|
Maryland
|
| |
47-3258730
|
|
|
(State or other jurisdiction of
incorporation or organization) |
| |
(I.R.S. Employer
Identification No.) |
|
|
201 Rouse Boulevard
Philadelphia, Pennsylvania |
| |
19112
|
|
|
(Address of principal executive offices)
|
| |
(Zip Code)
|
|
| Large accelerated filer | | | ☐ | | | Accelerated filer | | | ☐ | |
| Non-accelerated filer | | | ☒ (Do not check if a smaller reporting company) | | | Smaller reporting company | | | ☐ | |
| | | | | | | Emerging growth company | | | ☒ | |
| | |
Page
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| |||
PART I—FINANCIAL INFORMATION | | | | | | | |
ITEM 1.
FINANCIAL STATEMENTS
|
| | | | | | |
| | | | 1 | | | |
| | | | 2 | | | |
| | | | 3 | | | |
| | | | 4 | | | |
| | | | 5 | | | |
| | | | 12 | | | |
| | | | 40 | | | |
| | | | 56 | | | |
| | | | 57 | | | |
PART II—OTHER INFORMATION | | | | | | | |
| | | | 58 | | | |
| | | | 58 | | | |
| | | | 58 | | | |
| | | | 58 | | | |
| | | | 58 | | | |
| | | | 58 | | | |
| | | | 59 | | | |
| | | | 62 | | |
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||
Assets | | | | | | | | | | | | | |
Investments, at fair value (amortized cost—$261,277 and $262,292, respectively)
|
| | | $ | 262,195 | | | | | $ | 267,170 | | |
Cash
|
| | | | 38,691 | | | | | | 31,977 | | |
Due from counterparty
|
| | | | 71,500 | | | | | | 70,500 | | |
Receivable for investments sold and repaid
|
| | | | 25 | | | | | | 1,850 | | |
Interest receivable
|
| | | | 3,216 | | | | | | 3,128 | | |
Receivable due on total return swap
(1)
|
| | | | 938 | | | | | | 795 | | |
Unrealized appreciation on total return swap
(1)
|
| | | | — | | | | | | 868 | | |
Prepaid expenses and other assets
|
| | | | 50 | | | | | | 18 | | |
Total assets
|
| | | $ | 376,615 | | | | | $ | 376,306 | | |
Liabilities | | | | | | | | | | | | | |
Unrealized depreciation on total return swap
(1)
|
| | | $ | 1,889 | | | | | $ | — | | |
Payable for investments purchased
|
| | | | 1,242 | | | | | | — | | |
Credit facility payable
(1)
|
| | | | 19,900 | | | | | | 19,900 | | |
Stockholder distributions payable
|
| | | | 804 | | | | | | 258 | | |
Distribution fees payable
|
| | | | 672 | | | | | | 302 | | |
Management fees payable
|
| | | | 1,415 | | | | | | 1,596 | | |
Subordinated income incentive fees payable
(2)
|
| | | | 372 | | | | | | — | | |
Accrued capital gains incentive fees
(2)
|
| | | | 828 | | | | | | 1,981 | | |
Administrative services expense payable
|
| | | | 106 | | | | | | 47 | | |
Interest payable
(1)
|
| | | | 165 | | | | | | 75 | | |
Directors’ fees payable
|
| | | | 76 | | | | | | 110 | | |
Other accrued expenses and liabilities
|
| | | | 457 | | | | | | 500 | | |
Total liabilities
|
| | | | 27,926 | | | | | | 24,769 | | |
Commitments and contingencies (3) | | | | | | | | | | | | | |
Stockholders’ equity | | | | | | | | | | | | | |
Preferred stock, $0.001 par value, 50,000,000 shares authorized, none issued and outstanding
|
| | | | — | | | | | | — | | |
Class A common stock, $0.001 par value, 250,000,000 shares authorized, none issued and outstanding
|
| | | | — | | | | | | — | | |
Class D common stock, $0.001 par value, 250,000,000 shares authorized, none issued and outstanding
|
| | | | — | | | | | | — | | |
Class T common stock, $0.001 par value, 250,000,000 shares authorized, 31,791,118 and 31,614,476 shares issued and outstanding, respectively
|
| | | | 32 | | | | | | 32 | | |
Class I common stock, $0.001 par value, 350,000,000 shares authorized, none issued and outstanding
|
| | | | — | | | | | | — | | |
Capital in excess of par value
|
| | | | 344,835 | | | | | | 342,864 | | |
Accumulated undistributed net realized gains (losses) on investments and total return swap
(4)
|
| | | | 11,158 | | | | | | 5,371 | | |
Accumulated undistributed distributions in excess of net investment income
(4)
|
| | | | (6,365 ) | | | | | | (2,476 ) | | |
Net unrealized appreciation (depreciation) on investments and total return swap
|
| | | | (971 ) | | | | | | 5,746 | | |
Total stockholders’ equity
|
| | | | 348,689 | | | | | | 351,537 | | |
Total liabilities and stockholders’ equity
|
| | | $ | 376,615 | | | | | $ | 376,306 | | |
Net asset value per share of common stock at period end
|
| | | $ | 10.97 | | | | | $ | 11.12 | | |
| | |
Three Months Ended
June 30, |
| |
Six Months Ended
June 30, |
| ||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||
Investment income | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income
|
| | | $ | 6,026 | | | | | $ | 3,788 | | | | | $ | 12,115 | | | | | $ | 5,762 | | |
Paid-in-kind interest income
|
| | | | 283 | | | | | | 9 | | | | | | 562 | | | | | | 20 | | |
Fee income
|
| | | | 528 | | | | | | 585 | | | | | | 558 | | | | | | 1,959 | | |
Dividend income
|
| | | | — | | | | | | — | | | | | | 15 | | | | | | — | | |
Total investment income
|
| | | | 6,837 | | | | | | 4,382 | | | | | | 13,250 | | | | | | 7,741 | | |
Operating expenses | | | | | | | | | | | | | | | | | | | | | | | | | |
Management fees
(1)
|
| | | | 1,436 | | | | | | 1,354 | | | | | | 3,293 | | | | | | 2,381 | | |
Subordinated income incentive fees
(2)
|
| | | | 372 | | | | | | — | | | | | | 372 | | | | | | — | | |
Capital gains incentive fees
(2)
|
| | | | (179 ) | | | | | | 214 | | | | | | (914 ) | | | | | | 911 | | |
Administrative services expenses
|
| | | | 153 | | | | | | 100 | | | | | | 231 | | | | | | 200 | | |
Stock transfer agent fees
|
| | | | 50 | | | | | | 37 | | | | | | 100 | | | | | | 107 | | |
Accounting and administrative fees
|
| | | | 27 | | | | | | 30 | | | | | | 78 | | | | | | 54 | | |
Interest expense
(3)
|
| | | | 236 | | | | | | 205 | | | | | | 458 | | | | | | 251 | | |
Distribution fees
|
| | | | 1,440 | | | | | | 988 | | | | | | 2,061 | | | | | | 1,304 | | |
Offering costs
|
| | | | — | | | | | | 471 | | | | | | — | | | | | | 852 | | |
Directors’ fees
|
| | | | 76 | | | | | | 96 | | | | | | 360 | | | | | | 185 | | |
Other general and administrative expenses
|
| | | | 240 | | | | | | 264 | | | | | | 544 | | | | | | 517 | | |
Operating expenses
|
| | | | 3,851 | | | | | | 3,759 | | | | | | 6,583 | | | | | | 6,762 | | |
Management fee waiver
(1)
|
| | | | (21 ) | | | | | | (169 ) | | | | | | (253 ) | | | | | | (258 ) | | |
Add: Expense recoupment to sponsor
(4)
|
| | | | — | | | | | | — | | | | | | — | | | | | | 666 | | |
Net expenses
|
| | | | 3,830 | | | | | | 3,590 | | | | | | 6,330 | | | | | | 7,170 | | |
Net investment income (loss)
|
| | | | 3,007 | | | | | | 792 | | | | | | 6,920 | | | | | | 571 | | |
Realized and unrealized gain/loss | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on investments
|
| | | | 272 | | | | | | 499 | | | | | | 722 | | | | | | 818 | | |
Net realized gain (loss) on total return swap
(3)
|
| | | | 2,588 | | | | | | 3,388 | | | | | | 5,065 | | | | | | 5,063 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | 647 | | | | | | 751 | | | | | | (3,960 ) | | | | | | 2,192 | | |
Net change in unrealized appreciation (depreciation) on total return swap
(3)
|
| | | | (2,637 ) | | | | | | (1,245 ) | | | | | | (2,757 ) | | | | | | 436 | | |
Total net realized and unrealized gain/loss
|
| | | | 870 | | | | | | 3,393 | | | | | | (930 ) | | | | | | 8,509 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 3,877 | | | | | $ | 4,185 | | | | | $ | 5,990 | | | | | $ | 9,080 | | |
Per share information—basic and diluted | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations (Earnings per Share)
|
| | | $ | 0.12 | | | | | $ | 0.19 | | | | | $ | 0.19 | | | | | $ | 0.46 | | |
Weighted average shares outstanding
|
| | | | 31,649,628 | | | | | | 21,946,297 | | | | | | 31,649,011 | | | | | | 19,645,725 | | |
| | |
Six Months Ended
June 30, |
| |||||||||
| | |
2018
|
| |
2017
|
| ||||||
Operations | | | | | | | | | | | | | |
Net investment income (loss)
|
| | | $ | 6,920 | | | | | $ | 571 | | |
Net realized gain (loss) on investments and total return swap
(1)
|
| | | | 5,787 | | | | | | 5,881 | | |
Net change in unrealized appreciation (depreciation) on investments
|
| | | | (3,960 ) | | | | | | 2,192 | | |
Net change in unrealized appreciation (depreciation) on total return swap
(1)
|
| | | | (2,757 ) | | | | | | 436 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 5,990 | | | | | | 9,080 | | |
Stockholder distributions (2) | | | | | | | | | | | | | |
Distributions from net investment income
|
| | | | (10,809 ) | | | | | | (5,597 ) | | |
Distributions from net realized gain on investments
|
| | | | — | | | | | | (2,032 ) | | |
Net decrease in net assets resulting from stockholder distributions
|
| | | | (10,809 ) | | | | | | (7,629 ) | | |
Capital share transactions (3) | | | | | | | | | | | | | |
Issuance of common stock
|
| | | | — | | | | | | 109,381 | | |
Reinvestment of stockholder distributions
|
| | | | 6,431 | | | | | | 4,670 | | |
Repurchases of common stock
|
| | | | (4,460 ) | | | | | | (738 ) | | |
Net increase in net assets resulting from capital share transactions
|
| | | | 1,971 | | | | | | 113,313 | | |
Total increase (decrease) in net assets
|
| | | | (2,848 ) | | | | | | 114,764 | | |
Net assets at beginning of period
|
| | | | 351,537 | | | | | | 161,996 | | |
Net assets at end of period
|
| | | $ | 348,689 | | | | | $ | 276,760 | | |
Accumulated distributions in excess of net investment income
(2)
|
| | | $ | (6,365 ) | | | | | $ | (6,449 ) | | |
| | |
Six Months Ended
June 30, |
| |||||||||
| | |
2018
|
| |
2017
|
| ||||||
Cash flows from operating activities | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations
|
| | | $ | 5,990 | | | | | $ | 9,080 | | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
|
| | | | | | | | | | | | |
Purchases of investments
|
| | | | (51,503 ) | | | | | | (173,105 ) | | |
Paid-in-kind interest
|
| | | | (562 ) | | | | | | (20 ) | | |
Proceeds from sales and repayments of investments
|
| | | | 54,089 | | | | | | 37,953 | | |
Net realized (gain) loss on investments
|
| | | | (722 ) | | | | | | (818 ) | | |
Net change in unrealized (appreciation) depreciation on investments
|
| | | | 3,960 | | | | | | (2,192 ) | | |
Net change in unrealized (appreciation) depreciation on total return swap
(1)
|
| | | | 2,757 | | | | | | (436 ) | | |
Accretion of discount
|
| | | | (287 ) | | | | | | (143 ) | | |
Amortization of deferred financing costs
|
| | | | — | | | | | | 26 | | |
(Increase) decrease in due from counterparty
|
| | | | (1,000 ) | | | | | | (18,500 ) | | |
(Increase) decrease in receivable for investments sold and repaid
|
| | | | 1,825 | | | | | | 12,480 | | |
(Increase) decrease in interest receivable
|
| | | | (88 ) | | | | | | (995 ) | | |
(Increase) decrease in receivable due on total return swap
(1)
|
| | | | (143 ) | | | | | | (1,600 ) | | |
(Increase) decrease in prepaid expenses and other assets
|
| | | | (32 ) | | | | | | (17 ) | | |
Increase (decrease) in payable for investments purchased
|
| | | | 1,242 | | | | | | 860 | | |
Increase (decrease) in distribution fees payable
|
| | | | 370 | | | | | | 608 | | |
Increase (decrease) in management fees payable
|
| | | | (181 ) | | | | | | 369 | | |
Increase (decrease) in subordinated income incentive fees payable
|
| | | | 372 | | | | | | — | | |
Increase (decrease) in accrued capital gains incentive fees
|
| | | | (1,153 ) | | | | | | 426 | | |
Increase (decrease) in administrative services expense payable
|
| | | | 59 | | | | | | (58 ) | | |
Increase (decrease) in interest payable
(1)
|
| | | | 90 | | | | | | 70 | | |
Increase (decrease) in directors’ fees payable
|
| | | | (34 ) | | | | | | 24 | | |
Increase (decrease) in other accrued expenses and liabilities
|
| | | | (43 ) | | | | | | 66 | | |
Net cash provided by (used in) operating activities
|
| | | | 15,006 | | | | | | (135,922 ) | | |
Cash flows from financing activities | | | | | | | | | | | | | |
Issuance of common stock
|
| | | | — | | | | | | 109,381 | | |
Reinvestment of stockholder distributions
|
| | | | 6,431 | | | | | | 4,670 | | |
Repurchases of common stock
|
| | | | (4,460 ) | | | | | | (738 ) | | |
Stockholder distributions
|
| | | | (10,263 ) | | | | | | (7,572 ) | | |
Borrowings under credit facility
(1)
|
| | | | 10,000 | | | | | | 24,800 | | |
Repayment under credit facility
(1)
|
| | | | (10,000 ) | | | | | | (4,900 ) | | |
Deferred financing costs paid
|
| | | | — | | | | | | (75 ) | | |
Net cash provided by financing activities
|
| | | | (8,292 ) | | | | | | 125,566 | | |
Total increase (decrease) in cash
|
| | | | 6,714 | | | | | | (10,356 ) | | |
Cash at beginning of period
|
| | | | 31,977 | | | | | | 47,008 | | |
Cash at end of period
|
| | | $ | 38,691 | | | | | $ | 36,652 | | |
Supplemental disclosure | | | | | | | | | | | | | |
Excise and state taxes paid
|
| | | $ | 225 | | | | | $ | 43 | | |
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount (c) |
| |
Amortized
Cost |
| |
Fair
Value (d) |
| ||||||||||||
Senior Secured Loans—First Lien—40.8% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actian Corp.
