Food Group, Inc. (5) | 11/14/2019 | 6.25 | % | L+ 5.25 | 1.00 | % | Food & Staples Retailing | $ | 2,038 | $ | 2,030 | $ | 2,038 | |||||||||||
Ranpak Corp. (5) | 10/03/2022 | 8.25 | % | L+ 7.25 | 1.00 | % | Containers & Packaging | 1,375 | 1,374 | 1,363 | ||||||||||||||
Road Infrastructure Investment, LLC (5) | 09/30/2021 | 7.75 | % | L+ 6.75 | 1.00 | % | Chemicals | 2,000 | 2,008 | 1,860 | ||||||||||||||
Sedgwick Claims Management Services, Inc. (5) | 02/28/2022 | 6.75 | % | L+ 5.75 | 1.00 | % | Insurance | 2,000 | 1,963 | 1,820 | ||||||||||||||
Solenis International, L.P. (5) | 07/31/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Chemicals | 500 | 498 | 402 | ||||||||||||||
TWCC Holding Corp. (5) | 06/26/2020 | 7.00 | % | L+ 6.00 | 1.00 | % | Media | 2,000 | 1,993 | 1,997 | ||||||||||||||
Tyche Holdings, LLC (5) | 11/11/2022 | 9.00 | % | L+ 8.00 | 1.00 | % | IT Services | 1,500 | 1,501 | 1,474 | ||||||||||||||
U.S. Renal Care, Inc. (5), (7) | 12/29/2023 | 9.00 | % | L+ 8.00 | 1.00 | % | Health Care Providers & Services | 500 | 490 | 493 | ||||||||||||||
WP CPP Holdings, LLC (5) | 04/30/2021 | 8.75 | % | L+ 7.75 | 1.00 | % | Aerospace & Defense | 493 | 502 | 448 | ||||||||||||||
Total Second Lien Floating Rate Loans | $ | 25,012 | $ | 24,909 | $ | 22,575 | ||||||||||||||||||
CLO Equity —31.3% of Net Assets | ||||||||||||||||||||||||
Apidos CLO XIV, Income Notes (3), (4), (6) | 04/15/2025 | 14.32 | % | $ | 5,900 | $ | 4,616 | $ | 3,524 | |||||||||||||||
Apidos CLO XVIII, Income Notes (3), (4), (6) | 07/22/2026 | 12.39 | % | 2,500 | 1,936 | 1,351 | ||||||||||||||||||
Ares XXIX CLO Ltd., Subordinated Notes (3), (4), (6) | 04/17/2026 | 11.04 | % | 4,750 | 3,947 | 2,612 | ||||||||||||||||||
Avery Point II CLO, Limited, Income Notes (3), (4), (6) | 07/17/2025 | 14.09 | % | 3,200 | 2,351 | 1,286 | ||||||||||||||||||
Babson 2015-1, Income Notes (3), (4), (6) | 04/20/2027 | 16.32 | % | 2,500 | 2,161 | 1,716 | ||||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Notes (3), (4), (6) | 01/15/2026 | 11.86 | % | 5,400 | 4,315 | 1,520 | ||||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Fee Notes (3), (4), (6) | 01/15/2026 | 27.45 | % | 100 | 74 | 62 | ||||||||||||||||||
Betony CLO, Ltd., Subordinated Notes (3), (4), (6) | 04/15/2027 | 11.90 | % | 2,500 | 2,096 | 1,289 | ||||||||||||||||||
Carlyle Global Market Strategies CLO 2015-3, Ltd., Subordinated Notes (3), (4), (6) | 07/28/2028 | 21.83 | % | 3,000 | 2,491 | 2,436 | ||||||||||||||||||
Cent CLO 18 Limited, Subordinated Notes (3), (4), (6) | 07/23/2025 | 12.26 | % | 4,675 | 3,595 | 2,296 | ||||||||||||||||||
Cent CLO 19 Limited, Subordinated Notes (3), (4), (6) | 10/29/2025 | 10.67 | % | 2,750 | 2,184 | 1,431 | ||||||||||||||||||
Dryden 30 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 11/15/2025 | 17.79 | % | 2,500 | 1,676 | 1,205 | ||||||||||||||||||
Dryden 31 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 04/18/2026 | 11.21 | % | 5,250 | 4,008 | 2,373 | ||||||||||||||||||
Galaxy XVI CLO, Ltd., Subordinated Notes (3), (4), (6) | 11/17/2025 | 11.31 | % | 2,750 | 2,123 | 1,344 | ||||||||||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd., Subordinated Notes (3), (4), (6) | 04/18/2026 | 20.65 | % | 3,750 | 3,045 | 1,474 | ||||||||||||||||||
Highbridge Loan Management 2013-2, Ltd., Subordinated Notes (3), (4), (6) | 10/20/2024 | 22.16 | % | 1,000 | 728 | 665 | ||||||||||||||||||
Magnetite VIII, Limited, Subordinated Notes (3), (4), (6) | 04/15/2026 | 13.42 | % | 3,000 | 2,557 | 2,133 | ||||||||||||||||||
Neuberger Berman CLO XV, Ltd., Subordinated Notes (3), (4), (6) | 10/15/2025 | 9.14 | % | 3,410 | 2,414 | 1,495 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
CLO Equity (continued) —31.3% of Net Assets | ||||||||||||||||||||||||
Octagon Investment Partners XIV, Ltd., Income Notes (3), (4), (6) | 01/15/2024 | 9.49 | % | $ | 5,500 | $ | 3,924 | $ | 2,790 | |||||||||||||||
Octagon Investment Partners XX, Ltd., Subordinated Notes (3), (4), (6) | 08/12/2026 | 10.46 | % | 2,500 | 2,121 | 1,548 | ||||||||||||||||||
