ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended March 31, 2018 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 May 9, 2018 | |
$0.001 par value | 363,265,564 |
Page | ||
PART I | FINANCIAL INFORMATION | |
PART II | OTHER INFORMATION | |
March 31, 2018 | June 30, 2017 | ||||||
(Unaudited) | (Audited) | ||||||
Assets | |||||||
Investments at fair value: | |||||||
Control investments (amortized cost of $1,857,698 and $1,840,731, respectively) | $ | 1,986,984 | $ | 1,911,775 | |||
Affiliate investments (amortized cost of $55,482 and $22,957, respectively) | 52,288 | 11,429 | |||||
Non-control/non-affiliate investments (amortized cost of $3,951,787 and $4,117,868, respectively) | 3,680,532 | 3,915,101 | |||||
Total investments at fair value (amortized cost of $5,864,967 and $5,981,556, respectively) | 5,719,804 | 5,838,305 | |||||
Cash | 97,563 | 318,083 | |||||
Receivables for: | |||||||
Interest, net | 29,511 | 9,559 | |||||
Other | 836 | 924 | |||||
Prepaid expenses | 566 | 1,125 | |||||
Due from Broker | — | — | |||||
Due from Prospect Capital Management (Note 13) | 60 | — | |||||
Due from Affiliate (Note 13) | 88 | 14 | |||||
Deferred financing costs on Revolving Credit Facility (Note 4) | 2,717 | 4,779 | |||||
Total Assets | 5,851,145 | 6,172,789 | |||||
Liabilities | |||||||
Revolving Credit Facility (Notes 4 and 8) | 86,000 | — | |||||
Convertible Notes (less unamortized debt issuance costs of $11,908 and $15,512, respectively) (Notes 5 and 8) | 805,092 | 937,641 | |||||
Prospect Capital InterNotes® (less unamortized debt issuance costs of $12,342 and $14,240, respectively) (Notes 7 and 8) | 743,729 | 966,254 | |||||
Public Notes (less unamortized discount and debt issuance costs of $9,445 and $10,981, respectively) (Notes 6 and 8) | 739,836 | 738,300 | |||||
Due to Prospect Capital Management (Note 13) | 47,009 | 48,249 | |||||
Interest payable | 29,588 | 38,630 | |||||
Due to Broker | 24,457 | 50,371 | |||||
Dividends payable | 21,759 | 30,005 | |||||
Due to Prospect Administration (Note 13) | 2,148 | 1,910 | |||||
Accrued expenses | 4,320 | 4,380 | |||||
Other liabilities | 811 | 2,097 | |||||
Total Liabilities | 2,504,749 | 2,817,837 | |||||
Commitments and Contingencies (Note 3) | — | — | |||||
Net Assets | $ | 3,346,396 | $ | 3,354,952 | |||
Components of Net Assets | |||||||
Common stock, par value $0.001 per share (1,000,000,000 common shares authorized; 362,657,362 and 360,076,933 issued and outstanding, respectively) (Note 9) | $ | 363 | $ | 360 | |||
Paid-in capital in excess of par (Note 9) | 4,009,704 | 3,991,317 | |||||
Accumulated overdistributed net investment income | (59,174 | ) | (54,039 | ) | |||
Accumulated net realized loss | (459,334 | ) | (439,435 | ) | |||
Net unrealized loss | (145,163 | ) | (143,251 | ) | |||
Net Assets | $ | 3,346,396 | $ | 3,354,952 | |||
Net Asset Value Per Share (Note 16) | $ | 9.23 | $ | 9.32 |
Three Months Ended March 31, | Nine Months Ended March 31, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Investment Income | |||||||||||||||
Interest income: | |||||||||||||||
Control investments | $ | 45,944 | $ | 41,353 | $ | 139,392 | $ | 135,543 | |||||||
Affiliate investments | 271 | — | 476 | — | |||||||||||
Non-control/non-affiliate investments | 68,376 | 83,794 | 216,639 | 257,919 | |||||||||||
Structured credit securities | 31,271 | 36,564 | 90,822 | 114,690 | |||||||||||
Total interest income | 145,862 | 161,711 | 447,329 | 508,152 | |||||||||||
Dividend income: | |||||||||||||||
Control investments | 5,639 | 728 | 5,639 | 4,250 | |||||||||||
Non-control/non-affiliate investments | 648 | 89 | 1,518 | 330 | |||||||||||
Total dividend income | 6,287 | 817 | 7,157 | 4,580 | |||||||||||
Other income: | |||||||||||||||
Control investments | 6,188 | 2,953 | 12,317 | 9,749 | |||||||||||
Non-control/non-affiliate investments | 4,498 | 5,551 | 17,011 | 11,863 | |||||||||||
Total other income (Note 10) | 10,686 | 8,504 | 29,328 | 21,612 | |||||||||||
Total Investment Income | 162,835 | 171,032 | 483,814 | 534,344 | |||||||||||
Operating Expenses | |||||||||||||||
Base management fee (Note 13) | 29,268 | 30,549 | 88,990 | 92,227 | |||||||||||
Income incentive fee (Note 13) | 17,612 | 18,270 | 51,843 | 59,101 | |||||||||||
Interest and credit facility expenses | 37,479 | 41,464 | 117,861 | 123,981 | |||||||||||
Allocation of overhead from Prospect Administration (Note 13) | 3,195 | 3,581 | 5,899 | 9,771 | |||||||||||
Audit, compliance and tax related fees | 1,130 | 1,223 | 4,084 | 3,676 | |||||||||||
Directors’ fees | 113 | 113 | 338 | 338 | |||||||||||
Excise tax | — | — | — | (1,100 | ) | ||||||||||
Other general and administrative expenses | 3,592 | 2,752 | 7,429 | 9,946 | |||||||||||
Total Operating Expenses | 92,389 | 97,952 | 276,444 | 297,940 | |||||||||||
