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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Apollo Investment Corporation | NASDAQ:AINV | NASDAQ | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 13.65 | 13.24 | 13.70 | 0 | 01:00:00 |
|
Maryland
|
52-2439556
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
9 West 57
th
Street
37th Floor
New York, New York
|
10019
|
(Address of principal executive offices)
|
(Zip Code)
|
Large accelerated filer
|
x
|
Accelerated filer
|
¨
|
Non-accelerated filer
|
¨
|
Smaller reporting company
|
¨
|
Class of Common Stock
|
|
Outstanding at February 3, 2017
|
$0.001 par value
|
|
219,694,654
|
|
|
|
Page
|
|
PART I. FINANCIAL INFORMATION
|
|
|
|
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Item 1.
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Item 2.
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Item 3.
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Item 4.
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PART II. OTHER INFORMATION
|
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Item 1.
|
||
|
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|
Item 1A.
|
||
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Item 2.
|
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Item 3.
|
||
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Item 4.
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Item 5.
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Item 6.
|
||
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|
APOLLO INVESTMENT CORPORATION
STATEMENTS OF OPERATIONS (Unaudited)
(In thousands, except per share data)
|
|||||||||||||||
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Investment Income
|
|
|
|
|
|
|
|
||||||||
Non-controlled/non-affiliated investments:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
36,671
|
|
|
$
|
61,756
|
|
|
$
|
127,420
|
|
|
$
|
205,585
|
|
Dividend income
|
358
|
|
|
1,037
|
|
|
2,531
|
|
|
2,824
|
|
||||
Other income
|
936
|
|
|
677
|
|
|
2,984
|
|
|
6,822
|
|
||||
Non-controlled/affiliated investments:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
384
|
|
|
182
|
|
|
1,014
|
|
|
633
|
|
||||
Dividend income
|
4,609
|
|
|
9,594
|
|
|
12,312
|
|
|
28,263
|
|
||||
Other income
|
—
|
|
|
70
|
|
|
70
|
|
|
297
|
|
||||
Controlled investments:
|
|
|
|
|
|
|
|
||||||||
Interest income
|
18,713
|
|
|
13,388
|
|
|
53,385
|
|
|
34,571
|
|
||||
Dividend income
|
6,400
|
|
|
7,621
|
|
|
13,850
|
|
|
15,352
|
|
||||
Other income
|
—
|
|
|
—
|
|
|
—
|
|
|
63
|
|
||||
Total Investment Income
|
$
|
68,071
|
|
|
$
|
94,325
|
|
|
$
|
213,566
|
|
|
$
|
294,410
|
|
Expenses
|
|
|
|
|
|
|
|
||||||||
Management fees
|
$
|
12,978
|
|
|
$
|
16,478
|
|
|
$
|
40,679
|
|
|
$
|
50,557
|
|
Performance-based incentive fees
|
5,670
|
|
|
11,142
|
|
|
16,063
|
|
|
33,783
|
|
||||
Interest and other debt expenses
|
14,473
|
|
|
19,335
|
|
|
45,704
|
|
|
63,535
|
|
||||
Administrative services expense
|
1,599
|
|
|
1,531
|
|
|
5,767
|
|
|
4,614
|
|
||||
Other general and administrative expenses
|
2,329
|
|
|
2,806
|
|
|
9,917
|
|
|
7,695
|
|
||||
Total expenses
|
37,049
|
|
|
51,292
|
|
|
118,130
|
|
|
160,184
|
|
||||
Management and performance-based incentive fees waived
|
(5,246
|
)
|
|
(4,999
|
)
|
|
(16,264
|
)
|
|
(14,237
|
)
|
||||
Expense reimbursements
|
(84
|
)
|
|
(59
|
)
|
|
(253
|
)
|
|
(176
|
)
|
||||
Net Expenses
|
$
|
31,719
|
|
|
$
|
46,234
|
|
|
$
|
101,613
|
|
|
$
|
145,771
|
|
Net Investment Income
|
$
|
36,352
|
|
|
$
|
48,091
|
|
|
$
|
111,953
|
|
|
$
|
148,639
|
|
Net Realized and Change in Unrealized Gains (Losses)
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses):
|
|
|
|
|
|
|
|
||||||||
Non-controlled/non-affiliated investments
|
$
|
3,932
|
|
|
$
|
(6,112
|
)
|
|
$
|
(36,195
|
)
|
|
$
|
(82,896
|
)
|
Non-controlled/affiliated investments
|
36,473
|
|
|
(1,575
|
)
|
|
81,047
|
|
|
(1,642
|
)
|
||||
Controlled investments
|
(1,982
|
)
|
|
—
|
|
|
(2,173
|
)
|
|
(39,714
|
)
|
||||
Foreign currency transactions
|
749
|
|
|
(1,599
|
)
|
|
2,014
|
|
|
3,883
|
|
||||
Net realized gains (losses)
|
39,172
|
|
|
(9,286
|
)
|
|
44,693
|
|
|
(120,369
|
)
|
||||
Net change in unrealized losses:
|
|
|
|
|
|
|
|
||||||||
Non-controlled/non-affiliated investments
|
5,292
|
|
|
(73,088
|
)
|
|
70,318
|
|
|
(116,950
|
)
|
||||
Non-controlled/affiliated investments
|
(53,882
|
)
|
|
2,879
|
|
|
(183,676
|
)
|
|
31,612
|
|
||||
Controlled investments
|
(21,447
|
)
|
|
(2,173
|
)
|
|
(56,030
|
)
|
|
32,579
|
|
||||
Derivatives
|
(4,046
|
)
|
|
—
|
|
|
(4,046
|
)
|
|
—
|
|
||||
Foreign currency translations
|
9,849
|
|
|
7,805
|
|
|
27,106
|
|
|
3,360
|
|
||||
Net change in unrealized losses
|
(64,234
|
)
|
|
(64,577
|
)
|
|
(146,328
|
)
|
|
(49,399
|
)
|
||||
Net Realized and Change in Unrealized Losses
|
$
|
(25,062
|
)
|
|
$
|
(73,863
|
)
|
|
$
|
(101,635
|
)
|
|
$
|
(169,768
|
)
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
$
|
11,290
|
|
|
$
|
(25,772
|
)
|
|
$
|
10,318
|
|
|
$
|
(21,129
|
)
|
Earnings (Loss) Per Share — Basic
|
$
|
0.05
|
|
|
$
|
(0.11
|
)
|
|
$
|
0.05
|
|
|
$
|
(0.09
|
)
|
Earnings (Loss) Per Share — Diluted
|
N/A
|
|
|
$
|
(0.11
|
)
|
|
N/A
|
|
|
$
|
(0.09
|
)
|
APOLLO INVESTMENT CORPORATION
STATEMENTS OF CHANGES IN NET ASSETS
(In thousands, except share data)
|
|||||||
|
Nine Months Ended
December 31, 2016 |
|
Year Ended
March 31, 2016 |
||||
|
(Unaudited)
|
|
|
||||
Operations
|
|
|
|
||||
Net investment income
|
$
|
111,953
|
|
|
$
|
193,257
|
|
Net realized gains (losses)
|
44,693
|
|
|
(195,364
|
)
|
||
Net change in unrealized losses
|
(146,328
|
)
|
|
(42,419
|
)
|
||
Net Increase (Decrease) in Net Assets Resulting from Operations
|
$
|
10,318
|
|
|
$
|
(44,526
|
)
|
|
|
|
|
||||
Distributions to Shareholders
|
|
|
|
||||
Distribution of net investment income
|
$
|
(111,283
|
)
|
|
$
|
(111,853
|
)
|
Distribution of return of capital
|
—
|
|
|
(73,211
|
)
|
||
Net Decrease in Net Assets Resulting from Distributions to Shareholders
|
$
|
(111,283
|
)
|
|
$
|
(185,064
|
)
|
|
|
|
|
||||
Capital Share Transactions
|
|
|
|
||||
Repurchase of common stock
|
$
|
(37,917
|
)
|
|
$
|
(62,437
|
)
|
Net Decrease in Net Assets Resulting from Capital Share Transactions
|
$
|
(37,917
|
)
|
|
$
|
(62,437
|
)
|
|
|
|
|
||||
Net Assets
|
|
|
|
||||
Net decrease in net assets during the period
|
$
|
(138,882
|
)
|
|
$
|
(292,027
|
)
|
Net assets at beginning of period
|
1,645,581
|
|
|
1,937,608
|
|
||
Net Assets at End of Period
|
$
|
1,506,699
|
|
|
$
|
1,645,581
|
|
|
|
|
|
||||
Capital Share Activity
|
|
|
|
||||
Shares repurchased during the period
|
(6,461,842
|
)
|
|
(10,584,855
|
)
|
||
Shares issued and outstanding at beginning of period
|
226,156,496
|
|
|
236,741,351
|
|
||
Shares Issued and Outstanding at End of Period
|
219,694,654
|
|
|
226,156,496
|
|
APOLLO INVESTMENT CORPORATION
STATEMENTS OF CASH FLOWS (Unaudited)
(In thousands)
|
|||||||
|
Nine Months Ended December 31,
|
||||||
|
2016
|
|
2015
|
||||
Operating Activities
|
|
|
|
||||
Net increase (decrease) in net assets resulting from operations
|
$
|
10,318
|
|
|
$
|
(21,129
|
)
|
Net realized (gains) losses
|
(44,693
|
)
|
|
120,369
|
|
||
Net change in unrealized losses
|
146,328
|
|
|
49,399
|
|
||
Net amortization of premiums and accretion of discounts on investments
|
(3,769
|
)
|
|
(5,039
|
)
|
||
Accretion of discount on notes
|
447
|
|
|
447
|
|
||
Amortization of deferred financing costs
|
4,366
|
|
|
5,278
|
|
||
Increase from foreign currency transactions
|
2,014
|
|
|
4,477
|
|
||
Changes in operating assets and liabilities:
|
|
|
|
||||
Payment-in-kind interest and dividends capitalized
|
(22,787
|
)
|
|
(34,090
|
)
|
||
Purchases of investments
|
(476,520
|
)
|
|
(923,719
|
)
|
||
Purchases of derivatives
|
(4,395
|
)
|
|
—
|
|
||
Proceeds from derivatives
|
3,555
|
|
|
—
|
|
||
Proceeds from sales and repayments of investments
|
837,232
|
|
|
1,113,077
|
|
||
Decrease in interest receivable
|
6,010
|
|
|
10,709
|
|
||
Decrease (increase) in dividends receivable
|
5,248
|
|
|
(3,449
|
)
|
||
Decrease in prepaid expenses and other assets
|
9,021
|
|
|
6,121
|
|
||
Decrease in management and performance-based incentive fees payable
|
(10,228
|
)
|
|
(7,275
|
)
|
||
Increase in interest payable
|
3,426
|
|
|
1,441
|
|
||
Decrease in accrued administrative services expense
|
(879
|
)
|
|
(192
|
)
|
||
Decrease in other liabilities and accrued expenses
|
(2,210
|
)
|
|
(964
|
)
|
||
Net Cash Provided by Operating Activities
|
$
|
462,484
|
|
|
$
|
315,461
|
|
Financing Activities
|
|
|
|
||||
Issuances of debt
|
$
|
741,747
|
|
|
$
|
1,624,754
|
|
Payments of debt
|
(994,804
|
)
|
|
(1,736,668
|
)
|
||
Financing costs paid and deferred
|
(7,871
|
)
|
|
(5,646
|
)
|
||
Repurchase of common stock
|
(37,917
|
)
|
|
(52,437
|
)
|
||
Distributions paid
|
(123,559
|
)
|
|
(141,547
|
)
|
||
Net Cash Used in Financing Activities
|
$
|
(422,404
|
)
|
|
$
|
(311,544
|
)
|
|
|
|
|
||||
Cash, Foreign Currencies and Restricted Cash
|
|
|
|
||||
Net increase in cash, restricted cash and foreign currencies during the period
|
$
|
40,080
|
|
|
$
|
3,917
|
|
Effect of foreign exchange rate changes
|
(64
|
)
|
|
193
|
|
||
Cash, restricted cash and foreign currencies at beginning of period
|
18,905
|
|
|
8,417
|
|
||
Cash, Foreign Currencies and Restricted Cash at the End of Period
|
$
|
58,921
|
|
|
$
|
12,527
|
|
|
|
|
|
||||
Supplemental Disclosure of Cash Flow Information
|
|
|
|
||||
Cash interest paid
|
$
|
37,487
|
|
|
$
|
46,962
|
|
|
|
|
|
||||
Non-Cash Activity
|
|
|
|
||||
Payment-in-kind income
|
$
|
22,047
|
|
|
$
|
31,607
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Non-Controlled/Non-Affiliated Investments
|
|
|
|
|
|
|
|
|
|
|
||||||||
Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt (excluding Revolvers and Letters of Credit)
|
|
|
|
|
|
|
|
|
||||||||||
American Media, Inc. (16)
|
|
Advertising, Printing & Publishing
|
|
8.50% (1M L+750, 1.00% Floor)
|
|
8/24/20
|
|
$
|
10,400
|
|
|
$
|
10,115
|
|
|
$
|
10,088
|
|
Aptevo Therapeutics Inc. (9)(16)(23)
|
|
Healthcare & Pharmaceuticals
|
|
8.13% (3M L+760)
|
|
2/1/21
|
|
8,571
|
|
|
8,576
|
|
|
8,483
|
|
|||
Aptevo Therapeutics Inc., Unfunded Delayed Draw (8)(9)(16)(21)(23)
|
|
Healthcare & Pharmaceuticals
|
|
0.00% Unfunded
|
|
2/1/21
|
|
6,429
|
|
|
(29
|
)
|
|
(66
|
)
|
|||
ChyronHego Corporation (18)
|
|
High Tech Industries
|
|
7.43% (3M L+643, 1.00% Floor)
|
|
3/9/20
|
|
36,553
|
|
|
36,000
|
|
|
35,822
|
|
|||
Dodge Data & Analytics LLC
|
|
Business Services
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
10/31/19
|
|
51,990
|
|
|
51,344
|
|
|
50,561
|
|
|||
ECN Holding Company (Emergency Communications Network) (16)(18)
|
|
High Tech Industries
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
6/12/21
|
|
11,109
|
|
|
10,980
|
|
|
10,940
|
|
|||
ECN Holding Company (Emergency Communications Network) (16)(18)
|
|
High Tech Industries
|
|
9.50% (6M L+850, 1.00% Floor)
|
|
6/12/21
|
|
11,109
|
|
|
10,980
|
|
|
10,940
|
|
|||
Garden Fresh Restaurant Corp. (16)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
10.50% (1M L+900, 1.50% Floor)
|
|
7/3/18
|
|
2,500
|
|
|
2,500
|
|
|
2,500
|
|
|||
LabVantage Solutions Inc.
|
|
High Tech Industries
|
|
9.00% (3M L+800, 1.00% Floor)
|
|
12/29/20
|
|
14,625
|
|
|
14,244
|
|
|
14,333
|
|
|||
LabVantage Solutions Limited (16)(17)
|
|
High Tech Industries
|
|
9.00% (3M E+800, 1.00% Floor)
|
|
12/29/20
|
|
€
|
13,398
|
|
|
14,012
|
|
|
13,849
|
|
||
Magnetation, LLC (14)(26)
|
|
Metals & Mining
|
|
12.00% PIK
|
|
N/A
|
|
14,296
|
|
|
12,427
|
|
|
—
|
|
|||
Maxus Capital Carbon SPE I, LLC
|
|
Chemicals, Plastics & Rubber
|
|
13.00%
|
|
12/31/18
|
|
59,305
|
|
|
59,305
|
|
|
51,391
|
|
|||
My Alarm Center, LLC, Term Loan A (16)
|
|
Business Services
|
|
9.00% (1M L+800, 1.00% Floor)
|
|
1/9/19
|
|
28,035
|
|
|
28,036
|
|
|
28,035
|
|
|||
My Alarm Center, LLC, Term Loan B (16)(23)
|
|
Business Services
|
|
9.00% (1M L+800, 1.00% Floor)
|
|
1/9/19
|
|
7,972
|
|
|
7,972
|
|
|
7,972
|
|
|||
My Alarm Center, LLC, Term Loan B(16)(23)
|
|
Business Services
|
|
11.00% (P+700)
|
|
1/9/19
|
|
348
|
|
|
348
|
|
|
348
|
|
|||
My Alarm Center, LLC, Unfunded Term Loan B (16)(21)(23)
|
|
Business Services
|
|
0.35% Unfunded
|
|
1/9/19
|
|
441
|
|
|
—
|
|
|
—
|
|
|||
My Alarm Center, LLC, Term Loan C (16)(23)
|
|
Business Services
|
|
9.00% (1M L+800, 1.00% Floor)
|
|
1/9/19
|
|
3,115
|
|
|
3,115
|
|
|
3,115
|
|
|||
My Alarm Center, LLC, Term Loan C (16)(23)
|
|
Business Services
|
|
11.00% (P+700)
|
|
1/9/19
|
|
439
|
|
|
439
|
|
|
439
|
|
|||
My Alarm Center, LLC, Unfunded Term Loan C (16)(21)(23)
|
|
Business Services
|
|
0.35% Unfunded
|
|
1/9/19
|
|
558
|
|
|
—
|
|
|
—
|
|
|||
Nextech Systems, LLC (18)
|
|
High Tech Industries
|
|
8.25% (3M L+725, 1.00% Floor)
|
|
6/22/21
|
|
21,857
|
|
|
21,367
|
|
|
21,419
|
|
|||
Oxford Immunotec, Inc. (9)(16)(17)
|
|
Healthcare & Pharmaceuticals
|
|
8.22% (1M L+760)
|
|
10/1/21
|
|
9,750
|
|
|
9,726
|
|
|
9,724
|
|
|||
Saba Software, Inc. (18)
|
|
High Tech Industries
|
|
9.75% (1M L+875, 1.00% Floor)
|
|
3/30/21
|
|
9,850
|
|
|
9,850
|
|
|
9,702
|
|
|||
SCM Insurance Services, Inc. (17)
|
|
Business Services
|
|
9.25%
|
|
8/22/19
|
|
C$
|
39,480
|
|
|
33,293
|
|
|
24,559
|
|
||
Telestream Holdings Corporation (18)
|
|
High Tech Industries
|
|
7.77% (3M L+677, 1.00% Floor)
|
|
1/15/20
|
|
30,503
|
|
|
30,503
|
|
|
29,893
|
|
|||
UniTek Global Services Inc. (16)
|
|
Telecommunications
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
1/13/19
|
|
32,367
|
|
|
32,367
|
|
|
32,367
|
|
|||
UniTek Global Services Inc. (16)
|
|
Telecommunications
|
|
9.50% (3M L+750 Cash plus 1.00% PIK, 1.00% Floor)
|
|
1/13/19
|
|
11,680
|
|
|
11,680
|
|
|
11,680
|
|
|||
Total First Lien Secured Debt (excluding Revolvers and Letters of Credit)—25.8% (10)
|
|
$
|
419,150
|
|
|
$
|
388,094
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Revolvers and Letters of Credit
|
|
|
|
|
|
|
|
|
|
|
||||||||
Alliant Holdings Intermediate, LLC, Unfunded Revolver (8)(16)(21)(23)
|
|
Insurance
|
|
0.50% Unfunded
|
|
8/14/20
|
|
$
|
14,813
|
|
|
$
|
(1,236
|
)
|
|
$
|
(971
|
)
|
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
4/24/17
|
|
37
|
|
|
—
|
|
|
(2
|
)
|
|||
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
5/4/17
|
|
8
|
|
|
—
|
|
|
(1
|
)
|
|||
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
6/30/17
|
|
17
|
|
|
—
|
|
|
(1
|
)
|
|||
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
7/29/17
|
|
80
|
|
|
—
|
|
|
(5
|
)
|
|||
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
10/3/17
|
|
8
|
|
|
—
|
|
|
(1
|
)
|
|||
Alliant Holdings Intermediate, LLC, Letter of Credit (8)(16)(23)
|
|
Insurance
|
|
3.375%
|
|
11/30/17
|
|
37
|
|
|
—
|
|
|
(2
|
)
|
|||
American Media, Inc., Revolver (16)(23)
|
|
Advertising, Printing & Publishing
|
|
8.50% (1M L+750, 1.00% Floor)
|
|
8/24/20
|
|
1,067
|
|
|
1,067
|
|
|
1,035
|
|
|||
American Media, Inc., Unfunded Revolver (8)(16)(21)(23)
|
|
Advertising, Printing & Publishing
|
|
0.50% Unfunded
|
|
8/24/20
|
|
505
|
|
|
(49
|
)
|
|
(15
|
)
|
|||
American Media, Inc., Letter of Credit (8)(16)(23)
|
|
Advertising, Printing & Publishing
|
|
7.50%
|
|
8/24/20
|
|
206
|
|
|
—
|
|
|
(6
|
)
|
|||
Endologix, Inc., Unfunded Revolver (8)(9)(17)(21)(23)
|
|
Healthcare & Pharmaceuticals
|
|
0.50% Unfunded
|
|
7/29/20
|
|
5,000
|
|
|
(22
|
)
|
|
(25
|
)
|
|||
LabVantage Solutions Limited, Unfunded Revolver (8)(16)(17)(21)(23)
|
|
High Tech Industries
|
|
0.50% Unfunded
|
|
12/29/20
|
|
€
|
3,435
|
|
|
(96
|
)
|
|
(72
|
)
|
||
My Alarm Center, LLC, Revolver (16)(23)
|
|
Business Services
|
|
11.00% (P+700)
|
|
1/9/19
|
|
2,708
|
|
|
2,708
|
|
|
2,708
|
|
|||
My Alarm Center, LLC, Unfunded Revolver (16)(21)(23)
|
|
Business Services
|
|
0.35% Unfunded
|
|
1/9/19
|
|
3,542
|
|
|
—
|
|
|
—
|
|
|||
Oxford Immunotec, Inc., Unfunded Revolver (8)(9)(16)(17)(21)(23)
|
|
Healthcare & Pharmaceuticals
|
|
0.50% Unfunded
|
|
10/1/21
|
|
1,000
|
|
|
(5
|
)
|
|
(5
|
)
|
|||
Tibco Software Inc., Unfunded Revolver (8)(21)(23)
|
|
High Tech Industries
|
|
0.50% Unfunded
|
|
12/5/19
|
|
6,000
|
|
|
(35
|
)
|
|
(840
|
)
|
|||
TricorBraun Holdings, Inc., Revolver (9)(16)(23)
|
|
Containers, Packaging & Glass
|
|
5.75% (P+225)
|
|
11/30/21
|
|
998
|
|
|
998
|
|
|
993
|
|
|||
TricorBraun Holdings, Inc., Unfunded Revolver (8)(9)(16)(21)(23)
|
|
Containers, Packaging & Glass
|
|
0.50% Unfunded
|
|
11/30/21
|
|
4,627
|
|
|
(497
|
)
|
|
(20
|
)
|
|||
UniTek Global Services Inc., Unfunded Revolver (16)(21)(23)
|
|
Telecommunications
|
|
0.50% Unfunded
|
|
1/13/19
|
|
5,000
|
|
|
—
|
|
|
—
|
|
|||
UniTek Global Services Inc., Letter of Credit (16)(23)
|
|
Telecommunications
|
|
7.50%
|
|
1/13/19
|
|
8,812
|
|
|
—
|
|
|
—
|
|
|||
UniTek Global Services Inc., Letter of Credit (16)(23)
|
|
Telecommunications
|
|
7.50%
|
|
1/13/19
|
|
1,850
|
|
|
—
|
|
|
—
|
|
|||
Wright Medical Group, Inc., Revolver (9)(16)(17)(23)
|
|
Healthcare & Pharmaceuticals
|
|
5.00% (1M L+425, 0.75% Floor)
|
|
12/23/21
|
|
10,000
|
|
|
10,000
|
|
|
9,900
|
|
|||
Wright Medical Group, Inc., Unfunded Revolver (8)(9)(16)(17)(21)(23)
|
|
Healthcare & Pharmaceuticals
|
|
0.50% Unfunded
|
|
12/23/21
|
|
40,000
|
|
|
(478
|
)
|
|
(400
|
)
|
|||
Total Revolvers and Letters of Credit—0.8% (10)
|
|
|
|
|
|
|
|
$
|
12,355
|
|
|
$
|
12,270
|
|
||||
Total First Lien Secured Debt—26.6% (10)
|
|
|
|
|
|
|
|
$
|
431,505
|
|
|
$
|
400,364
|
|
||||
Second Lien Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
1A Smart Start LLC
|
|
Consumer Services
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
8/22/22
|
|
$
|
35,000
|
|
|
$
|
34,405
|
|
|
$
|
34,422
|
|
Access CIG, LLC (16)
|
|
Business Services
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
10/17/22
|
|
35,755
|
|
|
34,314
|
|
|
35,599
|
|
|||
Access CIG, LLC (16)
|
|
Business Services
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
10/17/22
|
|
15,215
|
|
|
14,676
|
|
|
15,148
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Active Network, LLC
|
|
Business Services
|
|
10.50% (3M L+950, 1.00% Floor)
|
|
11/15/21
|
|
$
|
16,225
|
|
|
$
|
16,074
|
|
|
$
|
16,022
|
|
A-L Parent LLC
|
|
Advertising, Printing & Publishing
|
|
8.25% (3M L+725, 1.00% Floor)
|
|
12/2/24
|
|
10,048
|
|
|
9,948
|
|
|
10,123
|
|
|||
Appriss Holdings, Inc.
