ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended September 30, 2016 OR | |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland | 43-2048643 |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
10 East 40th Street, 42nd Floor | |
New York, New York | 10016 |
(Address of principal executive offices) | (Zip Code) |
Registrant's telephone number, including area code: (212) 448-0702 |
Large accelerated filer ý | Accelerated filer o | Non-accelerated filer o | Smaller reporting company o |
(Do not check if a smaller reporting company) |
Class of Common Stock | Outstanding at November 8, 2016 | |
$0.001 par value | 358,369,103 |
Page | ||
PART I | FINANCIAL INFORMATION | |
PART II | OTHER INFORMATION | |
September 30, 2016 | June 30, 2016 | ||||||
(Unaudited) | (Audited) | ||||||
Assets | |||||||
Investments at fair value: | |||||||
Control investments (amortized cost of $1,870,228 and $1,768,220, respectively) | $ | 1,867,823 | $ | 1,752,449 | |||
Affiliate investments (amortized cost of $8,530 and $10,758, respectively) | 6,966 | 11,320 | |||||
Non-control/non-affiliate investments (amortized cost of $4,422,436 and $4,312,122, respectively) | 4,234,807 | 4,133,939 | |||||
Total investments at fair value (amortized cost of $6,301,194 and $6,091,100, respectively) | 6,109,596 | 5,897,708 | |||||
Cash | 132,240 | 317,798 | |||||
Receivables for: | |||||||
Interest, net | 9,920 | 12,127 | |||||
Other | 197 | 168 | |||||
Prepaid expenses | 703 | 855 | |||||
Deferred financing costs on Revolving Credit Facility (Note 4) | 6,834 | 7,525 | |||||
Total Assets | 6,259,490 | 6,236,181 | |||||
Liabilities | |||||||
Revolving Credit Facility (Notes 4 and 8) | 44,000 | — | |||||
Prospect Capital InterNotes® (Notes 7 and 8) | 930,814 | 893,210 | |||||
Convertible Notes (Notes 5 and 8) | 908,240 | 1,074,361 | |||||
Public Notes (Notes 6 and 8) | 736,821 | 699,368 | |||||
Interest payable | 33,086 | 40,804 | |||||
Due to broker | 80,397 | 957 | |||||
Due to Prospect Capital Management (Note 13) | 51,091 | 54,149 | |||||
Due to Prospect Administration (Note 13) | 1,719 | 1,765 | |||||
Accrued expenses | 2,764 | 2,259 | |||||
Other liabilities | 5,113 | 3,633 | |||||
Dividends payable | 29,836 | 29,758 | |||||
Total Liabilities | 2,823,881 | 2,800,264 | |||||
Commitments and Contingencies (Note 3) | — | — | |||||
Net Assets | $ | 3,435,609 | $ | 3,435,917 | |||
Components of Net Assets | |||||||
Common stock, par value $0.001 per share (1,000,000,000 common shares authorized; 358,042,158 and 357,107,231 issued and outstanding, respectively) (Note 9) | $ | 358 | $ | 357 | |||
Paid-in capital in excess of par (Note 9) | 3,973,957 | 3,967,397 | |||||
Accumulated overdistributed net investment income | (11,643 | ) | (3,623 | ) | |||
Accumulated net realized loss | (335,465 | ) | (334,822 | ) | |||
Net unrealized loss | (191,598 | ) | (193,392 | ) | |||
Net Assets | $ | 3,435,609 | $ | 3,435,917 | |||
Net Asset Value Per Share (Note 16) | $ | 9.60 | $ | 9.62 |
Three Months Ended September 30, | |||||||
2016 | 2015 | ||||||
Investment Income | |||||||
Interest income: | |||||||
Control investments | $ | 45,909 | $ | 51,944 | |||
Affiliate investments | — | 885 | |||||
Non-control/non-affiliate investments | 86,660 | 93,708 | |||||
Structured credit securities | 39,081 | 44,766 | |||||
Total interest income | 171,650 | 191,303 | |||||
Dividend income: | |||||||
Control investments | 2,240 | 3,213 | |||||
Non-control/non-affiliate investments | 144 | 2 | |||||
Total dividend income | 2,384 | 3,215 | |||||
Other income: | |||||||
Control investments | 2,940 | 2,409 | |||||
Non-control/non-affiliate investments | 2,858 | 3,324 | |||||
Total other income (Note 10) | 5,798 | 5,733 | |||||
Total Investment Income | 179,832 | 200,251 | |||||
Operating Expenses | |||||||
Investment advisory fees: | |||||||
Base management fee (Note 13) | 30,792 | 32,954 | |||||
Income incentive fee (Note 13) | 19,730 | 22,810 | |||||
Interest and credit facility expenses | 41,669 | 41,957 | |||||
Allocation of overhead from Prospect Administration (Note 13) | 3,533 | 4,178 | |||||
Audit, compliance and tax related fees | 1,395 | 1,877 | |||||
Directors’ fees | 113 | 94 | |||||
Other general and administrative expenses | 3,681 | 5,139 | |||||
Total Operating Expenses | 100,913 | 109,009 | |||||
Net Investment Income | 78,919 | 91,242 | |||||
Net Realized and Change in Unrealized Gains (Losses) | |||||||
Net realized gains (losses) | |||||||
Control investments | — | — | |||||
Affiliate investments | 137 | — | |||||
Non-control/non-affiliate investments | 572 | (2,134 | ) | ||||
Foreign currency transactions | 5 | (1 | ) | ||||
Net realized gains (losses) | 714 | (2,135 | ) | ||||
Net change in unrealized gains (losses) | |||||||
