Price Graph
Price
Yield
These terms and conditions govern your use of the website alphaminr.com and its related services.
These Terms and Conditions (“Terms”) are a binding contract between you and Alphaminr, (“Alphaminr”, “we”, “us” and “service”). You must agree to and accept the Terms. These Terms include the provisions in this document as well as those in the Privacy Policy. These terms may be modified at any time.
Your subscription will be on a month to month basis and automatically renew every month. You may terminate your subscription at any time through your account.
We will provide you with advance notice of any change in fees.
You represent that you are of legal age to form a binding contract. You are responsible for any
activity associated with your account. The account can be logged in at only one computer at a
time.
The Services are intended for your own individual use. You shall only use the Services in a
manner that complies with all laws. You may not use any automated software, spider or system to
scrape data from Alphaminr.
Alphaminr is not a financial advisor and does not provide financial advice of any kind. The service is provided “As is”. The materials and information accessible through the Service are solely for informational purposes. While we strive to provide good information and data, we make no guarantee or warranty as to its accuracy.
TO THE EXTENT PERMITTED BY APPLICABLE LAW, UNDER NO CIRCUMSTANCES SHALL ALPHAMINR BE LIABLE TO YOU FOR DAMAGES OF ANY KIND, INCLUDING DAMAGES FOR INVESTMENT LOSSES, LOSS OF DATA, OR ACCURACY OF DATA, OR FOR ANY AMOUNT, IN THE AGGREGATE, IN EXCESS OF THE GREATER OF (1) FIFTY DOLLARS OR (2) THE AMOUNTS PAID BY YOU TO ALPHAMINR IN THE SIX MONTH PERIOD PRECEDING THIS APPLICABLE CLAIM. SOME STATES DO NOT ALLOW THE EXCLUSION OR LIMITATION OF INCIDENTAL OR CONSEQUENTIAL OR CERTAIN OTHER DAMAGES, SO THE ABOVE LIMITATION AND EXCLUSIONS MAY NOT APPLY TO YOU.
If any provision of these Terms is found to be invalid under any applicable law, such provision shall not affect the validity or enforceability of the remaining provisions herein.
This privacy policy describes how we (“Alphaminr”) collect, use, share and protect your personal information when we provide our service (“Service”). This Privacy Policy explains how information is collected about you either directly or indirectly. By using our service, you acknowledge the terms of this Privacy Notice. If you do not agree to the terms of this Privacy Policy, please do not use our Service. You should contact us if you have questions about it. We may modify this Privacy Policy periodically.
When you register for our Service, we collect information from you such as your name, email address and credit card information.
Like many other websites we use “cookies”, which are small text files that are stored on your computer or other device that record your preferences and actions, including how you use the website. You can set your browser or device to refuse all cookies or to alert you when a cookie is being sent. If you delete your cookies, if you opt-out from cookies, some Services may not function properly. We collect information when you use our Service. This includes which pages you visit.
We use Google Analytics and we use Stripe for payment processing. We will not share the information we collect with third parties for promotional purposes. We may share personal information with law enforcement as required or permitted by law.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ý
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
For the quarterly period ended September 30, 2016
OR
|
|
|
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
|
Maryland
|
43-2048643
|
|
(State or other jurisdiction of
incorporation or organization)
|
(I.R.S. Employer
Identification No.)
|
|
10 East 40th Street, 42nd Floor
|
|
|
New York, New York
|
10016
|
|
(Address of principal executive offices)
|
(Zip Code)
|
|
Registrant's telephone number, including area code: (212) 448-0702
|
|
|
Large accelerated filer
ý
|
Accelerated filer
o
|
Non-accelerated filer
o
|
Smaller reporting company
o
|
|
(Do not check if a smaller reporting company)
|
|||
|
Class of Common Stock
|
|
Outstanding at November 8, 2016
|
|
$0.001 par value
|
|
358,369,103
|
|
|
|
Page
|
|
|
||
|
PART I
|
FINANCIAL INFORMATION
|
|
|
|
||
|
|
||
|
|
||
|
|
||
|
|
||
|
|
||
|
|
||
|
PART II
|
OTHER INFORMATION
|
|
|
|
|
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||
|
|
|
||||||
|
|
(Unaudited)
|
|
(Audited)
|
||||
|
Assets
|
|
|
|
|
|||
|
Investments at fair value:
|
|
|
|
|
|
||
|
Control investments (amortized cost of $1,870,228 and $1,768,220, respectively)
|
$
|
1,867,823
|
|
|
$
|
1,752,449
|
|
|
Affiliate investments (amortized cost of $8,530 and $10,758, respectively)
|
6,966
|
|
|
11,320
|
|
||
|
Non-control/non-affiliate investments (amortized cost of $4,422,436 and $4,312,122, respectively)
|
4,234,807
|
|
|
4,133,939
|
|
||
|
Total investments at fair value (amortized cost of $6,301,194 and $6,091,100, respectively)
|
6,109,596
|
|
|
5,897,708
|
|
||
|
Cash
|
132,240
|
|
|
317,798
|
|
||
|
Receivables for:
|
|
|
|
||||
|
Interest, net
|
9,920
|
|
|
12,127
|
|
||
|
Other
|
197
|
|
|
168
|
|
||
|
Prepaid expenses
|
703
|
|
|
855
|
|
||
|
Deferred financing costs on Revolving Credit Facility (Note 4)
|
6,834
|
|
|
7,525
|
|
||
|
Total Assets
|
6,259,490
|
|
|
6,236,181
|
|
||
|
|
|
|
|
||||
|
Liabilities
|
|
|
|
|
|
||
|
Revolving Credit Facility (Notes 4 and 8)
|
44,000
|
|
|
—
|
|
||
|
Prospect Capital InterNotes® (Notes 7 and 8)
|
930,814
|
|
|
893,210
|
|
||
|
Convertible Notes (Notes 5 and 8)
|
908,240
|
|
|
1,074,361
|
|
||
|
Public Notes (Notes 6 and 8)
|
736,821
|
|
|
699,368
|
|
||
|
Interest payable
|
33,086
|
|
|
40,804
|
|
||
|
Due to broker
|
80,397
|
|
|
957
|
|
||
|
Due to Prospect Capital Management (Note 13)
|
51,091
|
|
|
54,149
|
|
||
|
Due to Prospect Administration (Note 13)
|
1,719
|
|
|
1,765
|
|
||
|
Accrued expenses
|
2,764
|
|
|
2,259
|
|
||
|
Other liabilities
|
5,113
|
|
|
3,633
|
|
||
|
Dividends payable
|
29,836
|
|
|
29,758
|
|
||
|
Total Liabilities
|
2,823,881
|
|
|
2,800,264
|
|
||
|
Commitments and Contingencies (Note 3)
|
—
|
|
|
—
|
|
||
|
Net Assets
|
$
|
3,435,609
|
|
|
$
|
3,435,917
|
|
|
|
|
|
|
||||
|
Components of Net Assets
|
|
|
|
|
|
||
|
Common stock, par value $0.001 per share (1,000,000,000 common shares authorized; 358,042,158 and 357,107,231 issued and outstanding, respectively) (Note 9)
|
$
|
358
|
|
|
$
|
357
|
|
|
Paid-in capital in excess of par (Note 9)
|
3,973,957
|
|
|
3,967,397
|
|
||
|
Accumulated overdistributed net investment income
|
(11,643
|
)
|
|
(3,623
|
)
|
||
|
Accumulated net realized loss
|
(335,465
|
)
|
|
(334,822
|
)
|
||
|
Net unrealized loss
|
(191,598
|
)
|
|
(193,392
|
)
|
||
|
Net Assets
|
$
|
3,435,609
|
|
|
$
|
3,435,917
|
|
|
|
|
|
|
||||
|
Net Asset Value Per Share (Note 16)
|
$
|
9.60
|
|
|
$
|
9.62
|
|
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Investment Income
|
|
|
|
||||
|
Interest income:
|
|
|
|
||||
|
Control investments
|
$
|
45,909
|
|
|
$
|
51,944
|
|
|
Affiliate investments
|
—
|
|
|
885
|
|
||
|
Non-control/non-affiliate investments
|
86,660
|
|
|
93,708
|
|
||
|
Structured credit securities
|
39,081
|
|
|
44,766
|
|
||
|
Total interest income
|
171,650
|
|
|
191,303
|
|
||
|
Dividend income:
|
|
|
|
||||
|
Control investments
|
2,240
|
|
|
3,213
|
|
||
|
Non-control/non-affiliate investments
|
144
|
|
|
2
|
|
||
|
Total dividend income
|
2,384
|
|
|
3,215
|
|
||
|
Other income:
|
|
|
|
||||
|
Control investments
|
2,940
|
|
|
2,409
|
|
||
|
Non-control/non-affiliate investments
|
2,858
|
|
|
3,324
|
|
||
|
Total other income (Note 10)
|
5,798
|
|
|
5,733
|
|
||
|
Total Investment Income
|
179,832
|
|
|
200,251
|
|
||
|
Operating Expenses
|
|
|
|
||||
|
Investment advisory fees:
|
|
|
|
||||
|
Base management fee (Note 13)
|
30,792
|
|
|
32,954
|
|
||
|
Income incentive fee (Note 13)
|
19,730
|
|
|
22,810
|
|
||
|
Interest and credit facility expenses
|
41,669
|
|
|
41,957
|
|
||
|
Allocation of overhead from Prospect Administration (Note 13)
|
3,533
|
|
|
4,178
|
|
||
|
Audit, compliance and tax related fees
|
1,395
|
|
|
1,877
|
|
||
|
Directors’ fees
|
113
|
|
|
94
|
|
||
|
Other general and administrative expenses
|
3,681
|
|
|
5,139
|
|
||
|
Total Operating Expenses
|
100,913
|
|
|
109,009
|
|
||
|
Net Investment Income
|
78,919
|
|
|
91,242
|
|
||
|
Net Realized and Change in Unrealized Gains (Losses)
|
|
|
|
||||
|
Net realized gains (losses)
|
|
|
|
||||
|
Control investments
|
—
|
|
|
—
|
|
||
|
Affiliate investments
|
137
|
|
|
—
|
|
||
|
Non-control/non-affiliate investments
|
572
|
|
|
(2,134
|
)
|
||
|
Foreign currency transactions
|
5
|
|
|
(1
|
)
|
||
|
Net realized gains (losses)
|
714
|
|
|
(2,135
|
)
|
||
|
Net change in unrealized gains (losses)
|
|
|
|
||||
|
Control investments
|
13,345
|
|
|
(39,852
|
)
|
||
|
Affiliate investments
|
(2,126
|
)
|
|
105
|
|
||
|
Non-control/non-affiliate investments
|
(9,446
|
)
|
|
(21,197
|
)
|
||
|
Foreign currency translations
|
21
|
|
|
(331
|
)
|
||
|
Net change in unrealized gains (losses)
|
1,794
|
|
|
(61,275
|
)
|
||
|
Net Realized and Change in Unrealized Gains (Losses)
|
2,508
|
|
|
(63,410
|
)
|
||
|
Net realized losses on extinguishment of debt
|
(61
|
)
|
|
(15
|
)
|
||
|
Net Increase in Net Assets Resulting from Operations
|
$
|
81,366
|
|
|
$
|
27,817
|
|
|
Net increase in net assets resulting from operations per share
|
$
|
0.23
|
|
|
$
|
0.08
|
|
|
Dividends declared per share
|
$
|
(0.25
|
)
|
|
$
|
(0.25
|
)
|
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Operations
|
|
|
|
|
|
||
|
Net investment income
|
$
|
78,919
|
|
|
$
|
91,242
|
|
|
Net realized gains (losses)
|
653
|
|
|
(2,150
|
)
|
||
|
Net change in unrealized gains (losses)
|
1,794
|
|
|
(61,275
|
)
|
||
|
Net Increase in Net Assets Resulting from Operations
|
81,366
|
|
|
27,817
|
|
||
|
|
|
|
|
||||
|
Distributions to Shareholders
|
|
|
|
||||
|
Distribution from net investment income
|
(89,428
|
)
|
|
(89,115
|
)
|
||
|
Net Decrease in Net Assets Resulting from Distributions to Shareholders
|
(89,428
|
)
|
|
(89,115
|
)
|
||
|
|
|
|
|
||||
|
Common Stock Transactions
|
|
|
|
||||
|
Offering costs from issuance of common stock
|
—
|
|
|
118
|
|
||
|
Repurchase of common stock under stock repurchase program
|
—
|
|
|
(31,530
|
)
|
||
|
Value of shares issued through reinvestment of dividends
|
7,754
|
|
|
3,682
|
|
||
|
Net Increase (Decrease) in Net Assets Resulting from Common Stock Transactions
|
7,754
|
|
|
(27,730
|
)
|
||
|
|
|
|
|
||||
|
Total Decrease in Net Assets
|
(308
|
)
|
|
(89,028
|
)
|
||
|
Net assets at beginning of period
|
3,435,917
|
|
|
3,703,049
|
|
||
|
Net Assets at End of Period
|
$
|
3,435,609
|
|
|
$
|
3,614,021
|
|
|
|
|
|
|
||||
|
Common Stock Activity
|
|
|
|
||||
|
Shares repurchased under stock repurchase program
|
—
|
|
|
(4,358,750
|
)
|
||
|
Shares issued through reinvestment of dividends
|
934,927
|
|
|
490,473
|
|
||
|
Net shares issued (repurchased) due to common stock activity
|
934,927
|
|
|
(3,868,277
|
)
|
||
|
Shares issued and outstanding at beginning of period
|
357,107,231
|
|
|
359,090,759
|
|
||
|
Shares Issued and Outstanding at End of Period
|
358,042,158
|
|
|
355,222,482
|
|
||
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Operating Activities
|
|
|
|
||||
|
Net increase in net assets resulting from operations
|
$
|
81,366
|
|
|
$
|
27,817
|
|
|
Net realized losses on extinguishment of debt
|
61
|
|
|
15
|
|
||
|
Net realized (gains) losses on investments and foreign currency transactions
|
(714
|
)
|
|
2,135
|
|
||
|
Net change in unrealized (gains) losses on investments and foreign currency transactions
|
(1,794
|
)
|
|
61,275
|
|
||
|
Amortization of discounts and premiums, net
|
23,439
|
|
|
24,072
|
|
||
|
Accretion of discount on Public Notes (Note 6)
|
64
|
|
|
49
|
|
||
|
Amortization of deferred financing costs
|
3,631
|
|
|
3,556
|
|
||
|
Payment-in-kind interest
|
(5,439
|
)
|
|
(1,279
|
)
|
||
|
Structuring fees
|
(3,028
|
)
|
|
(3,556
|
)
|
||
|
Change in operating assets and liabilities:
|
|
|
|
||||
|
Payments for purchases of investments
|
(338,683
|
)
|
|
(340,908
|
)
|
||
|
Proceeds from sale of investments and collection of investment principal
|
114,331
|
|
|
436,919
|
|
||
|
Decrease in interest receivable, net
|
2,207
|
|
|
6,029
|
|
||
|
(Increase) decrease in other receivables
|
(29
|
)
|
|
1,978
|
|
||
|
Decrease in prepaid expenses
|
152
|
|
|
32
|
|
||
|
Increase in due to broker
|
79,440
|
|
|
28,475
|
|
||
|
Decrease in interest payable
|
(7,718
|
)
|
|
(4,020
|
)
|
||
|
(Decrease) increase in due to Prospect Administration
|
(46
|
)
|
|
1,177
|
|
||
|
Decrease in due to Prospect Capital Management
|
(3,058
|
)
|
|
(2,388
|
)
|
||
|
Increase (decrease) in accrued expenses
|
505
|
|
|
(45
|
)
|
||
|
Increase in other liabilities
|
1,480
|
|
|
3,021
|
|
||
|
Net Cash (Used in) Provided by Operating Activities
|
(53,833
|
)
|
|
244,354
|
|
||
|
Financing Activities
|
|
|
|
||||
|
Borrowings under Revolving Credit Facility (Note 4)
|
44,000
|
|
|
200,000
|
|
||
|
Principal payments under Revolving Credit Facility (Note 4)
|
—
|
|
|
(412,000
|
)
|
||
|
Issuances of Public Notes, net of original issue discount (Note 6)
|
37,466
|
|
|
—
|
|
||
|
Redemptions of Convertible Notes (Note 5)
|
(167,500
|
)
|
|
—
|
|
||
|
Issuances of Prospect Capital InterNotes® (Note 7)
|
38,917
|
|
|
48,134
|
|
||
|
Redemptions of Prospect Capital InterNotes®, net (Note 7)
|
(1,979
|
)
|
|
(628
|
)
|
||
|
Financing costs paid and deferred
|
(1,033
|
)
|
|
(891
|
)
|
||
|
Cost of shares repurchased under stock repurchase program
|
—
|
|
|
(31,530
|
)
|
||
|
Offering costs from issuance of common stock
|
—
|
|
|
118
|
|
||
|
Dividends paid
|
(81,596
|
)
|
|
(85,755
|
)
|
||
|
Net Cash Used in Financing Activities
|
(131,725
|
)
|
|
(282,552
|
)
|
||
|
|
|
|
|
||||
|
Net Decrease in Cash
|
(185,558
|
)
|
|
(38,198
|
)
|
||
|
Cash at beginning of period
|
317,798
|
|
|
110,026
|
|
||
|
Cash at End of period
|
$
|
132,240
|
|
|
$
|
71,828
|
|
|
|
|
|
|
||||
|
Supplemental Disclosures
|
|
|
|
||||
|
Cash paid for interest
|
$
|
44,542
|
|
|
$
|
43,004
|
|
|
Non-Cash Financing Activities
|
|
|
|
||||
|
Value of shares issued through reinvestment of dividends
|
$
|
7,754
|
|
|
$
|
3,682
|
|
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(40)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Arctic Energy Services, LLC(15)
|
Wyoming / Oil & Gas Services
|
Class D Units (32,915 units)
|
|
$
|
31,640
|
|
$
|
20,167
|
|
0.6%
|
||
|
Class E Units (21,080 units)
|
|
20,230
|
|
—
|
|
—%
|
||||||
|
Class A Units (700 units)
|
|
9,006
|
|
—
|
|
—%
|
||||||
|
Class C Units (10 units)
|
|
—
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
60,876
|
|
20,167
|
|
0.6%
|
||||
|
CCPI Inc.(16)
|
Ohio / Manufacturing
|
Senior Secured Term Loan A (10.00%, due 12/31/2017)(3)
|
12,200
|
|
12,200
|
|
12,200
|
|
0.4%
|
|||
|
Senior Secured Term Loan B (12.00% plus 7.00% PIK, due 12/31/2017)(39)
|
9,320
|
|
9,320
|
|
9,320
|
|
0.3%
|
|||||
|
Common Stock (14,857 shares)
|
|
6,759
|
|
20,722
|
|
0.5%
|
||||||
|
|
|
|
|
28,279
|
|
42,242
|
|
1.2%
|
||||
|
CP Energy Services Inc.(17)
|
Oklahoma / Oil & Gas Services
|
Series B Convertible Preferred Stock (1,043 shares)
|
|
98,273
|
|
76,002
|
|
2.2%
|
||||
|
Common Stock (2,924 shares)
|
|
15,227
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
113,500
|
|
76,002
|
|
2.2%
|
||||
|
Credit Central Loan Company, LLC(18)
|
South Carolina / Consumer Finance
|
Subordinated Term Loan (10.00% plus 10.00% PIK, due 6/26/2019)(13)(39)
|
50,510
|
|
42,989
|
|
50,510
|
|
1.5%
|
|||
|
Class A Shares (10,640,642 shares)(13)
|
|
13,731
|
|
9,341
|
|
0.3%
|
||||||
|
Net Revenues Interest (25% of Net Revenues)(13)
|
|
—
|
|
4,069
|
|
0.1%
|
||||||
|
|
|
|
|
56,720
|
|
63,920
|
|
1.9%
|
||||
|
Echelon Aviation LLC
|
New York / Aerospace & Defense
|
Senior Secured Term Loan (11.75% (LIBOR + 9.75% with 2.00% LIBOR floor) plus 2.25% PIK, due 3/31/2022)(10)(12)(39)
|
31,055
|
|
31,055
|
|
31,055
|
|
0.9%
|
|||
|
Membership Interest (99%)
|
|
19,907
|
|
23,988
|
|
0.7%
|
||||||
|
|
|
|
|
50,962
|
|
55,043
|
|
1.6%
|
||||
|
Edmentum Ultimate Holdings, LLC(19)
|
Minnesota / Consumer Services
|
Second Lien Revolving Credit Facility to Edmentum, Inc. – $7,834 Commitment (5.00%, due 6/9/2020)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
Unsecured Senior PIK Note (8.50% PIK, due 6/9/2020)(39)
|
6,478
|
|
6,478
|
|
6,478
|
|
0.2%
|
|||||
|
Unsecured Junior PIK Note (10.00% PIK, due 6/9/2020)(39)
|
29,571
|
|
23,073
|
|
24,766
|
|
0.7%
|
|||||
|
Class A Common Units (370,964 units)
|
|
6,577
|
|
4,241
|
|
0.1%
|
||||||
|
|
|
|
|
36,128
|
|
35,485
|
|
1.0%
|
||||
|
First Tower Finance Company LLC(20)
|
Mississippi / Consumer Finance
|
Subordinated Term Loan to First Tower, LLC (10.00% plus 12.00% PIK, due 6/24/2019)(13)(39)
|
256,578
|
|
256,578
|
|
256,578
|
|
7.5%
|
|||
|
Class A Shares (86,711,625 shares)(13)
|
|
70,476
|
|
95,275
|
|
2.7%
|
||||||
|
|
|
|
|
327,054
|
|
351,853
|
|
10.2%
|
||||
|
Freedom Marine Solutions, LLC(21)
|
Louisiana / Oil & Gas Services
|
Membership Interest (100%)
|
|
41,411
|
|
26,671
|
|
0.8%
|
||||
|
|
|
|
|
41,411
|
|
26,671
|
|
0.8%
|
||||
|
Gulf Coast Machine & Supply Company
|
Texas / Manufacturing
|
Senior Secured Term Loan (10.50% (LIBOR + 8.50% with 2.00% LIBOR floor), in non-accrual status effective 1/1/2015, due 10/12/2017)(10)(11)
|
38,906
|
|
33,403
|
|
7,394
|
|
0.2%
|
|||
|
Series A Convertible Preferred Stock (99,900 shares)
|
|
25,950
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
59,353
|
|
7,394
|
|
0.2%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(40)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
MITY, Inc.(22)
|
Utah / Durable Consumer Products
|
Senior Secured Note A (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor), due 3/19/2019)(3)(10)(11)
|
$
|
18,250
|
|
$
|
18,250
|
|
$
|
18,250
|
|
0.5%
|
|
Senior Secured Note B (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor) plus 10.00% PIK, due 3/19/2019)(3)(10)(11)(39)
|
16,442
|
|
16,442
|
|
16,442
|
|
0.5%
|
|||||
|
Subordinated Unsecured Note to Broda Enterprises ULC (10.00%, due on demand)(13)
|
5,646
|
|
7,200
|
|
5,646
|
|
0.2%
|
|||||
|
Common Stock (42,053 shares)
|
|
6,849
|
|
13,177
|
|
0.4%
|
||||||
|
|
|
|
|
48,741
|
|
53,515
|
|
1.6%
|
||||
|
National Property REIT Corp.(23)
|
Various / Real Estate
|
Senior Secured Term Loan A (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(10)(11)(39)
|
283,972
|
|
283,972
|
|
283,972
|
|
8.3%
|
|||
|
Senior Secured Term Loan E (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(39)
|
212,819
|
|
212,819
|
|
212,819
|
|
6.2%
|
|||||
|
Senior Secured Term Loan C to ACL Loan Holdings, Inc. (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(13)(39)
|
135,818
|
|
135,818
|
|
135,818
|
|
4.0%
|
|||||
|
Senior Secured Term Loan C to American Consumer Lending Limited (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(13)(39)
|
11,508
|
|
11,508
|
|
11,508
|
|
0.3%
|
|||||
|
Common Stock (1,656,276 shares)
|
—
|
|
188,444
|
|
267,511
|
|
7.7%
|
|||||
|
Net Operating Income Interest (5% of Net Operating Income)
|
—
|
|
—
|
|
68,362
|
|
2.0%
|
|||||
|
|
|
|
|
832,561
|
|
979,990
|
|
28.5%
|
||||
|
Nationwide Loan Company LLC(24)
|
Illinois / Consumer Finance
|
Senior Subordinated Term Loan to Nationwide Acceptance LLC (10.00% plus 10.00% PIK, due 6/18/2019)(13)(39)
|
16,819
|
|
16,819
|
|
16,819
|
|
0.5%
|
|||
|
Class A Shares (29,559,899 shares)(13)
|
|
16,292
|
|
20,690
|
|
0.6%
|
||||||
|
|
|
|
|
33,111
|
|
37,509
|
|
1.1%
|
||||
|
NMMB, Inc.(25)
|
New York / Media
|
Senior Secured Note (14.00%, due 5/6/2021)
|
3,714
|
|
3,714
|
|
3,404
|
|
0.1%
|
|||
|
Senior Secured Note to Armed Forces Communications, Inc. (14.00%, due 5/6/2021)
|
7,000
|
|
7,000
|
|
6,416
|
|
0.2%
|
|||||
|
Series A Preferred Stock (7,200 shares)
|
|
7,200
|
|
28
|
|
—%
|
||||||
|
Series B Preferred Stock (5,669 shares)
|
|
5,669
|
|
35
|
|
—%
|
||||||
|
|
|
|
|
23,583
|
|
9,883
|
|
0.3%
|
||||
|
R-V Industries, Inc.