THL Credit Wind River 2014-1 CLO Ltd., Subordinated Notes (3), (4), (6) | 04/18/2026 | 13.54 | % | 4,000 | 3,237 | 2,304 | ||||||||||||||||||
Total CLO Equity | $ | 70,935 | $ | 55,599 | $ | 36,854 | ||||||||||||||||||
Common Equity —0% of Net Assets | ||||||||||||||||||||||||
New Millennium Holdco, Inc. (9,446 shares) (5), (6), (10) | Health Care Providers & Services | $ | — | $ | — | $ | 47 | |||||||||||||||||
Total Common Equity | $ | — | $ | — | $ | 47 | ||||||||||||||||||
Total Non-Control/Non-Affiliate Investments (8) — 194.2% of net assets | $ | 278,320 | $ | 261,875 | $ | 229,056 | ||||||||||||||||||
Liabilities in Excess of Other Assets — (94.2%) | (111,127 | ) | ||||||||||||||||||||||
Net Assets — 100.0% | $ | 117,929 |
(1) | For each debt investment we have provided the weighted-average interest rate in effect as of December 31, 2015. For each CLO investment we have provided the accounting yield as of December 31, 2015 determined using the effective interest method that will be applied to the current amortized cost of the investment as adjusted for credit impairments, if any, in the following quarter. See Note 2 in this Quarterly Report on Form 10-Q regarding the recognition of Investment Income on CLOs. |
(2) | Floating rate debt investments typically accrue interest at a predetermined spread relative to an index, typically LIBOR or PRIME, and reset monthly, quarterly or semi-annually. These instruments may be subject to a LIBOR or PRIME rate floor. |
(3) | Investments that are not “qualifying assets” under Section 55(a) of the 1940 Act. Under the 1940 Act, we may not acquire any non-qualifying assets unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. As of December 31, 2015, qualifying assets represented 79% of total assets. |
(4) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(5) | Assets are held at ACSF Funding and are pledged as collateral for the Credit Facility. |
(6) | Fair value was determined using significant unobservable inputs and are classified as Level 3 in the fair value hierarchy. |
(7) | All or a portion of this position has not settled as of December 31, 2015. |
(8) | Net estimated unrealized loss for federal income tax purposes is $(38,561) as of December 31, 2015 based on a tax cost of $267,617. Estimated aggregate gross unrealized loss for federal income tax purposes as of December 31, 2015 is $(38,671); estimated aggregate gross unrealized gain for federal income tax purposes as of December 31, 2015 is $110. |
(9) | Investment is on non-accrual as of December 31, 2015 and therefore considered non-income producing. All subsequent cash received from investment will be used to reduce its cost basis until the investment is placed back on accrual status or the cost basis has been collected. |
(10) | Common stock is non-income producing. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2016 | 2015 | 2016 | 2015 | |||||||||||||
Numerator — Net Earnings | $ | 10,268 | $ | 3,159 | $ | 12,436 | $ | 6,950 | ||||||||
Denominator — weighted average shares | 10,000,100 | 10,000,100 | 10,000,100 | 10,000,100 | ||||||||||||
Net Earnings per share | $ | 1.03 | $ | 0.32 | $ | 1.24 | $ | 0.70 |
June 30, 2016 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
First lien floating rate loans | $ | 173,898 | $ | — | $ | 173,898 | $ | — | ||||||||
Second lien floating rate loans | 16,463 | — | 15,929 | 534 | ||||||||||||
CLO equity | 37,021 | — | — | 37,021 | ||||||||||||
Common equity | 35 | — | — | 35 | ||||||||||||
Total Investments | $ | 227,417 | $ | — | $ | 189,827 | $ | 37,590 |
December 31, 2015 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
First lien floating rate loans | $ | 169,580 | $ | — | $ | 169,580 | $ | — | ||||||||
Second lien floating rate loans | 22,575 | — | 22,216 | 359 | ||||||||||||
CLO equity | 36,854 | — | — | 36,854 | ||||||||||||
Common equity | 47 | — | — | 47 | ||||||||||||
Total Investments | $ | 229,056 | $ | — | $ | 191,796 | $ | 37,260 |
First Lien Floating Rate Loans | Second Lien Floating Rate Loans | CLO Equity | Common Equity | Total | ||||||||||||||||