Control investments | 13,345 | (39,852 | ) | ||||
Affiliate investments | (2,126 | ) | 105 | ||||
Non-control/non-affiliate investments | (9,446 | ) | (21,197 | ) | |||
Foreign currency translations | 21 | (331 | ) | ||||
Net change in unrealized gains (losses) | 1,794 | (61,275 | ) | ||||
Net Realized and Change in Unrealized Gains (Losses) | 2,508 | (63,410 | ) | ||||
Net realized losses on extinguishment of debt | (61 | ) | (15 | ) | |||
Net Increase in Net Assets Resulting from Operations | $ | 81,366 | $ | 27,817 | |||
Net increase in net assets resulting from operations per share | $ | 0.23 | $ | 0.08 | |||
Dividends declared per share | $ | (0.25 | ) | $ | (0.25 | ) |
Three Months Ended September 30, | |||||||
2016 | 2015 | ||||||
Operations | |||||||
Net investment income | $ | 78,919 | $ | 91,242 | |||
Net realized gains (losses) | 653 | (2,150 | ) | ||||
Net change in unrealized gains (losses) | 1,794 | (61,275 | ) | ||||
Net Increase in Net Assets Resulting from Operations | 81,366 | 27,817 | |||||
Distributions to Shareholders | |||||||
Distribution from net investment income | (89,428 | ) | (89,115 | ) | |||
Net Decrease in Net Assets Resulting from Distributions to Shareholders | (89,428 | ) | (89,115 | ) | |||
Common Stock Transactions | |||||||
Offering costs from issuance of common stock | — | 118 | |||||
Repurchase of common stock under stock repurchase program | — | (31,530 | ) | ||||
Value of shares issued through reinvestment of dividends | 7,754 | 3,682 | |||||
Net Increase (Decrease) in Net Assets Resulting from Common Stock Transactions | 7,754 | (27,730 | ) | ||||
Total Decrease in Net Assets | (308 | ) | (89,028 | ) | |||
Net assets at beginning of period | 3,435,917 | 3,703,049 | |||||
Net Assets at End of Period | $ | 3,435,609 | $ | 3,614,021 | |||
Common Stock Activity | |||||||
Shares repurchased under stock repurchase program | — | (4,358,750 | ) | ||||
Shares issued through reinvestment of dividends | 934,927 | 490,473 | |||||
Net shares issued (repurchased) due to common stock activity | 934,927 | (3,868,277 | ) | ||||
Shares issued and outstanding at beginning of period | 357,107,231 | 359,090,759 | |||||
Shares Issued and Outstanding at End of Period | 358,042,158 | 355,222,482 |
Three Months Ended September 30, | |||||||
2016 | 2015 | ||||||
Operating Activities | |||||||
Net increase in net assets resulting from operations | $ | 81,366 | $ | 27,817 | |||
Net realized losses on extinguishment of debt | 61 | 15 | |||||
Net realized (gains) losses on investments and foreign currency transactions | (714 | ) | 2,135 | ||||
Net change in unrealized (gains) losses on investments and foreign currency transactions | (1,794 | ) | 61,275 | ||||
Amortization of discounts and premiums, net | 23,439 | 24,072 | |||||
Accretion of discount on Public Notes (Note 6) | 64 | 49 | |||||
Amortization of deferred financing costs | 3,631 | 3,556 | |||||
Payment-in-kind interest | (5,439 | ) | (1,279 | ) | |||
Structuring fees | (3,028 | ) | (3,556 | ) | |||
Change in operating assets and liabilities: | |||||||
Payments for purchases of investments | (338,683 | ) | (340,908 | ) | |||
Proceeds from sale of investments and collection of investment principal | 114,331 | 436,919 | |||||
Decrease in interest receivable, net | 2,207 | 6,029 | |||||
(Increase) decrease in other receivables | (29 | ) | 1,978 | ||||
Decrease in prepaid expenses | 152 | 32 | |||||
Increase in due to broker | 79,440 | 28,475 | |||||
Decrease in interest payable | (7,718 | ) | (4,020 | ) | |||
(Decrease) increase in due to Prospect Administration | (46 | ) | 1,177 | ||||
Decrease in due to Prospect Capital Management | (3,058 | ) | (2,388 | ) | |||
Increase (decrease) in accrued expenses | 505 | (45 | ) | ||||
Increase in other liabilities | 1,480 | 3,021 | |||||
Net Cash (Used in) Provided by Operating Activities | (53,833 | ) | 244,354 | ||||
Financing Activities | |||||||
Borrowings under Revolving Credit Facility (Note 4) | 44,000 | 200,000 | |||||
Principal payments under Revolving Credit Facility (Note 4) | — | (412,000 | ) | ||||
Issuances of Public Notes, net of original issue discount (Note 6) | 37,466 | — | |||||
Redemptions of Convertible Notes (Note 5) | (167,500 | ) | — | ||||
Issuances of Prospect Capital InterNotes® (Note 7) | 38,917 | 48,134 | |||||
Redemptions of Prospect Capital InterNotes®, net (Note 7) | (1,979 | ) | (628 | ) | |||
Financing costs paid and deferred | (1,033 | ) | (891 | ) | |||
Cost of shares repurchased under stock repurchase program | — | (31,530 | ) | ||||
Offering costs from issuance of common stock | — | 118 | |||||
Dividends paid | (81,596 | ) | (85,755 | ) | |||
Net Cash Used in Financing Activities | (131,725 | ) | (282,552 | ) | |||
Net Decrease in Cash | (185,558 | ) | (38,198 | ) | |||