|
Pennsylvania / Manufacturing
|
Senior Subordinated Note (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 6/12/2018)(3)(10)(11)
|
28,622
|
|
28,622
|
|
28,622
|
|
0.8%
|
|||
|
Common Stock (545,107 shares)
|
|
5,087
|
|
4,824
|
|
0.1%
|
||||||
|
Warrant (to purchase 200,000 shares of Common Stock, expires 6/30/2017)
|
|
1,681
|
|
1,769
|
|
0.1%
|
||||||
|
|
|
|
|
35,390
|
|
35,215
|
|
1.0%
|
||||
|
USES Corp.(26)
|
Texas / Commercial Services
|
Senior Secured Term Loan A (9.00% PIK, in non-accrual status effective 4/1/2016, due 3/31/2019)
|
26,683
|
|
26,158
|
|
26,683
|
|
0.8%
|
|||
|
Senior Secured Term Loan B (15.50% PIK, in non-accrual status effective 4/1/2016, due 3/31/2019)
|
36,905
|
|
35,568
|
|
15,704
|
|
0.4%
|
|||||
|
Common Stock (268,962 shares)
|
|
—
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
61,726
|
|
42,387
|
|
1.2%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(40)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Valley Electric Company, Inc.(27)
|
Washington / Construction & Engineering
|
Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. (8.00% (LIBOR + 5.00% with 3.00% LIBOR floor) plus 2.50% PIK, due 12/31/2019)(3)(10)(11)(39)
|
$
|
10,430
|
|
$
|
10,430
|
|
$
|
10,430
|
|
0.3%
|
|
Senior Secured Note (10.00% plus 8.50% PIK, due 6/23/2019)(39)
|
24,199
|
|
24,199
|
|
20,101
|
|
0.6%
|
|||||
|
Common Stock (50,000 shares)
|
|
26,204
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
60,833
|
|
30,531
|
|
0.9%
|
||||
|
Wolf Energy, LLC
|
Kansas / Oil & Gas Production
|
Senior Secured Promissory Note secured by assets formerly owned by H&M (18.00%, in non-accrual status effective 4/15/2013, due 4/15/2018)
|
38,257
|
|
—
|
|
—
|
|
—%
|
|||
|
Membership Interest (100%)
|
|
—
|
|
—
|
|
—%
|
||||||
|
Net Profits Interest (8% of Equity Distributions)(4)
|
|
—
|
|
16
|
|
—%
|
||||||
|
|
|
|
|
—
|
|
16
|
|
—%
|
||||
|
|
$
|
1,870,228
|
|
$
|
1,867,823
|
|
54.3%
|
|||||
|
Affiliate Investments (5.00% to 24.99% voting control)(41)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Targus International, LLC(28)
|
California / Durable Consumer Products
|
Senior Secured Term Loan A (15.00% PIK, in non-accrual status effective 10/1/15, due 12/31/2019)(8)
|
$
|
1,371
|
|
$
|
1,263
|
|
$
|
1,371
|
|
—%
|
|
Senior Secured Term Loan B (15.00% PIK , in non-accrual status effective 10/1/15, due 12/31/2019)(8)
|
4,113
|
|
3,788
|
|
4,113
|
|
0.2%
|
|||||
|
Common Stock (1,262,737 shares)
|
|
3,479
|
|
1,482
|
|
—%
|
||||||
|
|
|
|
|
8,530
|
|
6,966
|
|
0.2%
|
||||
|
|
$
|
8,530
|
|
$
|
6,966
|
|
0.2%
|
|||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
AFI Shareholder, LLC
(f/k/a Aircraft Fasteners International, LLC) |
California / Machinery
|
Class A Units (32,500 units)
|
|
$
|
309
|
|
$
|
617
|
|
—%
|
||
|
|
|
|
|
309
|
|
617
|
|
—%
|
||||
|
ALG USA Holdings, LLC
|
Pennsylvania / Hotels, Restaurants & Leisure
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 2/28/2020)(8)(10)(11)
|
11,771
|
|
11,640
|
|
11,771
|
|
0.3%
|
|||
|
|
|
|
|
11,640
|
|
11,771
|
|
0.3%
|
||||
|
American Gilsonite Company(29)
|
Utah / Metal Services & Minerals
|
Membership Interest (1.93%)
|
|
—
|
|
—
|
|
—%
|
||||
|
|
|
|
|
—
|
|
—
|
|
—%
|
||||
|
Apidos CLO IX
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.72%, due 7/15/2023)(5)(13)
|
23,525
|
|
19,651
|
|
18,919
|
|
0.6%
|
|||
|
|
|
|
|
19,651
|
|
18,919
|
|
0.6%
|
||||
|
Apidos CLO XI
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 11.36%, due 1/17/2023)(5)(13)
|
38,340
|
|
29,137
|
|
25,439
|
|
0.7%
|
|||
|
|
|
|
|
29,137
|
|
25,439
|
|
0.7%
|
||||
|
Apidos CLO XII
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.25%, due 4/15/2025)(5)(13)
|
44,063
|
|
33,470
|
|
29,888
|
|
0.9%
|
|||
|
|
|
|
|
33,470
|
|
29,888
|
|
0.9%
|
||||
|
Apidos CLO XV
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.22%, due 10/20/2025)(5)(13)
|
36,515
|
|
30,624
|
|
24,264
|
|
0.7%
|
|||
|
|
|
|
|
30,624
|
|
24,264
|
|
0.7%
|
||||
|
Apidos CLO XXII
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.19%, due 10/20/2027)(5)(6)(13)
|
31,350
|
|
26,735
|
|
24,751
|
|
0.7%
|
|||
|
|
|
|
|
26,735
|
|
24,751
|
|
0.7%
|
||||
|
Arctic Glacier U.S.A., Inc.
|
Minnesota / Food Products
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 11/10/2019)(3)(10)(11)
|
150,000
|
|
150,000
|
|
149,324
|
|
4.3%
|
|||
|
|
|
|
|
150,000
|
|
149,324
|
|
4.3%
|
||||
|
Ark-La-Tex Wireline Services, LLC
|
Louisiana / Oil & Gas Services
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12)
|
21,322
|
|
20,706
|
|
$
|
9,568
|
|
0.3%
|
||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12)
|
24,755
|
|
23,239
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
43,945
|
|
9,568
|
|
0.3%
|
||||
|
Armor Holding II LLC
|
New York / Diversified Financial Services
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 12/26/2020)(3)(8)(10)(11)
|
7,000
|
|
6,912
|
|
6,912
|
|
0.2%
|
|||
|
|
|
|
|
6,912
|
|
6,912
|
|
0.2%
|
||||
|
Atlantis Health Care Group (Puerto Rico), Inc.
|
Puerto Rico / Healthcare
|
Revolving Line of Credit – $7,000 Commitment (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 8/21/2017)(10)(11)(14)
|
2,350
|
|
2,350
|
|
2,350
|
|
0.1%
|
|||
|
Senior Term Loan (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 2/21/2018)(3)(10)(11)
|
38,067
|
|
38,067
|
|
38,067
|
|
1.1%
|
|||||
|
|
|
|
|
40,417
|
|
40,417
|
|
1.2%
|
||||
|
Babson CLO Ltd. 2014-III
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.09%, due 1/15/2026)(5)(6)(13)
|
52,250
|
|
42,771
|
|
40,630
|
|
1.2%
|
|||
|
|
|
|
|
42,771
|
|
40,630
|
|
1.2%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
BNN Holdings, Corp.
|
Michigan / Healthcare
|
Escrow Receivable
|
|
|
$
|
—
|
|
$
|
486
|
|
—%
|
|
|
|
|
|
|
—
|
|
486
|
|
—%
|
||||
|
Broder Bros., Co.
|
Pennsylvania / Textiles, Apparel & Luxury Goods
|
Senior Secured Term Loan A (7.00% (LIBOR + 5.75% with 1.25% LIBOR floor), due 6/03/2021)(3)(10)(12)
|
119,999
|
|
119,999
|
|
$
|
119,999
|
|
3.5%
|
||
|
Senior Secured Term Loan B (13.50% (LIBOR + 12.25% with 1.25% LIBOR floor), due 6/03/2021)(10)(12)
|
120,983
|
|
120,983
|
|
120,983
|
|
3.5%
|
|||||
|
|
|
|
|
240,982
|
|
240,982
|
|
7.0%
|
||||
|
Brookside Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.67%, due 4/17/2025)(5)(13)
|
26,000
|
|
19,432
|
|
18,083
|
|
0.5%
|
|||
|
|
|
|
|
19,432
|
|
18,083
|
|
0.5%
|
||||
|
California Street CLO IX Ltd. (f/k/a Symphony CLO IX Ltd.)
|
Cayman Islands / Structured Finance
|
Preference Shares (Residual Interest, current yield 15.77%, due 4/16/2022)(5)(13)
|
57,000
|
|
37,813
|
|
34,132
|
|
1.0%
|
|||
|
|
|
|
|
37,813
|
|
34,132
|
|
1.0%
|
||||
|
Capstone Logistics Acquisition, Inc.
|
Georgia / Business Services
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 10/7/2022)(3)(8)(10)(12)
|
101,828
|
|
101,319
|
|
101,033
|
|
2.9%
|
|||
|
|
|
|
|
101,319
|
|
101,033
|
|
2.9%
|
||||
|
Carlyle Carlyle Global Market Strategies CLO 2016-3, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 15.69%, due 10/20/2029)(5)(6)(13)
|
32,200
|
|
29,854
|
|
29,717
|
|
0.9%
|
|||
|
|
|
|
|
29,854
|
|
29,717
|
|
0.9%
|
||||
|
Cent CLO 17 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.17%, due 1/30/2025)(5)(13)
|
24,870
|
|
18,616
|
|
16,504
|
|
0.5%
|
|||
|
|
|
|
|
18,616
|
|
16,504
|
|
0.5%
|
||||
|
Cent CLO 20 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.27%, due 1/25/2026)(5)(13)
|
40,275
|
|
32,288
|
|
25,591
|
|
0.7%
|
|||
|
|
|
|
|
32,288
|
|
25,591
|
|
0.7%
|
||||
|
Cent CLO 21 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 8.66%, due 7/27/2026)(5)(6)(13)
|
48,528
|
|
37,278
|
|
28,947
|
|
0.8%
|
|||
|
|
|
|
|
37,278
|
|
28,947
|
|
0.8%
|
||||
|
CIFC Funding 2013-III, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.62%, due 10/24/2025)(5)(13)
|
44,100
|
|
31,703
|
|
28,775
|
|
0.8%
|
|||
|
|
|
|
|
31,703
|
|
28,775
|
|
0.8%
|
||||
|
CIFC Funding 2013-IV, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 15.24%, due 11/27/2024)(5)(13)
|
45,500
|
|
33,065
|
|
32,209
|
|
0.9%
|
|||
|
|
|
|
|
33,065
|
|
32,209
|
|
0.9%
|
||||
|
CIFC Funding 2014-IV Investor, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 13.72%, due 10/17/2026)(5)(6)(13)
|
41,500
|
|
30,980
|
|
29,141
|
|
0.8%
|
|||
|
|
|
|
|
30,980
|
|
29,141
|
|
0.8%
|
||||
|
Cinedigm DC Holdings, LLC
|
New York / Software & Computer Services
|
Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 2.50% PIK, due 3/31/2021)(10)(11)(39)
|
65,640
|
|
65,590
|
|
65,640
|
|
1.9%
|
|||
|
|
|
|
|
65,590
|
|
65,640
|
|
1.9%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Coverall North America, Inc.
|
Florida / Commercial Services
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11)
|
$
|
24,000
|
|
$
|
24,000
|
|
$
|
24,000
|
|
0.7%
|
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
|
|
|
|
49,000
|
|
49,000
|
|
1.4%
|
||||
|
Crosman Corporation
|
New York / Manufacturing
|
Senior Secured Term Loan A (9.22% (LIBOR + 8.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(3)(10)(12)(39)
|
54,673
|
|
54,673
|
|
54,673
|
|
1.6%
|
|||
|
Senior Secured Term Loan B (16.22% (LIBOR + 15.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(10)(12)(39)
|
41,656
|
|
41,656
|
|
41,656
|
|
1.2%
|
|||||
|
|
|
|
|
96,329
|
|
96,329
|
|
2.8%
|
||||
|
CURO Group Holdings Corp. (f/k/a Speedy Cash Holdings Corp.)
|
Canada / Consumer Finance
|
Senior Unsecured Notes (12.00%, due 11/15/2017)(8)(13)
|
15,000
|
|
15,000
|
|
7,076
|
|
0.2%
|
|||
|
|
|
|
|
15,000
|
|
7,076
|
|
0.2%
|
||||
|
Easy Gardener Products, Inc.
|
Texas / Durable Consumer Products
|
Senior Secured Term Loan (10.84% (LIBOR + 10.00% with .25% LIBOR floor), due 09/30/2020)(3)(10)(11)
|
17,325
|
|
17,325
|
|
17,325
|
|
0.5%
|
|||
|
|
|
|
|
17,325
|
|
17,325
|
|
0.5%
|
||||
|
Empire Today, LLC
|
Illinois / Durable Consumer Products
|
Senior Secured Note (11.375%, due 2/1/2017)(8)
|
50,426
|
|
50,189
|
|
50,426
|
|
1.5%
|
|||
|
|
|
|
|
50,189
|
|
50,426
|
|
1.5%
|
||||
|
Fleetwash, Inc.
|
New Jersey / Business Services
|
Senior Secured Term Loan B (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 4/30/2019)(3)(10)(11)
|
23,402
|
|
23,402
|
|
23,402
|
|
0.7%
|
|||
|
Delayed Draw Term Loan – $15,000 Commitment (expires 4/30/2019)(10)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
23,402
|
|
23,402
|
|
0.7%
|
||||
|
Focus Brands, Inc.
|
Georgia / Consumer Services
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 8/21/2018)(8)(10)(12)
|
18,000
|
|
17,891
|
|
18,000
|
|
0.5%
|
|||
|
|
|
|
|
17,891
|
|
18,000
|
|
0.5%
|
||||
|
Galaxy XV CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.76%, due 4/15/2025)(5)(13)
|
39,275
|
|
28,658
|
|
29,503
|
|
0.9%
|
|||
|
|
|
|
|
28,658
|
|
29,503
|
|
0.9%
|
||||
|
Galaxy XVI CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.53%, due 11/16/2025)(5)(13)
|
24,575
|
|
18,900
|
|
18,168
|
|
0.5%
|
|||
|
|
|
|
|
18,900
|
|
18,168
|
|
0.5%
|
||||
|
Galaxy XVII CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.47%, due 7/15/2026)(5)(6)(13)
|
39,905
|
|
30,527
|
|
28,779
|
|
0.8%
|
|||
|
|
|
|
|
30,527
|
|
28,779
|
|
0.8%
|
||||
|
Generation Brands Holdings, Inc.
|
Illinois / Durable Consumer Products
|
Subordinated Secured Term Loan (11.00% (LIBOR + 10.00% with 1.00% LIBOR floor), due 12/10/2022)(8)(10)(11)
|
19,000
|
|
18,459
|
|
19,000
|
|
0.6%
|
|||
|
|
|
|
|
18,459
|
|
19,000
|
|
0.6%
|
||||
|
Global Employment Solutions, Inc.
|
Colorado / Business Services
|
Senior Secured Term Loan (10.25% (LIBOR + 9.25% with 1.00% LIBOR floor), due 6/26/2020)(3)(10)(12)
|
49,250
|
|
49,250
|
|
49,250
|
|
1.4%
|
|||
|
|
|
|
|
49,250
|
|
49,250
|
|
1.4%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Halcyon Loan Advisors Funding 2012-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.13%, due 8/15/2023)(5)(13)
|
$
|
23,188
|
|
$
|
17,575
|
|
$
|
16,637
|
|
0.5%
|
|
|
|
|
|
17,575
|
|
16,637
|
|
0.5%
|
||||
|
Halcyon Loan Advisors Funding 2013-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.26%, due 4/15/2025)(5)(13)
|
40,400
|
|
30,747
|
|
26,838
|
|
0.8%
|
|||
|
|
|
|
|
30,747
|
|
26,838
|
|
0.8%
|
||||
|
Halcyon Loan Advisors Funding 2014-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 8.12%, due 4/18/2026)(5)(13)
|
24,500
|
|
17,613
|
|
14,751
|
|
0.4%
|
|||
|
|
|
|
|
17,613
|
|
14,751
|
|
0.4%
|
||||
|
Halcyon Loan Advisors Funding 2014-2 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 8.84%, due 4/28/2025)(5)(6)(13)
|
41,164
|
|
29,585
|
|
25,007
|
|
0.7%
|
|||
|
|
|
|
|
29,585
|
|
25,007
|
|
0.7%
|
||||
|
Halcyon Loan Advisors Funding 2015-3 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.37%, due 10/18/2027)(5)(6)(13)
|
39,598
|
|
35,736
|
|
31,619
|
|
0.9%
|
|||
|
|
|
|
|
35,736
|
|
31,619
|
|
0.9%
|
||||
|
Harbortouch Payments, LLC
|
Pennsylvania / Business Services
|
Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor) plus 3.00% PIK, due 5/31/2023)(3)(10)(11)(39)
|
27,711
|
|
27,711
|
|
28,404
|
|
0.9%
|
|||
|
Escrow Receivable
|
|
—
|
|
1,629
|
|
—%
|
||||||
|
|
|
|
|
27,711
|
|
30,033
|
|
0.9%
|
||||
|
HarbourView CLO VII, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.22%, due 11/18/2026)(5)(6)(13)
|
19,025
|
|
14,432
|
|
12,806
|
|
0.4%
|
|||
|
|
|
|
|
14,432
|
|
12,806
|
|
0.4%
|
||||
|
Harley Marine Services, Inc.
