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 or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
245 Park Avenue, 42nd Floor,New York, NY 10167 | ||
(Address of principal executive offices) (Zip Code) | ||
(212) 750-7300 | ||
(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 | ¨ |
Emerging growth company | x |
Class | Outstanding at May 9, 2017 | |
Common stock, $0.01 par value | 10,000,100 | |
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. | ||
March 31, 2017 (unaudited) | December 31, 2016 | |||||||
Assets: | ||||||||
Investments, fair value (cost of $261,183 and $257,965, respectively) | $ | 247,327 | $ | 244,872 | ||||
Cash and cash equivalents | 5,355 | 8,795 | ||||||
Receivable for investments sold | 6,596 | 2,272 | ||||||
Deferred financing costs | 158 | 181 | ||||||
Interest receivable | 521 | 779 | ||||||
Prepaid expenses and other assets | 868 | 143 | ||||||
Receivable from affiliate (Notes 3 and 4) | 437 | 298 | ||||||
Total assets | $ | 261,262 | $ | 257,340 | ||||
Liabilities: | ||||||||
Secured revolving credit facility payable (Note 7) | $ | 103,400 | $ | 104,900 | ||||
Payable for investments purchased | 18,244 | 12,202 | ||||||
Management fee payable (Note 3) | 2,577 | 2,046 | ||||||
Interest payable (Note 7) | 31 | 34 | ||||||
Taxes payable (Note 8) | 19 | 117 | ||||||
Payable to affiliate (Note 4) | 27 | 156 | ||||||
Other liabilities and accrued expenses | 333 | 126 | ||||||
Distributions to stockholders payable (Note 10) | — | 970 | ||||||
Total liabilities | 124,631 | 120,551 | ||||||
Commitments and contingencies (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 | 150,949 | 150,949 | ||||||
Accumulated undistributed net investment income | 2,276 | 2,133 | ||||||
Accumulated net realized loss from investments | (2,838 | ) | (3,300 | ) | ||||
Net unrealized depreciation on investments | (13,856 | ) | (13,093 | ) | ||||
Total net assets | 136,631 | 136,789 | ||||||
Total liabilities and net assets | $ | 261,262 | $ | 257,340 | ||||
Net asset value per share outstanding | $ | 13.66 | $ | 13.68 |
Three Months Ended March 31, | ||||||||
2017 | 2016 | |||||||
Investment Income: | ||||||||
Interest | $ | 4,612 | $ | 4,345 | ||||
Total investment income | 4,612 | 4,345 | ||||||
Expenses: | ||||||||
Interest and commitment fee (Note 7) | 710 | 641 | ||||||
Management fee (Note 3) | 531 | 497 | ||||||
Professional fees | 343 | 53 | ||||||
Insurance | 148 | 111 | ||||||
Amortization of deferred financing costs | 23 | 23 | ||||||
Other general and administrative expenses (Note 4) | 222 | 353 | ||||||
Total expenses | 1,977 | 1,678 | ||||||
Expense reimbursement (Notes 3 and 4) | (437 | ) | (238 | ) | ||||
Net expenses | 1,540 | 1,440 | ||||||
Net investment income before taxes | 3,072 | 2,905 | ||||||
Income tax provision (Note 8) | (19 | ) | (27 | ) | ||||
Net investment income | 3,053 | 2,878 | ||||||
Net loss on investments: | ||||||||
Net realized gain (loss) on investments | 462 | (890 | ) | |||||
Net unrealized (depreciation) appreciation on investments | (763 | ) | 180 | |||||
Net loss on investments | (301 | ) | (710 | ) | ||||
Net increase in net assets resulting from operations (“Net Earnings”) | $ | 2,752 | $ | 2,168 | ||||
Net investment income per share | $ | 0.31 | $ | 0.29 | ||||
Net Earnings per share (Note 5) | $ | 0.28 | $ | 0.22 | ||||
Distributions to stockholders declared per share | $ | 0.29 | $ | 0.29 | ||||
Weighted average shares outstanding | 10,000 | 10,000 |
Three Months Ended March 31, | ||||||||
2017 | 2016 | |||||||
Operations: | ||||||||
Net investment income | $ | 3,053 | $ | 2,878 | ||||
Net realized gain (loss) on investments | 462 | (890 | ) | |||||
Net unrealized (depreciation) appreciation on investments | (763 | ) | 180 | |||||
Net Earnings | 2,752 | 2,168 | ||||||
Distributions to stockholders: | ||||||||
From net investment income | (2,910 | ) | (2,910 | ) | ||||
Net decrease in net assets | (158 | ) | (742 | ) | ||||
Net assets, beginning of period | 136,789 | 117,929 | ||||||
Net assets, end of period | $ | 136,631 | $ | 117,187 | ||||
Undistributed net investment income included in net assets | $ | 2,276 | $ | 1,528 | ||||
Common shares outstanding | 10,000 | 10,000 |
Three Months Ended March 31, | ||||||||
2017 | 2016 | |||||||
Cash Flows from Operating Activities: | ||||||||
Net Earnings | $ | 2,752 | $ | 2,168 | ||||
Adjustments to reconcile net increase in net assets resulting from operations: | ||||||||
Net realized (gain) loss on investments | (462 | ) | 890 | |||||
Net unrealized depreciation (appreciation) on investments | 763 | (180 | ) | |||||
Accretion of CLO interest income | (1,835 | ) | (1,657 | ) | ||||
Net amortization of discount on loans | (81 | ) | (58 | ) | ||||
Amortization of deferred financing costs | 23 | 23 | ||||||
Purchase of investments, net | (57,730 | ) | (12,282 | ) | ||||
Proceeds from disposition of investments, net | 58,608 | 26,134 | ||||||
Changes in operating assets and liabilities: | ||||||||
Interest receivable | 258 | 37 | ||||||
Prepaid expenses and other assets | (725 | ) | (297 | ) | ||||
Receivable from affiliate | (139 | ) | (4 | ) | ||||
Management fee payable | 531 | (39 | ) | |||||
Interest payable | (3 | ) | (18 | ) | ||||
Taxes payable | (98 | ) | (213 | ) | ||||
Payable to affiliate | (129 | ) | (8 | ) | ||||
Other liabilities and accrued expenses | 207 | (53 | ) | |||||
Net cash provided by operating activities | 1,940 | 14,443 | ||||||
Cash Flows from Financing Activities: | ||||||||
Distributions to stockholders paid | (3,880 | ) | (2,910 | ) | ||||
Payments on revolving credit facility, net | (1,500 | ) | (11,400 | ) | ||||
Net cash used in financing activities | (5,380 | ) | (14,310 | ) | ||||
Net change in cash and cash equivalents | (3,440 | ) | 133 | |||||
Cash and cash equivalents at beginning of period | 8,795 | 2,474 | ||||||
Cash and cash equivalents at end of period | $ | 5,355 | $ | 2,607 | ||||
Supplemental disclosure of cash flow information: | ||||||||
Cash paid for interest and commitment fees | $ | 713 | $ | 659 | ||||
Cash paid for income taxes | $ | 130 | $ | 240 | ||||
Cash received for income tax benefit | $ | (126 | ) | $ | — | |||
Distributions to stockholders declared and payable during the period | $ | 2,910 | $ | 2,910 |
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 —139.7% of Net Assets | ||||||||||||||||||||||||
24 Hour Fitness Worldwide, Inc. (5), (6) | 05/30/2021 | 4.90 | % | L+ 3.75 | 1.00 | % | Leisure Goods/Activities/Movies | $ | 1,947 | $ | 1,943 | $ | 1,944 | |||||||||||
Academy, Ltd. (5) | 07/01/2022 | 5.04 | % | L+ 4.00 | 1.00 | % | Retailers (except food and drug) | 903 | 799 | 671 | ||||||||||||||
Acosta, Inc. (5) | 09/26/2021 | 4.29 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 2,425 | 2,396 | 2,282 | ||||||||||||||
Advanced Integration Technology LP (5), (6), (7) | 04/03/2023 | 6.50 | % | L+ 5.50 | 1.00 | % | Industrial Equipment | 2,000 | 2,000 | 2,013 | ||||||||||||||
Aegis Toxicology Sciences Corporation (5) | 02/24/2021 | 5.66 | % | L+ 4.50 | 1.00 | % | Health Care | 1,621 | 1,614 | 1,614 | ||||||||||||||
Affinion Group, Inc. (5) | 04/30/2018 | 6.75 | % | L+ 5.25 | 1.50 | % | Business Equipment and Services | 750 | 750 | 749 | ||||||||||||||
Air Medical Group Holdings, Inc. (5) | 04/28/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 1,965 | 1,969 | 1,968 | ||||||||||||||
Albertson's LLC (5) | 12/21/2022 | 4.40 | % | L+ 3.25 | 1.00 | % | Food/Drug Retailers | 985 | 963 | 993 | ||||||||||||||
AlixPartners, LLP (5) | 07/28/2022 | 4.00 | % | L+ 3.00 | 1.00 | % | Financial Intermediaries | 972 | 970 | 977 | ||||||||||||||
Alliant Holdings Intermediate, LLC (5) | 08/12/2022 | 4.39 | % | L+ 3.25 | 1.00 | % | Diversified Insurance | 1,528 | 1,522 | 1,538 | ||||||||||||||
Allied Universal Holdco LLC (5) | 07/28/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Diversified Insurance | 101 | 101 | 102 | ||||||||||||||
Allied Universal Holdco LLC (5) | 07/28/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Diversified Insurance | 830 | 822 | 837 | ||||||||||||||
American Residential Services, LLC (5), (6), (7) | 06/30/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Ecological Services and Equipment | 1,995 | 1,990 | 2,000 | ||||||||||||||
American Tire Distributors, Inc. (5) | 09/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food and drug) | 963 | 960 | 967 | ||||||||||||||
Anchor Glass Container Corporation (5) | 12/07/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Containers and Glass Products | 1,717 | 1,709 | 1,731 | ||||||||||||||
APLP Holdings Limited Partnership (3), (5) | 04/13/2023 | 6.00 | % | L+ 5.00 | 1.00 | % | Utilities | 439 | 428 | 444 | ||||||||||||||
AqGen Ascensus, Inc. (5) | 12/05/2022 | 5.02 | % | L+ 4.00 | 1.00 | % | Financial Intermediaries | 1,482 | 1,432 | 1,494 | ||||||||||||||
Aquilex LLC (5), (6) | 12/31/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 905 | 904 | 882 | ||||||||||||||
Arctic Glacier U.S.A., Inc. (5) | 03/20/2024 | 5.25 | % | L+ 4.25 | 1.00 | % | Food Products | 1,000 | 995 | 1,011 | ||||||||||||||
Ardent Legacy Acquisitions, Inc. (5), (6) | 08/04/2021 | 6.65 | % | L+ 5.50 | 1.00 | % | Health Care | 328 | 326 | 329 | ||||||||||||||
Arnold and S. Bleichroeder Holdings, Inc. (5) | 12/01/2022 | 5.15 | % | L+ 4.00 | 0.75 | % | Financial Intermediaries | 705 | 694 | 708 | ||||||||||||||
Ascend Learning, LLC (5) | 07/31/2019 | 5.52 | % | L+ 4.50 | 1.00 | % | Business Equipment and Services | 580 | 578 | 584 | ||||||||||||||
AssuredPartners, Inc. (5), (7) | 10/21/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Insurance | 1,333 | 1,333 | 1,346 | ||||||||||||||
Asurion, LLC (5) | 08/04/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Diversified Insurance | 2,107 | 2,089 | 2,120 | ||||||||||||||
Bass Pro Group, LLC (5) | 12/15/2023 | 6.15 | % | L+ 5.00 | 0.75 | % | Retailers (except food and drug) | 1,000 | 990 | 966 | ||||||||||||||
BCPE Eagle Buyer LLC (5) | 03/18/2024 | 5.25 | % | L+ 4.25 | 1.00 | % | Health Care | 1,500 | 1,485 | 1,502 | ||||||||||||||
Big Jack Holdings LP (5), (6), (7) | 04/05/2024 | 5.25 | % | L+ 4.25 | 1.00 | % | Food/Drug Retailers | 2,000 | 1,990 | 2,013 | ||||||||||||||