|
|
Business Services
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
5/21/21
|
|
23,309
|
|
|
23,044
|
|
|
23,309
|
|
|||
Aptean, Inc.
|
|
Business Services
|
|
10.50% (3M L+950, 1.00% Floor)
|
|
12/20/23
|
|
9,548
|
|
|
9,404
|
|
|
9,530
|
|
|||
Armor Holding II LLC
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.25% (3M L+900, 1.25% Floor)
|
|
12/26/20
|
|
8,000
|
|
|
7,900
|
|
|
8,030
|
|
|||
Asurion Corporation
|
|
Insurance
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
3/3/21
|
|
39,590
|
|
|
39,394
|
|
|
40,357
|
|
|||
BioClinica Holding I, LP
|
|
Healthcare & Pharmaceuticals
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
10/21/24
|
|
24,612
|
|
|
24,128
|
|
|
24,504
|
|
|||
Confie Seguros Holding II Co.
|
|
Insurance
|
|
10.25% (1M L+900, 1.25% Floor)
|
|
5/8/19
|
|
22,344
|
|
|
22,269
|
|
|
22,232
|
|
|||
Elements Behavioral Health, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
13.00% (3M L+1200 PIK, 1.00% Floor)
|
|
2/11/20
|
|
10,832
|
|
|
10,777
|
|
|
8,666
|
|
|||
Garden Fresh Restaurant Corp. (14)(16)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
7.75% (3M L+625 PIK, 1.50% Floor)
|
|
1/1/19
|
|
9,466
|
|
|
7,746
|
|
|
—
|
|
|||
Garden Fresh Restaurant Corp. (14)(16)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
15.00% (3M L+1350 PIK, 1.50% Floor)
|
|
1/1/19
|
|
51,902
|
|
|
45,904
|
|
|
—
|
|
|||
GCA Services Group, Inc.
|
|
Business Services
|
|
10.00% (3M L+900, 1.00% Floor)
|
|
3/1/24
|
|
10,000
|
|
|
9,767
|
|
|
9,950
|
|
|||
Grocery Outlet, Inc.
|
|
Food & Grocery
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
10/21/22
|
|
25,000
|
|
|
24,703
|
|
|
25,063
|
|
|||
Infiltrator Systems Integrated, LLC
|
|
Manufacturing, Capital Equipment
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
5/26/23
|
|
13,889
|
|
|
13,651
|
|
|
13,958
|
|
|||
Institutional Shareholder Services, Inc.
|
|
Business Services
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
4/30/22
|
|
8,232
|
|
|
8,159
|
|
|
8,149
|
|
|||
K&N Parent, Inc.
|
|
Automotive
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
10/21/24
|
|
30,000
|
|
|
29,407
|
|
|
29,775
|
|
|||
Lanai Holdings III, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
8/28/23
|
|
17,391
|
|
|
16,892
|
|
|
16,870
|
|
|||
Landslide Holdings, Inc.
|
|
Business Services
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
9/21/23
|
|
18,510
|
|
|
18,152
|
|
|
18,880
|
|
|||
Ministry Brands, LLC (16)(23)
|
|
Business Services
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
6/2/23
|
|
7,840
|
|
|
7,724
|
|
|
7,720
|
|
|||
Ministry Brands, LLC, Unfunded Delayed Draw (8)(16)(21)(23)
|
|
Business Services
|
|
5.63% Unfunded (3ML+463, 1.00% Floor)
|
|
6/2/23
|
|
2,160
|
|
|
(32
|
)
|
|
(33
|
)
|
|||
MSC Software Corp. (17)
|
|
High Tech Industries
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
5/31/21
|
|
13,448
|
|
|
13,355
|
|
|
13,465
|
|
|||
MW Industries, Inc.
|
|
Manufacturing, Capital Equipment
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
12/28/20
|
|
20,000
|
|
|
19,546
|
|
|
19,900
|
|
|||
PAE Holding Corporation
|
|
Aerospace & Defense
|
|
10.50% (3M L+950, 1.00% Floor)
|
|
10/20/23
|
|
22,026
|
|
|
21,269
|
|
|
22,411
|
|
|||
PetVet Care Centers, LLC
|
|
Healthcare & Pharmaceuticals
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
6/17/21
|
|
13,500
|
|
|
13,098
|
|
|
13,297
|
|
|||
Poseidon Merger Sub, Inc.
|
|
Business Services
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
8/15/23
|
|
18,000
|
|
|
17,551
|
|
|
17,820
|
|
|||
Power Products, LLC (9)
|
|
Manufacturing, Capital Equipment
|
|
10.00% (3M L+900, 1.00% Floor)
|
|
12/20/23
|
|
37,500
|
|
|
36,194
|
|
|
36,844
|
|
|||
River Cree Enterprises LP (11)(17)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
11.00%
|
|
1/20/21
|
|
C$
|
19,000
|
|
|
17,913
|
|
|
14,133
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Sequential Brands Group, Inc. (17)
|
|
Consumer Goods – Durable
|
|
9.63% (1M L+900)
|
|
7/1/22
|
|
$
|
17,600
|
|
|
$
|
17,397
|
|
|
$
|
17,330
|
|
SiTV, Inc. (11)
|
|
Broadcasting & Subscription
|
|
10.375%
|
|
7/1/19
|
|
2,219
|
|
|
2,219
|
|
|
1,354
|
|
|||
SMG
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
2/27/21
|
|
19,649
|
|
|
19,649
|
|
|
19,600
|
|
|||
Sprint Industrial Holdings, LLC
|
|
Containers, Packaging & Glass
|
|
11.25% (3M L+1000, 1.25% Floor)
|
|
11/14/19
|
|
16,163
|
|
|
15,627
|
|
|
8,647
|
|
|||
Sterling Holdings Ultimate Parent, Inc.
|
|
Business Services
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
6/19/23
|
|
20,000
|
|
|
19,819
|
|
|
20,000
|
|
|||
STG-Fairway Acquisitions, Inc.
|
|
Business Services
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
6/30/23
|
|
15,000
|
|
|
14,675
|
|
|
14,100
|
|
|||
TMK Hawk Parent, Corp.
|
|
Transportation – Cargo, Distribution
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
10/1/22
|
|
34,000
|
|
|
33,735
|
|
|
33,830
|
|
|||
Velocity Technology Solutions, Inc.
|
|
Business Services
|
|
9.50% (3M L+825, 1.25% Floor)
|
|
9/28/20
|
|
16,500
|
|
|
16,286
|
|
|
16,088
|
|
|||
Wave Holdco Merger Sub, Inc.
|
|
Telecommunications
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
5/27/23
|
|
10,000
|
|
|
9,761
|
|
|
9,826
|
|
|||
Total Second Lien Secured Debt—43.6% (10)
|
|
|
|
|
|
|
|
$
|
716,500
|
|
|
$
|
656,919
|
|
||||
Total Secured Debt—70.2% (10)
|
|
|
|
|
|
|
|
$
|
1,148,005
|
|
|
$
|
1,057,283
|
|
||||
Unsecured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
American Tire Distributors, Inc. (11)
|
|
Transportation – Cargo, Distribution
|
|
10.25%
|
|
3/1/22
|
|
$
|
14,741
|
|
|
$
|
14,811
|
|
|
$
|
14,133
|
|
Canacol Energy Ltd. (17)
|
|
Energy – Oil & Gas
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
12/31/19
|
|
75,000
|
|
|
73,694
|
|
|
73,500
|
|
|||
Flex Acquisition Company, Inc.
|
|
Containers, Packaging & Glass
|
|
8.00% (3M L+700, 1.00% Floor)
|
|
12/29/17
|
|
12,777
|
|
|
12,714
|
|
|
12,713
|
|
|||
Lonestar Intermediate Super Holdings, LLC
|
|
Insurance
|
|
10.00% (1M L+900 Cash (1M L+975 PIK Toggle), 1.00% Floor)
|
|
8/31/21
|
|
4,865
|
|
|
4,819
|
|
|
5,034
|
|
|||
Sorenson Holdings, LLC (11)
|
|
Consumer Goods – Durable
|
|
13.85% Cash (13.85% PIK Toggle)
|
|
10/31/21
|
|
52
|
|
|
35
|
|
|
48
|
|
|||
U.S. Security Associates Holdings, Inc.
|
|
Business Services
|
|
11.00%
|
|
7/28/18
|
|
135,000
|
|
|
135,000
|
|
|
135,000
|
|
|||
UniTek Global Services Inc. (16)
|
|
Telecommunications
|
|
15.00% PIK
|
|
7/13/19
|
|
8,231
|
|
|
8,231
|
|
|
8,355
|
|
|||
Total Unsecured Debt—16.5% (10)
|
|
|
|
|
|
|
|
$
|
249,304
|
|
|
$
|
248,783
|
|
||||
Total Corporate Debt—86.7% (10)
|
|
|
|
|
|
|
|
$
|
1,397,309
|
|
|
$
|
1,306,066
|
|
||||
Structured Products and Other
|
|
|
|
|
|
|
|
|
|
|
||||||||
Asset Repackaging Trust Six B.V. (11)(17)(19)
|
|
Utilities – Electric
|
|
13.11%
|
|
5/18/27
|
|
$
|
58,411
|
|
|
$
|
25,548
|
|
|
$
|
30,894
|
|
Craft 2013-1, Credit-Linked Note (11)(16)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.13% (3M L+925)
|
|
4/17/22
|
|
25,000
|
|
|
25,020
|
|
|
24,750
|
|
|||
Craft 2013-1, Credit-Linked Note (16)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.13% (3M L+925)
|
|
4/17/22
|
|
7,625
|
|
|
7,700
|
|
|
7,549
|
|
|||
Craft 2014-1A, Credit-Linked Note (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.55% (3M L+965)
|
|
5/15/21
|
|
42,500
|
|
|
42,375
|
|
|
41,650
|
|
|||
Craft 2015-2, Credit-Linked Note (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.13% (3M L+925)
|
|
1/16/24
|
|
26,000
|
|
|
25,833
|
|
|
24,960
|
|
|||
NXT Capital CLO 2014-1, LLC, Class E Notes (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
6.38% (3M L+550)
|
|
4/23/26
|
|
5,000
|
|
|
4,708
|
|
|
4,324
|
|
|||
Total Structured Products and Other—8.9% (10)
|
|
|
|
|
|
|
|
$
|
131,184
|
|
|
$
|
134,127
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||
Preferred Equity
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Delta Career Education Corporation, Super Senior Preferred Stock A (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
7,812
|
|
|
$
|
7,049
|
|
|
$
|
—
|
|
|
Delta Career Education Corporation, Super Senior Preferred Stock B (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
10,585
|
|
|
8,788
|
|
|
—
|
|
|||
Delta Career Education Corporation, Super Senior Preferred Stock C (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
23,769
|
|
|
20,665
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Preferred Stock (13)(14)
|
|
Education
|
|
12.50% PIK
|
|
N/A
|
|
332,500
|
|
|
6,863
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Preferred Stock (13)(14)
|
|
Education
|
|
13.50% PIK
|
|
N/A
|
|
12,360
|
|
|
27,686
|
|
|
—
|
|
|||
Sungevity Inc., Series D Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
114,678,899
|
|
|
4,408
|
|
|
4,393
|
|
|||
Total Preferred Equity—0.3% (10)
|
|
|
|
|
|
|
|
$
|
75,459
|
|
|
$
|
4,393
|
|
||||
Common Equity/Interests
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Accelerate Parent Corp., Common Stock (13)
|
|
Transportation – Cargo, Distribution
|
|
N/A
|
|
N/A
|
|
1,664,046
|
|
|
$
|
1,714
|
|
|
$
|
1,270
|
|
|
Clothesline Holdings, Inc., Common Stock (13)
|
|
Healthcare & Pharmaceuticals
|
|
N/A
|
|
N/A
|
|
6,000
|
|
|
6,000
|
|
|
—
|
|
|||
Garden Fresh Restaurant Holdings, LLC, Common Stock (13)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
N/A
|
|
N/A
|
|
50,000
|
|
|
5,000
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Common Stock (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
17,500
|
|
|
175
|
|
|
—
|
|
|||
Skyline Data, News and Analytics LLC, Class A Common Unit (13)
|
|
Business Services
|
|
N/A
|
|
N/A
|
|
4,500,000
|
|
|
4,500
|
|
|
4,500
|
|
|||
Sorenson Holdings, LLC, Membership Interests (13)
|
|
Consumer Goods – Durable
|
|
N/A
|
|
N/A
|
|
587
|
|
|
—
|
|
|
135
|
|
|||
Total Common Equity/Interests—0.4% (10)
|
|
|
|
|
|
|
|
$
|
17,389
|
|
|
$
|
5,905
|
|
||||
Warrants
|
|
|
|
|
|
Warrants
|
|
|
|
|
||||||||
Gryphon Colleges Corp., Class A-1 Preferred Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
45,947
|
|
|
$
|
460
|
|
|
$
|
—
|
|
|
Gryphon Colleges Corp., Class B-1 Preferred Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
104,314
|
|
|
1,043
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Common Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
9,820
|
|
|
98
|
|
|
—
|
|
|||
Total Warrants—0.0% (10)
|
|
|
|
|
|
|
|
$
|
1,601
|
|
|
$
|
—
|
|
||||
Total Equity— 0.7% (10)
|
|
|
|
|
|
|
|
$
|
94,449
|
|
|
$
|
10,298
|
|
||||
Total Non-Controlled/Non-Affiliated Investments—96.3% (10)
|
|
|
|
|
|
$
|
1,622,942
|
|
|
$
|
1,450,491
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Non-Controlled/Affiliated Investments (4)
|
|
|
|
|
|
|
|
|
|
|
||||||||
Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pelican Energy, LLC (14)(17)
|
|
Energy – Oil & Gas
|
|
10.00% PIK Toggle (10.00% Cash)
|
|
12/31/18
|
|
$
|
30,373
|
|
|
$
|
26,665
|
|
|
$
|
15,155
|
|
Solarplicity Group Limited (3)(17)
|
|
Energy – Electricity
|
|
12.50% PIK Toggle (12.50% cash)
|
|
11/30/22
|
|
£
|
134,565
|
|
|
196,003
|
|
|
152,601
|
|
||
Total First Lien Secured Debt—11.1% (10)
|
|
|
|
$
|
222,668
|
|
|
$
|
167,756
|
|
||||||||
Total Secured Debt—11.1% (10)
|
|
|
|
|
|
|
|
$
|
222,668
|
|
|
$
|
167,756
|
|
||||
Unsecured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Venoco, Inc.