Cash at beginning of period | 317,798 | 110,026 | |||||
Cash at End of period | $ | 132,240 | $ | 71,828 | |||
Supplemental Disclosures | |||||||
Cash paid for interest | $ | 44,542 | $ | 43,004 | |||
Non-Cash Financing Activities | |||||||
Value of shares issued through reinvestment of dividends | $ | 7,754 | $ | 3,682 |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Control Investments (greater than 25.00% voting control)(40) | ||||||||||||
Arctic Energy Services, LLC(15) | Wyoming / Oil & Gas Services | Class D Units (32,915 units) | $ | 31,640 | $ | 20,167 | 0.6% | |||||
Class E Units (21,080 units) | 20,230 | — | —% | |||||||||
Class A Units (700 units) | 9,006 | — | —% | |||||||||
Class C Units (10 units) | — | — | —% | |||||||||
60,876 | 20,167 | 0.6% | ||||||||||
CCPI Inc.(16) | Ohio / Manufacturing | Senior Secured Term Loan A (10.00%, due 12/31/2017)(3) | 12,200 | 12,200 | 12,200 | 0.4% | ||||||
Senior Secured Term Loan B (12.00% plus 7.00% PIK, due 12/31/2017)(39) | 9,320 | 9,320 | 9,320 | 0.3% | ||||||||
Common Stock (14,857 shares) | 6,759 | 20,722 | 0.5% | |||||||||
28,279 | 42,242 | 1.2% | ||||||||||
CP Energy Services Inc.(17) | Oklahoma / Oil & Gas Services | Series B Convertible Preferred Stock (1,043 shares) | 98,273 | 76,002 | 2.2% | |||||||
Common Stock (2,924 shares) | 15,227 | — | —% | |||||||||
113,500 | 76,002 | 2.2% | ||||||||||
Credit Central Loan Company, LLC(18) | South Carolina / Consumer Finance | Subordinated Term Loan (10.00% plus 10.00% PIK, due 6/26/2019)(13)(39) | 50,510 | 42,989 | 50,510 | 1.5% | ||||||
Class A Shares (10,640,642 shares)(13) | 13,731 | 9,341 | 0.3% | |||||||||
Net Revenues Interest (25% of Net Revenues)(13) | — | 4,069 | 0.1% | |||||||||
56,720 | 63,920 | 1.9% | ||||||||||
Echelon Aviation LLC | New York / Aerospace & Defense | Senior Secured Term Loan (11.75% (LIBOR + 9.75% with 2.00% LIBOR floor) plus 2.25% PIK, due 3/31/2022)(10)(12)(39) | 31,055 | 31,055 | 31,055 | 0.9% | ||||||
Membership Interest (99%) | 19,907 | 23,988 | 0.7% | |||||||||
50,962 | 55,043 | 1.6% | ||||||||||
Edmentum Ultimate Holdings, LLC(19) | Minnesota / Consumer Services | Second Lien Revolving Credit Facility to Edmentum, Inc. – $7,834 Commitment (5.00%, due 6/9/2020)(14) | — | — | — | —% | ||||||
Unsecured Senior PIK Note (8.50% PIK, due 6/9/2020)(39) | 6,478 | 6,478 | 6,478 | 0.2% | ||||||||
Unsecured Junior PIK Note (10.00% PIK, due 6/9/2020)(39) | 29,571 | 23,073 | 24,766 | 0.7% | ||||||||
Class A Common Units (370,964 units) | 6,577 | 4,241 | 0.1% | |||||||||
36,128 | 35,485 | 1.0% | ||||||||||
First Tower Finance Company LLC(20) | Mississippi / Consumer Finance | Subordinated Term Loan to First Tower, LLC (10.00% plus 12.00% PIK, due 6/24/2019)(13)(39) | 256,578 | 256,578 | 256,578 | 7.5% | ||||||
Class A Shares (86,711,625 shares)(13) | 70,476 | 95,275 | 2.7% | |||||||||
327,054 | 351,853 | 10.2% | ||||||||||
Freedom Marine Solutions, LLC(21) | Louisiana / Oil & Gas Services | Membership Interest (100%) | 41,411 | 26,671 | 0.8% | |||||||
41,411 | 26,671 | 0.8% | ||||||||||
Gulf Coast Machine & Supply Company | Texas / Manufacturing | Senior Secured Term Loan (10.50% (LIBOR + 8.50% with 2.00% LIBOR floor), in non-accrual status effective 1/1/2015, due 10/12/2017)(10)(11) | 38,906 | 33,403 | 7,394 | 0.2% | ||||||
Series A Convertible Preferred Stock (99,900 shares) | 25,950 | — | —% | |||||||||
59,353 | 7,394 | 0.2% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Control Investments (greater than 25.00% voting control)(40) | ||||||||||||
MITY, Inc.(22) | Utah / Durable Consumer Products | Senior Secured Note A (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor), due 3/19/2019)(3)(10)(11) | $ | 18,250 | $ | 18,250 | $ | 18,250 | 0.5% | |||
Senior Secured Note B (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor) plus 10.00% PIK, due 3/19/2019)(3)(10)(11)(39) | 16,442 | 16,442 | 16,442 | 0.5% | ||||||||
Subordinated Unsecured Note to Broda Enterprises ULC (10.00%, due on demand)(13) | 5,646 | 7,200 | 5,646 | 0.2% | ||||||||
Common Stock (42,053 shares) | 6,849 | 13,177 | 0.4% | |||||||||
48,741 | 53,515 | 1.6% | ||||||||||
National Property REIT Corp.(23) | Various / Real Estate | Senior Secured Term Loan A (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(10)(11)(39) | 283,972 | 283,972 | 283,972 | 8.3% | ||||||
Senior Secured Term Loan E (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(39) | 212,819 | 212,819 | 212,819 | 6.2% | ||||||||
Senior Secured Term Loan C to ACL Loan Holdings, Inc. (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(13)(39) | 135,818 | 135,818 | 135,818 | 4.0% | ||||||||
Senior Secured Term Loan C to American Consumer Lending Limited (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(13)(39) | 11,508 | 11,508 | 11,508 | 0.3% | ||||||||