BioScrip, Inc. (3), (5), (6), (7) | 07/31/2020 | 9.25 | % | L+ 8.00 | 1.25 | % | Health Care | 369 | 364 | 368 | ||||||||||||||
BioScrip, Inc. (3), 5), (6), (7) | 07/31/2020 | 9.25 | % | L+ 8.00 | 1.25 | % | Health Care | 616 | 607 | 613 | ||||||||||||||
BJ's Wholesale Club, Inc. (5) | 02/03/2024 | 4.75 | % | L+ 3.75 | 1.00 | % | Food/Drug Retailers | 1,403 | 1,400 | 1,374 | ||||||||||||||
Blackboard, Inc. (5) | 06/30/2021 | 6.02 | % | L+ 5.00 | 1.00 | % | Electronics/Electric | 2,405 | 2,405 | 2,401 | ||||||||||||||
BWay Intermediate Company, Inc. (5) | 08/14/2023 | 4.75 | % | L+ 3.75 | 1.00 | % | Containers and Glass Products | 2,338 | 2,324 | 2,337 | ||||||||||||||
BWay Intermediate Company, Inc. (5), (7) | 04/03/2024 | 4.65 | % | L+ 3.50 | 1.00 | % | Containers and Glass Products | 806 | 802 | 805 | ||||||||||||||
Calceus Acquisition, Inc. (5) | 01/31/2020 | 5.06 | % | L+ 4.00 | 1.00 | % | Clothing/Textiles | 2,307 | 2,313 | 2,003 |
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) —139.7% of Net Assets | ||||||||||||||||||||||||
Candy Intermediate Holdings, Inc. (5), (6) | 06/15/2023 | 5.65 | % | L+ 4.50 | 1.00 | % | Food Products | $ | 1,787 | $ | 1,785 | $ | 1,751 | |||||||||||
Carecore National, LLC (5), (6) | 03/05/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care | 1,958 | 1,958 | 1,968 | ||||||||||||||
Catalina Marketing Corporation (5), (6) | 04/09/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Business Equipment and Services | 2,388 | 2,386 | 2,161 | ||||||||||||||
CB Poly Investments, LLC (5), (6) | 08/16/2023 | 6.25 | % | L+ 5.25 | 1.00 | % | Clothing/Textiles | 1,493 | 1,479 | 1,506 | ||||||||||||||
CCM Merger, Inc. (5) | 08/06/2021 | 4.23 | % | L+ 3.25 | 0.75 | % | Lodging and Casinos | 767 | 764 | 773 | ||||||||||||||
CHG Healthcare Services, Inc. (5) | 06/07/2023 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care | 662 | 662 | 671 | ||||||||||||||
Comfort Holding, LLC (5) | 02/05/2024 | 5.75 | % | L+ 4.75 | 1.00 | % | Home Furnishings | 1,519 | 1,504 | 1,535 | ||||||||||||||
CPG International Inc. (5), (6) | 09/30/2020 | 4.90 | % | L+ 3.75 | 1.00 | % | Building & Development | 1,918 | 1,918 | 1,925 | ||||||||||||||
CPI Holdco, LLC (5) | 03/21/2024 | 5.00 | % | L+ 4.00 | 1.00 | % | Industrial Equipment | 2,000 | 1,990 | 2,016 | ||||||||||||||
CT Technologies Intermediate Holdings, Inc. (5) | 12/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Electronics/Electric | 491 | 489 | 466 | ||||||||||||||
DJO Finance LLC (5) | 06/08/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 1,000 | 978 | 970 | ||||||||||||||
Dole Food Company, Inc. (5) | 11/01/2018 | 4.50 | % | L+ 3.50 | 1.00 | % | Food Products | 2,479 | 2,477 | 2,485 | ||||||||||||||
Dole Food Company, Inc. (5), (7) | 04/06/2024 | 4.00 | % | L+ 3.00 | 1.00 | % | Food Products | 857 | 853 | 863 | ||||||||||||||
DTI Holdco, Inc. (5) | 09/30/2023 | 6.29 | % | L+ 5.25 | 1.00 | % | Electronics/Electric | 748 | 746 | 740 | ||||||||||||||
Duff & Phelps Corporation (5) | 04/23/2020 | 4.90 | % | L+ 3.75 | 1.00 | % | Financial Intermediaries | 2,388 | 2,388 | 2,407 | ||||||||||||||
Dynacast International LLC (5), (7) | 01/28/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Industrial Equipment | 536 | 536 | 538 | ||||||||||||||
Eastern Power, LLC (5) | 10/02/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Utilities | 1,932 | 1,923 | 1,944 | ||||||||||||||
EIG Investors Corp. (3), (5) , (7) | 11/09/2019 | 6.53 | % | L+ 5.48 | 1.00 | % | Electronics/Electric | 1,989 | 1,989 | 2,004 | ||||||||||||||
Emerald Expositions Holding, Inc. (5) | 06/17/2020 | 4.90 | % | L+ 3.75 | 1.00 | % | Publishing | 2,442 | 2,454 | 2,465 | ||||||||||||||
Epicor Software Corporation (5) | 06/01/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | 1,954 | 1,939 | 1,960 | ||||||||||||||
Erie Acquisition Holdings, Inc. (5) | 03/01/2023 | 6.07 | % | L+ 4.75 | 1.00 | % | Business Equipment and Services | 491 | 483 | 494 | ||||||||||||||
ExamWorks Group, Inc. (5) | 07/27/2023 | 4.23 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 995 | 998 | 1,002 | ||||||||||||||
Expro Finservices S.à r.l. (3), (5) | 09/02/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Oil and Gas | 1,950 | 1,931 | 1,545 | ||||||||||||||
Fairmount Minerals, Ltd. (3), (5) | 09/05/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Nonferrous Metals/Minerals | 422 | 423 | 414 | ||||||||||||||
FHC Health Systems, Inc. (5) | 12/23/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care | 1,489 | 1,469 | 1,405 | ||||||||||||||
Filtration Group Corporation (5) | 11/23/2020 | 4.30 | % | L+ 3.25 | 1.00 | % | Industrial Equipment | 985 | 985 | 994 | ||||||||||||||
Flexera Software LLC (5) | 04/02/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 995 | 995 | 999 | ||||||||||||||
Gates Global LLC (5) | 07/06/2021 | 4.40 | % | L+ 3.25 | 1.00 | % | Automotive | 1,448 | 1,447 | 1,453 | ||||||||||||||
Genesys Telecommunications Laboratories, Inc (5) | 12/01/2023 | 5.02 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 499 | 492 | 503 | ||||||||||||||
Gruden Acquisition, Inc. (5) | 08/18/2022 | 5.90 | % | L+ 4.75 | 1.00 | % | Surface Transport | 329 | 327 | 321 | ||||||||||||||
GTCR Valor Companies, Inc. (5), (7) | 06/16/2023 | 7.15 | % | L+ 6.00 | 1.00 | % | Business Equipment and Services | 1,851 | 1,855 | 1,863 | ||||||||||||||
Harland Clarke Holdings Corp. (5) | 12/31/2019 | 7.15 | % | L+ 6.00 | 1.00 | % | Publishing | 723 | 725 | 731 | ||||||||||||||
Helix Generation, LLC (5). (7) | 03/10/2024 | 4.75 | % | L+ 3.75 | 1.00 | % | Utilities | 443 | 441 | 450 | ||||||||||||||
HGIM Corp. (5) | 06/18/2020 | 5.64 | % | L+ 4.50 | 1.00 | % | Surface Transport | 1,448 | 1,450 | 1,033 | ||||||||||||||
Hyland Software, Inc. (5) | 07/01/2022 | 4.23 | % | L+ 3.25 | 0.75 | % | Electronics/Electric | 2,458 | 2,441 | 2,492 | ||||||||||||||
Hyperion Insurance Group Limited (3), (5) | 04/29/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Diversified Insurance | 748 | 750 | 752 | ||||||||||||||
IBC Capital Limited (3), (5) | 09/09/2021 | 4.87 | % | L+ 3.75 | 1.00 | % | Business Equipment and Services | 995 | 986 | 978 | ||||||||||||||
Immucor, Inc. (5) | 08/17/2018 | 5.00 | % | L+ 3.75 | 1.25 | % | Conglomerates | 972 | 975 | 963 | ||||||||||||||
Indra Holdings Corp. (5), (6) | 05/03/2021 | 5.29 | % | L+ 4.25 | 1.00 | % | Clothing/Textiles | 1,185 | 1,178 | 802 |
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) —139.7% of Net Assets | ||||||||||||||||||||||||
Infoblox Inc. (5) | 11/07/2023 | 6.00 | % | L+ 5.00 | 1.00 | % | Electronics/Electric | $ | 1,429 | $ | 1,402 | $ | 1,446 | |||||||||||
Informatica Corporation (5) | 08/05/2022 | 4.65 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 1,943 | 1,939 | 1,936 | ||||||||||||||
Information Resources, Inc. (5) | 01/18/2024 | 5.25 | % | L+ 4.25 | 1.00 | % | Electronics/Electric | 2,431 | 2,420 | 2,465 | ||||||||||||||
Intelsat Jackson Holdings S.A (3), (5) | 06/30/2019 | 3.89 | % | L+ 2.75 | 1.00 | % | Telecommunications | 1,000 | 988 | 981 | ||||||||||||||
Ion Media Networks, Inc. (5), (6) | 12/18/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Broadcast Radio and Television | 1,897 | 1,904 | 1,916 | ||||||||||||||
IPC Corp. (5), (6) | 08/06/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Electronics/Electric | 1,470 | 1,465 | 1,378 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/21/2021 | 4.65 | % | L+ 3.50 | 1.00 | % | Aerospace and Defense | 1,947 | 1,950 | 1,902 | ||||||||||||||
JC Penney Corp Inc (3), (5) | 06/23/2023 | 5.30 | % | L+ 4.25 | 1.00 | % | Retailers (except food and drug) | 745 | 749 | 741 | ||||||||||||||
Jo-Ann Stores, Inc. (5) | 10/21/2023 | 6.26 | % | L+ 5.00 | 1.00 | % | Retailers (except food and drug) | 499 | 489 | 490 | ||||||||||||||
Kraton Polymers LLC (3), (5) | 01/06/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Chemical/Plastics | 1,040 | 1,056 | 1,051 | ||||||||||||||
Kronos Acquisition Intermediate Inc. (3), (5) | 08/26/2022 | 5.65 | % | L+ 4.50 | — | % | Cosmetics/Toiletries | 711 | 697 | 722 | ||||||||||||||
Kronos Incorporated (5) | 11/01/2023 | 5.03 | % | L+ 4.00 | 1.00 | % | Electronics/Electric | 2,294 | 2,286 | 2,310 | ||||||||||||||
LANDesk Software Group, Inc. (5) | 01/20/2024 | 5.25 | % | L+ 4.25 | 1.00 | % | Electronics/Electric | 1,097 | 1,095 | 1,105 | ||||||||||||||
Learning Care Group (US) No. 2 Inc. (5) | 05/05/2021 | 5.06 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 987 | 987 | 1,002 | ||||||||||||||
Liberty Cablevision of Puerto Rico LLC (5) | 01/07/2022 | 4.66 | % | L+3.50 | 1.00 | % | Cable and Satellite Television | 1,000 | 994 | 999 | ||||||||||||||
Life Time Fitness, Inc. (5) | 06/10/2022 | 4.00 | % | L+ 3.00 | 1.00 | % | Leisure Goods/Activities/Movies | 863 | 857 | 866 | ||||||||||||||
Manitowoc Foodservice, Inc. (3), (5) | 03/03/2023 | 4.00 | % | L+ 3.00 | 1.00 | % | Industrial Equipment | 635 | 624 | 642 | ||||||||||||||
McGraw-Hill Global Education Holdings, LLC (5) | 05/22/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Publishing | 993 | 988 | 984 | ||||||||||||||
Meter Readings Holdings, LLC (5). (6) | 08/29/2023 | 6.80 | % | L+ 5.75 | 1.00 | % | Electronics/Electric | 663 | 654 | 677 | ||||||||||||||
Mister Car Wash Holdings, Inc. (5) | 08/20/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Business Equipment and Services | 125 | 124 | 126 | ||||||||||||||
Mister Car Wash Holdings, Inc. (5) | 08/20/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Business Equipment and Services | 622 | 617 | 628 | ||||||||||||||
Mitchell International, Inc. (5) | 10/13/2020 | 4.54 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 2,371 | 2,378 | 2,398 | ||||||||||||||
Mohegan Tribal Gaming Authority (5) | 10/13/2023 | 5.50 | % | L+ 4.50 | 1.00 | % | Lodging and Casinos | 1,500 | 1,522 | 1,507 | ||||||||||||||
MPH Acquisition Holdings LLC (5) | 06/07/2023 | 4.90 | % | L+ 3.75 | 1.00 | % | Health Care | 456 | 454 | 463 | ||||||||||||||
Murray Energy Corporation (5) | 04/16/2020 | 8.40 | % | L+ 7.25 | 1.00 | % | Nonferrous metals/minerals | 997 | 954 | 972 | ||||||||||||||