|
|
Energy – Oil & Gas
|
|
10.00% PIK
|
|
7/25/17
|
|
$
|
338
|
|
|
$
|
338
|
|
|
$
|
338
|
|
Total Unsecured Debt—0.0% (10)
|
|
|
|
$
|
338
|
|
|
$
|
338
|
|
||||||||
Total Corporate Debt—11.1% (10)
|
|
|
|
|
|
|
|
$
|
223,006
|
|
|
$
|
168,094
|
|
||||
Structured Products and Other
|
|
|
|
|
|
|
|
|
|
|
||||||||
Golden Bear 2016-R, LLC, Membership Interests (3)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
N/A
|
|
9/20/42
|
|
N/A
|
|
|
$
|
16,352
|
|
|
$
|
16,352
|
|
|
Ivy Hill Middle Market Credit Fund IX, Ltd., Subordinated Notes (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
13.34%
|
|
10/18/25
|
|
$
|
12,500
|
|
|
9,377
|
|
|
9,595
|
|
||
Ivy Hill Middle Market Credit Fund X, Ltd., Subordinated Notes (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
11.25%
|
|
7/18/27
|
|
14,000
|
|
|
11,322
|
|
|
10,634
|
|
|||
MCF CLO III, LLC, Class E Notes (3)(11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
5.33% (3M L+445)
|
|
1/20/24
|
|
12,750
|
|
|
11,661
|
|
|
10,644
|
|
|||
MCF CLO III, LLC, Membership Interests (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
20.40%
|
|
1/20/24
|
|
41,900
|
|
|
32,072
|
|
|
36,396
|
|
|||
Total Structured Products and Other—5.6% (10)
|
|
|
|
|
|
|
|
$
|
80,784
|
|
|
$
|
83,621
|
|
Investment
|
|
Industry
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||
Preferred Equity
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Renew Financial LLC (f/k/a Renewable Funding, LLC), Series B Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
1,505,868
|
|
|
$
|
8,343
|
|
|
$
|
20,459
|
|
|
Renew Financial LLC (f/k/a Renewable Funding, LLC), Series D Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
436,689
|
|
|
5,568
|
|
|
5,933
|
|
|||
Total Preferred Equity—1.8% (10)
|
|
|
|
|
|
|
|
$
|
13,911
|
|
|
$
|
26,392
|
|
||||
Common Equity/Interests
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
AIC SPV Holdings I, LLC, Membership Interests (15)(17)(23)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
$
|
68,861
|
|
|
$
|
25,987
|
|
|
AMP Solar Group, Inc., Class A Common Unit (13)(17)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
243,646
|
|
|
10,000
|
|
|
4,690
|
|
|||
LVI Group Investments, LLC, Common Units (3)(13)
|
|
Environmental Industries
|
|
N/A
|
|
N/A
|
|
212,460
|
|
|
17,505
|
|
|
10,257
|
|
|||
Pelican Energy, LLC, Membership Interests (13)(17)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
1,228
|
|
|
1,099
|
|
|
—
|
|
|||
Solarplicity Group Limited, Common Shares (2)(3)(13)(17)(27)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
2,825
|
|
|
2,471
|
|
|
—
|
|
|||
Venoco, Inc., LLC Units (13)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
192,177
|
|
|
40,517
|
|
|
10,736
|
|
|||
Total Common Equity/Interests—3.4% (10)
|
|
|
|
|
|
|
|
$
|
140,453
|
|
|
$
|
51,670
|
|
||||
Warrants
|
|
|
|
|
|
Warrants
|
|
|
|
|
||||||||
Venoco, Inc., Series A Warrants (13)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
23,125
|
|
|
$
|
48,170
|
|
|
$
|
376
|
|
|
Total Warrants—0.0% (10)
|
|
|
|
|
|
|
|
$
|
48,170
|
|
|
$
|
376
|
|
||||
Total Equity—5.2% (10)
|
|
|
|
|
|
|
|
$
|
202,534
|
|
|
$
|
78,438
|
|
||||
Total Non-Controlled/Affiliated Investments—21.9% (10)
|
|
|
|
|
|
|
|
$
|
506,324
|
|
|
$
|
330,153
|
|
(1)
|
Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (Note 2).
|
(2)
|
Solarplicity Group Limited is a GBP denominated equity investment.
|
(3)
|
Denotes investments in which the Company owns greater than 25% of the equity, where the governing documents of each entity preclude the Company from exercising a controlling influence over the management or policies of such entity. The Company does not have the right to elect or appoint more than 25% of the directors or another party has the right to elect or appoint more directors than the Company and has the right to appoint certain members of senior management. Therefore, the Company has determined that these entities are not controlled affiliates. As of
December 31, 2016
, we had a 100%, 32%, 32%, 36%, 98% and 28% equity ownership interest in Golden Bear 2016-R, LLC; Ivy Hill Middle Market Credit Fund IX, Ltd.; Ivy Hill Middle Market Credit Fund X, Ltd.; LVI Group Investments, LLC; MCF CLO III, LLC; and Solarplicity Group Limited, respectively.
|
(4)
|
Denotes investments in which we are an “Affiliated Person,” as defined in the 1940 Act, due to holding the power to vote or owning 5% or more of the outstanding voting securities of the investment but not controlling the company. Fair value as of
March 31, 2016
and
December 31, 2016
along with transactions during the
nine months ended December 31, 2016
in these Affiliated investments are as follows:
|
Name of Issue
|
Fair Value at March 31, 2016
|
Gross Additions ●
|
Gross Reductions ■
|
Net Change in Unrealized Gains (Losses)
|
Fair Value at December 31, 2016
|
Net Realized Gains (Losses)
|
Interest/Dividend/Other Income
|
||||||||||||||
AIC SPV Holdings I, LLC, Membership Interests
|
$
|
—
|
|
$
|
68,861
|
|
$
|
—
|
|
$
|
(42,874
|
)
|
$
|
25,987
|
|
$
|
—
|
|
$
|
405
|
|
AMP Solar Group, Inc., Class A Common Unit
|
—
|
|
7,022
|
|
—
|
|
(2,332
|
)
|
4,690
|
|
—
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Basic Common Stock
|
9,712
|
|
1
|
|
—
|
|
(9,713
|
)
|
—
|
|
10,155
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Series 2L Common Stock
|
39,572
|
|
—
|
|
(11,242
|
)
|
(28,330
|
)
|
—
|
|
29,963
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Series H Common Stock
|
8,087
|
|
—
|
|
(2,298
|
)
|
(5,789
|
)
|
—
|
|
6,123
|
|
—
|
|
|||||||
Golden Bear 2016-R, LLC, Membership Interests
|
—
|
|
16,352
|
|
—
|
|
—
|
|
16,352
|
|
—
|
|
—
|
|
|||||||
Golden Bear Warehouse LLC, Membership Interests
|
49,617
|
|
27,777
|
|
(60,685
|
)
|
(16,709
|
)
|
—
|
|
34,216
|
|
3,020
|
|
|||||||
Highbridge Loan Management 3-2014, Ltd., Subordinated Notes
|
4,975
|
|
—
|
|
(5,547
|
)
|
572
|
|
—
|
|
(75
|
)
|
113
|
|
|||||||
Ivy Hill Middle Market Credit Fund IX, Ltd., Subordinated Notes
|
9,717
|
|
—
|
|
(804
|
)
|
682
|
|
9,595
|
|
—
|
|
1,113
|
|
|||||||
Ivy Hill Middle Market Credit Fund X, Ltd., Subordinated Notes
|
10,722
|
|
—
|
|
(968
|
)
|
880
|
|
10,634
|
|
—
|
|
1,147
|
|
|||||||
Jamestown CLO I Ltd., Subordinated Notes
|
380
|
|
—
|
|
(2,875
|
)
|
2,495
|
|
—
|
|
(1,448
|
)
|
—
|
|
|||||||
LVI Group Investments, LLC, Common Units
|
21,486
|
|
—
|
|
—
|
|
(11,229
|
)
|
10,257
|
|
—
|
|
44
|
|
|||||||
MCF CLO I, LLC, Membership Interests
|
33,145
|
|
—
|
|
(33,268
|
)
|
123
|
|
—
|
|
2,113
|
|
3,374
|
|
|||||||
MCF CLO III, LLC, Class E Notes
|
10,073
|
|
90
|
|
—
|
|
481
|
|
10,644
|
|
—
|
|
594
|
|
|||||||
MCF CLO III, LLC, Membership Interests
|
31,180
|
|
—
|
|
(2,629
|
)
|
7,845
|
|
36,396
|
|
—
|
|
3,571
|
|
|||||||
Pelican Energy, LLC, First Lien Term Loan
|
17,500
|
|
—
|
|
(143
|
)
|
(2,202
|
)
|
15,155
|
|
—
|
|
—
|
|
|||||||
Pelican Energy, LLC, Membership Interests
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Renew Financial LLC (f/k/a Renewable Funding, LLC), Series B Preferred Stock
|
20,459
|
|
—
|
|
—
|
|
—
|
|
20,459
|
|
—
|
|
—
|
|
|||||||
Renew Financial LLC (f/k/a Renewable Funding, LLC), Series D Preferred Stock
|
5,933
|
|
—
|
|
—
|
|
—
|
|
5,933
|
|
—
|
|
—
|
|
|||||||
Solarplicity Group Limited, First Lien Term Loan
|
—
|
|
152,601
|
|
—
|
|
—
|
|
152,601
|
|
—
|
|
—
|
|
|||||||
Solarplicity Group Limited, Common Shares
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Venoco, Inc., Unsecured Debt
|
—
|
|
338
|
|
—
|
|
—
|
|
338
|
|
—
|
|
15
|
|
|||||||
Venoco, Inc., LLC Units
|
—
|
|
40,518
|
|
—
|
|
(29,782
|
)
|
10,736
|
|
—
|
|
—
|
|
|||||||
Venoco, Inc., Series A Warrants
|
—
|
|
48,170
|
|
—
|
|
(47,794
|
)
|
376
|
|
—
|
|
—
|
|
|||||||
|
$
|
272,558
|
|
$
|
361,730
|
|
$
|
(120,459
|
)
|
$
|
(183,676
|
)
|
$
|
330,153
|
|
$
|
81,047
|
|
$
|
13,396
|
|
(5)
|
Denotes investments in which we are deemed to exercise a controlling influence over the management or policies of a company, as defined in the 1940 Act, due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of the investment. Fair value as of
March 31, 2016
and
December 31, 2016
along with transactions during the
nine months ended December 31, 2016
in these Controlled investments are as follows:
|
Name of Issue
|
Fair Value at March 31, 2016
|
Gross Additions ●
|
Gross Reductions ■
|
Net Change in Unrealized Losses
|
Fair Value at December 31, 2016
|
Net Realized Losses
|
Interest/Dividend/Other Income
|
||||||||||||||
Dynamic Product Tankers, LLC, Letter of Credit
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
13
|
|
Dynamic Product Tankers, LLC, Class A Units
|
48,264
|
|
—
|
|
—
|
|
(4,474
|
)
|
43,790
|
|
—
|
|
1,200
|
|
|||||||
Glacier Oil & Gas Corp. (f/k/a Miller Energy Resources, Inc.), First Lien Term Loan
|
—
|
|
10,000
|
|
—
|
|
—
|
|
10,000
|
|
—
|
|
272
|
|
|||||||
Glacier Oil & Gas Corp. (f/k/a Miller Energy Resources, Inc.), Second Lien Term Loan
|
25,000
|
|
1,939
|
|
—
|
|
—
|
|
26,939
|
|
—
|
|
1,940
|
|
|||||||
Glacier Oil & Gas Corp. (f/k/a Miller Energy Resources, Inc.), Common Stock
|
30,078
|
|
—
|
|
—
|
|
(5,352
|
)
|
24,726
|
|
—
|
|
—
|
|
|||||||
Merx Aviation Finance, LLC, Revolver
|
403,084
|
|
11,000
|
|
(15,000
|
)
|
—
|
|
399,084
|
|
—
|
|
36,455
|
|
|||||||
Merx Aviation Finance, LLC, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(9
|
)
|
|||||||
Merx Aviation Finance Assets Ireland Limited, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
31
|
|
|||||||
Merx Aviation Finance Assets Ireland Limited, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
3
|
|
|||||||
Merx Aviation Finance, LLC, Membership Interests
|
93,714
|
|
—
|
|
(7,750
|
)
|
(3,354
|
)
|
82,610
|
|
—
|
|
7,000
|
|
|||||||
MSEA Tankers LLC, Class A Units
|
84,138
|
|
—
|
|
(501
|
)
|
(784
|
)
|
82,853
|
|
—
|
|
5,650
|
|
|||||||
SHD Oil & Gas, LLC, Tranche A Note
|
—
|
|
40,000
|
|
—
|
|
—
|
|
40,000
|
|
—
|
|
391
|
|
|||||||
SHD Oil & Gas, LLC, Tranche B Note
|
—
|
|
28,937
|
|
—
|
|
—
|
|
28,937
|
|
—
|
|
—
|
|
|||||||
SHD Oil & Gas, LLC, Tranche C Note
|
—
|
|
6,750
|
|
—
|
|
—
|
|
6,750
|
|
—
|
|
61
|
|
|||||||
SHD Oil & Gas, LLC, Unfunded Tranche C Note
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
SHD Oil & Gas, LLC, Series A Units
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Solarplicity Group Limited, First lien Term Loan
|
163,034
|
|
41,732
|
|
(169,365
|
)
|
(35,401
|
)
|
—
|
|
(2,173
|
)
|
14,228
|
|
|||||||
Solarplicity Group Limited, Class B Common Shares
|
6,665
|
|
—
|
|
—
|
|
(6,665
|
)
|
—
|
|
—
|
|
—
|
|
|||||||
|
$
|
853,977
|
|
$
|
140,358
|
|
$
|
(192,616
|
)
|
$
|
(56,030
|
)
|
$
|
745,689
|
|
$
|
(2,173
|
)
|
$
|
67,235
|
|
|
As of
December 31, 2016
, the Company had a 85%, 49%, 100%, 98% and 38% equity ownership interest in Dynamic Product Tankers, LLC; Glacier Oil & Gas Corp. (f/k/a Miller Energy Resources, Inc.); Merx Aviation Finance, LLC; MSEA Tankers, LLC; and SHD Oil & Gas, LLC, respectively.
|
(6)
|
Aggregate gross unrealized gain and loss for federal income tax purposes is $181,932 and $491,766, respectively. Net unrealized loss is $309,835 based on a tax cost of $2,836,167.
|
(7)
|
Substantially all securities are pledged as collateral to our multi-currency revolving credit facility (the “Senior Secured Facility” as defined in Note 8). As such, these securities are not available as collateral to our general creditors.
|
(8)
|
The negative fair value is the result of the commitment being valued below par.
|
(9)
|
These are co-investments made with the Company’s affiliates in accordance with the terms of the exemptive order the Company received from the Securities and Exchange Commission (the “SEC”) permitting us to do so. (See Note 3 for discussion of the exemptive order from the SEC.)
|
(10)
|
The percentage is calculated over net assets.
|
(11)
|
These securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions that are exempt from registration, normally to qualified institutional buyers.
|
(12)
|
Denominated in USD unless otherwise noted, Euro (“€”), British Pound (“£”), and Canadian Dollar (“C$”).
|
(13)
|
Non-income producing security.
|
(14)
|
Non-accrual status (Note 2).
|
(15)
|
The underlying investments of AIC SPV Holdings I, LLC are two secured debt positions and one preferred equity position in SquareTwo Financial Corporation. One of the secured debt positions and the preferred equity position are on non-accrual status.
|
(16)
|
Denotes debt securities where the Company owns multiple tranches of the same broad asset type but whose security characteristics differ. Such differences may include level of subordination, call protection and pricing, and differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values.
|
(17)
|
Investments that the Company has determined 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. The status of these assets under the 1940 Act is subject to change. The Company monitors the status of these assets on an ongoing basis. As of December 31, 2016, non-qualifying assets represented approximately 27.4% of the total assets of the Company.
|
(18)
|
In addition to the interest earned based on the stated rate of this loan, the Company may be entitled to receive additional interest as a result of its arrangement with other lenders in a syndication.
|
(19)
|
This investment represents a leveraged subordinated interest in a trust that holds one foreign currency denominated bond and a derivative instrument.
|
(20)
|
Generally, the interest rate on floating interest rate investments is at benchmark rate plus spread. The borrower has an option to choose the benchmark rate, such as the London Interbank Offered Rate (“LIBOR”), the Euro Interbank Offered Rate (“EURIBOR”), the federal funds rate or the prime rate. The spread may change based on the type of rate used. The terms in the Schedule of Investments disclose the actual interest rate in effect as of the reporting period. LIBOR loans are typically indexed to 30-day, 90-day, 180-day or 360-day LIBOR rates (1M L, 3M L, 6M L or 12M L, respectively), and EURIBOR loans are typically indexed to 90-day EURIBOR rates (3M E), at the borrower’s option. LIBOR and EURIBOR loans may be subject to interest floors. As of
December 31, 2016
, rates for 1M L, 3M L, 6M L, 12M L, 3M E, and prime are 0.77%, 1.00%, 1.32%, 1.69%, (0.32%), and 3.75%, respectively.
|
(21)
|
The rates associated with these undrawn committed revolvers and delayed draw term loans represent rates for commitment and unused fees.
|
(22)
|
The collateralized loan obligation (“CLO”) equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions such as expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
|
(23)
|
As of
December 31, 2016
, the Company had the following commitments to fund various revolving and delayed draw senior secured and subordinated loans, including commitments to issue letters of credit through a financial intermediary on behalf of certain portfolio companies. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and letters of credit and there can be no assurance that such conditions will be satisfied. See Note 10 to the financial statements for further information on revolving and delayed draw loan commitments, including commitments to issue letters of credit, related to certain portfolio companies.
|
Portfolio Company
|
Total Commitment
|
Drawn Commitment
|
Letters of Credit
|
Undrawn Commitment
|
||||||||
AIC SPV Holdings I, LLC
|
$
|
8,751
|
|
$
|
4,259
|
|
$
|
—
|
|
$
|
4,492
|
|
Alliant Holdings Intermediate, LLC
|
15,000
|
|
—
|
|
187
|
|
14,813
|
|
||||
American Media, Inc.
|
1,778
|
|
1,067
|
|
206
|
|
505
|
|
||||
Aptevo Therapeutics Inc.
|
15,000
|
|
8,571
|
|
—
|
|
6,429
|
|
||||
Dynamic Product Tankers, LLC
|
2,250
|
|
—
|
|
2,250
|
|
—
|
|
||||
Endologix, Inc.
|
5,000
|
|
—
|
|
—
|
|
5,000
|
|
||||
LabVantage Solution
s Limited
|
3,624
|
|
—
|
|
—
|
|
3,624
|
|
||||
Merx Aviation Finance, LLC
|
177
|
|
—
|
|
177
|
|
—
|
|
||||
Merx Aviation Finance Asset
s Ireland Limited
|
3,600
|
|
—
|
|
3,600
|
|
—
|
|
||||
Ministry Brands, LLC
|
10,000
|
|
7,840
|
|
—
|
|
2,160
|
|
||||
My Alarm Center, LLC
|
19,123
|
|
14,582
|
|
—
|
|
4,541
|
|
||||
Oxford Immunotec, Inc.
|
1,000
|
|
—
|
|
—
|
|
1,000
|
|
||||
SHD Oil & Gas, LLC
|
18,000
|
|
6,750
|
|
—
|
|
11,250
|
|
||||
Tibco Software Inc.
|
6,000
|
|
—
|
|
—
|
|
6,000
|
|
||||
TricorBraun Holdings, Inc.
|
5,625
|
|
998
|
|
—
|
|
4,627
|
|
||||
UniTek Global Services Inc.
|
15,662
|
|
—
|
|
10,662
|
|
5,000
|
|
||||
Wright Medical Group, Inc.
|
50,000
|
|
10,000
|
|
—
|
|
40,000
|
|
||||
Total Commitments
|
$
|
180,590
|
|
$
|
54,067
|
|
$
|
17,082
|
|
$
|
109,441
|
|
(24)
|
As of
December 31, 2016
, Dynamic Product Tankers, LLC had various classes of limited liability interests outstanding of which the Company holds Class A-1 and Class A-3 units which are identical except that Class A-1 unit is voting and Class A-3 unit is non-voting. The units entitle the Company to appoint three out of five managers to the board of managers.
|
(25)
|
As of
December 31, 2016
, MSEA Tankers, LLC had various classes of limited liability interests outstanding of which the Company holds Class A-1 and Class A-2 units which are identical except that Class A-1 unit is voting and Class A-2 unit is non-voting. The units entitle the Company to appoint two out of three managers to the board of managers.