|
Washington / Transportation
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 12/20/2019)(3)(8)(10)(11)
|
9,000
|
|
8,894
|
|
8,352
|
|
0.2%
|
|||
|
|
|
|
|
8,894
|
|
8,352
|
|
0.2%
|
||||
|
Hollander Sleep Products, LLC
|
Florida / Durable Consumer Products
|
Senior Secured Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 10/21/2020)(3)(10)(12)
|
21,860
|
|
21,860
|
|
20,293
|
|
0.6%
|
|||
|
|
|
|
|
21,860
|
|
20,293
|
|
0.6%
|
||||
|
Inpatient Care Management Company LLC
|
Florida / Healthcare
|
Senior Secured Term Loan (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 6/8/2021(10)(12)
|
16,830
|
|
16,830
|
|
16,830
|
|
0.5%
|
|||
|
|
|
|
|
16,830
|
|
16,830
|
|
0.5%
|
||||
|
Instant Web, LLC
|
Minnesota / Media
|
Senior Secured Term Loan A (5.50% (LIBOR + 4.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
122,444
|
|
122,444
|
|
122,444
|
|
3.6%
|
|||
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 3/28/2019)(3)(10)(11)
|
158,100
|
|
158,100
|
|
158,100
|
|
4.6%
|
|||||
|
Senior Secured Term Loan C-1 (12.75% (LIBOR + 11.75% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
27,000
|
|
27,000
|
|
27,000
|
|
0.8%
|
|||||
|
Senior Secured Term Loan C-2 (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
|
|
|
|
332,544
|
|
332,544
|
|
9.7%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
InterDent, Inc.
|
California / Healthcare
|
Senior Secured Term Loan A (6.25% (LIBOR + 5.50% with 0.75% LIBOR floor), due 8/3/2017)(10)(12)
|
$
|
79,317
|
|
$
|
79,317
|
|
$
|
79,317
|
|
2.3%
|
|
Senior Secured Term Loan B (11.25% (LIBOR + 10.50% with 0.75% LIBOR floor), due 8/3/2017)(3)(10)(12)
|
131,125
|
|
131,125
|
|
131,125
|
|
3.8%
|
|||||
|
|
|
|
|
210,442
|
|
210,442
|
|
6.1%
|
||||
|
JAC Holding Corporation
|
Michigan / Transportation
|
Senior Secured Note (11.50%, due 10/1/2019)(8)
|
2,868
|
|
2,868
|
|
2,868
|
|
0.1%
|
|||
|
|
|
|
|
2,868
|
|
2,868
|
|
0.1%
|
||||
|
JD Power and Associates
|
California / Consumer Services
|
Second Lien Term Loan (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 9/7/2024)(8)(10)(11)
|
15,000
|
|
14,777
|
|
15,000
|
|
0.4%
|
|||
|
|
|
|
|
14,777
|
|
15,000
|
|
0.4%
|
||||
|
Jefferson Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.47%, due 7/20/2027)(5)(6)(13)
|
19,500
|
|
16,821
|
|
13,174
|
|
0.4%
|
|||
|
|
|
|
|
16,821
|
|
13,174
|
|
0.4%
|
||||
|
LaserShip, Inc.
|
Virginia / Transportation
|
Senior Secured Term Loan A (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 1.00% PIK, due 3/18/2019)(3)(10)(12)(39)
|
34,424
|
|
34,424
|
|
33,667
|
|
1.0%
|
|||
|
Senior Secured Term Loan B (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 1.00% PIK, due 3/18/2019)(3)(10)(12)(39)
|
21,129
|
|
21,129
|
|
20,664
|
|
0.6%
|
|||||
|
|
|
|
|
55,553
|
|
54,331
|
|
1.6%
|
||||
|
LCM XIV Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 16.10%, due 7/15/2025)(5)(13)
|
30,500
|
|
22,359
|
|
21,872
|
|
0.6%
|
|||
|
|
|
|
|
22,359
|
|
21,872
|
|
0.6%
|
||||
|
Madison Park Funding IX, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 21.72%, due 8/15/2022)(5)(13)
|
43,110
|
|
29,343
|
|
28,543
|
|
0.8%
|
|||
|
|
|
|
|
29,343
|
|
28,543
|
|
0.8%
|
||||
|
Matrixx Initiatives, Inc.
|
New Jersey / Pharmaceuticals
|
Senior Secured Term Loan A (7.50% (LIBOR + 6.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11)
|
34,490
|
|
34,490
|
|
34,490
|
|
1.0%
|
|||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11)
|
45,562
|
|
45,562
|
|
45,562
|
|
1.3%
|
|||||
|
|
|
|
|
80,052
|
|
80,052
|
|
2.3%
|
||||
|
Maverick Healthcare Equity, LLC
|
Arizona / Healthcare
|
Preferred Units (1,250,000 units)
|
|
1,252
|
|
1,990
|
|
0.1%
|
||||
|
Class A Common Units (1,250,000 units)
|
|
—
|
|
204
|
|
—%
|
||||||
|
|
|
|
|
1,252
|
|
2,194
|
|
0.1%
|
||||
|
Mineral Fusion Natural Brands(30)
|
Colorado / Personal & Nondurable Consumer Products
|
Membership Interest (1.43%)
|
|
—
|
|
197
|
|
—%
|
||||
|
|
|
|
|
—
|
|
197
|
|
—%
|
||||
|
Mountain View CLO 2013-I Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.27%m due 4/12/2024)(5)(13)
|
43,650
|
|
32,078
|
|
29,996
|
|
0.9%
|
|||
|
|
|
|
|
32,078
|
|
29,996
|
|
0.9%
|
||||
|
Mountain View CLO IX Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.52%, due 7/15/2027)(5)(6)(13)
|
47,830
|
|
42,415
|
|
38,431
|
|
1.1%
|
|||
|
|
|
|
|
42,415
|
|
38,431
|
|
1.1%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
NCP Finance Limited Partnership(31)
|
Ohio / Consumer Finance
|
Subordinated Secured Term Loan (11.00% (LIBOR + 9.75% with 1.25% LIBOR floor), due 9/30/2018)(3)(8)(10)(12)(13)
|
$
|
27,119
|
|
$
|
26,502
|
|
$
|
25,763
|
|
0.7%
|
|
|
|
|
|
26,502
|
|
25,763
|
|
0.7%
|
||||
|
Nixon, Inc.
|
California / Durable Consumer Products
|
Senior Secured Term Loan (9.50% plus 3.00% PIK, in non-accrual status effective 7/1/2016, due 4/16/2018)(3)(8)(39)
|
14,421
|
|
14,197
|
|
10,877
|
|
0.3%
|
|||
|
|
|
|
|
14,197
|
|
10,877
|
|
0.3%
|
||||
|
Octagon Investment Partners XV, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 13.99%, due 1/19/2025)(5)(13)
|
32,921
|
|
25,527
|
|
22,633
|
|
0.7%
|
|||
|
|
|
|
|
25,527
|
|
22,633
|
|
0.7%
|
||||
|
Octagon Investment Partners XVIII, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 16.76%, due 12/16/2024)(5)(6)(13)
|
28,200
|
|
19,391
|
|
17,805
|
|
0.5%
|
|||
|
|
|
|
|
19,391
|
|
17,805
|
|
0.5%
|
||||
|
Onyx Payments(32)
|
Texas / Diversified Financial Services
|
Revolving Line of Credit – $3,000 Commitment (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 12/31/2016)(10)(11)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11)
|
45,130
|
|
45,130
|
|
45,130
|
|
1.3%
|
|||||
|
Senior Secured Term Loan A (6.00% (LIBOR + 5.00% with 1.00% LIBOR floor), due 9/10/2019)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
Senior Secured Term Loan B (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11)
|
56,889
|
|
56,889
|
|
56,889
|
|
1.7%
|
|||||
|
Senior Secured Term Loan B (13.00% (LIBOR + 12.00% with 1.00% LIBOR floor), due 9/10/2019)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
|
|
|
|
152,019
|
|
152,019
|
|
4.4%
|
||||
|
Pacific World Corporation
|
California / Personal & Nondurable Consumer Products
|
Revolving Line of Credit – $15,000 Commitment (8.00% (LIBOR + 7.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12)(14)
|
5,500
|
|
5,500
|
|
5,500
|
|
0.2%
|
|||
|
Senior Secured Term Loan A (6.00% (LIBOR + 5.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12)
|
97,994
|
|
97,994
|
|
94,364
|
|
2.7%
|
|||||
|
Senior Secured Term Loan B (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/26/2020)(3)(10)(12)
|
97,994
|
|
97,994
|
|
83,137
|
|
2.4%
|
|||||
|
|
|
|
|
201,488
|
|
183,001
|
|
5.3%
|
||||
|
Pelican Products, Inc.
|
California / Durable Consumer Products
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 4/9/2021)(3)(8)(10)(12)
|
17,500
|
|
17,487
|
|
16,383
|
|
0.5%
|
|||
|
|
|
|
|
17,487
|
|
16,383
|
|
0.5%
|
||||
|
PeopleConnect Intermediate, LLC (f/k/a Intelius, Inc.)
|
Washington / Software & Computer Services
|
Revolving Line of Credit – $1,000 Commitment (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 8/11/17)(10)(11)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11)
|
20,199
|
|
20,199
|
|
19,764
|
|
0.6%
|
|||||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11)
|
20,849
|
|
20,849
|
|
20,154
|
|
0.6%
|
|||||
|
|
|
|
|
41,048
|
|
39,918
|
|
1.2%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
PGX Holdings, Inc.(33)
|
Utah / Consumer Services
|
Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/29/2021)(3)(10)(12)
|
$
|
135,000
|
|
$
|
135,000
|
|
$
|
135,000
|
|
3.9%
|
|
|
|
|
|
135,000
|
|
135,000
|
|
3.9%
|
||||
|
Photonis Technologies SAS
|
France / Aerospace & Defense
|
First Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 9/18/2019)(8)(10)(12)(13)
|
9,927
|
|
9,770
|
|
9,127
|
|
0.3%
|
|||
|
|
|
|
|
9,770
|
|
9,127
|
|
0.3%
|
||||
|
Pinnacle (US) Acquisition Co. Limited
|
Texas / Software & Computer Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 8/3/2020)(8)(10)(11)
|
7,037
|
|
6,925
|
|
5,188
|
|
0.2%
|
|||
|
|
|
|
|
6,925
|
|
5,188
|
|
0.2%
|
||||
|
PlayPower, Inc.
|
North Carolina / Durable Consumer Products
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 6/23/2022)(3)(8)(10)(11)
|
11,000
|
|
10,862
|
|
10,924
|
|
0.3%
|
|||
|
|
|
|
|
10,862
|
|
10,924
|
|
0.3%
|
||||
|
Prime Security Services Borrower, LLC
|
Illinois / Consumer Services
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 7/1/2022)(8)(10)(12)
|
5,192
|
|
5,067
|
|
5,192
|
|
0.2%
|
|||
|
|
|
|
|
5,067
|
|
5,192
|
|
0.2%
|
||||
|
PrimeSport, Inc.
|
Georgia / Hotels, Restaurants & Leisure
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11)
|
53,546
|
|
53,546
|
|
53,546
|
|
1.6%
|
|||
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11)
|
74,500
|
|
74,500
|
|
72,741
|
|
2.1%
|
|||||
|
|
|
|
|
128,046
|
|
126,287
|
|
3.7%
|
||||
|
Prince Mineral Holding Corp.
|
New York / Metal Services & Minerals
|
Senior Secured Term Loan (11.50%, due 12/15/2019)(8)
|
10,000
|
|
9,939
|
|
9,004
|
|
0.3%
|
|||
|
|
|
|
|
9,939
|
|
9,004
|
|
0.3%
|
||||
|
Royal Holdings, Inc.
|
Indiana / Chemicals
|
Second Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 6/19/2023)(8)(10)(11)
|
5,000
|
|
4,968
|
|
4,915
|
|
0.1%
|
|||
|
|
|
|
|
4,968
|
|
4,915
|
|
0.1%
|
||||
|
SCS Merger Sub, Inc.
|
Texas / Software & Computer Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 10/30/2023)(3)(8)(10)(12)
|
20,000
|
|
19,475
|
|
19,894
|
|
0.6%
|
|||
|
|
|
|
|
19,475
|
|
19,894
|
|
0.6%
|
||||
|
Security Alarm Financing Enterprises, L.P.(34)
|
California / Consumer Services
|
Subordinated Unsecured Notes (11.50% (LIBOR + 9.50% with 2.00% LIBOR floor), due 12/19/2020)(10)(12)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||
|
|
|
|
|
25,000
|
|
25,000
|
|
0.7%
|
||||
|
SESAC Holdco II LLC
|
Tennessee / Media
|
Second Lien Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 4/22/2021)(3)(8)(10)(11)
|
10,000
|
|
9,885
|
|
9,885
|
|
0.3%
|
|||
|
|
|
|
|
9,885
|
|
9,885
|
|
0.3%
|
||||
|
SITEL Worldwide Corporation
|
Tennessee / Business Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 9/18/2022)(3)(8)(10)(11)
|
16,000
|
|
15,726
|
|
15,726
|
|
0.5%
|
|||
|
|
|
|
|
15,726
|
|
15,726
|
|
0.5%
|
||||
|
Small Business Whole Loan Portfolio(36)
|
New York / Online Lending
|
1,012 Small Business Loans purchased from On Deck Capital, Inc.
|
15,810
|
|
15,810
|
|
15,206
|
|
0.4%
|
|||
|
|
|
|
|
15,810
|
|
15,206
|
|
0.4%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Spartan Energy Services, Inc.
|
Louisiana / Oil & Gas Services
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 12/28/2017)(10)(12)
|
$
|
13,156
|
|
$
|
12,657
|
|
$
|
11,054
|
|
0.3%
|
|
Senior Secured Term Loan B (13.00% (LIBOR + 12.00% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 12/28/2017)(10)(12)
|
14,597
|
|
13,669
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
26,326
|
|
11,054
|
|
0.3%
|
||||
|
Stryker Energy, LLC
|
Ohio / Oil & Gas Production
|
Overriding Royalty Interests(9)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
|
|
|
|
—
|
|
—
|
|
—%
|
||||
|
Sudbury Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.88%, due 1/17/2026)(5)(13)
|
28,200
|
|
20,336
|
|
15,978
|
|
0.5%
|
|||
|
|
|
|
|
20,336
|
|
15,978
|
|
0.5%
|
||||
|
Symphony CLO XIV Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 11.47%, due 7/14/2026)(5)(6)(13)
|
49,250
|
|
38,489
|
|
33,771
|
|
1.0%
|
|||
|
|
|
|
|
38,489
|
|
33,771
|
|
1.0%
|
||||
|
Symphony CLO XV, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.12%, due 10/17/2026)(5)(13)
|
50,250
|
|
42,821
|
|
37,311
|
|
1.1%
|
|||
|
|
|
|
|
42,821
|
|
37,311
|
|
1.1%
|
||||
|
System One Holdings, LLC
|
Pennsylvania / Business Services
|
Senior Secured Term Loan (11.25% (LIBOR + 10.50% with 0.75% LIBOR floor), due 11/17/2020)(3)(10)(12)
|
104,553
|
|
104,553
|
|
104,553
|
|
3.0%
|
|||
|
|
|
|
|
104,553
|
|
104,553
|
|
3.0%
|
||||
|
TouchTunes Interactive Networks, Inc.
|
New York / Media
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 5/29/2022)(8)(10)(11)
|
5,000
|
|
4,938
|
|
4,938
|
|
0.1%
|
|||
|
|
|
|
|
4,938
|
|
4,938
|
|
0.1%
|
||||
|
Traeger Pellet Grills LLC
|
Oregon / Durable Consumer Products
|
Senior Secured Term Loan A (6.50% (LIBOR + 4.50% with 2.00% LIBOR floor), due 6/18/2018)(3)(10)(11)
|
34,238
|
|
34,238
|
|
34,238
|
|
1.0%
|
|||
|
Senior Secured Term Loan B (11.50% (LIBOR + 9.50% with 2.00% LIBOR floor), due 6/18/2018)(3)(10)(11)
|
36,412
|
|
36,412
|
|
36,412
|
|
1.1%
|
|||||
|
|
|
|
|
70,650
|
|
70,650
|
|
2.1%
|
||||
|
Transaction Network Services, Inc.
|
Virginia / Telecommunication Services
|
Second Lien Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 8/14/2020)(8)(10)(11)
|
4,410
|
|
4,393
|
|
4,393
|
|
0.1%
|
|||
|
|
|
|
|
4,393
|
|
4,393
|
|
0.1%
|
||||
|
Trinity Services Group, Inc.(37)
|
Florida / Food Products
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 8/13/2019)(10)(11)
|
9,576
|
|
9,576
|
|
9,576
|
|
0.3%
|
|||
|
Senior Secured Term Loan B (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 8/13/2019)(3)(10)(11)
|
125,000
|
|
125,000
|
|
126,250
|
|
3.8%
|
|||||
|
|
|
|
|
134,576
|
|
135,826
|
|
4.1%
|
||||
|
United Sporting Companies, Inc.(38)
|
South Carolina / Durable Consumer Products
|
Second Lien Term Loan (12.75% (LIBOR + 11.00% with 1.75% LIBOR floor), due 5/16/2018)(3)(10)(12)
|
140,847
|
|
140,847
|
|
138,758
|
|
4.0%
|
|||
|
|
|
|
|
140,847
|
|
138,758
|
|
4.0%
|
||||
|
Universal Fiber Systems, LLC
|
Virginia / Textiles, Apparel & Luxury Goods
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 10/02/2022)(3)(8)(10)(12)
|
37,000
|
|
36,368
|
|
37,000
|
|
1.1%
|
|||
|
|
|
|
|
36,368
|
|
37,000
|
|
1.1%
|
||||
|
|
|
|
September 30, 2016 (Unaudited)
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
USG Intermediate, LLC
|
Texas / Durable Consumer Products
|
Revolving Line of Credit – $2,500 Commitment (10.75% (LIBOR + 9.75% with 1.00% LIBOR floor), due 4/15/2017)(10)(12)(14)
|
$
|
1,000
|
|
$
|
1,000
|
|
$
|
1,000
|
|
—%
|
|
Senior Secured Term Loan A (8.25% (LIBOR + 7.25% with 1.00% LIBOR floor), due 4/15/2020)(3)(10)(12)
|
16,616
|
|
16,616
|
|
16,616
|
|
0.5%
|
|||||
|
Senior Secured Term Loan B (13.25% (LIBOR + 12.25% with 1.00% LIBOR floor), due 4/15/2020)(3)(10)(12)
|
19,906
|
|
19,906
|
|
19,906
|
|
0.6%
|
|||||
|
Equity
|
|
1
|
|
—
|
|
—%
|
||||||
|
|
|
|
|
37,523
|
|
37,522
|
|
1.1%
|
||||
|
Universal Turbine Parts, LLC
|
Alabama / Business Services
|
Senior Secured Term Loan A (6.75% (LIBOR + 5.75% with 1.00% LIBOR floor), due 7/22/2021)(3)(10)(11)
|
32,500
|
|
32,500
|
|
32,500
|
|
0.9%
|
|||
|
Senior Secured Term Loan B (12.75% (LIBOR + 11.75% with 1.00% LIBOR floor), due 7/22/2021)(3)(10)(11)
|
32,500
|
|
32,500
|
|
32,500
|
|
1.0%
|
|||||
|
|
|
|
|
65,000
|
|
65,000
|
|
1.9%
|
||||
|
Venio LLC
|
Pennsylvania / Business Services
|
Second Lien Term Loan (12.00% (LIBOR + 9.50% with 2.50% LIBOR floor) plus 2.00% default interest, in non-accrual status effective 12/31/15, due 2/19/2020)(10)(11)
|
17,000
|
|
16,484
|
|
12,372
|
|
0.4%
|
|||
|
|
|
|
|
16,484
|
|
12,372
|
|
0.4%
|
||||
|
Voya CLO 2012-2, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 17.13%, due 10/15/2022)(5)(13)
|
38,070
|
|
27,651
|
|
27,932
|
|
0.8%
|
|||
|
|
|
|
|
27,651
|
|
27,932
|
|
0.8%
|
||||
|
Voya CLO 2012-3, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 16.67%, due 10/15/2022)(5)(13)
|
46,632
|
|
34,101
|
|
33,025
|
|
1.0%
|
|||
|
|
|
|
|
34,101
|
|
33,025
|
|
1.0%
|
||||
|
Voya CLO 2012-4, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 20.55%, due 10/15/2023)(5)(13)
|
40,613
|
|
30,276
|
|
33,704
|
|
1.0%
|
|||
|
|
|
|
|
30,276
|
|
33,704
|
|
1.0%
|
||||
|
Voya CLO 2014-1, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 17.62%, due 4/18/2026)(5)(6)(13)
|
$
|
32,383
|
|
$
|
25,438
|
|
$
|
25,394
|
|
0.8%
|
|
|
|
|
|
25,438
|
|
25,394
|
|
0.8%
|
||||
|
Voya CLO 2016-3, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 0.00%, due 10/18/2027)(5)(6)(13)
|
28,100
|
|
26,414
|
|
26,414
|
|
0.8%
|
|||
|
|
|
|
|
26,414
|
|
26,414
|
|
0.8%
|
||||
|
Washington Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 7.60%, due 4/20/2026)(5)(6)(13)
|
22,600
|
|
17,880
|
|
14,041
|
|
0.4%
|
|||
|
|
|
|
|
17,880
|
|
14,041
|
|
0.4%
|
||||
|
Water Pik, Inc.