NFP Corp (5) | 01/08/2024 | 4.65 | % | L+ 3.50 | 1.00 | % | Diversified Insurance | 2,494 | 2,482 | 2,523 | ||||||||||||||
nThrive, Inc. (5), (7) | 10/20/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care | 1,995 | 1,995 | 2,001 | ||||||||||||||
Numericable US LLC (3), (5) | 01/15/2024 | 5.29 | % | L+ 4.25 | 0.75 | % | Cable and Satellite Television | 1,489 | 1,476 | 1,495 | ||||||||||||||
Oak Parent, Inc. (5) | 10/26/2023 | 5.50 | % | L+ 4.50 | 1.00 | % | Clothing/Textiles | 1,353 | 1,343 | 1,359 | ||||||||||||||
Omnitracs, LLC (5) | 11/25/2020 | 4.90 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | 990 | 976 | 1,002 | ||||||||||||||
Onex Carestream Finance LP (5) | 06/07/2019 | 5.15 | % | L+ 4.00 | 1.00 | % | Electronics/Electric | 1,586 | 1,589 | 1,535 | ||||||||||||||
Opal Acquisition, Inc. (5) | 11/27/2020 | 5.15 | % | L+ 4.00 | 1.00 | % | Health Care | 2,898 | 2,885 | 2,727 | ||||||||||||||
Optiv Inc. (5) | 02/01/2024 | 4.25 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 1,075 | 1,073 | 1,083 | ||||||||||||||
PAE Holding Corporation (5) | 10/20/2022 | 6.50 | % | L+ 5.50 | 1.00 | % | Aerospace and Defense | 564 | 554 | 570 | ||||||||||||||
PetSmart, Inc. (5) | 03/11/2022 | 4.02 | % | L+ 3.00 | 1.00 | % | Retailers (except food and drug) | 486 | 484 | 466 |
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) —139.7% of Net Assets | ||||||||||||||||||||||||
Pharmaceutical Product Development, Inc. (5) | 08/18/2022 | 4.40 | % | L+ 3.25 | 1.00 | % | Drugs | $ | 1,474 | $ | 1,468 | $ | 1,480 | |||||||||||
Plaskolite, LLC (5) | 11/03/2022 | 5.15 | % | L+ 4.00 | 1.00 | % | Chemical/Plastics | 1,414 | 1,408 | 1,427 | ||||||||||||||
Plaze, Inc. (5) | 07/31/2022 | 4.65 | % | L+ 3.50 | 1.00 | % | Chemical/Plastics | 822 | 821 | 829 | ||||||||||||||
PODS, LLC (5), (6) | 02/02/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Surface Transport | 990 | 980 | 1,000 | ||||||||||||||
Presidio, Inc. (5) | 02/02/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 1,187 | 1,187 | 1,201 | ||||||||||||||
Press Ganey Holdings, Inc. (5) | 10/21/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 399 | 397 | 401 | ||||||||||||||
PrimeLine Utility Services LLC (5) | 11/14/2022 | 6.52 | % | L+ 5.50 | 1.00 | % | Utilities | 1,104 | 1,095 | 1,117 | ||||||||||||||
ProAmpac PG Borrower LLC (5) | 11/20/2023 | 5.06 | % | L+ 4.00 | 1.00 | % | Containers and Glass Products | 449 | 445 | 454 | ||||||||||||||
Quikrete Holdings, Inc. (5) | 11/15/2023 | 4.23 | % | L+ 3.25 | 0.75 | % | Building & Development | 998 | 993 | 1,008 | ||||||||||||||
Quorum Health Corporation (3), (5) | 04/29/2022 | 6.79 | % | L+ 5.75 | 1.00 | % | Health Care | 1,000 | 993 | 979 | ||||||||||||||
Rackspace Hosting, Inc. (5) | 11/03/2023 | 4.53 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 499 | 499 | 503 | ||||||||||||||
Renaissance Learning, Inc. (5) | 04/09/2021 | 4.90 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | 1,940 | 1,939 | 1,951 | ||||||||||||||
Riverbed Technology, Inc. (5) | 04/25/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 1,956 | 1,956 | 1,957 | ||||||||||||||
Russell Investments US Institutional Holdco, Inc. (3), (5) | 06/01/2023 | 6.75 | % | L+ 5.75 | 1.00 | % | Financial Intermediaries | 249 | 254 | 253 | ||||||||||||||
Seahawk Holdings Limited (5) | 10/31/2022 | 7.00 | % | L+ 6.00 | 1.00 | % | Electronics/Electric | 1,954 | 1,940 | 1,986 | ||||||||||||||
Sears Roebuck Acceptance Corp. (3), (5) | 06/30/2018 | 5.50 | % | L+ 4.50 | 1.00 | % | Retailers (except food and drug) | 735 | 730 | 727 | ||||||||||||||
Securus Technologies Holdings, Inc. (5) | 04/30/2020 | 4.75 | % | L+ 3.50 | 1.25 | % | Telecommunications | 1,861 | 1,846 | 1,863 | ||||||||||||||
Serta Simmons Bedding, LLC (5) | 11/08/2023 | 4.54 | % | L+ 3.50 | 1.00 | % | Home Furnishings | 2,000 | 1,990 | 2,010 | ||||||||||||||
Shearer's Foods, LLC (5) | 06/30/2021 | 5.40 | % | L+ 4.25 | 1.00 | % | Food Products | 494 | 490 | 496 | ||||||||||||||
SMS System Maintenance Services, Inc. (5) | 10/30/2023 | 6.00 | % | L+ 5.00 | 1.00 | % | Electronics/Electric | 1,995 | 1,985 | 2,012 | ||||||||||||||
Solera, LLC (3), (5) | 03/03/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 946 | 933 | 952 | ||||||||||||||
Sterigenics-Nordion Holdings, LLC (5) | 05/16/2022 | 4.40 | % | L+ 3.25 | 1.00 | % | Health Care | 893 | 886 | 896 | ||||||||||||||
Strategic Partners Acquisition Corp. (5), (6), (7) | 06/30/2023 | 5.50 | % | L+ 4.50 | 1.00 | % | Clothing/Textiles | 2,250 | 2,250 | 2,250 | ||||||||||||||
STS Operating, Inc. (5), (6) | 02/12/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Industrial Equipment | 1,906 | 1,913 | 1,878 | ||||||||||||||
Summit Midstream Partners Holdings, LLC (3), (5), (6) | 05/13/2022 | 7.02 | % | L+ 6.00 | 1.00 | % | Oil and Gas | 612 | 606 | 624 | ||||||||||||||
Surgery Center Holdings, Inc. (3), (5) | 11/03/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care | 1,955 | 1,949 | 1,980 | ||||||||||||||
Syniverse Holdings, Inc (5) | 04/23/2019 | 4.04 | % | L+ 3.00 | 1.00 | % | Telecommunications | 749 | 687 | 693 | ||||||||||||||
Syniverse Holdings, Inc. (5) | 04/23/2019 | 4.15 | % | L+ 3.00 | 1.00 | % | Telecommunications | 1,464 | 1,444 | 1,350 | ||||||||||||||
TCH-2 Holdings, LLC (5), (6) | 05/06/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Electronics/Electric | 542 | 526 | 549 | ||||||||||||||
Thermasys Corp. (5) | 05/03/2019 | 5.25 | % | L+ 4.00 | 1.25 | % | Industrial Equipment | 438 | 438 | 397 | ||||||||||||||
TIBCO Software Inc (5) | 12/04/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Business Equipment and Services | 997 | 1,011 | 1,010 | ||||||||||||||
Travelport Finance S.à r.l. (3), (5) | 09/02/2021 | 4.75 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 1,913 | 1,898 | 1,929 | ||||||||||||||
Tricorbraun Holdings, Inc. (5) | 05/03/2019 | 6.75 | % | L+ 2.75 | 1.00 | % | Containers and Glass Products | 907 | 925 | 917 | ||||||||||||||
Tricorbraun Holdings, Inc. (5), (9) | 11/30/2023 | 4.75 | % | L+ 2.75 | 1.00 | % | Containers and Glass Products | 91 | 1 | 1 | ||||||||||||||
Turbocombustor Technology, Inc. (5) | 12/02/2020 | 5.65 | % | L+ 4.50 | 1.00 | % | Aerospace and Defense | 3,386 | 3,368 | 3,166 | ||||||||||||||
U.S. Renal Care, Inc. (5) | 12/30/2022 | 5.40 | % | L+ 4.25 | 1.00 | % | Health Care | 494 | 490 | 465 | ||||||||||||||
Unifrax I LLC (3), (5), (6), (7) | 03/31/2024 | 4.75 | % | L+ 3.75 | 1.00 | % | Industrial Equipment | 742 | 740 | 748 |
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) —139.7% of Net Assets | ||||||||||||||||||||||||
University Support Services LLC (5) | 07/06/2022 | 6.25 | % | L+ 5.25 | 1.00 | % | Health Care | $ | 1,196 | $ | 1,196 | $ | 1,215 | |||||||||||
USI, Inc. (5) | 12/27/2019 | 4.25 | % | L+ 3.25 | 1.00 | % | Diversified Insurance | 1,814 | 1,823 | 1,819 | ||||||||||||||
Varsity Brands (5) | 12/10/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Clothing/Textiles | 746 | 743 | 758 | ||||||||||||||
Veritas US Inc. (5) | 01/27/2023 | 6.77 | % | L+ 5.63 | 1.00 | % | Electronics/Electric | 997 | 951 | 991 | ||||||||||||||
VF Holding Corp. (5) | 06/30/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 995 | 991 | 1,001 | ||||||||||||||
Wilsonart LLC (5) | 12/19/2023 | 4.65 | % | L+ 3.50 | 1.00 | % | Building & Development | 748 | 753 | 756 | ||||||||||||||
WP CPP Holdings, LLC (5) | 12/28/2019 | 4.54 | % | L+ 3.50 | 1.00 | % | Aerospace and Defense | 2,403 | 2,400 | 2,283 | ||||||||||||||
Zekelman Industries, Inc. (5) | 06/14/2021 | 4.91 | % | L+ 3.75 | 1.00 | % | Steel | 117 | 117 | 119 | ||||||||||||||
Total First Lien Floating Rate Loans | $ | 193,525 | $ | 192,441 | $ | 190,897 | ||||||||||||||||||
Second Lien Floating Rate Loans —10.5% of Net Assets | ||||||||||||||||||||||||
Advantage Sales & Marketing Inc. (5) | 07/25/2022 | 7.50 | % | L+ 6.50 | 1.00 | % | Business equipment and services | $ | 1,000 | $ | 995 | $ | 975 | |||||||||||
Ameriforge Group Inc. (10) | 12/21/2020 | 8.75 | % | L+ 7.50 | 1.25 | % | Manufacturing | 500 | 433 | 53 | ||||||||||||||
Anchor Glass Container Corporation (5) | 12/07/2024 | 8.75 | % | L+ 7.75 | 1.00 | % | Containers and Glass Products | 500 | 495 | 511 | ||||||||||||||
Applied Systems, Inc. | 01/24/2022 | 7.65 | % | L+ 6.50 | 1.00 | % | Technology | 970 | 965 | 980 | ||||||||||||||
Asurion, LLC (5) | 03/03/2021 | 8.50 | % | L+ 7.50 | 1.00 | % | Diversified Insurance | 1,000 | 992 | 1,014 | ||||||||||||||
BJ's Wholesale Club, Inc. (5) | 02/03/2025 | 8.50 | % | L+ 7.50 | 1.00 | % | Food/drug retailers | 345 | 341 | 337 | ||||||||||||||
CH Hold Corp. (5) | 02/01/2025 | 8.25 | % | L+ 7.25 | 1.00 | % | Automotive | 149 | 148 | 151 | ||||||||||||||
Checkout Holding Corp. (5) | 04/11/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Business equipment and services | 1,000 | 1,002 | 770 | ||||||||||||||
Del Monte Foods, Inc. (3), (5) | 08/18/2021 | 8.31 | % | L+ 7.25 | 1.00 | % | Food Products | 1,500 | 1,499 | 1,004 | ||||||||||||||
Jazz Acquisition, Inc. (5) | 06/19/2022 | 7.90 | % | L+ 6.75 | 1.00 | % | Aerospace and Defense | 1,250 | 1,254 | 1,116 | ||||||||||||||
Jonah Energy LLC (5) | 05/12/2021 | 7.50 | % | L+ 6.50 | 1.00 | % | Oil and Gas | 500 | 496 | 481 | ||||||||||||||
Mitchell International, Inc. (5) | 10/11/2021 | 8.54 | % | L+ 7.50 | 1.00 | % | Electronics/electric | 750 | 712 | 755 | ||||||||||||||
NVA Holdings, Inc. (5) | 08/14/2022 | 8.00 | % | L+ 7.00 | 1.00 | % | Health Care | 1,500 | 1,507 | 1,514 | ||||||||||||||
Optiv Inc. (5) | 01/13/2025 | 8.25 | % | L+ 7.25 | 1.00 | % | Business equipment and services | 444 | 442 | 454 | ||||||||||||||
ProAmpac PG Borrower LLC (5) | 11/18/2024 | 9.56 | % | L+ 8.50 | 1.00 | % | Containers and Glass Products | 500 | 493 | 509 | ||||||||||||||
Radnet Management, Inc. (3), (5), (6) | 03/25/2021 | 8.00 | % | L+ 7.00 | 1.00 | % | Health Care | 1,000 | 1,009 | 1,008 | ||||||||||||||
Ranpak Corp. (5) | 10/03/2022 | 8.25 | % | L+ 7.25 | 1.00 | % | Containers and Glass Products | 917 | 916 | 896 | ||||||||||||||
Solenis International, L.P. (5) | 07/31/2022 | 7.80 | % | L+ 6.75 | 1.00 | % | Chemical/plastics | 500 | 498 | 496 | ||||||||||||||