Common Stock (1,656,276 shares) | — | 188,444 | 267,511 | 7.7% | ||||||||
Net Operating Income Interest (5% of Net Operating Income) | — | — | 68,362 | 2.0% | ||||||||
832,561 | 979,990 | 28.5% | ||||||||||
Nationwide Loan Company LLC(24) | Illinois / Consumer Finance | Senior Subordinated Term Loan to Nationwide Acceptance LLC (10.00% plus 10.00% PIK, due 6/18/2019)(13)(39) | 16,819 | 16,819 | 16,819 | 0.5% | ||||||
Class A Shares (29,559,899 shares)(13) | 16,292 | 20,690 | 0.6% | |||||||||
33,111 | 37,509 | 1.1% | ||||||||||
NMMB, Inc.(25) | New York / Media | Senior Secured Note (14.00%, due 5/6/2021) | 3,714 | 3,714 | 3,404 | 0.1% | ||||||
Senior Secured Note to Armed Forces Communications, Inc. (14.00%, due 5/6/2021) | 7,000 | 7,000 | 6,416 | 0.2% | ||||||||
Series A Preferred Stock (7,200 shares) | 7,200 | 28 | —% | |||||||||
Series B Preferred Stock (5,669 shares) | 5,669 | 35 | —% | |||||||||
23,583 | 9,883 | 0.3% | ||||||||||
R-V Industries, Inc. | Pennsylvania / Manufacturing | Senior Subordinated Note (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 6/12/2018)(3)(10)(11) | 28,622 | 28,622 | 28,622 | 0.8% | ||||||
Common Stock (545,107 shares) | 5,087 | 4,824 | 0.1% | |||||||||
Warrant (to purchase 200,000 shares of Common Stock, expires 6/30/2017) | 1,681 | 1,769 | 0.1% | |||||||||
35,390 | 35,215 | 1.0% | ||||||||||
USES Corp.(26) | Texas / Commercial Services | Senior Secured Term Loan A (9.00% PIK, in non-accrual status effective 4/1/2016, due 3/31/2019) | 26,683 | 26,158 | 26,683 | 0.8% | ||||||
Senior Secured Term Loan B (15.50% PIK, in non-accrual status effective 4/1/2016, due 3/31/2019) | 36,905 | 35,568 | 15,704 | 0.4% | ||||||||
Common Stock (268,962 shares) | — | — | —% | |||||||||
61,726 | 42,387 | 1.2% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Control Investments (greater than 25.00% voting control)(40) | ||||||||||||
Valley Electric Company, Inc.(27) | Washington / Construction & Engineering | Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. (8.00% (LIBOR + 5.00% with 3.00% LIBOR floor) plus 2.50% PIK, due 12/31/2019)(3)(10)(11)(39) | $ | 10,430 | $ | 10,430 | $ | 10,430 | 0.3% | |||
Senior Secured Note (10.00% plus 8.50% PIK, due 6/23/2019)(39) | 24,199 | 24,199 | 20,101 | 0.6% | ||||||||
Common Stock (50,000 shares) | 26,204 | — | —% | |||||||||
60,833 | 30,531 | 0.9% | ||||||||||
Wolf Energy, LLC | Kansas / Oil & Gas Production | Senior Secured Promissory Note secured by assets formerly owned by H&M (18.00%, in non-accrual status effective 4/15/2013, due 4/15/2018) | 38,257 | — | — | —% | ||||||
Membership Interest (100%) | — | — | —% | |||||||||
Net Profits Interest (8% of Equity Distributions)(4) | — | 16 | —% | |||||||||
— | 16 | —% | ||||||||||
$ | 1,870,228 | $ | 1,867,823 | 54.3% |
Affiliate Investments (5.00% to 24.99% voting control)(41) | ||||||||||||
Targus International, LLC(28) | California / Durable Consumer Products | Senior Secured Term Loan A (15.00% PIK, in non-accrual status effective 10/1/15, due 12/31/2019)(8) | $ | 1,371 | $ | 1,263 | $ | 1,371 | —% | |||
Senior Secured Term Loan B (15.00% PIK , in non-accrual status effective 10/1/15, due 12/31/2019)(8) | 4,113 | 3,788 | 4,113 | 0.2% | ||||||||
Common Stock (1,262,737 shares) | 3,479 | 1,482 | —% | |||||||||
8,530 | 6,966 | 0.2% | ||||||||||
$ | 8,530 | $ | 6,966 | 0.2% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
AFI Shareholder, LLC (f/k/a Aircraft Fasteners International, LLC) | California / Machinery | Class A Units (32,500 units) | $ | 309 | $ | 617 | —% | |||||
309 | 617 | —% | ||||||||||
ALG USA Holdings, LLC | Pennsylvania / Hotels, Restaurants & Leisure | Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 2/28/2020)(8)(10)(11) | 11,771 | 11,640 | 11,771 | 0.3% | ||||||
11,640 | 11,771 | 0.3% | ||||||||||
American Gilsonite Company(29) | Utah / Metal Services & Minerals | Membership Interest (1.93%) | — | — | —% | |||||||
— | — | —% | ||||||||||
Apidos CLO IX | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.72%, due 7/15/2023)(5)(13) | 23,525 | 19,651 | 18,919 | 0.6% | ||||||
19,651 | 18,919 | 0.6% | ||||||||||
Apidos CLO XI | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 11.36%, due 1/17/2023)(5)(13) | 38,340 | 29,137 | 25,439 | 0.7% | ||||||
29,137 | 25,439 | 0.7% | ||||||||||
Apidos CLO XII | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 13.25%, due 4/15/2025)(5)(13) | 44,063 | 33,470 | 29,888 | 0.9% | ||||||
33,470 | 29,888 | 0.9% | ||||||||||
Apidos CLO XV | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 9.22%, due 10/20/2025)(5)(13) | 36,515 | 30,624 | 24,264 | 0.7% | ||||||
30,624 | 24,264 | 0.7% | ||||||||||
Apidos CLO XXII | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 16.19%, due 10/20/2027)(5)(6)(13) | 31,350 | 26,735 | 24,751 | 0.7% | ||||||