|
| | | | | Software & Services | | |
L+786
|
| | | | 1.0 % | | | |
6/30/22
|
| | | $ | 1,524 | | | | | $ | 1,524 | | | | | $ | 1,569 | | |
AG Group Merger Sub, Inc.
|
| | | | |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0 % | | | |
12/29/23
|
| | | | 8,771 | | | | | | 8,771 | | | | | | 9,034 | | |
All Systems Holding LLC
|
| | | | |
Commercial & Professional Services
|
| |
L+767
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 3,341 | | | | | | 3,341 | | | | | | 3,441 | | |
AVF Parent, LLC
|
| | | | | Retailing | | |
L+725
|
| | | | 1.3 % | | | |
3/1/24
|
| | | | 14,032 | | | | | | 14,032 | | | | | | 13,302 | | |
Borden Dairy Co.
|
| | | | | Food, Beverage & Tobacco | | |
L+821
|
| | | | 1.0 % | | | |
7/6/23
|
| | | | 4,375 | | | | | | 4,375 | | | | | | 4,441 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
11/1/21
|
| | | | 9 | | | | | | 9 | | | | | | 8 | | |
CSafe Acquisition Co., Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
11/1/21
|
| | | | 252 | | | | | | 252 | | | | | | 246 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 2,244 | | | | | | 2,244 | | | | | | 2,182 | | |
CSafe Acquisition Co., Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 943 | | | | | | 943 | | | | | | 917 | | |
Dade Paper & Bag, LLC
|
| | | | | Capital Goods | | |
L+700
|
| | | | 1.0 % | | | |
6/10/24
|
| | | | 424 | | | | | | 424 | | | | | | 420 | | |
Dade Paper & Bag, LLC
|
| | | | | Capital Goods | | |
L+750
|
| | | | 1.0 % | | | |
6/10/24
|
| | | | 3,327 | | | | | | 3,327 | | | | | | 3,365 | | |
Eagle Family Foods Group LLC
|
| | | | | Food, Beverage & Tobacco | | |
L+650
|
| | | | 1.0 % | | | |
6/14/23
|
| | | | 84 | | | | | | 83 | | | | | | 83 | | |
Eagle Family Foods Group LLC
|
| |
(e)
|
| | Food, Beverage & Tobacco | | |
L+650
|
| | | | 1.0 % | | | |
6/14/23
|
| | | | 295 | | | | | | 291 | | | | | | 291 | | |
Eagle Family Foods Group LLC
|
| | | | | Food, Beverage & Tobacco | | |
L+650
|
| | | | 1.0 % | | | |
6/14/24
|
| | | | 2,526 | | | | | | 2,498 | | | | | | 2,498 | | |
Empire Today, LLC
|
| | | | | Retailing | | |
L+800
|
| | | | 1.0 % | | | |
11/17/22
|
| | | | 2,955 | | | | | | 2,955 | | | | | | 2,985 | | |
FullBeauty Brands Holdings Corp.
|
| | | | | Consumer Durables & Apparel | | |
L+800
|
| | | | 1.0 % | | | |
10/14/20
|
| | | | 7,000 | | | | | | 7,000 | | | | | | 7,000 | | |
GC Agile Intermediate Holdings Ltd.
|
| |
(e)(g)
|
| |
Commercial & Professional Services
|
| |
L+650
|
| | | | | | | |
6/15/23
|
| | | | 211 | | | | | | 205 | | | | | | 205 | | |
GC Agile Intermediate Holdings Ltd.
|
| |
(g)
|
| |
Commercial & Professional Services
|
| |
L+650
|
| | | | 1.0 % | | | |
6/15/25
|
| | | | 1,437 | | | | | | 1,408 | | | | | | 1,408 | | |
GC Agile Intermediate Holdings Ltd.
|
| |
(e)(g)
|
| |
Commercial & Professional Services
|
| |
L+650
|
| | | | 1.0 % | | | |
6/15/25
|
| | | | 690 | | | | | | 676 | | | | | | 676 | | |
GC Agile Intermediate Holdings Ltd.
|
| |
(e)(g)
|
| |
Commercial & Professional Services
|
| |
L+650
|
| | | | 1.0 % | | | |
6/15/25
|
| | | | 575 | | | | | | 563 | | | | | | 563 | | |
Harrison Gypsum, LLC
|
| | | | | Materials | | |
L+700
|
| | | | 1.0 % | | | |
4/29/24
|
| | | | 2,682 | | | | | | 2,656 | | | | | | 2,651 | | |
Harrison Gypsum, LLC
|
| |
(e)
|
| | Materials | | |
L+700
|
| | | | 1.0 % | | | |
4/29/24
|
| | | | 858 | | | | | | 858 | | | | | | 848 | | |
Hudson Technologies Co.
|
| |
(g)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0 % | | | |
10/10/23
|
| | | | 5,678 | | | | | | 5,678 | | | | | | 4,876 | | |
Hudson Technologies Co.
|
| |
(e)(g)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0 % | | | |
10/10/23
|
| | | | 1,359 | | | | | | 1,359 | | | | | | 1,167 | | |
Icynene U.S. Acquisition Corp.
|
| |
(g)
|
| | Materials | | |
L+700
|
| | | | 1.0 % | | | |
11/30/24
|
| | | | 6,965 | | | | | | 6,965 | | | | | | 7,170 | | |
JSS Holdings, Inc.
|
| | | | | Capital Goods | | |
L+800, 0.0% PIK (2.5% Max PIK)
|
| | | | 1.0 % | | | |
3/31/23
|
| | | | 9,947 | | | | | | 9,864 | | | | | | 10,438 | | |
JSS Holdings, Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+800, 0.0% PIK (2.5% Max PIK)
|
| | | | 1.0 % | | | |
3/31/23
|
| | | | 1,818 | | | | | | 1,818 | | | | | | 1,908 | | |
Kodiak BP, LLC
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
12/1/24
|
| | | | 12,911 | | | | | | 12,911 | | | | | | 12,766 | | |
Kodiak BP, LLC
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
12/1/24
|
| | | | 582 | | | | | | 582 | | | | | | 575 | | |
Murray Energy Corp.
|
| | | | | Energy | | |
L+900
|
| | | | 1.0 % | | | |
2/12/21
|
| | | | 1,000 | | | | | | 993 | | | | | | 993 | | |
North Haven Cadence Buyer, Inc.
|
| |
(e)
|
| | Consumer Services | | |
L+500
|
| | | | 1.0 % | | | |
9/2/21
|
| | | | 188 | | | | | | 187 | | | | | | 187 | | |
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount (c) |
| |
Amortized
Cost |
| |
Fair
Value (d) |
| ||||||||||||
North Haven Cadence Buyer, Inc.
|
| | | | | Consumer Services | | |
L+804
|
| | | | 1.0 % | | | |
9/2/22
|
| | | $ | 4,422 | | | | | $ | 4,422 | | | | | $ | 4,422 | | |
North Haven Cadence Buyer, Inc.
|
| |
(e)
|
| | Consumer Services | | |
L+750
|
| | | | 1.0 % | | | |
9/2/22
|
| | | | 479 | | | | | | 479 | | | | | | 479 | | |
One Call Corp.
|
| | | | |
Health Care Equipment & Services
|
| |
L+375, 6.0% PIK (6.0% Max PIK)
|
| | | | | | | |
4/11/24
|
| | | | 1,343 | | | | | | 1,330 | | | | | | 1,327 | | |
Power Distribution, Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.3 % | | | |
1/25/23
|
| | | | 4,916 | | | | | | 4,916 | | | | | | 5,033 | | |
Propulsion Acquisition, LLC
|
| |
(k)
|
| |
Commercial & Professional Services
|
| |
L+600
|
| | | | 1.0 % | | | |
7/13/21
|
| | | | 8,324 | | | | | | 8,228 | | | | | | 8,240 | | |
Safariland, LLC
|
| | | | | Capital Goods | | |
L+768
|
| | | | 1.1 % | | | |
11/18/23
|
| | | | 4,766 | | | | | | 4,766 | | | | | | 4,367 | | |
Sequel Youth and Family Services, LLC
|
| | | | |
Health Care Equipment & Services
|
| |
L+776
|
| | | | 1.0 % | | | |
9/1/22
|
| | | | 8,229 | | | | | | 8,229 | | | | | | 8,311 | | |
Sequel Youth and Family Services, LLC
|
| |
(e)
|
| |
Health Care Equipment & Services
|
| |
L+700
|
| | | | 1.0 % | | | |
9/1/22
|
| | | | 412 | | | | | | 412 | | | | | | 416 | | |
SSC (Lux) Limited S.Ã r.l.
|
| |
(g)
|
| |
Health Care Equipment & Services
|
| |
L+750
|
| | | | 1.0 % | | | |
9/10/24
|
| | | | 4,545 | | | | | | 4,545 | | | | | | 4,642 | | |
Strike, LLC
|
| |
(k)
|
| | Energy | | |
L+800
|
| | | | 1.0 % | | | |
5/30/19
|
| | | | 305 | | | | | | 304 | | | | | | 307 | | |
Trace3, LLC
|
| |
(h)
|
| | Software & Services | | |
L+750
|
| | | | 1.0 % | | | |
6/6/23
|
| | | | 3,097 | | | | | | 3,097 | | | | | | 3,136 | | |
VP Parent Holdings, Inc.
|
| | | | | Software & Services | | |
L+650
|
| | | | 1.0 % | | | |
5/22/25
|
| | | | 8,222 | | | | | | 8,142 | | | | | | 8,148 | | |
Westbridge Technologies, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+850
|
| | | | 1.0 % | | | |
4/28/23
|
| | | | 2,925 | | | | | | 2,875 | | | | | | 2,976 | | |
York Risk Services Holding Corp.
|
| |
(k)
|
| | Insurance | | |
L+375
|
| | | | 1.0 % | | | |
10/1/21
|
| | | | 985 | | | | | | 979 | | | | | | 958 | | |
Total Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 151,516 | | | | | | 150,975 | | |
Unfunded Loan Commitments
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | (8,625 ) | | | | | | (8,625 ) | | |
Net Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 142,891 | | | | | | 142,350 | | |
Senior Secured Loans—Second Lien—6.7% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Chisholm Oil and Gas Operating, LLC
|
| | | | | Energy | | |
L+800
|
| | | | 1.0 % | | | |
3/21/24
|
| | | | 6,000 | | | | | | 6,000 | | | | | | 5,960 | | |
LBM Borrower, LLC
|
| |
(k)
|
| | Capital Goods | | |
L+925
|
| | | | 1.0 % | | | |
8/20/23
|
| | | | 2,427 | | | | | | 2,382 | | | | | | 2,445 | | |
LTI Holdings, Inc.
|
| |
(k)
|
| | Materials | | |
L+875
|
| | | | 1.0 % | | | |
5/16/25
|
| | | | 3,000 | | | | | | 2,948 | | | | | | 3,045 | | |
TKC Holdings, Inc.
|
| |
(k)
|
| | Retailing | | |
L+800
|
| | | | 1.0 % | | | |
2/1/24
|
| | | | 8,500 | | | | | | 8,487 | | | | | | 8,528 | | |
TravelCLICK, Inc.
|
| |
(k)
|
| | Software & Services | | |
L+775
|
| | | | 1.0 % | | | |
11/6/21
|
| | | | 3,365 | | | | | | 3,379 | | | | | | 3,367 | | |
Total Senior Secured Loans—Second Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 23,196 | | | | | | 23,345 | | |
Senior Secured Bonds—6.9% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
APX Group, Inc.
|
| |
(f)(k)
|
| | Consumer Services | | |
7.9%
|
| | | | | | | |
12/1/22
|
| | | | 2,079 | | | | | | 2,065 | | | | | | 2,066 | | |
AssuredPartners, Inc.
|
| |
(f)(k)
|
| | Insurance | | |
7.0%
|
| | | | | | | |
8/15/25
|
| | | | 5,682 | | | | | | 5,682 | | | | | | 5,476 | | |
Avantor, Inc.
|
| |
(f)(k)
|
| | Materials | | |
6.0%
|
| | | | | | | |
10/1/24
|
| | | | 1,282 | | | | | | 1,282 | | | | | | 1,271 | | |
Black Swan Energy Ltd.
|
| |
(g)
|
| | Energy | | |
9.0%
|
| | | | | | | |
1/20/24
|
| | | | 1,334 | | | | | | 1,334 | | | | | | 1,321 | | |
Boyne USA Inc.
|
| |
(f)(k)
|
| | Consumer Services | | |
7.3%
|
| | | | | | | |
5/1/25
|
| | | | 16 | | | | | | 17 | | | | | | 17 | | |
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount (c) |
| |
Amortized
Cost |
| |
Fair
Value (d) |
| |||||||||
CSVC Acquisition Corp.
|
| |
(f)(k)
|
| | Diversified Financials | | |
7.8%
|
| | | | |
6/15/25
|
| | | $ | 9,183 | | | | | $ | 9,183 | | | | | $ | 7,446 | | |
DJO Finance LLC
|
| |
(f)(k)
|
| |
Health Care Equipment & Services
|
| |
8.1%
|
| | | | |
6/15/21
|
| | | | 723 | | | | | | 729 | | | | | | 734 | | |
Eagle Intermediate Global Holding B.V.
|
| |
(f)(g)(k)
|
| | Consumer Durables & Apparel | | |
7.5%
|
| | | | |
5/1/25
|
| | | | 538 | | | | | | 550 | | | | | | 538 | | |
Genesys Telecommunications Laboratories, Inc.
|
| |
(f)(k)
|
| | Software & Services | | |
10.0%
|
| | | | |
11/30/24
|
| | | | 428 | | | | | | 476 | | | | | | 477 | | |
JW Aluminum Co.
|
| |
(f)(k)
|
| | Materials | | |
10.3%
|
| | | | |
6/1/26
|
| | | | 759 | | | | | | 759 | | | | | | 763 | | |
Pisces Midco Inc.
|
| |
(f)(k)
|
| | Capital Goods | | |
8.0%
|
| | | | |
4/15/26
|
| | | | 730 | | | | | | 717 | | | | | | 705 | | |
Velvet Energy Ltd.
|
| |
(g)
|
| | Energy | | |
9.0%
|
| | | | |
10/5/23
|
| | | | 3,000 | | | | | | 3,000 | | | | | | 3,135 | | |
Total Senior Secured Bonds
|
| | | | | | | | | | | | | | | | | | | | | | | | | 25,794 | | | | | | 23,949 | | |
Subordinated Debt—18.6% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AmWINS Group, Inc.
|
| |
(f)(h)
|
| | Insurance | | |
7.8%
|
| | | | |
7/1/26
|
| | | | 481 | | | | | | 481 | | | | | | 481 | | |
APX Group, Inc.
|
| |
(f)(k)
|
| | Consumer Services | | |
8.8%
|
| | | | |
12/1/20
|
| | | | 569 | | | | | | 510 | | | | | | 545 | | |
Ascent Resources Utica Holdings, LLC
|
| |
(f)(k)
|
| | Energy | | |
10.0%
|
| | | | |
4/1/22
|
| | | | 10,000 | | | | | | 10,000 | | | | | | 11,013 | | |
Avantor, Inc.
|
| |
(f)(k)
|
| | Materials | | |
9.0%
|
| | | | |
10/1/25
|
| | | | 12,500 | | | | | | 12,502 | | | | | | 12,612 | | |
CEC Entertainment, Inc.