|
(26)
|
As of
December 31, 2016
, Magnetation, LLC was in the process of being restructured and the maturity date of the secured debt position had passed. A new credit agreement is in the process of being executed.
|
(27)
|
As of
December 31, 2016
, the Company holds two classes of shares in Solarplicity Group Limited. The Company holds 434 shares of Class A shares (non-voting) and 2,391 shares of Class B (voting).
|
Industry Classification
|
Percentage of Total Investments (at Fair Value) as of December 31, 2016
|
Aviation and Consumer Transport
|
19.1%
|
Business Services
|
18.6%
|
Energy – Oil & Gas
|
9.4%
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
8.7%
|
Energy – Electricity
|
7.4%
|
Transportation – Cargo, Distribution
|
7.0%
|
High Tech Industries
|
6.3%
|
Healthcare & Pharmaceuticals
|
3.6%
|
Manufacturing, Capital Equipment
|
2.8%
|
Insurance
|
2.6%
|
Telecommunications
|
2.5%
|
Chemicals, Plastics & Rubber
|
2.0%
|
Hotel, Gaming, Leisure, Restaurants
|
1.4%
|
Consumer Services
|
1.4%
|
Utilities – Electric
|
1.2%
|
Automotive
|
1.2%
|
Food & Grocery
|
1.0%
|
Aerospace & Defense
|
0.9%
|
Containers, Packaging & Glass
|
0.9%
|
Advertising, Printing & Publishing
|
0.8%
|
Consumer Goods – Durable
|
0.7%
|
Environmental Industries
|
0.4%
|
Broadcasting & Subscription
|
0.1%
|
Education
|
0.0%
|
Metals & Mining
|
0.0%
|
Total Investments
|
100.0%
|
Investment
|
|
Industry (9)
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Non-Controlled/Non-Affiliated Investments
|
|
|
|
|
|
|
|
|
|
|
||||||||
Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt (excluding Revolvers and Letters of Credit)
|
|
|
|
|
|
|
|
|
||||||||||
Aventine Renewable Energy Holdings, Inc.
|
|
Chemicals, Plastics & Rubber
|
|
10.50% Cash (15.00% PIK Toggle)
|
|
9/22/17
|
|
$
|
16,764
|
|
|
$
|
19,053
|
|
|
$
|
15,334
|
|
Aveta, Inc. (16)
|
|
Healthcare & Pharmaceuticals
|
|
9.75% (3M L+825, 1.50% Floor)
|
|
12/12/17
|
|
21,367
|
|
|
21,114
|
|
|
13,461
|
|
|||
Aveta, Inc. (16)
|
|
Healthcare & Pharmaceuticals
|
|
9.75% (3M L+825, 1.50% Floor)
|
|
12/12/17
|
|
15,533
|
|
|
15,315
|
|
|
9,786
|
|
|||
Belk, Inc.
|
|
Retail
|
|
5.75% (6M L+475, 1.00% Floor)
|
|
12/12/22
|
|
1,866
|
|
|
1,610
|
|
|
1,660
|
|
|||
ChyronHego Corporation (18)
|
|
High Tech Industries
|
|
6.63% (3M L+563, 1.00% Floor)
|
|
3/9/20
|
|
32,225
|
|
|
31,684
|
|
|
31,580
|
|
|||
Deep Gulf Energy II, LLC
|
|
Energy – Oil & Gas
|
|
14.50% (3M L+1300, 1.50% Floor)
|
|
9/30/18
|
|
25,000
|
|
|
25,000
|
|
|
22,500
|
|
|||
Delta Educational Systems, Inc. (16)
|
|
Education
|
|
16.00% (3M L+1400 PIK, 2.00% Floor)
|
|
12/11/16
|
|
6,784
|
|
|
6,784
|
|
|
6,784
|
|
|||
Dodge Data & Analytics LLC
|
|
Business Services
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
10/31/19
|
|
53,125
|
|
|
52,316
|
|
|
51,664
|
|
|||
ECN Holding Company (Emergency Communications Network) (16)(18)
|
|
High Tech Industries
|
|
8.00% (3M L+700, 1.00% Floor)
|
|
6/12/21
|
|
11,166
|
|
|
11,017
|
|
|
10,786
|
|
|||
ECN Holding Company (Emergency Communications Network) (16)(18)
|
|
High Tech Industries
|
|
8.00% (6M L+700, 1.00% Floor)
|
|
6/12/21
|
|
11,166
|
|
|
11,017
|
|
|
10,786
|
|
|||
LabVantage Solutions Inc.
|
|
High Tech Industries
|
|
9.00% (3M L+800, 1.00% Floor)
|
|
12/29/20
|
|
14,906
|
|
|
14,445
|
|
|
14,422
|
|
|||
LabVantage Solutions Limited (16)(17)
|
|
High Tech Industries
|
|
9.00% (3M E+800, 1.00% Floor)
|
|
12/29/20
|
|
€
|
13,656
|
|
|
14,221
|
|
|
15,055
|
|
||
Magnetation, LLC (14)
|
|
Metals & Mining
|
|
12.00% PIK
|
|
7/7/16
|
|
13,466
|
|
|
12,427
|
|
|
1,687
|
|
|||
Maxus Capital Carbon SPE I, LLC
|
|
Chemicals, Plastics & Rubber
|
|
13.00%
|
|
12/31/18
|
|
59,305
|
|
|
59,305
|
|
|
58,569
|
|
|||
My Alarm Center, LLC, Term Loan A (16)
|
|
Business Services
|
|
9.00% (1M L+800, 1.00% Floor)
|
|
1/9/19
|
|
28,035
|
|
|
28,035
|
|
|
27,545
|
|
|||
My Alarm Center, LLC, Term Loan B (16)(23)
|
|
Business Services
|
|
9.00% (1M L+800, 1.00% Floor)
|
|
1/9/19
|
|
7,774
|
|
|
7,774
|
|
|
7,638
|
|
|||
My Alarm Center, LLC, Unfunded Term Loan B (8)(16)(21)(23)
|
|
Business Services
|
|
0.35% Unfunded
|
|
1/9/19
|
|
987
|
|
|
—
|
|
|
(17
|
)
|
|||
My Alarm Center, LLC, Term Loan C (16)(23)
|
|
Business Services
|
|
9.00% (3M L+800, 1.00% Floor)
|
|
1/9/19
|
|
2,865
|
|
|
2,865
|
|
|
2,814
|
|
|||
My Alarm Center, LLC, Unfunded Term Loan C (8)(16)(21)(23)
|
|
Business Services
|
|
0.35% Unfunded
|
|
1/9/19
|
|
1,247
|
|
|
—
|
|
|
(22
|
)
|
|||
Osage Exploration & Development, Inc. (11)(14)(16)(17)
|
|
Energy – Oil & Gas
|
|
11.44% Cash (1M L+1100 PIK Toggle)
|
|
4/27/16
|
|
26,698
|
|
|
24,706
|
|
|
5,374
|
|
Investment
|
|
Industry (9)
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Institutional Shareholder Services, Inc.
|
|
Business Services
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
4/30/22
|
|
$
|
6,640
|
|
|
$
|
6,586
|
|
|
$
|
6,109
|
|
MSC Software Corp. (17)
|
|
High Tech Industries
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
5/31/21
|
|
13,448
|
|
|
13,342
|
|
|
11,565
|
|
|||
Novolex Holdings, Inc.
|
|
Containers, Packaging & Glass
|
|
9.75% (3M L+875, 1.00% Floor)
|
|
6/5/22
|
|
42,045
|
|
|
41,120
|
|
|
39,733
|
|
|||
Pabst Brewing Company
|
|
Consumer Goods – Durable
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
11/14/22
|
|
27,000
|
|
|
26,703
|
|
|
26,291
|
|
|||
Poseidon Merger Sub, Inc.
|
|
Business Services
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
8/15/23
|
|
18,000
|
|
|
17,501
|
|
|
17,640
|
|
|||
Premier Trailer Leasing, Inc.
|
|
Transportation – Cargo, Distribution
|
|
10.00% (3M L+900, 1.00% Floor)
|
|
9/24/20
|
|
52,000
|
|
|
51,171
|
|
|
53,040
|
|
|||
River Cree Enterprises LP (11)(17)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
11.00%
|
|
1/20/21
|
|
C$
|
23,000
|
|
|
21,684
|
|
|
17,293
|
|
||
SiTV, Inc. (11)
|
|
Broadcasting & Subscription
|
|
10.375%
|
|
7/1/19
|
|
2,219
|
|
|
2,219
|
|
|
1,725
|
|
|||
SMG
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
2/27/21
|
|
19,900
|
|
|
19,900
|
|
|
19,801
|
|
|||
Sprint Industrial Holdings, LLC
|
|
Containers, Packaging & Glass
|
|
11.25% (3M L+1000, 1.25% Floor)
|
|
11/14/19
|
|
16,163
|
|
|
15,507
|
|
|
11,557
|
|
|||
SquareTwo Financial Corp. (17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
11.625%
|
|
4/1/17
|
|
65,152
|
|
|
64,722
|
|
|
32,014
|
|
|||
Sterling Holdings Ultimate Parent, Inc.
|
|
High Tech Industries
|
|
9.25% (3M L+825, 1.00% Floor)
|
|
6/19/23
|
|
20,000
|
|
|
19,804
|
|
|
19,400
|
|
|||
STG-Fairway Acquisitions, Inc.
|
|
Business Services
|
|
10.25% (3M L+925, 1.00% Floor)
|
|
6/30/23
|
|
15,000
|
|
|
14,649
|
|
|
14,250
|
|
|||
TASC, Inc. (16)
|
|
Aerospace & Defense
|
|
12.00%
|
|
5/21/21
|
|
7,704
|
|
|
7,368
|
|
|
7,357
|
|
|||
TASC, Inc. (16)
|
|
Aerospace & Defense
|
|
12.00%
|
|
5/21/21
|
|
7,058
|
|
|
6,934
|
|
|
6,741
|
|
|||
TMK Hawk Parent, Corp.
|
|
Transportation – Cargo, Distribution
|
|
8.50% (3M L+750, 1.00% Floor)
|
|
10/1/22
|
|
34,000
|
|
|
33,709
|
|
|
33,490
|
|
|||
Transfirst Holdings, Inc. (16)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
9.00% (3M L+800, 1.00% Floor)
|
|
11/11/22
|
|
29,840
|
|
|
29,538
|
|
|
29,989
|
|
|||
Velocity Technology Solutions, Inc.
|
|
Business Services
|
|
9.00% (3M L+775, 1.25% Floor)
|
|
9/28/20
|
|
16,500
|
|
|
16,252
|
|
|
15,758
|
|
|||
Venoco, Inc. (14)(16)
|
|
Energy – Oil & Gas
|
|
8.875% Cash (12.00% PIK Toggle)
|
|
2/28/19
|
|
37,993
|
|
|
48,170
|
|
|
20,766
|
|
|||
Total Second Lien Secured Debt—47.1% (10)
|
|
|
|
|
|
|
|
$
|
874,708
|
|
|
$
|
774,752
|
|
||||
Total Secured Debt—78.9% (10)
|
|
|
|
|
|
|
|
$
|
1,487,097
|
|
|
$
|
1,297,284
|
|
Investment
|
|
Industry (9)
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Unsecured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
American Tire Distributors, Inc. (11)
|
|
Transportation – Cargo, Distribution
|
|
10.25%
|
|
3/1/22
|
|
$
|
14,741
|
|
|
$
|
14,819
|
|
|
$
|
13,230
|
|
Canacol Energy Ltd. (17)(23)
|
|
Energy – Oil & Gas
|
|
9.50% (3M L+850, 1.00% Floor)
|
|
12/31/19
|
|
75,000
|
|
|
73,424
|
|
|
71,400
|
|
|||
Delta Educational Systems, Inc. (14)(16)
|
|
Education
|
|
16.00% PIK
|
|
5/12/17
|
|
28,276
|
|
|
28,125
|
|
|
12,110
|
|
|||
Radio One, Inc. (11)
|
|
Broadcasting & Subscription
|
|
9.25%
|
|
2/15/20
|
|
15,804
|
|
|
15,724
|
|
|
11,004
|
|
|||
Sorenson Holdings, LLC (11)
|
|
Consumer Goods – Durable
|
|
13.00% Cash (13.00% PIK Toggle)
|
|
10/31/21
|
|
52
|
|
|
35
|
|
|
50
|
|
|||
Tibco Software Inc. (11)(16)
|
|
High Tech Industries
|
|
11.375%
|
|
12/1/21
|
|
4,984
|
|
|
4,859
|
|
|
4,317
|
|
|||
U.S. Security Associates Holdings, Inc.
|
|
Business Services
|
|
11.00%
|
|
7/28/18
|
|
135,000
|
|
|
135,000
|
|
|
136,350
|
|
|||
UniTek Global Services Inc. (16)
|
|
Telecommunications
|
|
15.00% PIK
|
|
7/13/19
|
|
7,362
|
|
|
7,362
|
|
|
7,362
|
|
|||
Total Unsecured Debt—15.5% (10)
|
|
|
|
|
|
|
|
$
|
279,348
|
|
|
$
|
255,823
|
|
||||
Total Corporate Debt—94.4% (10)
|
|
|
|
|
|
|
|
$
|
1,766,445
|
|
|
$
|
1,553,107
|
|
||||
Structured Products and Other
|
|
|
|
|
|
|
|
|
|
|
||||||||
Asset Repackaging Trust Six B.V. (11)(17)(19)
|
|
Utilities – Electric
|
|
13.87%
|
|
5/18/27
|
|
$
|
58,411
|
|
|
$
|
25,294
|
|
|
$
|
31,628
|
|
Craft 2013-1, Credit-Linked Note (11)(16)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
9.87% (3M L+925)
|
|
4/17/22
|
|
25,000
|
|
|
25,066
|
|
|
23,501
|
|
|||
Craft 2013-1, Credit-Linked Note (16)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
9.87% (3M L+925)
|
|
4/17/22
|
|
7,625
|
|
|
7,730
|
|
|
7,175
|
|
|||
Craft 2014-1A, Credit-Linked Note (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
10.27% (3M L+965)
|
|
5/15/21
|
|
42,500
|
|
|
42,436
|
|
|
40,257
|
|
|||
Craft 2015-2, Credit-Linked Note (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
9.87% (3M L+925)
|
|
1/16/24
|
|
26,000
|
|
|
25,947
|
|
|
24,219
|
|
|||
Dark Castle Holdings, LLC
|
|
Media – Diversified & Production
|
|
12.77%
|
|
N/A
|
|
24,395
|
|
|
1,189
|
|
|
1,088
|
|
|||
JP Morgan Chase & Co., Credit-Linked Note (17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
12.82% (1M L+1225)
|
|
12/20/21
|
|
43,250
|
|
|
41,427
|
|
|
42,356
|
|
|||
NXT Capital CLO 2014-1, LLC, Class E Notes (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
5.93% (3M L+550)
|
|
4/23/26
|
|
5,000
|
|
|
4,691
|
|
|
3,900
|
|
|||
Renaissance Umiat, LLC, ACES Tax Receivable (15)(17)
|
|
Energy – Oil & Gas
|
|
15.25% to 17.46%
|
|
N/A
|
|
—
|
|
|
5,592
|
|
|
5,669
|
|
|||
Total Structured Products and Other—10.9% (10)
|
|
|
|
|
|
|
|
$
|
179,372
|
|
|
$
|
179,793
|
|
||||
Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||
Preferred Equity
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Crowley Holdings, Inc., Series A Preferred Stock (11)
|
|
Transportation – Cargo, Distribution
|
|
12.00% (10.00% Cash plus 2.00% PIK)
|
|
N/A
|
|
32,500
|
|
|
$
|
34,003
|
|
|
$
|
34,328
|
|
|
Gryphon Colleges Corp., Preferred Stock (13)(14)
|
|
Education
|
|
13.50% PIK
|
|
N/A
|
|
12,360
|
|
|
27,686
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Preferred Stock (13)(14)
|
|
Education
|
|
12.50% PIK
|
|
N/A
|
|
332,500
|
|
|
6,863
|
|
|
—
|
|
|||
Sungevity Inc., Series D Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
114,678,899
|
|
|
4,171
|
|
|
3,750
|
|
|||
Varietal Distribution Holdings, LLC, Class A Preferred Unit
|
|
Transportation – Cargo, Distribution
|
|
4.00% PIK
|
|
N/A
|
|
3,097
|
|
|
4,092
|
|
|
4,092
|
|
|||
Total Preferred Equity—2.6% (10)
|
|
|
|
|
|
|
|
$
|
76,815
|
|
|
$
|
42,170
|
|
Investment
|
|
Industry (9)
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Common Equity/Interests
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Accelerate Parent Corp., Common Stock (13)
|
|
Transportation – Cargo, Distribution
|
|
N/A
|
|
N/A
|
|
1,664,046
|
|
|
$
|
1,714
|
|
|
$
|
2,000
|
|
|
AMP Solar Group, Inc., Class A Common Unit (13)(17)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
166,974
|
|
|
7,000
|
|
|
4,022
|
|
|||
Clothesline Holdings, Inc., Common Stock (13)
|
|
Healthcare & Pharmaceuticals
|
|
N/A
|
|
N/A
|
|
6,000
|
|
|
6,000
|
|
|
642
|
|
|||
Explorer Coinvest, LLC, Membership Interests (17)
|
|
Business Services
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
1,021
|
|
|
3,755
|
|
|||
Garden Fresh Restaurant Holdings, LLC, Common Stock (13)
|
|
Hotel, Gaming, Leisure, Restaurants
|
|
N/A
|
|
N/A
|
|
50,000
|
|
|
5,000
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Common Stock (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
17,500
|
|
|
175
|
|
|
—
|
|
|||
Skyline Data, News and Analytics LLC, Class A Common Unit (13)
|
|
Business Services
|
|
N/A
|
|
N/A
|
|
4,500
|
|
|
4,500
|
|
|
4,500
|
|
|||
Sorenson Holdings, LLC, Membership Interests (13)
|
|
Consumer Goods – Durable
|
|
N/A
|
|
N/A
|
|
587
|
|
|
—
|
|
|
140
|
|
|||
Varietal Distribution Holdings, LLC, Class A Common Unit (13)
|
|
Transportation – Cargo, Distribution
|
|
N/A
|
|
N/A
|
|
28,028
|
|
|
28
|
|
|
165
|
|
|||
Total Common Equity/Interests—0.9% (10)
|
|
|
|
|
|
|
|
$
|
25,438
|
|
|
$
|
15,224
|
|
||||
Warrants
|
|
|
|
|
|
Warrants
|
|
|
|
|
||||||||
Energy & Exploration Partners, Inc., Common Stock Warrants (13)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
60,778
|
|
|
$
|
2,374
|
|
|
$
|
—
|
|
|
Gryphon Colleges Corp., Class A-1 Preferred Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
45,947
|
|
|
459
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Class B-1 Preferred Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
104,314
|
|
|
1,043
|
|
|
—
|
|
|||
Gryphon Colleges Corp., Common Stock Warrants (13)
|
|
Education
|
|
N/A
|
|
N/A
|
|
9,820
|
|
|
98
|
|
|
—
|
|
|||
Osage Exploration & Development, Inc., Common Stock Warrants (13)(17)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
1,496,843
|
|
|
—
|
|
|
—
|
|
|||
Spotted Hawk Development, LLC, Common Stock Warrants (13)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
54,545
|
|
|
852
|
|
|
—
|
|
|||
Total Warrants—0.0% (10)
|
|
|
|
|
|
|
|
$
|
4,826
|
|
|
$
|
—
|
|
||||
Total Equity—3.5% (10)
|
|
|
|
|
|
|
|
$
|
107,079
|
|
|
$
|
57,394
|
|
||||
Total Non-Controlled/Non-Affiliated Investments—108.8% (10)
|
|
|
|
|
|
$
|
2,052,896
|
|
|
$
|
1,790,294
|
|
Investment
|
|
Industry (9)
|
|
Interest
Rate (20) |
|
Maturity
Date |
|
Par (12)
|
|
Cost
|
|
Fair
Value (1) |
||||||
Non-Controlled/Affiliated Investments (4)
|
|
|
|
|
|
|
|
|
|
|
||||||||
Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
First Lien Secured Debt
|
|
|
|
|
|
|
|
|
|
|
||||||||
Pelican Energy, LLC (14)(17)
|
|
Energy – Oil & Gas
|
|
10.00% Cash (10.00% PIK Toggle)
|
|
12/31/18
|
|
$
|
28,313
|
|
|
$
|
26,808
|
|
|
$
|
17,500
|
|
Total First Lien Secured Debt—1.1% (10)
|
|
|
|
$
|
26,808
|
|
|
$
|
17,500
|
|
||||||||
Total Secured Debt—1.1% (10)
|
|
|
|
|
|
|
|
$
|
26,808
|
|
|
$
|
17,500
|
|
||||
Total Corporate Debt—1.1% (10)
|
|
|
|
|
|
|
|
$
|
26,808
|
|
|
$
|
17,500
|
|
||||
Structured Products and Other
|
|
|
|
|
|
|
|
|
|
|
||||||||
Golden Bear Warehouse LLC, Membership Interests (3)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
N/A
|
|
N/A
|
|
$
|
32,344
|
|
|
$
|
32,908
|
|
|
$
|
49,617
|
|
Highbridge Loan Management 3-2014, Ltd., Subordinated Notes (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
5.15%
|
|
1/18/25
|
|
8,163
|
|
|
5,548
|
|
|
4,975
|
|
|||
Ivy Hill Middle Market Credit Fund IX, Ltd., Subordinated Notes (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
16.88%
|
|
10/18/25
|
|
12,500
|
|
|
10,181
|
|
|
9,717
|
|
|||
Ivy Hill Middle Market Credit Fund X, Ltd., Subordinated Notes (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
14.30%
|
|
7/18/27
|
|
14,000
|
|
|
12,290
|
|
|
10,722
|
|
|||
Jamestown CLO I Ltd., Subordinated Notes (11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
0.00%
|
|
11/5/24
|
|
4,325
|
|
|
2,875
|
|
|
380
|
|
|||
MCF CLO I, LLC, Membership Interests (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
14.23%
|
|
4/20/23
|
|
38,918
|
|
|
33,268
|
|
|
33,145
|
|
|||
MCF CLO III, LLC, Class E Notes (11)(17)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
5.07% (3M L+445)
|
|
1/20/24
|
|
12,750
|
|
|
11,570
|
|
|
10,073
|
|
|||
MCF CLO III, LLC, Membership Interests (3)(11)(17)(22)
|
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
|
15.44%
|
|
1/20/24
|
|
41,900
|
|
|
34,700
|
|
|
31,180
|
|
|||
Total Structured Products and Other—9.1% (10)
|
|
|
|
|
|
|
|
$
|
143,340
|
|
|
$
|
149,809
|
|
||||
Equity
|
|
|
|
|
|
|
|
|
|
|
||||||||
Preferred Equity
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Renewable Funding Group, Inc., Series B Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
1,505,868
|
|
|
$
|
8,343
|
|
|
$
|
20,459
|
|
|
Renewable Funding Group, Inc., Series D Preferred Stock (13)
|
|
Energy – Electricity
|
|
N/A
|
|
N/A
|
|
436,689
|
|
|
5,568
|
|
|
5,933
|
|
|||
Total Preferred Equity—1.6% (10)
|
|
|
|
|
|
|
|
$
|
13,911
|
|
|
$
|
26,392
|
|
||||
Common Equity/Interests
|
|
|
|
|
|
Shares
|
|
|
|
|
||||||||
Generation Brands Holdings, Inc., Basic Common Stock (3)(13)
|
|
Consumer Goods – Durable
|
|
N/A
|
|
N/A
|
|
9,007
|
|
|
$
|
—
|
|
|
$
|
9,712
|
|
|
Generation Brands Holdings, Inc., Series 2L Common Stock (3)(13)
|
|
Consumer Goods – Durable
|
|
N/A
|
|
N/A
|
|
36,700
|
|
|
11,242
|
|
|
39,572
|
|
|||
Generation Brands Holdings, Inc., Series H Common Stock (3)(13)
|
|
Consumer Goods – Durable
|
|
N/A
|
|
N/A
|
|
7,500
|
|
|
2,297
|
|
|
8,087
|
|
|||
LVI Group Investments, LLC, Common Units (3)(13)
|
|
Environmental Industries
|
|
N/A
|
|
N/A
|
|
212,460
|
|
|
17,505
|
|
|
21,486
|
|
|||
Pelican Energy, LLC, Membership Interests (13)(17)
|
|
Energy – Oil & Gas
|
|
N/A
|
|
N/A
|
|
1,228
|
|
|
1,099
|
|
|
—
|
|
|||
Total Common Equity/Interests—4.8% (10)
|
|
|
|
|
|
|
|
$
|
32,143
|
|
|
$
|
78,857
|
|
||||
Total Equity—6.4% (10)
|
|
|
|
|
|
|
|
$
|
46,054
|
|
|
$
|
105,249
|
|
||||
Total Non-Controlled/Affiliated Investments—16.6% (10)
|
|
|
|
|
|
|
|
$
|
216,202
|
|
|
$
|
272,558
|
|
(1)
|
Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (Note 2).