26,735 | 24,751 | 0.7% | ||||||||||
Arctic Glacier U.S.A., Inc. | Minnesota / Food Products | Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 11/10/2019)(3)(10)(11) | 150,000 | 150,000 | 149,324 | 4.3% | ||||||
150,000 | 149,324 | 4.3% | ||||||||||
Ark-La-Tex Wireline Services, LLC | Louisiana / Oil & Gas Services | Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12) | 21,322 | 20,706 | $ | 9,568 | 0.3% | |||||
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12) | 24,755 | 23,239 | — | —% | ||||||||
43,945 | 9,568 | 0.3% | ||||||||||
Armor Holding II LLC | New York / Diversified Financial Services | Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 12/26/2020)(3)(8)(10)(11) | 7,000 | 6,912 | 6,912 | 0.2% | ||||||
6,912 | 6,912 | 0.2% | ||||||||||
Atlantis Health Care Group (Puerto Rico), Inc. | Puerto Rico / Healthcare | Revolving Line of Credit – $7,000 Commitment (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 8/21/2017)(10)(11)(14) | 2,350 | 2,350 | 2,350 | 0.1% | ||||||
Senior Term Loan (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 2/21/2018)(3)(10)(11) | 38,067 | 38,067 | 38,067 | 1.1% | ||||||||
40,417 | 40,417 | 1.2% | ||||||||||
Babson CLO Ltd. 2014-III | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 13.09%, due 1/15/2026)(5)(6)(13) | 52,250 | 42,771 | 40,630 | 1.2% | ||||||
42,771 | 40,630 | 1.2% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
BNN Holdings, Corp. | Michigan / Healthcare | Escrow Receivable | $ | — | $ | 486 | —% | |||||
— | 486 | —% | ||||||||||
Broder Bros., Co. | Pennsylvania / Textiles, Apparel & Luxury Goods | Senior Secured Term Loan A (7.00% (LIBOR + 5.75% with 1.25% LIBOR floor), due 6/03/2021)(3)(10)(12) | 119,999 | 119,999 | $ | 119,999 | 3.5% | |||||
Senior Secured Term Loan B (13.50% (LIBOR + 12.25% with 1.25% LIBOR floor), due 6/03/2021)(10)(12) | 120,983 | 120,983 | 120,983 | 3.5% | ||||||||
240,982 | 240,982 | 7.0% | ||||||||||
Brookside Mill CLO Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 12.67%, due 4/17/2025)(5)(13) | 26,000 | 19,432 | 18,083 | 0.5% | ||||||
19,432 | 18,083 | 0.5% | ||||||||||
California Street CLO IX Ltd. (f/k/a Symphony CLO IX Ltd.) | Cayman Islands / Structured Finance | Preference Shares (Residual Interest, current yield 15.77%, due 4/16/2022)(5)(13) | 57,000 | 37,813 | 34,132 | 1.0% | ||||||
37,813 | 34,132 | 1.0% | ||||||||||
Capstone Logistics Acquisition, Inc. | Georgia / Business Services | Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 10/7/2022)(3)(8)(10)(12) | 101,828 | 101,319 | 101,033 | 2.9% | ||||||
101,319 | 101,033 | 2.9% | ||||||||||
Carlyle Carlyle Global Market Strategies CLO 2016-3, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 15.69%, due 10/20/2029)(5)(6)(13) | 32,200 | 29,854 | 29,717 | 0.9% | ||||||
29,854 | 29,717 | 0.9% | ||||||||||
Cent CLO 17 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 12.17%, due 1/30/2025)(5)(13) | 24,870 | 18,616 | 16,504 | 0.5% | ||||||
18,616 | 16,504 | 0.5% | ||||||||||
Cent CLO 20 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 9.27%, due 1/25/2026)(5)(13) | 40,275 | 32,288 | 25,591 | 0.7% | ||||||
32,288 | 25,591 | 0.7% | ||||||||||
Cent CLO 21 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.66%, due 7/27/2026)(5)(6)(13) | 48,528 | 37,278 | 28,947 | 0.8% | ||||||
37,278 | 28,947 | 0.8% | ||||||||||
CIFC Funding 2013-III, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.62%, due 10/24/2025)(5)(13) | 44,100 | 31,703 | 28,775 | 0.8% | ||||||
31,703 | 28,775 | 0.8% | ||||||||||
CIFC Funding 2013-IV, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 15.24%, due 11/27/2024)(5)(13) | 45,500 | 33,065 | 32,209 | 0.9% | ||||||
33,065 | 32,209 | 0.9% | ||||||||||
CIFC Funding 2014-IV Investor, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 13.72%, due 10/17/2026)(5)(6)(13) | 41,500 | 30,980 | 29,141 | 0.8% | ||||||
30,980 | 29,141 | 0.8% | ||||||||||
Cinedigm DC Holdings, LLC | New York / Software & Computer Services | Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 2.50% PIK, due 3/31/2021)(10)(11)(39) | 65,640 | 65,590 | 65,640 | 1.9% | ||||||
65,590 | 65,640 | 1.9% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
Coverall North America, Inc. | Florida / Commercial Services | Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11) | $ | 24,000 | $ | 24,000 | $ | 24,000 | 0.7% | |||
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11) | 25,000 | 25,000 | 25,000 | 0.7% | ||||||||
49,000 | 49,000 | 1.4% | ||||||||||
Crosman Corporation | New York / Manufacturing | Senior Secured Term Loan A (9.22% (LIBOR + 8.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(3)(10)(12)(39) | 54,673 | 54,673 | 54,673 | 1.6% | ||||||