|
| |
(f)(k)
|
| | Consumer Services | | |
8.0%
|
| | | | |
2/15/22
|
| | | | 7,297 | | | | | | 6,949 | | | | | | 6,458 | | |
ClubCorp Holdings, Inc.
|
| |
(f)(h)(k)
|
| | Consumer Services | | |
8.5%
|
| | | | |
9/15/25
|
| | | | 1,946 | | | | | | 1,873 | | | | | | 1,851 | | |
Exterran Energy Solutions, L.P.
|
| |
(f)(g)(k)
|
| | Capital Goods | | |
8.1%
|
| | | | |
5/1/25
|
| | | | 5,143 | | | | | | 5,143 | | | | | | 5,473 | | |
Great Lakes Dredge & Dock Corp.
|
| |
(f)(g)(k)
|
| | Capital Goods | | |
8.0%
|
| | | | |
5/15/22
|
| | | | 7,000 | | | | | | 7,000 | | | | | | 7,162 | | |
P.F. Chang’s China Bistro, Inc.
|
| |
(f)(k)
|
| | Consumer Services | | |
10.3%
|
| | | | |
6/30/20
|
| | | | 3,624 | | | | | | 3,370 | | | | | | 3,343 | | |
Quorum Health Corp.
|
| |
(f)(k)
|
| |
Health Care Equipment & Services
|
| |
11.6%
|
| | | | |
4/15/23
|
| | | | 491 | | | | | | 489 | | | | | | 492 | | |
S1 Blocker Buyer Inc.
|
| |
(f)
|
| |
Commercial & Professional Services
|
| |
10.0% PIK (10.0% Max PIK)
|
| | | | |
10/31/22
|
| | | | 8 | | | | | | 8 | | | | | | 8 | | |
SRS Distribution Inc.
|
| |
(f)(k)
|
| | Capital Goods | | |
8.3%
|
| | | | |
7/1/26
|
| | | | 2,180 | | | | | | 2,170 | | | | | | 2,184 | | |
Stars Group Holdings B.V.
|
| |
(f)(g)(h)(k)
|
| | Consumer Services | | |
7.0%
|
| | | | |
7/15/26
|
| | | | 521 | | | | | | 521 | | | | | | 528 | | |
Surgery Center Holdings, Inc.
|
| |
(f)(k)
|
| |
Health Care Equipment & Services
|
| |
6.8%
|
| | | | |
7/1/25
|
| | | | 499 | | | | | | 474 | | | | | | 474 | | |
Team Health Holdings Inc
|
| |
(f)(k)
|
| |
Health Care Equipment & Services
|
| |
6.4%
|
| | | | |
2/1/25
|
| | | | 1,635 | | | | | | 1,437 | | | | | | 1,407 | | |
Vertiv Group Corp.
|
| |
(f)(k)
|
| | Capital Goods | | |
9.3%
|
| | | | |
10/15/24
|
| | | | 2,903 | | | | | | 2,830 | | | | | | 2,876 | | |
York Risk Services Holding Corp.
|
| |
(f)(k)
|
| | Insurance | | |
8.5%
|
| | | | |
10/1/22
|
| | | | 8,695 | | | | | | 8,283 | | | | | | 7,994 | | |
Total Subordinated Debt
|
| | | | | | | | | | | | | | | | | | | | | | | | | 64,040 | | | | | | 64,901 | | |
|
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value (d) |
| ||||||||||||
Equity/Other—2.2% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASG Everglades Holdings, Inc., Warrants
|
| |
(i)
|
| | Software & Services | | | | | | | | | | | 6/27/22 | | | | | | 12,081 | | | | | $ | 344 | | | | | $ | 340 | | |
Chisholm Oil and Gas, LLC, Series A Units
|
| |
(i)(j)
|
| | Energy | | | | | | | | | | | | | | | | | 75,000 | | | | | | 75 | | | | | | 61 | | |
CSF Group Holdings, Inc., Common Equity
|
| |
(i)
|
| | Capital Goods | | | | | | | | | | | | | | | | | 17,400 | | | | | | 17 | | | | | | 15 | | |
Escape Velocity Holdings, Inc., Common Equity
|
| |
(i)
|
| | Software & Services | | | | | | | | | | | | | | | | | 1,545 | | | | | | 16 | | | | | | 56 | | |
H.I.G. Empire Holdco, Inc., Common Equity
|
| |
(i)
|
| | Retailing | | | | | | | | | | | | | | | | | 14 | | | | | | 41 | | | | | | 40 | | |
JSS Holdco, LLC, Net Profits Interest
|
| |
(i)
|
| | Capital Goods | | | | | | | | | | | | | | | | | — | | | | | | — | | | | | | 59 | | |
JW Aluminum Co., Common Equity
|
| |
(i)
|
| | Materials | | | | | | | | | | | | | | | | | 41 | | | | | | — | | | | | | — | | |
JW Aluminum Co., Preferred Equity
|
| | | | | Materials | | |
12.5% PIK
|
| | | | | | | 11/17/25 | | | | | | 1,003 | | | | | | 4,158 | | | | | | 6,262 | | |
North Haven Cadence TopCo, LLC, Common Equity
|
| |
(i)
|
| | Consumer Services | | | | | | | | | | | | | | | | | 208,333 | | | | | | 208 | | | | | | 323 | | |
PDI Parent LLC, Common Equity
|
| |
(i)
|
| | Capital Goods | | | | | | | | | | | | | | | | | 230,769 | | | | | | 231 | | | | | | 219 | | |
S1 Blocker Buyer Inc., Common Equity
|
| | | | |
Commercial & Professional Services
|
| | | | | | | | | | | | | | | | 4 | | | | | | 39 | | | | | | 51 | | |
SSC Holdco Limited, Common Equity
|
| |
(g)(i)
|
| |
Health Care Equipment & Services
|
| | | | | | | | | | | | | | | | 11,364 | | | | | | 227 | | | | | | 224 | | |
Total Equity/Other
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 5,356 | | | | | | 7,650 | | |
TOTAL INVESTMENTS—75.2%
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 261,277 | | | | | | 262,195 | | |
OTHER ASSETS IN EXCESS OF LIABILITIES—24.8%
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 86,494 | | |
NET ASSETS—100.0%
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 348,689 | | |
|
Total Return Swap
|
| | | | | | | | | | | | | | | | |
Notional
Amount |
| | | | |
Unrealized
Depreciation |
| ||||||
Citibank TRS Facility (Note 8)
|
| |
(g)
|
| | | | | | | | | | | | | | | $ | 129,781 | | | | | | | | $ | (1,889 ) | | |
|
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount (c) |
| |
Amortized
Cost |
| |
Fair
Value (d) |
| ||||||||||||
Senior Secured Loans—First Lien—39.2% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actian Corp.
|
| | | | | Software & Services | | |
L+806
|
| | | | 1.0 % | | | |
6/30/22
|
| | | $ | 1,524 | | | | | $ | 1,524 | | | | | $ | 1,543 | | |
AG Group Merger Sub, Inc.
|
| | | | |
Commercial & Professional Services
|
| |
L+750
|
| | | | 1.0 % | | | |
12/29/23
|
| | | | 8,917 | | | | | | 8,917 | | | | | | 9,073 | | |
All Systems Holding LLC
|
| | | | |
Commercial & Professional Services
|
| |
L+767
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 3,341 | | | | | | 3,341 | | | | | | 3,391 | | |
American Bath Group, LLC
|
| | | | | Capital Goods | | |
L+525
|
| | | | 1.0 % | | | |
9/30/23
|
| | | | 2,970 | | | | | | 2,958 | | | | | | 3,002 | | |
AVF Parent, LLC
|
| | | | | Retailing | | |
L+725
|
| | | | 1.3 % | | | |
3/1/24
|
| | | | 14,211 | | | | | | 14,211 | | | | | | 14,505 | | |
Borden Dairy Co.
|
| | | | | Food, Beverage & Tobacco | | |
L+804
|
| | | | 1.0 % | | | |
7/6/23
|
| | | | 4,375 | | | | | | 4,375 | | | | | | 4,374 | | |
Casablanca US Holdings Inc.
|
| | | | | Consumer Services | | |
L+475
|
| | | | 1.0 % | | | |
3/29/24
|
| | | | 2,463 | | | | | | 2,406 | | | | | | 2,468 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
11/1/21
|
| | | | 148 | | | | | | 148 | | | | | | 147 | | |
CSafe Acquisition Co., Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
11/1/21
|
| | | | 113 | | | | | | 113 | | | | | | 112 | | |
CSafe Acquisition Co., Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 2,081 | | | | | | 2,081 | | | | | | 2,062 | | |
CSafe Acquisition Co., Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
10/31/23
|
| | | | 1,117 | | | | | | 1,117 | | | | | | 1,107 | | |
Dade Paper & Bag, LLC
|
| | | | | Capital Goods | | |
L+750
|
| | | | 1.0 % | | | |
6/10/24
|
| | | | 3,344 | | | | | | 3,344 | | | | | | 3,461 | | |
Empire Today, LLC
|
| | | | | Retailing | | |
L+800
|
| | | | 1.0 % | | | |
11/17/22
|
| | | | 2,970 | | | | | | 2,970 | | | | | | 3,000 | | |
FullBeauty Brands Holdings Corp.
|
| | | | | Consumer Durables & Apparel | | |
L+800
|
| | | | 1.0 % | | | |
10/14/20
|
| | | | 7,000 | | | | | | 7,000 | | | | | | 6,912 | | |
Hudson Technologies Co.
|
| |
(g)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0 % | | | |
10/10/23
|
| | | | 5,707 | | | | | | 5,707 | | | | | | 5,785 | | |
Hudson Technologies Co.
|
| |
(e)(g)
|
| |
Commercial & Professional Services
|
| |
L+725
|
| | | | 1.0 % | | | |
10/10/23
|
| | | | 1,359 | | | | | | 1,359 | | | | | | 1,377 | | |
Icynene U.S. Acquisition Corp.
|
| | | | | Materials | | |
L+700
|
| | | | 1.0 % | | | |
11/30/24
|
| | | | 7,000 | | | | | | 7,000 | | | | | | 7,001 | | |
JSS Holdings, Inc.
|
| | | | | Capital Goods | | |
L+800, 0.0% PIK (2.5% Max PIK)
|
| | | | 1.0 % | | | |
3/31/23
|
| | | | 9,961 | | | | | | 9,871 | | | | | | 10,115 | | |
JSS Holdings, Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+800, 0.0% PIK (2.5% Max PIK)
|
| | | | 1.0 % | | | |
3/31/23
|
| | | | 1,818 | | | | | | 1,818 | | | | | | 1,846 | | |
Kodiak BP, LLC
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
12/1/24
|
| | | | 10,515 | | | | | | 10,515 | | | | | | 10,541 | | |
Kodiak BP, LLC
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
12/1/24
|
| | | | 3,030 | | | | | | 3,030 | | | | | | 3,038 | | |
North Haven Cadence Buyer, Inc.
|
| |
(e)
|
| | Consumer Services | | |
L+500
|
| | | | 1.0 % | | | |
9/2/21
|
| | | | 188 | | | | | | 187 | | | | | | 188 | | |
North Haven Cadence Buyer, Inc.
|
| | | | | Consumer Services | | |
L+810
|
| | | | 1.0 % | | | |
9/2/22
|
| | | | 5,537 | | | | | | 5,537 | | | | | | 5,641 | | |
North Haven Cadence Buyer, Inc.
|
| |
(e)
|
| | Consumer Services | | |
L+750
|
| | | | 1.0 % | | | |
9/2/22
|
| | | | 708 | | | | | | 708 | | | | | | 722 | | |
Power Distribution, Inc.
|
| | | | | Capital Goods | | |
L+725
|
| | | | 1.3 % | | | |
1/25/23
|
| | | | 4,988 | | | | | | 4,988 | | | | | | 5,063 | | |
Propulsion Acquisition, LLC
|
| | | | |
Commercial & Professional Services
|
| |
L+600
|
| | | | 1.0 % | | | |
7/13/21
|
| | | | 8,366 | | | | | | 8,257 | | | | | | 8,283 | | |
Safariland, LLC
|
| | | | | Capital Goods | | |
L+768
|
| | | | 1.1 % | | | |
11/18/23
|
| | | | 4,766 | | | | | | 4,766 | | | | | | 4,831 | | |
Safariland, LLC
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.1 % | | | |
11/18/23
|
| | | | 1,285 | | | | | | 1,285 | | | | | | 1,303 | | |
Sequel Youth and Family Services, LLC
|
| | | | |
Health Care Equipment & Services
|
| |
L+778
|
| | | | 1.0 % | | | |
9/1/22
|
| | | | 8,235 | | | | | | 8,235 | | | | | | 8,311 | | |
Sequel Youth and Family Services, LLC
|
| |
(e)
|
| |
Health Care Equipment & Services
|
| |
L+700
|
| | | | 1.0 % | | | |
9/1/22
|
| | | | 412 | | | | | | 412 | | | | | | 416 | | |
SSC (Lux) Limited S.à r.l.
|
| |
(g)
|
| |
Health Care Equipment & Services
|
| |
L+750
|
| | | | 1.0 % | | | |
9/10/24
|
| | | | 4,545 | | | | | | 4,545 | | | | | | 4,636 | | |
Strike, LLC
|
| | | | | Energy | | |
L+800
|
| | | | 1.0 % | | | |
5/30/19
|
| | | | 1,866 | | | | | | 1,842 | | | | | | 1,875 | | |
Trace3, LLC
|
| | | | | Software & Services | | |
L+775
|
| | | | 1.0 % | | | |
6/6/23
|
| | | | 2,488 | | | | | | 2,487 | | | | | | 2,547 | | |
USI Senior Holdings, Inc.
|
| | | | | Capital Goods | | |
L+779
|
| | | | 1.0 % | | | |
1/5/22
|
| | | | 5,144 | | | | | | 5,144 | | | | | | 5,173 | | |
USI Senior Holdings, Inc.
|
| |
(e)
|
| | Capital Goods | | |
L+725
|
| | | | 1.0 % | | | |
1/5/22
|
| | | | 1,047 | | | | | | 1,047 | | | | | | 1,053 | | |
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Principal
Amount (c) |
| |
Amortized
Cost |
| |
Fair
Value (d) |
| ||||||||||||
Westbridge Technologies, Inc.
|
| | | | | Software & Services | | |
L+850
|
| | | | 1.0 % | | | |
4/28/23
|
| | | $ | 2,963 | | | | | $ | 2,908 | | | | | $ | 2,940 | | |
York Risk Services Holding Corp.
|
| | | | | Insurance | | |
L+375
|
| | | | 1.0 % | | | |
10/1/21
|
| | | | 990 | | | | | | 983 | | | | | | 971 | | |
Total Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 147,136 | | | | | | 148,813 | | |
Unfunded Loan Commitments
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | (11,076 ) | | | | | | (11,076 ) | | |
Net Senior Secured Loans—First Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 136,060 | | | | | | 137,737 | | |
Senior Secured Loans—Second Lien—10.1% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Casablanca US Holdings Inc.