Beginning Balance – December 31, 2015 | $ | — | $ | 359 | $ | 36,854 | $ | 47 | $ | 37,260 | ||||||||||
Purchases | — | — | 1,493 | — | 1,493 | |||||||||||||||
Repayments (1) | — | (22 | ) | (6,684 | ) | — | (6,706 | ) | ||||||||||||
Amortization of discount/premium (2) | — | 1 | 3,305 | — | 3,306 | |||||||||||||||
Net unrealized appreciation (depreciation) | — | 196 | 2,053 | (12 | ) | 2,237 | ||||||||||||||
Ending Balance – June 30, 2016 | $ | — | $ | 534 | $ | 37,021 | $ | 35 | $ | 37,590 | ||||||||||
Net change in net unrealized appreciation (depreciation) attributable to our Level 3 assets still held as of June 30, 2016 | $ | — | $ | 197 | $ | 2,053 | $ | (12 | ) | $ | 2,238 |
(1) | Includes cash distributions from CLO equity investments. |
(2) | Includes income accrual from CLO equity investments determined using the effective interest method. |
First Lien Floating Rate Loans | Second Lien Floating Rate Loans | CLO Equity | Total | |||||||||||||
Beginning Balance – December 31, 2014 | $ | 5,678 | $ | 3,240 | $ | 51,577 | $ | 60,495 | ||||||||
Purchases | — | — | 8,206 | 8,206 | ||||||||||||
Sales | — | — | (2,283 | ) | (2,283 | ) | ||||||||||
Repayments (1) | (11 | ) | — | (6,527 | ) | (6,538 | ) | |||||||||
Amortization of discount/premium (2) | 2 | — | 3,582 | 3,584 | ||||||||||||
Transfers out (3) | (6,892 | ) | (3,240 | ) | — | (10,132 | ) | |||||||||
Transfers in (3) | 1,249 | 493 | — | 1,742 | ||||||||||||
Realized gains, net | — | — | 278 | 278 | ||||||||||||
Net unrealized depreciation | (26 | ) | (73 | ) | (983 | ) | (1,082 | ) | ||||||||
Ending Balance – June 30, 2015 | $ | — | $ | 420 | $ | 53,850 | $ | 54,270 | ||||||||
Net change in net unrealized depreciation attributable to our Level 3 assets still held as of June 30, 2015 | $ | — | $ | (73 | ) | $ | (767 | ) | $ | (840 | ) |
(1) | Includes cash distributions from CLO equity investments. |
(2) | Includes income accrual from CLO equity investments determined using the effective interest method. |
(3) | Investments were transferred into and out of Level 3 and Level 2 due to changes in the quantity and quality of inputs obtained to support the fair value of each investment. Transfers into and out of the levels are recognized at the beginning of each quarterly period. |
Range | ||||||||||||
Fair Value as of June 30, 2016 | Valuation Techniques/ Methodology | Unobservable Inputs | Minimum | Maximum | Weighted Average | |||||||
Second lien floating rate loans | 534 | Third-party vendor pricing service | Bid/Ask | 18 | 89 | 77 | ||||||
CLO equity | 37,021 | Discounted Cash Flow | Discount rate Prepayment rate Default rate | 15.7% 25.0% 2.3% | 30.7% 25.0% 3.9% | 22.5% 25.0% 2.8% | ||||||
Common equity | 35 | Third-party vendor pricing service | Bid/Ask | 4 | 4 | 4 | ||||||
Total | $ | 37,590 |
Range | ||||||||||||
Fair Value as of December 31, 2015 | Valuation Techniques/ Methodology | Unobservable Inputs | Minimum | Maximum | Weighted Average | |||||||
Second lien floating rate loans | $ | 359 | Third-party vendor pricing service | Bid/Ask | 8 | 64 | 57 | |||||
CLO equity | 36,854 | Discounted Cash Flow | Discount rate Prepayment rate Default rate | 16.5% 30.0% 1.5% | 29.0% 33.3% 1.7% | 21.3% 30.2% 1.6% | ||||||
Common equity | 47 | Third-party vendor pricing service | Bid/Ask | 5 | 5 | 5 | ||||||
Total | $ | 37,260 |
June 30, 2016 | December 31, 2015 | |||
Software | 13.0% | 11.6% | ||
Health Care Providers & Services | 9.2% | 9.2% | ||
Media | 8.6% | 7.7% | ||
Insurance | 5.9% | 5.2% | ||
Commercial Services & Supplies | 5.4% | 4.6% | ||
Aerospace & Defense | 4.5% | 6.6% | ||
Hotels, Restaurants & Leisure | 4.4% | 3.7% | ||
Containers & Packaging | 3.4% | 2.4% | ||
Food Products | 3.1% | 2.2% | ||
Capital Markets | 2.4% | 2.6% | ||
Internet Software & Services | 2.4% | 1.0% | ||
Technology Hardware, Storage & Peripherals | 2.3% | 1.3% | ||
Machinery | 2.3% | 1.9% | ||
Professional Services | 2.2% | 2.7% | ||
Transportation Infrastructure | 2.1% | 1.5% | ||
Health Care Equipment & Supplies | 1.9% | 1.9% | ||