Net Investment Income | 70,446 | 73,080 | 207,370 | 236,404 | |||||||||||
Net Realized and Net Change in Unrealized Gains (Losses) from Investments | |||||||||||||||
Net realized gains (losses) | |||||||||||||||
Control investments | 2 | 1 | 13 | 184 | |||||||||||
Affiliate investments | (14,197 | ) | — | (13,351 | ) | 137 | |||||||||
Non-control/non-affiliate investments | (23 | ) | 177 | (5,116 | ) | 489 | |||||||||
Net realized (losses) gains | (14,218 | ) | 178 | (18,454 | ) | 810 | |||||||||
Net change in unrealized gains (losses) | |||||||||||||||
Control investments | 1,380 | (33,235 | ) | 46,898 | (30,937 | ) | |||||||||
Affiliate investments | 12,952 | (581 | ) | 19,678 | (1,854 | ) | |||||||||
Non-control/non-affiliate investments | (18,188 | ) | (19,930 | ) | (68,488 | ) | (2,480 | ) | |||||||
Net change in unrealized gains (losses) | (3,856 | ) | (53,746 | ) | (1,912 | ) | (35,271 | ) | |||||||
Net Realized and Net Change in Unrealized Gains (Losses) from Investments | (18,074 | ) | (53,568 | ) | (20,366 | ) | (34,461 | ) | |||||||
Net realized losses on extinguishment of debt | (513 | ) | (20 | ) | (1,445 | ) | (205 | ) | |||||||
Net Increase in Net Assets Resulting from Operations | $ | 51,859 | $ | 19,492 | $ | 185,559 | $ | 201,738 | |||||||
Net increase in net assets resulting from operations per share | $ | 0.14 | $ | 0.05 | $ | 0.51 | $ | 0.56 | |||||||
Dividends declared per share | $ | (0.18 | ) | $ | (0.25 | ) | $ | (0.59 | ) | $ | (0.75 | ) |
Nine Months Ended March 31, | |||||||
2018 | 2017 | ||||||
Operations | |||||||
Net investment income | $ | 207,370 | $ | 236,404 | |||
Net realized (losses) gains | (19,899 | ) | 605 | ||||
Net change in net unrealized losses | (1,912 | ) | (35,271 | ) | |||
Net Increase in Net Assets Resulting from Operations | 185,559 | 201,738 | |||||
Distributions to Shareholders | |||||||
Distribution from net investment income | (211,733 | ) | (268,989 | ) | |||
Net Decrease in Net Assets Resulting from Distributions to Shareholders | (211,733 | ) | (268,989 | ) | |||
Common Stock Transactions | |||||||
Value of shares issued through reinvestment of dividends | 17,618 | 23,502 | |||||
Net Increase in Net Assets Resulting from Common Stock Transactions | 17,618 | 23,502 | |||||
Total Decrease in Net Assets | (8,556 | ) | (43,749 | ) | |||
Net assets at beginning of period | 3,354,952 | 3,435,917 | |||||
Net Assets at End of Period (Accumulated Overdistributed Net Investment Income of $59,174 and $33,719, respectively) | $ | 3,346,396 | $ | 3,392,168 | |||
Common Stock Activity | |||||||
Shares issued through reinvestment of dividends | 2,580,429 | 2,778,472 | |||||
Shares issued and outstanding at beginning of period | 360,076,933 | 357,107,231 | |||||
Shares Issued and Outstanding at End of Period | 362,657,362 | 359,885,703 |
Nine Months Ended March 31, | |||||||
2018 | 2017 | ||||||
Operating Activities | |||||||
Net increase in net assets resulting from operations | $ | 185,559 | $ | 201,738 | |||
Net realized losses on extinguishment of debt | 1,445 | 205 | |||||
Net realized losses (gains) on investments | 18,454 | (810 | ) | ||||
Net change in net unrealized (gains) losses on investments | 1,912 | 35,271 | |||||
Amortization of discounts and (accretion of premiums), net | 17,706 | 42,937 | |||||
Accretion of discount on Public Notes (Note 6) | 212 | 200 | |||||
Amortization of deferred financing costs | 9,168 | 10,128 | |||||
Payment-in-kind interest | (6,128 | ) | (14,326 | ) | |||
Structuring fees | (9,135 | ) | (11,674 | ) | |||
Change in operating assets and liabilities: | |||||||
Payments for purchases of investments | (1,375,555 | ) | (1,240,294 | ) | |||
Proceeds from sale of investments and collection of investment principal | 1,471,247 | 1,061,839 | |||||
Decrease in due to Broker | (25,914 | ) | (957 | ) | |||
Decrease in due to Prospect Capital Management | (1,240 | ) | (5,051 | ) | |||
(Increase) decrease in interest receivable, net | (19,952 | ) | 1,872 | ||||
Decrease in interest payable | (9,042 | ) | (7,041 | ) | |||
(Decrease) increase in accrued expenses | (60 | ) | 2,033 | ||||
Decrease in other liabilities | (1,286 | ) | (1,615 | ) | |||
Decrease in other receivables | 88 | 68 | |||||
Increase in due from Prospect Administration | (60 | ) | — | ||||
Increase in due from affiliate | (74 | ) | — | ||||
Decrease in prepaid expenses | 559 | 139 | |||||
Increase in due to Prospect Administration | 238 | 82 | |||||
Net Cash Provided by Operating Activities | 258,142 | 74,744 | |||||
Financing Activities | |||||||
Borrowings under Revolving Credit Facility (Note 4) | 427,000 | 557,000 | |||||
Principal payments under Revolving Credit Facility (Note 4) | (341,000 | ) | (557,000 | ) | |||
Issuances of Public Notes, net of original issue discount (Note 6) | — | 37,466 | |||||