U.S. Renal Care, Inc. (5), (6) | 12/29/2023 | 9.15 | % | L+ 8.00 | 1.00 | % | Health Care | 1,000 | 987 | 900 | ||||||||||||||
WP CPP Holdings, LLC (5), (6) | 04/30/2021 | 8.79 | % | L+ 7.75 | 1.00 | % | Aerospace and Defense | 492 | 499 | 475 | ||||||||||||||
Total Second Lien Floating Rate Loans | $ | 15,817 | $ | 15,683 | $ | 14,399 | ||||||||||||||||||
CLO Equity —30.7% of Net Assets | ||||||||||||||||||||||||
Apidos CLO XIV, Income Notes (3), (4), (6) | 04/15/2025 | 11.33 | % | $ | 5,900 | $ | 3,966 | $ | 3,381 | |||||||||||||||
Apidos CLO XVIII, Income Notes (3), (4), (6) | 07/22/2026 | 12.58 | % | 2,500 | 1,735 | 1,357 | ||||||||||||||||||
Avery Point II CLO, Income Notes (3), (4), (6) | 07/17/2025 | 15.83 | % | 3,200 | 1,848 | 956 | ||||||||||||||||||
Ares XXIX CLO Ltd., Subordinated Notes (3), (4), (6) | 04/17/2026 | 9.55 | % | 4,750 | 3,434 | 2,947 | ||||||||||||||||||
Babson 2015-1, Income Notes (3), (4), (6) | 04/20/2027 | 14.74 | % | 2,500 | 1,898 | 1,602 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry | Par Amount | Cost | Fair Value | ||||||||||||||||
CLO Equity (continued)—30.7% of Net Assets | ||||||||||||||||||||||||
Betony CLO, Ltd., Subordinated Notes (3), (4), (6) | 04/15/2027 | 5.72 | % | $ | 2,500 | $ | 1,889 | $ | 1,298 | |||||||||||||||
Blue Hill CLO, Ltd., Subordinated Fee Notes (3), (4), (6) | 01/15/2026 | 30.72 | % | 100 | 60 | 18 | ||||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Notes (3), (4), (6) | 11/13/2023 | 11.40 | % | 5,400 | 3,823 | 1,920 | ||||||||||||||||||
Carlyle Global Market Strategies CLO 2014-3, LTD., Subordinated Notes (3), (4), (6) | 07/27/2026 | 15.98 | % | 2,000 | 1,545 | 1,681 | ||||||||||||||||||
Carlyle Global Market Strategies CLO 2015-3, LTD., Subordinated Notes (3), (4), (6) | 07/28/2028 | 12.40 | % | 3,000 | 2,330 | 2,384 | ||||||||||||||||||
Cent CLO 18 Limited, Subordinated Notes (3), (4), (6) | 07/23/2025 | 15.10 | % | 4,675 | 3,215 | 2,650 | ||||||||||||||||||
Cent CLO 19 Limited, Subordinated Notes (3), (4), (6) | 10/29/2025 | 13.53 | % | 2,750 | 2,030 | 1,637 | ||||||||||||||||||
Dryden 30 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 11/15/2025 | 17.82 | % | 2,500 | 1,406 | 1,121 | ||||||||||||||||||
Dryden 31 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 04/18/2026 | 8.97 | % | 5,250 | 3,296 | 2,850 | ||||||||||||||||||
Dryden 38 Senior Loan Fund, Subordinated Notes (3), (4), (6) | 07/15/2027 | 10.58 | % | 3,000 | 2,421 | 2,266 | ||||||||||||||||||
Galaxy XVI CLO, Ltd., Subordinated Notes (3), (4), (6) | 11/16/2025 | 10.99 | % | 2,750 | 1,835 | 1,446 | ||||||||||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd., Subordinated Notes (3), (4), (6) | 04/18/2026 | 12.62 | % | 3,750 | 2,700 | 1,570 | ||||||||||||||||||
Highbridge Loan Management 2013-2, Ltd., Subordinated Notes (3), (4), (6) | 10/20/2024 | 14.17 | % | 1,000 | 640 | 540 | ||||||||||||||||||
Magnetite VIII, Limited, Subordinated Notes (3), (4), (6) | 04/15/2026 | 8.70 | % | 3,000 | 2,310 | 2,037 | ||||||||||||||||||
Neuberger Berman CLO XV, Ltd., Subordinated Notes (3), (4), (6) | 10/15/2025 | 12.39 | % | 3,410 | 2,016 | 1,749 | ||||||||||||||||||
Octagon Investment Partners XIV, Ltd., Income Notes (3), (4), (6) | 01/15/2024 | 11.16 | % | 5,500 | 3,281 | 1,613 | ||||||||||||||||||
Octagon Investment Partners XX, Ltd., Subordinated Notes (3), (4), (6) | 08/12/2026 | 4.85 | % | 2,500 | 1,796 | 1,269 | ||||||||||||||||||
Wind River CLO 2014-1, Ltd. (3), (4), (6) | 04/18/2026 | 14.87 | % | 5,050 | 3,585 | 3,739 | ||||||||||||||||||
Total CLO Equity | $ | 76,985 | $ | 53,059 | $ | 42,031 | ||||||||||||||||||
Total Non-Control/Non-Affiliate Investments (8) —181.0% of Net Assets | $ | 286,327 | $ | 261,183 | $ | 247,327 | ||||||||||||||||||
Liabilities in Excess of Other Assets — (81.0%) of Net Assets | (110,696 | ) | ||||||||||||||||||||||
Net Assets — 100.0% | $ | 136,631 |
(1) | For each debt investment we have provided the weighted-average interest rate in effect as of March 31, 2017. For each CLO investment we have provided the yield as of March 31, 2017 determined using the effective interest method that will be applied to the current amortized cost of the investment in the following quarter. See Note 2 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 March 31, 2017, qualifying assets represented 74% of total assets at fair value. |
(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 I, LLC (“ACSF Funding”), a wholly owned special purpose financing vehicle, and are pledged as collateral for a secured revolving credit facility (see Note 7). |
(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 March 31, 2017. |
(8) | Net estimated unrealized loss for federal income tax purposes is $15,190 as of March 31, 2017 based on a tax cost of $262,516. Estimated aggregate gross unrealized loss for federal income tax purposes as of March 31, 2017 is $16,937; estimated aggregate gross unrealized gain for federal income tax purposes as of March 31, 2017 is $1,747. |
(9) | Debt investment has an unfunded loan commitment of $90.9 (See Note 11). |
(10) | Investment is on non-accrual as of March 31, 2017 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. |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
Non-Control/Non-Affiliate Investments | ||||||||||||||||||||||||
First Lien Floating Rate Loans — 137.5% of Net Assets | ||||||||||||||||||||||||
24 Hour Fitness Worldwide, Inc. (6) | 05/28/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Leisure Goods/Activities/Movies | $ | 1,952 | $ | 1,947 | $ | 1,937 | |||||||||||
Acosta, Inc. (6) | 09/26/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 2,450 | 2,420 | 2,396 | ||||||||||||||
ADMI Corp. (6) | 04/29/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food & drug) | 1,534 | 1,531 | 1,549 | ||||||||||||||
Aegis Toxicology Sciences Corporation (6) | 02/24/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care | 1,625 | 1,618 | 1,550 | ||||||||||||||
Agrofresh Inc. (4), (6) | 07/31/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Chemical/Plastics | 641 | 639 | 594 | ||||||||||||||
Air Medical Group Holdings, Inc. (6) | 04/28/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 1,970 | 1,974 | 1,970 | ||||||||||||||
Albertson's LLC (6) | 12/21/2022 | 4.25 | % | L+ 3.25 | 0.75 | % | Food/drug retailers | 988 | 965 | 1,002 | ||||||||||||||
AlixPartners, LLP (6) | 07/28/2022 | 4.00 | % | L+ 3.00 | 1.00 | % | Financial Intermediaries | 980 | 978 | 990 | ||||||||||||||
Alliant Holdings Intermediate, LLC (6) | 08/12/2022 | 5.25 | % | L+ 4.00 | 1.00 | % | Diversified Insurance | 497 | 493 | 503 | ||||||||||||||
Alliant Holdings Intermediate, LLC (6) | 08/12/2022 | 4.75 | % | L+ 3.50 | 1.00 | % | Diversified Insurance | 1,034 | 1,032 | 1,042 | ||||||||||||||
Allied Universal Holdco LLC (6), (9) | 07/28/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Business equipment and services | 84 | 82 | 86 | ||||||||||||||
Allied Universal Holdco LLC (6) | 07/28/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Business Equipment and Services | 832 | 824 | 841 | ||||||||||||||
Altice France S.A. (4), (6) | 01/15/2024 | 5.14 | % | L+ 4.25 | 0.75 | % | Cable and Satellite Television | 1,492 | 1,479 | 1,515 | ||||||||||||||
American Tire Distributors, Inc. (5) | 09/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food & drug) | 966 | 962 | 965 | ||||||||||||||
Amneal Pharmaceuticals LLC (6) | 11/01/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Drugs | 982 | 982 | 986 | ||||||||||||||
AmWINS Group, LLC (6) | 09/06/2019 | 4.75 | % | L+ 3.75 | 1.00 | % | Diversified Insurance | 2,904 | 2,913 | 2,940 | ||||||||||||||
Anchor Glass Container Corporation (6) | 12/07/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Containers and Glass Products | 1,722 | 1,713 | 1,739 | ||||||||||||||
APLP Holdings Limited Partnership (4), (6) | 04/13/2023 | 6.00 | % | L+ 5.00 | 1.00 | % | Utilities | 457 | 445 | 464 | ||||||||||||||
AqGen Ascensus, Inc. (6) | 12/05/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Financial Intermediaries | 1,486 | 1,433 | 1,488 | ||||||||||||||
Aquilex LLC (6) | 12/31/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 906 | 905 | 889 | ||||||||||||||
Ardent Legacy Acquisitions, Inc. (6) | 08/04/2021 | 6.50 | % | L+ 5.50 | 1.00 | % | Health Care | 329 | 327 | 328 | ||||||||||||||
Arnhold and S. Bleichroeder Holdings, Inc. (6) | 12/01/2022 | 5.00 | % | L+ 4.00 | 0.75 | % | Financial Intermediaries | 707 | 695 | 715 | ||||||||||||||
Ascend Learning, LLC (6) | 07/31/2019 | 5.50 | % | L+ 4.50 | 1.00 | % | Business Equipment and Services | 581 | 580 | 586 | ||||||||||||||
Asurion, LLC (6) | 08/04/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Diversified Insurance | 2,144 | 2,125 | 2,176 | ||||||||||||||
Avaya Inc. (6) | 05/29/2020 | 6.25 | % | L+ 5.25 | 1.00 | % | Electronics/Electric | 1,484 | 1,256 | 1,294 | ||||||||||||||
Bass Pro Shops (6) | 12/15/2023 | 5.97 | % | L+ 5.00 | 0.75 | % | Retailers (except food & drug) | 1,000 | 990 | 992 | ||||||||||||||
BJ's Wholesale Club, Inc. (6) | 09/26/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Food/Drug Retailers | 1,424 | 1,424 | 1,439 | ||||||||||||||
Blackboard Inc. (6) | 06/30/2021 | 6.00 | % | L+ 5.00 | 1.00 | % | Electronics/Electric | 2,411 | 2,411 | 2,434 | ||||||||||||||
BWay Intermediate Company, Inc. (6) | 08/14/2023 | 4.75 | % | L+ 3.75 | 1.00 | % | Containers and Glass Products | 2,344 | 2,330 | 2,355 | ||||||||||||||
C.H.I. Overhead Doors, Inc. (6) | 07/29/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Building and Development | 665 | 662 | 667 | ||||||||||||||
Calceus Acquisition, Inc. (6) | 01/31/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Clothing/Textiles | 2,313 | 2,319 | 2,030 | ||||||||||||||
Candy Intermediate Holdings, Inc. (6) | 06/15/2023 | 5.50 | % | L+ 4.50 | 1.00 | % | Food Products | 1,791 | 1,789 | 1,807 | ||||||||||||||
Carecore National, LLC (6) | 03/05/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care | 1,999 | 1,999 | 1,971 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) — 137.5% of Net Assets | ||||||||||||||||||||||||