|
| | | | | Consumer Services | | |
L+900
|
| | | | 1.0 % | | | |
3/31/25
|
| | | | 8,337 | | | | | | 8,062 | | | | | | 8,535 | | |
Chisholm Oil and Gas Operating, LLC
|
| | | | | Energy | | |
L+800
|
| | | | 1.0 % | | | |
3/21/24
|
| | | | 6,000 | | | | | | 6,000 | | | | | | 5,999 | | |
JW Aluminum Co.
|
| | | | | Materials | | |
L+850
|
| | | | 0.8 % | | | |
11/17/20
|
| | | | 779 | | | | | | 779 | | | | | | 791 | | |
LBM Borrower, LLC
|
| | | | | Capital Goods | | |
L+925
|
| | | | 1.0 % | | | |
8/20/23
|
| | | | 2,427 | | | | | | 2,379 | | | | | | 2,440 | | |
LTI Holdings, Inc.
|
| | | | | Materials | | |
L+875
|
| | | | 1.0 % | | | |
5/16/25
|
| | | | 3,000 | | | | | | 2,944 | | | | | | 3,052 | | |
TKC Holdings, Inc.
|
| | | | | Retailing | | |
L+800
|
| | | | 1.0 % | | | |
2/1/24
|
| | | | 8,500 | | | | | | 8,487 | | | | | | 8,564 | | |
TravelCLICK, Inc.
|
| | | | | Software & Services | | |
L+775
|
| | | | 1.0 % | | | |
11/6/21
|
| | | | 6,009 | | | | | | 6,026 | | | | | | 6,039 | | |
Total Senior Secured Loans—Second Lien
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 34,677 | | | | | | 35,420 | | |
Senior Secured Bonds—5.7% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AssuredPartners, Inc.
|
| |
(f)
|
| | Insurance | | |
7.0%
|
| | | | | | | |
8/15/25
|
| | | | 5,682 | | | | | | 5,682 | | | | | | 5,691 | | |
Avantor, Inc.
|
| |
(f)
|
| | Materials | | |
6.0%
|
| | | | | | | |
10/1/24
|
| | | | 1,282 | | | | | | 1,282 | | | | | | 1,284 | | |
Black Swan Energy Ltd.
|
| |
(g)
|
| | Energy | | |
9.0%
|
| | | | | | | |
1/20/24
|
| | | | 1,334 | | | | | | 1,334 | | | | | | 1,344 | | |
CSVC Acquisition Corp.
|
| |
(f)
|
| | Diversified Financials | | |
7.8%
|
| | | | | | | |
6/15/25
|
| | | | 9,183 | | | | | | 9,183 | | | | | | 8,839 | | |
Velvet Energy Ltd.
|
| |
(g)
|
| | Energy | | |
9.0%
|
| | | | | | | |
10/5/23
|
| | | | 3,000 | | | | | | 3,000 | | | | | | 3,038 | | |
Total Senior Secured Bonds
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 20,481 | | | | | | 20,196 | | |
Subordinated Debt—20.3% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ascent Resources Utica Holdings, LLC
|
| |
(f)
|
| | Energy | | |
10.0%
|
| | | | | | | |
4/1/22
|
| | | | 10,000 | | | | | | 10,000 | | | | | | 10,806 | | |
Avantor, Inc.
|
| |
(f)
|
| | Materials | | |
9.0%
|
| | | | | | | |
10/1/25
|
| | | | 12,500 | | | | | | 12,502 | | | | | | 12,430 | | |
CEC Entertainment, Inc.
|
| |
(f)
|
| | Consumer Services | | |
8.0%
|
| | | | | | | |
2/15/22
|
| | | | 7,297 | | | | | | 6,911 | | | | | | 6,905 | | |
Coveris Holdings S.A.
|
| |
(f)(g)
|
| | Materials | | |
7.9%
|
| | | | | | | |
11/1/19
|
| | | | 14,529 | | | | | | 14,448 | | | | | | 14,502 | | |
Covey Park Energy LLC
|
| |
(f)
|
| | Energy | | |
7.5%
|
| | | | | | | |
5/15/25
|
| | | | 1,667 | | | | | | 1,667 | | | | | | 1,741 | | |
Exterran Energy Solutions, L.P.
|
| |
(f)(g)
|
| | Capital Goods | | |
8.1%
|
| | | | | | | |
5/1/25
|
| | | | 5,143 | | | | | | 5,143 | | | | | | 5,554 | | |
Great Lakes Dredge & Dock Corp.
|
| |
(f)(g)
|
| | Capital Goods | | |
8.0%
|
| | | | | | | |
5/15/22
|
| | | | 7,000 | | | | | | 7,000 | | | | | | 7,353 | | |
P.F. Chang’s China Bistro, Inc.
|
| |
(f)
|
| | Consumer Services | | |
10.3%
|
| | | | | | | |
6/30/20
|
| | | | 4,000 | | | | | | 3,659 | | | | | | 3,666 | | |
S1 Blocker Buyer Inc.
|
| | | | |
Commercial & Professional Services
|
| |
10.0% PIK (10.0% Max PIK)
|
| | | | | | | |
10/31/22
|
| | | | 10 | | | | | | 10 | | | | | | 11 | | |
York Risk Services Holding Corp.
|
| |
(f)
|
| | Insurance | | |
8.5%
|
| | | | | | | |
10/1/22
|
| | | | 8,695 | | | | | | 8,245 | | | | | | 8,564 | | |
Total Subordinated Debt
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 69,585 | | | | | | 71,532 | | |
|
Portfolio Company
(a)
|
| |
Footnotes
|
| |
Industry
|
| |
Rate
(b)
|
| |
Floor
|
| |
Maturity
|
| |
Number of
Shares |
| |
Cost
|
| |
Fair
Value (d) |
| |||||||||
Equity/Other—0.7% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASG Everglades Holdings, Inc., Warrants, 6/27/2022
|
| |
(h)
|
| | Software & Services | | | | | | | | | | | | | | 12,081 | | | | | $ | 344 | | | | | $ | 331 | | |
Chisholm Oil and Gas, LLC, Series A Units
|
| |
(h)(i)
|
| | Energy | | | | | | | | | | | | | | 70,947 | | | | | | 71 | | | | | | 71 | | |
CSF Group Holdings, Inc., Common Equity
|
| |
(h)
|
| | Capital Goods | | | | | | | | | | | | | | 17,400 | | | | | | 17 | | | | | | 12 | | |
Escape Velocity Holdings, Inc., Common Equity
|
| |
(h)
|
| | Software & Services | | | | | | | | | | | | | | 1,545 | | | | | | 15 | | | | | | 36 | | |
H.I.G. Empire Holdco, Inc., Common Equity
|
| |
(h)
|
| | Retailing | | | | | | | | | | | | | | 14 | | | | | | 41 | | | | | | 41 | | |
JSS Holdco, LLC, Net Profits Interest
|
| |
(h)
|
| | Capital Goods | | | | | | | | | | | | | | — | | | | | | — | | | | | | 69 | | |
JW Aluminum Co., Common Equity
|
| |
(h)
|
| | Materials | | | | | | | | | | | | | | 18 | | | | | | — | | | | | | — | | |
JW Aluminum Co., Preferred Equity
|
| |
(h)
|
| | Materials | | | | | | | | | | | | | | 83 | | | | | | 295 | | | | | | 827 | | |
North Haven Cadence TopCo, LLC, Common Equity
|
| |
(h)
|
| | Consumer Services | | | | | | | | | | | | | | 208,333 | | | | | | 208 | | | | | | 323 | | |
PDI Parent LLC, Common Equity
|
| |
(h)
|
| | Capital Goods | | | | | | | | | | | | | | 230,769 | | | | | | 231 | | | | | | 242 | | |
S1 Blocker Buyer Inc., Common Equity
|
| | | | |
Commercial & Professional Services
|
| | | | | | | | | | | | | 4 | | | | | | 40 | | | | | | 61 | | |
SSC Holdco Limited, Common Equity
|
| |
(g)(h)
|
| |
Health Care Equipment & Services
|
| | | | | | | | | | | | | 11,364 | | | | | | 227 | | | | | | 272 | | |
Total Equity/Other
|
| | | | | | | | | | | | | | | | | | | | | | | | | 1,489 | | | | | | 2,285 | | |
TOTAL INVESTMENTS—76.0%
|
| | | | | | | | | | | | | | | | | | | | | | | | $ | 262,292 | | | | | | 267,170 | | |
OTHER ASSETS IN EXCESS OF LIABILITIES—24.0%
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 84,367 | | |
NET ASSETS—100.0%
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 351,537 | | |
|
Total Return Swap
|
| | | | | | | | | | | | | | | | |
Notional
Amount |
| | | | |
Unrealized
Appreciation |
| ||||||
Citibank TRS Facility (Note 8)
|
| |
(g)
|
| | | | | | | | | | | | | | | $ | 151,866 | | | | | | | | $ | 868 | | |
|
(d)
|
Investments classified as Level 3 in the Company’s fair value hierarchy whereby fair value was determined by the Company’s board of directors, unless otherwise noted (see Note 7). |
| | |
Six Months Ended June 30,
|
| |||||||||||||||||||||
| | |
2018
|
| |
2017
|
| ||||||||||||||||||
| | |
Shares
|
| |
Amount
|
| |
Shares
|
| |
Amount
|
| ||||||||||||
Gross Proceeds from Offering
|
| | | | — | | | | | $ | — | | | | | | 9,868,469 | | | | | $ | 113,601 | | |
Reinvestment of Distributions
|
| | | | 576,472 | | | | | | 6,431 | | | | | | 420,486 | | | | | | 4,670 | | |
Total Gross Proceeds
|
| | | | 576,472 | | | | | | 6,431 | | | | | | 10,288,955 | | | | | | 118,271 | | |
Upfront Selling Commissions and Dealer Manager Fees
(1)
|
| | | | — | | | | | | — | | | | | | — | | | | | | (4,220 ) | | |
Net Proceeds to Company
|
| | | | 576,472 | | | | | | 6,431 | | | | | | 10,288,955 | | | | | | 114,051 | | |
Share Repurchase Program
(2)
|
| | | | (399,830 ) | | | | | | (4,460 ) | | | | | | (66,790 ) | | | | | | (738 ) | | |
Net Proceeds from Share Transactions
|
| | | | 176,642 | | | | | $ | 1,971 | | | | | | 10,222,165 | | | | | $ | 113,313 | | |
For the Three Months Ended
|
| |
Repurchase
Date |
| |
Shares
Repurchased |
| |
Percentage
of Shares Tendered That Were Repurchased |
| |
Percentage of
Outstanding Shares Repurchased as of the Repurchase Date |
| |
Repurchase
Price Per Share |
| |
Aggregate
Consideration for Repurchased Shares |
| |||||||||||||||
Fiscal 2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2016
|
| |
January 4, 2017
|
| | | | 24,998 | | | | | | 100 % | | | | | | 0.17 % | | | | | $ | 10.9536 | | | | | $ | 274 | | |
March 31, 2017
|
| |
April 5, 2017
|
| | | | 41,792 | | | | | | 100 % | | | | | | 0.22 % | | | | | $ | 11.1070 | | | | | | 464 | | |
Total
|
| | | | | | | 66,790 | | | | | | | | | | | | | | | | | | | | | | | $ | 738 | | |
Fiscal 2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
December 31, 2017
|
| |
January 10, 2018
|
| | | | 113,036 | | | | | | 100 % | | | | | | 0.36 % | | | | | $ | 11.1549 | | | | | $ | 1,261 | | |
March 31, 2018
|
| |
April 2, 2018
|
| | | | 286,794 | | | | | | 100 % | | | | | | 0.90 % | | | | | $ | 11.1549 | | | | | | 3,199 | | |
Total
|
| | | | | | | 399,830 | | | | | | | | | | | | | | | | | | | | | | | $ | 4,460 | | |
|
Related Party
|
| |
Source
|
| |
Description
|
| |
Three Months Ended
June 30, |
| |
Six Months Ended
June 30, |
| ||||||||||||||||||
|
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||||||||||
FSIC IV Advisor and
FS/KKR Advisor |
| |
FSIC IV Advisor Investment Advisory and Administrative Services Agreement and FS/KKR Advisor Investment Advisory and Administrative Services Agreement |
| |
Base Management Fees (1) |
| | |
$ |
1,415 |
| | | |
$ |
1,185 |
| | | |
$ |
3,040 |
| | | |
$ |
2,123 |
| |
FSIC IV Advisor and
FS/KKR Advisor |
| |
FSIC IV Advisor Investment Advisory and Administrative Services Agreement and FS/KKR Advisor Investment Advisory and Administrative Services Agreement |
| |
Subordinated Incentive Fee on Income (2) |
| | |
$ |
372 |
| | | |
|
— |
| | | |
$ |
372 |
| | | |
|
— |
| |
FSIC IV Advisor and
FS/KKR Advisor |
| |
FSIC IV Advisor Investment Advisory and Administrative Services Agreement and FS/KKR Advisor Investment Advisory and Administrative Services Agreement |
| |
Capital Gains Incentive Fees (3) |
| | |
$ |
(179 ) |
| | | |
$ |
214 |
| | | |
$ |
(914 ) |
| | | |
$ |
911 |
| |
Related Party
|
| |
Source
|
| |
Description
|
| |
Three Months Ended
June 30, |
| |
Six Months Ended
June 30, |
| ||||||||||||||||||
|
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||||||||||
FSIC IV Advisor and
FS/KKR Advisor |
| |
FSIC IV Advisor Investment Advisory and Administrative Services Agreement and FS/KKR Advisor Investment Advisory and Administrative Services Agreement |
| |
Administrative Services Expenses (4) |
| | |
$ |
153 |
| | | |
$ |
100 |
| | | |
$ |
231 |
| | | |
$ |
200 |
| |
FSIC IV Advisor and
FS/KKR Advisor |
| |
FSIC IV Advisor Investment Advisory and Administrative Services Agreement and FS/KKR Advisor Investment Advisory and Administrative Services Agreement |
| |
Offering Costs (5) |
| | |
|
— |
| | | |
$ |
471 |
| | | |
|
— |
| | | |
$ |
852 |
| |
FSIC IV Advisor and
FS/KKR Advisor |
| |
FS Investments Expense Support and Conditional Reimbursement and FS/KKR Advisor Expense Reimbursement Agreement |
| |
Expense Recoupment (6) |
| | |
|
— |
| | | |
|
— |
| | | |
|
— |
| | | |
$ |
666 |
| |
FS Investment Solutions
|
| | Distribution Plan | | | Distribution Fees (7) | | | | $ | 39 | | | | | $ | 27 | | | | | $ | 79 | | | | | $ | 42 | | |
FS Investment Solutions
|
| | Share Repurchase Program | | | Contingent Deferred Sales Charges (8) | | | | | — | | | | | | — | | | | | | — | | | | | $ | 10 | | |
| | |
Distribution
(1)
|
| |||||||||
For the Three Months Ended
|
| |
Per Share
|
| |
Amount
|
| ||||||
Fiscal 2017 | | | | | | | | | | | | | |
March 31, 2017
(2)
|
| | | $ | 0.18770 | | | | | $ | 2,917 | | |
June 30, 2017
(2)
|
| | | | 0.20171 | | | | | | 4,712 | | |
Total
|