Redemptions of Convertible Notes (Note 5) | (136,153 | ) | (167,500 | ) | |||
Issuances of Prospect Capital InterNotes® (Note 7) | 69,428 | 109,221 | |||||
Redemptions of Prospect Capital InterNotes®, net (Note 7) | (293,851 | ) | (12,170 | ) | |||
Financing costs paid and deferred | (1,724 | ) | (2,500 | ) | |||
Dividends paid | (202,362 | ) | (245,255 | ) | |||
Net Cash Used in Financing Activities | (478,662 | ) | (280,738 | ) | |||
Net Decrease in Cash | (220,520 | ) | (205,994 | ) | |||
Cash at beginning of period | 318,083 | 317,798 | |||||
Cash at End of Period | $ | 97,563 | $ | 111,804 | |||
Supplemental Disclosures | |||||||
Cash paid for interest | $ | 117,523 | $ | 120,694 | |||
Non-Cash Financing Activities | |||||||
Value of shares issued through reinvestment of dividends | $ | 17,618 | $ | 23,502 | |||
Cost basis of investments written off as worthless | $ | 20,235 | $ | 2,535 |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44)(47) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Control Investments (greater than 25.00% voting control)(47) | ||||||||||||
Arctic Energy Services, LLC(37) | Wyoming / Energy Equipment & Services | Class D Units (12.00%, 32,915 units)(16) | $ | — | $ | 31,640 | $ | 27,017 | 0.8% | |||
Class E Units (14.00%, 21,080 units)(16) | — | 23,800 | — | —% | ||||||||
Class A Units (14.00%, 700 units)(16) | — | 9,006 | — | —% | ||||||||
Class C Units (10 units)(16) | — | — | — | —% | ||||||||
64,446 | 27,017 | 0.8% | ||||||||||
CCPI Inc.(19) | Ohio / Electronic Equipment, Instruments & Components | Senior Secured Term Loan A (10.00%, due 12/31/2020)(3) | 2,881 | 2,881 | 2,881 | 0.1% | ||||||
Senior Secured Term Loan B (12.00% plus 7.00% PIK, due 12/31/2020)(3)(46) | 17,819 | 17,819 | 17,819 | 0.5% | ||||||||
Common Stock (14,857 shares) | — | 6,759 | 15,557 | 0.5% | ||||||||
27,459 | 36,257 | 1.1% | ||||||||||
CP Energy Services Inc.(20) | Oklahoma / Energy Equipment & Services | Senior Secured Term Loan (12.69% (LIBOR + 11.00% with 1.00% LIBOR floor), due 12/29/2022)(11) | 35,048 | 35,048 | 35,048 | 1.0% | ||||||
Series B Convertible Preferred Stock (16.00%, 790 shares)(16) | — | 63,225 | 55,135 | 1.7% | ||||||||
Common Stock (2,924 shares)(16) | — | 15,227 | — | —% | ||||||||
113,500 | 90,183 | 2.7% | ||||||||||
Credit Central Loan Company, LLC(21) | South Carolina / Consumer Finance | Subordinated Term Loan (20.00% (10.00% plus 10.00% PIK, due 6/26/2019)(14)(46) | 51,855 | 46,788 | 51,855 | 1.5% | ||||||
Class A Units (10,640,642 units)(14)(16) | — | 13,731 | 22,353 | 0.7% | ||||||||
Net Revenues Interest (25% of Net Revenues)(14)(16) | — | — | 2,249 | 0.1% | ||||||||
60,519 | 76,457 | 2.3% | ||||||||||
Echelon Transportation, LLC (f/k/a 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)(13)(46) | 31,055 | 31,055 | 31,055 | 0.9% | ||||||
Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 1.00% PIK, due 12/7/2024)(13)(46) | 16,044 | 16,044 | 16,044 | 0.5% | ||||||||
Membership Interest (100%)(16) | — | 22,738 | 32,202 | 1.0% | ||||||||
69,837 | 79,301 | 2.4% | ||||||||||
First Tower Finance Company LLC(23) | Mississippi / Consumer Finance | Subordinated Term Loan to First Tower, LLC (10.00% plus 7.00% PIK, due 6/24/2019)(14)(46) | 272,170 | 272,170 | 272,170 | 8.1% | ||||||
Class A Units (95,709,910 units)(14)(16) | — | 81,146 | 162,981 | 4.9% | ||||||||
353,316 | 435,151 | 13.0% | ||||||||||
Freedom Marine Solutions, LLC(24) | Louisiana / Energy Equipment & Services | Membership Interest (100%)(16) | — | 43,292 | 13,188 | 0.4% | ||||||
43,292 | 13,188 | 0.4% | ||||||||||
MITY, Inc.(25) | Utah / Commercial Services & Supplies | Senior Secured Note A (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor), due 1/30/2020)(3)(11) | 26,250 | 26,250 | 26,250 | 0.8% | ||||||
Senior Secured Note B (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor) plus 10.00% PIK, due 1/30/2020)(3)(11)(46) | 24,442 | 24,442 | 24,442 | 0.7% | ||||||||
Subordinated Unsecured Note to Broda Enterprises ULC (10.00%, due on demand)(14) | 5,716 | 7,200 | 5,716 | 0.2% | ||||||||
Common Stock (42,053 shares)(16) | — | 6,849 | 5,715 | 0.2% | ||||||||
64,741 | 62,123 | 1.9% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44)(47) | Principal Value | Amortized Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Control Investments (greater than 25.00% voting control)(47) | ||||||||||||
National Property REIT Corp.(26) | Various / Equity Real Estate Investment Trusts (REITs) / Online Lending | Senior Secured Term Loan A (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 10.50% PIK, due 4/1/2019)(11)(46) | $ | 293,203 | $ | 293,203 | $ | 293,203 | 8.8% | |||
Senior Secured Term Loan E (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(11)(46) | 276,549 | 276,549 | 276,549 | 8.2% | ||||||||