CB Poly Investments, LLC (6) | 08/16/2023 | 6.25 | % | L+ 5.25 | 1.00 | % | Clothing/Textiles | $ | 1,496 | $ | 1,482 | $ | 1,515 | |||||||||||
CCM Merger, Inc. (6) | 08/06/2021 | 4.02 | % | L+ 3.25 | 0.75 | % | Lodging and Casinos | 793 | 789 | 803 | ||||||||||||||
CEC Entertainment, Inc. (6) | 02/12/2021 | 4.00 | % | L+ 3.00 | 1.00 | % | Leisure Goods/Activities/Movies | 742 | 720 | 741 | ||||||||||||||
Checkout Holding Corp. (6) | 04/09/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Business Equipment and Services | 2,437 | 2,436 | 2,133 | ||||||||||||||
CHG Healthcare Services, Inc. (6) | 06/07/2023 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care | 662 | 662 | 670 | ||||||||||||||
CHS/Community Health Systems, Inc. (4), (6) | 01/27/2021 | 4.00 | % | L+ 3.00 | 1.00 | % | Health Care | 1,450 | 1,394 | 1,409 | ||||||||||||||
CityCenter Holdings, LLC (6) | 10/16/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Lodging and Casinos | 1,461 | 1,467 | 1,480 | ||||||||||||||
CNT Holdings III Corp (6) | 01/22/2023 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food & drug) | 695 | 691 | 705 | ||||||||||||||
Compuware Corporation (6) | 12/15/2021 | 6.25 | % | L+ 5.25 | 1.00 | % | Electronics/Electric | 953 | 935 | 960 | ||||||||||||||
Cotiviti Corporation (4), (6) | 09/28/2023 | 3.75 | % | L+ 2.75 | 0.75 | % | Health Care | 764 | 759 | 772 | ||||||||||||||
CPG International Inc. (6) | 09/30/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Building and Development | 1,918 | 1,918 | 1,935 | ||||||||||||||
CPI Buyer, LLC (6) | 08/16/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Industrial Equipment | 1,960 | 1,949 | 1,941 | ||||||||||||||
CT Technologies Intermediate Holdings, Inc. (6) | 12/01/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Electronics/Electric | 493 | 491 | 472 | ||||||||||||||
Dell International LLC (6) | 09/07/2023 | 4.02 | % | L+ 3.25 | 0.75 | % | Electronics/Electric | 2,000 | 1,990 | 2,037 | ||||||||||||||
Dole Food Company, Inc. (6) | 11/01/2018 | 4.61 | % | L+ 3.50 | 1.00 | % | Food Products | 2,486 | 2,483 | 2,505 | ||||||||||||||
Duff & Phelps Corporation (6) | 04/23/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Financial Intermediaries | 2,394 | 2,395 | 2,417 | ||||||||||||||
Eastern Power, LLC (6) | 10/02/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Utilities | 1,932 | 1,923 | 1,953 | ||||||||||||||
Electrical Components International, Inc. (6) | 05/28/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Conglomerates | 1,808 | 1,812 | 1,817 | ||||||||||||||
Emerald Expositions Holding, Inc. (6) | 06/17/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Publishing | 2,449 | 2,462 | 2,468 | ||||||||||||||
Epicor Software Corporation (6) | 06/01/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | 1,954 | 1,939 | 1,965 | ||||||||||||||
Erie Acquisition Holdings, Inc. (6) | 03/01/2023 | 6.06 | % | L+ 4.75 | 1.00 | % | Business Equipment and Services | 492 | 483 | 500 | ||||||||||||||
Expro Finservices S.à r.l. (4), (6) | 09/02/2021 | 5.75 | % | L+ 4.75 | 1.00 | % | Oil and gas | 1,955 | 1,935 | 1,667 | ||||||||||||||
Fairmount Santrol, Inc. (4), (6) | 09/05/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Nonferrous Metals/Minerals | 423 | 424 | 412 | ||||||||||||||
FHC Health Systems, Inc. (6) | 12/23/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care | 1,492 | 1,471 | 1,455 | ||||||||||||||
Filtration Group Corporation (6) | 11/23/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Industrial Equipment | 988 | 988 | 997 | ||||||||||||||
Fitness International, LLC (6) | 07/01/2020 | 6.00 | % | L+ 5.00 | 1.00 | % | Leisure Goods/Activities/Movies | 1,746 | 1,724 | 1,751 | ||||||||||||||
Flexera Software LLC (6) | 04/02/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 998 | 998 | 1,000 | ||||||||||||||
Gates Global LLC (6) | 07/06/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Automotive | 1,452 | 1,451 | 1,455 | ||||||||||||||
Global Tel*Link Corporation (6) | 05/23/2020 | 5.00 | % | L+ 3.75 | 1.25 | % | Telecommunication | 1,649 | 1,632 | 1,645 | ||||||||||||||
Gold Merger Co, Inc. (6) | 07/27/2023 | 4.75 | % | L+ 3.75 | 1.00 | % | Business Equipment and Services | 998 | 1,001 | 1,005 | ||||||||||||||
Greeneden U.S. Holdings I, LLC (6) | 12/01/2023 | 6.25 | % | L+ 5.25 | 1.00 | % | Electronics/Electric | 500 | 493 | 510 | ||||||||||||||
Gruden Acquisition, Inc. (6) | 08/18/2022 | 5.75 | % | L+ 4.75 | 1.00 | % | Surface Transport | 330 | 327 | 316 | ||||||||||||||
Hercules Achievement, Inc.(6) | 12/10/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Clothing/Textiles | 748 | 744 | 760 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) — 137.5% of Net Assets | ||||||||||||||||||||||||
HFOTCO LLC (6) | 08/19/2021 | 4.25 | % | L+ 3.25 | 1.00 | % | Oil and Gas | 1,487 | 1,433 | 1,484 | ||||||||||||||
HGIM Corp. (6) | 06/18/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Surface Transport | 1,451 | 1,454 | 1,143 | ||||||||||||||
Hyland Software, Inc. (6) | 7/1/2022 | 4.75 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | 2,458 | 2,440 | 2,477 | ||||||||||||||
IBC Capital Limited (4), (6) | 9/9/2021 | 4.98 | % | L+ 3.75 | 1.00 | % | Business Equipment and Services | 997 | 988 | 989 | ||||||||||||||
Immucor, Inc. (6) | 8/17/2018 | 5.00 | % | L+ 3.75 | 1.25 | % | Conglomerates | 975 | 978 | 945 | ||||||||||||||
Indra Holdings Corp. (6) | 5/1/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Clothing/Textiles | 1,185 | 1,178 | 797 | ||||||||||||||
Infoblox Inc. (6) | 11/7/2023 | 6.00 | % | L+ 5.00 | 1.00 | % | Electronics/Electric | 1,429 | 1,401 | 1,424 | ||||||||||||||
Informatica Corporation (6) | 8/5/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 1,975 | 1,971 | 1,970 | ||||||||||||||
Information Resources, Inc. (6), (8) | 12/20/2023 | 5.25 | % | L+ 4.25 | 1.00 | % | Business Equipment and Services | 2,431 | 2,419 | 2,453 | ||||||||||||||
Information Resources, Inc. (6) | 9/30/2020 | 5.56 | % | L+ 3.75 | 1.00 | % | Business Equipment and Services | 1,929 | 1,937 | 1,942 | ||||||||||||||
Inmar, Inc. (6) | 1/27/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Business Equipment and Services | 2,691 | 2,673 | 2,677 | ||||||||||||||
Ion Media Networks, Inc. (6) | 12/18/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Broadcast Radio and Television | 1,897 | 1,905 | 1,920 | ||||||||||||||
IPC Corp. (6) | 8/6/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Electronics/Electric | 1,474 | 1,468 | 1,421 | ||||||||||||||
Jaguar Holding Company I (6) | 8/18/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Drugs | 1,478 | 1,472 | 1,496 | ||||||||||||||
Jazz Acquisition, Inc. (6) | 6/19/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Aerospace and Defense | 1,952 | 1,955 | 1,841 | ||||||||||||||
Jo-Ann Stores, LLC (6) | 10/20/2023 | 6.26 | % | L+ 5.00 | 1.00 | % | Retailers (except food & drug) | 500 | 490 | 505 | ||||||||||||||
Kronos Acquisition Intermediate Inc. (4), (6) | 8/26/2022 | 6.00 | % | L+ 5.00 | 1.00 | % | Cosmetics/Toiletries | 988 | 967 | 999 | ||||||||||||||
Kronos Incorporated (6), (8) | 11/1/2023 | 5.00 | % | L+ 4.00 | 1.00 | % | Cosmetics/Toiletries | 2,300 | 2,292 | 2,332 | ||||||||||||||
Landslide Holdings, Inc. (6) | 9/27/2022 | 5.50 | % | L+ 4.50 | 1.00 | % | Electronics/Electric | 648 | 641 | 657 | ||||||||||||||
Learning Care Group (US) No. 2 Inc. (6) | 5/5/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 987 | 987 | 997 | ||||||||||||||
Liberty Cablevision of Puerto Rico LLC (6) | 1/7/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Cable and Satellite Television | 1,000 | 993 | 996 | ||||||||||||||
Life Time Fitness, Inc. (6) | 6/10/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Leisure Goods/Activities/Movies | 865 | 859 | 872 | ||||||||||||||
Manitowoc Foodservice, Inc. (4), (6) | 3/3/2023 | 5.75 | % | L+ 4.75 | 1.00 | % | Industrial Equipment | 635 | 623 | 646 | ||||||||||||||
McGraw-Hill Global Education Holdings, LLC (6) | 5/4/2022 | 5.00 | % | L+ 4.00 | 1.00 | % | Publishing | 995 | 991 | 998 | ||||||||||||||
Mediware Information Systems, Inc. (6) | 9/28/2023 | 5.75 | % | L+ 4.75 | 1.00 | % | Electronics/Electric | 499 | 494 | 503 | ||||||||||||||
Meter Readings Holdings, LLC (6) | 8/29/2023 | 6.75 | % | L+ 5.75 | 1.00 | % | Electronics/Electric | 665 | 655 | 679 | ||||||||||||||
Mister Car Wash Holdings, Inc. (6), (8) | 8/20/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food & drug) | 125 | 124 | 126 | ||||||||||||||
Mister Car Wash Holdings, Inc. (6), (8) | 8/20/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Retailers (except food & drug) | 623 | 619 | 626 | ||||||||||||||
Mitchell International, Inc. (6) | 10/13/2020 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 2,377 | 2,384 | 2,384 | ||||||||||||||
Moneygram International, Inc. (4), (6) | 3/27/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Business Equipment and Services | 583 | 561 | 578 | ||||||||||||||
MPH Acquisition Holdings LLC (6) | 6/7/2023 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care | 464 | 462 | 473 | ||||||||||||||
National Financial Partners Corp. (6) | 7/1/2020 | 6.25 | % | L+ 3.50 | 1.00 | % | Diversified Insurance | 1,943 | 1,951 | 1,963 | ||||||||||||||
NFP Corp. (6), (8) | 1/8/2024 | 4.50 | % | L+ 3.50 | 1.00 | % | Insurance | 2,500 | 2,488 | 2,526 | ||||||||||||||
NVA Holdings, Inc. (6) | 8/14/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Health Care | 394 | 393 | 396 | ||||||||||||||
Oak Parent, Inc. (6) | 10/26/2023 | 5.50 | % | L+ 4.50 | 1.00 | % | Clothing/Textiles | 1,367 | 1,357 | 1,375 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) — 137.5% of Net Assets | ||||||||||||||||||||||||
Omnitracs, LLC (6) | 11/25/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Electronics/Electric | $ | 992 | $ | 977 | $ | 1,002 | |||||||||||
Onex Carestream Finance LP (6) | 6/7/2019 | 5.00 | % | L+ 4.00 | 1.00 | % | Electronics/Electric | 1,610 | 1,613 | 1,568 | ||||||||||||||
Opal Acquisition, Inc. (6) | 11/27/2020 | 5.00 | % | L+ 4.00 | 1.00 | % | Health Care | 2,899 | 2,885 | 2,776 | ||||||||||||||