Construction & Engineering | 1.8% | 1.2% | ||
Diversified Telecommunications Services | 1.7% | 1.4% | ||
Chemicals | 1.7% | 2.2% | ||
Trading Companies & Distributors | 1.7% | 1.5% | ||
Textiles, Apparel & Luxury Goods | 1.4% | 1.7% | ||
Food & Staples Retailing | 1.3% | 2.3% | ||
Life Sciences Tools & Services | 1.2% | 1.7% | ||
Diversified Consumer Services | 1.2% | 2.4% | ||
Building Products | 1.2% | 1.1% | ||
Oil, Gas & Consumable Fuels | 1.2% | 0.4% | ||
Constructions Materials | 1.1% | 1.1% | ||
Diversified Financial Services | 1.0% | 1.0% | ||
Communications Equipment | 1.0% | 1.5% | ||
IT Services | 1.0% | 2.7% | ||
Electrical Equipment | 1.0% | 1.0% | ||
Independent Power and Renewable | 0.8% | 1.4% | ||
Internet & Catalog Retail | 0.3% | 1.5% | ||
Other | 6.3% | 7.8% | ||
Total | 100.0% | 100.0% |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||
2016 | 2015 | 2016 | 2015 | |||||
Average debt outstanding | $96,799 | $126,259 | $100,569 | $127,601 | ||||
Weighted average annual interest rate | 2.23% | 1.99% | 2.22% | 1.98% | ||||
Commitment fee as a percent of average debt outstanding | 0.33% | 0.11% | 0.29% | 0.10% | ||||
Amortization of deferred financing costs as a percent of average debt outstanding | 0.09% | 0.31% | 0.09% | 0.31% | ||||
Total annualized cost of funding as a percent of average debt outstanding | 2.65% | 2.41% | 2.60% | 2.39% | ||||
Maximum amount of debt outstanding | $100,500 | $131,900 | $114,300 | $134,600 |
Six Months Ended June 30, | ||||||||
2016 | 2015 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 11.79 | $ | 14.42 | ||||
Net investment income | 0.58 | 0.63 | ||||||
Net realized and unrealized (loss) gain on investments | 0.66 | 0.07 | ||||||
Net Earnings | 1.24 | 0.70 | ||||||
Distributions to stockholders | (0.58 | ) | (0.58 | ) | ||||
Net asset value, end of period | $ | 12.45 | $ | 14.54 | ||||
Per share market value, end of period | $ | 10.26 | $ | 12.65 | ||||
Total return based on market value (1), (5) | 10.86 | % | 9.09 | % | ||||
Total return based on net asset value (1), (5) | 12.16 | % | 5.30 | % | ||||
Ratios to Average Net Assets: | ||||||||
Net investment income (2) | 10.00 | % | 8.67 | % | ||||
Operating expenses (2), (3) | 2.40 | % | 2.35 | % | ||||
Interest and related expenses (2) | 2.20 | % | 2.09 | % | ||||
Total expenses (2), (3) | 4.60 | % | 4.44 | % | ||||
Supplemental Data: | ||||||||
Net assets, end of period | $ | 124,545 | $ | 145,364 | ||||
Shares outstanding, end of period | 10,000,100 | 10,000,100 | ||||||
Average debt outstanding | $ | 100,569 | $ | 127,601 | ||||
Asset coverage per unit, end of period (4) | 2,283 | 2,174 | ||||||
Portfolio turnover ratio (5) | 18.73 | % | 27.59 | % |
(1) | Total return is based on the change in market price or net asset value per share during the period and takes into account distributions reinvested in accordance with the dividend reinvestment and stock purchase plan. |
(2) | Annualized for periods less than one year. |
(3) | The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets are shown net of the reimbursement for the Expense Cap. The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets would be 3.57% and 5.77%, respectively, without the expense cap for the six months ended June 30, 2016 and 3.00% and 5.09%, respectively, without the Expense Cap for the six months ended June 30, 2015. |
(4) | The asset coverage ratio for a class of senior securities representing indebtedness is calculated on our consolidated total assets, less all liabilities and indebtedness not represented by senior securities, divided by the senior securities representing indebtedness. This asset coverage ratio is multiplied by $1,000 to determine the asset coverage per unit. |
(5) | Not annualized for periods less than one year. |
Distribution per Share | Record Date | Ex-Dividend Date | Payment Date | |||||
August 2016 | $0.097 | August 23, 2016 | August 19, 2016 | September 2, 2016 | ||||
September 2016 | $0.097 | September 22, 2016 | September 20, 2016 | October 4, 2016 | ||||