| | | $ | 0.38941 | | | | | $ | 7,629 | | |
Fiscal 2018 | | | | | | | | | | | | | |
March 31, 2018
|
| | | $ | 0.17452 | | | | | $ | 5,247 | | |
June 30, 2018
|
| | | | 0.17545 | | | | | $ | 5,562 | | |
Total
|
| | | $ | 0.34997 | | | | | $ | 10,809 | | |
| | |
Six Months Ended June 30,
|
| |||||||||||||||||||||
| | |
2018
|
| |
2017
|
| ||||||||||||||||||
Source of Distribution
|
| |
Distribution
Amount |
| |
Percentage
|
| |
Distribution
Amount |
| |
Percentage
|
| ||||||||||||
Offering proceeds
|
| | | $ | — | | | | | | — | | | | | $ | — | | | | | | — | | |
Borrowings
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net investment income
(1)
|
| | | | 10,809 | | | | | | 100 % | | | | | | 5,597 | | | | | | 73 % | | |
Short-term capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | 2,032 | | | | | | 27 % | | |
Long-term capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Non-capital gains proceeds from the sale of assets
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Distributions on account of preferred and common equity
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Expense reimbursement from sponsor
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | $ | 10,809 | | | | | | 100 % | | | | | $ | 7,629 | | | | | | 100 % | | |
| | |
Six Months Ended
June 30, |
| |||||||||
| | |
2018
|
| |
2017
|
| ||||||
GAAP-basis net investment income (loss)
|
| | | $ | 6,920 | | | | | $ | 571 | | |
Reversal of incentive fee accrual on unrealized gains
|
| | | | (914 ) | | | | | | 802 | | |
Reclassification of unamortized original issue discount, amendment fees and prepayment fees
|
| | | | (143 ) | | | | | | (186 ) | | |
Tax-basis net investment income portion of total return swap payments
|
| | | | 2,891 | | | | | | 3,634 | | |
Accretion of discount on total return swap
|
| | | | 361 | | | | | | 815 | | |
Other miscellaneous differences
|
| | | | 429 | | | | | | 1,235 | | |
Tax-basis net investment income
|
| | | $ | 9,544 | | | | | $ | 6,871 | | |
|
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||
Distributable ordinary income (net investment income and short-term capital gains)
|
| | | $ | 6,788 | | | | | $ | 5,882 | | |
Distributable capital gains (accumulated capital losses)
|
| | | | 1,033 | | | | | | 395 | | |
Other temporary differences
|
| | | | (1,765 ) | | | | | | (2,318 ) | | |
Net unrealized appreciation (depreciation) on investments and total return swap
(1)
|
| | | | (2,164 ) | | | | | | 4,682 | | |
Total
|
| | | $ | 3,892 | | | | | $ | 8,641 | | |
|
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 142,891 | | | | | $ | 142,350 | | | | | | 54 % | | | | | $ | 136,060 | | | | | $ | 137,737 | | | | | | 51 % | | |
Senior Secured Loans—Second Lien
|
| | | | 23,196 | | | | | | 23,345 | | | | | | 9 % | | | | | | 34,677 | | | | | | 35,420 | | | | | | 13 % | | |
Senior Secured Bonds
|
| | | | 25,794 | | | | | | 23,949 | | | | | | 9 % | | | | | | 20,481 | | | | | | 20,196 | | | | | | 8 % | | |
Subordinated Debt
|
| | | | 64,040 | | | | | | 64,901 | | | | | | 25 % | | | | | | 69,585 | | | | | | 71,532 | | | | | | 27 % | | |
Equity/Other
|
| | | | 5,356 | | | | | | 7,650 | | | | | | 3 % | | | | | | 1,489 | | | | | | 2,285 | | | | | | 1 % | | |
Total
|
| | | $ | 261,277 | | | | | $ | 262,195 | | | | | | 100 % | | | | | $ | 262,292 | | | | | $ | 267,170 | | | | | | 100 % | | |
|
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 240,315 | | | | | $ | 236,477 | | | | | | 61 % | | | | | $ | 252,241 | | | | | $ | 252,500 | | | | | | 60 % | | |
Senior Secured Loans—Second Lien
|
| | | | 55,553 | | | | | | 56,291 | | | | | | 14 % | | | | | | 70,362 | | | | | | 72,005 | | | | | | 17 % | | |
Senior Secured Bonds
|
| | | | 25,794 | | | | | | 23,949 | | | | | | 6 % | | | | | | 20,481 | | | | | | 20,196 | | | | | | 5 % | | |
Subordinated Debt
|
| | | | 64,040 | | | | | | 64,901 | | | | | | 17 % | | | | | | 69,585 | | | | | | 71,532 | | | | | | 17 % | | |
Equity/Other
|
| | | | 5,356 | | | | | | 7,650 | | | | | | 2 % | | | | | | 1,489 | | | | | | 2,285 | | | | | | 1 % | | |
Total
|
| | | $ | 391,058 | | | | | $ | 389,268 | | | | | | 100 % | | | | | $ | 414,158 | | | | | $ | 418,518 | | | | | | 100 % | | |
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||
Industry Classification
|
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||
Capital Goods
|
| | | $ | 59,768 | | | | | | 23 % | | | | | $ | 60,114 | | | | | | 22 % | | |
Commercial & Professional Services
|
| | | | 26,866 | | | | | | 10 % | | | | | | 26,622 | | | | | | 10 % | | |
Consumer Durables & Apparel
|
| | | | 7,538 | | | | | | 3 % | | | | | | 6,912 | | | | | | 3 % | | |
Consumer Services
|
| | | | 19,553 | | | | | | 7 % | | | | | | 27,553 | | | | | | 10 % | | |
Diversified Financials
|
| | | | 7,446 | | | | | | 3 % | | | | | | 8,839 | | | | | | 3 % | | |
Energy
|
| | | | 22,790 | | | | | | 9 % | | | | | | 24,874 | | | | | | 9 % | | |
Food, Beverage & Tobacco
|
| | | | 7,022 | | | | | | 3 % | | | | | | 4,374 | | | | | | 2 % | | |
Health Care Equipment & Services
|
| | | | 17,615 | | | | | | 6 % | | | | | | 13,223 | | | | | | 5 % | | |
Insurance
|
| | | | 14,909 | | | | | | 6 % | | | | | | 15,226 | | | | | | 6 % | | |
Materials
|
| | | | 33,764 | | | | | | 13 % | | | | | | 39,887 | | | | | | 15 % | | |
Retailing
|
| | | | 24,855 | | | | | | 9 % | | | | | | 26,110 | | | | | | 10 % | | |
Software & Services
|
| | | | 20,069 | | | | | | 8 % | | | | | | 13,436 | | | | | | 5 % | | |
Total
|
| | | $ | 262,195 | | | | | | 100 % | | | | | $ | 267,170 | | | | | | 100 % | | |
|
Valuation Inputs
|
| |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||
|
Investments
|
| |
Total Return
Swap |
| |
Investments
|
| |
Total Return
Swap |
| ||||||||||||||
Level 1—Price quotations in active markets
|
| | | $ | — | | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
Level 2—Significant other observable inputs
|
| | | | 113,771 | | | | | | — | | | | | | — | | | | | | — | | |
Level 3—Significant unobservable inputs
|
| | | | 148,424 | | | | | | (1,889 ) | | | | | | 267,170 | | | | | | 868 | | |
Total
|
| | | $ | 262,195 | | | | | $ | (1,889 ) | | | | | $ | 267,170 | | | | | $ | 868 | | |
|
| | |
For the Six Months Ended June 30, 2018
|
| |||||||||||||||||||||||||||||||||
| | |
Senior Secured
Loans— First Lien |
| |
Senior Secured
Loans— Second Lien |
| |
Senior
Secured Bonds |
| |
Subordinated
Debt |
| |
Equity/
Other |
| |
Total
|
| ||||||||||||||||||
Fair value at beginning of period
|
| | | $ | 137,737 | | | | | $ | 35,420 | | | | | $ | 20,196 | | | | | $ | 71,532 | | | | | $ | 2,285 | | | | | $ | 267,170 | | |
Accretion of discount (amortization of premium)
|
| | | | 29 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2 | | | | | | 31 | | |
Net realized gain (loss)
|
| | | | (19 ) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (19 ) | | |
Net change in unrealized appreciation (depreciation)
|
| | | | (2,128 ) | | | | | | (51 ) | | | | | | 74 | | | | | | (1 ) | | | | | | 1,498 | | | | | | (608 ) | | |
Purchases
|
| | | | 21,510 | | | | | | — | | | | | | — | | | | | | 481 | | | | | | 3,350 | | | | | | 25,341 | | |
Paid-in-kind interest
|
| | | | 46 | | | | | | — | | | | | | — | | | | | | — | | | | | | 516 | | | | | | 562 | | |
Sales and repayments
|
| | | | (7,767 ) | | | | | | (779 ) | | | | | | — | | | | | | (2 ) | | | | | | (1 ) | | | | | | (8,549 ) | | |
Net transfers in or out of Level 3
(1)
|
| | | | (19,539 ) | | | | | | (28,630 ) | | | | | | (15,814 ) | | | | | | (71,521 ) | | | | | | — | | | | | | (135,504 ) | | |
Fair value at end of period
|
| | | $ | 129,869 | | | | | $ | 5,960 | | | | | $ | 4,456 | | | | | $ | 489 | | | | | $ | 7,650 | | | | | $ | 148,424 | | |
The amount of total gains or losses for the period
included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date |
| | | $ | (2,057 ) | | | | | $ | (40 ) | | | | | $ | 74 | | | | | $ | (1 ) | | | | | $ | 1,500 | | | | | $ | (524 ) | | |
|
| | |
For the Six Months Ended June 30, 2017
|
| |||||||||||||||||||||||||||||||||
| | |
Senior Secured
Loans— First Lien |
| |
Senior Secured
Loans— Second Lien |
| |
Senior
Secured Bonds |
| |
Subordinated
Debt |
| |
Equity/
Other |
| |
Total
|
| ||||||||||||||||||
Fair value at beginning of period
|
| | | $ | 41,296 | | | | | $ | 5,843 | | | | | $ | 2,045 | | | | | $ | 13,502 | | | | | $ | 624 | | | | | $ | 63,310 | | |
Accretion of discount (amortization of premium)
|
| | | | 48 | | | | | | 33 | | | | | | (21 ) | | | | | | 83 | | | | | | — | | | | | | 143 | | |
Net realized gain (loss)
|
| | | | 175 | | | | | | 182 | | | | | | 248 | | | | | | 213 | | | | | | — | | | | | | 818 | | |
Net change in unrealized appreciation (depreciation)
|
| | | | 1,167 | | | | | | 389 | | | | | | 194 | | | | | | 460 | | | | | | (18 ) | | | | | | 2,192 | | |
Purchases
|
| | | | 74,361 | | | | | | 31,184 | | | | | | 26,018 | | | | | | 41,009 | | | | | | 533 | | | | | | 173,105 | | |
Paid-in-kind interest
|
| | | | 20 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 20 | | |
Sales and repayments
|
| | | | (18,687 ) | | | | | | (6,848 ) | | | | | | (5,216 ) | | | | | | (7,202 ) | | | | | | — | | | | | | (37,953 ) | | |
Net transfers in or out of Level 3
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Fair value at end of period
|
| | | $ | 98,380 | | | | | $ | 30,783 | | | | | $ | 23,268 | | | | | $ | 48,065 | | | | | $ | 1,139 | | | | | $ | 201,635 | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to investments still held at the reporting date
|
| | | $ | 1,312 | | | | | $ | 468 | | | | | $ | 194 | | | | | $ | 574 | | | | | $ | (18 ) | | | | | $ | 2,530 | | |
|
| | |
For the Six Months Ended
June 30, |
| |||||||||
| | |
2018
|
| |
2017
|
| ||||||
Fair value at beginning of period
|
| | | $ | 868 | | | | | $ | 2,422 | | |
Accretion of discount (amortization of premium)
|
| | | | — | | | | | | — | | |
Net realized gain (loss)
|
| | | | 5,065 | | | | | | 5,063 | | |
Net change in unrealized appreciation (depreciation)
|
| | | | (2,757 ) | | | | | | 436 | | |
Sales and repayments
|
| | | | (5,065 ) | | | | | | (5,063 ) | | |
Net transfers in or out of Level 3
|
| | | | | | | | | | — | | |
Fair value at end of period
|
| | | $ | (1,889 ) | | | | | $ | 2,858 | | |
The amount of total gains or losses for the period included in changes in net assets attributable to the change in unrealized gains or losses relating to the total return swap still held at the reporting date
|
| | | $ | (2,757 ) | | | | | $ | 436 | | |
|
Type of Investment
|
| |
Fair Value at
June 30, 2018 (Unaudited) |
| |
Valuation
Technique (1) |
| |
Unobservable Input
|
| |
Range
|
| |
Weighted
Average |
| |||
Senior Secured Loans—First Lien
|
| | |
$
|
113,182
|
| | |
Market Comparables
|
| |
Market Yield (%)
|
| |
8.7% – 14.2%
|
| |
10.5%
|
|
| |
|
11,705
|
| | | Other (2) | | | Other | | |
N/A
|
| |
N/A
|
| ||
| |
|
4,982
|
| | | Cost | | | Cost | | |
100.0% – 100.0%
|
| |
100.0%
|
| ||
Senior Secured Loans—Second Lien
|
| | |
|
5,960
|
| | |
Market Comparables
|
| | Market Yield (%) | | |
9.7% – 12.3%
|
| |
11.0%
|
|
Senior Secured Bonds
|
| | |
|
4,456
|
| | |
Market Comparables
|
| | Market Yield (%) | | |
7.5% – 9.5%
|
| |
8.2%
|
|
Subordinated Debt
|
| | |
|
8
|
| | |
Market Comparables
|
| |
EBITDA Multiples (x)
|
| |
11.2x – 11.7x
|
| |
11.4x
|
|
| |
|
481
|
| | | Cost | | | Cost | | |
100.0% – 100.0%
|
| |
100.0%
|
| ||
Equity/Other
|
| | |
|
7,650
|
| | |
Market Comparables
|
| | EBITDA Multiples (x) | | |