|
(2)
|
Solarplicity Group Limited is a GBP denominated equity investment.
|
(3)
|
Denotes investments in which the Company owns greater than 25% of the equity, where the governing documents of each entity preclude the Company from exercising a controlling influence over the management or policies of such entity. The Company does not have the right to elect or appoint more than 25% of the directors or another party has the right to elect or appoint more directors than the Company and has the right to appoint certain members of senior management. Therefore, the Company has determined that these entities are not controlled affiliates. As of March 31, 2016, we had a 28%, 100%, 26%, 32%, 32%, 36%, 97%, and 98% equity ownership interest in Generation Brands Holdings, Inc.; Golden Bear Warehouse, LLC; Highbridge Loan Management, Ltd.; Ivy Hill Middle Market Credit Fund IX, Ltd.; Ivy Hill Middle Market Credit Fund X, Ltd.; LVI Group Investments, LLC; MCF CLO I, LLC; and MCF CLO III, LLC, respectively.
|
(4)
|
Denotes investments in which we are an “Affiliated Person,” as defined in the 1940 Act, due to holding the power to vote or owning 5% or more of the outstanding voting securities of the investment but not controlling the company. Fair value as of March 31, 2015 and March 31, 2016 along with transactions during the year ended March 31, 2016 in these Affiliated investments are as follows:
|
Name of Issue
|
Fair Value at March 31, 2015
|
Gross Additions (Cost) ●
|
Gross Reductions (Cost) ■
|
Net Change in Unrealized Gains (Losses)
|
Fair Value at March 31, 2016
|
Net Realized Losses
|
Interest/Dividend/Other Income
|
||||||||||||||
AMP Solar (UK) Limited, Class A Preference Shares
|
$
|
65,171
|
|
$
|
67,313
|
|
$
|
(133,668
|
)
|
$
|
1,184
|
|
$
|
—
|
|
$
|
(1,575
|
)
|
$
|
7,375
|
|
AMP Solar Group, Inc., Class A Common Unit
|
3,500
|
|
2,500
|
|
(6,000
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Basic Common Stock
|
6,699
|
|
—
|
|
—
|
|
3,013
|
|
9,712
|
|
—
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Series 2L Common Stock
|
27,294
|
|
—
|
|
—
|
|
12,278
|
|
39,572
|
|
—
|
|
—
|
|
|||||||
Generation Brands Holdings, Inc., Series H Common Stock
|
5,578
|
|
—
|
|
—
|
|
2,509
|
|
8,087
|
|
—
|
|
—
|
|
|||||||
Golden Bear Warehouse LLC, Equity
|
6,833
|
|
51,574
|
|
(22,899
|
)
|
14,109
|
|
49,617
|
|
—
|
|
1,318
|
|
|||||||
Golden Hill CLO I, LLC, Equity
|
73,587
|
|
—
|
|
(71,478
|
)
|
(2,109
|
)
|
—
|
|
—
|
|
6,459
|
|
|||||||
Highbridge Loan Management 3-2014, Ltd., Class E Notes
|
2,121
|
|
3
|
|
(2,280
|
)
|
156
|
|
—
|
|
(67
|
)
|
34
|
|
|||||||
Highbridge Loan Management 3-2014, Ltd., Subordinated Notes
|
6,722
|
|
—
|
|
(990
|
)
|
(757
|
)
|
4,975
|
|
—
|
|
823
|
|
|||||||
Ivy Hill Middle Market Credit Fund IX, Ltd., Subordinated Notes
|
11,375
|
|
—
|
|
(1,194
|
)
|
(464
|
)
|
9,717
|
|
—
|
|
1,704
|
|
|||||||
Ivy Hill Middle Market Credit Fund X, Ltd., Subordinated Notes
|
—
|
|
12,457
|
|
(167
|
)
|
(1,568
|
)
|
10,722
|
|
—
|
|
1,099
|
|
|||||||
Jamestown CLO I Ltd., Subordinated Notes
|
3,698
|
|
—
|
|
(557
|
)
|
(2,761
|
)
|
380
|
|
—
|
|
175
|
|
|||||||
LVI Group Investments, LLC, Common Units
|
8,669
|
|
—
|
|
—
|
|
12,817
|
|
21,486
|
|
—
|
|
263
|
|
|||||||
MCF CLO I, LLC, Membership Interests
|
38,490
|
|
—
|
|
(1,820
|
)
|
(3,525
|
)
|
33,145
|
|
—
|
|
6,538
|
|
|||||||
MCF CLO III, LLC, Class E Notes
|
11,220
|
|
114
|
|
—
|
|
(1,261
|
)
|
10,073
|
|
—
|
|
738
|
|
|||||||
MCF CLO III, LLC, Membership Interests
|
38,984
|
|
—
|
|
(2,257
|
)
|
(5,547
|
)
|
31,180
|
|
—
|
|
6,336
|
|
|||||||
Pelican Energy, LLC, First Lien Term Loan
|
—
|
|
27,524
|
|
(716
|
)
|
(9,308
|
)
|
17,500
|
|
—
|
|
369
|
|
|||||||
Pelican Energy, LLC, Membership Interests
|
—
|
|
1,099
|
|
—
|
|
(1,099
|
)
|
—
|
|
—
|
|
—
|
|
|||||||
Renewable Funding Group, Inc., Promissory Note due 9/30/15
|
1,000
|
|
—
|
|
(1,000
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Renewable Funding Group, Inc., Promissory Note due 6/3/16
|
—
|
|
2,068
|
|
(2,068
|
)
|
—
|
|
—
|
|
—
|
|
53
|
|
|||||||
Renewable Funding Group, Inc., Series B Preferred Stock
|
9,309
|
|
—
|
|
882
|
|
10,268
|
|
20,459
|
|
—
|
|
—
|
|
|||||||
Renewable Funding Group, Inc., Series D Preferred Stock
|
—
|
|
5,568
|
|
—
|
|
365
|
|
5,933
|
|
—
|
|
—
|
|
|||||||
Slater Mill Loan Fund LP, LP Certificates
|
6,968
|
|
—
|
|
(5,754
|
)
|
(1,214
|
)
|
—
|
|
(3,912
|
)
|
573
|
|
|||||||
|
$
|
327,218
|
|
$
|
170,220
|
|
$
|
(251,966
|
)
|
$
|
27,086
|
|
$
|
272,558
|
|
$
|
(5,554
|
)
|
$
|
33,857
|
|
(5)
|
Denotes investments in which we are deemed to exercise a controlling influence over the management or policies of a company, as defined in the 1940 Act, due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of the investment. Fair value as of March 31, 2015 and March 31, 2016 along with transactions during the year ended March 31, 2016 in these Controlled investments are as follows:
|
Name of Issue
|
Fair Value at March 31, 2015
|
Gross Additions (Cost) ●
|
Gross Reductions (Cost) ■
|
Net Change in Unrealized Gains (Losses)
|
Fair Value at March 31, 2016
|
Net Realized Losses
|
Interest/Dividend/Other Income
|
||||||||||||||
Dynamic Product Tankers, LLC, Class A Units
|
$
|
—
|
|
$
|
48,150
|
|
$
|
(44
|
)
|
$
|
158
|
|
$
|
48,264
|
|
$
|
—
|
|
$
|
5,785
|
|
Merx Aviation Finance, LLC, Revolver
|
352,084
|
|
51,000
|
|
—
|
|
—
|
|
403,084
|
|
—
|
|
43,703
|
|
|||||||
Merx Aviation Finance, LLC, Unfunded Revolver
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Merx Aviation Finance, LLC, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||
Merx Aviation Finance, LLC, Membership Interests
|
165,172
|
|
—
|
|
(87,828
|
)
|
16,370
|
|
93,714
|
|
—
|
|
5,400
|
|
|||||||
Merx Aviation Finance Assets Ireland Limited, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
10
|
|
|||||||
Merx Aviation Finance Assets Ireland Limited, Letter of Credit
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
10
|
|
|||||||
Miller Energy Resources, Inc., Second Lien Term Loan
|
—
|
|
25,000
|
|
—
|
|
—
|
|
25,000
|
|
—
|
|
14
|
|
|||||||
Miller Energy Resources, Inc., Common Stock
|
—
|
|
30,078
|
|
—
|
|
—
|
|
30,078
|
|
—
|
|
—
|
|
|||||||
MSEA Tankers LLC, Class A Units
|
33,000
|
|
52,000
|
|
—
|
|
(862
|
)
|
84,138
|
|
—
|
|
8,598
|
|
|||||||
PlayPower Holdings, Inc., Common Stock
|
55,900
|
|
—
|
|
(77,722
|
)
|
21,822
|
|
—
|
|
(39,736
|
)
|
63
|
|
|||||||
PlayPower Holdings, Inc., Series A Preferred
|
59,411
|
|
1,891
|
|
(61,302
|
)
|
—
|
|
—
|
|
—
|
|
1,869
|
|
|||||||
Solarplicity Group Limited, First Lien Term Loan
|
—
|
|
171,035
|
|
—
|
|
(8,001
|
)
|
163,034
|
|
—
|
|
7,378
|
|
|||||||
Solarplicity Group Limited, Class B Common Shares
|
—
|
|
2,472
|
|
—
|
|
4,193
|
|
6,665
|
|
—
|
|
—
|
|
|||||||
|
$
|
665,567
|
|
$
|
381,626
|
|
$
|
(226,896
|
)
|
$
|
33,680
|
|
$
|
853,977
|
|
$
|
(39,736
|
)
|
$
|
72,830
|
|
(6)
|
Aggregate gross unrealized gain and loss for federal income tax purposes is $279,370 and $387,492, respectively. Net unrealized loss is $108,122 based on a tax cost of $3,024,951.
|
(7)
|
Substantially all securities are pledged as collateral to our multi-currency revolving credit facility (the “Senior Secured Facility” as defined in Note 8). As such, these securities are not available as collateral to our general creditors.
|
(8)
|
The negative fair value is the result of the commitment being valued below par.
|
(9)
|
As a result of the amendment of our Senior Secured Facility on April 24, 2015, the industry classifications were updated in the Schedule of Investments as of March 31, 2016.
|
(10)
|
The percentage is calculated over net assets.
|
(11)
|
These securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions that are exempt from registration, normally to qualified institutional buyers.
|
(12)
|
Denominated in USD unless otherwise noted, Euro (“€”), British Pound (“£”), and Canadian Dollar (“C$”).
|
(13)
|
Non-income producing security.
|
(14)
|
Non-accrual status (Note 2).
|
(15)
|
The investment has a put option attached to it and the combined instrument has been recorded in its entirety at fair value as a hybrid instrument in accordance with ASC 815-15-25-4 with subsequent changes in fair value charged or credited to investment gains/losses for each period.
|
(16)
|
Denotes debt securities where the Company owns multiple tranches of the same broad asset type but whose security characteristics differ. Such differences may include level of subordination, call protection and pricing, and differing interest rate characteristics, among other factors. Such factors are usually considered in the determination of fair values.
|
(17)
|
Investments that the Company has determined 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. The status of these assets under the 1940 Act is subject to change. The Company monitors the status of these assets on an ongoing basis.
|
(18)
|
In addition to the interest earned based on the stated rate of this loan, the Company may be entitled to receive additional interest as a result of its arrangement with other lenders in a syndication.
|
(19)
|
This investment represents a leveraged subordinated interest in a trust that holds one foreign currency denominated bond and a derivative instrument.
|
(20)
|
Generally, the interest rate on variable interest rate investments is at benchmark rate plus spread. The borrower has an option to choose the benchmark rate, such as the London Interbank Offered Rate (“LIBOR”), the Euro Interbank Offered Rate (“EURIBOR”), the federal funds rate or the prime rate. The spread may change based on the type of rate used. The terms in the Schedule of Investments disclose the actual interest rate in effect as of the reporting period. LIBOR loans are typically indexed to 30-day, 90-day, 180-day or 360-day LIBOR rates (1M L, 3M L, 6M L or 12M L, respectively), at the borrower’s option. Both LIBOR and prime loans may be subject to interest floors. As of June 30, 2016, rates for 1M L, 3M L, 6M L and 12M L are 0.43725%, 0.6286%, 0.8997% and 1.2134%, respectively.
|
(21)
|
The rates associated with these undrawn committed revolvers and delayed draw term loans represent rates for commitment and unused fees.
|
(22)
|
The collateralized loan obligation (“CLO”) equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions such as expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
|
(23)
|
As of March 31, 2016, the Company had the following commitments to fund various revolving and delayed draw senior secured and subordinated loans, including commitments to issue letters of credit through a financial intermediary on behalf of certain portfolio companies. Such commitments are subject to the satisfaction of certain conditions set forth in the documents governing these loans and letters of credit and there can be no assurance that such conditions will be satisfied. See Note 10 to the financial statements for further information on revolving and delayed draw loan commitments, including commitments to issue letters of credit, related to certain portfolio companies.
|
Portfolio Company
|
Total Commitment
|
Drawn Commitment
|
Letters of Credit
|
Undrawn Commitment
|
||||||||
Alliant Holdings
|
$
|
15,000
|
|
$
|
3,750
|
|
$
|
109
|
|
$
|
11,141
|
|
Canacol Energy Ltd.
|
100,000
|
|
75,000
|
|
—
|
|
25,000
|
|
||||
Confie Seguros Holding II Co.
|
4,500
|
|
1,620
|
|
124
|
|
2,756
|
|
||||
LabVantage Solutions Limited
|
3,915
|
|
—
|
|
—
|
|
3,915
|
|
||||
Merx Aviation Finance, LLC
|
177
|
|
—
|
|
177
|
|
—
|
|
||||
Merx Aviation Finance Assets Ireland Limited
|
3,600
|
|
—
|
|
3,600
|
|
—
|
|
||||
Miller Energy Resources, Inc.
|
10,000
|
|
—
|
|
—
|
|
10,000
|
|
||||
My Alarm Center, LLC
|
19,123
|
|
10,639
|
|
—
|
|
8,484
|
|
||||
Osage Exploration & Development, Inc.
|
1,400
|
|
400
|
|
—
|
|
1,000
|
|
||||
Tibco Software Inc.
|
6,000
|
|
—
|
|
—
|
|
6,000
|
|
||||
Transfirst Holdings, Inc.
|
3,000
|
|
—
|
|
51
|
|
2,949
|
|
||||
UniTek Global Services Inc.
|
15,662
|
|
—
|
|
10,662
|
|
5,000
|
|
||||
Total Commitments
|
$
|
182,377
|
|
$
|
91,409
|
|
$
|
14,723
|
|
$
|
76,245
|
|
(24)
|
As of March 31, 2016, Dynamic Product Tankers, LLC has various classes of limited liability interests outstanding of which Company holds Class A-1 and Class A-3 units which are identical except that Class A-1 unit is voting and Class A-3 unit is non-voting. The units entitle the Company to appoint three out of five managers to the board of managers.
|
(25)
|
As of March 31, 2016, MSEA Tankers, LLC has various classes of limited liability interests outstanding of which the Company holds Class A-1 and Class A-2 units which are identical except that Class A-1 unit is voting and Class A-2 unit is non-voting. The units entitle the Company to appoint two out of three managers to the board of managers.
|
Industry Classification
|
Percentage of Total Investments (at Fair Value) as of March 31, 2016
|
Aviation and Consumer Transport
|
17.0%
|
Business Services
|
16.1%
|
Diversified Investment Vehicles, Banking, Finance, Real Estate
|
12.4%
|
Energy – Oil & Gas
|
11.9%
|
Transportation – Cargo, Distribution
|
9.4%
|
Energy – Electricity
|
7.0%
|
High Tech Industries
|
5.4%
|
Consumer Goods – Durable
|
2.9%
|
Chemicals, Plastics & Rubber
|
2.5%
|
Hotel, Gaming, Leisure, Restaurants
|
2.4%
|
Insurance
|
2.1%
|
Telecommunications
|
1.9%
|
Containers, Packaging & Glass
|
1.7%
|
Consumer Services
|
1.2%
|
Healthcare & Pharmaceuticals
|
1.1%
|
Utilities – Electric
|
1.1%
|
Food & Grocery
|
0.8%
|
Education
|
0.8%
|
Environmental Industries
|
0.7%
|
Aerospace & Defense
|
0.5%
|
Manufacturing, Capital Equipment
|
0.5%
|
Broadcasting & Subscription
|
0.4%
|
Metals & Mining
|
0.1%
|
Retail
|
0.1%
|
Media – Diversified & Production
|
0.0%
|
Total Investments
|
100.0%
|
1.
|
Our quarterly valuation process begins with each investment being initially valued by the investment professionals of our Investment Adviser who are responsible for the investment.
|
2.
|
Preliminary valuation conclusions are then documented and discussed with senior management of our Investment Adviser.
|
3.
|
Independent valuation firms are engaged by our Board of Directors to conduct independent appraisals by reviewing our Investment Adviser’s preliminary valuations and then making their own independent assessment.
|
4.
|
The Audit Committee of the Board of Directors reviews the preliminary valuation of our Investment Adviser and the valuation prepared by the independent valuation firms and responds, if warranted, to the valuation recommendation of the independent valuation firms.
|
5.
|
The Board of Directors discusses valuations and determines in good faith the fair value of each investment in our portfolio based on the input of our Investment Adviser, the applicable independent valuation firm, and the Audit Committee of the Board of Directors.