October 2016 | $0.097 | October 21, 2016 | October 19, 2016 | November 2, 2016 |
($ in thousands) | Cost | Fair Value | Cumulative Net Unrealized Appreciation (Depreciation) | Yield at Cost | ||||||||||
Investment Portfolio: | ||||||||||||||
First lien floating rate loans | $ | 180,259 | $ | 173,898 | $ | (6,361 | ) | 5.06 | % | |||||
Second lien floating rate loans | 18,375 | 16,463 | (1,912 | ) | 8.27 | % | ||||||||
Total Senior Floating Rate Loans | 198,634 | 190,361 | (8,273 | ) | 5.35 | % | ||||||||
CLO equity | 53,713 | 37,021 | (16,692 | ) | 11.16 | % | ||||||||
Common equity | — | 35 | 35 | — | % | |||||||||
Total Investment Portfolio | $ | 252,347 | $ | 227,417 | $ | (24,930 | ) | 6.59 | % |
Three months ended June 30, 2016 | Six months ended June 30, 2016 | |||||||||||||||||||||||||||||||||||||||
($ in thousands) | First Lien | Second Lien | CLO Equity | Common Equity | Total | First Lien | Second Lien | CLO Equity | Common Equity | Total | ||||||||||||||||||||||||||||||
Fair value, beginning of period | $ | 164,186 | $ | 17,868 | $ | 33,817 | $ | 147 | $ | 216,018 | $ | 169,580 | $ | 22,575 | $ | 36,854 | $ | 47 | $ | 229,056 | ||||||||||||||||||||
Purchases | 29,956 | 2,182 | — | — | 32,138 | 37,018 | 2,622 | 1,493 | — | 41,133 | ||||||||||||||||||||||||||||||
Sales | (14,154 | ) | — | — | — | (14,154 | ) | (21,065 | ) | (1,504 | ) | — | — | (22,569 | ) | |||||||||||||||||||||||||
Repayments (1) | (8,160 | ) | (4,364 | ) | (3,084 | ) | — | (15,608 | ) | (15,862 | ) | (7,685 | ) | (6,684 | ) | — | (30,231 | ) | ||||||||||||||||||||||
Non-cash income accrual (2) | 68 | 7 | 1,648 | — | 1,723 | 122 | 11 | 3,305 | — | 3,438 | ||||||||||||||||||||||||||||||
Net realized gains (losses) | (415 | ) | 6 | — | — | (409 | ) | (1,320 | ) | 21 | — | — | (1,299 | ) | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | 2,417 | 764 | 4,640 | (112 | ) | 7,709 | 5,425 | 423 | 2,053 | (12 | ) | 7,889 | ||||||||||||||||||||||||||||
Fair value, end of period | $ | 173,898 | $ | 16,463 | $ | 37,021 | $ | 35 | $ | 227,417 | $ | 173,898 | $ | 16,463 | $ | 37,021 | $ | 35 | $ | 227,417 |
(1) | Repayments for CLO equity reflect the amount of cash distributions from CLO investments received during the three and six months ended June 30, 2016. |
(2) | Non-cash income accrual includes amortization/accretion of discount/premium on the Loan Portfolio and income accrued on the CLO equity using the effective interest method during the three and six months ended June 30, 2016. |
Three months ended June 30, 2016 | Six months ended June 30, 2016 | |||||||||||
Loan Portfolio | CLO Equity | Total Portfolio | Loan Portfolio | CLO Equity | Total Portfolio | |||||||
Portfolio companies, beginning of period | 128 | 22 | 150 | 128 | 20 | 148 | ||||||
Purchases (new) | 23 | — | 23 | 32 | 2 | 34 | ||||||
Purchases (add-on to existing) | 14 | — | 14 | 16 | — | 16 | ||||||
Complete exit | (17) | — | (17) | (26) | — | (26) | ||||||
Portfolio companies, end of period | 134 | 22 | 156 | 134 | 22 | 156 |
Three months ended June 30, 2016 | Six months ended June 30, 2016 | |||||||||||||||||||||||
First Lien | Second Lien | CLO Equity | Total | First Lien | Second Lien | CLO Equity | Total | |||||||||||||||||
Beginning yield | 5.11 | % | 8.02 | % | 9.85 | % | 6.40 | % | 5.03 | % | 7.90 | % | 10.04 | % | 6.37 | % | ||||||||
Purchases | 5.10 | % | 9.29 | % | — | % | 5.12 | % | 5.29 | % | 9.00 | % | 37.75 | % | 6.20 | % | ||||||||
Sales | (5.27 | )% | — | % | — | % | (5.12 | )% | (5.09 | )% | (8.98 | )% | — | % | (5.06 | )% | ||||||||
Repayments | (6.23 | )% | (7.36 | )% | (14.99 | )% | (8.32 | )% | (5.49 | )% | (7.39 | )% | (14.34 | )% | (7.97 | )% | ||||||||
Repricing/Reforecast | (0.28 | )% | — | % | 1.56 | % | 1.17 | % | (0.27 | )% | (0.25 | )% | 0.31 | % | 0.15 | % | ||||||||
Ending yield | 5.06 | % | 8.27 | % | 11.16 | % | 6.59 | % | 5.06 | % | 8.27 | % | 11.16 | % | 6.59 | % |
($ in thousands) | Cost | Fair Value | Cumulative Net Unrealized Depreciation | Yield at Cost | ||||||||||
Investment Portfolio: | ||||||||||||||