Common Stock (2,748,812 shares) | — | 257,527 | 369,123 | 11.0% | ||||||||
Net Operating Income Interest (5% of Net Operating Income) | — | — | 92,275 | 2.8% | ||||||||
827,279 | 1,031,150 | 30.8% | ||||||||||
Nationwide Loan Company LLC(27) | Illinois / Consumer Finance | Senior Subordinated Term Loan to Nationwide Acceptance LLC (10.00% plus 10.00% PIK, due 6/18/2019)(14)(46) | 17,410 | 17,410 | 17,410 | 0.5% | ||||||
Class A Units (32,456,159 units)(14)(16) | — | 21,962 | 13,580 | 0.4% | ||||||||
39,372 | 30,990 | 0.9% | ||||||||||
NMMB, Inc.(28) | New York / Media | Senior Secured Note (14.00%, due 5/6/2021)(3) | 3,714 | 3,714 | 3,714 | 0.1% | ||||||
Senior Secured Note to Armed Forces Communications, Inc. (14.00%, due 5/6/2021)(3) | 6,900 | 6,900 | 6,900 | 0.2% | ||||||||
Series A Preferred Stock (7,200 shares)(16) | — | 7,200 | 5,503 | 0.2% | ||||||||
Series B Preferred Stock (5,669 shares)(16) | — | 5,669 | 4,332 | 0.1% | ||||||||
23,483 | 20,449 | 0.6% | ||||||||||
R-V Industries, Inc. | Pennsylvania / Machinery | Senior Subordinated Note (11.31% (LIBOR + 9.00% with 1.00% LIBOR floor), due 3/31/2022)(3)(11) | 28,622 | 28,622 | 28,622 | 0.8% | ||||||
Common Stock (745,107 shares)(16) | — | 6,866 | 2,403 | 0.1% | ||||||||
35,488 | 31,025 | 0.9% | ||||||||||
SB Forging Company II, Inc. (f/k/a Gulf Coast Machine & Supply Company)(29) | Texas / Energy Equipment & Services | Series A Convertible Preferred Stock (6.50%, 99,000 shares)(16) | — | — | 1,011 | —% | ||||||
Common Stock (100 shares)(16) | — | — | — | —% | ||||||||
— | 1,011 | —% | ||||||||||
USES Corp.(30) | Texas / Commercial Services & Supplies | Senior Secured Term Loan A (9.00% PIK, in non-accrual status effective 4/1/2016, due 7/22/2020) | 36,127 | 31,601 | 9,672 | 0.3% | ||||||
Senior Secured Term Loan B (15.50% PIK, in non-accrual status effective 4/1/2016, due 7/22/2020) | 46,019 | 35,568 | — | —% | ||||||||
Common Stock (268,962 shares)(16) | — | — | — | —% | ||||||||
67,169 | 9,672 | 0.3% | ||||||||||
Valley Electric Company, Inc.(31) | 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 12/31/2024)(3)(11)(46) | 10,430 | 10,430 | 10,430 | 0.3% | ||||||
Senior Secured Note (10.00% plus 8.50% PIK, due 6/23/2024)(46) | 27,292 | 27,292 | 27,292 | 0.8% | ||||||||
Common Stock (50,000 shares)(16) | — | 26,204 | 4,740 | 0.2% | ||||||||
63,926 | 42,462 | 1.3% | ||||||||||
Wolf Energy, LLC(32) | Kansas / Energy Equipment & Services | Membership Interest (100%)(16) | — | — | — | —% | ||||||
Membership Interest in Wolf Energy Services Company, LLC (100%)(16) | — | 3,871 | 537 | —% | ||||||||
Net Profits Interest (8% of Equity Distributions)(4)(16) | — | — | 11 | —% | ||||||||
3,871 | 548 | —% | ||||||||||
Total Control Investments (Level 3) | $ | 1,857,698 | $ | 1,986,984 | 59.4% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44)(48) | Principal Value | Cost | Fair Value(2) | % of Net Assets | ||||||
LEVEL 3 PORTFOLIO INVESTMENTS | ||||||||||||
Affiliate Investments (5.00% to 24.99% voting control)(48) | ||||||||||||
Edmentum Ultimate Holdings, LLC(22) | Minnesota / Diversified Consumer Services | Second Lien Revolving Credit Facility to Edmentum, Inc. – $7,834 Commitment (5.00% PIK, due 12/9/2021)(15) | $ | 7,834 | $ | 7,834 | $ | 7,834 | 0.2% | |||
Unsecured Senior PIK Note (8.50% PIK, due 12/9/2021)(46) | 7,365 | 7,365 | 7,365 | 0.2% | ||||||||
Unsecured Junior PIK Note (10.00% PIK, in non-accrual status effective 1/1/2017, due 12/9/2021) | 34,377 | 23,828 | 17,728 | 0.5% | ||||||||
Class A Units (370,964 units)(16) | — | 6,577 | — | —% | ||||||||
45,604 | 32,927 | 0.9% | ||||||||||
Nixon, Inc.(39) | California / Textiles, Apparel & Luxury Goods | Common Stock (857 units)(16) | — | — | — | —% | ||||||
— | —% | |||||||||||
Targus Cayman HoldCo Limited(33) | California / Textiles, Apparel & Luxury Goods | Common Stock (7,383,395 shares)(16) | — | 9,878 | 19,361 | 0.6% | ||||||
9,878 | 19,361 | 0.6% | ||||||||||
Total Affiliate Investments (Level 3) | $ | 55,482 | $ | 52,288 | 1.5% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
Ability Network Inc. | Minnesota / Health Care Technology | Second Lien Term Loan (9.54%. (LIBOR + 7.75% with 0.00% LIBOR floor), due 12/13/2025)(8)(13) | $ | 15,000 | $ | 14,928 | $ | 15,300 | 0.5% | |||
14,928 | 15,300 | 0.5% | ||||||||||
ACE Cash Express, Inc. | Texas / Consumer Finance | Senior Secured Note (12.00%, due 12/15/2022)(8)(14) | 20,000 | 19,717 | 22,400 | 0.7% | ||||||
19,717 | 22,400 | 0.7% | ||||||||||
AgaMatrix, Inc. | New Hampshire / Healthcare Equipment and Supplies | Senior Secured Term Loan (11.06% (LIBOR + 8.75% with 1.25% LIBOR floor), due 9/29/2022)(3)(11) | 31,250 | 31,250 | 31,250 | 0.9% | ||||||
31,250 | 31,250 | 0.9% | ||||||||||
American Gilsonite Company(34) | Utah / Chemicals | Membership Interest (0.05%, 131 shares)(16) | — | — | — | —% | ||||||