5.5x – 14.0x
|
| |
7.7x
|
|
| | | | | | | | |
Option Valuation
Model |
| |
Volatility (%)
|
| |
30.0% – 30.0%
|
| |
30.0%
|
|
Total
|
| | |
$
|
148,424
|
| | | | | | ||||||||
Total Return Swap
|
| | |
$
|
(1,889
)
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
40.0% – 101.2%
|
| |
96.2%
|
|
Type of Investment
|
| |
Fair Value at
December 31, 2017 |
| |
Valuation
Technique (1) |
| |
Unobservable Input
|
| |
Range
|
| |
Weighted
Average |
| |||
Senior Secured Loans—First Lien
|
| | |
$
|
118,198
|
| | |
Market Comparables
|
| |
Market Yield (%)
|
| |
8.0% – 12.0%
|
| |
9.2%
|
|
| |
|
19,539
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
97.7% – 101.5%
|
| |
99.6%
|
| ||
Senior Secured Loans—Second Lien
|
| | |
|
6,790
|
| | |
Market Comparables
|
| |
Market Yield (%)
|
| |
8.3% – 11.7%
|
| |
10.5%
|
|
| |
|
28,630
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
99.8% – 103.3%
|
| |
101.3%
|
| ||
Senior Secured Bonds
|
| | |
|
4,382
|
| | |
Market Comparables
|
| |
Market Yield (%)
|
| |
7.7% – 10.2%
|
| |
8.9%
|
|
| |
|
15,814
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
95.5% – 100.6%
|
| |
98.0%
|
| ||
Subordinated Debt
|
| | |
|
11
|
| | |
Market Comparables
|
| |
EBITDA Multiples (x)
|
| |
10.5x – 11.0x
|
| |
10.8x
|
|
| |
|
71,521
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
91.1% – 108.5%
|
| |
101.2%
|
| ||
Equity/Other
|
| | |
|
2,285
|
| | |
Market Comparables
|
| | EBITDA Multiples (x) | | |
5.5x – 23.5x
|
| |
9.5x
|
|
| | | | | | | | |
Option Valuation
Model |
| |
Volatility (%)
|
| |
30.0% – 30.0%
|
| |
30.0%
|
|
Total
|
| | |
$
|
267,170
|
| | | | | | ||||||||
Total Return Swap
|
| | |
$
|
868
|
| | | Market Quotes | | |
Indicative Dealer Quotes
|
| |
58.3% – 101.5%
|
| |
97.4%
|
|
| | |
As of June 30, 2018
(Unaudited) |
| ||||||||||||||||||
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity Date
|
| ||||||
BNP Facility
(1)
|
| |
Prime Brokerage
|
| |
L+1.25%
|
| | | $ | 19,900 | | | | | $ | 30,100 | | | |
March 27, 2019
(2)
|
|
Citibank Total Return Swap
|
| |
Total Return Swap
|
| |
L+1.60%
|
| | | $ | 129,781 | | | | | $ | 45,219 | | | |
N/A
(3)
|
|
| | |
As of December 31, 2017
|
| ||||||||||||||||||
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity Date
|
| ||||||
BNP Facility
(1)
|
| |
Prime Brokerage
|
| |
L+1.25%
|
| | | $ | 19,900 | | | | | $ | 30,100 | | | |
September 27, 2018
(2)
|
|
Citibank Total Return Swap
|
| |
Total Return Swap
|
| |
L+1.60%
|
| | | $ | 151,866 | | | | | $ | 23,134 | | | |
N/A
(3)
|
|
| | |
Three Months Ended June 30,
|
| |||||||||||||||||||||||||||||||||
| | |
2018
|
| |
2017
|
| ||||||||||||||||||||||||||||||
Arrangement
(1)
|
| |
Direct Interest
Expense |
| |
Amortization of
Deferred Financing Costs and Discount |
| |
Total Interest
Expense |
| |
Direct Interest
Expense |
| |
Amortization of
Deferred Financing Costs and Discount |
| |
Total Interest
Expense |
| ||||||||||||||||||
BNP Facility
(2)
|
| | | $ | 236 | | | | | | — | | | | | $ | 236 | | | | | $ | 188 | | | | | $ | 17 | | | | | $ | 205 | | |
| | |
Six Months Ended June 30,
|
| |||||||||||||||||||||||||||||||||
| | |
2018
|
| |
2017
|
| ||||||||||||||||||||||||||||||
Arrangement
(1)
|
| |
Direct Interest
Expense |
| |
Amortization of
Deferred Financing Costs and Discount |
| |
Total Interest
Expense |
| |
Direct Interest
Expense |
| |
Amortization of
Deferred Financing Costs and Discount |
| |
Total Interest
Expense |
| ||||||||||||||||||
BNP Facility
(2)
|
| | | $ | 458 | | | | | | — | | | | | $ | 458 | | | | | $ | 225 | | | | | $ | 26 | | | | | $ | 251 | | |
Counterparty
|
| |
Description
|
| |
Termination Date
|
| |
Value as of
June 30, 2018 |
|
Citibank | | | A TRS is a contract in which one party agrees to make periodic payments to another party based on the change in the market value of the assets underlying the TRS, which may include a specified security, basket of securities or securities indices during a specified period, in return for periodic payments based on a fixed or variable interest rate. | | | Citibank may terminate the TRS on or after January 19, 2019 (July 19, 2018 as of June 30, 2018), unless certain specified events permit Citibank to terminate the TRS on an earlier date. Cheltenham Funding may terminate the TRS at any time upon providing no more than 30 days, and no less than 10 days, prior notice to Citibank, subject to an early termination fee if prior to the date 30 days before January 19, 2019 (July 19, 2018 as of June 30, 2018). | | |
$(1,889)
|
|
Underlying Loan
(1)
|
| |
Industry
|
| |
Rate
(2)
|
| |
Floor
|
| |
Maturity
|
| |
Notional
Amount |
| |
Market
Value |
| |
Unrealized
Appreciation/ (Depreciation) |
| |||||||||
Accuride Corporation
|
| | Automobiles & Components | | | L+525 | | | 1.0% | | |
11/17/23
|
| | |
$
|
61
|
| | | |
$
|
61
|
| | | |
$
|
—
|
| |
Acosta, Inc.
|
| | Media | | | L+325 | | | 1.0% | | |
9/26/21
|
| | |
|
2,172
|
| | | |
|
2,032
|
| | | |
|
(140
)
|
| |
Advantage Sales & Marketing Inc.
|
| |
Commercial & Professional Services
|
| | L+325 | | | 1.0% | | |
7/23/21
|
| | |
|
470
|
| | | |
|
462
|
| | | |
|
(8
)
|
| |
Advantage Sales & Marketing Inc.
|
| |
Commercial & Professional Services
|
| | L+650 | | | 1.0% | | |
7/25/22
|
| | |
|
212
|
| | | |
|
206
|
| | | |
|
(6
)
|
| |
Aleris International, Inc.
|
| | Materials | | | L+475 | | | | | |
2/27/23
|
| | |
|
493
|
| | | |
|
493
|
| | | |
|
—
|
| |
American Bath Group, LLC
|
| | Capital Goods | | | L+975 | | | 1.0% | | |
9/30/24
|
| | |
|
2,760
|
| | | |
|
3,015
|
| | | |
|
255
|
| |
American Tire Distributors, Inc.
|
| | Retailing | | | L+425 | | | 1.0% | | |
9/1/21
|
| | |
|
1,353
|
| | | |
|
999
|
| | | |
|
(354
)
|
| |
ATX Networks Corp.
(3)
|
| |
Technology Hardware & Equipment
|
| |
L+600,
1.0% PIK (1.0% Max PIK) |
| | 1.0% | | |
6/11/21
|
| | |
|
6,481
|
| | | |
|
6,301
|
| | | |
|
(180
)
|
| |
Avaya Inc.
|
| |
Technology Hardware & Equipment
|
| | L+425 | | | | | |
12/15/24
|
| | |
|
5,250
|
| | | |
|
5,306
|
| | | |
|
56
|
| |
CDS U.S. Intermediate Holdings,
Inc. (3) |
| | Media | | | L+825 | | | 1.0% | | |
7/10/23
|
| | |
|
3,238
|
| | | |
|
3,143
|
| | | |
|
(95
)
|
| |
Dayton Superior Corp.
|
| | Materials | | | L+800 | | | 1.0% | | |
11/15/21
|
| | |
|
3,716
|
| | | |
|
2,988
|
| | | |
|
(728
)
|
| |
Diamond Resorts International,
Inc. |
| | Consumer Services | | | L+375 | | | 1.0% | | |
9/2/23
|
| | |
|
7,568
|
| | | |
|
7,701
|
| | | |
|
133
|
| |
Elo Touch Solutions, Inc.
|
| |
Technology Hardware & Equipment
|
| | L+600 | | | 1.0% | | |
10/31/23
|
| | |
|
2,587
|
| | | |
|
2,633
|
| | | |
|
46
|
| |
EmployBridge, LLC
|
| |
Commercial & Professional Services
|
| | L+500 | | | 1.0% | | |
4/18/25
|
| | |
|
552
|
| | | |
|
548
|
| | | |
|
(4
)
|
| |
FPC Holdings, Inc.
|
| | Capital Goods | | | L+450 | | | 1.3% | | |
11/18/22
|
| | |
|
528
|
| | | |
|
524
|
| | | |
|
(4
)
|
| |
Foresight Energy LLC
|
| | Materials | | | L+575 | | | 1.0% | | |
3/28/22
|
| | |
|
2,170
|
| | | |
|
2,165
|
| | | |
|
(5
)
|
| |
FullBeauty Brands Holdings Corp.
|
| | Consumer Durables & Apparel | | | L+475 | | | 1.0% | | |
10/14/22
|
| | |
|
4,595
|
| | | |
|
1,935
|
| | | |
|
(2,660
)
|
| |
Gulf Finance, LLC
|
| | Energy | | | L+525 | | | 1.0% | | |
8/25/23
|
| | |
|
4,569
|
| | | |
|
4,055
|
| | | |
|
(514
)
|
| |
Inmar, Inc.
|
| | Software & Services | | | L+800 | | | 1.0% | | |
5/1/25
|
| | |
|
6,895
|
| | | |
|
7,000
|
| | | |
|
105
|
| |
Ivanti Software, Inc.
|
| | Software & Services | | | L+425 | | | 1.0% | | |
1/20/24
|
| | |
|
2,506
|
| | | |
|
2,491
|
| | | |
|
(15
)
|
| |
J.C. Penney Corp., Inc.
(3)
|
| | Retailing | | | L+425 | | | 1.0% | | |
6/23/23
|
| | |
|
420
|
| | | |
|
422
|
| | | |
|
2
|
| |
LBM Borrower, LLC
|
| | Capital Goods | | | L+375 | | | 1.0% | | |
8/20/22
|
| | |
|
8,475
|
| | | |
|
8,499
|
| | | |
|
24
|
| |
LBM Borrower, LLC
(4)
|
| | Capital Goods | | | L+925 | | | 1.0% | | |
8/20/23
|
| | |
|
2,876
|
| | | |
|
3,000
|
| | | |
|
124
|
| |
LD Intermediate Holdings, Inc.
|
| | Software & Services | | | L+588 | | | 1.0% | | |
12/9/22
|
| | |
|
6,930
|
| | | |
|
7,084
|
| | | |
|
154
|
| |
MORSCO, Inc.
|
| | Capital Goods | | | L+700 | | | 1.0% | | |
10/31/23
|
| | |
|
2,802
|
| | | |
|
2,948
|
| | | |
|
146
|
| |
nThrive, Inc.
|
| |
Health Care Equipment & Services
|
| | L+450 | | | 1.0% | | |
10/19/22
|
| | |
|
5,634
|
| | | |
|
5,670
|
| | | |
|
36
|
| |
P.F. Chang’s China Bistro, Inc.
|
| | Consumer Services | | | L+500 | | | 1.0% | | |
9/1/22
|
| | |
|
3,350
|
| | | |
|
3,432
|
| | | |
|
82
|
| |
P2 Upstream Acquisition Co.
|
| | Energy | | | L+400 | | | 1.3% | | |
10/30/20
|
| | |
|
2,413
|
| | | |
|
2,542
|
| | | |
|
129
|
| |
P2 Upstream Acquisition Co.
|
| | Energy | | | L+800 | | | 1.0% | | |
4/30/21
|
| | |
|
1,309
|
| | | |
|
1,386
|
| | | |
|
77
|
| |
Peak 10 Holding Corp.
|
| | Software & Services | | | L+725 | | | 1.0% | | |
8/1/25
|
| | |
|
4,582
|
| | | |
|
4,593
|
| | | |
|
11
|
| |
Sequa Mezzanine Holdings L.L.C.
|
| | Capital Goods | | | L+900 | | | 1.0% | | |
4/28/22
|
| | |
|
434
|
| | | |
|
430
|
| | | |
|
(4
)
|
| |
SGS Cayman, L.P
(3)
|
| | Software & Services | | | L+538 | | | 1.0% | | |
4/23/21
|
| | |
|
370
|
| | | |
|
368
|
| | | |
|
(2
)
|
| |
Specialty Building Products Holdings,
LLC |
| | Capital Goods | | | L+600 | | | 1.0% | | |
10/26/23
|
| | |
|
6,411
|
| | | |
|
6,677
|
| | | |
|
266
|
| |
Strike, LLC
|
| | Energy | | | L+800 | | | 1.0% | | |
11/30/22
|
| | |
|
2,848
|
| | | |
|
2,970
|
| | | |
|
122
|
| |
Sutherland Global Services Inc.
|
| | Software & Services | | | L+538 | | | 1.0% | | |
4/23/21
|
| | |
|
1,591
|
| | | |
|
1,580
|
| | | |
|
(11
)
|
| |
ThermaSys Corp.
|
| | Capital Goods | | | L+400 | | | 1.3% | | |
5/3/19
|
| | |
|
3,288
|
| | | |
|
3,344
|
| | | |
|
56
|
| |
TKC Holdings, Inc.
(4)
|
| | Retailing | | | L+800 | | | 1.0% | | |
2/1/24
|
| | |
|
7,772
|
| | | |
|
7,817
|
| | | |
|
45
|
| |
TravelCLICK, Inc.
(4)
|
| | Software & Services | | | L+775 | | | 1.0% | | |
11/6/21
|
| | |
|
2,279
|
| | | |
|
2,356
|
| | | |
|
77
|
| |
Westbridge Technologies, Inc.
(4)
|
| | Software & Services | | | L+850 | | | 1.0% | | |
4/28/23
|
| | |
|
4,778
|
| | | |
|
4,924
|
| | | |
|
146
|
| |
York Risk Services Holding Corp.
(4)
|
| | Insurance | | | L+375 | | | 1.0% | | |
10/1/21
|
| | |
|
3,043
|
| | | |
|
2,973
|
| | | |
|
(70
)
|
| |
Total
|
| | | | | | | | | | | | | | |
$
|
129,781
|
| | | |
$
|
127,073
|
| | | |
|
(2,708
)
|
| |
Total TRS Accrued Income and Liabilities:
|
| | |
|
819
|
| | ||||||||||||||||||||||||
Total TRS Fair Value:
|
| | |
$
|
(1,889
)
|
| | ||||||||||||||||||||||||
|
Underlying Loan
(1)
|
| |
Industry
|
| |
Rate
(2)
|
| |
Floor
|
| |
Maturity
|
| |
Notional
Amount |
| |
Market
Value |
| |
Unrealized
Appreciation/ (Depreciation) |
| |||||||||
American Bath Group, LLC
(4)
|
| | Capital Goods | | | L+525 | | | 1.0% | | |
9/30/23
|
| | |
$
|
3,792
|
| | | |
$
|
3,978
|
| | | |
$
|
186
|
| |
American Bath Group, LLC
|
| | Capital Goods | | | L+975 | | | 1.0% | | |
9/30/24
|
| | |
|
2,760
|
| | | |
|
2,993
|
| | | |
|
233
|
| |
ATX Networks Corp.
(3)
|
| |
Technology Hardware & Equipment
|
| |
L+600,
1.0% PIK (1.0% Max PIK) |
| | 1.0% | | |
6/11/21
|
| | |
|
6,617
|
| | | |
|
6,737
|
| | | |
|
120
|
| |
Avaya Inc.
|
| |
Technology Hardware & Equipment
|
| | L+475 | | | 1.0% | | |
12/15/24
|
| | |
|
9,900
|
| | | |
|
9,829
|
| | | |
|
(71
)
|
| |
CDS U.S. Intermediate Holdings, Inc.