First lien floating rate loans | $ | 181,367 | $ | 169,580 | $ | (11,787 | ) | 5.03 | % | |||||
Second lien floating rate loans | 24,909 | 22,575 | (2,334 | ) | 7.90 | % | ||||||||
Total Senior Floating Rate Loans | 206,276 | 192,155 | (14,121 | ) | 5.38 | % | ||||||||
CLO equity | 55,599 | 36,854 | (18,745 | ) | 10.04 | % | ||||||||
Common equity | — | 47 | 47 | — | % | |||||||||
Total Investment Portfolio | $ | 261,875 | $ | 229,056 | $ | (32,819 | ) | 6.37 | % |
Three months ended June 30, 2015 | Six months ended June 30, 2015 | ||||||||||||||||||||||||||||||
($ in thousands) | First Lien | Second Lien | CLO Equity | Total | First Lien | Second Lien | CLO Equity | Total | |||||||||||||||||||||||
Fair value, beginning of period | $ | 192,728 | $ | 29,079 | $ | 50,753 | $ | 272,560 | $ | 194,952 | $ | 29,841 | $ | 51,577 | $ | 276,370 | |||||||||||||||
Purchases | 34,685 | — | 4,219 | 38,904 | 64,386 | 2,492 | 8,206 | 75,084 | |||||||||||||||||||||||
Sales | (19,225 | ) | (500 | ) | — | (19,725 | ) | (50,340 | ) | (3,765 | ) | (2,283 | ) | (56,388 | ) | ||||||||||||||||
Repayments (1) | (17,172 | ) | (908 | ) | (3,283 | ) | (21,363 | ) | (19,697 | ) | (916 | ) | (6,527 | ) | (27,140 | ) | |||||||||||||||
Non-cash income accrual (2) | 11 | 3 | 1,873 | 1,887 | 18 | 6 | 3,582 | 3,606 | |||||||||||||||||||||||
Net realized gains (losses) | 81 | (3 | ) | — | 78 | 85 | 22 | 278 | 385 | ||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (681 | ) | 243 | 288 | (150 | ) | 1,023 | 234 | (983 | ) | 274 | ||||||||||||||||||||
Fair value, end of period | $ | 190,427 | $ | 27,914 | $ | 53,850 | $ | 272,191 | $ | 190,427 | $ | 27,914 | $ | 53,850 | $ | 272,191 |
(1) | Repayments for CLO equity reflect the amount of cash distributions from CLO investments received during the three and six months ended June 30, 2015. |
(2) | Non-cash income accrual includes amortization/accretion of discount/premium on the Loan Portfolio and income accrued on the CLOs using the effective interest method during the three and six months ended June 30, 2015. |
Three months ended June 30, 2015 | Six months ended June 30, 2015 | |||||||||||
Loan Portfolio | CLO Equity | Total Portfolio | Loan Portfolio | CLO Equity | Total Portfolio | |||||||
Portfolio companies - beginning of period | 121 | 17 | 138 | 117 | 16 | 133 | ||||||
Purchases (new) | 24 | 2 | 26 | 43 | 4 | 47 | ||||||
Purchases (add-on to existing) | 6 | — | 6 | 8 | — | 8 | ||||||
Complete exit | (18) | — | (18) | (33) | (1) | (34) | ||||||
Portfolio companies - end of period | 127 | 19 | 146 | 127 | 19 | 146 |
Three months ended June 30, 2015 | Six months ended June 30, 2015 | |||||||||||||||||||||||
First Lien | Second Lien | CLO Equity | Total | First Lien | Second Lien | CLO Equity | Total | |||||||||||||||||
Beginning yield | 5.02 | % | 7.81 | % | 14.02 | % | 7.06 | % | 4.98 | % | 7.81 | % | 13.64 | % | 6.92 | % | ||||||||
Purchases | 4.71 | % | — | % | 16.87 | % | 5.75 | % | 5.00 | % | 9.25 | % | 16.99 | % | 6.16 | % | ||||||||
Sales | (5.02 | )% | (8.17 | )% | — | % | (5.11 | )% | (5.08 | )% | (8.77 | )% | (18.93 | )% | (5.85 | )% | ||||||||
Repayments | (5.77 | )% | (8.32 | )% | (14.04 | )% | (7.17 | )% | (5.69 | )% | (8.30 | )% | (13.84 | )% | (7.76 | )% | ||||||||
Repricing/Reforecast | (0.35 | )% | — | % | 0.48 | % | 0.26 | % | (0.31 | )% | — | % | 0.81 | % | 0.52 | % | ||||||||
Ending yield | 4.90 | % | 7.79 | % | 14.69 | % | 7.19 | % | 4.90 | % | 7.79 | % | 14.69 | % | 7.19 | % |
First Lien | Second Lien |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
($ in thousands) | 2016 | 2015 | 2016 | 2015 | ||||||||||||
Investment income: | ||||||||||||||||
First lien floating rate loans | $ | 2,222 | $ | 2,401 | $ | 4,461 | $ | 4,833 | ||||||||
Second lien floating rate loans | 401 | 606 | 850 | 1,206 | ||||||||||||
CLO equity | 1,649 | 1,873 | 3,306 | 3,582 | ||||||||||||
Total investment income | 4,272 | 4,880 | 8,617 | 9,621 | ||||||||||||
Expenses: | ||||||||||||||||
Interest and other debt related costs | 640 | 758 | 1,304 | 1,513 | ||||||||||||
Management fee | 511 | 563 | 1,008 | 1,141 | ||||||||||||