— | — | —% | ||||||||||
Apidos CLO IX | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 0.00%, due 7/15/2023)(5)(14)(17) | 23,525 | 21 | 74 | —% | ||||||
21 | 74 | —% | ||||||||||
Apidos CLO XI | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.54%, due 10/17/2028)(5)(14) | 40,500 | 31,872 | 25,091 | 0.8% | ||||||
31,872 | 25,091 | 0.8% | ||||||||||
Apidos CLO XII | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 16.49%, due 4/15/2031)(5)(14) | 52,203 | 33,708 | 26,824 | 0.8% | ||||||
33,708 | 26,824 | 0.8% | ||||||||||
Apidos CLO XV | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 13.56%, due 4/20/2031)(5)(14) | 48,515 | 35,161 | 27,452 | 0.8% | ||||||
35,161 | 27,452 | 0.8% | ||||||||||
Apidos CLO XXII | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 14.40%, due 10/20/2027)(5)(6)(14) | 31,350 | 27,638 | 25,150 | 0.8% | ||||||
27,638 | 25,150 | 0.8% | ||||||||||
Ark-La-Tex Wireline Services, LLC | Louisiana / Energy Equipment & Services | Senior Secured Term Loan B (14.50% (LIBOR + 13.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(13) | 25,595 | 1,145 | 787 | —% | ||||||
1,145 | 787 | —% | ||||||||||
Armor Holding II LLC | New York / Commercial Services & Supplies | Second Lien Term Loan (11.30% (LIBOR + 9.00% with 1.25% LIBOR floor), due 12/26/2020)(3)(8)(11) | 7,000 | 6,943 | 7,000 | 0.2% | ||||||
6,943 | 7,000 | 0.2% | ||||||||||
Atlantis Health Care Group (Puerto Rico), Inc. | Puerto Rico / Health Care Providers & Services | Revolving Line of Credit – $7,000 Commitment (10.19% (LIBOR + 8.50% with 1.50% LIBOR floor), due 8/21/2019)(11)(15) | 7,000 | 7,000 | 6,934 | 0.2% | ||||||
Senior Term Loan (10.19% (LIBOR + 8.50% with 1.50% LIBOR floor), due 2/21/2020)(3)(11) | 78,949 | 78,949 | 78,200 | 2.3% | ||||||||
85,949 | 85,134 | 2.5% | ||||||||||
ATS Consolidated, Inc. | Arizona / Electronic Equipment, Instruments & Components | Second Lien Term Loan (9.40% (LIBOR + 7.75%, due 2/27/2026)(8)(13) | 15,000 | 14,851 | 14,866 | 0.4% | ||||||
14,851 | 14,866 | 0.4% | ||||||||||
Autodata, Inc./ Autodata Solutions, Inc.(9) | Canada / Software | Second Lien Term Loan (9.01% (LIBOR + 7.25% with 1.00% LIBOR floor), due 12/14/2025)(8)(13) | 6,000 | 5,971 | 5,971 | 0.2% | ||||||
5,971 | 5,971 | 0.2% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
Babson CLO Ltd. 2014-III | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 12.43%, due 1/15/2026)(5)(6)(14) | $ | 52,250 | $ | 40,709 | $ | 34,638 | 1.0% | |||
40,709 | 34,638 | 1.0% | ||||||||||
Broder Bros., Co. | Pennsylvania / Textiles, Apparel & Luxury Goods | Senior Secured Note (10.31% (LIBOR + 8.00% with 1.25% LIBOR floor), due 12/02/2022)(3)(11) | 455,400 | 455,400 | 455,400 | 13.6% | ||||||
455,400 | 455,400 | 13.6% | ||||||||||
Brookside Mill CLO Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 10.50%, due 1/18/2028)(5)(14) | 36,300 | 18,873 | 13,613 | 0.4% | ||||||
18,873 | 13,613 | 0.4% | ||||||||||
California Street CLO IX Ltd. (f/k/a Symphony CLO IX Ltd.) | Cayman Islands / Structured Finance | Preference Shares (Residual Interest, current yield 14.21%, due 10/16/2028)(5)(14) | 58,915 | 41,236 | 36,145 | 1.1% | ||||||
41,236 | 36,145 | 1.1% | ||||||||||
Candle-Lite Company, LLC | Ohio / Household & Personal Products | Senior Secured Term Loan A (7.48% (LIBOR + 5.50% with 1.25% LIBOR floor), due 1/23/2023)(3)(11) | 12,500 | 12,500 | 12,500 | 0.4% | ||||||
Senior Secured Term Loan B (11.48% (LIBOR + 9.50% with 1.25% LIBOR floor), due 1/23/2023)(3)(11) | 12,500 | 12,500 | 12,500 | 0.4% | ||||||||
25,000 | 25,000 | 0.8% | ||||||||||
Capstone Logistics Acquisition, Inc. | Georgia / Commercial Services & Supplies | Second Lien Term Loan (10.13% (LIBOR + 8.25% with 1.00% LIBOR floor), due 10/7/2022)(3)(8)(13) | 101,517 | 101,135 | 99,329 | 3.0% | ||||||
101,135 | 99,329 | 3.0% | ||||||||||
Carlyle Global Market Strategies CLO 2014-4, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 21.22%, due 10/15/2026)(5)(6)(14) | 25,534 | 20,031 | 19,340 | 0.6% | ||||||
20,031 | 19,340 | 0.6% | ||||||||||
Carlyle Global Market Strategies CLO 2016-3, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 16.87%, due 10/20/2029)(5)(6)(14) | 32,200 | 32,146 | 29,102 | 0.9% | ||||||
32,146 | 29,102 | 0.9% | ||||||||||
Cent CLO 17 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 0.00%, due 1/30/2025)(5)(14)(17) | 24,870 | 17,644 | 15,445 | 0.5% | ||||||
17,644 | 15,445 | 0.5% | ||||||||||
Cent CLO 20 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 15.78%, due 1/25/2026)(5)(14) | 40,275 | 31,811 | 28,471 | 0.9% | ||||||
31,811 | 28,471 | 0.9% | ||||||||||
Cent CLO 21 Limited | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 19.00%, due 7/27/2026)(5)(6)(14) | 48,528 | 36,585 | 34,166 | 1.0% | ||||||
36,585 | 34,166 | 1.0% | ||||||||||