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Basic and Diluted Earnings (Loss) Per Share (1)
|
|
|
|
|
|
|
|
||||||||
Net increase (decrease) in net assets resulting from operations
|
$
|
11,290
|
|
|
$
|
(25,772
|
)
|
|
$
|
10,318
|
|
|
$
|
(21,129
|
)
|
Weighted average shares outstanding
|
220,168,710
|
|
|
231,537,374
|
|
|
223,305,392
|
|
|
234,709,883
|
|
||||
Basic and diluted earnings (loss) per share
|
$
|
0.05
|
|
|
$
|
(0.11
|
)
|
|
$
|
0.05
|
|
|
$
|
(0.09
|
)
|
(1)
|
Diluted earnings (loss) per share is calculated using the if-converted method. In applying the if-converted method, conversion is not assumed for purposes of computing diluted EPS if the effect would be anti-dilutive. For the
three and nine months ended December 31, 2016
, the Company did not have any convertible notes. As such, diluted EPS was not applicable. For the
three and nine months ended December 31, 2015
, anti-dilution would total
$0.02
and
$0.04
, respectively.
|
|
|
|
|
|
Fair Value Hierarchy
|
||||||||||||||
|
Cost
|
|
Fair Value
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
First Lien Secured Debt
|
$
|
1,154,386
|
|
|
$
|
1,052,891
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,052,891
|
|
Second Lien Secured Debt
|
743,439
|
|
|
683,858
|
|
|
—
|
|
|
273,317
|
|
|
410,541
|
|
|||||
Unsecured Debt
|
249,642
|
|
|
249,121
|
|
|
—
|
|
|
19,216
|
|
|
229,905
|
|
|||||
Structured Products and Other
|
211,968
|
|
|
217,748
|
|
|
—
|
|
|
10,644
|
|
|
207,104
|
|
|||||
Preferred Equity
|
89,370
|
|
|
30,785
|
|
|
—
|
|
|
—
|
|
|
30,785
|
|
|||||
Common Equity/Interests
|
378,443
|
|
|
291,554
|
|
|
—
|
|
|
—
|
|
|
291,554
|
|
|||||
Warrants
|
49,771
|
|
|
376
|
|
|
—
|
|
|
—
|
|
|
376
|
|
|||||
Total Investments
|
$
|
2,877,019
|
|
|
$
|
2,526,333
|
|
|
$
|
—
|
|
|
$
|
303,177
|
|
|
$
|
2,223,156
|
|
Purchased Put Options
|
$
|
3,516
|
|
|
$
|
1,820
|
|
|
$
|
1,820
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Credit Default Swaps
|
879
|
|
|
90
|
|
|
—
|
|
|
90
|
|
|
—
|
|
|||||
Written Call Options
|
(3,555
|
)
|
|
(5,117
|
)
|
|
(5,117
|
)
|
|
—
|
|
|
—
|
|
|||||
Total Derivatives
|
$
|
840
|
|
|
$
|
(3,207
|
)
|
|
$
|
(3,297
|
)
|
|
$
|
90
|
|
|
$
|
—
|
|
Total Investments and Derivatives
|
$
|
2,877,859
|
|
|
$
|
2,523,126
|
|
|
$
|
(3,297
|
)
|
|
$
|
303,267
|
|
|
$
|
2,223,156
|
|
|
|
|
|
|
Fair Value Hierarchy
|
||||||||||||||
|
Cost
|
|
Fair Value
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
First Lien Secured Debt
|
$
|
1,213,315
|
|
|
$
|
1,106,150
|
|
|
$
|
—
|
|
|
$
|
16,994
|
|
|
$
|
1,089,156
|
|
Second Lien Secured Debt
|
899,708
|
|
|
799,752
|
|
|
—
|
|
|
308,264
|
|
|
491,488
|
|
|||||
Unsecured Debt
|
279,348
|
|
|
255,823
|
|
|
—
|
|
|
28,601
|
|
|
227,222
|
|
|||||
Structured Products and Other
|
322,712
|
|
|
329,602
|
|
|
—
|
|
|
10,072
|
|
|
319,530
|
|
|||||
Preferred Equity
|
90,726
|
|
|
68,562
|
|
|
—
|
|
|
—
|
|
|
68,562
|
|
|||||
Common Equity/Interests
|
287,492
|
|
|
356,940
|
|
|
—
|
|
|
—
|
|
|
356,940
|
|
|||||
Warrants
|
4,826
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Total Investments
|
$
|
3,098,127
|
|
|
$
|
2,916,829
|
|
|
$
|
—
|
|
|
$
|
363,931
|
|
|
$
|
2,552,898
|
|
|
First Lien Secured Debt (2)
|
Second Lien Secured Debt (2)
|
Unsecured Debt
|
Structured Products and Other
|
Preferred Equity
|
Common Equity/Interests
|
Warrants
|
Total
|
||||||||||||||||
Fair value as of September 30, 2016
|
$
|
1,053,764
|
|
$
|
338,740
|
|
$
|
216,222
|
|
$
|
296,566
|
|
$
|
67,602
|
|
$
|
316,469
|
|
$
|
2,412
|
|
$
|
2,291,775
|
|
Net realized gains (losses)
|
(1,899
|
)
|
—
|
|
—
|
|
38,811
|
|
(246
|
)
|
2,414
|
|
—
|
|
39,080
|
|
||||||||
Net change in unrealized gains (losses)
|
(10,878
|
)
|
10,999
|
|
21,293
|
|
(31,925
|
)
|
(36,380
|
)
|
(25,885
|
)
|
(1,184
|
)
|
(73,960
|
)
|
||||||||
Net amortization on investments
|
538
|
|
219
|
|
92
|
|
93
|
|
—
|
|
41
|
|
—
|
|
983
|
|
||||||||
Purchases, including capitalized PIK (3)
|
118,583
|
|
88,959
|
|
13,011
|
|
16,558
|
|
36,677
|
|
1,530
|
|
—
|
|
275,318
|
|
||||||||
Sales (3)
|
(107,217
|
)
|
(18,208
|
)
|
(20,665
|
)
|
(112,999
|
)
|
(36,868
|
)
|
(3,015
|
)
|
(852
|
)
|
(299,824
|
)
|
||||||||
Transfers out of Level 3 (1)
|
—
|
|
(10,168
|
)
|
(48
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
(10,216
|
)
|
||||||||
Transfers into Level 3 (1)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
Fair value as of December 31, 2016
|
$
|
1,052,891
|
|
$
|
410,541
|
|
$
|
229,905
|
|
$
|
207,104
|
|
$
|
30,785
|
|
$
|
291,554
|
|
$
|
376
|
|
$
|
2,223,156
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net change in unrealized gains (losses) on Level 3 investments still held as of December 31, 2016
|
$
|
(19,252
|
)
|
$
|
2,086
|
|
$
|
627
|
|
$
|
3,519
|
|
$
|
122
|
|
$
|
(23,179
|
)
|
$
|
(2,036
|
)
|
$
|
(38,113
|
)
|
|
First Lien Secured Debt (2)
|
Second Lien Secured Debt (2)
|
Unsecured Debt
|
Structured Products and Other
|
Preferred Equity
|
Common Equity/Interests
|
Warrants
|
Total
|
||||||||||||||||
Fair value as of March 31, 2016
|
$
|
1,089,156
|
|
$
|
491,488
|
|
$
|
227,222
|
|
$
|
319,530
|
|
$
|
68,562
|
|
$
|
356,940
|
|
$
|
—
|
|
$
|
2,552,898
|
|
Net realized gains (losses)
|
(35,345
|
)
|
—
|
|
—
|
|
37,288
|
|
(247
|
)
|
50,382
|
|
(2,374
|
)
|
49,704
|
|
||||||||
Net change in unrealized gains (losses)
|
2,000
|
|
26,255
|
|
16,618
|
|
(1,592
|
)
|
(36,420
|
)
|
(156,337
|
)
|
(44,568
|
)
|
(194,044
|
)
|
||||||||
Net amortization on investments
|
1,901
|
|
800
|
|
270
|
|
270
|
|
—
|
|
98
|
|
—
|
|
3,339
|
|
||||||||
Purchases, including capitalized PIK (3)
|
248,137
|
|
126,661
|
|
13,920
|
|
44,129
|
|
37,081
|
|
113,692
|
|
48,170
|
|
631,790
|
|
||||||||
Sales (3)
|
(252,958
|
)
|
(234,663
|
)
|
(28,125
|
)
|
(192,521
|
)
|
(38,191
|
)
|
(73,221
|
)
|
(852
|
)
|
(820,531
|
)
|
||||||||
Transfers out of Level 3 (1)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
Transfers into Level 3 (1)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
Fair value as of December 31, 2016
|
$
|
1,052,891
|
|
$
|
410,541
|
|
$
|
229,905
|
|
$
|
207,104
|
|
$
|
30,785
|
|
$
|
291,554
|
|
$
|
376
|
|
$
|
2,223,156
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net change in unrealized gains (losses) on Level 3 investments still held as of December 31, 2016
|
$
|
(42,530
|
)
|
$
|
(30,572
|
)
|
$
|
603
|
|
$
|
12,833
|
|
$
|
(22,014
|
)
|
$
|
(100,837
|
)
|
$
|
(20,390
|
)
|
$
|
(202,907
|
)
|
(1)
|
Transfers out of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained and transfers into Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained as assessed by the Investment Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown.
|
(2)
|
Includes unfunded commitments measured at fair value of
$(2,466)
.
|
(3)
|
Includes reorganizations and restructuring of investments.
|
|
First Lien Secured Debt (2)
|
Second Lien Secured Debt (2)
|
Unsecured Debt
|
Structured Products and Other
|
Preferred Equity
|
Common Equity/Interests
|
Warrants
|
Total
|
||||||||||||||||
Fair value as of September 30, 2015
|
$
|
1,032,839
|
|
$
|
531,316
|
|
$
|
250,179
|
|
$
|
413,465
|
|
$
|
160,108
|
|
$
|
305,128
|
|
$
|
4,327
|
|
$
|
2,697,362
|
|
Net realized gains (losses)
|
(3,307
|
)
|
(2,165
|
)
|
—
|
|
—
|
|
(2,363
|
)
|
(3,218
|
)
|
3,571
|
|
(7,482
|
)
|
||||||||
Net change in unrealized gains (losses)
|
(54,241
|
)
|
(7,909
|
)
|
(3,027
|
)
|
(6,692
|
)
|
11,428
|
|
3,116
|
|
3,779
|
|
(53,546
|
)
|
||||||||
Net amortization on investments
|
221
|
|
465
|
|
110
|
|
111
|
|
—
|
|
—
|
|
—
|
|
907
|
|
||||||||
Purchases, including capitalized PIK (3)
|
173,843
|
|
23,614
|
|
1,375
|
|
10,258
|
|
46,799
|
|
28,472
|
|
—
|
|
284,361
|
|
||||||||
Sales (3)
|
(55,189
|
)
|
(490
|
)
|
(8,363
|
)
|
(87,389
|
)
|
(132,819
|
)
|
(16,199
|
)
|
(3,636
|
)
|
(304,085
|
)
|
||||||||
Transfers out of Level 3 (1)
|
(14,810
|
)
|
(87,776
|
)
|
(69
|
)
|
(14,596
|
)
|
—
|
|
(140
|
)
|
—
|
|
(117,391
|
)
|
||||||||
Transfers into Level 3 (1)
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
||||||||
Fair value as of December 31, 2015
|
$
|
1,079,356
|
|
$
|
457,055
|
|
$
|
240,205
|
|
$
|
315,157
|
|
$
|
83,153
|
|
$
|
317,159
|
|
$
|
8,041
|
|
$
|
2,500,126
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net change in unrealized gains (losses) on Level 3 investments still held as of December 31, 2015
|
$
|
(93,807
|
)
|
$
|
(8,238
|
)
|
$
|
(3,028
|
)
|
$
|
(2,717
|
)
|
$
|
8,637
|
|
$
|
(380
|
)
|
$
|
5,002
|
|
$
|
(94,531
|
)
|
|
First Lien Secured Debt (2)
|
Second Lien Secured Debt (2)
|
Unsecured Debt
|
Structured Products and Other
|
Preferred Equity
|
Common Equity/Interests
|
Warrants
|
Total
|
||||||||||||||||
Fair value as of March 31, 2015
|
$
|
1,016,030
|
|
$
|
512,110
|
|
$
|
351,971
|
|
$
|
374,368
|
|
$
|
165,101
|
|
$
|
329,800
|
|
$
|
5,571
|
|
$
|
2,754,951
|
|
Net realized gains (losses)
|
(5,355
|
)
|
14
|
|
(40,602
|
)
|
(67
|
)
|
(2,363
|
)
|
(43,661
|
)
|
3,571
|
|
(88,463
|
)
|
||||||||
Net change in unrealized gains (losses)
|
(71,682
|
)
|
(50,743
|
)
|
10,784
|
|
(17,830
|
)
|
17,661
|
|
60,546
|
|
2,535
|
|
(48,729
|
)
|
||||||||
Net amortization on investments
|
2,048
|
|
1,338
|
|
351
|
|
325
|
|
—
|
|
—
|
|
—
|
|
4,062
|
|
||||||||
Purchases, including capitalized PIK (3)
|
368,847
|
|
232,696
|
|
33,159
|
|
76,092
|
|
98,080
|
|
102,810
|
|
—
|
|
911,684
|
|
||||||||
Sales (3)
|
(236,324
|
)
|
(52,299
|
)
|
(115,458
|
)
|
(103,136
|
)
|
(195,326
|
)
|
(132,336
|
)
|
(3,636
|
)
|
(838,515
|
)
|
||||||||
Transfers out of Level 3 (1)
|
875
|
|
(186,061
|
)
|
—
|
|
(14,595
|
)
|
—
|
|
—
|
|
—
|
|
(199,781
|
)
|
||||||||
Transfers into Level 3 (1)
|
4,917
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
4,917
|
|
||||||||
Fair value as of December 31, 2015
|
$
|
1,079,356
|
|
$
|
457,055
|
|
$
|
240,205
|
|
$
|
315,157
|
|
$
|
83,153
|
|
$
|
317,159
|
|
$
|
8,041
|
|
$
|
2,500,126
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Net change in unrealized gains (losses) on Level 3 investments still held as of December 31, 2015
|
$
|
129,187
|
|
$
|
62,369
|
|
$
|
9,527
|
|
$
|
(27,528
|
)
|
$
|
45,192
|
|
$
|
(80,992
|
)
|
$
|
(3,238
|
)
|
$
|
134,517
|
|
(1)
|
Transfers out of Level 3 are due to an increase in the quantity and reliability of broker quotes obtained and transfers into Level 3 are due to a decrease in the quantity and reliability of broker quotes obtained as assessed by the Investment Adviser. Transfers are assumed to have occurred at the end of the period. There were no transfers between Level 1 and Level 2 fair value measurements during the period shown.
|
(2)
|
Includes unfunded commitments measured at fair value of
$(2,311)
.