|
Colorado / Personal & Nondurable Consumer Products
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 1/8/2021)(3)(8)(10)(11)
|
15,156
|
|
14,832
|
|
15,156
|
|
0.5%
|
|||
|
|
|
|
|
14,832
|
|
15,156
|
|
0.5%
|
||||
|
Wheel Pros, LLC
|
Colorado / Durable Consumer Products
|
Senior Subordinated Secured Note (11.00% (LIBOR + 7.00% with 4.00% LIBOR floor), due 6/29/2020)(3)(10)(11)
|
12,000
|
|
12,000
|
|
12,000
|
|
0.3%
|
|||
|
Senior Subordinated Secured Note (11.00% (LIBOR + 7.00% with 4.00% LIBOR floor), due 6/29/2020)(3)(10)(11)
|
5,460
|
|
5,460
|
|
5,460
|
|
0.2%
|
|||||
|
|
|
|
|
17,460
|
|
17,460
|
|
0.5%
|
||||
|
Total Non-Control/Non-Affiliate Investments (Level 3)
|
|
$
|
4,422,436
|
|
$
|
4,234,807
|
|
123.3%
|
||||
|
|
|
|
|
|
||||||||
|
Total Portfolio Investments
|
|
$
|
6,301,194
|
|
$
|
6,109,596
|
|
177.8%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(42)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Arctic Energy Services, LLC(15)
|
Wyoming / Oil & Gas Services
|
Class D Units (32,915 units)
|
|
|
$
|
31,640
|
|
$
|
35,815
|
|
1.0%
|
|
|
Class E Units (21,080 units)
|
|
|
20,230
|
|
2,525
|
|
0.1%
|
|||||
|
Class A Units (700 units)
|
|
|
9,006
|
|
—
|
|
—%
|
|||||
|
Class C Units (10 units)
|
|
|
—
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
60,876
|
|
38,340
|
|
1.1%
|
||||
|
CCPI Inc.(16)
|
Ohio / Manufacturing
|
Senior Secured Term Loan A (10.00%, due 12/31/2017)(3)
|
12,313
|
|
12,313
|
|
12,313
|
|
0.4%
|
|||
|
Senior Secured Term Loan B (12.00% plus 7.00% PIK, due 12/31/2017)(39)
|
9,320
|
|
9,320
|
|
9,320
|
|
0.3%
|
|||||
|
Common Stock (14,857 shares)
|
|
|
6,635
|
|
19,723
|
|
0.5%
|
|||||
|
|
|
|
|
28,268
|
|
41,356
|
|
1.2%
|
||||
|
CP Energy Services Inc.(17)
|
Oklahoma / Oil & Gas Services
|
Series B Convertible Preferred Stock (1,043 shares)
|
|
|
98,273
|
|
76,002
|
|
2.2%
|
|||
|
Common Stock (2,924 shares)
|
|
|
15,227
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
113,500
|
|
76,002
|
|
2.2%
|
||||
|
Credit Central Loan Company, LLC(18)
|
South Carolina / Consumer Finance
|
Subordinated Term Loan (10.00% plus 10.00% PIK, due 6/26/2019)(13)(39)
|
36,931
|
|
36,931
|
|
36,931
|
|
1.1%
|
|||
|
Class A Shares (7,500,000 shares)(13)
|
|
|
11,633
|
|
11,707
|
|
0.3%
|
|||||
|
Net Revenues Interest (25% of Net Revenues)(13)
|
|
|
—
|
|
3,616
|
|
0.1%
|
|||||
|
|
|
|
|
48,564
|
|
52,254
|
|
1.5%
|
||||
|
Echelon Aviation LLC
|
New York / Aerospace & Defense
|
Senior Secured Term Loan (11.75% (LIBOR + 9.75% with 2.00% LIBOR floor) plus 2.25% PIK, due 3/31/2022)(10)(12)(39)
|
37,855
|
|
37,855
|
|
37,855
|
|
1.1%
|
|||
|
Membership Interest (99%)
|
|
|
19,907
|
|
22,966
|
|
0.7%
|
|||||
|
|
|
|
|
57,762
|
|
60,821
|
|
1.8%
|
||||
|
Edmentum Ultimate Holdings, LLC(19)
|
Minnesota / Consumer Services
|
Second Lien Revolving Credit Facility to Edmentum, Inc. – $7,834 Commitment (5.00%, due 6/9/2020)(14)
|
6,424
|
|
6,424
|
|
6,424
|
|
0.2%
|
|||
|
Unsecured Senior PIK Note (8.50% PIK, due 6/9/2020)(39)
|
6,341
|
|
6,341
|
|
6,341
|
|
0.2%
|
|||||
|
Unsecured Junior PIK Note (10.00% PIK, due 6/9/2020)(39)
|
28,834
|
|
22,337
|
|
25,569
|
|
0.7%
|
|||||
|
Class A Common Units (370,964 units)
|
|
|
6,576
|
|
6,012
|
|
0.2%
|
|||||
|
|
|
|
|
41,678
|
|
44,346
|
|
1.3%
|
||||
|
First Tower Finance Company LLC(20)
|
Mississippi / Consumer Finance
|
Subordinated Term Loan to First Tower, LLC (10.00% plus 12.00% PIK, due 6/24/2019)(13)(39)
|
255,762
|
|
255,762
|
|
255,762
|
|
7.4%
|
|||
|
Class A Shares (86,711,625 shares)(13)
|
|
|
70,476
|
|
96,904
|
|
2.8%
|
|||||
|
|
|
|
|
326,238
|
|
352,666
|
|
10.2%
|
||||
|
Freedom Marine Solutions, LLC(21)
|
Louisiana / Oil & Gas Services
|
Membership Interest (100%)
|
|
|
40,810
|
|
26,618
|
|
0.8%
|
|||
|
|
|
|
|
40,810
|
|
26,618
|
|
0.8%
|
||||
|
Gulf Coast Machine & Supply Company
|
Texas / Manufacturing
|
Senior Secured Term Loan (10.50% (LIBOR + 8.50% with 2.00% LIBOR floor), in non-accrual status effective 1/1/2015, due 10/12/2017)(10)(11)
|
38,892
|
|
34,425
|
|
7,312
|
|
0.2%
|
|||
|
Series A Convertible Preferred Stock (99,900 shares)
|
|
|
25,950
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
60,375
|
|
7,312
|
|
0.2%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(42)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
MITY, Inc.(22)
|
Utah / Durable Consumer Products
|
Senior Secured Note A (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor), due 3/19/2019)(3)(10)(11)
|
$
|
18,250
|
|
$
|
18,250
|
|
$
|
18,250
|
|
0.5%
|
|
Senior Secured Note B (10.00% (LIBOR + 7.00% with 3.00% LIBOR floor) plus 10.00% PIK, due 3/19/2019)(3)(10)(11)(39)
|
16,442
|
|
16,442
|
|
16,442
|
|
0.5%
|
|||||
|
Subordinated Unsecured Note to Broda Enterprises ULC (10.00%, due on demand)(13)
|
7,200
|
|
7,200
|
|
5,667
|
|
0.2%
|
|||||
|
Common Stock (42,053 shares)
|
|
|
6,848
|
|
13,690
|
|
0.4%
|
|||||
|
|
|
|
|
48,740
|
|
54,049
|
|
1.6%
|
||||
|
National Property REIT Corp.(23)
|
Various / Real Estate
|
Senior Secured Term Loan A (6.00% (LIBOR + 4.00% with 2.00% LIBOR floor) plus 5.50% PIK, due 4/1/2019)(10)(11)(39)
|
248,677
|
|
248,677
|
|
248,677
|
|
7.2%
|
|||
|
Senior Secured Term Loan E (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(39)
|
212,819
|
|
212,819
|
|
212,819
|
|
6.2%
|
|||||
|
Senior Secured Term Loan C to ACL Loan Holdings, Inc. (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 5.00% PIK, due 4/1/2019)(10)(11)(13)(39)
|
99,972
|
|
99,972
|
|
99,972
|
|
2.9%
|
|||||
|
Common Stock (1,533,899 shares)
|
|
|
165,908
|
|
215,491
|
|
6.3%
|
|||||
|
Net Operating Income Interest (5% of Net Operating Income)
|
|
|
—
|
|
66,974
|
|
2.0%
|
|||||
|
|
|
|
|
727,376
|
|
843,933
|
|
24.6%
|
||||
|
Nationwide Loan Company LLC(24)
|
Illinois / Consumer Finance
|
Senior Subordinated Term Loan to Nationwide Acceptance LLC (10.00% plus 10.00% PIK, due 6/18/2019)(13)(39)
|
16,696
|
|
16,696
|
|
16,696
|
|
0.5%
|
|||
|
Class A Shares (29,343,795 shares)(13)
|
|
|
16,201
|
|
19,117
|
|
0.5%
|
|||||
|
|
|
|
|
32,897
|
|
35,813
|
|
1.0%
|
||||
|
NMMB, Inc.(25)
|
New York / Media
|
Senior Secured Note (14.00%, due 5/6/2021)
|
3,714
|
|
3,714
|
|
3,442
|
|
0.1%
|
|||
|
Senior Secured Note to Armed Forces Communications, Inc. (14.00%, due 5/6/2021)
|
7,000
|
|
7,000
|
|
6,487
|
|
0.2%
|
|||||
|
Series A Preferred Stock (7,200 shares)
|
|
|
7,200
|
|
44
|
|
—%
|
|||||
|
Series B Preferred Stock (5,669 shares)
|
|
|
5,669
|
|
34
|
|
—%
|
|||||
|
|
|
|
|
23,583
|
|
10,007
|
|
0.3%
|
||||
|
R-V Industries, Inc.
|
Pennsylvania / Manufacturing
|
Senior Subordinated Note (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 6/12/2018)(3)(10)(11)
|
28,622
|
|
28,622
|
|
28,622
|
|
0.8%
|
|||
|
Common Stock (545,107 shares)
|
|
|
5,087
|
|
6,039
|
|
0.2%
|
|||||
|
Warrant (to purchase 200,000 shares of Common Stock, expires 6/30/2017)
|
|
|
1,682
|
|
2,216
|
|
0.1%
|
|||||
|
|
|
|
|
35,391
|
|
36,877
|
|
1.1%
|
||||
|
USES Corp. (26)
|
Texas / Commercial Services
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor) plus 2.00% default interest, in non-accrual status effective 4/1/2016, due 3/31/2019)(10)(11)
|
26,300
|
|
26,158
|
|
26,300
|
|
0.8%
|
|||
|
Senior Secured Term Loan B (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor) plus 2.00% default interest, in non-accrual status effective 4/1/2016, due 3/31/2019)(10)(11)
|
36,000
|
|
35,568
|
|
13,986
|
|
0.4%
|
|||||
|
Common Stock (268,962 shares)
|
|
|
—
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
61,726
|
|
40,286
|
|
1.2%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Control Investments (greater than 25.00% voting control)(42)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Valley Electric Company, Inc.(27)
|
Washington / Construction & Engineering
|
Senior Secured Note to Valley Electric Co. of Mt. Vernon, Inc. (8.00% (LIBOR + 5.00% with 3.00% LIBOR floor) plus 2.50% PIK, due 12/31/2019)(3)(10)(11)(39)
|
$
|
10,430
|
|
$
|
10,430
|
|
$
|
10,430
|
|
0.3%
|
|
Senior Secured Note (10.00% plus 8.50% PIK, due 6/23/2019)(39)
|
23,802
|
|
23,802
|
|
20,661
|
|
0.6%
|
|||||
|
Common Stock (50,000 shares)
|
|
|
26,204
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
60,436
|
|
31,091
|
|
0.9%
|
||||
|
Wolf Energy, LLC
|
Kansas / Oil & Gas Production
|
Senior Secured Promissory Note secured by assets formerly owned by H&M (18.00%, in non-accrual status effective 4/15/2013, due 4/15/2018)
|
38,257
|
|
—
|
|
659
|
|
—%
|
|||
|
Membership Interest (100%)
|
|
|
—
|
|
—
|
|
—%
|
|||||
|
Net Profits Interest (8% of Equity Distributions)(4)
|
|
|
—
|
|
19
|
|
—%
|
|||||
|
|
|
|
|
—
|
|
678
|
|
—%
|
||||
|
|
|
$
|
1,768,220
|
|
$
|
1,752,449
|
|
51.0%
|
||||
|
Affiliate Investments (5.00% to 24.99% voting control)(43)
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|||||
|
BNN Holdings Corp.
|
Michigan / Healthcare
|
Series A Preferred Stock (9,925.455 shares)(7)
|
|
$
|
1,780
|
|
$
|
2,270
|
|
0.1%
|
|
|
Series B Preferred Stock (1,753.636 shares)(7)
|
|
448
|
|
572
|
|
—%
|
|||||
|
|
|
|
|
2,228
|
|
2,842
|
|
0.1%
|
|||
|
Targus International, LLC(28)
|
California / Durable Consumer Products
|
Senior Secured Term Loan A (15.00% PIK, in non-accrual status effective 10/1/15, due 12/31/2019)(8)
|
1,319
|
|
1,263
|
|
1,319
|
|
—%
|
||
|
Senior Secured Term Loan B (15.00% PIK , in non-accrual status effective 10/1/15, due 12/31/2019)(8)
|
3,957
|
|
3,788
|
|
3,957
|
|
0.1%
|
||||
|
Common Stock (1,262,737 shares)
|
|
|
3,479
|
|
3,202
|
|
0.1%
|
||||
|
|
|
|
|
8,530
|
|
8,478
|
|
0.2%
|
|||
|
|
|
$
|
10,758
|
|
$
|
11,320
|
|
0.3%
|
|||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
AFI Shareholder, LLC
(f/k/a Aircraft Fasteners International, LLC) |
California / Machinery
|
Class A Units (32,500 units)
|
|
|
$
|
330
|
|
$
|
511
|
|
—%
|
|
|
|
|
|
|
330
|
|
511
|
|
—%
|
||||
|
Airmall Inc.
|
Pennsylvania / Property Management
|
Escrow Receivable
|
|
|
3,916
|
|
3,900
|
|
0.1%
|
|||
|
|
|
|
|
3,916
|
|
3,900
|
|
0.1%
|
||||
|
Ajax Rolled Ring & Machine, LLC(35)
|
South Carolina / Manufacturing
|
Escrow Receivable
|
|
|
—
|
|
608
|
|
—%
|
|||
|
|
|
|
|
—
|
|
608
|
|
—%
|
||||
|
ALG USA Holdings, LLC
|
Pennsylvania / Hotels, Restaurants & Leisure
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 2/28/2020)(8)(10)(11)
|
11,771
|
|
11,630
|
|
11,771
|
|
0.3%
|
|||
|
|
|
|
|
11,630
|
|
11,771
|
|
0.3%
|
||||
|
American Gilsonite Company(29)
|
Utah / Metal Services & Minerals
|
Membership Interest (1.93%)
|
|
|
—
|
|
—
|
|
—%
|
|||
|
|
|
|
|
—
|
|
—
|
|
—%
|
||||
|
Apidos CLO IX
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.98%, due 7/15/2023)(5)(13)
|
23,525
|
|
19,997
|
|
19,966
|
|
0.6%
|
|||
|
|
|
|
|
19,997
|
|
19,966
|
|
0.6%
|
||||
|
Apidos CLO XI
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 11.95%, due 1/17/2023)(5)(13)
|
38,340
|
|
29,763
|
|
26,057
|
|
0.8%
|
|||
|
|
|
|
|
29,763
|
|
26,057
|
|
0.8%
|
||||
|
Apidos CLO XII
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.39%, due 4/15/2025)(5)(13)
|
44,063
|
|
34,598
|
|
30,638
|
|
0.9%
|
|||
|
|
|
|
|
34,598
|
|
30,638
|
|
0.9%
|
||||
|
Apidos CLO XV
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 10.72%, due 10/20/2025)(5)(13)
|
36,515
|
|
31,479
|
|
25,335
|
|
0.7%
|
|||
|
|
|
|
|
31,479
|
|
25,335
|
|
0.7%
|
||||
|
Apidos CLO XXII
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 17.29%, due 10/20/2027)(5)(6)(13)
|
31,350
|
|
26,948
|
|
25,369
|
|
0.7%
|
|||
|
|
|
|
|
26,948
|
|
25,369
|
|
0.7%
|
||||
|
Arctic Glacier U.S.A., Inc.
|
Minnesota / Food Products
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 11/10/2019)(3)(10)(11)
|
150,000
|
|
150,000
|
|
145,546
|
|
4.2%
|
|||
|
|
|
|
|
150,000
|
|
145,546
|
|
4.2%
|
||||
|
Ark-La-Tex Wireline Services, LLC
|
Louisiana / Oil & Gas Services
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12)
|
21,322
|
|
21,088
|
|
11,779
|
|
0.3%
|
|||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 4/8/2019)(10)(12)
|
23,981
|
|
23,239
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
44,327
|
|
11,779
|
|
0.3%
|
||||
|
Armor Holding II LLC
|
New York / Diversified Financial Services
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 12/26/2020)(3)(8)(10)(11)
|
7,000
|
|
6,907
|
|
6,907
|
|
0.2%
|
|||
|
|
|
|
|
6,907
|
|
6,907
|
|
0.2%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Atlantis Health Care Group (Puerto Rico), Inc.
|
Puerto Rico / Healthcare
|
Revolving Line of Credit – $7,000 Commitment (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 8/21/2017)(10)(11)(14)
|
$
|
2,350
|
|
$
|
2,350
|
|
$
|
2,350
|
|
0.1%
|
|
Senior Term Loan (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor), due 2/21/2018)(3)(10)(11)
|
38,166
|
|
38,166
|
|
38,166
|
|
1.1%
|
|||||
|
|
|
|
|
40,516
|
|
40,516
|
|
1.2%
|
||||
|
Babson CLO Ltd. 2014-III
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.25%, due 1/15/2026)(5)(6)(13)
|
52,250
|
|
44,075
|
|
40,312
|
|
1.2%
|
|||
|
|
|
|
|
44,075
|
|
40,312
|
|
1.2%
|
||||
|
Broder Bros., Co.
|
Pennsylvania / Textiles, Apparel & Luxury Goods
|
Senior Secured Term Loan A (7.00% (LIBOR + 5.75% with 1.25% LIBOR floor), due 6/03/2021)(3)(10)(12)
|
120,737
|
|
120,737
|
|
120,737
|
|
3.5%
|
|||
|
Senior Secured Term Loan B (13.50% (LIBOR + 12.25% with 1.25% LIBOR floor), due 6/03/2021)(10)(12)
|
121,475
|
|
121,475
|
|
121,475
|
|
3.5%
|
|||||
|
|
|
|
|
242,212
|
|
242,212
|
|
7.0%
|
||||
|
Brookside Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.44%, due 4/17/2025)(5)(13)
|
26,000
|
|
19,875
|
|
18,990
|
|
0.6%
|
|||
|
|
|
|
|
19,875
|
|
18,990
|
|
0.6%
|
||||
|
California Street CLO IX Ltd. (f/k/a Symphony CLO IX Ltd.)
|
Cayman Islands / Structured Finance
|
Preference Shares (Residual Interest, current yield 14.11%, due 4/16/2022)(5)(13)
|
45,500
|
|
32,629
|
|
29,267
|
|
0.9%
|
|||
|
|
|
|
|
32,629
|
|
29,267
|
|
0.9%
|
||||
|
Capstone Logistics Acquisition, Inc.
|
Georgia / Business Services
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 10/7/2022)(3)(8)(10)(12)
|
101,828
|
|
101,298
|
|
97,752
|
|
2.8%
|
|||
|
|
|
|
|
101,298
|
|
97,752
|
|
2.8%
|
||||
|
Cent CLO 17 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.64%, due 1/30/2025)(5)(13)
|
24,870
|
|
18,839
|
|
16,695
|
|
0.5%
|
|||
|
|
|
|
|
18,839
|
|
16,695
|
|
0.5%
|
||||
|
Cent CLO 20 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 10.19%, due 1/25/2026)(5)(13)
|
40,275
|
|
32,835
|
|
26,501
|
|
0.8%
|
|||
|
|
|
|
|
32,835
|
|
26,501
|
|
0.8%
|
||||
|
Cent CLO 21 Limited
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 11.64%, due 7/27/2026)(5)(6)(13)
|
48,528
|
|
38,125
|
|
31,467
|
|
0.9%
|
|||
|
|
|
|
|
38,125
|
|
31,467
|
|
0.9%
|
||||
|
CIFC Funding 2013-III, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 15.72%, due 10/24/2025)(5)(13)
|
44,100
|
|
32,338
|
|
29,634
|
|
0.9%
|
|||
|
|
|
|
|
32,338
|
|
29,634
|
|
0.9%
|
||||
|
CIFC Funding 2013-IV, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.13%, due 11/27/2024)(5)(13)
|
45,500
|
|
33,414
|
|
32,752
|
|
0.9%
|
|||
|
|
|
|
|
33,414
|
|
32,752
|
|
0.9%
|
||||
|
CIFC Funding 2014-IV Investor, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 15.05%, due 10/17/2026)(5)(6)(13)
|
41,500
|
|
31,729
|
|
30,378
|
|
0.9%
|
|||
|
|
|
|
|
31,729
|
|
30,378
|
|
0.9%
|
||||
|
Cinedigm DC Holdings, LLC
|
New York / Software & Computer Services
|
Senior Secured Term Loan (11.00% (LIBOR + 9.00% with 2.00% LIBOR floor) plus 2.50% PIK, due 3/31/2021)(10)(11)(39)
|
65,990
|
|
65,940
|
|
65,990
|
|
1.9%
|
|||
|
|
|
|
|
65,940
|
|
65,990
|
|
1.9%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Coverall North America, Inc.