Centerfield Media Holding Company(35) | California / Internet Software and Services | Senior Secured Term Loan A (8.69% (LIBOR + 7.00% with 1.00% LIBOR floor), due 1/17/2022)(3)(8)(11) | 66,640 | 66,640 | 66,640 | 2.0% | ||||||
Senior Secured Term Loan B (14.19% (LIBOR + 12.50% with 1.00% LIBOR floor), due 1/17/2022)(8)(11) | 68,000 | 68,000 | 68,000 | 2.0% | ||||||||
134,640 | 134,640 | 4.0% | ||||||||||
CIFC Funding 2013-III-R, Ltd. (f/k/a CIFC Funding 2013-III, Ltd.) | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 12.89%, due 4/24/2031)(5)(14) | 44,100 | 29,946 | 25,853 | 0.8% | ||||||
29,946 | 25,853 | 0.8% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
CIFC Funding 2013-IV, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.34%, due 11/27/2024)(5)(14) | $ | 45,500 | $ | 31,530 | $ | 28,084 | 0.8% | |||
31,530 | 28,084 | 0.8% | ||||||||||
CIFC Funding 2014-IV Investor, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 7.39%, due 10/17/2026)(5)(6)(14) | 41,500 | 28,832 | 23,982 | 0.7% | ||||||
28,832 | 23,982 | 0.7% | ||||||||||
CIFC Funding 2016-I, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 12.61%, due 10/21/2028)(5)(6)(14) | 34,000 | 31,268 | 28,106 | 0.8% | ||||||
31,268 | 28,106 | 0.8% | ||||||||||
Cinedigm DC Holdings, LLC | New York / Media | Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 2.50% PIK, due 3/31/2021)(11)(46) | 39,710 | 39,660 | 39,710 | 1.2% | ||||||
39,660 | 39,710 | 1.2% | ||||||||||
Class Appraisal, LLC | Michigan / Real Estate Management & Development | Revolving Line of Credit – $1,500 Commitment (5%, due 3/12/2020)(11)(15) | — | — | — | —% | ||||||
Senior Secured Term Loan (10.56% (LIBOR + 8.25% with 1.50% LIBOR floor), due 3/10/2023)(11) | 42,000 | 42,000 | 42,000 | 1.3% | ||||||||
42,000 | 42,000 | 1.3% | ||||||||||
Coverall North America, Inc. | Florida / Commercial Services & Supplies | Senior Secured Term Loan A (7.69% (LIBOR + 6.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(11) | 21,720 | 21,720 | 21,720 | 0.7% | ||||||
Senior Secured Term Loan B (12.69% (LIBOR + 11.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(11) | 24,875 | 24,875 | 24,875 | 0.8% | ||||||||
46,595 | 46,595 | 1.5% | ||||||||||
CP VI Bella Midco | Pennsylvania / IT Services | Second Lien Term Loan (8.63% (LIBOR + 6.75%, due 12/29/2025)(8)(13) | 2,000 | 1,990 | 1,990 | 0.1% | ||||||
1,990 | 1,990 | 0.1% | ||||||||||
CURO Financial Technologies Corp. | Canada / Consumer Finance | Senior Secured Notes (12.00%, due 3/1/2022)(8)(14) | 10,896 | 10,833 | 10,896 | 0.3% | ||||||
10,833 | 10,896 | 0.3% | ||||||||||
Digital Room, LLC | California / Commercial Services & Supplies | First Lien Term Loan (6.88% (LIBOR + 5.00% with 1.00% LIBOR floor), due 12/29/2023)(8)(13) | 9,975 | 9,878 | 9,878 | 0.3% | ||||||
Second Lien Term Loan (10.63% (LIBOR + 8.75% with 1.00% LIBOR floor), due 12/29/2024)(3)(8)(13) | 57,100 | 56,264 | 56,264 | 1.7% | ||||||||
66,142 | 66,142 | 2.0% | ||||||||||
Dunn Paper, Inc. | Georgia / Paper & Forest Products | Second Lien Term Loan (10.63% (LIBOR + 8.75% with 1.00% LIBOR floor), due 8/26/2023)(3)(8)(13) | 11,500 | 11,320 | 11,500 | 0.3% | ||||||
11,320 | 11,500 | 0.3% | ||||||||||
Easy Gardener Products, Inc. | Texas / Household Durables | Senior Secured Term Loan (11.69% (LIBOR + 10.00% with 0.25% LIBOR floor), due 09/30/2020)(3)(11) | 17,106 | 17,106 | 16,155 | 0.5% | ||||||
17,106 | 16,155 | 0.5% | ||||||||||
Engine Group, Inc.(7) | California / Media | Senior Secured Term Loan (7.05% (LIBOR + 4.75% with 1.00% LIBOR floor), due 9/15/2022)(8)(11) | 4,875 | 4,875 | 4,875 | 0.2% | ||||||
Second Lien Term Loan (11.05% (LIBOR + 8.75% with 1.00% LIBOR floor), due 9/15/2023)(3)(8)(11) | 35,000 | 35,000 | 35,000 | 1.0% | ||||||||
39,875 | 39,875 | 1.2% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
EXC Holdings III Corp. | Massachusetts / Technology Hardware, Storage & Peripherals | Second Lien Term Loan (9.71% (LIBOR + 7.50% with 1.00% LIBOR floor), due 12/01/2025)(8)(10) | $ | 12,500 | $ | 12,380 | $ | 12,500 | 0.4% | |||
12,380 | 12,500 | 0.4% | ||||||||||
Fleetwash, Inc. | New Jersey / Commercial Services & Supplies | Senior Secured Term Loan B (10.69% (LIBOR + 9.00% with 1.00% LIBOR floor), due 4/30/2022)(3)(11) | 21,544 | 21,544 | 21,544 | 0.6% | ||||||
Delayed Draw Term Loan – $15,000 Commitment (9.84% (LIBOR + 8.00% with 1.00% LIBOR floor), expires 4/30/2022)(11)(15) | — | — | — | —% | ||||||||
21,544 | 21,544 | 0.6% | ||||||||||
Galaxy XV CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 11.81%, due 10/15/2030)(5)(14) | 50,525 | 34,430 | 30,734 | 0.9% | ||||||
34,430 | 30,734 | 0.9% | ||||||||||
Galaxy XVI CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 4.64%, due 11/16/2025)(5)(14) | 24,575 | 16,933 | 13,965 | 0.4% | ||||||