(3)
|
| | Media | | | L+825 | | | 1.0% | | |
7/10/23
|
| | |
|
3,238
|
| | | |
|
3,196
|
| | | |
|
(42
)
|
| |
Dayton Superior Corp.
|
| | Materials | | | L+800 | | | 1.0% | | |
11/15/21
|
| | |
|
3,734
|
| | | |
|
3,234
|
| | | |
|
(500
)
|
| |
Diamond Resorts International, Inc.
|
| | Consumer Services | | | L+450 | | | 1.0% | | |
9/2/23
|
| | |
|
6,740
|
| | | |
|
6,958
|
| | | |
|
218
|
| |
Elo Touch Solutions, Inc.
|
| |
Technology Hardware & Equipment
|
| | L+600 | | | 1.0% | | |
10/25/23
|
| | |
|
3,168
|
| | | |
|
3,192
|
| | | |
|
24
|
| |
FullBeauty Brands Holdings Corp.
|
| | Consumer Durables & Apparel | | | L+475 | | | 1.0% | | |
10/14/22
|
| | |
|
4,619
|
| | | |
|
2,832
|
| | | |
|
(1,787
)
|
| |
Gulf Finance, LLC
|
| | Energy | | | L+525 | | | 1.0% | | |
8/25/23
|
| | |
|
4,718
|
| | | |
|
4,356
|
| | | |
|
(362
)
|
| |
Inmar, Inc.
|
| | Software & Services | | | L+800 | | | 1.0% | | |
5/1/25
|
| | |
|
6,895
|
| | | |
|
7,000
|
| | | |
|
105
|
| |
Interior Logic Group, Inc.
|
| | Capital Goods | | | L+600 | | | 1.0% | | |
3/1/24
|
| | |
|
6,669
|
| | | |
|
6,901
|
| | | |
|
232
|
| |
Ivanti Software, Inc.
|
| | Software & Services | | | L+425 | | | 1.0% | | |
1/20/24
|
| | |
|
2,518
|
| | | |
|
2,401
|
| | | |
|
(117
)
|
| |
LBM Borrower, LLC
|
| | Capital Goods | | | L+450 | | | 1.0% | | |
8/20/22
|
| | |
|
8,565
|
| | | |
|
8,691
|
| | | |
|
126
|
| |
LBM Borrower, LLC
(4)
|
| | Capital Goods | | | L+925 | | | 1.0% | | |
8/20/23
|
| | |
|
2,876
|
| | | |
|
2,994
|
| | | |
|
118
|
| |
LD Intermediate Holdings, Inc.
|
| | Software & Services | | | L+588 | | | 1.0% | | |
12/9/22
|
| | |
|
7,020
|
| | | |
|
6,949
|
| | | |
|
(71
)
|
| |
MORSCO, Inc.
|
| | Capital Goods | | | L+700 | | | 1.0% | | |
10/31/23
|
| | |
|
3,042
|
| | | |
|
3,208
|
| | | |
|
166
|
| |
nThrive, Inc.
|
| |
Health Care Equipment & Services
|
| | L+450 | | | 1.0% | | |
10/19/22
|
| | |
|
5,663
|
| | | |
|
5,749
|
| | | |
|
86
|
| |
P.F. Chang’s China Bistro, Inc.
|
| | Consumer Services | | | L+500 | | | 1.0% | | |
9/1/22
|
| | |
|
7,257
|
| | | |
|
7,026
|
| | | |
|
(231
)
|
| |
P2 Upstream Acquisition Co.
|
| | Energy | | | L+400 | | | 1.3% | | |
10/30/20
|
| | |
|
2,437
|
| | | |
|
2,532
|
| | | |
|
95
|
| |
P2 Upstream Acquisition Co.
|
| | Energy | | | L+800 | | | 1.0% | | |
4/30/21
|
| | |
|
1,309
|
| | | |
|
1,365
|
| | | |
|
56
|
| |
Peak 10 Holding Corp.
|
| | Software & Services | | | L+725 | | | 1.0% | | |
8/1/25
|
| | |
|
4,582
|
| | | |
|
4,646
|
| | | |
|
64
|
| |
Quest Software US Holdings Inc.
|
| | Software & Services | | | L+550 | | | 1.0% | | |
10/31/22
|
| | |
|
9,121
|
| | | |
|
9,303
|
| | | |
|
182
|
| |
Specialty Building Products Holdings,
LLC |
| | Capital Goods | | | L+600 | | | 1.0% | | |
10/26/23
|
| | |
|
6,443
|
| | | |
|
6,677
|
| | | |
|
234
|
| |
Strike, LLC
|
| | Energy | | | L+800 | | | 1.0% | | |
11/30/22
|
| | |
|
2,925
|
| | | |
|
3,045
|
| | | |
|
120
|
| |
ThermaSys Corp.
|
| | Capital Goods | | | L+400 | | | 1.3% | | |
5/3/19
|
| | |
|
3,335
|
| | | |
|
3,273
|
| | | |
|
(62
)
|
| |
TKC Holdings, Inc.
(4)
|
| | Retailing | | | L+800 | | | 1.0% | | |
2/1/24
|
| | |
|
7,771
|
| | | |
|
7,850
|
| | | |
|
79
|
| |
TravelCLICK, Inc.
(4)
|
| | Software & Services | | | L+775 | | | 1.0% | | |
11/6/21
|
| | |
|
4,070
|
| | | |
|
4,218
|
| | | |
|
148
|
| |
Westbridge Technologies, Inc.
(4)
|
| | Software & Services | | | L+850 | | | 1.0% | | |
4/28/23
|
| | |
|
4,839
|
| | | |
|
4,876
|
| | | |
|
37
|
| |
WP CPP Holdings, LLC
|
| | Capital Goods | | | L+775 | | | 1.0% | | |
4/30/21
|
| | |
|
2,184
|
| | | |
|
2,323
|
| | | |
|
139
|
| |
York Risk Services Holding Corp.
(4)
|
| | Insurance | | | L+375 | | | 1.0% | | |
10/1/21
|
| | |
|
3,059
|
| | | |
|
3,016
|
| | | |
|
(43
)
|
| |
Total
|
| | | | | | | | | | | | | | |
$
|
151,866
|
| | | |
$
|
151,348
|
| | | |
|
(518
)
|
| |
Total TRS Accrued Income and Liabilities:
|
| | |
|
1,386
|
| | ||||||||||||||||||||||||
Total TRS Fair Value:
|
| | |
$
|
868
|
| | ||||||||||||||||||||||||
|
| | |
Six Months Ended
June 30, 2018 (Unaudited) |
| |
Year Ended
December 31, 2017 |
| ||||||
Per Share Data: (1) | | | | | | | | | | | | | |
Net asset value, beginning of period
|
| | | $ | 11.12 | | | | | $ | 10.96 | | |
Results of operations (2) | | | | | | | | | | | | | |
Net investment income
|
| | | | 0.22 | | | | | | 0.25 | | |
Net realized gain (loss) and unrealized appreciation (depreciation)
|
| | | | (0.03 ) | | | | | | 0.58 | | |
Net increase (decrease) in net assets resulting from operations
|
| | | | 0.19 | | | | | | 0.83 | | |
Stockholder distributions (3) | | | | | | | | | | | | | |
Distributions from net investment income
|
| | | | (0.35 ) | | | | | | (0.65 ) | | |
Distributions from net realized gain on investments
|
| | | | — | | | | | | (0.09 ) | | |
Net decrease in net assets resulting from stockholder distributions
|
| | | | (0.35 ) | | | | | | (0.74 ) | | |
Capital share transactions | | | | | | | | | | | | | |
Issuance of common stock
(4)
|
| | | | 0.01 | | | | | | 0.07 | | |
Repurchases of common stock
(5)
|
| | | | — | | | | | | — | | |
Net increase in net assets resulting from capital share transactions
|
| | | | 0.01 | | | | | | 0.07 | | |
Net asset value, end of period
|
| | | $ | 10.97 | | | | | $ | 11.12 | | |
Shares outstanding, end of period
|
| | | | 31,791,118 | | | | | | 31,614,476 | | |
Total return
(6)
|
| | | | 1.76 % | | | | | | 8.34 % | | |
Total return (without assuming reinvestment of distributions)
(6)
|
| | | | 1.80 % | | | | | | 8.21 % | | |
Ratio/Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of period
|
| | | $ | 348,689 | | | | | $ | 351,537 | | |
Ratio of net investment income to average net assets
(7)
|
| | | | 3.69 % | | | | | | 2.32 % | | |
Ratio of operating expenses to average net assets
(7)
|
| | | | 4.02 % | | | | | | 5.27 % | | |
Ratio of net expenses to average net assets
(7)
|
| | | | 3.88 % | | | | | | 5.26 % | | |
Portfolio turnover
(8)
|
| | | | 19.37 % | | | | | | 38.13 % | | |
Total amount of senior securities outstanding, exclusive of treasury securities
|
| | | $ | 99,958 | | | | | $ | 113,960 | | |
Asset coverage per unit
(9)
|
| | | | 4.49 | | | | | | 4.08 | | |
| | |
Six Months Ended
June 30, 2018 (Unaudited) |
| |
Year Ended
December 31, 2017 |
| ||||||
Ratio of subordinated income incentive fees to average net assets
|
| | | | 0.21 % | | | | | | — | | |
Ratio of accrued capital gains incentive fees to average net assets
|
| | | | (0.26 )% | | | | | | 0.44 % | | |
Ratio of offering costs to average net assets
|
| | | | — | | | | | | 0.53 % | | |
Ratio of interest expense to average net assets
|
| | | | 0.26 % | | | | | | 0.26 % | | |
Net Investment Activity
|
| |
For the Three Months Ended
June 30, 2018 |
| |
For the Six Months Ended
June 30, 2018 |
| ||||||
Purchases
|
| | | $ | 46,797 | | | | | $ | 51,503 | | |
Sales and Repayments
|
| | | | (42,069 ) | | | | | | (54,089 ) | | |
Net Portfolio Activity
|
| | | $ | 4,728 | | | | | $ | (2,586 ) | | |
|
| | |
For the Three Months Ended
June 30, 2018 |
| |
For the Six Months Ended
June 30, 2018 |
| ||||||||||||||||||
New Investment Activity by Asset Class
|
| |
Purchases
|
| |
Percentage
|
| |
Purchases
|
| |
Percentage
|
| ||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 30,110 | | | | | | 64 % | | | | | $ | 32,058 | | | | | | 62 % | | |
Senior Secured Loans—Second Lien
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Senior Secured Bonds
|
| | | | 5,314 | | | | | | 12 % | | | | | | 5,314 | | | | | | 10 % | | |
Subordinated Debt
|
| | | | 10,781 | | | | | | 23 % | | | | | | 10,781 | | | | | | 21 % | | |
Equity/Other
|
| | | | 592 | | | | | | 1 % | | | | | | 3,350 | | | | | | 7 % | | |
Total
|
| | | $ | 46,797 | | | | | | 100 % | | | | | $ | 51,503 | | | | | | 100 % | | |
|
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 142,891 | | | | | $ | 142,350 | | | | | | 54 % | | | | | $ | 136,060 | | | | | $ | 137,737 | | | | | | 51 % | | |
Senior Secured Loans—Second Lien
|
| | | | 23,196 | | | | | | 23,345 | | | | | | 9 % | | | | | | 34,677 | | | | | | 35,420 | | | | | | 13 % | | |
Senior Secured Bonds
|
| | | | 25,794 | | | | | | 23,949 | | | | | | 9 % | | | | | | 20,481 | | | | | | 20,196 | | | | | | 8 % | | |
Subordinated Debt
|
| | | | 64,040 | | | | | | 64,901 | | | | | | 25 % | | | | | | 69,585 | | | | | | 71,532 | | | | | | 27 % | | |
Equity/Other
|
| | | | 5,356 | | | | | | 7,650 | | | | | | 3 % | | | | | | 1,489 | | | | | | 2,285 | | | | | | 1 % | | |
Total
|
| | | $ | 261,277 | | | | | $ | 262,195 | | | | | | 100 % | | | | | $ | 262,292 | | | | | $ | 267,170 | | | | | | 100 % | | |
| | |
June 30, 2018
(Unaudited) |
| |
December 31, 2017
|
| ||||||||||||||||||||||||||||||
| | |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| |
Amortized
Cost (1) |
| |
Fair Value
|
| |
Percentage
of Portfolio |
| ||||||||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 240,315 | | | | | $ | 236,477 | | | | | | 61 % | | | | | $ | 252,241 | | | | | $ | 252,500 | | | | | | 60 % | | |
Senior Secured Loans—Second Lien
|
| | | | 55,553 | | | | | | 56,291 | | | | | | 14 % | | | | | | 70,362 | | | | | | 72,005 | | | | | | 17 % | | |
Senior Secured Bonds
|
| | | | 25,794 | | | | | | 23,949 | | | | | | 6 % | | | | | | 20,481 | | | | | | 20,196 | | | | | | 5 % | | |
Subordinated Debt
|
| | | | 64,040 | | | | | | 64,901 | | | | | | 17 % | | | | | | 69,585 | | | | | | 71,532 | | | | | | 17 % | | |
Equity/Other
|
| | | | 5,356 | | | | | | 7,650 | | | | | | 2 % | | | | | | 1,489 | | | | | | 2,285 | | | | | | 1 % | | |
Total
|
| | | $ | 391,058 | | | | | $ | 389,268 | | | | | | 100 % | | | | | $ | 414,158 | | | | | $ | 418,518 | | | | | | 100 % | | |
| | |
June 30, 2018
|
| |
December 31, 2017
|
|
Number of Portfolio Companies
|
| |
60
|
| |
45
|
|
% Variable Rate (based on fair value)
|
| |
63.2%
|
| |
64.8%
|
|
% Fixed Rate (based on fair value)
|
| |
33.9%
|
| |
34.4%
|
|
% Non-Income Producing Equity/Other Investments (based on fair value)
|
| |
0.5%
|
| |
0.8%
|
|
% Income Producing Equity/Other Investments (based on fair value)
|
| |
2.4%
|
| |
0.0%
|
|
Average Annual EBITDA of Portfolio Companies
|
| |
$135,000
|
| |
$99,700
|
|
Weighted Average Purchase Price of Debt Investments (as a % of par)
|
| |
99.1%
|
| |
99.1%
|
|
% of Investments on Non-Accrual (based on fair value)
|
| |
—
|
| |
—
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost)
|
| |
9.9%
|
| |
9.2%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost)—Excluding Non-Income Producing Assets
|
| |
10.0%
|
| |
9.2%
|
|
New Direct Originations
|
| |
For the Three Months Ended
June 30, 2018 |
| |
For the Six Months Ended
June 30, 2018 |
| ||||||
Total Commitments (including unfunded commitments)
|
| | | $ | 20,503 | | | | | $ | 24,311 | | |
Exited Investments (including partial paydowns)
|
| | | | (8,830 ) | | | | | | (9,193 ) | | |
Net Direct Originations
|
| | | $ | 11,673 | | | | | $ | 15,118 | | |
|
| | |
For the Three Months Ended
June 30, 2018 |
| |
For the Six Months Ended
June 30, 2018 |
| ||||||||||||||||||
New Direct Originations by Asset Class (including unfunded commitments)
|
| |
Commitment
Amount |
| |
Percentage
|
| |
Commitment
Amount |
| |
Percentage
|
| ||||||||||||
Senior Secured Loans—First Lien
|
| | | $ | 19,914 | | | | | | 97 % | | | | | $ | 20,964 | | | | | | 86 % | | |
Senior Secured Loans—Second Lien
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Senior Secured Bonds
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Subordinated Debt
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Equity/Other
|
| | | | 589 | | | | | | 3 % | | | | | | 3,347 | | | | | | 14 % | | |
Total
|
| | | $ | 20,503 | | | | | | 100 % | | | | | $ | 24,311 | | | | | | 100 % | | |