|
Florida / Commercial Services
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11)
|
$
|
24,250
|
|
$
|
24,250
|
|
$
|
24,250
|
|
0.7%
|
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 11/02/2020)(3)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
|
|
|
|
49,250
|
|
49,250
|
|
1.4%
|
||||
|
Crosman Corporation
|
New York / Manufacturing
|
Senior Secured Term Loan A (9.16% (LIBOR + 8.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(3)(10)(12)(39)
|
54,185
|
|
54,185
|
|
53,935
|
|
1.6%
|
|||
|
Senior Secured Term Loan B (16.16% (LIBOR + 15.70% with .30% LIBOR floor) plus 4.00% PIK, due 8/5/2020)(10)(12)(39)
|
41,284
|
|
41,284
|
|
40,458
|
|
1.1%
|
|||||
|
|
|
|
|
95,469
|
|
94,393
|
|
2.7%
|
||||
|
CURO Group Holdings Corp. (f/k/a Speedy Cash Holdings Corp.)
|
Canada / Consumer Finance
|
Senior Unsecured Notes (12.00%, due 11/15/2017)(8)(13)
|
15,000
|
|
15,000
|
|
8,081
|
|
0.2%
|
|||
|
|
|
|
|
15,000
|
|
8,081
|
|
0.2%
|
||||
|
Easy Gardener Products, Inc.
|
Texas / Durable Consumer Products
|
Senior Secured Term Loan (10.63% (LIBOR + 10.00% with .25% LIBOR floor), due 09/30/2020)(3)(10)(11)
|
17,369
|
|
17,369
|
|
17,369
|
|
0.5%
|
|||
|
|
|
|
|
17,369
|
|
17,369
|
|
0.5%
|
||||
|
Empire Today, LLC
|
Illinois / Durable Consumer Products
|
Senior Secured Note (11.375%, due 2/1/2017)(8)
|
50,426
|
|
49,988
|
|
49,938
|
|
1.4%
|
|||
|
|
|
|
|
49,988
|
|
49,938
|
|
1.4%
|
||||
|
Fleetwash, Inc.
|
New Jersey / Business Services
|
Senior Secured Term Loan B (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 4/30/2019)(3)(10)(11)
|
23,402
|
|
23,402
|
|
23,402
|
|
0.7%
|
|||
|
Delayed Draw Term Loan – $15,000 Commitment (expires 4/30/2019)(10)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
23,402
|
|
23,402
|
|
0.7%
|
||||
|
Focus Brands, Inc.
|
Georgia / Consumer Services
|
Second Lien Term Loan (10.25% (LIBOR + 9.00% with 1.25% LIBOR floor), due 8/21/2018)(8)(10)(12)
|
18,000
|
|
17,876
|
|
18,000
|
|
0.5%
|
|||
|
|
|
|
|
17,876
|
|
18,000
|
|
0.5%
|
||||
|
Galaxy XV CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 18.19%, due 4/15/2025)(5)(13)
|
39,275
|
|
29,037
|
|
30,452
|
|
0.9%
|
|||
|
|
|
|
|
29,037
|
|
30,452
|
|
0.9%
|
||||
|
Galaxy XVI CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.22%, due 11/16/2025)(5)(13)
|
24,575
|
|
19,195
|
|
18,925
|
|
0.5%
|
|||
|
|
|
|
|
19,195
|
|
18,925
|
|
0.5%
|
||||
|
Galaxy XVII CLO, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 15.77%, due 7/15/2026)(5)(6)(13)
|
39,905
|
|
31,077
|
|
29,820
|
|
0.9%
|
|||
|
|
|
|
|
31,077
|
|
29,820
|
|
0.9%
|
||||
|
Generation Brands Holdings, Inc.
|
Illinois / Durable Consumer Products
|
Subordinated Secured Term Loan (11.00% (LIBOR + 10.00% with 1.00% LIBOR floor), due 12/10/2022)(8)(10)(11)
|
19,000
|
|
18,437
|
|
19,000
|
|
0.6%
|
|||
|
|
|
|
|
18,437
|
|
19,000
|
|
0.6%
|
||||
|
Global Employment Solutions, Inc.
|
Colorado / Business Services
|
Senior Secured Term Loan (10.25% (LIBOR + 9.25% with 1.00% LIBOR floor), due 6/26/2020)(3)(10)(12)
|
49,312
|
|
49,312
|
|
49,312
|
|
1.4%
|
|||
|
|
|
|
|
49,312
|
|
49,312
|
|
1.4%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Halcyon Loan Advisors Funding 2012-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 17.90%, due 8/15/2023)(5)(13)
|
$
|
23,188
|
|
$
|
18,245
|
|
$
|
18,140
|
|
0.5%
|
|
|
|
|
|
18,245
|
|
18,140
|
|
0.5%
|
||||
|
Halcyon Loan Advisors Funding 2013-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 18.01%, due 4/15/2025)(5)(13)
|
40,400
|
|
31,897
|
|
32,212
|
|
0.9%
|
|||
|
|
|
|
|
31,897
|
|
32,212
|
|
0.9%
|
||||
|
Halcyon Loan Advisors Funding 2014-1 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.66%, due 4/18/2026)(5)(13)
|
24,500
|
|
18,255
|
|
17,076
|
|
0.5%
|
|||
|
|
|
|
|
18,255
|
|
17,076
|
|
0.5%
|
||||
|
Halcyon Loan Advisors Funding 2014-2 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.91%, due 4/28/2025)(5)(6)(13)
|
41,164
|
|
30,795
|
|
30,532
|
|
0.9%
|
|||
|
|
|
|
|
30,795
|
|
30,532
|
|
0.9%
|
||||
|
Halcyon Loan Advisors Funding 2015-3 Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 15.86%, due 10/18/2027)(5)(6)(13)
|
39,598
|
|
36,746
|
|
35,202
|
|
1.0%
|
|||
|
|
|
|
|
36,746
|
|
35,202
|
|
1.0%
|
||||
|
Harbortouch Payments, LLC
|
Pennsylvania / Business Services
|
Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor) plus 3.00% PIK, due 5/31/2023)(10)(11)(39)
|
27,500
|
|
27,500
|
|
27,500
|
|
0.8%
|
|||
|
Escrow Receivable
|
|
|
—
|
|
1,602
|
|
—%
|
|||||
|
|
|
|
|
27,500
|
|
29,102
|
|
0.8%
|
||||
|
HarbourView CLO VII, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 17.35%, due 11/18/2026)(5)(6)(13)
|
19,025
|
|
14,454
|
|
13,005
|
|
0.4%
|
|||
|
|
|
|
|
14,454
|
|
13,005
|
|
0.4%
|
||||
|
Harley Marine Services, Inc.
|
Washington / Transportation
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 12/20/2019)(3)(8)(10)(11)
|
9,000
|
|
8,886
|
|
8,886
|
|
0.3%
|
|||
|
|
|
|
|
8,886
|
|
8,886
|
|
0.3%
|
||||
|
Hollander Sleep Products, LLC
|
Florida / Durable Consumer Products
|
Senior Secured Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 10/21/2020)(3)(10)(12)
|
21,860
|
|
21,860
|
|
21,098
|
|
0.6%
|
|||
|
|
|
|
|
21,860
|
|
21,098
|
|
0.6%
|
||||
|
ICV-CAS Holdings, LLC
|
New York / Transportation
|
Escrow Receivable
|
|
|
—
|
|
6
|
|
—%
|
|||
|
|
|
|
|
|
—
|
|
6
|
|
—%
|
|||
|
Inpatient Care Management Company LLC
|
Florida / Healthcare
|
Senior Secured Term Loan (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 6/8/2021(10)(12)
|
17,000
|
|
17,000
|
|
17,000
|
|
0.5%
|
|||
|
|
|
|
|
17,000
|
|
17,000
|
|
0.5%
|
||||
|
Instant Web, LLC
|
Minnesota / Media
|
Senior Secured Term Loan A (5.50% (LIBOR + 4.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
122,943
|
|
122,943
|
|
122,943
|
|
3.6%
|
|||
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 3/28/2019)(3)(10)(11)
|
158,100
|
|
158,100
|
|
158,100
|
|
4.6%
|
|||||
|
Senior Secured Term Loan C-1 (12.75% (LIBOR + 11.75% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
27,000
|
|
27,000
|
|
27,000
|
|
0.8%
|
|||||
|
Senior Secured Term Loan C-2 (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 3/28/2019)(10)(11)
|
25,000
|
|
25,000
|
|
25,000
|
|
0.7%
|
|||||
|
|
|
|
|
333,043
|
|
333,043
|
|
9.7%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
InterDent, Inc.
|
California / Healthcare
|
Senior Secured Term Loan A (6.25% (LIBOR + 5.50% with 0.75% LIBOR floor), due 8/3/2017)(10)(12)
|
$
|
79,538
|
|
$
|
79,538
|
|
$
|
79,538
|
|
2.3%
|
|
Senior Secured Term Loan B (11.25% (LIBOR + 10.50% with 0.75% LIBOR floor), due 8/3/2017)(3)(10)(12)
|
131,125
|
|
131,125
|
|
130,582
|
|
3.8%
|
|||||
|
|
|
|
|
210,663
|
|
210,120
|
|
6.1%
|
||||
|
JAC Holding Corporation
|
Michigan / Transportation
|
Senior Secured Note (11.50%, due 10/1/2019)(8)
|
2,868
|
|
2,868
|
|
2,868
|
|
0.1%
|
|||
|
|
|
|
|
2,868
|
|
2,868
|
|
0.1%
|
||||
|
Jefferson Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.75%, due 7/20/2027)(5)(6)(13)
|
19,500
|
|
16,915
|
|
13,072
|
|
0.4%
|
|||
|
|
|
|
|
16,915
|
|
13,072
|
|
0.4%
|
||||
|
JHH Holdings, Inc.
|
Texas / Healthcare
|
Second Lien Term Loan (11.25% (LIBOR + 10.00% with 1.25% LIBOR floor) plus 0.50% PIK, due 3/30/2019)(3)(10)(11)(39)
|
35,477
|
|
35,477
|
|
35,477
|
|
1.0%
|
|||
|
|
|
|
|
35,477
|
|
35,477
|
|
1.0%
|
||||
|
LaserShip, Inc.
|
Virginia / Transportation
|
Senior Secured Term Loan A (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 2.00% PIK, due 3/18/2019)(3)(10)(12)(39)
|
34,570
|
|
34,570
|
|
32,113
|
|
0.9%
|
|||
|
Senior Secured Term Loan B (10.25% (LIBOR + 8.25% with 2.00% LIBOR floor) plus 2.00% PIK, due 3/18/2019)(3)(10)(12)(39)
|
21,214
|
|
21,214
|
|
19,705
|
|
0.6%
|
|||||
|
|
|
|
|
55,784
|
|
51,818
|
|
1.5%
|
||||
|
LCM XIV Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 18.80%, due 7/15/2025)(5)(13)
|
30,500
|
|
22,890
|
|
23,376
|
|
0.7%
|
|||
|
|
|
|
|
22,890
|
|
23,376
|
|
0.7%
|
||||
|
Madison Park Funding IX, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 21.15%, due 8/15/2022)(5)(13)
|
31,110
|
|
22,259
|
|
21,174
|
|
0.6%
|
|||
|
|
|
|
|
22,259
|
|
21,174
|
|
0.6%
|
||||
|
Matrixx Initiatives, Inc.
|
New Jersey / Pharmaceuticals
|
Senior Secured Term Loan A (7.50% (LIBOR + 6.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11)
|
30,177
|
|
30,177
|
|
30,177
|
|
0.9%
|
|||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.00% with 1.50% LIBOR floor), due 8/9/2018)(3)(10)(11)
|
40,562
|
|
40,562
|
|
40,562
|
|
1.2%
|
|||||
|
|
|
|
|
70,739
|
|
70,739
|
|
2.1%
|
||||
|
Maverick Healthcare Equity, LLC
|
Arizona / Healthcare
|
Preferred Units (1,250,000 units)
|
|
|
1,252
|
|
2,037
|
|
0.1%
|
|||
|
Class A Common Units (1,250,000 units)
|
|
|
—
|
|
353
|
|
—%
|
|||||
|
|
|
|
|
1,252
|
|
2,390
|
|
0.1%
|
||||
|
Mineral Fusion Natural Brands(30)
|
Colorado / Personal & Nondurable Consumer Products
|
Membership Interest (1.43%)
|
|
|
—
|
|
266
|
|
—%
|
|||
|
|
|
|
|
—
|
|
266
|
|
—%
|
||||
|
Mountain View CLO 2013-I Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 14.72%, due 4/12/2024)(5)(13)
|
43,650
|
|
33,156
|
|
30,928
|
|
0.9%
|
|||
|
|
|
|
|
33,156
|
|
30,928
|
|
0.9%
|
||||
|
Mountain View CLO IX Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 16.23%, due 7/15/2027)(5)(6)(13)
|
47,830
|
|
43,088
|
|
40,218
|
|
1.2%
|
|||
|
|
|
|
|
43,088
|
|
40,218
|
|
1.2%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Nathan's Famous, Inc.
|
New York / Food Products
|
Senior Secured Notes (10.00%, due 3/15/2020)(8)
|
$
|
3,000
|
|
$
|
3,000
|
|
$
|
3,000
|
|
0.1%
|
|
|
|
|
|
3,000
|
|
3,000
|
|
0.1%
|
||||
|
NCP Finance Limited Partnership(31)
|
Ohio / Consumer Finance
|
Subordinated Secured Term Loan (11.00% (LIBOR + 9.75% with 1.25% LIBOR floor), due 9/30/2018)(3)(8)(10)(12)(13)
|
27,199
|
|
26,504
|
|
25,838
|
|
0.7%
|
|||
|
|
|
|
|
26,504
|
|
25,838
|
|
0.7%
|
||||
|
Nixon, Inc.
|
California / Durable Consumer Products
|
Senior Secured Term Loan (9.50% plus 3.00% PIK, due 4/16/2018)(3)(8)(39)
|
14,311
|
|
14,197
|
|
11,776
|
|
0.3%
|
|||
|
|
|
|
|
14,197
|
|
11,776
|
|
0.3%
|
||||
|
Octagon Investment Partners XV, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 16.54%, due 1/19/2025)(5)(13)
|
32,921
|
|
26,213
|
|
24,027
|
|
0.7%
|
|||
|
|
|
|
|
26,213
|
|
24,027
|
|
0.7%
|
||||
|
Octagon Investment Partners XVIII, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 20.29%, due 12/16/2024)(5)(6)(13)
|
28,200
|
|
20,046
|
|
19,701
|
|
0.6%
|
|||
|
|
|
|
|
20,046
|
|
19,701
|
|
0.6%
|
||||
|
Onyx Payments(32)
|
Texas / Diversified Financial Services
|
Revolving Line of Credit – $5,000 Commitment (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 9/10/2016)(10)(11)(14)
|
1,000
|
|
1,000
|
|
1,000
|
|
—%
|
|||
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11)
|
48,352
|
|
48,352
|
|
48,352
|
|
1.4%
|
|||||
|
Senior Secured Term Loan B (13.50% (LIBOR + 12.50% with 1.00% LIBOR floor), due 9/10/2019)(3)(10)(11)
|
59,389
|
|
59,389
|
|
59,389
|
|
1.8%
|
|||||
|
|
|
|
|
108,741
|
|
108,741
|
|
3.2%
|
||||
|
Pacific World Corporation
|
California / Personal & Nondurable Consumer Products
|
Revolving Line of Credit – $15,000 Commitment (8.00% (LIBOR + 7.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12)(14)
|
2,500
|
|
2,500
|
|
2,500
|
|
0.1%
|
|||
|
Senior Secured Term Loan A (6.00% (LIBOR + 5.00% with 1.00% LIBOR floor), due 9/26/2020)(10)(12)
|
97,994
|
|
97,994
|
|
93,624
|
|
2.7%
|
|||||
|
Senior Secured Term Loan B (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/26/2020)(3)(10)(12)
|
97,994
|
|
97,994
|
|
81,567
|
|
2.4%
|
|||||
|
|
|
|
|
198,488
|
|
177,691
|
|
5.2%
|
||||
|
Pelican Products, Inc.
|
California / Durable Consumer Products
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 4/9/2021)(3)(8)(10)(12)
|
17,500
|
|
17,486
|
|
15,744
|
|
0.5%
|
|||
|
|
|
|
|
17,486
|
|
15,744
|
|
0.5%
|
||||
|
PeopleConnect Intermediate, LLC (f/k/a Intelius, Inc.)
|
Washington / Software & Computer Services
|
Revolving Line of Credit – $1,500 Commitment (9.50% (LIBOR + 8.50% with 1.00% LIBOR floor), due 8/11/16)(10)(11)(14)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11)
|
20,379
|
|
20,379
|
|
19,907
|
|
0.6%
|
|||||
|
Senior Secured Term Loan B (12.50% (LIBOR + 11.50% with 1.00% LIBOR floor), due 7/1/2020)(3)(10)(11)
|
20,938
|
|
20,938
|
|
20,215
|
|
0.6%
|
|||||
|
|
|
|
|
41,317
|
|
40,122
|
|
1.2%
|
||||
|
PGX Holdings, Inc.(33)
|
Utah / Consumer Services
|
Second Lien Term Loan (10.00% (LIBOR + 9.00% with 1.00% LIBOR floor), due 9/29/2021)(3)(10)(12)
|
135,000
|
|
135,000
|
|
135,000
|
|
3.9%
|
|||
|
|
|
|
|
135,000
|
|
135,000
|
|
3.9%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Photonis Technologies SAS
|
France / Aerospace & Defense
|
First Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 9/18/2019)(8)(10)(12)(13)
|
$
|
9,927
|
|
$
|
9,756
|
|
$
|
9,015
|
|
0.3%
|
|
|
|
|
|
9,756
|
|
9,015
|
|
0.3%
|
||||
|
Pinnacle (US) Acquisition Co. Limited
|
Texas / Software & Computer Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.25% with 1.25% LIBOR floor), due 8/3/2020)(8)(10)(11)
|
7,037
|
|
6,918
|
|
5,425
|
|
0.2%
|
|||
|
|
|
|
|
6,918
|
|
5,425
|
|
0.2%
|
||||
|
PlayPower, Inc.
|
North Carolina / Durable Consumer Products
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 6/23/2022)(3)(8)(10)(11)
|
11,000
|
|
10,856
|
|
10,911
|
|
0.3%
|
|||
|
|
|
|
|
10,856
|
|
10,911
|
|
0.3%
|
||||
|
Prime Security Services Borrower, LLC
|
Illinois / Consumer Services
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 7/1/2022)(8)(10)(12)
|
10,000
|
|
9,870
|
|
10,000
|
|
0.3%
|
|||
|
|
|
|
|
9,870
|
|
10,000
|
|
0.3%
|
||||
|
PrimeSport, Inc.
|
Georgia / Hotels, Restaurants & Leisure
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11)
|
53,683
|
|
53,683
|
|
53,683
|
|
1.6%
|
|||
|
Senior Secured Term Loan B (12.00% (LIBOR + 11.00% with 1.00% LIBOR floor), due 2/11/2021)(3)(10)(11)
|
74,500
|
|
74,500
|
|
74,500
|
|
2.1%
|
|||||
|
|
|
|
|
128,183
|
|
128,183
|
|
3.7%
|
||||
|
Prince Mineral Holding Corp.
|
New York / Metal Services & Minerals
|
Senior Secured Term Loan (11.50%, due 12/15/2019)(8)
|
10,000
|
|
9,934
|
|
8,701
|
|
0.3%
|
|||
|
|
|
|
|
9,934
|
|
8,701
|
|
0.3%
|
||||
|
Rocket Software, Inc.
|
Massachusetts / Software & Computer Services
|
Second Lien Term Loan (10.25% (LIBOR + 8.75% with 1.50% LIBOR floor), due 2/8/2019)(3)(8)(10)(11)
|
20,000
|
|
19,854
|
|
20,000
|
|
0.6%
|
|||
|
|
|
|
|
19,854
|
|
20,000
|
|
0.6%
|
||||
|
Royal Holdings, Inc.
|
Indiana / Chemicals
|
Second Lien Term Loan (8.50% (LIBOR + 7.50% with 1.00% LIBOR floor), due 6/19/2023)(8)(10)(11)
|
5,000
|
|
4,967
|
|
4,819
|
|
0.1%
|
|||
|
|
|
|
|
4,967
|
|
4,819
|
|
0.1%
|
||||
|
SCS Merger Sub, Inc.