|
(3)
|
Includes reorganizations and restructuring of investments.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
||||||
Asset Category
|
Fair Value
|
Valuation Techniques/Methodologies
|
Unobservable Input
|
Range
|
Weighted Average (1)
|
|||
First Lien Secured Debt
|
$
|
(840
|
)
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
551,685
|
|
Discounted Cash Flow
|
Discount Rate
|
2.3%
|
14.1%
|
10.3%
|
|
|
2,500
|
|
Market Comparable Approach
|
Comparable Multiple
|
4.5x
|
4.5x
|
4.5x
|
|
|
9,500
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
|
100,843
|
|
Recovery Analysis
|
Commodity Price
|
$51.00
|
$64.00
|
$62.86
|
|
|
51,391
|
|
Recovery Analysis
|
Recoverable Amount
|
N/A
|
N/A
|
N/A
|
|
|
337,812
|
|
Yield Analysis
|
Discount Rate
|
5.1%
|
18.5%
|
11.9%
|
|
Second Lien Secured Debt
|
147,567
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
|
—
|
|
Market Comparable Approach
|
Comparable Multiple
|
4.5x
|
4.5x
|
4.5x
|
|
|
50,141
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
|
26,939
|
|
Recovery Analysis
|
Commodity Price
|
$51.00
|
$64.00
|
$60.31
|
|
|
185,894
|
|
Yield Analysis
|
Discount Rate
|
10.4%
|
20.7%
|
11.9%
|
|
Unsecured Debt
|
12,713
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
|
338
|
|
Recovery Analysis
|
Commodity Price
|
$48.12
|
$64.00
|
$63.56
|
|
|
216,854
|
|
Yield Analysis
|
Discount Rate
|
9.8%
|
16.3%
|
10.3%
|
|
Structured Products and Other
|
4,324
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
|
202,780
|
|
Discounted Cash Flow
|
Discount Rate
|
9.4%
|
17.0%
|
12.4%
|
|
Preferred Equity
|
4,394
|
|
Discounted Cash Flow
|
Discount Rate
|
18.0%
|
18.0%
|
18.0%
|
|
|
—
|
|
Market Comparable Approach
|
Comparable Multiple
|
4.9x
|
4.9x
|
4.9x
|
|
|
26,391
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
Common Equity/Interests
|
135
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
|
213,944
|
|
Discounted Cash Flow
|
Discount Rate
|
5.8%
|
20.0%
|
11.8%
|
|
|
16,027
|
|
Market Comparable Approach
|
Comparable Multiple
|
4.5x
|
12.2x
|
7.9x
|
|
|
25,987
|
|
Proposed Transaction
|
Proposed Transaction
|
N/A
|
N/A
|
N/A
|
|
|
—
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
|
35,461
|
|
Recovery Analysis
|
Commodity Price
|
$48.12
|
$64.00
|
$61.30
|
|
Warrants
|
—
|
|
Market Comparable Approach
|
Comparable Multiple
|
4.9x
|
4.9x
|
4.9x
|
|
|
376
|
|
Options Pricing Model
|
Expected Volatility
|
75%
|
75%
|
75%
|
|
|
|
Recovery Analysis
|
Commodity Price
|
$48.12
|
$64.00
|
$63.56
|
||
Total Level 3 Investments
|
$
|
2,223,156
|
|
|
|
|
|
|
(1)
|
The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the commodity price unobservable input, the weighted average price is an undiscounted price based upon the estimated production level from the underlying reserves.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
||||||
Asset Category
|
Fair Value
|
Valuation Techniques/Methodologies
|
Unobservable Input
|
Range
|
Weighted Average (1)
|
|||
First Lien Secured Debt
|
$
|
6,784
|
|
Market Comparable Approach
|
Comparable Multiple
|
6.7x
|
6.7x
|
6.7x
|
|
534,475
|
|
Yield Analysis
|
Discount Rate
|
7.7%
|
20.5%
|
13.1%
|
|
|
403,082
|
|
Discounted Cash Flow
|
Discount Rate
|
2.3%
|
12.0%
|
12.0%
|
|
|
81,571
|
|
Recovery Analysis
|
Commodity Price
|
$36.50
|
$62.50
|
$60.96
|
|
|
7,461
|
|
Recovery Analysis
|
N/A
|
N/A
|
N/A
|
N/A
|
|
|
32,566
|
|
Recovery Analysis
|
Commodity Price
|
$36.00
|
$65.00
|
$64.21
|
|
|
|
Recovery Analysis
|
Probability Factor
|
50%
|
50%
|
50%
|
||
|
|
Yield Analysis
|
Discount Rate
|
34.4%
|
34.4%
|
34.4%
|
||
|
23,217
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
Second Lien Secured Debt
|
60,757
|
|
Market Comparable Approach
|
Comparable Multiple
|
0.5x
|
6.7x
|
3.1x
|
|
|
268,794
|
|
Yield Analysis
|
Discount Rate
|
9.6%
|
16.2%
|
11.2%
|
|
|
25,000
|
|
Recovery Analysis
|
Commodity Price
|
$37.75
|
$65.00
|
$58.21
|
|
|
20,766
|
|
Recovery Analysis
|
Commodity Price
|
$36.00
|
$65.00
|
$64.21
|
|
|
|
Recovery Analysis
|
Probability Factor
|
50%
|
50%
|
50%
|
||
|
|
Yield Analysis
|
Discount Rate
|
50.9%
|
50.9%
|
50.9%
|
||
|
116,171
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
Unsecured Debt
|
12,110
|
|
Market Comparable Approach
|
Comparable Multiple
|
6.7x
|
6.7x
|
6.7x
|
|
|
215,112
|
|
Yield Analysis
|
Discount Rate
|
10.6%
|
16.8%
|
11.0%
|
|
Structured Products and Other
|
315,630
|
|
Discounted Cash Flow
|
Discount Rate
|
6.0%
|
20.0%
|
12.6%
|
|
|
3,900
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
Preferred Equity
|
4,092
|
|
Market Comparable Approach
|
Comparable Multiple
|
6.7x
|
11.9x
|
11.9x
|
|
|
34,328
|
|
Yield Analysis
|
Discount Rate
|
10.8%
|
10.8%
|
10.8%
|
|
|
3,750
|
|
Discounted Cash Flow
|
Discount Rate
|
41.0%
|
41.0%
|
41.0%
|
|
|
26,392
|
|
Recent Transaction
|
Recent Transaction
|
N/A
|
N/A
|
N/A
|
|
Common Equity/Interests
|
90,186
|
|
Market Comparable Approach
|
Comparable Multiple
|
1.0x
|
12.5x
|
8.3x
|
|
|
232,781
|
|
Discounted Cash Flow
|
Discount Rate
|
8.8%
|
16.4%
|
12.1%
|
|
|
3,755
|
|
Other
|
Illiquidity/Restrictive Discount
|
7.0%
|
7.0%
|
7.0%
|
|
|
30,078
|
|
Recovery Analysis
|
Commodity Price
|
$36.50
|
$65.00
|
$58.21
|
|
|
140
|
|
Broker Quoted
|
Broker Quote
|
N/A
|
N/A
|
N/A
|
|
Warrants
|
—
|
|
Market Comparable Approach
|
Comparable Multiple
|
6.7x
|
6.7x
|
6.7x
|
|
|
—
|
|
Recovery Analysis
|
Commodity Price
|
$36.50
|
$62.50
|
$60.96
|
|
|
—
|
|
Recovery Analysis
|
N/A
|
N/A
|
N/A
|
N/A
|
|
Total Level 3 Investments
|
$
|
2,552,898
|
|
|
|
|
|
|
(1)
|
The weighted average information is generally derived by assigning each disclosed unobservable input a proportionate weight based on the fair value of the related investment. For the commodity price unobservable input, the weighted average price is an undiscounted price based upon the estimated production level from the underlying reserves.
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
PIK balance at beginning of period
|
$
|
93,273
|
|
|
$
|
56,791
|
|
|
$
|
73,409
|
|
|
$
|
86,903
|
|
PIK income capitalized
|
1,639
|
|
|
12,358
|
|
|
22,787
|
|
|
34,090
|
|
||||
Adjustments due to exited investments
|
(6,192
|
)
|
|
(109
|
)
|
|
(6,192
|
)
|
|
(3,505
|
)
|
||||
PIK income received in cash
|
(1,606
|
)
|
|
(726
|
)
|
|
(2,890
|
)
|
|
(49,174
|
)
|
||||
PIK balance at end of period
|
$
|
87,114
|
|
|
$
|
68,314
|
|
|
$
|
87,114
|
|
|
$
|
68,314
|
|
|
Nine Months Ended December 31,
|
||||||
|
2016
|
|
2015
|
||||
Net revenue
|
$
|
95,839
|
|
|
$
|
89,535
|
|
Net operating income
|
56,700
|
|
|
56,050
|
|
||
Earnings before taxes
|
8,040
|
|
|
7,718
|
|
||
Net profit
|
7,551
|
|
|
5,545
|
|
|
Nine Months Ended December 31,
|
||||||
|
2016
|
|
2015
|
||||
Net revenue
|
$
|
17,451
|
|
|
$
|
9,869
|
|
Net operating income
|
9,425
|
|
|
5,915
|
|
||
Earnings before taxes
|
8,756
|
|
|
5,258
|
|
||
Net profit
|
8,756
|
|
|
5,170
|
|
|
Nine Months Ended December 31, 2016
|
|
For period from April 7, 2015
(commencement of operations) to
December 31, 2015
|
||||
Net revenue
|
$
|
25,547
|
|
|
$
|
24,786
|
|
Net operating income
|
5,268
|
|
|
5,794
|
|
||
Earnings before taxes
|
2,380
|
|
|
3,875
|
|
||
Net profit
|
2,380
|
|
|
3,875
|
|
|
|
December 31, 2016
|
||||||||||||||
Underlying Risk Type
|
|
Base Notional Assets
|
|
Derivative Assets Fair Value
|
|
Base Notional Liabilities
|
|
Derivative Liabilities Fair Value
|
||||||||
Commodity:
|
|
|
|
|
|
|
|
|
||||||||
Purchased Put Options
|
|
$
|
84,870
|
|
|
$
|
1,820
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Written Call Options
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
118,080
|
|
|
$
|
5,117
|
|
Credit:
|
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps
|
|
€
|
45,000
|
|
|
$
|
90
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Net Change in Unrealized Losses on Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Purchased Put Options
|
|
$
|
(1,696
|
)
|
|
$
|
—
|
|
|
$
|
(1,696
|
)
|
|
$
|
—
|
|
Written Call Options
|
|
(1,562
|
)
|
|
—
|
|
|
(1,562
|
)
|
|
—
|
|
||||
Credit Default Swaps
|
|
(788
|
)
|
|
—
|
|
|
(788
|
)
|
|
—
|
|
||||
Net Change in Unrealized Losses on Derivatives
|
|
$
|
(4,046
|
)
|
|
$
|
—
|
|
|
$
|
(4,046
|
)
|
|
$
|
—
|
|
Counterparty
|
|
Account in the Statement of Assets and Liabilities
|
|
Gross Amounts Presented in the Statement of Assets and Liabilities
|
|
Financial Instruments not offset in the Statement of Assets and Liabilities
|
|
Cash Collateral Paid (1)
|
|
Net Amounts
|
||||||||
CME Group:
|
|
|
|
|
|
|
|
|
|
|
||||||||
Purchased Put Options
|
|
Derivative Assets
|
|
$
|
1,820
|
|
|
$
|
(1,820
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Written Call Options
|
|
Derivative Liabilities
|
|
$
|
(5,117
|
)
|
|
$
|
1,820
|
|
|
$
|
3,297
|
|
|
$
|
—
|
|
JPMorgan Chase Bank, N.A.:
|
|
|
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps
|
|
Derivative Assets
|
|
$
|
90
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
90
|
|
(1)
|
Per GAAP disclosure requirements, the table above does not include excess cash collateral paid in the amount of $3,783.
|
|
Date Issued/Amended
|
|
Total Aggregate Principal Amount Committed
|
|
Principal Amount Outstanding
|
|
Fair Value
|
|
Final Maturity Date
|
||||||
Senior Secured Facility
|
12/22/2016
|
|
$
|
1,140,000
|
|
|
$
|
386,778
|
*
|
|
$
|
384,616
|
|
(1)
|
12/22/2021
|
Senior Secured Notes (Series B)
|
9/29/2011
|
|
16,000
|
|
|
16,000
|
|
|
16,525
|
|
(1)
|
9/29/2018
|
|||
2042 Notes
|
10/9/2012
|
|
150,000
|
|
|
150,000
|
|
|
151,020
|
|
(2)
|
10/15/2042
|
|||
2043 Notes
|
6/17/2013
|
|
150,000
|
|
|
150,000
|
|
|
151,758
|
|
(2)
|
7/15/2043
|
|||
2025 Notes
|
3/3/2015
|
|
350,000
|
|
|
350,000
|
|
|
360,770
|
|
(1)
|
3/3/2025
|
|||
Total Debt Obligations
|
|
|
$
|
1,806,000
|
|
|
$
|
1,052,778
|
|
|
$
|
1,064,689
|
|
|
|
Deferred Financing Cost and Debt Discount
|
|
|
|
$
|
(18,820
|
)
|
|
|
|
|
|||||
Total Debt Obligations, net of Deferred Financing Cost and Debt Discount
|
|
|
|
$
|
1,033,958
|
|
|
|
|
|
*
|
Includes foreign currency debt obligations as outlined in
Foreign Currency Transactions and Translations
within this note.
|
(1)
|
The fair value of these debt obligations are categorized as Level 3 under ASC 820 as of
December 31, 2016
. The valuation is based on a yield analysis and discount rate commensurate with the market yields for similar types of debt.
|
(2)
|
The fair value of these debt obligations are categorized as Level 1 under ASC 820 as of
December 31, 2016
. The valuation is based on quoted prices of identical liabilities in active markets.
|
|
Date Issued/Amended
|
|
Total Aggregate Principal Amount Committed
|
|
Principal Amount Outstanding (3)
|
|
Fair Value
|
|
Final Maturity Date
|
||||||
Senior Secured Facility
|
4/24/2015
|
|
$
|
1,310,000
|
|
|
$
|
637,904
|
*
|
|
$
|
641,157
|
|
(1)
|
4/24/2020
|
Senior Secured Notes (Series A)
|
9/29/2011
|
|
29,000
|
|
|
29,000
|
|
|
29,220
|
|
(1)
|
9/29/2016
|
|||
Senior Secured Notes (Series B)
|
9/29/2011
|
|
16,000
|
|
|
16,000
|
|
|
16,661
|
|
(1)
|
9/29/2018
|
|||
2042 Notes
|
10/9/2012
|
|
150,000
|
|
|
150,000
|
|
|
150,060
|
|
(2)
|
10/15/2042
|
|||
2043 Notes
|
6/17/2013
|
|
150,000
|
|
|
150,000
|
|
|
151,740
|
|
(2)
|
7/15/2043
|
|||
2025 Notes
|
3/3/2015
|
|
350,000
|
|
|
350,000
|
|
|
352,485
|
|
(1)
|
3/3/2025
|
|||
Total Debt Obligations
|
|
|
$
|
2,005,000
|
|
|
$
|
1,332,904
|
|
|
$
|
1,341,323
|
|
|
|
Deferred Financing Cost and Debt Discount
|
|
|
|
$
|
(19,944
|
)
|
|
|
|
|
|||||
Total Debt Obligations, net of Deferred Financing Cost and Debt Discount
|
|
|
|
$
|
1,312,960
|
|
|
|
|
|
*
|
Includes foreign currency debt obligations as outlined in
Foreign Currency Transactions and Translations
within this note.
|
(1)
|
The fair value of these debt obligations are categorized as Level 3 under ASC 820 as of
March 31, 2016
. The valuation is based on a yield analysis and discount rate commensurate with the market yields for similar types of debt.
|
(2)
|
The fair value of these debt obligations are categorized as Level 1 under ASC 820 as of
March 31, 2016
. The valuation is based on quoted prices of identical liabilities in active markets.
|
(3)
|
Numbers were updated due to the retrospective application of the new accounting pronouncements (ASU 2015-03 and ASU 2015-15) adopted as of April 1, 2016.
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
|
2016
|
|
2015 (2)
|
|
2016
|
|
2015 (2)
|
||||||||
Average debt outstanding
|
$
|
988,106
|
|
|
$
|
1,465,689
|
|
|
$
|
1,083,307
|
|
|
$
|
1,465,675
|
|
Maximum amount of debt outstanding
|
1,040,698
|
|
|
1,522,310
|
|
|
1,363,533
|
|
|
1,640,135
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Weighted average annualized interest cost (1)
|
5.21
|
%
|
|
4.78
|
%
|
|
5.04
|
%
|
|
5.22
|
%
|
||||
Annualized amortized debt issuance cost
|
0.61
|
%
|
|
0.44
|
%
|
|
0.59
|
%
|
|
0.52
|
%
|
||||
Total annualized interest cost
|
5.82
|
%
|
|
5.22
|
%
|
|
5.63
|
%
|
|
5.74
|
%
|
(1)
|
Includes the stated interest expense and commitment fees on the unused portion of the Senior Secured Facility. Commitment fees for the
three months ended December 31, 2016
and
December 31, 2015
were
$891
and
$676
, respectively. Commitment fees for the
nine months ended December 31, 2016
and
December 31, 2015
were
$2,488
and
$2,417
, respectively.
|
(2)
|
Numbers were updated due to the retrospective application of the new accounting pronouncements (ASU 2015-03 and ASU 2015-15) adopted as of April 1, 2016.
|
|
Original Principal Amount (Local)
|
|
Original Principal Amount (USD)
|
|
Principal Amount Outstanding
|
|
Unrealized Gain
|
|
Reset Date
|
||||||||
Canadian Dollar
|
C$
|
51,600
|
|
|
$
|
46,957
|
|
|
$
|
38,477
|
|
|
$
|
8,480
|
|
|
1/30/2017
|
Euro
|
€
|
13,000
|
|
|
14,046
|
|
|
13,712
|
|
|
334
|
|
|
1/17/2017
|
|||
British Pound
|
£
|
8,000
|
|
|
10,648
|
|
|
9,885
|
|
|
763
|
|
|
1/5/2017
|
|||
British Pound
|
£
|
16,000
|
|
|
22,947
|
|
|
19,770
|
|
|
3,177
|
|
|
1/17/2017
|
|||
British Pound
|
£
|
8,700
|
|
|
13,319
|
|
|
10,750
|
|
|
2,569
|
|
|
1/19/2017
|
|||
British Pound
|
£
|
100,500
|
|
|
152,658
|
|
|
124,183
|
|
|
28,475
|
|
|
1/30/2017
|
|||
|
|
|
$
|
260,575
|
|
|
$
|
216,777
|
|
|
$
|
43,798
|
|
|
|
|
Original Principal Amount (Local)
|
|
Original Principal Amount (USD)
|
|
Principal Amount Outstanding
|
|
Unrealized Gain (Loss)
|
|
Reset Date
|
||||||||
Canadian Dollar
|
C$
|
55,100
|
|
|
$
|
50,366
|
|
|
$
|
42,599
|
|
|
$
|
7,767
|
|
|
4/29/2016
|
Euro
|
€
|
14,000
|
|
|
15,126
|
|
|
15,954
|
|
|
(828
|
)
|
|
4/4/2016
|
|||
British Pound
|
£
|
14,000
|
|
|
20,354
|
|
|
20,122
|
|
|
232
|
|
|
4/8/2016
|
|||
British Pound
|
£
|
14,500
|
|
|
22,199
|
|
|
20,841
|
|
|
1,358
|
|
|
4/11/2016
|
|||
British Pound
|
£
|
14,500
|
|
|
22,209
|
|
|
20,841
|
|
|
1,368
|
|
|
4/18/2016
|
|||
British Pound
|
£
|
24,400
|
|
|
37,283
|
|
|
35,070
|
|
|
2,213
|
|
|
4/22/2016
|
|||
British Pound
|
£
|
54,600
|
|
|
83,095
|
|
|
78,477
|
|
|
4,618
|
|
|
4/29/2016
|
|||
|
|
|
$
|
250,632
|
|
|
$
|
233,904
|
|
|
$
|
16,728
|
|
|
|
Date of Adoption
|
|
Maximum Cost of Shares That May Be Repurchased
|
|
Cost of Shares Repurchased
|
|
Remaining Cost of Shares That May Be Repurchased
|
||||||
August 6, 2015
|
|
$
|
50,000
|
|
|
$
|
50,000
|
|
|
$
|
—
|
|
December 14, 2015
|
|
50,000
|
|
|
50,000
|
|
|
—
|
|
|||
September 14, 2016
|
|
50,000
|
|
|
356
|
|
|
49,644
|
|
|||
Total as of December 31, 2016
|
|
$
|
150,000
|
|
|
$
|
100,356
|
|
|
$
|
49,644
|
|
Effective Date
|
|
Termination Date
|
|
Amount Allocated to 10b5-1 Repurchase Plans
|
||
September 15, 2015
|
|
November 5, 2015
|
|
$
|
5,000
|
|
January 1, 2016
|
|
February 5, 2016
|
|
10,000
|
|
|
April 1, 2016
|
|
May 19, 2016
|
|
5,000
|
|
|
July 1, 2016
|
|
August 5, 2016
|
|
15,000
|
|
|
September 30, 2016
|
|
November 8, 2016
|
|
20,000
|
|
|
January 4, 2017
|
|
February 6, 2017
|
|
10,000
|
|
|
December 31, 2016
|
|
March 31, 2016
|
||||
Unfunded revolver obligations and bridge loan commitments (1)
|
$
|
135,382
|
|
|
$
|
291,424
|
|
Standby letters of credit issued and outstanding (2)
|
17,082
|
|
|
14,723
|
|
||
Unfunded delayed draw loan commitments (3)
|
7,651
|
|
|
13,234
|
|
||
Unfunded delayed draw loan commitments (performance thresholds not met) (4)
|
17,679
|
|
|
25,000
|
|
||
Total Unfunded Commitments
|
$
|
177,794
|
|
|
$
|
344,381
|
|
(1)
|
The unfunded revolver obligations may or may not be funded to the borrowing party in the future. The amounts relate to loans with various maturity dates, but the entire amount was eligible for funding to the borrowers as of
December 31, 2016
and
March 31, 2016
, subject to the terms of each loan’s respective credit agreements which includes borrowing covenants that needs to be met prior to funding. As of
December 31, 2016
and March 31, 2016, the bridge loan commitments included in the balances were $51,272 and $253,413, respectively.
|
(2)
|
For all these letters of credit issued and outstanding, the Company would be required to make payments to third parties if the portfolio companies were to default on their related payment obligations. None of the letters of credit issued and outstanding are recorded as a liability on the Company’s Statements of Assets and Liabilities as such letters of credit are considered in the valuation of the investments in the portfolio company.
|
(3)
|
The Company’s commitment to fund delayed draw loans is triggered upon the satisfaction of certain pre-negotiated terms and conditions which can include covenants to maintain specified leverage levels and other related borrowing base covenants.
|
(4)
|
The borrowers are required to meet certain performance thresholds before the Company is obligated to fulfill the commitments and those performance thresholds were not met as of
December 31, 2016
and
March 31, 2016
.