16,933 | 13,965 | 0.4% | ||||||||||
Galaxy XVII CLO, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 5.40%, due 7/15/2026)(5)(6)(14) | 39,905 | 27,977 | 22,618 | 0.7% | ||||||
27,977 | 22,618 | 0.7% | ||||||||||
Halcyon Loan Advisors Funding 2012-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 0.00%, due 8/15/2023)(5)(14)(17) | 23,188 | 3,955 | 4,680 | 0.1% | ||||||
3,955 | 4,680 | 0.1% | ||||||||||
Halcyon Loan Advisors Funding 2013-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 0.00%, due 4/15/2025)(5)(14)(17) | 40,400 | 23,045 | 16,134 | 0.5% | ||||||
23,045 | 16,134 | 0.5% | ||||||||||
Halcyon Loan Advisors Funding 2014-1 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 5.03%, due 4/18/2026)(5)(14) | 24,500 | 14,476 | 12,075 | 0.4% | ||||||
14,476 | 12,075 | 0.4% | ||||||||||
Halcyon Loan Advisors Funding 2014-2 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 8.31%, due 4/28/2025)(5)(6)(14) | 41,164 | 25,092 | 19,801 | 0.6% | ||||||
25,092 | 19,801 | 0.6% | ||||||||||
Halcyon Loan Advisors Funding 2015-3 Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 19.19%, due 10/18/2027)(5)(6)(14) | 39,598 | 34,934 | 32,959 | 1.0% | ||||||
34,934 | 32,959 | 1.0% | ||||||||||
Harbortouch Payments, LLC | Pennsylvania / Commercial Services & Supplies | Escrow Receivable | — | — | 900 | —% | ||||||
— | 900 | —% | ||||||||||
HarbourView CLO VII, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 20.59%, due 11/18/2026)(5)(6)(14) | 19,025 | 15,549 | 13,823 | 0.4% | ||||||
15,549 | 13,823 | 0.4% | ||||||||||
Harley Marine Services, Inc. | Washington / Marine | Second Lien Term Loan (12.00% (LIBOR + 10.25% with 1.25% LIBOR floor), due 12/20/2019)(3)(8)(11) | 9,000 | 8,943 | 8,879 | 0.3% | ||||||
8,943 | 8,879 | 0.3% | ||||||||||
Ingenio, LLC | California / Internet Software and Services | Senior Secured Term Loan (9.50% (LIBOR + 7.50% with 1.25% LIBOR floor), due 9/26/2022)(3)(8)(11) | 10,000 | 10,000 | 10,000 | 0.3% | ||||||
10,000 | 10,000 | 0.3% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
Inpatient Care Management Company, LLC | Florida / Health Care Providers & Services | Senior Secured Term Loan (9.69% (LIBOR + 8.00% with 1.00% LIBOR floor), due 6/8/2021)(3)(11) | $ | 24,657 | $ | 24,657 | $ | 24,657 | 0.7% | |||
24,657 | 24,657 | 0.7% | ||||||||||
InterDent, Inc. | California / Health Care Providers & Services | Senior Secured Term Loan A (7.39% (LIBOR + 5.50% with 0.75% LIBOR floor), due 12/31/2017, past due)(13) | 77,994 | 77,994 | 77,950 | 2.3% | ||||||
Senior Secured Term Loan B (12.39% (LIBOR + 10.50% with 0.75% LIBOR floor), due 12/31/2017, past due)(13) | 131,125 | 131,125 | 128,039 | 3.8% | ||||||||
Senior Secured Term Loan C (18.00% PIK, due on demand)(46) | 3,012 | 3,012 | 2,560 | 0.1% | ||||||||
Warrants (to purchase 4,900 shares of Common Stock, expires 3/22/2030) | — | — | — | —% | ||||||||
212,131 | 208,549 | 6.2% | ||||||||||
Janus International Group, LLC | Georgia / Building Products | Second Lien Term Loan (9.49% (LIBOR + 7.75% with 1.00% LIBOR floor), due 2/12/2026)(13) | 10,000 | 9,902 | 10,000 | 0.3% | ||||||
9,902 | 10,000 | 0.3% | ||||||||||
JD Power and Associates | California / Capital Markets | Second Lien Term Loan (10.38% (LIBOR + 8.50% with 1.00% LIBOR floor), due 9/7/2024)(3)(8)(13) | 20,000 | 19,792 | 20,000 | 0.6% | ||||||
19,792 | 20,000 | 0.6% | ||||||||||
Jefferson Mill CLO Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 7.70%, due 7/20/2027)(5)(6)(14) | 19,500 | 16,286 | 12,489 | 0.4% | ||||||
16,286 | 12,489 | 0.4% | ||||||||||
K&N Parent, Inc. | California / Auto Components | Second Lien Term Loan (10.63% (LIBOR + 8.75% with 1.00% LIBOR floor), due 10/21/2024)(3)(8)(13) | 13,000 | 12,786 | 12,948 | 0.4% | ||||||
12,786 | 12,948 | 0.4% | ||||||||||
Keystone Acquisition Corp.(36) | Pennsylvania / Health Care Providers & Services | Second Lien Term Loan (11.55% (LIBOR + 9.25% with 1.00% LIBOR floor), due 5/1/2025)(3)(8)(11) | 50,000 | 50,000 | 50,000 | 1.5% | ||||||
50,000 | 50,000 | 1.5% | ||||||||||
LCM XIV Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 0.00%, due 7/15/2025)(5)(14)(17) | 30,500 | 19,520 | 13,337 | 0.4% | ||||||
19,520 | 13,337 | 0.4% | ||||||||||
Madison Park Funding IX, Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 28.65%, due 8/15/2022)(5)(14) | 43,110 | 1,829 | 1,890 | 0.1% | ||||||
1,829 | 1,890 | 0.1% | ||||||||||
Maverick Healthcare Equity, LLC | Arizona / Health Care Providers & Services | Preferred Units (10.00%, 1,250,000 units)(16) | — | 1,252 | 507 | —% | ||||||
Class A Common Units (1,250,000 units)(16) | — | — | — | —% | ||||||||
1,252 | 507 | —% | ||||||||||
MedMark Services, Inc. (51) | Texas / Health Care Providers & Services | Second Lien Term Loan (10.27% (LIBOR + 8.25% with 1.00% LIBOR floor), due 3/1/2025)(8)(11) | 7,000 | 6,930 | 6,952 | 0.2% | ||||||