|
Texas / Software & Computer Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 10/30/2023)(3)(8)(10)(12)
|
20,000
|
|
19,456
|
|
19,655
|
|
0.6%
|
|||
|
|
|
|
|
19,456
|
|
19,655
|
|
0.6%
|
||||
|
Security Alarm Financing Enterprises, L.P.(34)
|
California / Consumer Services
|
Subordinated Unsecured Notes (11.50% (LIBOR + 9.50% with 2.00% LIBOR floor), due 12/19/2020)(10)(12)
|
25,000
|
|
25,000
|
|
22,700
|
|
0.7%
|
|||
|
|
|
|
|
25,000
|
|
22,700
|
|
0.7%
|
||||
|
SESAC Holdco II LLC
|
Tennessee / Media
|
Second Lien Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 4/22/2021)(3)(8)(10)(11)
|
10,000
|
|
9,878
|
|
9,878
|
|
0.3%
|
|||
|
|
|
|
|
9,878
|
|
9,878
|
|
0.3%
|
||||
|
SITEL Worldwide Corporation
|
Tennessee / Business Services
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 9/18/2022)(8)(10)(11)
|
16,000
|
|
15,715
|
|
15,715
|
|
0.5%
|
|||
|
|
|
|
|
15,715
|
|
15,715
|
|
0.5%
|
||||
|
Small Business Whole Loan Portfolio(36)
|
New York / Online Lending
|
741 Small Business Loans purchased from On Deck Capital, Inc.
|
14,603
|
|
14,603
|
|
14,215
|
|
0.4%
|
|||
|
|
|
|
|
14,603
|
|
14,215
|
|
0.4%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Spartan Energy Services, Inc.
|
Louisiana / Oil & Gas Services
|
Senior Secured Term Loan A (7.00% (LIBOR + 6.00% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 12/28/2017)(10)(12)
|
$
|
13,156
|
|
$
|
12,923
|
|
$
|
11,368
|
|
0.3%
|
|
Senior Secured Term Loan B (13.00% (LIBOR + 12.00% with 1.00% LIBOR floor), in non-accrual status effective 4/1/2016, due 12/28/2017)(10)(12)
|
14,123
|
|
13,669
|
|
984
|
|
0.1%
|
|||||
|
|
|
|
|
26,592
|
|
12,352
|
|
0.4%
|
||||
|
Stryker Energy, LLC
|
Ohio / Oil & Gas Production
|
Overriding Royalty Interests(9)
|
—
|
|
—
|
|
—
|
|
—%
|
|||
|
|
|
|
|
—
|
|
—
|
|
—%
|
||||
|
Sudbury Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 12.64%, due 1/17/2026)(5)(13)
|
28,200
|
|
20,865
|
|
17,395
|
|
0.5%
|
|||
|
|
|
|
|
20,865
|
|
17,395
|
|
0.5%
|
||||
|
Symphony CLO XIV Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.12%, due 7/14/2026)(5)(6)(13)
|
49,250
|
|
39,602
|
|
35,703
|
|
1.0%
|
|||
|
|
|
|
|
39,602
|
|
35,703
|
|
1.0%
|
||||
|
Symphony CLO XV, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 13.76%, due 10/17/2026)(5)(13)
|
50,250
|
|
44,141
|
|
39,523
|
|
1.2%
|
|||
|
|
|
|
|
44,141
|
|
39,523
|
|
1.2%
|
||||
|
System One Holdings, LLC
|
Pennsylvania / Business Services
|
Senior Secured Term Loan (11.25% (LIBOR + 10.50% with 0.75% LIBOR floor), due 11/17/2020)(3)(10)(12)
|
104,553
|
|
104,553
|
|
104,553
|
|
3.0%
|
|||
|
|
|
|
|
104,553
|
|
104,553
|
|
3.0%
|
||||
|
TouchTunes Interactive Networks, Inc.
|
New York / Media
|
Second Lien Term Loan (9.25% (LIBOR + 8.25% with 1.00% LIBOR floor), due 5/29/2022)(8)(10)(11)
|
5,000
|
|
4,936
|
|
4,936
|
|
0.1%
|
|||
|
|
|
|
|
4,936
|
|
4,936
|
|
0.1%
|
||||
|
Traeger Pellet Grills LLC
|
Oregon / Durable Consumer Products
|
Senior Secured Term Loan A (6.50% (LIBOR + 4.50% with 2.00% LIBOR floor), due 6/18/2018)(3)(10)(11)
|
34,519
|
|
34,519
|
|
34,519
|
|
1.0%
|
|||
|
Senior Secured Term Loan B (11.50% (LIBOR + 9.50% with 2.00% LIBOR floor), due 6/18/2018)(3)(10)(11)
|
36,506
|
|
36,506
|
|
36,506
|
|
1.1%
|
|||||
|
|
|
|
|
71,025
|
|
71,025
|
|
2.1%
|
||||
|
Transaction Network Services, Inc.
|
Virginia / Telecommunication Services
|
Second Lien Term Loan (9.00% (LIBOR + 8.00% with 1.00% LIBOR floor), due 8/14/2020)(8)(10)(11)
|
4,410
|
|
4,392
|
|
4,392
|
|
0.1%
|
|||
|
|
|
|
|
4,392
|
|
4,392
|
|
0.1%
|
||||
|
Trinity Services Group, Inc.(37)
|
Florida / Food Products
|
Senior Secured Term Loan A (6.50% (LIBOR + 5.50% with 1.00% LIBOR floor), due 8/13/2019)(10)(11)
|
9,626
|
|
9,626
|
|
9,626
|
|
0.3%
|
|||
|
Senior Secured Term Loan B (11.50% (LIBOR + 10.50% with 1.00% LIBOR floor), due 8/13/2019)(3)(10)(11)
|
125,000
|
|
125,000
|
|
125,000
|
|
3.6%
|
|||||
|
|
|
|
|
134,626
|
|
134,626
|
|
3.9%
|
||||
|
United Sporting Companies, Inc.(38)
|
South Carolina / Durable Consumer Products
|
Second Lien Term Loan (12.75% (LIBOR + 11.00% with 1.75% LIBOR floor), due 5/16/2018)(3)(10)(12)
|
140,847
|
|
140,847
|
|
136,668
|
|
4.0%
|
|||
|
|
|
|
|
140,847
|
|
136,668
|
|
4.0%
|
||||
|
Universal Fiber Systems, LLC
|
Virginia / Textiles, Apparel & Luxury Goods
|
Second Lien Term Loan (10.50% (LIBOR + 9.50% with 1.00% LIBOR floor), due 10/02/2022)(3)(8)(10)(12)
|
37,000
|
|
36,340
|
|
36,340
|
|
1.1%
|
|||
|
|
|
|
|
36,340
|
|
36,340
|
|
1.1%
|
||||
|
|
|
|
June 30, 2016
|
|||||||||
|
Portfolio Company
|
Locale / Industry
|
Investments(1)
|
Principal Value
|
Amortized Cost
|
Fair
Value(2) |
% of Net Assets
|
||||||
|
|
|
|
|
|
|
|
||||||
|
LEVEL 3 PORTFOLIO INVESTMENTS
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
Non-Control/Non-Affiliate Investments (less than 5.00% voting control)
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
||||||
|
USG Intermediate, LLC
|
Texas / Durable Consumer Products
|
Revolving Line of Credit – $2,500 Commitment (10.75% (LIBOR + 9.75% with 1.00% LIBOR floor), due 4/15/2017)(10)(12)(14)
|
$
|
1,000
|
|
$
|
1,000
|
|
$
|
1,000
|
|
—%
|
|
Senior Secured Term Loan A (8.25% (LIBOR + 7.25% with 1.00% LIBOR floor), due 4/15/2020)(3)(10)(12)
|
16,779
|
|
16,779
|
|
16,779
|
|
0.5%
|
|||||
|
Senior Secured Term Loan B (13.25% (LIBOR + 12.25% with 1.00% LIBOR floor), due 4/15/2020)(3)(10)(12)
|
19,960
|
|
19,960
|
|
19,960
|
|
0.6%
|
|||||
|
Equity
|
|
|
1
|
|
—
|
|
—%
|
|||||
|
|
|
|
|
37,740
|
|
37,739
|
|
1.1%
|
||||
|
Venio LLC
|
Pennsylvania / Business Services
|
Second Lien Term Loan (12.00% (LIBOR + 9.50% with 2.50% LIBOR floor) plus 2.00% default interest, in non-accrual status effective 12/31/15, due 2/19/2020)(10)(11)
|
17,000
|
|
17,000
|
|
12,876
|
|
0.4%
|
|||
|
|
|
|
|
17,000
|
|
12,876
|
|
0.4%
|
||||
|
Voya CLO 2012-2, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 18.84%, due 10/15/2022)(5)(13)
|
38,070
|
|
28,112
|
|
28,982
|
|
0.8%
|
|||
|
|
|
|
|
28,112
|
|
28,982
|
|
0.8%
|
||||
|
Voya CLO 2012-3, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 18.51%, due 10/15/2022)(5)(13)
|
46,632
|
|
34,597
|
|
34,319
|
|
1.0%
|
|||
|
|
|
|
|
34,597
|
|
34,319
|
|
1.0%
|
||||
|
Voya CLO 2012-4, Ltd.
|
Cayman Islands / Structured Finance
|
Income Notes (Residual Interest, current yield 19.09%, due 10/15/2023)(5)(13)
|
40,613
|
|
30,772
|
|
30,756
|
|
0.9%
|
|||
|
|
|
|
|
30,772
|
|
30,756
|
|
0.9%
|
||||
|
Voya CLO 2014-1, Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 19.32%, due 4/18/2026)(5)(6)(13)
|
32,383
|
|
26,133
|
|
26,741
|
|
0.8%
|
|||
|
|
|
|
|
26,133
|
|
26,741
|
|
0.8%
|
||||
|
Washington Mill CLO Ltd.
|
Cayman Islands / Structured Finance
|
Subordinated Notes (Residual Interest, current yield 9.52%, due 4/20/2026)(5)(6)(13)
|
22,600
|
|
18,406
|
|
15,056
|
|
0.4%
|
|||
|
|
|
|
|
18,406
|
|
15,056
|
|
0.4%
|
||||
|
Water Pik, Inc.
|
Colorado / Personal & Nondurable Consumer Products
|
Second Lien Term Loan (9.75% (LIBOR + 8.75% with 1.00% LIBOR floor), due 1/8/2021)(8)(10)(11)
|
15,439
|
|
15,097
|
|
15,097
|
|
0.4%
|
|||
|
|
|
|
|
15,097
|
|
15,097
|
|
0.4%
|
||||
|
Wheel Pros, LLC
|
Colorado / Business Services
|
Senior Subordinated Secured Note (11.00% (LIBOR + 7.00% with 4.00% LIBOR floor), due 6/29/2020)(3)(10)(11)
|
12,000
|
|
12,000
|
|
12,000
|
|
0.4%
|
|||
|
Senior Subordinated Secured Note (11.00% (LIBOR + 7.00% with 4.00% LIBOR floor), due 6/29/2020)(3)(10)(11)
|
5,460
|
|
5,460
|
|
5,460
|
|
0.2%
|
|||||
|
|
|
|
|
17,460
|
|
17,460
|
|
0.6%
|
||||
|
Total Non-Control/Non-Affiliate Investments (Level 3)
|
|
$
|
4,312,122
|
|
$
|
4,133,939
|
|
120.3%
|
||||
|
|
|
|
|
|
||||||||
|
Total Portfolio Investments
|
|
$
|
6,091,100
|
|
$
|
5,897,708
|
|
171.6%
|
||||
|
(1)
|
The terms “Prospect,” “we,” “us” and “our” mean Prospect Capital Corporation and its subsidiaries unless the context specifically requires otherwise. The securities in which Prospect has invested were acquired in transactions that were exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). These securities may be resold only in transactions that are exempt from registration under the Securities Act.
|
|
(2)
|
Fair value is determined by or under the direction of our Board of Directors. As of
September 30, 2016
and
June 30, 2016
, all of our investments were classified as Level 3. ASC 820 classifies such unobservable inputs used to measure fair value as Level 3 within the valuation hierarchy. See Notes 2 and 3 within the accompanying notes to consolidated financial statements for further discussion.
|
|
(3)
|
Security, or a portion thereof, is held by Prospect Capital Funding LLC (“PCF”), our wholly-owned subsidiary and a bankruptcy remote special purpose entity, and is pledged as collateral for the Revolving Credit Facility and such security is not available as collateral to our general creditors (see Note 4). The fair values of the investments held by PCF at
September 30, 2016
and
June 30, 2016
were
$1,431,582
and
$1,348,577
, respectively, representing
23.4%
and
22.9%
of our total investments, respectively.
|
|
(4)
|
In addition to the stated returns, the net profits interest held will be realized upon sale of the borrower or a sale of the interests.
|
|
(5)
|
This investment is in the equity class of a collateralized loan obligation (“CLO”) security. The CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions which have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
|
|
(6)
|
Co-investment with another fund managed by an affiliate of our investment adviser, Prospect Capital Management L.P. See Note 13 for further discussion.
|
|
(7)
|
On a fully diluted basis represents 10.00% of voting common shares.
|
|
(8)
|
Syndicated investment which was originated by a financial institution and broadly distributed.
|
|
(9)
|
The overriding royalty interests held receive payments at the stated rates based upon operations of the borrower.
|
|
(10)
|
Security, or a portion thereof, has a floating interest rate which may be subject to a LIBOR or PRIME floor. The interest rate was in effect at
September 30, 2016
and
June 30, 2016
.
|
|
(11)
|
The interest rate on these investments is subject to the base rate of 3-Month LIBOR, which was
0.85%
and 0.65% at
September 30, 2016
and
June 30, 2016
, respectively. The current base rate for each investment may be different from the reference rate on
September 30, 2016
and
June 30, 2016
.
|
|
(12)
|
The interest rate on these investments is subject to the base rate of 1-Month LIBOR, which was
0.53%
and 0.47% at
September 30, 2016
and
June 30, 2016
, respectively. The current base rate for each investment may be different from the reference rate on
September 30, 2016
and
June 30, 2016
.
|
|
(13)
|
Investment has been designated as an investment not “qualifying” under Section 55(a) of the Investment Company Act of 1940 (the “1940 Act”). Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. As of
September 30, 2016
and
June 30, 2016
, our qualifying assets as a percentage of total assets, stood at 73.17% and 74.58%, respectively. We monitor the status of these assets on an ongoing basis.
|
|
(14)
|
Undrawn committed revolvers and delayed draw term loans to our portfolio companies incur commitment and unused fees ranging from
0.00%
to
6.00%
. As of
September 30, 2016
and
June 30, 2016
, we had
$42,484
and
$40,560
, respectively, of undrawn revolver and delayed draw term loan commitments to our portfolio companies.
|
|
(15)
|
Arctic Oilfield Equipment USA, Inc. (“Arctic Oilfield”), a consolidated entity in which we own 100% of the common equity, owns 70% of the equity units of Arctic Energy Services, LLC (“Arctic Energy”), the operating company. We report Arctic Energy as a separate contro
lled company. On September 30, 2015, we restructured our investment in Arctic Energy. Concurrent with the restructuring, we exchanged our $31,640 senior secured loan and our $20,230 subordinated loan for Class D and Class E Units in Arctic Energy. Our ownership of Arctic Oilfield includes a preferred interest in their holdings of all the Class D,
|
|
(16)
|
CCPI Holdings Inc., a consolidated entity in which we own 100% of the common stock, owns 94.59% of CCPI Inc. (“CCPI”), the operating company, as of
September 30, 2016
and
June 30, 2016
. We report CCPI as a separate controlled company.
|
|
(17)
|
CP Holdings of Delaware LLC, a consolidated entity in which we own 100% of the membership interests, owns 82.3% of CP Energy Services Inc. (“CP Energy”) as of
September 30, 2016
and
June 30, 2016
. As of
June 30, 2016
, CP Energy owned directly or indirectly 100% of each of CP Well Testing, LLC (“CP Well”); Wright Foster Disposals, LLC; Foster Testing Co., Inc.; ProHaul Transports, LLC; and Wright Trucking, Inc. We report CP Energy as a separate controlled company. Effective December 31, 2014, CP Energy underwent a corporate reorganization in order to consolidate certain of its wholly-owned subsidiaries. On October 30, 2015, we restructured our investment in CP Energy. Concurrent with the restructuring, we exchanged our $86,965 senior secured loan and $15,924 subordinated loan for Series B Redeemable Preferred Stock in CP Energy.
|
|
(18)
|
Credit Central Holdings of Delaware, LLC, a consolidated entity in which we own 100% of the membership interests, owns 99.91% and 74.93% of Credit Central Loan Company, LLC (f/k/a Credit Central Holdings, LLC (“Credit Central”)) as of
September 30, 2016
and
June 30, 2016
, respectively. Credit Central owns 100% of each of Credit Central, LLC; Credit Central South, LLC; Credit Central of Texas, LLC; and Credit Central of Tennessee, LLC, the operating companies. We report Credit Central as a separate controlled company. On September 28, 2016, we have made an additional $12,523 second lien debt and $2,098 equity investment in Credit Central Loan Company, LLC., increasing its ownership to 99.91%.
|
|
(19)
|
Prospect owns 37.1% of the equity of Edmentum Ultimate Holdings, LLC (“Edmentum Holdings”) as of
September 30, 2016
and
June 30, 2016
.
|
|
(20)
|
First Tower Holdings of Delaware LLC, a consolidated entity in which we own 100% of the membership interests, owns 80.1% of First Tower Finance Company LLC (“First Tower Finance”), which owns 100% of First Tower, LLC, the operating company as of
September 30, 2016
and
June 30, 2016
. We report First Tower Finance as a separate controlled company.
|
|
(21)
|
Energy Solutions Holdings Inc., a consolidated entity in which we own 100% of equity, owns 100% of Freedom Marine Solutions, LLC (“Freedom Marine”), which owns Vessel Company, LLC, Vessel Company II, LLC and Vessel Company III, LLC. We report Freedom Marine as a separate controlled company. On October 30, 2015, we restructured our investment in Freedom Marine. Concurrent with the restructuring, we exchanged our $32,500 senior secured loans for additional membership interest in Freedom Marine.
|
|
(22)
|
MITY Holdings of Delaware Inc. (“MITY Delaware”), a consolidated entity in which we own 100% of the common stock, owns 95.48% and 95.83% of the equity of MITY, Inc. (f/k/a MITY Enterprises, Inc.) (“MITY”), as of
September 30, 2016
and
June 30, 2016
, respectively. MITY owns 100% of each of MITY-Lite, Inc.; Broda Enterprises USA, Inc.; and Broda Enterprises ULC (“Broda Canada”). We report MITY as a separate controlled company. MITY Delaware has a subordinated unsecured note issued and outstanding to Broda Canada that is denominated in Canadian Dollars (CAD). As of
September 30, 2016
and
June 30, 2016
, the principal balance of this note was CAD 7,371. In accordance with ASC 830,
Foreign Currency Matters
(“ASC 830”), this note was remeasured into our functional currency, US Dollars (USD), and is presented on our Consolidated Schedule of Investments in USD.
|
|
(23)
|
NPH Property Holdings, LLC, a consolidated entity in which we own 100% of the membership interests, owns 100% of the common equity of National Property REIT Corp. (“NPRC”) (f/k/a National Property Holdings Corp.), a property REIT which holds investments in several real estate properties. Additionally, NPRC invests in online consumer loans through ACL Loan Holdings, Inc.(“ACLLH”) and American Consumer Lending Limited (“ACLL”), its wholly-owned subsidiaries. We report NPRC as a separate controlled company. See Note 3 for further discussion of the properties held by NPRC. On August 1, 2016, we made an investment into ACLL, under the ACLL credit agreement, for senior secured term loans, Term Loan C, with the same terms as the existing ACLLH Term Loan C due to us.
|
|
(24)
|
Nationwide Acceptance Holdings LLC, a consolidated entity in which we own 100% of the membership interests, owns 94.48% and 93.79% of Nationwide Loan Company LLC (f/k/a Nationwide Acceptance LLC (“Nationwide”)), the operating company, as of
September 30, 2016
and
June 30, 2016
, respectively. We report Nationwide as a separate controlled company. On June 1, 2015, Nationwide completed a corporate reorganization. As part of a reorganization, Nationwide Acceptance LLC was renamed Nationwide Loan Company LLC (continues as “Nationwide”) and formed two new wholly-owned subsidiaries: Pelican Loan Company LLC (“Pelican”) and Nationwide Consumer Loans LLC. Nationwide assigned 100% of the equity interests in its other subsidiaries to Pelican which, in turn, assigned these interests to Nationwide Acceptance LLC (“New Nationwide”), the new
|
|
(25)
|
NMMB Holdings, a consolidated entity in which we own 100% of the equity, owns 96.33% of the fully diluted equity of NMMB, Inc. (“NMMB”) as of
September 30, 2016
and
June 30, 2016
. NMMB owns 100% of Refuel Agency, Inc., which owns 100% of Armed Forces Communications, Inc. We report NMMB as a separate controlled company.
|
|
(26)
|
Prospect owns 99.96% of the equity of
USES Corp.
as of
September 30, 2016
and
June 30, 2016
.
|
|
(27)
|
Valley Electric Holdings I, Inc., a consolidated entity in which we own 100% of the common stock, owns 100% of Valley Electric Holdings II, Inc. (“Valley Holdings II”), another consolidated entity. Valley Holdings II owns 94.99% of Valley Electric Company, Inc. (“Valley Electric”). Valley Electric owns 100% of the equity of VE Company, Inc., which owns 100% of the equity of Valley Electric Co. of Mt. Vernon, Inc.. We report Valley Electric as a separate controlled company.
|
|
(28)
|
Prospect owns 12.63% of the equity in Targus Cayman HoldCo Limited, the parent company of Targus International LLC as of
September 30, 2016
and
June 30, 2016
.
|
|
(29)
|
We own 99.9999% of AGC/PEP, LLC. AGC/PEP, LLC owns 2,038 out of a total of 93,485 shares (including 7,456 vested and unvested management options) of American Gilsonite Holding Company which owns 100% of American Gilsonite Company.