Ortho-Clinical Diagnostics Holdings Luxembourg S.À R.L. (4), (6) | 6/30/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care | 2,445 | 2,392 | 2,432 | ||||||||||||||
PAE Holding Corporation (6) | 10/20/2022 | 6.50 | % | L+ 5.50 | 1.00 | % | Aerospace and Defense | 571 | 560 | 577 | ||||||||||||||
Peabody Energy Corporation (4), (6), (10) | 9/24/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Nonferrous Metals/Minerals | 771 | 647 | 755 | ||||||||||||||
PetSmart, Inc. (6) | 3/11/2022 | 4.00 | % | L+ 3.00 | 1.00 | % | Retailers (except food & drug) | 488 | 485 | 490 | ||||||||||||||
Plaskolite, LLC (6) | 11/3/2022 | 5.75 | % | L+ 4.75 | 1.00 | % | Chemical/Plastics | 920 | 914 | 924 | ||||||||||||||
Plaze, Inc. (6) | 7/31/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Chemical/Plastics | 824 | 823 | 828 | ||||||||||||||
PODS, LLC (6) | 2/2/2022 | 4.50 | % | L+ 3.50 | 1.00 | % | Surface Transport | 992 | 982 | 1,004 | ||||||||||||||
Power Buyer, LLC (6) | 5/6/2020 | 4.25 | % | L+ 3.25 | 1.00 | % | Utilities | 993 | 992 | 996 | ||||||||||||||
Presidio, Inc. (6) | 2/2/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Electronics/Electric | 1,281 | 1,281 | 1,297 | ||||||||||||||
Press Ganey Holdings, Inc. (6) | 10/23/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 400 | 398 | 403 | ||||||||||||||
PrimeLine Utility Services LLC (6) | 11/14/2022 | 6.50 | % | L+ 5.50 | 1.00 | % | Utilities | 1,107 | 1,098 | 1,111 | ||||||||||||||
ProAmpac PG Borrower LLC (6) | 11/20/2023 | 5.00 | % | L+ 4.00 | 1.00 | % | Containers and Glass Products | 450 | 446 | 456 | ||||||||||||||
Quest Software US Holdings Inc. (6) | 10/31/2022 | 7.00 | % | L+ 6.00 | 1.00 | % | Electronics/Electric | 2,000 | 1,986 | 2,030 | ||||||||||||||
Quikrete Holdings, Inc. (6) | 11/15/2023 | 4.00 | % | L+ 3.25 | 0.75 | % | Building and Development | 1,000 | 995 | 1,011 | ||||||||||||||
Rackspace Hosting, Inc. (6) | 11/3/2023 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 500 | 500 | 507 | ||||||||||||||
Ravago Holdings America, Inc. (6) | 7/13/2023 | 5.00 | % | L+ 4.00 | 1.00 | % | Chemical/Plastics | 498 | 493 | 504 | ||||||||||||||
Renaissance Learning, Inc. (6) | 4/9/2021 | 4.50 | % | L+ 3.50 | 1.00 | % | Electronics/Electric | 1,945 | 1,944 | 1,954 | ||||||||||||||
RGIS Services, LLC (6) | 10/18/2017 | 5.50 | % | L+ 4.25 | 1.25 | % | Business Equipment and Services | 1,506 | 1,504 | 1,393 | ||||||||||||||
Riverbed Technology, Inc. (6) | 4/25/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 1,975 | 1,975 | 1,992 | ||||||||||||||
Road Infrastructure Investment Holdings, Inc. (6) | 6/13/2023 | 5.00 | % | L+ 4.00 | 1.00 | % | Chemical/Plastics | 800 | 798 | 808 | ||||||||||||||
Scientific Games International, Inc. (4), (6) | 10/1/2021 | 6.00 | % | L+ 5.00 | 1.00 | % | Lodging and Casinos | 978 | 971 | 991 | ||||||||||||||
Sears Roebuck Acceptance Corp. (4), (6) | 6/30/2018 | 5.50 | % | L+ 4.50 | 1.00 | % | Retailers (except food & drug) | 977 | 970 | 940 | ||||||||||||||
Securus Technologies Holdings, Inc. (6) | 4/30/2020 | 4.75 | % | L+ 3.50 | 1.25 | % | Telecommunication | 1,866 | 1,850 | 1,859 | ||||||||||||||
Serta Simmons Bedding, LLC (6) | 11/8/2023 | 4.50 | % | L+ 3.50 | 1.00 | % | Home furnishings | 2,000 | 1,990 | 2,025 | ||||||||||||||
Shearer's Foods, LLC (6) | 6/30/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Food products | 495 | 491 | 497 | ||||||||||||||
Solera, LLC (4), (6) | 3/3/2023 | 5.75 | % | L+ 4.75 | 1.00 | % | Electronics/Electric | 496 | 483 | 504 | ||||||||||||||
Sterigenics-Nordion Holdings, LLC (6) | 5/16/2022 | 4.25 | % | L+ 3.25 | 1.00 | % | Health Care | 895 | 888 | 902 | ||||||||||||||
STS Operating, Inc. (6) | 2/12/2021 | 4.75 | % | L+ 3.75 | 1.00 | % | Industrial Equipment | 1,906 | 1,914 | 1,849 | ||||||||||||||
Surgery Center Holdings, Inc. (4), (6) | 11/3/2020 | 4.75 | % | L+ 3.75 | 1.00 | % | Health Care | 1,960 | 1,954 | 1,980 | ||||||||||||||
Syniverse Holdings, Inc. (6) | 4/23/2019 | 4.00 | % | L+ 3.00 | 1.00 | % | Telecommunication | 1,466 | 1,444 | 1,288 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
First Lien Floating Rate Loans (continued) — 137.5% of Net Assets | ||||||||||||||||||||||||
TCH-2 Holdings, LLC (6) | 5/6/2021 | 5.50 | % | L+ 4.50 | 1.00 | % | Electronics/Electric | $ | 543 | $ | 527 | $ | 545 | |||||||||||
Thermasys Corp. (6) | 5/3/2019 | 5.25 | % | L+ 4.00 | 1.25 | % | Industrial Equipment | 441 | 442 | 380 | ||||||||||||||
Travelport Finance (Luxembourg) S.à r.l. (4), (6) | 9/2/2021 | 5.00 | % | L+ 4.00 | 1.00 | % | Business Equipment and Services | 1,918 | 1,902 | 1,940 | ||||||||||||||
Turbocombustor Technology, Inc. (6) | 12/2/2020 | 5.50 | % | L+ 4.50 | 1.00 | % | Aerospace and Defense | 3,395 | 3,376 | 3,106 | ||||||||||||||
U.S. Renal Care, Inc. (6) | 12/30/2022 | 5.25 | % | L+ 4.25 | 1.00 | % | Health Care | 495 | 491 | 466 | ||||||||||||||
USI, Inc. (6) | 12/27/2019 | 4.25 | % | L+ 3.25 | 1.00 | % | Diversified Insurance | 1,819 | 1,828 | 1,832 | ||||||||||||||
VF Holding Corp. (6) | 6/30/2023 | 4.25 | % | L+ 3.25 | 1.00 | % | Electronics/Electric | 998 | 993 | 1,003 | ||||||||||||||
Weight Watchers International, Inc. (4), (6) | 4/2/2020 | 4.07 | % | L+ 3.25 | 0.75 | % | Food Products | 987 | 845 | 823 | ||||||||||||||
William Morris Endeavor Entertainment , LLC (6) | 5/6/2021 | 5.25 | % | L+ 4.25 | 1.00 | % | Broadcast Radio and Television | 1,945 | 1,943 | 1,969 | ||||||||||||||
WP CPP Holdings, LLC (6) | 12/28/2019 | 4.50 | % | L+ 3.50 | 1.00 | % | Aerospace and Defense | 2,409 | 2,406 | 2,360 | ||||||||||||||
Total First Lien Floating Rate Loans | $ | 190,535 | $ | 189,009 | $ | 188,098 | ||||||||||||||||||
Second Lien Floating Rate Loans — 11.3% of Net Assets | ||||||||||||||||||||||||
Advantage Sales & Marketing Inc. (6) | 7/25/2022 | 7.50 | % | L+ 6.50 | 1.00 | % | Business Equipment and Services | $ | 1,000 | $ | 995 | $ | 979 | |||||||||||
Ameriforge Group Inc. (7), (10) | 12/21/2020 | 8.75 | % | L+ 7.50 | 1.25 | % | Oil and Gas | 500 | 444 | 79 | ||||||||||||||
Anchor Glass Container Corporation (6) | 12/7/2024 | 8.75 | % | L+ 7.75 | 1.00 | % | Containers and Glass Products | 500 | 495 | 511 | ||||||||||||||
Applied Systems, Inc. | 1/24/2022 | 7.50 | % | L+ 6.50 | 1.00 | % | Electronics/Electric | 970 | 965 | 982 | ||||||||||||||
Asurion, LLC (6) | 3/3/2021 | 8.50 | % | L+ 7.50 | 1.00 | % | Diversified Insurance | 1,000 | 991 | 1,019 | ||||||||||||||
Checkout Holding Corp. (6) | 4/11/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Business Equipment and Services | 1,000 | 1,002 | 720 | ||||||||||||||
Del Monte Foods, Inc. (4), (6) | 8/18/2021 | 8.45 | % | L+ 7.25 | 1.00 | % | Food Products | 1,500 | 1,499 | 1,154 | ||||||||||||||
Jazz Acquisition, Inc. (6) | 6/19/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Aerospace and Defense | 1,250 | 1,254 | 1,061 | ||||||||||||||
Jonah Energy LLC (6), (7) | 5/12/2021 | 7.50 | % | L+ 6.50 | 1.00 | % | Oil and Gas | 500 | 495 | 475 | ||||||||||||||
Mitchell International, Inc. (6) | 10/11/2021 | 8.50 | % | L+ 7.50 | 1.00 | % | Electronics/Electric | 750 | 710 | 746 | ||||||||||||||
NVA Holdings, Inc. (6) | 8/14/2022 | 8.00 | % | L+ 7.00 | 1.00 | % | Health Care | 1,500 | 1,507 | 1,506 | ||||||||||||||
ProAmpac PG Borrower LLC (6) | 11/18/2024 | 9.50 | % | L+ 8.50 | 1.00 | % | Containers and Glass Products | 500 | 493 | 503 | ||||||||||||||
Ranpak Corp. (6) | 10/3/2022 | 8.25 | % | L+ 7.25 | 1.00 | % | Containers and Glass Products | 1,375 | 1,374 | 1,341 | ||||||||||||||
Sedgwick Claims Management Services, Inc. (6) | 2/28/2022 | 6.75 | % | L+ 5.75 | 1.00 | % | Diversified Insurance | 2,500 | 2,417 | 2,503 | ||||||||||||||
Solenis International, L.P. (6) | 7/31/2022 | 7.75 | % | L+ 6.75 | 1.00 | % | Chemical/Plastics | 500 | 498 | 493 | ||||||||||||||
U.S. Renal Care, Inc. (6) | 12/29/2023 | 9.00 | % | L+ 8.00 | 1.00 | % | Health Care | 1,000 | 987 | 890 | ||||||||||||||
WP CPP Holdings, LLC (6) | 4/30/2021 | 8.75 | % | L+ 7.75 | 1.00 | % | Aerospace and Defense | 492 | 500 | 467 | ||||||||||||||
Total Second Lien Floating Rate Loans | $ | 16,837 | $ | 16,626 | $ | 15,429 | ||||||||||||||||||
CLO Equity — 30.2% of Net Assets | ||||||||||||||||||||||||
Apidos CLO XIV, Income Notes (4), (5), (7) | 4/15/2025 | 11.02 | % | $ | 5,900 | $ | 4,056 | $ | 3,480 | |||||||||||||||
Apidos CLO XVIII, Income Notes (4), (5), (7) | 7/22/2026 | 10.08 | % | 2,500 | 1,769 | 1,450 | ||||||||||||||||||
Ares XXIX CLO Ltd., Subordinated Notes (4), (5), (7) | 4/17/2026 | 5.81 | % | 4,750 | 3,508 | 2,605 | ||||||||||||||||||
Avery Point II CLO, Limited, Income Notes (4), (5), (7) | 7/17/2025 | — | % | 3,200 | 1,903 | 1,101 |
Description | Maturity | Interest Rate (1) | Basis Point Spread Above Index (2) | LIBOR Interest Rate Floor | Industry (3) | Par Amount | Cost | Fair Value | ||||||||||||||||
CLO Equity (continued) — 30.2% of Net Assets | ||||||||||||||||||||||||
Babson 2015-1, Income Notes (4), (5), (7) | 4/20/2027 | 16.74 | % | $ | 2,500 | $ | 1,920 | $ | 1,811 | |||||||||||||||
Betony CLO, Ltd., Subordinated Notes (4), (5), (7) | 4/15/2027 | 1.79 | % | 2,500 | 1,903 | 1,278 | ||||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Notes (4), (5), (7) | 1/15/2026 | — | % | 5,400 | 3,910 | 1,636 | ||||||||||||||||||
Blue Hill CLO, Ltd., Subordinated Fee Notes (4), (5), (7) | 1/15/2026 | — | % | 100 | 63 | 58 | ||||||||||||||||||
Carlyle Global Market Strategies CLO 2015-3, Ltd., Subordinated Notes (4), (5), (7) | 7/28/2028 | 20.55 | % | 3,000 | 2,307 | 2,456 | ||||||||||||||||||
Cent CLO 18 Limited, Subordinated Notes (4), (5), (7) | 7/23/2025 | 19.36 | % | 4,675 | 3,212 | 2,801 | ||||||||||||||||||
Cent CLO 19 Limited, Subordinated Notes (4), (5), (7) | 10/29/2025 | 18.20 | % | 2,750 | 2,012 | 1,677 | ||||||||||||||||||
Dryden 30 Senior Loan Fund, Subordinated Notes (4), (5), (7) | 11/15/2025 | 22.98 | % | 2,500 | 1,440 | 1,368 | ||||||||||||||||||
Dryden 31 Senior Loan Fund, Subordinated Notes (4), (5), (7) | 4/18/2026 | 15.60 | % | 5,250 | 3,405 | 2,954 | ||||||||||||||||||
Dryden 38 Senior Loan Fund, Subordinated Notes (4), (5), (7), (8) | 7/15/2027 | 17.80 | % | 3,000 | 2,423 | 2,456 | ||||||||||||||||||