Senior Secured Term Loan B (16.22% (LIBOR + 15.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(10)(12)(39) | 41,656 | 41,656 | 41,656 | 1.2% | ||||||||
96,329 | 96,329 | 2.8% | ||||||||||
CURO Group Holdings Corp. (f/k/a Speedy Cash Holdings Corp.) | Canada / Consumer Finance | Senior Unsecured Notes (12.00%, due 11/15/2017)(8)(13) | 15,000 | 15,000 | 7,076 | 0.2% | ||||||
15,000 | 7,076 | 0.2% | ||||||||||
Easy Gardener Products, Inc. | Texas / Durable Consumer Products | Senior Secured Term Loan (10.84% (LIBOR + 10.00% with .25% LIBOR floor), due 09/30/2020)(3)(10)(11) | 17,325 | 17,325 | 17,325 | 0.5% | ||||||
17,325 | 17,325 | 0.5% | ||||||||||
Empire Today, LLC | Illinois / Durable Consumer Products | Senior Secured Note (11.375%, due 2/1/2017)(8) | 50,426 | 50,189 | 50,426 | 1.5% | ||||||
50,189 | 50,426 | 1.5% | ||||||||||
Fleetwash, Inc. | New Jersey / Business Services | Senior Secured Term Loan B (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 4/30/2019)(3)(10)(11) | 23,402 | 23,402 | 23,402 | 0.7% | ||||||
Delayed Draw Term Loan – $15,000 Commitment (expires 4/30/2019)(10)(14) | — | — | — | —% | ||||||||
23,402 | 23,402 | 0.7% | ||||||||||
Focus Brands, Inc. | Georgia / Consumer Services | Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 8/21/2018)(8)(10)(12) | 18,000 | 17,891 | 18,000 | 0.5% | ||||||
17,891 | 18,000 | 0.5% | ||||||||||
Galaxy XV CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 16.76%, due 4/15/2025)(5)(13) | 39,275 | 28,658 | 29,503 | 0.9% | ||||||
28,658 | 29,503 | 0.9% | ||||||||||
Galaxy XVI CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.53%, due 11/16/2025)(5)(13) | 24,575 | 18,900 | 18,168 | 0.5% | ||||||
18,900 | 18,168 | 0.5% | ||||||||||
Galaxy XVII CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.47%, due 7/15/2026)(5)(6)(13) | 39,905 | 30,527 | 28,779 | 0.8% | ||||||
30,527 | 28,779 | 0.8% | ||||||||||
Generation Brands Holdings, Inc. | Illinois / Durable Consumer Products | Subordinated Secured Term Loan (11.00% (LIBOR + 10.00% with 1.00% LIBOR floor), due 12/10/2022)(8)(10)(11) | 19,000 | 18,459 | 19,000 | 0.6% | ||||||
18,459 | 19,000 | 0.6% | ||||||||||
Global Employment Solutions, Inc. | Colorado / Business Services | Senior Secured Term Loan (10.25% (LIBOR + 9.25% with 1.00% LIBOR floor), due 6/26/2020)(3)(10)(12) | 49,250 | 49,250 | 49,250 | 1.4% | ||||||
49,250 | 49,250 | 1.4% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
Halcyon Loan Advisors Funding 2012-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.13%, due 8/15/2023)(5)(13) | $ | 23,188 | $ | 17,575 | $ | 16,637 | 0.5% | |||
17,575 | 16,637 | 0.5% | ||||||||||
Halcyon Loan Advisors Funding 2013-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 9.26%, due 4/15/2025)(5)(13) | 40,400 | 30,747 | 26,838 | 0.8% | ||||||
30,747 | 26,838 | 0.8% | ||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.12%, due 4/18/2026)(5)(13) | 24,500 | 17,613 | 14,751 | 0.4% | ||||||
17,613 | 14,751 | 0.4% | ||||||||||
Halcyon Loan Advisors Funding 2014-2 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.84%, due 4/28/2025)(5)(6)(13) | 41,164 | 29,585 | 25,007 | 0.7% | ||||||
29,585 | 25,007 | 0.7% | ||||||||||
Halcyon Loan Advisors Funding 2015-3 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 12.37%, due 10/18/2027)(5)(6)(13) | 39,598 | 35,736 | 31,619 | 0.9% | ||||||
35,736 | 31,619 | 0.9% | ||||||||||
Harbortouch Payments, LLC | Pennsylvania / Business Services | Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor) plus 3.00% PIK, due 5/31/2023)(3)(10)(11)(39) | 27,711 | 27,711 | 28,404 | 0.9% | ||||||
Escrow Receivable | — | 1,629 | —% | |||||||||
27,711 | 30,033 | 0.9% | ||||||||||
HarbourView CLO VII, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 16.22%, due 11/18/2026)(5)(6)(13) | 19,025 | 14,432 | 12,806 | 0.4% | ||||||
14,432 | 12,806 | 0.4% | ||||||||||
Harley Marine Services, Inc. | Washington / Transportation | Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 12/20/2019)(3)(8)(10)(11) | 9,000 | 8,894 | 8,352 | 0.2% | ||||||
8,894 | 8,352 | 0.2% | ||||||||||
Hollander Sleep Products, LLC | Florida / Durable Consumer Products | Senior Secured Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 10/21/2020)(3)(10)(12) | 21,860 | 21,860 | 20,293 | 0.6% | ||||||
21,860 | 20,293 | 0.6% | ||||||||||
Inpatient Care Management Company LLC | Florida / Healthcare | Senior Secured Term Loan (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 6/8/2021(10)(12) | 16,830 | 16,830 | 16,830 | 0.5% | ||||||
16,830 | 16,830 | 0.5% | ||||||||||
Instant Web, LLC | Minnesota / Media | Senior Secured Term Loan A (5.50% (LIBOR + 4.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11) | 122,444 | 122,444 | 122,444 | 3.6% | ||||||