|
|
(30)
|
As of
September 30, 2016
and
June 30, 2016
, we own 1.43% (13,220 shares) of the common and preferred interest of Mineral Fusion Natural, LLC, a subsidiary of Caleel + Hayden, LLC.
|
|
(31)
|
NCP Finance Limited Partnership, NCP Finance Ohio, LLC, and certain affiliates thereof are joint borrowers on the subordinated secured term loan.
|
|
(32)
|
Pegasus Business Intelligence, LP, Paycom Acquisition, LLC, and Paycom Acquisition Corp. are joint borrowers on the senior secured loan facilities. Paycom Intermediate Holdings, Inc. is the parent guarantor of this debt investment. These entities transact business internationally under the trade name Onyx Payments.
|
|
(33)
|
As of
September 30, 2016
and
June 30, 2016
, PGX Holdings, Inc. is the sole borrower on the second lien term loan.
|
|
(34)
|
Security Alarm Financing Enterprises, L.P. and California Security Alarms, Inc. are joint borrowers on the senior subordinated note.
|
|
(35)
|
SB Forging Company, Inc., a consolidated entity in which we own 100% of the equity, owned 100% of Ajax Rolled Ring & Machine, LLC, the operating company, which was sold on October 10, 2014. As part of the sale there is $3,000 being held in escrow
of which $802 and $1,750 was received on May 6, 2015 and May 31, 2016, respectively, for which Prospect realized a gain of the same amount. During the quarter ended September 30, 2016, we determined that the remaining balance of the escrow will not be collected.
|
|
(36)
|
Our wholly-owned subsidiary Prospect Small Business Lending, LLC purchases small business whole loans from small business loan originators, including On Deck Capital, Inc.
|
|
(37)
|
Trinity Services Group, Inc. and Trinity Services I, LLC are joint borrowers on the senior secured loan facility.
|
|
(38)
|
Ellett Brothers, LLC, Evans Sports, Inc., Jerry’s Sports, Inc., Simmons Gun Specialties, Inc., Bonitz Brothers, Inc., and Outdoor Sports Headquarters, Inc. are joint borrowers on the second lien term loan. United Sporting Companies, Inc. is a parent guarantor of this debt investment.
|
|
(39)
|
The interest rate on these investments contains a paid in kind (“PIK”) provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.
|
|
Security Name
|
PIK Rate -
Capitalized |
PIK Rate -
Paid as cash |
Maximum
Current PIK Rate |
|
|
CCPI Inc.
|
—%
|
7.00%
|
7.00%
|
|
|
Cinedigm DC Holdings, LLC
|
—%
|
2.50%
|
2.50%
|
|
|
Credit Central Loan Company
|
10.00%
|
—%
|
10.00%
|
|
|
Crosman Corporation - Senior Secured Term Loan A
|
4.00%
|
—%
|
4.00%
|
|
|
Crosman Corporation - Senior Secured Term Loan B
|
4.00%
|
—%
|
4.00%
|
|
|
Echelon Aviation LLC
|
—%
|
2.25%
|
2.25%
|
|
|
Edmentum Ultimate Holdings, LLC - Unsecured Senior PIK Note
|
8.50%
|
—%
|
8.50%
|
|
|
Edmentum Ultimate Holdings, LLC - Unsecured Junior PIK Note
|
10.00%
|
—%
|
10.00%
|
|
|
First Tower Finance Company LLC
|
2.67%
|
9.33%
|
12.00%
|
|
|
Harbortouch Payments, LLC
|
3.00%
|
—%
|
3.00%
|
|
|
LaserShip , Inc. - Term Loan A
|
1.00%
|
—%
|
1.00%
|
|
|
LaserShip , Inc. - Term Loan B
|
1.00%
|
—%
|
1.00%
|
|
|
Mity, Inc.
|
—%
|
10.00%
|
10.00%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan A
|
—%
|
5.50%
|
5.50%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan E
|
—%
|
5.00%
|
5.00%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan C to ACL Holdings, Inc.
|
—%
|
5.00%
|
5.00%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan C to ACL Limited
|
—%
|
5.00%
|
5.00%
|
|
|
Nationwide Loan Company LLC
|
—%
|
10.00%
|
10.00%
|
|
|
Valley Electric Co. of Mt. Vernon, Inc.
|
—%
|
2.50%
|
2.50%
|
|
|
Valley Electric Company, Inc.
|
6.66%
|
1.84%
|
8.50%
|
|
|
Security Name
|
PIK Rate -
Capitalized |
PIK Rate -
Paid as cash |
Maximum
Current PIK Rate |
|
|
CCPI Inc.
|
—%
|
7.00%
|
7.00%
|
|
|
Cinedigm DC Holdings, LLC
|
—%
|
2.50%
|
2.50%
|
|
|
Credit Central Loan Company
|
6.49%
|
3.51%
|
10.00%
|
|
|
Crosman Corporation - Senior Secured Term Loan A
|
4.00%
|
—%
|
4.00%
|
|
|
Crosman Corporation - Senior Secured Term Loan B
|
4.00%
|
—%
|
4.00%
|
|
|
Echelon Aviation LLC
|
—%
|
2.25%
|
2.25%
|
|
|
Edmentum Ultimate Holdings, LLC - Unsecured Senior PIK Note
|
8.50%
|
—%
|
8.50%
|
|
|
Edmentum Ultimate Holdings, LLC - Unsecured Junior PIK Note
|
10.00%
|
—%
|
10.00%
|
|
|
First Tower Finance Company LLC
|
0.80%
|
11.20%
|
12.00%
|
|
|
Harbortouch Payments, LLC
|
N/A
|
N/A
|
3.00%
|
(A)
|
|
JHH Holdings, Inc.
|
0.50%
|
—%
|
0.50%
|
|
|
LaserShip , Inc. - Term Loan A
|
2.00%
|
—%
|
2.00%
|
|
|
LaserShip , Inc. - Term Loan B
|
2.00%
|
—%
|
2.00%
|
|
|
Mity, Inc.
|
—%
|
10.00%
|
10.00%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan A
|
—%
|
5.50%
|
5.50%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan E
|
—%
|
5.00%
|
5.00%
|
|
|
National Property REIT Corp. - Senior Secured Term Loan C to ACL Holdings, Inc.
|
—%
|
5.00%
|
5.00%
|
|
|
Nationwide Loan Company LLC
|
—%
|
10.00%
|
10.00%
|
|
|
Nixon, Inc.
|
3.00%
|
—%
|
3.00%
|
|
|
Valley Electric Co. of Mt. Vernon, Inc.
|
—%
|
2.50%
|
2.50%
|
|
|
Valley Electric Company, Inc.
|
3.42%
|
5.08%
|
8.50%
|
|
|
(40)
|
As defined in the 1940 Act, we are deemed to “Control” these portfolio companies because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the
three months ended September 30, 2016
with these controlled investments were as follows:
|
|
Portfolio Company
|
Fair Value at
June 30, 2016 |
Gross Additions (Cost)*
|
Gross Reductions (Cost)**
|
Net unrealized
gains (losses) |
Fair Value at
September 30, 2016 |
Interest
income |
Dividend
income |
Other
income |
Net realized
gains (losses) |
||||||||||||||||||
|
Arctic Energy Services, LLC
|
38,340
|
|
—
|
|
—
|
|
(18,173
|
)
|
20,167
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
CCPI Inc.
|
41,356
|
|
—
|
|
11
|
|
875
|
|
42,242
|
|
750
|
|
123
|
|
—
|
|
—
|
|
|||||||||
|
CP Energy Services Inc.
|
76,002
|
|
—
|
|
—
|
|
—
|
|
76,002
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Credit Central Loan Company, LLC
|
52,254
|
|
8,156
|
|
—
|
|
3,510
|
|
63,920
|
|
2,120
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Echelon Aviation LLC
|
60,821
|
|
—
|
|
(6,800
|
)
|
1,022
|
|
55,043
|
|
1,346
|
|
200
|
|
—
|
|
—
|
|
|||||||||
|
Edmentum Ultimate Holdings, LLC
|
44,346
|
|
874
|
|
(6,424
|
)
|
(3,311
|
)
|
35,485
|
|
934
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
First Tower Finance Company LLC
|
352,666
|
|
1,753
|
|
(937
|
)
|
(1,629
|
)
|
351,853
|
|
14,423
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Freedom Marine Solutions, LLC
|
26,618
|
|
601
|
|
—
|
|
(548
|
)
|
26,671
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Gulf Coast Machine & Supply Company
|
7,312
|
|
2,000
|
|
(3,022
|
)
|
1,104
|
|
7,394
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
MITY, Inc.
|
54,049
|
|
—
|
|
—
|
|
(534
|
)
|
53,515
|
|
1,451
|
|
—
|
|
—
|
|
5
|
|
|||||||||
|
National Property REIT Corp.
|
843,933
|
|
105,185
|
|
—
|
|
30,872
|
|
979,990
|
|
21,548
|
|
—
|
|
2,940
|
|
—
|
|
|||||||||
|
Nationwide Loan Company LLC
|
35,813
|
|
214
|
|
—
|
|
1,482
|
|
37,509
|
|
856
|
|
1,842
|
|
—
|
|
—
|
|
|||||||||
|
NMMB, Inc.
|
10,007
|
|
—
|
|
—
|
|
(124
|
)
|
9,883
|
|
383
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
R-V Industries, Inc.
|
36,877
|
|
—
|
|
—
|
|
(1,662
|
)
|
35,215
|
|
716
|
|
75
|
|
—
|
|
—
|
|
|||||||||
|
USES Corp.
|
40,286
|
|
—
|
|
—
|
|
2,101
|
|
42,387
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Valley Electric Company, Inc.
|
31,091
|
|
397
|
|
—
|
|
(957
|
)
|
30,531
|
|
1,382
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Wolf Energy, LLC
|
678
|
|
—
|
|
—
|
|
(662
|
)
|
16
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Total
|
$
|
1,752,449
|
|
$
|
119,180
|
|
$
|
(17,172
|
)
|
$
|
13,366
|
|
$
|
1,867,823
|
|
$
|
45,909
|
|
$
|
2,240
|
|
$
|
2,940
|
|
$
|
5
|
|
|
(41)
|
As defined in the 1940 Act, we are deemed to be an “Affiliated company” of these portfolio companies because we own more than 5% of the portfolio company’s outstanding voting securities. Transactions during the
three months ended September 30, 2016
with these affiliated investments were as follows:
|
|
Portfolio Company
|
Fair Value at
June 30, 2016 |
Gross Additions (Cost)*
|
Gross Reductions (Cost)**
|
Net unrealized
gains (losses) |
Fair Value at
September 30, 2016 |
Interest
income |
Dividend
income |
Other
income |
Net realized
gains (losses) |
||||||||||||||||||
|
BNN Holdings Corp.
|
2,842
|
|
—
|
|
(2,228
|
)
|
(614
|
)
|
—
|
|
—
|
|
—
|
|
—
|
|
137
|
|
|||||||||
|
Targus International LLC
|
8,478
|
|
—
|
|
—
|
|
(1,512
|
)
|
6,966
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Total
|
$
|
11,320
|
|
$
|
—
|
|
$
|
(2,228
|
)
|
$
|
(2,126
|
)
|
$
|
6,966
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
137
|
|
|
(42)
|
As defined in the 1940 Act, we are deemed to “Control” these portfolio companies because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended
June 30, 2016
with these controlled investments were as follows:
|
|
Portfolio Company
|
Fair Value at
June 30, 2015 |
Gross Additions (Cost)*
|
Gross Reductions (Cost)**
|
Net unrealized
gains (losses) |
Fair Value at
June 30, 2016 |
Interest
income |
Dividend
income |
Other
income |
Net realized
gains (losses) |
||||||||||||||||||
|
American Property REIT Corp.***
|
$
|
118,256
|
|
$
|
2,826
|
|
$
|
(103,017
|
)
|
$
|
(18,065
|
)
|
$
|
—
|
|
$
|
7,306
|
|
$
|
11,016
|
|
$
|
899
|
|
$
|
—
|
|
|
Arctic Energy Services, LLC
|
60,364
|
|
—
|
|
—
|
|
(22,024
|
)
|
38,340
|
|
1,123
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
CCPI Inc.
|
41,352
|
|
475
|
|
(6,368
|
)
|
5,897
|
|
41,356
|
|
3,123
|
|
3,196
|
|
—
|
|
—
|
|
|||||||||
|
CP Energy Services Inc.
|
91,009
|
|
(2,819
|
)
|
—
|
|
(12,188
|
)
|
76,002
|
|
(390
|
)
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Credit Central Loan Company, LLC
|
55,172
|
|
921
|
|
(323
|
)
|
(3,516
|
)
|
52,254
|
|
7,398
|
|
—
|
|
2,067
|
|
—
|
|
|||||||||
|
Echelon Aviation LLC
|
68,941
|
|
—
|
|
(2,954
|
)
|
(5,166
|
)
|
60,821
|
|
5,700
|
|
7,250
|
|
—
|
|
—
|
|
|||||||||
|
Edmentum Ultimate Holdings, LLC
|
37,216
|
|
9,358
|
|
(4,896
|
)
|
2,668
|
|
44,346
|
|
3,650
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
First Tower Finance Company LLC
|
365,950
|
|
8,866
|
|
(679
|
)
|
(21,471
|
)
|
352,666
|
|
56,698
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Freedom Marine Solutions, LLC
|
27,090
|
|
1,000
|
|
—
|
|
(1,472
|
)
|
26,618
|
|
1,112
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Gulf Coast Machine & Supply Company
|
6,918
|
|
9,500
|
|
(1,075
|
)
|
(8,031
|
)
|
7,312
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Harbortouch Payments, LLC
|
376,936
|
|
9,503
|
|
(314,962
|
)
|
(71,477
|
)
|
—
|
|
33,419
|
|
—
|
|
12,909
|
|
(5,419
|
)
|
|||||||||
|
MITY, Inc.
|
50,795
|
|
139
|
|
—
|
|
3,115
|
|
54,049
|
|
5,762
|
|
711
|
|
—
|
|
13
|
|
|||||||||
|
National Property REIT Corp.****
|
471,889
|
|
256,737
|
|
20,979
|
|
94,328
|
|
843,933
|
|
62,690
|
|
—
|
|
5,375
|
|
—
|
|
|||||||||
|
Nationwide Loan Company LLC
|
34,550
|
|
3,583
|
|
(300
|
)
|
(2,020
|
)
|
35,813
|
|
3,212
|
|
3,963
|
|
—
|
|
—
|
|
|||||||||
|
NMMB, Inc.
|
12,052
|
|
—
|
|
—
|
|
(2,045
|
)
|
10,007
|
|
1,525
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
R-V Industries, Inc.
|
40,508
|
|
—
|
|
(614
|
)
|
(3,017
|
)
|
36,877
|
|
2,908
|
|
299
|
|
—
|
|
—
|
|
|||||||||
|
SB Forging Company, Inc.
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
United Property REIT Corp.***
|
84,685
|
|
7,531
|
|
(83,159
|
)
|
(9,057
|
)
|
—
|
|
6,778
|
|
—
|
|
1,278
|
|
—
|
|
|||||||||
|
USES Corp.
|
—
|
|
55,297
|
|
(150
|
)
|
(14,861
|
)
|
40,286
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Valley Electric Company, Inc.
|
30,497
|
|
1,599
|
|
—
|
|
(1,005
|
)
|
31,091
|
|
5,363
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Wolf Energy, LLC
|
22
|
|
—
|
|
—
|
|
656
|
|
678
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|||||||||
|
Total
|
$
|
1,974,202
|
|
$
|
364,516
|
|
$
|
(497,518
|
)
|
$
|
(88,751
|
)
|
$
|
1,752,449
|
|
$
|
207,377
|
|
$
|
26,435
|
|
$
|
22,528
|
|
$
|
(5,406
|
)
|
|
(43)
|
As defined in the 1940 Act, we are deemed to be an “Affiliated company” of these portfolio companies because we own more than 5% of the portfolio company’s outstanding voting securities. Transactions during the year ended
June 30, 2016
with these affiliated investments were as follows:
|
|
Portfolio Company
|
Fair Value at
June 30, 2015 |
Gross Additions (Cost)*
|
Gross Reductions (Cost)**
|
Net unrealized
gains (losses) |
Fair Value at
June 30, 2016 |
Interest
income |
Dividend
income |
Other
income |
Net realized
gains (losses) |
||||||||||||||||||
|
BNN Holdings Corp.
|
$
|
45,945
|
|
$
|
—
|
|
$
|
(42,922
|
)
|
$
|
(181
|
)
|
$
|
2,842
|
|
$
|
896
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
|
Targus International LLC
|
—
|
|
22,724
|
|
(14,194
|
)
|
(52
|
)
|
8,478
|
|
—
|
|
—
|
|
—
|
|
(14,194
|
)
|
|||||||||
|
Total
|
$
|
45,945
|
|
$
|
22,724
|
|
$
|
(57,116
|
)
|
$
|
(233
|
)
|
$
|
11,320
|
|
$
|
896
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(14,194
|
)
|
|
1.
|
Each portfolio company or investment is reviewed by our investment professionals with independent valuation firms engaged by our Board of Directors.
|
|
2.
|
The independent valuation firms prepare independent valuations for each investment based on their own independent assessments and issue their report.
|
|
3.
|
The Audit Committee of our Board of Directors reviews and discusses with the independent valuation firms the valuation reports, and then makes a recommendation to the Board of Directors of the value for each investment.
|
|
4.
|
The Board of Directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of the Investment Adviser, the respective independent valuation firm and the Audit Committee.
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||
|
|
Cost
|
|
Fair Value
|
|
Cost
|
|
Fair Value
|
||||||||
|
Revolving Line of Credit
|
$
|
8,850
|
|
|
$
|
8,850
|
|
|
$
|
13,274
|
|
|
$
|
13,274
|
|
|
Senior Secured Debt
|
3,259,769
|
|
|
3,132,687
|
|
|
3,072,839
|
|
|
2,941,722
|
|
||||
|
Subordinated Secured Debt
|
1,189,830
|
|
|
1,189,272
|
|
|
1,228,598
|
|
|
1,209,604
|
|
||||
|
Subordinated Unsecured Debt
|
76,751
|
|
|
68,966
|
|
|
75,878
|
|
|
68,358
|
|
||||
|
Small Business Loans
|
15,810
|
|
|
15,206
|
|
|
14,603
|
|
|
14,215
|
|
||||
|
CLO Residual Interest
|
1,128,530
|
|
|
1,031,122
|
|
|
1,083,540
|
|
|
1,009,696
|
|
||||
|
Equity
|
621,654
|
|
|
663,493
|
|
|
602,368
|
|
|
640,839
|
|
||||
|
Total Investments
|
$
|
6,301,194
|
|
|
$
|
6,109,596
|
|
|
$
|
6,091,100
|
|
|
$
|
5,897,708
|
|
|
•
|
Senior Secured Debt includes investments listed on the SOI such as senior secured term loans, senior term loans, secured promissory notes, senior demand notes, and first lien term loans.
|
|
•
|
Subordinated Secured Debt includes investments listed on the SOI such as subordinated secured term loans, subordinated term loans, senior subordinated notes, and second lien term loans.
|
|
•
|
Subordinated Unsecured Debt includes investments listed on the SOI such as subordinated unsecured notes and senior unsecured notes.
|
|
•
|
Small Business Loans includes our investments in small business whole loans purchased from OnDeck.
|
|
•
|
CLO Residual Interest includes our investments in the “equity” class of security of CLO funds such as income notes, preference shares, and subordinated notes.
|
|
•
|
Equity, unless specifically stated otherwise, includes our investments in preferred stock, common stock, membership interests, net profits interests, net operating income interests, net revenue interests, overriding royalty interests, escrows receivable, and warrants.