|
| | |
For the Three Months Ended
June 30, 2018 |
| |
For the Six Months Ended
June 30, 2018 |
|
Average New Direct Origination Commitment Amount
|
| |
$2,929
|
| |
$2,431
|
|
Weighted Average Maturity for New Direct Originations
|
| |
9/15/24
|
| |
8/30/24
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of New Direct Originations Funded during Period
|
| |
10.2%
|
| |
12.9%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of New Direct Originations Funded during Period—Excluding Non-Income Producing Assets
|
| |
10.2%
|
| |
12.9%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Direct Originations Exited during Period
|
| |
10.1%
|
| |
10.1%
|
|
Characteristics of All Direct Originations Held in Portfolio
|
| |
June 30, 2018
|
| |
December 31, 2017
|
|
Number of Portfolio Companies
|
| |
30
|
| |
24
|
|
Average Annual EBITDA of Portfolio Companies
|
| |
$77,900
|
| |
$54,440
|
|
Average Leverage Through Tranche of Portfolio Companies—Excluding Equity/Other Securities
|
| |
4.9x
|
| |
4.4x
|
|
% of Investments on Non-Accrual (based on fair value)
|
| |
—
|
| |
—
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Funded Direct Originations
|
| |
10.3%
|
| |
9.2%
|
|
Gross Portfolio Yield Prior to Leverage (based on amortized cost) of Funded Direct Originations—Excluding Non-Income Producing Assets
|
| |
10.4%
|
| |
9.3%
|
|
| | |
June 30, 2018
|
| |
December 31, 2017
|
| ||||||||||||||||||
Portfolio Composition by Strategy
|
| |
Fair
Value |
| |
Percentage
of Portfolio |
| |
Fair
Value |
| |
Percentage
of Portfolio |
| ||||||||||||
Direct Originations
|
| | | $ | 147,943 | | | | | | 56 % | | | | | $ | 130,046 | | | | | | 49 % | | |
Opportunistic
|
| | | | 51,251 | | | | | | 20 % | | | | | | 86,229 | | | | | | 32 % | | |
Broadly Syndicated/Other
|
| | | | 63,001 | | | | | | 24 % | | | | | | 50,895 | | | | | | 19 % | | |
Total
|
| | | $ | 262,195 | | | | | | 100 % | | | | | $ | 267,170 | | | | | | 100 % | | |
|
Investment
Rating |
| |
Summary Description
|
|
1
|
| | Investment exceeding expectations and/or capital gain expected. | |
2
|
| | Performing investment generally executing in accordance with the portfolio company’s business plan—full return of principal and interest expected. | |
3
|
| | Performing investment requiring closer monitoring. | |
4
|
| | Underperforming investment—some loss of interest or dividend possible, but still expecting a positive return on investment. | |
5
|
| | Underperforming investment with expected loss of interest and some principal. | |
| | |
June 30, 2018
|
| |
December 31, 2017
|
| ||||||||||||||||||
Investment Rating
|
| |
Fair
Value |
| |
Percentage
of Portfolio |
| |
Fair
Value |
| |
Percentage
of Portfolio |
| ||||||||||||
1
|
| | | $ | 1,965 | | | | | | 1 % | | | | | $ | 367 | | | | | | 0 % | | |
2
|
| | | | 220,630 | | | | | | 84 % | | | | | | 266,803 | | | | | | 100 % | | |
3
|
| | | | 39,600 | | | | | | 15 % | | | | | | — | | | | | | — | | |
4
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
5
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | $ | 262,195 | | | | | | 100 % | | | | | $ | 267,170 | | | | | | 100 % | | |
|
| | |
Three Months Ended June 30,
|
| |
Six Months Ended June 30,
|
| ||||||||||||||||||||||||||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||||||||||||||||||||||||||
| | |
Amount
|
| |
Percentage
of Total Income |
| |
Amount
|
| |
Percentage
of Total Income |
| |
Amount
|
| |
Percentage
of Total |
| |
Amount
|
| |
Percentage
of Total Income |
| ||||||||||||||||||||||||
Interest income
|
| | | $ | 6,026 | | | | | | 88 % | | | | | $ | 3,788 | | | | | | 87 % | | | | | $ | 12,115 | | | | | | 92 % | | | | | $ | 5,762 | | | | | | 75 % | | |
Paid-in-kind interest income
|
| | | | 283 | | | | | | 4 % | | | | | | 9 | | | | | | 0 % | | | | | | 562 | | | | | | 4 % | | | | | | 20 | | | | | | 0 % | | |
Fee income
|
| | | | 528 | | | | | | 8 % | | | | | | 585 | | | | | | 13 % | | | | | | 558 | | | | | | 4 % | | | | | | 1,959 | | | | | | 25 % | | |
Dividend income
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 15 | | | | | | 0 % | | | | | | — | | | | | | — | | |
Total investment income
(1)
|
| | | $ | 6,837 | | | | | | 100 % | | | | | $ | 4,382 | | | | | | 100 % | | | | | $ | 13,250 | | | | | | 100 % | | | | | $ | 7,741 | | | | | | 100 % | | |
|
| | |
Three Months Ended June 30,
|
| |
Six Months Ended June 30,
|
| ||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||
Management fees
|
| | | $ | 1,436 | | | | | $ | 1,354 | | | | | $ | 3,293 | | | | | $ | 2,381 | | |
Subordinated income incentive fees
|
| | | | 372 | | | | | | — | | | | | | 372 | | | | | | — | | |
Capital gains incentive fees
|
| | | | (179 ) | | | | | | 214 | | | | | | (914 ) | | | | | | 911 | | |
Administrative services expenses
|
| | | | 153 | | | | | | 100 | | | | | | 231 | | | | | | 200 | | |
Stock transfer agent fees
|
| | | | 50 | | | | | | 37 | | | | | | 100 | | | | | | 107 | | |
Accounting and administrative fees
|
| | | | 27 | | | | | | 30 | | | | | | 78 | | | | | | 54 | | |
Interest expense
|
| | | | 236 | | | | | | 205 | | | | | | 458 | | | | | | 251 | | |
Distribution fees
|
| | | | 1,440 | | | | | | 988 | | | | | | 2,061 | | | | | | 1,304 | | |
Offering costs
|
| | | | — | | | | | | 471 | | | | | | — | | | | | | 852 | | |
Directors’ fees
|
| | | | 76 | | | | | | 96 | | | | | | 360 | | | | | | 185 | | |
Expenses associated with our independent audit and related fees
|
| | | | 63 | | | | | | 70 | | | | | | 126 | | | | | | 140 | | |
Legal fees
|
| | | | 19 | | | | | | 20 | | | | | | 39 | | | | | | 39 | | |
Printing fees
|
| | | | 75 | | | | | | 75 | | | | | | 148 | | | | | | 150 | | |
Other
|
| | | | 83 | | | | | | 99 | | | | | | 231 | | | | | | 188 | | |
Total operating expenses
|
| | | | 3,851 | | | | | | 3,759 | | | | | | 6,583 | | | | | | 6,762 | | |
Management fee waiver
|
| | | | (21 ) | | | | | | (169 ) | | | | | | (253 ) | | | | | | (258 ) | | |
Add: Expense recoupment to sponsor
|
| | | | — | | | | | | — | | | | | | — | | | | | | 666 | | |
Net expenses
|
| | | $ | 3,830 | | | | | $ | 3,590 | | | | | $ | 6,330 | | | | | $ | 7,170 | | |
|
| | |
Three Months Ended June 30,
|
| |
Six Months Ended June 30,
|
| ||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||
Ratio of operating expenses to average net assets
|
| | | | 1.10 % | | | | | | 1.57 % | | | | | | 1.88 % | | | | | | 3.16 % | | |
Ratio of management fee waiver to average net
assets |
| | | | (0.01 )% | | | | | | (0.07 )% | | | | | | (0.07 )% | | | | | | (0.12 )% | | |
Ratio of expense recoupment to sponsor to average net assets
|
| | | | — | | | | | | — | | | | | | — | | | | | | 0.31 % | | |
Ratio of net operating expenses to average net assets
|
| | | | 1.09 % | | | | | | 1.50 % | | | | | | 1.81 % | | | | | | 3.35 % | | |
Ratio of subordinated income incentive fees, capital gains incentive fees, interest expense and offering costs to average net assets
(1)
|
| | | | (0.13 )% | | | | | | (0.37 )% | | | | | | 0.02 % | | | | | | (0.94 )% | | |
Ratio of net operating expenses to average net assets, excluding certain expenses
|
| | | | 0.96 % | | | | | | 1.13 % | | | | | | 1.83 % | | | | | | 2.41 % | | |
|
| | |
Three Months Ended June 30,
|
| |
Six Months Ended June 30,
|
| ||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||
Net realized gain (loss) on investments
(1)
|
| | | $ | 272 | | | | | $ | 499 | | | | | $ | 722 | | | | | $ | 818 | | |
Net realized gain (loss) on total return swap
|
| | | | 2,588 | | | | | | 3,388 | | | | | | 5,065 | | | | | | 5,063 | | |
Total net realized gain (loss)
|
| | | $ | 2,860 | | | | | $ | 3,887 | | | | | $ | 5,787 | | | | | $ | 5,881 | | |
|
| | |
Three Months Ended June 30,
|
| |
Six Months Ended June 30
|
| ||||||||||||||||||
| | |
2018
|
| |
2017
|
| |
2018
|
| |
2017
|
| ||||||||||||
Net change in unrealized appreciation (depreciation) on investments
|
| | | $ | 647 | | | | | $ | 751 | | | | | $ | (3,960 ) | | | | | $ | 2,192 | | |
Net change in unrealized appreciation (depreciation) on total return swap
|
| | | | (2,637 ) | | | | | | (1,245 ) | | | | | | (2,757 ) | | | | | | 436 | | |
Total net change in unrealized appreciation (depreciation)
|
| | | $ | (1,990 ) | | | | | $ | (494 ) | | | | | $ | (6,717 ) | | | | | $ | 2,628 | | |
|
Arrangement
|
| |
Type of Arrangement
|
| |
Rate
|
| |
Amount
Outstanding |
| |
Amount
Available |
| |
Maturity Date
|
| ||||||
BNP Facility
(1)
|
| |
Prime Brokerage
|
| |
L+1.25%
|
| | | $ | 19,900 | | | | | $ | 30,100 | | | |
March 27, 2019
(2)
|
|
Citibank Total Return Swap
|
| |
Total Return Swap
|
| |
L+1.60%
|
| | | $ | 129,781 | | | | | $ | 45,219 | | | |
N/A
(3)
|
|
| | |
Distribution
(1)
|
| |||||||||
For the Three Months Ended
|
| |
Per Share
|
| |
Amount
|
| ||||||
Fiscal 2017 | | | | | | | | | | | | | |
March 31, 2017
(2)
|
| | | $ | 0.18770 | | | | | $ | 2,917 | | |
June 30, 2017
(2)
|
| | | | 0.20171 | | | | | | 4,712 | | |
Total
|
| | | $ | 0.38941 | | | | | $ | 7,629 | | |
Fiscal 2018 | | | | | | | | | | | | | |
March 31, 2018
|
| | | $ | 0.17452 | | | | | $ | 5,247 | | |
June 30, 2018
|
| | | | 0.17545 | | | | | | 5,562 | | |
Total
|
| | | $ | 0.34997 | | | | | $ | 10,809 | | |
|
| | | | | |
Payments Due By Period
|
| |||||||||||||||||||||||||||
| | |
Maturity Date
(1)
|
| |
Total
|
| |
Less than 1 year
|
| |
1–3 years
|
| |
3–5 years
|
| |
More than 5 years
|
| |||||||||||||||
BNP Facility
(2)
|
| |
March 27, 2019
|
| | | $ | 19,900 | | | | | $ | 19,900 | | | | | | — | | | | | | — | | | | | | — | | |
Basis Point Change in Interest Rates
|
| |
Increase
(Decrease) in Interest Income (1) |
| |
Increase
(Decrease) in Interest Expense |
| |
Increase
(Decrease) in Net Interest Income |
| |
Percentage
Change in Interest Income |
| ||||||||||||
Down 100 basis points
|
| | | $ | (1,712 ) | | | | | $ | (255 ) | | | | | $ | (1,457 ) | | | | | | (4.7 )% | | |
No change
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Up 100 basis points
|
| | | $ | 1,712 | | | | | $ | 255 | | | | | $ | 1,457 | | | | | | 4.7 % | | |
Up 300 basis points
|
| | | $ | 5,136 | | | | | $ | 765 | | | | | $ | 4,371 | | | | | | 14.1 % | | |
Up 500 basis points
|
| | | $ | 8,559 | | | | | $ | 1,275 | | | | | $ | 7,284 | | | | | | 23.6 % | | |
Period
|
| |
Total Number
of Shares Purchased |
| |
Average
Price Paid per Share |
| |
Total Number of
Shares Purchased as Part of Publicly Announced Plans or Programs |
| |
Maximum Number of
Shares that May Yet be Purchased Under the Plans or Programs |
| ||||||||||||
April 1 to April 30, 2018
|
| | | | 286,794 | | | | | $ | 11.1549 | | | | | | 286,794 | | | | |
|
(1)
|
| |
May 1 to May 31, 2018
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
June 1 to June 30, 2018
|
| | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total
|
| | | | 286,794 | | | | | $ | 11.1549 | | | | | | 286,794 | | | | |
|
(1)
|
| |
|
| | | | FS INVESTMENT CORPORATION IV | | |||
| | | | By: | | |
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer (Principal Executive Officer) |
|
| | | |
By:
|
| |
/s/ William Goebel
William Goebel
Chief Financial Officer (Principal Financial and Accounting Officer) |
|
|
BNP PARIBAS PRIME BROKERAGE
INTERNATIONAL, LTD. |
| | BROOMALL FUNDING LLC | |
|
/s/ Jeffrey Lowe
Name: Jeffrey Lowe
Title: Managing Director |
| |
/s/ William Goebel
Name: William Goebel
Title: Chief Financial Officer |
|
|
/s/ Thomas Guagliardo
Name: Thomas Guagliardo
Title: Managing Director |
| |
|
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer |
| | | |
|
/s/ William Goebel
William Goebel
Chief Financial Officer |
| | | |
| | | | Dated: August 14, 2018 | |
| | | |
/s/ Michael C. Forman
Michael C. Forman
Chief Executive Officer |
|
| | | |
/s/ William Goebel
William Goebel
Chief Financial Officer |
|