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 3/28/2019)(3)(10)(11) | 158,100 | 158,100 | 158,100 | 4.6% | ||||||||
Senior Secured Term Loan C-1 (12.75% (LIBOR + 11.75% with 1.00% LIBOR floor), due 3/28/2019)(10)(11) | 27,000 | 27,000 | 27,000 | 0.8% | ||||||||
Senior Secured Term Loan C-2 (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11) | 25,000 | 25,000 | 25,000 | 0.7% | ||||||||
332,544 | 332,544 | 9.7% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
InterDent, Inc. | California / Healthcare | Senior Secured Term Loan A (6.25% (LIBOR + 5.50% with 0.75% LIBOR floor), due 8/3/2017)(10)(12) | $ | 79,317 | $ | 79,317 | $ | 79,317 | 2.3% | |||
Senior Secured Term Loan B (11.25% (LIBOR + 10.50% with 0.75% LIBOR floor), due 8/3/2017)(3)(10)(12) | 131,125 | 131,125 | 131,125 | 3.8% | ||||||||
210,442 | 210,442 | 6.1% | ||||||||||
JAC Holding Corporation | Michigan / Transportation | Senior Secured Note (11.50%, due 10/1/2019)(8) | 2,868 | 2,868 | 2,868 | 0.1% | ||||||
2,868 | 2,868 | 0.1% | ||||||||||
JD Power and Associates | California / Consumer Services | Second Lien Term Loan (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 9/7/2024)(8)(10)(11) | 15,000 | 14,777 | 15,000 | 0.4% | ||||||
14,777 | 15,000 | 0.4% | ||||||||||
Jefferson Mill CLO Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 9.47%, due 7/20/2027)(5)(6)(13) | 19,500 | 16,821 | 13,174 | 0.4% | ||||||
16,821 | 13,174 | 0.4% | ||||||||||
LaserShip, Inc. | Virginia / Transportation | Senior Secured Term Loan A (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 1.00% PIK, due 3/18/2019)(3)(10)(12)(39) | 34,424 | 34,424 | 33,667 | 1.0% | ||||||
Senior Secured Term Loan B (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 1.00% PIK, due 3/18/2019)(3)(10)(12)(39) | 21,129 | 21,129 | 20,664 | 0.6% | ||||||||
55,553 | 54,331 | 1.6% | ||||||||||
LCM XIV Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 16.10%, due 7/15/2025)(5)(13) | 30,500 | 22,359 | 21,872 | 0.6% | ||||||
22,359 | 21,872 | 0.6% | ||||||||||
Madison Park Funding IX, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 21.72%, due 8/15/2022)(5)(13) | 43,110 | 29,343 | 28,543 | 0.8% | ||||||
29,343 | 28,543 | 0.8% | ||||||||||
Matrixx Initiatives, Inc. | New Jersey / Pharmaceuticals | Senior Secured Term Loan A (7.50% (LIBOR + 6.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11) | 34,490 | 34,490 | 34,490 | 1.0% | ||||||
Senior Secured Term Loan B (12.50% (LIBOR + 11.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11) | 45,562 | 45,562 | 45,562 | 1.3% | ||||||||
80,052 | 80,052 | 2.3% | ||||||||||
Maverick Healthcare Equity, LLC | Arizona / Healthcare | Preferred Units (1,250,000 units) | 1,252 | 1,990 | 0.1% | |||||||
Class A Common Units (1,250,000 units) | — | 204 | —% | |||||||||
1,252 | 2,194 | 0.1% | ||||||||||
Mineral Fusion Natural Brands(30) | Colorado / Personal & Nondurable Consumer Products | Membership Interest (1.43%) | — | 197 | —% | |||||||
— | 197 | —% | ||||||||||
Mountain View CLO 2013-I Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.27%m due 4/12/2024)(5)(13) | 43,650 | 32,078 | 29,996 | 0.9% | ||||||
32,078 | 29,996 | 0.9% | ||||||||||
Mountain View CLO IX Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.52%, due 7/15/2027)(5)(6)(13) | 47,830 | 42,415 | 38,431 | 1.1% | ||||||
42,415 | 38,431 | 1.1% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
NCP Finance Limited Partnership(31) | Ohio / Consumer Finance | Subordinated Secured Term Loan (11.00% (LIBOR + 9.75% with 1.25% LIBOR floor), due 9/30/2018)(3)(8)(10)(12)(13) | $ | 27,119 | $ | 26,502 | $ | 25,763 | 0.7% | |||
26,502 | 25,763 | 0.7% | ||||||||||
Nixon, Inc. | California / Durable Consumer Products | Senior Secured Term Loan (9.50% plus 3.00% PIK, in non-accrual status effective 7/1/2016, due 4/16/2018)(3)(8)(39) | 14,421 | 14,197 | 10,877 | 0.3% | ||||||
14,197 | 10,877 | 0.3% | ||||||||||
Octagon Investment Partners XV, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 13.99%, due 1/19/2025)(5)(13) | 32,921 | 25,527 | 22,633 | 0.7% | ||||||
25,527 | 22,633 | 0.7% | ||||||||||
Octagon Investment Partners XVIII, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 16.76%, due 12/16/2024)(5)(6)(13) | 28,200 | 19,391 | 17,805 | 0.5% | ||||||
19,391 | 17,805 | 0.5% | ||||||||||
Onyx Payments(32) | Texas / Diversified Financial Services | Revolving Line of Credit – $3,000 Commitment (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 12/31/2016)(10)(11)(14) | — | — | — | —% | ||||||
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11) | 45,130 | 45,130 | 45,130 | 1.3% | ||||||||
Senior Secured Term Loan A (6.00% (LIBOR + 5.00% with 1.00% LIBOR floor), due 9/10/2019)(10)(11) | 25,000 | 25,000 | 25,000 | 0.7% | ||||||||
Senior Secured Term Loan B (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11) | 56,889 | 56,889 | 56,889 | 1.7% | ||||||||