|
|
Nine Months Ended
December 31, 2016 |
|
Year Ended
March 31, 2016 |
||||
|
(Unaudited)
|
|
|
||||
Per Share Data*
|
|
|
|
||||
Net asset value at beginning of period
|
$
|
7.28
|
|
|
$
|
8.18
|
|
Net investment income (1)
|
0.50
|
|
|
0.83
|
|
||
Net realized and change in unrealized losses (1)
|
(0.46
|
)
|
|
(1.02
|
)
|
||
Net increase (decrease) in net assets resulting from operations
|
0.05
|
|
|
(0.19
|
)
|
||
Distributions of net investment income (2)
|
(0.50
|
)
|
|
(0.48
|
)
|
||
Distributions of return of capital (2)
|
—
|
|
|
(0.32
|
)
|
||
Accretion due to share repurchases
|
0.04
|
|
|
0.09
|
|
||
Net asset value at end of period
|
$
|
6.86
|
|
|
$
|
7.28
|
|
|
|
|
|
||||
Per share market value at end of period
|
$
|
5.86
|
|
|
$
|
5.55
|
|
Total return (3)
|
14.82
|
%
|
|
(17.53
|
)%
|
||
Shares outstanding at end of period
|
219,694,654
|
|
|
226,156,496
|
|
||
Weighted average shares outstanding
|
223,305,392
|
|
|
232,555,815
|
|
||
|
|
|
|
||||
Ratio/Supplemental Data
|
|
|
|
||||
Net assets at end of period (in millions)
|
$
|
1,506.7
|
|
|
$
|
1,645.6
|
|
Annualized ratio of operating expenses to average net assets (4)(5)
|
4.76
|
%
|
|
5.85
|
%
|
||
Annualized ratio of interest and other debt expenses to average net assets (5)
|
3.88
|
%
|
|
4.47
|
%
|
||
Annualized ratio of total expenses to average net assets (4)(5)
|
8.64
|
%
|
|
10.32
|
%
|
||
Annualized ratio of net investment income to average net assets (5)
|
9.51
|
%
|
|
10.70
|
%
|
||
Average debt outstanding (in millions) (6)
|
$
|
1,083.3
|
|
|
$
|
1,456.4
|
|
Average debt per share (6)
|
$
|
4.85
|
|
|
$
|
6.26
|
|
Annualized portfolio turnover rate (5)
|
9.06
|
%
|
|
34.35
|
%
|
||
Asset coverage per unit (7)
|
$
|
2,431
|
|
|
$
|
2,253
|
|
*
|
Totals may not foot due to rounding.
|
(1)
|
Financial highlights are based on the weighted average number of shares outstanding for the period presented.
|
(2)
|
The tax character of distributions are determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. Although the tax character of distributions paid to shareholders through
December 31, 2016
may include return of capital, the exact amount cannot be determined at this point. Per share amounts are based on actual rate per share.
|
(3)
|
Total return is based on the change in market price per share during the respective periods. Total return also takes into account distributions, if any, reinvested in accordance with the Company’s dividend reinvestment plan.
|
(4)
|
The ratio of operating expenses to average net assets and the ratio of total expenses to average net assets are shown inclusive of all voluntary management and incentive fee waivers (Note 3). For the
nine months ended December 31, 2016
, the annualized ratio of operating expenses to average net assets and the annualized ratio of total expenses to average net assets would be
6.16%
and
10.04%
, respectively, without the voluntary fee waivers. For the fiscal year ended
March 31, 2016
, the ratio of operating expenses to average net assets and the ratio of total expenses to average net assets would be
6.94%
and
11.41%
, respectively, without the voluntary fee waivers.
|
(5)
|
Annualized for the
nine months ended December 31, 2016
.
|
(6)
|
Numbers as of
March 31, 2016
were updated due to the retrospective application of the new accounting pronouncements (ASU 2015-03 and ASU 2015-15) adopted as of April 1, 2016.
|
(7)
|
The asset coverage ratio for a class of senior securities representing indebtedness is calculated as our total assets, less all liabilities and indebtedness not represented by senior securities, divided by senior securities representing indebtedness. This asset coverage ratio is multiplied by one thousand to determine the Asset Coverage Per Unit. The asset coverage ratio for the fiscal year ended
March 31, 2016
is unaudited.
|
•
|
our future operating results;
|
•
|
our business prospects and the prospects of our portfolio companies;
|
•
|
the impact of investments that we expect to make;
|
•
|
our contractual arrangements and relationships with third parties;
|
•
|
the dependence of our future success on the general economy and its impact on the industries in which we invest;
|
•
|
the ability of our portfolio companies to achieve their objectives;
|
•
|
our expected financings and investments;
|
•
|
the adequacy of our cash resources and working capital; and
|
•
|
the timing of cash flows, if any, from the operations of our portfolio companies.
|
•
|
investment advisory and management fees;
|
•
|
expenses incurred by AIM payable to third parties, including agents, consultants or other advisors, in monitoring our financial and legal affairs and in monitoring our investments and performing due diligence on our prospective portfolio companies;
|
•
|
calculation of our net asset value (including the cost and expenses of any independent valuation firm);
|
•
|
direct costs and expenses of administration, including independent registered public accounting and legal costs;
|
•
|
costs of preparing and filing reports or other documents with the SEC;
|
•
|
interest payable on debt, if any, incurred to finance our investments;
|
•
|
offerings of our common stock and other securities;
|
•
|
registration and listing fees;
|
•
|
fees payable to third parties, including agents, consultants or other advisors, relating to, or associated with, evaluating and making investments;
|
•
|
transfer agent and custodial fees;
|
•
|
taxes;
|
•
|
independent directors’ fees and expenses;
|
•
|
marketing and distribution-related expenses;
|
•
|
the costs of any reports, proxy statements or other notices to shareholders, including printing and postage costs;
|
•
|
our allocable portion of the fidelity bond, directors and officers/errors and omissions liability insurance, and any other insurance premiums;
|
•
|
organizational costs; and
|
•
|
all other expenses incurred by us or the Administrator in connection with administering our business, such as our allocable portion of overhead under the administration agreement, including rent and our allocable portion of the cost of our Chief Financial Officer, Chief Compliance Officer, Chief Legal Officer, and their respective staffs.
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
(in millions)*
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Investments made in portfolio companies
|
$
|
201.3
|
|
|
$
|
204.6
|
|
|
$
|
451.7
|
|
|
$
|
918.2
|
|
Investments sold
|
(17.1
|
)
|
|
(139.7
|
)
|
|
(181.1
|
)
|
|
(554.5
|
)
|
||||
Net activity before repaid investments
|
184.2
|
|
|
64.9
|
|
|
270.6
|
|
|
363.6
|
|
||||
Investments repaid
|
(178.2
|
)
|
|
(121.9
|
)
|
|
(568.7
|
)
|
|
(519.5
|
)
|
||||
Net investment activity
|
$
|
6.0
|
|
|
$
|
(57.0
|
)
|
|
$
|
(298.1
|
)
|
|
$
|
(155.9
|
)
|
|
|
|
|
|
|
|
|
||||||||
Portfolio companies at beginning of period
|
82
|
|
|
98
|
|
|
89
|
|
|
105
|
|
||||
Number of new portfolio companies
|
13
|
|
|
4
|
|
|
24
|
|
|
18
|
|
||||
Number of exited portfolio companies
|
(10
|
)
|
|
(7
|
)
|
|
(28
|
)
|
|
(28
|
)
|
||||
Portfolio companies at end of period
|
85
|
|
|
95
|
|
|
85
|
|
|
95
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Number of investments made in existing portfolio companies
|
8
|
|
|
19
|
|
|
21
|
|
|
48
|
|
*
|
Totals may not foot due to rounding.
|
|
December 31, 2016
|
|
March 31, 2016
|
||||
Portfolio composition, at fair value:
|
|
|
|
||||
Secured debt
|
69
|
%
|
|
65
|
%
|
||
Unsecured debt
|
10
|
%
|
|
9
|
%
|
||
Structured products and other
|
9
|
%
|
|
11
|
%
|
||
Preferred equity
|
1
|
%
|
|
3
|
%
|
||
Common equity/interests and warrants
|
11
|
%
|
|
12
|
%
|
||
Weighted average yields, at amortized cost, exclusive of securities on non-accrual status (1):
|
|
|
|
||||
Secured debt portfolio
|
10.9
|
%
|
|
11.0
|
%
|
||
Unsecured debt portfolio
|
10.7
|
%
|
|
10.7
|
%
|
||
Total debt portfolio
|
10.9
|
%
|
|
11.0
|
%
|
||
Income-bearing investment portfolio composition, at fair value:
|
|
|
|
||||
Fixed rate amount
|
$
|
0.9
|
billion
|
|
$
|
1.1
|
billion
|
Floating rate amount
|
$
|
1.2
|
billion
|
|
$
|
1.2
|
billion
|
Fixed rate, as percentage of total
|
43
|
%
|
|
47
|
%
|
||
Floating rate, as percentage of total
|
57
|
%
|
|
53
|
%
|
||
Income-bearing investment portfolio composition, at amortized cost:
|
|
|
|
||||
Fixed rate amount
|
$
|
1.1
|
billion
|
|
$
|
1.1
|
billion
|
Floating rate amount
|
$
|
1.3
|
billion
|
|
$
|
1.3
|
billion
|
Fixed rate, as percentage of total
|
46
|
%
|
|
47
|
%
|
||
Floating rate, as percentage of total
|
54
|
%
|
|
53
|
%
|
(1)
|
An investor’s yield may be lower than the portfolio yield due to sales loads and other expenses.
|
1.
|
Our quarterly valuation process begins with each investment being initially valued by the investment professionals of our Investment Adviser who are responsible for the portfolio company.
|
2.
|
Preliminary valuation conclusions are then documented and discussed with senior management of our Investment Adviser.
|
3.
|
Independent valuation firms are engaged by our Board of Directors to conduct independent appraisals by reviewing our Investment Adviser’s preliminary valuations and then making their own independent assessment.
|
4.
|
The Audit Committee of the Board of Directors reviews the preliminary valuation of our Investment Adviser and the valuation prepared by the independent valuation firms and responds, if warranted, to the valuation recommendation of the independent valuation firms.
|
5.
|
The Board of Directors discusses valuations and determines in good faith the fair value of each investment in our portfolio based on the input of our Investment Adviser, the applicable independent valuation firm, and the Audit Committee of the Board of Directors.
|
|
Three Months Ended December 31,
|
|
Nine Months Ended December 31,
|
||||||||||||
(in millions)*
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Investment income
|
|
|
|
|
|
|
|
||||||||
Interest income
|
$
|
55.8
|
|
|
$
|
75.3
|
|
|
$
|
181.8
|
|
|
$
|
240.8
|
|
Dividend income
|
11.4
|
|
|
18.3
|
|
|
28.7
|
|
|
46.4
|
|
||||
Other income
|
0.9
|
|
|
0.7
|
|
|
3.1
|
|
|
7.2
|
|
||||
Total investment income
|
$
|
68.1
|
|
|
$
|
94.3
|
|
|
$
|
213.6
|
|
|
$
|
294.4
|
|
Expenses
|
|
|
|
|
|
|
|
||||||||
Management and performance-based incentive fees, net of amounts waived
|
$
|
13.4
|
|
|
$
|
22.6
|
|
|
$
|
40.5
|
|
|
$
|
70.1
|
|
Interest and other debt expenses, net of reimbursements
|
14.5
|
|
|
19.3
|
|
|
45.6
|
|
|
63.5
|
|
||||
Administrative services expense, net of reimbursements
|
1.5
|
|
|
1.5
|
|
|
5.6
|
|
|
4.5
|
|
||||
Other general and administrative expenses
|
2.3
|
|
|
2.8
|
|
|
9.9
|
|
|
7.7
|
|
||||
Net expenses
|
$
|
31.7
|
|
|
$
|
46.2
|
|
|
$
|
101.6
|
|
|
$
|
145.8
|
|
Net investment income
|
$
|
36.4
|
|
|
$
|
48.1
|
|
|
$
|
112.0
|
|
|
$
|
148.6
|
|
Net realized and change in unrealized gains (losses)
|
|
|
|
|
|
|
|
||||||||
Net realized gains (losses)
|
$
|
39.2
|
|
|
$
|
(9.3
|
)
|
|
$
|
44.7
|
|
|
$
|
(120.4
|
)
|
Net change in unrealized losses
|
(64.2
|
)
|
|
(64.6
|
)
|
|
(146.3
|
)
|
|
(49.4
|
)
|
||||
Net realized and change in unrealized losses
|
(25.0
|
)
|
|
(73.9
|
)
|
|
(101.6
|
)
|
|
(169.8
|
)
|
||||
Net increase (decrease) in net assets resulting from operations
|
$
|
11.3
|
|
|
$
|
(25.8
|
)
|
|
$
|
10.3
|
|
|
$
|
(21.1
|
)
|
|
|
|
|
|
|
|
|
||||||||
Net investment income on per average share basis
|
$
|
0.17
|
|
|
$
|
0.21
|
|
|
$
|
0.50
|
|
|
$
|
0.63
|
|
Earnings gain (loss) per share — basic
|
$
|
0.05
|
|
|
$
|
(0.11
|
)
|
|
$
|
0.05
|
|
|
$
|
(0.09
|
)
|
Earnings gain (loss) per share — diluted (1)
|
N/A
|
|
|
$
|
(0.11
|
)
|
|
N/A
|
|
|
$
|
(0.09
|
)
|
*
|
Totals may not foot due to rounding.
|
(1)
|
Diluted earnings (loss) per share is calculated using the if-converted method. In applying the if-converted method, conversion is not assumed for purposes of computing diluted EPS if the effect would be anti-dilutive. For the
three and nine months ended December 31, 2016
, the Company did not have any convertible notes. As such, diluted EPS was not applicable. For the
three and nine months ended December 31, 2015
, anti-dilution would total
$0.02
and
$0.04
, respectively.
|
|
Payments Due by Period
|
||||||||||||||||||
(in millions)
|
Total
|
|
Less than 1 Year
|
|
1 to 3 Years
|
|
3 to 5 Years
|
|
More than 5 Years
|
||||||||||
Senior Secured Facility (1)
|
$
|
386.8
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
386.8
|
|
|
$
|
—
|
|
Senior Secured Notes (Series B)
|
16.0
|
|
|
—
|
|
|
16.0
|
|
|
—
|
|
|
—
|
|
|||||
2042 Notes
|
150.0
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
150.0
|
|
|||||
2043 Notes
|
150.0
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
150.0
|
|
|||||
2025 Notes
|
350.0
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
350.0
|
|
|||||
Total Debt Obligations
|
$
|
1,052.8
|
|
|
$
|
—
|
|
|
$
|
16.0
|
|
|
$
|
386.8
|
|
|
$
|
650.0
|
|
(1)
|
As of
December 31, 2016
, aggregate lender commitments under the Senior Secured Facility totaled
$1.14 billion
and
$734.7 million
of unused capacity. As of
December 31, 2016
, there were
$18.5 million
of letters of credit issued under the Senior Secured Facility that were not recorded as liabilities on the Company’s Statement of Assets and Liabilities.
|
Basis Point Change
|
Net Investment Income
|
Net Investment Income Per Share
|
||||
Up 400 basis points
|
$
|
27.2
|
million
|
$
|
0.124
|
|
Up 300 basis points
|
$
|
20.3
|
million
|
$
|
0.092
|
|
Up 200 basis points
|
$
|
13.4
|
million
|
$
|
0.061
|
|
Up 100 basis points
|
$
|
6.5
|
million
|
$
|
0.030
|
|
Date of Adoption
|
|
Maximum Cost of Shares That May Be Repurchased
|
|
Cost of Shares Repurchased
|
|
Remaining Cost of Shares That May Be Repurchased
|
||||||
August 6, 2015
|
|
$
|
50.0
|
million
|
|
$
|
50.0
|
million
|
|
$
|
—
|
|
December 14, 2015
|
|
50.0
|
million
|
|
50.0
|
million
|
|
—
|
|
|||
September 14, 2016
|
|
50.0
|
million
|
|
0.4
|
million
|
|
49.6
|
million
|
|||
Total as of December 31, 2016
|
|
$
|
150.0
|
million
|
|
$
|
100.4
|
million
|
|
$
|
49.6
|
million
|
Effective Date
|
|
Termination Date
|
|
Amount Allocated to 10b5-1 Repurchase Plans
|
||
September 15, 2015
|
|
November 5, 2015
|
|
$
|
5.0
|
million
|
January 1, 2016
|
|
February 5, 2016
|
|
10.0
|
million
|
|
April 1, 2016
|
|
May 19, 2016
|
|
5.0
|
million
|
|
July 1, 2016
|
|
August 5, 2016
|
|
15.0
|
million
|
|
September 30, 2016
|
|
November 8, 2016
|
|
20.0
|
million
|
|
January 4, 2017
|
|
February 6, 2017
|
|
10.0
|
million
|
Period
|
Total Number of Shares Purchased
|
Average Price Paid Per Share
|
Total Number of Shares Purchased as Part of Publicly Announced Plans
|
Maximum Dollar Value of Shares That May Yet Be Purchased Under Publicly Announced Plans
|
||||||
August 1, 2015 through August 31, 2015
|
1,530,000
|
|
$
|
6.57
|
|
1,530,000
|
|
$
|
40.0
|
million
|
September 1, 2015 through September 30, 2015
|
1,810,400
|
|
6.15
|
|
1,810,400
|
|
28.8
|
million
|
||
November 1, 2015 through November 30, 2015
|
3,350,000
|
|
6.03
|
|
3,350,000
|
|
8.6
|
million
|
||
December 1, 2015 through December 31, 2015
|
1,882,329
|
|
5.86
|
|
1,882,329
|
|
47.6
|
million
|
||
January 1, 2016 through January 31, 2016
|
2,012,126
|
|
4.97
|
|
2,012,126
|
|
37.6
|
million
|
||
June 1, 2016 through June 30, 2016
|
1,088,800
|
|
5.58
|
|
1,088,800
|
|
31.5
|
million
|
||
July 1, 2016 through July 31, 2016
|
49,475
|
|
5.51
|
|
49,475
|
|
31.2
|
million
|
||
August 1, 2016 through August 31, 2016
|
1,788,882
|
|
5.89
|
|
1,788,882
|
|
20.7
|
million
|
||
September 1, 2016 through September 30, 2016
|
1,234,569
|
|
6.04
|
|
1,234,569
|
|
63.2
|
million
|
||
October 1, 2016 through October 31, 2016
|
1,582,250
|
|
5.94
|
|
1,582,250
|
|
53.8
|
million
|
||
November 1, 2016 through November 30, 2016
|
717,866
|
|
5.82
|
|
717,866
|
|
49.6
|
million
|
||
Total
|
17,046,697
|
|
$
|
5.89
|
|
17,046,697
|
|
|
3.1
|
Articles of Amendment and Restatement, as amended (1)
|
3.2
|
Fourth Amended and Restated Bylaws (2)
|
10.1
|
Amended and Restated Senior Secured Revolving Credit Agreement, dated as of December 22, 2016, between Apollo Investment Corporation, the lenders party thereto, and JPMorgan Chase Bank, N.A., as Administrative Agent, and Suntrust Bank and Bank of America, N.A., as Syndication Agents* (3)
|
31.1
|
Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934*
|
31.2
|
Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934*
|
32.1
|
Certification of Chief Executive Officer and Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)*
|
*
|
Filed herewith.
|
(1)
|
Incorporated by reference from the Registrant’s post-effective Amendment No. 1 to the Registration Statement under the Securities Act of 1933, as amended, on Form N-2, filed on August 14, 2006.
|
(2)
|
Incorporated by reference from the Registrant’s Form 10-K, filed on May 19, 2015.
|
(3)
|
Incorporated by reference from the Registrant’s Form 8-K, filed on December 27, 2016.
|
|
APOLLO INVESTMENT CORPORATION
|
|
|
|
|
|
By:
|
/s/ JAMES C. ZELTER
|
|
James C. Zelter
|
|
|
Chief Executive Officer
|
|
|
|
|
|
By:
|
/s/ GREGORY W. HUNT
|
|
Gregory W. Hunt
|
|
|
Chief Financial Officer and Treasurer
|
1 Year Apollo Investment Chart |
1 Month Apollo Investment Chart |
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