Other expenses, net | 278 | 282 | 557 | 560 | ||||||||||||
Net expenses | 1,429 | 1,603 | 2,869 | 3,214 | ||||||||||||
Net investment income before taxes | 2,843 | 3,277 | 5,748 | 6,407 | ||||||||||||
Income tax benefit (provision) | 125 | (57 | ) | 98 | (127 | ) | ||||||||||
Net investment income | 2,968 | 3,220 | 5,846 | 6,280 | ||||||||||||
Net realized and unrealized (loss) gain on investments: | ||||||||||||||||
Net realized (loss) gain on investments | (409 | ) | 78 | (1,299 | ) | 385 | ||||||||||
Net unrealized appreciation (depreciation) on investments | 7,709 | (150 | ) | 7,889 | 274 | |||||||||||
Income tax benefit (provision) | — | 11 | — | 11 | ||||||||||||
Net gain (loss) on investments | 7,300 | (61 | ) | 6,590 | 670 | |||||||||||
Net Earnings | $ | 10,268 | $ | 3,159 | $ | 12,436 | $ | 6,950 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
($ in thousands) | 2016 | 2015 | 2016 | 2015 | ||||||||||||
Interest expense | $ | 545 | $ | 635 | $ | 1,128 | $ | 1,272 | ||||||||
Commitment fees | 72 | 26 | 130 | 47 | ||||||||||||
Amortization of debt financing costs | 23 | 97 | 46 | 194 | ||||||||||||
Total Debt Financing Costs | $ | 640 | $ | 758 | $ | 1,304 | $ | 1,513 | ||||||||
Average debt outstanding | $ | 96,799 | $ | 126,259 | $ | 100,569 | $ | 127,601 | ||||||||
Average cost of funds (1) | 2.65 | % | 2.41 | % | 2.60 | % | 2.39 | % | ||||||||
Weighted average interest rate | 2.23 | % | 1.99 | % | 2.22 | % | 1.98 | % |
Payments Due by Period (in thousands) | ||||||||||||||||||||
Total | Less than 1 Year | 1 - 3 Years | 3 - 5 Years | More than 5 Years | ||||||||||||||||
Credit Facility | $ | 97,100 | $ | — | $ | 97,100 | $ | — | $ | — |
Quarterly Declaration Date | Ex-Dividend Date | Record Date | Payment Date | Per Share Amount | Total Amount | |
March 17, 2014 | March 27, 2014 | March 31, 2014 | April 10, 2014 | $0.180 | $1,800 | |
June 18, 2014 | June 26, 2014 | June 30, 2014 | July 10, 2014 | $0.280 | $2,800 | |
September 17, 2014 | September 26, 2014 | September 30, 2014 | October 10, 2014 | $0.280 | $2,800 | |
December 18, 2014 | December 29, 2014 | December 31, 2014 | January 9, 2015 | $0.290 | $2,900 | |
March 19, 2015 | March 27, 2015 | March 31, 2015 | April 6, 2015 | $0.290 | $2,900 | |
Monthly Declaration Date | Ex-Dividend Date | Record Date | Payment Date | Per Share Amount | Total Amount | |
March 19, 2015 | April 17, 2015 | April 21, 2015 | May 4, 2015 | $0.097 | $970 | |
May 4, 2015 | May 20, 2015 | May 22, 2015 | June 2, 2015 | $0.097 | $970 | |
May 4, 2015 | June 17, 2015 | June 19, 2015 | July 2, 2015 | $0.097 | $970 | |
May 4, 2015 | July 22, 2015 | July 24, 2015 | August 4, 2015 | $0.097 | $970 | |
August 3, 2015 | August 19, 2015 | August 21, 2015 | September 2, 2015 | $0.097 | $970 | |
August 3, 2015 | September 18, 2015 | September 22, 2015 | October 2, 2015 | $0.097 | $970 | |
August 3, 2015 | October 21, 2015 | October 23, 2015 | November 3, 2015 | $0.097 | $970 | |
November 2, 2015 | November 18, 2015 | November 20, 2015 | December 2, 2015 | $0.097 | $970 | |
November 2, 2015 | December 22, 2015 | December 24, 2015 | January 5, 2016 | $0.097 | $970 | |
November 2, 2015 | January 20, 2016 | January 22, 2016 | February 2, 2016 | $0.097 | $970 | |
February 8, 2016 | February 17, 2016 | February 19, 2016 | March 2, 2016 | $0.097 | $970 | |
February 8, 2016 | March 21, 2016 | March 23, 2016 | April 4, 2016 | $0.097 | $970 | |
February 8, 2016 | April 19, 2016 | April 21, 2016 | May 3, 2016 | $0.097 | $970 | |
May 2, 2016 | May 19, 2016 | May 23, 2016 | June 2, 2016 | $0.097 | $970 | |
May 2, 2016 | June 21, 2016 | June 23, 2016 | July 5, 2016 | $0.097 | $970 | |
May 2, 2016 | July 19, 2016 | July 21, 2016 | August 2, 2016 | $0.097 | $970 | |
August 3, 2016 | August 19, 2016 | August 23, 2016 | September 2, 2016 | $0.097 | $970 | |
August 3, 2016 | September 20, 2016 | September 22, 2016 | October 4, 2016 | $0.097 | $970 | |
August 3, 2016 | October 19, 2016 | October 21, 2016 | November 2, 2016 | $0.097 | $970 | |