Senior Secured Term Loan B (13.00% (LIBOR + 12.00% with 1.00% LIBOR floor), due 9/10/2019)(10)(11) | 25,000 | 25,000 | 25,000 | 0.7% | ||||||||
152,019 | 152,019 | 4.4% | ||||||||||
Pacific World Corporation | California / Personal & Nondurable Consumer Products | Revolving Line of Credit – $15,000 Commitment (8.00% (LIBOR + 7.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12)(14) | 5,500 | 5,500 | 5,500 | 0.2% | ||||||
Senior Secured Term Loan A (6.00% (LIBOR + 5.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12) | 97,994 | 97,994 | 94,364 | 2.7% | ||||||||
Senior Secured Term Loan B (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/26/2020)(3)(10)(12) | 97,994 | 97,994 | 83,137 | 2.4% | ||||||||
201,488 | 183,001 | 5.3% | ||||||||||
Pelican Products, Inc. | California / Durable Consumer Products | Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 4/9/2021)(3)(8)(10)(12) | 17,500 | 17,487 | 16,383 | 0.5% | ||||||
17,487 | 16,383 | 0.5% | ||||||||||
PeopleConnect Intermediate, LLC (f/k/a Intelius, Inc.) | Washington / Software & Computer Services | Revolving Line of Credit – $1,000 Commitment (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 8/11/17)(10)(11)(14) | — | — | — | —% | ||||||
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11) | 20,199 | 20,199 | 19,764 | 0.6% | ||||||||
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11) | 20,849 | 20,849 | 20,154 | 0.6% | ||||||||
41,048 | 39,918 | 1.2% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
PGX Holdings, Inc.(33) | Utah / Consumer Services | Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/29/2021)(3)(10)(12) | $ | 135,000 | $ | 135,000 | $ | 135,000 | 3.9% | |||
135,000 | 135,000 | 3.9% | ||||||||||
Photonis Technologies SAS | France / Aerospace & Defense | First Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 9/18/2019)(8)(10)(12)(13) | 9,927 | 9,770 | 9,127 | 0.3% | ||||||
9,770 | 9,127 | 0.3% | ||||||||||
Pinnacle (US) Acquisition Co. Limited | Texas / Software & Computer Services | Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 8/3/2020)(8)(10)(11) | 7,037 | 6,925 | 5,188 | 0.2% | ||||||
6,925 | 5,188 | 0.2% | ||||||||||
PlayPower, Inc. | North Carolina / Durable Consumer Products | Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 6/23/2022)(3)(8)(10)(11) | 11,000 | 10,862 | 10,924 | 0.3% | ||||||
10,862 | 10,924 | 0.3% | ||||||||||
Prime Security Services Borrower, LLC | Illinois / Consumer Services | Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 7/1/2022)(8)(10)(12) | 5,192 | 5,067 | 5,192 | 0.2% | ||||||
5,067 | 5,192 | 0.2% | ||||||||||
PrimeSport, Inc. | Georgia / Hotels, Restaurants & Leisure | Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11) | 53,546 | 53,546 | 53,546 | 1.6% | ||||||
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11) | 74,500 | 74,500 | 72,741 | 2.1% | ||||||||
128,046 | 126,287 | 3.7% | ||||||||||
Prince Mineral Holding Corp. | New York / Metal Services & Minerals | Senior Secured Term Loan (11.50%, due 12/15/2019)(8) | 10,000 | 9,939 | 9,004 | 0.3% | ||||||
9,939 | 9,004 | 0.3% | ||||||||||
Royal Holdings, Inc. | Indiana / Chemicals | Second Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 6/19/2023)(8)(10)(11) | 5,000 | 4,968 | 4,915 | 0.1% | ||||||
4,968 | 4,915 | 0.1% | ||||||||||
SCS Merger Sub, Inc. | Texas / Software & Computer Services | Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 10/30/2023)(3)(8)(10)(12) | 20,000 | 19,475 | 19,894 | 0.6% | ||||||
19,475 | 19,894 | 0.6% | ||||||||||
Security Alarm Financing Enterprises, L.P.(34) | California / Consumer Services | Subordinated Unsecured Notes (11.50% (LIBOR + 9.50% with 2.00% LIBOR floor), due 12/19/2020)(10)(12) | 25,000 | 25,000 | 25,000 | 0.7% | ||||||
25,000 | 25,000 | 0.7% | ||||||||||
SESAC Holdco II LLC | Tennessee / Media | Second Lien Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 4/22/2021)(3)(8)(10)(11) | 10,000 | 9,885 | 9,885 | 0.3% | ||||||
9,885 | 9,885 | 0.3% | ||||||||||
SITEL Worldwide Corporation | Tennessee / Business Services | Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 9/18/2022)(3)(8)(10)(11) | 16,000 | 15,726 | 15,726 | 0.5% | ||||||
15,726 | 15,726 | 0.5% | ||||||||||
Small Business Whole Loan Portfolio(36) | New York / Online Lending | 1,012 Small Business Loans purchased from On Deck Capital, Inc. | 15,810 | 15,810 | 15,206 | 0.4% | ||||||
15,810 | 15,206 | 0.4% |
September 30, 2016 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Non-Control/Non-Affiliate Investments (less than 5.00% voting control) | ||||||||||||
Spartan Energy Services, Inc. | Louisiana / Oil & Gas Services | Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 12/28/2017)(10)(12) | $ | 13,156 |