Galaxy XVI CLO, Ltd., Subordinated Notes (4), (5), (7) | 11/17/2025 | 4.28 | % | 2,750 | 1,893 | 1,479 | ||||||||||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd., Subordinated Notes (4), (5), (7) | 4/18/2026 | 2.28 | % | 3,750 | 2,680 | 1,466 | ||||||||||||||||||
Highbridge Loan Management 2013-2, Ltd., Subordinated Notes (4), (5), (7) | 10/20/2024 | 14.24 | % | 1,000 | 660 | 636 | ||||||||||||||||||
Magnetite VIII, Limited, Subordinated Notes (4), (5), (7) | 4/15/2026 | 13.95 | % | 3,000 | 2,334 | 2,140 | ||||||||||||||||||
Neuberger Berman CLO XV, Ltd., Subordinated Notes (4), (5), (7) | 10/15/2025 | 15.43 | % | 3,410 | 2,056 | 1,937 | ||||||||||||||||||
Octagon Investment Partners XIV, Ltd., Income Notes (4), (5), (7) | 1/15/2024 | 0.61 | % | 5,500 | 3,328 | 1,805 | ||||||||||||||||||
Octagon Investment Partners XX, Ltd., Subordinated Notes (4), (5), (7) | 8/12/2026 | 5.64 | % | 2,500 | 1,850 | 1,383 | ||||||||||||||||||
THL Credit Wind River 2014-1 CLO Ltd., Subordinated Notes (4), (5), (7) | 4/18/2026 | 17.49 | % | 5,050 | 3,698 | 3,352 | ||||||||||||||||||
Total CLO Equity | $ | 74,985 | $ | 52,330 | $ | 41,329 | ||||||||||||||||||
Common Equity — 0.0% of Net Assets | ||||||||||||||||||||||||
New Millennium Holdco, Inc. (9,446 shares) (6), (7), (11) | Health Care | $ | — | $ | — | $ | 16 | |||||||||||||||||
Total Common Equity | $ | — | $ | — | $ | 16 | ||||||||||||||||||
Total Non-Control/Non-Affiliate Investments (12) — 179.0% of net assets | $ | 282,357 | $ | 257,965 | $ | 244,872 | ||||||||||||||||||
Liabilities in Excess of Other Assets — (79.0%) | (108,083 | ) | ||||||||||||||||||||||
Net Assets — 100.0% | $ | 136,789 |
(1) | For each debt investment we have provided the weighted-average interest rate in effect as of December 31, 2016. For each CLO investment we have provided the accounting yield as of December 31, 2016 determined using the effective interest method. See Note 2 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) | The industry groupings as of December 31, 2016 above have been reclassified to conform with current period presentation. |
(4) | 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, 2016, qualifying assets represented 76% of total assets at fair value. |
(5) | 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. |
(6) | Assets are held at ACSF Funding and are pledged as collateral for a secured revolving credit facility (see Note 7). |
(7) | Fair value was determined using significant unobservable inputs and are classified as Level 3 in the fair value hierarchy. |
(8) | All or a portion of this position has not settled as of December 31, 2016. |
(9) | Debt investment has an unfunded loan commitment of $81.5. |
(10) | Investment has been placed on non-accrual as of December 31, 2016. 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 remaining cost basis has been collected. |
(11) | Common stock is non-income producing. |
(12) | Net estimated unrealized loss for federal income tax purposes is $14,993 as of December 31, 2016 based on a tax cost of $259,864. Estimated aggregate gross unrealized loss for federal income tax purposes as of December 31, 2016 is $17,211; estimated aggregate gross unrealized gain for federal income tax purposes as of December 31, 2016 is $2,218. |
Three Months Ended | ||||||||
2017 | 2016 | |||||||
Numerator — Net Earnings | $ | 2,752 | $ | 2,168 | ||||
Denominator — weighted average shares | 10,000 | 10,000 | ||||||
Net Earnings per share — basic and diluted | $ | 0.28 | $ | 0.22 |
March 31, 2017 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
First lien floating rate loans | $ | 190,897 | $ | — | $ | 161,784 | $ | 29,113 | ||||||||
Second lien floating rate loans | 14,399 | — | 12,017 | 2,382 | ||||||||||||
CLO equity | 42,031 | — | — | 42,031 | ||||||||||||
Total Investments | $ | 247,327 | $ | — | $ | 173,801 | $ | 73,526 |
December 31, 2016 | ||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
First lien floating rate loans | $ | 188,098 | $ | — | $ | 188,098 | $ | — | ||||||||
Second lien floating rate loans | 15,429 | — | 14,875 | 554 | ||||||||||||
CLO equity | 41,329 | — | — | 41,329 | ||||||||||||
Common equity | 16 | — | — | 16 | ||||||||||||
Total Investments | $ | 244,872 | $ | — | $ | 202,973 | $ | 41,899 |
First Lien Floating Rate Loans | Second Lien Floating Rate Loans | CLO Equity | Common Equity | Total | ||||||||||||||||
December 31, 2016 (1) | $ | — | $ | 554 | $ | 41,329 | $ | 16 | $ | 41,899 | ||||||||||
Purchases | 10,546 | 1,010 | 1,540 | — | 13,096 | |||||||||||||||
Sales | — | — | — | (9 | ) | (9 | ) | |||||||||||||
Repayments (2) | 882 | — | (2,646 | ) | — | (1,764 | ) | |||||||||||||
Amortization of discount/premium (3) | 2 | — | 1,835 | — | 1,837 | |||||||||||||||
Transfers out (4) | — | (554 | ) | — | — | (554 | ) | |||||||||||||
Transfers in (4) | 17,509 | 1,357 | — | — | 18,866 | |||||||||||||||
Realized gains, net | (11 | ) | — | — | 9 | (2 | ) | |||||||||||||
Net unrealized appreciation (depreciation) | 185 | 15 | (27 | ) | (16 | ) | 157 | |||||||||||||
Ending Balance – March 31, 2017 | $ | 29,113 | $ | 2,382 | $ | 42,031 | $ | — | $ | 73,526 | ||||||||||
Net change in net unrealized appreciation (depreciation) attributable to our Level 3 assets still held as of March 31, 2017 | $ | 165 | $ | 15 | $ | (163 | ) | $ | (16 | ) | $ | 1 |
(1) | Beginning balances as of December 31, 2016 are presented as stated in our December 31, 2016 Annual Report on Form 10-K and were not updated to reflect the differences resulting from exercising judgment on observability of inputs to leveling as discussed in note (4) below. The financial effects of these differences appear as transfer between Level 2 and Level 3 during the current fiscal quarter. |
(2) | Includes total cash distributions from CLO equity investments. |
(3) | Includes income accrual from CLO equity investments. |
(4) | 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 the period. Transfers in to Level 3 for Floating Rate Loans were due to an accounting policy change to classify vendor priced securities with only one broker quote supporting the price as a Level 3 investment beginning in the first quarter of 2017. |
First Lien Floating Rate Loans | Second Lien Floating Rate Loans | CLO Equity | Total | |||||||||||||
Beginning Balance – December 31, 2015 | $ | — | $ | 359 | $ | 36,854 | $ | 37,260 | ||||||||
Purchases | — | — | 1,493 | 1,493 | ||||||||||||
Repayments (1) | — | (11 | ) | (3,600 | ) | (3,611 | ) | |||||||||
Amortization of discount/premium (2) | — | — | 1,657 | 1,657 | ||||||||||||
Net unrealized appreciation (depreciation) | — | 9 | (2,587 | ) | (2,478 | ) | ||||||||||
Ending Balance – March 31, 2016 | $ | — | $ | 357 | $ | 33,817 | $ | 34,321 | ||||||||
Net change in net unrealized depreciation attributable to our Level 3 assets still held as of March 31, 2016 | $ | — | $ | 9 | $ | (2,587 | ) | $ | (2,478 | ) |
(1) | Includes total cash distributions from CLO equity investments. |
(2) | Includes income accrual from CLO equity investments. |
Range | ||||||||||||
Fair Value | Valuation Techniques/ Methodology | Significant Unobservable Inputs | Minimum | Maximum | Weighted Average | |||||||
First lien floating rate loans | $ | 29,113 | Third-party vendor pricing service | N/A | N/A | N/A | N/A | |||||
Second lien floating rate loans | 2,382 | Third-party vendor pricing service | N/A | N/A | N/A | N/A | ||||||
CLO equity | 42,031 | Third-party vendor pricing service | N/A | N/A | N/A | N/A | ||||||
Total | $ | 73,526 |
Range | ||||||||||||
Fair Value | Valuation Techniques/ Methodology | Significant Unobservable Inputs | Minimum | Maximum | Weighted Average | |||||||
Second lien floating rate loans | $ | 554 | Third-party vendor pricing service | N/A | N/A | N/A | N/A | |||||
CLO equity | 41,329 | Discounted Cash Flow | Discount rate Prepayment rate Default rate | 11.7% 25.0% 2.2% | 26.7% 25.0% 2.7% | 17.0% 25.0% 2.4% | ||||||
Common equity | 16 | Third-party vendor pricing service | N/A | N/A | N/A | N/A | ||||||
Total | $ | 41,899 |
March 31, 2017 | December 31, 2016 | |||
Electronics/electric | 18.9% | 17.8% | ||
Health Care | 12.6% | 11.0% | ||
Business equipment and services | 10.7% | 11.4% | ||
Diversified Insurance | 5.2% | 6.9% | ||
Aerospace and Defense | 4.6% | 4.6% | ||
Industrial Equipment | 4.5% | 2.9% | ||
Clothing/Textiles | 4.2% | 3.2% | ||
Containers and Glass Products | 4.0% | 3.4% | ||
Food Products | 3.7% | 3.3% | ||
Financial Intermediaries | 2.8% | 2.8% | ||
Retailers (except food and drug) | 2.4% | 3.4% | ||
Telecommunications | 2.4% | 2.4% | ||
Food/drug retailers | 2.3% | 1.2% | ||
Publishing | 2.0% | 1.7% | ||
Utilities | 1.9% | 2.2% | ||
Chemical/plastics | 1.9% | 2.0% | ||
Building & Development | 1.8% | 1.8% | ||
Home Furnishings | 1.7% | 1.0% | ||
Leisure goods/activities/movies | 1.4% | 2.6% | ||
Oil and Gas | 1.3% | 1.8% | ||
Cable and Satellite Television | 1.2% | 1.2% | ||
Surface transport | 1.1% | 1.2% | ||
Lodging and Casinos | 1.1% | 1.6% | ||
Ecological services and equipment | 1.0% | —% | ||
Broadcast Radio and Television | 0.9% | 1.9% | ||
Conglomerates | 0.5% | 1.6% | ||
Cosmetics/Toiletries | 0.4% | 1.4% | ||
Steel | 0.1% | 1.2% | ||
Manufacturing | —% | 1.2% | ||
Other | 3.4% | 1.3% | ||
Total | 100.0% | 100.0% |
Three Months Ended March 31, | ||||||||
2017 | 2016 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 11.79 | ||||
Net investment income | 0.31 | 0.29 | ||||||
Net realized and unrealized loss on investments | (0.04 | ) | (0.07 | ) | ||||
Net Earnings | 0.27 | 0.22 | ||||||
Distributions to stockholders | (0.29 | ) | (0.29 | ) | ||||
Net asset value, end of period | $ | 13.66 | $ | 11.72 | ||||
Per share market value, end of period | $ | 13.75 | $ | 10.03 | ||||
Total return based on market value (1), (5) | 18.18 | % | 5.38 | % | ||||
Total return based on net asset value (1), (5) | 2.01 | % | 2.66 | % | ||||
Ratios to Average Net Assets: | ||||||||
Net investment income (2) | 9.35 | % | 9.97 | % | ||||
Operating expenses (2), (3) | 2.06 | % | 2.69 | % | ||||
Interest and related expenses (2) | 2.18 | % | 2.30 | % | ||||
Total expenses (2), (3) | 4.24 | % | 4.99 | % | ||||
Supplemental Data: | ||||||||