Inception to Date Total | $3.163 | $31,630 |
($ in thousands except per share data) Basis point increase (1) | Interest income | Interest expense | Net increase to Net Earnings | Net increase per share | |||||||||||||
300 | $ | 5,281 | $ | 2,868 | $ | 2,413 | $ | 0.24 | |||||||||
200 | $ | 3,292 | $ | 1,912 | $ | 1,380 | $ | 0.14 | |||||||||
100 | $ | 1,303 | $ | 956 | $ | 347 | $ | 0.03 |
(1) | Forward LIBOR curve used to develop the cash flows incorporated in the June 30, 2016 valuations and the cash flows used to calculate the effective yield as of June 30, 2016. Source: Bloomberg as of July 19, 2016. |
Exhibit Number | Description | |
*3.1 | American Capital Senior Floating, Ltd. Articles of Amendment and Restatement, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2014 (File No. 814-01025), filed May 15, 2014. | |
*3.2 | American Capital Senior Floating, Ltd. Amended and Restated Bylaws, incorporated herein by reference to Exhibit 3.2 of Form 10-Q for the quarter ended March 31, 2014 (File No. 814-01025), filed May 15, 2014. | |
*4.1 | Instruments defining the rights of holders of securities: See Article VI of our Articles of Amendment and Restatement, incorporated herein by reference to Exhibit 3.1 of Form 10-Q for the quarter ended March 31, 2014 (File No. 814-01025), filed May 15, 2014. | |
*4.2 | Instruments defining the rights of holders of securities: See Article VII of our Amended and Restated Bylaws, incorporated herein by reference to Exhibit 3.2 of Form 10-Q for the quarter ended March 31, 2014 (File No. 814-01025), filed May 15, 2014. | |
*4.3 | Form of Certificate of Common Stock, incorporated herein by reference to Exhibit 2.d.3 of Amendment No. 1 to Form N-2 (Registration Statement No. 333-190357), filed December 20, 2013. | |
31.1 | Certification of CEO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
31.2 | Certification of CFO Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
32.1 | Certification of CEO and CFO Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
* Previously filed | ||
AMERICAN CAPITAL SENIOR FLOATING, LTD. | ||||
Date: | August 5, 2016 | By: | /s/ John R. Erickson | |
John R. Erickson Executive Vice President and Chief Financial Officer (Principal Financial Officer) | ||||
1. | I have reviewed this quarterly report on Form 10-Q of American Capital Senior Floating, Ltd.; |
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. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | (Reserved) |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our 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. | The registrant's other certifying officer and I have disclosed, based on our 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: |
(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. |
/s/ MALON WILKUS | |
Malon Wilkus | |
Chair of the Board and Chief Executive Officer (Principal Executive Officer) |
1. | I have reviewed this quarterly report on Form 10-Q of American Capital Senior Floating, Ltd.; |
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. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | (Reserved) |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our 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. | The registrant's other certifying officer and I have disclosed, based on our 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: |
(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. |
/s/ JOHN R. ERICKSON | |
John R. Erickson | |
Executive Vice President and Chief Financial Officer (Principal Financial Officer) |
1. | The Report fully complies with the requirements of Section 13(a) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
/s/ MALON WILKUS | |||
Name: | Malon Wilkus | ||
Title: | Chair of the Board and Chief Executive Officer (Principal Executive Officer) | ||
Date: | August 5, 2016 | ||
/s/ JOHN R. ERICKSON | |||
Name: | John R. Erickson | ||
Title: | Executive Vice President and Chief Financial Officer (Principal Financial Officer) | ||
Date: | August 5, 2016 |
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