6,930 | 6,952 | 0.2% | ||||||||||
Memorial MRI & Diagnostic, LLC | Texas / Health Care Providers & Services | Senior Secured Term Loan (10.81% (LIBOR + 8.50% with 1.00% LIBOR floor), due 3/16/2022)(11) | 37,240 | 37,240 | 37,240 | 1.1% | ||||||
37,240 | 37,240 | 1.1% | ||||||||||
Mountain View CLO 2013-I Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 15.87%, due 10/12/2030)(5)(14) | 43,650 | 27,873 | 23,699 | 0.7% | ||||||
27,873 | 23,699 | 0.7% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
Mountain View CLO IX Ltd. | Cayman Islands / Structured Finance | Subordinated Notes (Residual Interest, current yield 13.94%, due 7/15/2027)(5)(6)(14) | $ | 47,830 | $ | 40,436 | $ | 37,445 | 1.1% | |||
40,436 | 37,445 | 1.1% | ||||||||||
National Home Healthcare Corp. | Michigan / Health Care Providers & Services | Second Lien Term Loan (10.74% (LIBOR + 9.00% with 1.00% LIBOR floor), due 12/8/2022)(3)(8)(13) | 15,407 | 15,228 | 15,407 | 0.5% | ||||||
15,228 | 15,407 | 0.5% | ||||||||||
Octagon Investment Partners XV, Ltd. | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 14.76%, due 7/19/2030)(5)(14) | 42,064 | 31,433 | 26,490 | 0.8% | ||||||
31,433 | 26,490 | 0.8% | ||||||||||
Octagon Investment Partners 18-R Ltd. (f/k/a Octagon Investment Partners XVIII, Ltd.) | Cayman Islands / Structured Finance | Income Notes (Residual Interest, current yield 15.86%, due 4/16/2031)(5)(6)(14) | 46,016 | 26,236 | 23,418 | 0.7% | ||||||
26,236 | 23,418 | 0.7% | ||||||||||
Pacific World Corporation | California / Personal Products | Revolving Line of Credit – $21,000 Commitment (9.06% (LIBOR + 7.25% with 1.00% LIBOR floor), due 9/26/2020)(13)(15) | 20,825 | 20,825 | 20,825 | 0.6% | ||||||
Senior Secured Term Loan A (7.06% (LIBOR + 5.25% with 1.00% LIBOR floor), due 9/26/2020)(3)(13) | 96,500 | 96,500 | 93,856 | 2.8% | ||||||||
Senior Secured Term Loan B (11.06% (LIBOR + 9.25% with 1.00% LIBOR floor), due 9/26/2020)(3)(13) | 96,500 | 96,500 | 68,470 | 2.1% | ||||||||
Common Stock (6,778,414 units)(16) | — | — | — | —% | ||||||||
213,825 | 183,151 | 5.5% | ||||||||||
Pearl Intermediate Parent LLC | Connecticut / Health Care Providers & Services | Second Lien Term Loan (8.03% (LIBOR + 6.25%, due 2/15/2026)(8)(13) | 5,000 | 4,975 | 5,000 | 0.1% | ||||||
4,975 | 5,000 | 0.1% | ||||||||||
Pelican Products, Inc. | California / Chemicals | Second Lien Term Loan (10.13% (LIBOR + 8.25% with 1.00% LIBOR floor), due 4/9/2021)(3)(8)(13) | 17,500 | 17,491 | 17,500 | 0.5% | ||||||
17,491 | 17,500 | 0.5% | ||||||||||
PeopleConnect Intermediate, LLC (f/k/a Intelius, Inc.) | Washington / Internet Software & Services | Revolving Line of Credit – $1,000 Commitment (11.20% (LIBOR + 9.50% with 1.00% LIBOR floor), due 7/1/2020)(11)(15) | 500 | 500 | 500 | —% | ||||||
Senior Secured Term Loan A (8.20% (LIBOR + 6.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(11) | 19,069 | 19,069 | 19,069 | 0.6% | ||||||||
Senior Secured Term Loan B (14.20% (LIBOR + 12.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(11) | 20,284 | 20,284 | 20,284 | 0.6% | ||||||||
39,853 | 39,853 | 1.2% | ||||||||||
PGX Holdings, Inc.(40) | Utah / Diversified Consumer Services | Second Lien Term Loan (10.89% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/29/2021)(3)(13) | 118,289 | 118,289 | 118,289 | 3.5% | ||||||
118,289 | 118,289 | 3.5% | ||||||||||
PharMerica Corporation | Kentucky / Pharmaceuticals | Second Lien Term Loan (9.46% (LIBOR + 7.75% with 1.00% LIBOR floor), due 12/7/2025)(8)(13) | 12,000 | 11,881 | 12,000 | 0.4% | ||||||
11,881 | 12,000 | 0.4% | ||||||||||
Photonis Technologies SAS | France / Electronic Equipment, Instruments & Components | First Lien Term Loan (9.80% (LIBOR + 7.50% with 1.00% LIBOR floor), due 9/18/2019)(8)(11)(14) | 12,872 | 12,407 | 11,518 | 0.3% | ||||||
12,407 | 11,518 | 0.3% |
March 31, 2018 (Unaudited) | ||||||||||||
Portfolio Company | Locale / Industry | Investments(1)(44) | 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) | ||||||||||||
PlayPower, Inc. | North Carolina / Leisure Products | Second Lien Term Loan (11.05% (LIBOR + 8.75% with 1.00% LIBOR floor), due 6/23/2022)(3)(8)(11) | $ | 11,000 | $ | 10,898 | $ | 11,000 | 0.3% | |||
10,898 | 11,000 | 0.3% | ||||||||||
Research Now Group, Inc. | Connecticut / Professional Services | First Lien Term Loan (7.86% (LIBOR + 5.50% with 1.00% LIBOR floor), due 12/20/2024)(8)(10) | 10,000 | 9,518 | 9,649 | 0.3% | ||||||
Second Lien Term Loan (11.86% (LIBOR + 9.50% with 1.00% LIBOR floor), due 12/20/2025)(8)(10) | 50,000 | 46,610 | 47,229 | 1.4% | ||||||||
56,128 | 56,878 | 1.7% | ||||||||||
RGIS Services, LLC | Michigan / Commercial Services & Supplies | Senior Secured Term Loan (9.38% (LIBOR + 7.50% with 1.00% LIBOR floor), due 3/31/2023)(3)(8)(13) | 30,172< |