Net assets, end of period | $ | 136,631 | $ | 117,187 | ||||
Shares outstanding, end of period | 10,000 | 10,000 | ||||||
Average debt outstanding | $ | 99,244 | $ | 104,340 | ||||
Asset coverage per unit, end of period (4) | $ | 2,317 | $ | 2,186 | ||||
Portfolio turnover ratio (5) | 25.86 | % | 4.11 | % |
(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) | For the three months ended March 31, 2017, 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 as a result of the Q1 Voluntary Expense Cap. The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets would be 3.36% and 5.54%, respectively, without the Q1 Voluntary Expense Cap for the three months ended March 31, 2017. For the three months ended March 31, 2016, 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 3.51% and 5.81%, respectively, without the Expense Cap for the three months ended March 31, 2016. |
(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 | |||||
May 2017 | $0.097 | May 24, 2017 | May 22, 2017 | June 2, 2017 | ||||
June 2017 | $0.097 | June 23, 2017 | June 21, 2017 | July 6, 2017 | ||||
July 2017 | $0.097 | July 24, 2017 | July 20, 2017 | August 2, 2017 |
($ in thousands) | Cost | Fair Value | Cumulative Net Unrealized Depreciation | Yield at Cost | ||||||||||
Investment Portfolio: | ||||||||||||||
First lien floating rate loans | $ | 192,441 | $ | 190,897 | $ | (1,544 | ) | 5.16 | % | |||||
Second lien floating rate loans | 15,683 | 14,399 | (1,284 | ) | 8.30 | % | ||||||||
Total Senior Floating Rate Loans | 208,124 | 205,296 | (2,828 | ) | 5.40 | % | ||||||||
CLO equity | 53,059 | 42,031 | (11,028 | ) | 11.87 | % | ||||||||
Total Investment Portfolio | $ | 261,183 | $ | 247,327 | $ | (13,856 | ) | 6.71 | % |
Three Months Ended March 31, 2017 | ||||||||||||||||||||
($ in thousands) | First Lien | Second Lien | CLO Equity | Common Equity | Total | |||||||||||||||
Fair value, December 31, 2016 | $ | 188,098 | $ | 15,429 | $ | 41,329 | $ | 16 | $ | 244,872 | ||||||||||
Purchases | 60,291 | 1,941 | 1,540 | — | 63,772 | |||||||||||||||
Sales | (33,726 | ) | (2,509 | ) | — | (9 | ) | (36,244 | ) | |||||||||||
Repayments (1) | (23,570 | ) | (464 | ) | (2,646 | ) | — | (26,680 | ) | |||||||||||
Non-cash income accrual (2) | 72 | 8 | 1,835 | — | 1,915 | |||||||||||||||
Net realized gains | 366 | 87 | — | 9 | 462 | |||||||||||||||
Net unrealized depreciation | (634 | ) | (93 | ) | (27 | ) | (16 | ) | (770 | ) | ||||||||||
Fair value, March 31, 2017 | $ | 190,897 | $ | 14,399 | $ | 42,031 | $ | — | $ | 247,327 |
(1) | Repayments for CLO equity reflect the amount of cash distributions from CLO investments received during the three months ended March 31, 2017. |
(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 months ended March 31, 2017. |
Three Months Ended March 31, 2017 | ||||||
Loan Portfolio | CLO Equity | Total Portfolio | ||||
Portfolio companies, December 31, 2016 | 149 | 21 | 170 | |||
Purchases (new) | 44 | 1 | 45 | |||
Complete exit | (36) | — | (36) | |||
Portfolio companies, March 31, 2017 | 157 | 22 | 179 |
($ in thousands) | Cost | Fair Value | Cumulative Net Unrealized Depreciation | Yield at Cost | ||||||||||
Investment Portfolio: | ||||||||||||||
First lien floating rate loans | $ | 189,009 | $ | 188,098 | $ | (911 | ) | 5.18 | % | |||||
Second lien floating rate loans | 16,626 | 15,429 | (1,197 | ) | 8.29 | % | ||||||||
Total Senior Floating Rate Loans | 205,635 | 203,527 | (2,108 | ) | 5.43 | % | ||||||||
CLO equity | 52,330 | 41,329 | (11,001 | ) | 14.14 | % | ||||||||
Common equity | — | 16 | 16 | — | % | |||||||||
Total Investment Portfolio | $ | 257,965 | $ | 244,872 | $ | (13,093 | ) | 7.20 | % |
Three Months Ended March 31, 2016 | |||||||||||||||||||
($ in thousands) | First Lien | Second Lien | CLO Equity | Equity | Total | ||||||||||||||
Fair value, December 31, 2015 | $ | 169,580 | $ | 22,575 | $ | 36,854 | $ | 47 | $ | 229,056 | |||||||||
Purchases | 7,062 | 440 | 1,493 | — | 8,995 | ||||||||||||||
Sales | (6,911 | ) | (1,504 | ) | — | — | (8,415 | ) | |||||||||||
Repayments (1) | (7,702 | ) | (3,321 | ) | (3,600 | ) | — | (14,623 | ) | ||||||||||
Non-cash income accrual (2) | 54 | 4 | 1,657 | — | 1,715 | ||||||||||||||
Net realized gains (losses) | (905 | ) | 15 | — | — | (890 | ) | ||||||||||||
Net unrealized appreciation (depreciation) | 3,008 | (341 | ) | (2,587 | ) | 100 | 180 | ||||||||||||
Fair value, March 31, 2016 | $ | 164,186 | $ | 17,868 | $ | 33,817 | $ | 147 | $ | 216,018 |
(1) | Repayments for CLO equity reflect the amount of cash distributions from CLO investments received during the three months ended March 31, 2016. |
(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 months ended March 31, 2016. |
Three Months Ended March 31, 2016 | ||||||
Loan Portfolio | CLO Equity | Total Portfolio | ||||
Portfolio companies, December 31, 2015 | 128 | 20 | 148 | |||
Purchases (new) | 9 | 2 | 11 | |||
Complete exit | (9) | — | (9) | |||
Portfolio companies, March 31, 2016 | 128 | 22 | 150 |
First Lien | Second Lien |
Three Months Ended March 31, | ||||||||
($ in thousands) | 2017 | 2016 | ||||||
Investment income: | ||||||||
Senior floating rate loans | $ | 2,777 | $ | 2,688 | ||||
CLO equity | 1,835 | 1,657 | ||||||
Total investment income | 4,612 | 4,345 | ||||||
Expenses: | ||||||||
Interest and other debt related costs | 733 | 664 | ||||||
Management fee | 531 | 497 | ||||||
Other expenses | 713 | 517 | ||||||
Total expenses | 1,977 | 1,678 | ||||||
Expense reimbursement | (437 | ) | (238 | ) | ||||
Net expenses | 1,540 | 1,440 | ||||||
Net investment income before taxes | 3,072 | 2,905 | ||||||
Income tax provision | (19 | ) | (27 | ) | ||||
Net investment income | 3,053 | 2,878 | ||||||
Net realized and unrealized loss on investments: | ||||||||
Net realized gain (loss) on investments | 462 | (890 | ) | |||||
Net unrealized (depreciation) appreciation on investments | (763 | ) | 180 | |||||
Net loss on investments | (301 | ) | (710 | ) | ||||
Net Earnings | $ | 2,752 | $ | 2,168 |
Three Months Ended March 31, | ||||||||
($ in thousands) | 2017 | 2016 | ||||||
Interest expense | $ | 643 | $ | 583 | ||||
Commitment fees | 67 | 58 | ||||||
Amortization of deferred financing costs | 23 | 23 | ||||||
Total debt financing costs | $ | 733 | $ | 664 | ||||
Average debt outstanding | $ | 99,244 | $ | 104,340 | ||||
Average cost of funds (1) | 2.90 | % | 2.55% | |||||
Weighted average stated interest rate | 2.59 | % | 2.21 | % |
($ in thousands, except per share data) | ||||||||||
Monthly Declaration Date | Ex-Dividend Date | Record Date | Payment Date | Per Share Amount | Total Amount | |||||
February 3, 2017 | February 15, 2017 | February 17, 2017 | March 2, 2017 | $ | 0.097 | $ | 970 | |||
February 3, 2017 | March 21, 2017 | March 23, 2017 | April 4, 2017 | 0.097 | 970 | |||||
February 3, 2017 | April 18, 2017 | April 20, 2017 | May 2, 2017 | $ | 0.097 | 970 | ||||
Total declared during the three months ended March 31, 2017 | $ | 0.291 | $ | 2,910 | ||||||
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 | |||||
Total declared during the three months ended March 31, 2016 | $ | 0.291 | $ | 2,910 |
($ in thousands except per share data) Basis point increase in base rate | Interest income | Interest expense | Net increase to Net Earnings | Net increase per share | |||||||||||||
300 | $ | 6,285 | $ | 3,042 | $ | 3,243 | $ | 0.32 | |||||||||
200 | $ | 4,192 | $ | 2,028 | $ | 2,164 | $ | 0.22 | |||||||||
100 | $ | 2,098 | $ | 1,014 | $ | 1,084 | $ | 0.11 | |||||||||
(100) | $ | (211 | ) | $ | (26 | ) | $ | (185 | ) | $ | (0.02 | ) | |||||
(200) | $ | (211 | ) | $ | (26 | ) | $ | (185 | ) | $ | (0.02 | ) | |||||
(300) | $ | (211 | ) | $ | (26 | ) | $ | (185 | ) | $ | (0.02 | ) |
(1) | Forward LIBOR curve used to develop the cash flows incorporated in the March 31, 2017 valuations and the cash flows used to calculate the effective yield at cost as of March 31, 2017. Source: Bloomberg as of April 26, 2017. |
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. | |
*10.1 | Amended and Restated Credit Agreement, dated as of October 29, 2015, among ACSF Funding I, LLC, the lenders party thereto and Bank of America, N.A., as administrative agent, incorporated herein by reference to Exhibit 2.k.2 of Amendment No. 2 to Form N-2 (Registration Statement No 333-205463), filed November 3, 2015. | |
*10.2 | Amendment Agreement dated as of January 3, 2017, to the Amended and Restated Credit Agreement, dated as of October 29, 2015, among ACSF Funding I, LLC the lenders party thereto, incorporated herein by reference to Exhibit 10.2 of form 10-K for the fiscal year ended December 31, 2016 (File No. 814-01025), filed March 9, 2017. | |
*10.3 | Interim Management Agreement, dated as of January 3, 2017, between American Capital Senior Floating, Ltd, and Ivy Hill Asset Management, L.P., incorporated herein by reference to Exhibit 10.1 of Form 8-K as of January 3, 2017 (File No. 814-01025), filed January 5, 2017 | |
10.4 | Form of Indemnification Agreement between American Capital Senior Floating, Ltd. and directors and certain officers. | |
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 | 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: | May 10, 2017 | By: | /s/ Kevin Braddish | |
Kevin Braddish President and Chief Executive Officer (Principal Executive Officer) | ||||
Date: | May 10, 2017 | By: | /s/ Penni F. Roll | |
Penni F. Roll Chief Financial Officer (Principal Financial Officer) | ||||
Date: | May 10, 2017 | By: | /s/ Scott C. Lem | |
Scott C. Lem Chief Accounting Officer (Principal Accounting 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/ KEVIN BRADDISH | |
Kevin Braddish | |
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/ PENNI F. ROLL | |
Penni F. Roll | |
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/ KEVIN BRADDISH | |||
Name: | Kevin Braddish | ||
Title: | President and Chief Executive Officer (Principal Executive Officer) | ||
Date: | May 10, 2017 | ||
/s/ PENNI F. ROLL | |||
Name: | Penni F. Roll | ||
Title: | Chief Financial Officer (Principal Financial Officer) | ||
Date: | May 10, 2017 |
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