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Revolving Line of Credit
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,850
|
|
|
$
|
8,850
|
|
|
Senior Secured Debt
|
—
|
|
|
—
|
|
|
3,132,687
|
|
|
3,132,687
|
|
||||
|
Subordinated Secured Debt
|
—
|
|
|
—
|
|
|
1,189,272
|
|
|
1,189,272
|
|
||||
|
Subordinated Unsecured Debt
|
—
|
|
|
—
|
|
|
68,966
|
|
|
68,966
|
|
||||
|
Small Business Loans
|
—
|
|
|
—
|
|
|
15,206
|
|
|
15,206
|
|
||||
|
CLO Residual Interest
|
—
|
|
|
—
|
|
|
1,031,122
|
|
|
1,031,122
|
|
||||
|
Equity
|
—
|
|
|
—
|
|
|
663,493
|
|
|
663,493
|
|
||||
|
Total Investments
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,109,596
|
|
|
$
|
6,109,596
|
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Revolving Line of Credit
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
13,274
|
|
|
$
|
13,274
|
|
|
Senior Secured Debt
|
—
|
|
|
—
|
|
|
2,941,722
|
|
|
2,941,722
|
|
||||
|
Subordinated Secured Debt
|
—
|
|
|
—
|
|
|
1,209,604
|
|
|
1,209,604
|
|
||||
|
Subordinated Unsecured Debt
|
—
|
|
|
—
|
|
|
68,358
|
|
|
68,358
|
|
||||
|
Small Business Loans
|
—
|
|
|
—
|
|
|
14,215
|
|
|
14,215
|
|
||||
|
CLO Residual Interest
|
—
|
|
|
—
|
|
|
1,009,696
|
|
|
1,009,696
|
|
||||
|
Equity
|
—
|
|
|
—
|
|
|
640,839
|
|
|
640,839
|
|
||||
|
Total Investments
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,897,708
|
|
|
$
|
5,897,708
|
|
|
|
Fair Value Measurements Using Unobservable Inputs (Level 3)
|
||||||||||||||
|
|
Control
Investments
|
|
Affiliate
Investments
|
|
Non-Control/
Non-Affiliate
Investments
|
|
Total
|
||||||||
|
Fair value as of June 30, 2016
|
$
|
1,752,449
|
|
|
$
|
11,320
|
|
|
$
|
4,133,939
|
|
|
$
|
5,897,708
|
|
|
Net realized gains (losses) on investments
|
5
|
|
|
137
|
|
|
(363
|
)
|
|
(221
|
)
|
||||
|
Net change in unrealized appreciation (depreciation)
|
13,366
|
|
|
(2,126
|
)
|
|
(9,446
|
)
|
|
1,794
|
|
||||
|
Net realized and unrealized gains (losses)
|
13,371
|
|
|
(1,989
|
)
|
|
(9,809
|
)
|
|
1,573
|
|
||||
|
Purchases of portfolio investments
|
115,100
|
|
|
—
|
|
|
226,611
|
|
|
341,711
|
|
||||
|
Payment-in-kind interest
|
4,080
|
|
|
—
|
|
|
1,359
|
|
|
5,439
|
|
||||
|
Amortization of discounts and premiums, net
|
—
|
|
|
—
|
|
|
(23,439
|
)
|
|
(23,439
|
)
|
||||
|
Repayments and sales of portfolio investments
|
(17,177
|
)
|
|
(2,365
|
)
|
|
(93,854
|
)
|
|
(113,396
|
)
|
||||
|
Transfers within Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Transfers in (out) of Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Fair value as of September 30, 2016
|
$
|
1,867,823
|
|
|
$
|
6,966
|
|
|
$
|
4,234,807
|
|
|
$
|
6,109,596
|
|
|
|
Revolving Line of Credit
|
|
Senior Secured
Debt |
|
Subordinated Secured Debt
|
|
Subordinated Unsecured Debt
|
|
Small Business Loans
|
|
CLO
Debt |
|
CLO
Residual Interest |
|
Equity
|
|
Total
|
||||||||||||||||||
|
Fair value as of June 30, 2016
|
$
|
13,274
|
|
|
$
|
2,941,722
|
|
|
$
|
1,209,604
|
|
|
$
|
68,358
|
|
|
$
|
14,215
|
|
|
$
|
—
|
|
|
$
|
1,009,696
|
|
|
$
|
640,839
|
|
|
$
|
5,897,708
|
|
|
Net realized (losses) gains on investments
|
—
|
|
|
240
|
|
|
139
|
|
|
5
|
|
|
(740
|
)
|
|
—
|
|
|
—
|
|
|
135
|
|
|
(221
|
)
|
|||||||||
|
Net change in unrealized (depreciation) appreciation
|
—
|
|
|
4,035
|
|
|
18,435
|
|
|
(266
|
)
|
|
(217
|
)
|
|
—
|
|
|
(23,564
|
)
|
|
3,371
|
|
|
1,794
|
|
|||||||||
|
Net realized and unrealized (losses) gains
|
—
|
|
|
4,275
|
|
|
18,574
|
|
|
(261
|
)
|
|
(957
|
)
|
|
—
|
|
|
(23,564
|
)
|
|
3,506
|
|
|
1,573
|
|
|||||||||
|
Purchases of portfolio investments
|
3,000
|
|
|
204,649
|
|
|
24,899
|
|
|
—
|
|
|
14,777
|
|
|
—
|
|
|
69,060
|
|
|
25,326
|
|
|
341,711
|
|
|||||||||
|
Payment-in-kind interest
|
—
|
|
|
1,515
|
|
|
3,050
|
|
|
874
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,439
|
|
|||||||||
|
Accretion (amortization) of discounts and premiums
|
—
|
|
|
218
|
|
|
413
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24,070
|
)
|
|
—
|
|
|
(23,439
|
)
|
|||||||||
|
Repayments and sales of portfolio investments
|
(7,424
|
)
|
|
(19,692
|
)
|
|
(67,268
|
)
|
|
(5
|
)
|
|
(12,829
|
)
|
|
—
|
|
|
—
|
|
|
(6,178
|
)
|
|
(113,396
|
)
|
|||||||||
|
Transfers within Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Transfers in (out) of Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Fair value as of September 30, 2016
|
$
|
8,850
|
|
|
$
|
3,132,687
|
|
|
$
|
1,189,272
|
|
|
$
|
68,966
|
|
|
$
|
15,206
|
|
|
$
|
—
|
|
|
$
|
1,031,122
|
|
|
$
|
663,493
|
|
|
$
|
6,109,596
|
|
|
(1)
|
Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred.
|
|
|
Fair Value Measurements Using Unobservable Inputs (Level 3)
|
||||||||||||||
|
|
Control
Investments
|
|
Affiliate
Investments
|
|
Non-Control/
Non-Affiliate
Investments
|
|
Total
|
||||||||
|
Fair value as of June 30, 2015
|
$
|
1,974,202
|
|
|
$
|
45,945
|
|
|
$
|
4,589,151
|
|
|
$
|
6,609,298
|
|
|
Net realized losses on investments
|
(1
|
)
|
|
—
|
|
|
(2,384
|
)
|
|
(2,385
|
)
|
||||
|
Net change in unrealized appreciation (depreciation)
|
(40,183
|
)
|
|
105
|
|
|
(21,000
|
)
|
|
(61,078
|
)
|
||||
|
Net realized and unrealized gains (losses)
|
(40,184
|
)
|
|
105
|
|
|
(23,384
|
)
|
|
(63,463
|
)
|
||||
|
Purchases of portfolio investments
|
91,571
|
|
|
—
|
|
|
252,893
|
|
|
344,464
|
|
||||
|
Payment-in-kind interest
|
78
|
|
|
—
|
|
|
1,201
|
|
|
1,279
|
|
||||
|
Amortization of discounts and premiums, net
|
—
|
|
|
—
|
|
|
(24,072
|
)
|
|
(24,072
|
)
|
||||
|
Repayments and sales of portfolio investments
|
(12,967
|
)
|
|
(42,922
|
)
|
|
(380,717
|
)
|
|
(436,606
|
)
|
||||
|
Transfers within Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Transfers in (out) of Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Fair value as of September 30, 2015
|
$
|
2,012,700
|
|
|
$
|
3,128
|
|
|
$
|
4,415,072
|
|
|
$
|
6,430,900
|
|
|
|
Revolving Line of Credit
|
|
Senior Secured
Debt |
|
Subordinated Secured Debt
|
|
Subordinated Unsecured Debt
|
|
Small Business Loans
|
|
CLO
Debt |
|
CLO
Residual Interest |
|
Equity
|
|
Total
|
||||||||||||||||||
|
Fair value as of June 30, 2015
|
$
|
30,546
|
|
|
$
|
3,533,447
|
|
|
$
|
1,205,303
|
|
|
$
|
144,271
|
|
|
$
|
50,892
|
|
|
$
|
32,398
|
|
|
$
|
1,113,023
|
|
|
$
|
499,418
|
|
|
$
|
6,609,298
|
|
|
Net realized (losses) gains on investments
|
—
|
|
|
—
|
|
|
(144
|
)
|
|
(1
|
)
|
|
(2,424
|
)
|
|
—
|
|
|
—
|
|
|
184
|
|
|
(2,385
|
)
|
|||||||||
|
Net change in unrealized (depreciation) appreciation
|
—
|
|
|
(696
|
)
|
|
(7,572
|
)
|
|
(875
|
)
|
|
(1,770
|
)
|
|
252
|
|
|
(13,306
|
)
|
|
(37,111
|
)
|
|
(61,078
|
)
|
|||||||||
|
Net realized and unrealized (losses) gains
|
—
|
|
|
(696
|
)
|
|
(7,716
|
)
|
|
(876
|
)
|
|
(4,194
|
)
|
|
252
|
|
|
(13,306
|
)
|
|
(36,927
|
)
|
|
(63,463
|
)
|
|||||||||
|
Purchases of portfolio investments
|
3,400
|
|
|
180,193
|
|
|
22,620
|
|
|
—
|
|
|
22,952
|
|
|
—
|
|
|
96,620
|
|
|
18,679
|
|
|
344,464
|
|
|||||||||
|
Payment-in-kind interest
|
—
|
|
|
999
|
|
|
(173
|
)
|
|
453
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,279
|
|
|||||||||
|
Accretion (amortization) of discounts and premiums
|
—
|
|
|
66
|
|
|
297
|
|
|
—
|
|
|
—
|
|
|
132
|
|
|
(24,567
|
)
|
|
—
|
|
|
(24,072
|
)
|
|||||||||
|
Repayments and sales of portfolio investments
|
(24,296
|
)
|
|
(246,602
|
)
|
|
(38,215
|
)
|
|
(72,700
|
)
|
|
(52,676
|
)
|
|
—
|
|
|
—
|
|
|
(2,117
|
)
|
|
(436,606
|
)
|
|||||||||
|
Transfers within Level 3(1)
|
—
|
|
|
8,360
|
|
|
(60,230
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
51,870
|
|
|
—
|
|
|||||||||
|
Transfers in (out) of Level 3(1)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
|
Fair value as of September 30, 2015
|
$
|
9,650
|
|
|
$
|
3,475,767
|
|
|
$
|
1,121,886
|
|
|
$
|
71,148
|
|
|
$
|
16,974
|
|
|
$
|
32,782
|
|
|
$
|
1,171,770
|
|
|
$
|
530,923
|
|
|
$
|
6,430,900
|
|
|
(1)
|
Transfers are assumed to have occurred at the beginning of the quarter during which the asset was transferred.
|
|
|
|
|
|
|
|
Unobservable Input
|
||||||
|
Asset Category
|
|
Fair Value
|
|
Primary Valuation Technique
|
|
Input
|
|
Range
|
|
Weighted
Average
|
||
|
Senior Secured Debt
|
|
$
|
2,274,188
|
|
|
Discounted Cash Flow
(Yield analysis)
|
|
Market Yield
|
|
5.1%-24.5%
|
|
11.2%
|
|
Senior Secured Debt
|
|
116,288
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
4.5x-10.5x
|
|
6.5x
|
|
|
Senior Secured Debt
|
|
58,926
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Revenue Multiple
|
|
0.3x-0.7x
|
|
0.6x
|
|
|
Senior Secured Debt
|
|
31,055
|
|
|
Enterprise Value Waterfall (Discounted cash flow)
|
|
Discount Rate
|
|
6.2%-8.2%
|
|
7.2%
|
|
|
Senior Secured Debt
|
|
16,963
|
|
|
Liquidation Analysis
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
Senior Secured Debt (1)
|
|
360,145
|
|
|
Enterprise Value Waterfall
|
|
Loss-adjusted discount rate
|
|
3.0%-16.1%
|
|
11.5%
|
|
|
Senior Secured Debt (2)
|
|
283,972
|
|
|
Enterprise Value Waterfall (NAV Analysis)
|
|
Capitalization Rate
|
|
3.4%-8.3%
|
|
5.9%
|
|
|
|
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
||
|
Subordinated Secured Debt
|
|
836,743
|
|
|
Discounted Cash Flow
(Yield Analysis)
|
|
Market Yield
|
|
5.1%-28.3%
|
|
12.4%
|
|
|
Subordinated Secured Debt
|
|
28,622
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
7.0x-8.0x
|
|
7.5x
|
|
|
Subordinated Secured Debt (3)
|
|
323,907
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Book Value Multiple
|
|
1.2x-3.7x
|
|
2.5x
|
|
|
|
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Earnings Multiple
|
|
7.0x-11.0x
|
|
10.2x
|
||
|
Subordinated Unsecured Debt
|
|
61,890
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
6.0x-11.9x
|
|
9.4x
|
|
|
Subordinated Unsecured Debt
|
|
7,076
|
|
|
Relative Value (Yield analysis)
|
|
Market yield
|
|
26.7%-30.4%
|
|
28.6%
|
|
|
Small Business Loans (4)
|
|
15,206
|
|
|
Discounted Cash Flow
|
|
Loss-Adjusted Discount Rate
|
|
10.9%-31.6%
|
|
27.4%
|
|
|
CLO Residual Interest
|
|
1,031,122
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
15.0%-23.2%
|
|
17.2%
|
|
|
Preferred Equity
|
|
76,064
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Revenue Multiple
|
|
1.9x-2.4x
|
|
2.1x
|
|
|
Common Equity/Interests/Warrants
|
|
47,741
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
4.0x-9.0x
|
|
6.6x
|
|
|
Common Equity/Interests/Warrants
|
|
21,650
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Revenue Multiple
|
|
0.3x-1.8x
|
|
1.4x
|
|
|
Common Equity/Interests/Warrants (1)
|
|
56,440
|
|
|
Enterprise Value Waterfall
|
|
Loss-adjusted discount rate
|
|
3.0%-16.1%
|
|
11.5%
|
|
|
Common Equity/Interests/Warrants (2)
|
|
211,070
|
|
|
Enterprise Value Waterfall (NAV analysis)
|
|
Capitalization Rate
|
|
3.4%-8.3%
|
|
5.9%
|
|
|
|
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
||
|
Common Equity/Interests/Warrants (3)
|
|
125,307
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Book Value Multiple
|
|
1.2x-3.7x
|
|
2.3x
|
|
|
|
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Earnings Multiple
|
|
7.0x-11.0x
|
|
9.9x
|
||
|
Common Equity/Interests/Warrants (5)
|
|
68,362
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
|
|
Common Equity/Interests/Warrants
|
|
23,988
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-8.5%
|
|
7.5%
|
|
|
Common Equity/Interests/Warrants
|
|
4,069
|
|
|
Discounted Cash Flow
(Yield analysis)
|
|
Market Yield
|
|
16.0%-18.0%
|
|
17.0%
|
|
|
Common Equity/Interests/Warrants
|
|
26,687
|
|
|
Liquidation Analysis
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
Escrow Receivable
|
|
2,115
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.3%-7.4%
|
|
6.9%
|
|
|
Total Level 3 Investments
|
|
$
|
6,109,596
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Represents an investment in a Real Estate Investment subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. In addition, the valuation also used projected loss rates as an unobservable input ranging from 0.61%-24.23%, with a weighted average of 10.41%.
|
|
(2)
|
Represents our REIT investments. EV waterfall methodology uses both the net asset value analysis and discounted cash flow analysis, which are weighted equally (50%).
|
|
(3)
|
Represents investments in consumer finance subsidiaries. The enterprise value waterfall methodology utilizes book value and earnings multiples, as noted above. In addition, the valuation of certain consumer finance companies utilizes the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies each observable input (book value multiple, earnings multiple and discount rate) is weighted equally. For these companies the discount rate ranged from 14.5% to 18.0% with a weighted average of 15.6%.
|
|
(4)
|
Includes our investments in small business whole loans purchased from OnDeck. Valuation also used projected loss rates as an unobservable input ranging from 0.37%-4.06%, with a weighted average of 0.84%.
|
|
(5)
|
Represents net operating income interests in our REIT investments.
|
|
|
|
|
|
|
|
Unobservable Input
|
||||||
|
Asset Category
|
|
Fair Value
|
|
Primary Valuation Technique
|
|
Input
|
|
Range
|
|
Weighted
Average
|
||
|
Senior Secured Debt
|
|
$
|
2,167,389
|
|
|
Discounted Cash Flow
(Yield analysis)
|
|
Market Yield
|
|
5.3%-27.6%
|
|
11.6%
|
|
Senior Secured Debt
|
|
115,893
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
4.5x-6.8x
|
|
5.9x
|
|
|
Senior Secured Debt
|
|
64,418
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Revenue Multiple
|
|
0.4x-0.6x
|
|
0.5x
|
|
|
Senior Secured Debt
|
|
37,856
|
|
|
Enterprise Value Waterfall (Discounted cash flow)
|
|
Discount Rate
|
|
6.5%-8.5%
|
|
7.5%
|
|
|
Senior Secured Debt
|
|
7,972
|
|
|
Liquidation Analysis
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
Senior Secured Debt (1)
|
|
99,972
|
|
|
Enterprise Value Waterfall
|
|
Loss-adjusted discount rate
|
|
3.0%-18.0%
|
|
13.5%
|
|
|
Senior Secured Debt (2)
|
|
461,496
|
|
|
Enterprise Value Waterfall (NAV Analysis)
|
|
Capitalization Rate
|
|
3.4%-8.3%
|
|
5.9%
|
|
|
|
|
|
|
Enterprise Value Waterfall (Income approach)
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
||
|
Subordinated Secured Debt
|
|
871,593
|
|
|
Discounted Cash Flow
(Yield Analysis)
|
|
Market Yield
|
|
5.3%-25.7%
|
|
12.6%
|
|
|
Subordinated Secured Debt
|
|
28,622
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
7.0x-8.0x
|
|
7.5x
|
|
|
Subordinated Secured Debt (3)
|
|
309,389
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Book Value Multiple
|
|
1.2x-3.7x
|
|
2.5x
|
|
|
|
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Earnings Multiple
|
|
7.0x-11.0x
|
|
10.2x
|
||
|
Subordinated Unsecured Debt
|
|
30,781
|
|
|
Discounted Cash Flow
(Yield Analysis)
|
|
Market Yield
|
|
14.1%-71.9%
|
|
28.9%
|
|
|
Subordinated Unsecured Debt
|
|
37,577
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
5.8x-8.5x
|
|
7.7x
|
|
|
Small Business Loans (4)
|
|
14,215
|
|
|
Discounted Cash Flow
|
|
Loss-Adjusted Discount Rate
|
|
12.7%-33.6%
|
|
21.8%
|
|
|
CLO Residual Interest
|
|
1,009,696
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
15.6%-23.9%
|
|
18.0%
|
|
|
Preferred Equity (6)
|
|
76,081
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
4.5x-7.0x
|
|
6.7x
|
|
|
Preferred Equity
|
|
2,842
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.2%-7.3%
|
|
6.8%
|
|
|
Common Equity/Interests/Warrants (7)
|
|
92,391
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
EBITDA Multiple
|
|
4.8x-9.0x
|
|
6.0x
|
|
|
Common Equity/Interests/Warrants (2)
|
|
215,490
|
|
|
Enterprise Value Waterfall (NAV analysis)
|
|
Capitalization Rate
|
|
3.4%-8.3%
|
|
5.9%
|
|
|
|
|
|
|
Enterprise Value Waterfall (Income approach)
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
||
|
Common Equity/Interests/Warrants (3)
|
|
127,727
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Book Value Multiple
|
|
1.2x-3.7x
|
|
2.3x
|
|
|
|
|
|
|
Enterprise Value Waterfall (Market approach)
|
|
Earnings Multiple
|
|
7.0x-11.0x
|
|
10.0x
|
||
|
Common Equity/Interests/Warrants (5)
|
|
66,973
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-7.5%
|
|
7.0%
|
|
|
Common Equity/Interests/Warrants
|
|
22,965
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.5%-8.5%
|
|
7.5%
|
|
|
Common Equity/Interests/Warrants
|
|
3,616
|
|
|
Discounted Cash Flow
(Yield analysis)
|
|
Market Yield
|
|
16.0%-18.0%
|
|
17.0%
|
|
|
Common Equity/Interests/Warrants
|
|
26,638
|
|
|
Liquidation Analysis
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
Escrow Receivable
|
|
6,116
|
|
|
Discounted Cash Flow
|
|
Discount Rate
|
|
6.2%-7.5%
|
|
6.8%
|
|
|
Total Level 3 Investments
|
|
$
|
5,897,708
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Represents an investment in a Real Estate Investment subsidiary. The Enterprise Value analysis includes the fair value of our investments in such indirect subsidiary’s consumer loans purchased from online consumer lending platforms, which are valued using a discounted cash flow valuation technique. The key unobservable input to the discounted cash flow analysis is noted above. In addition, the valuation also used projected loss rates as an unobservable input ranging from 1.07%-24.50%, with a weighted average of 10.58%.
|
|
(2)
|
Represents our REIT investments. EV waterfall methodology uses both the net asset value analysis and discounted cash flow analysis, which are weighted equally (50%).
|
|
(3)
|
Represents investments in consumer finance subsidiaries. The enterprise value waterfall methodology utilizes book value and earnings multiples, as noted above. In addition, the valuation of certain consumer finance companies utilizes the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies each observable input (book value multiple, earnings multiple and discount rate) is weighted equally. For these companies the discount rate ranged from 14.5% to 18.0% with a weighted average of 15.7%.
|
|
(4)
|
Includes our investments in small business whole loans purchased from OnDeck. Valuation also used projected loss rates as an unobservable input ranging from 0.71%-5.25%, with a weighted average of 1.22%.
|
|
(5)
|
Represents net operating income interests in our REIT investments.
|
|
(6)
|
In addition, the valuation of certain controlled energy companies utilizes the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies each observable input is weighted equally. For these companies the discounted rate ranged from 20.0% to 21.0% with a weighted average of 20.5%.
|
|
(7)
|
In addition, the valuation of certain energy companies utilizes the discounted cash flow technique whereby the significant unobservable input is the discount rate. For these companies each observable input is weighted equally. For these companies the discounted rate ranged from 20.5% to 21.5% with a weighted average of 21.0%.
|
|
Loan Type
|
Outstanding Principal Balance
|
Fair Value
|
Interest Rate Range
|
Weighted Average Interest Rate*
|
||||
|
Super Prime
|
$
|
61,017
|
|
$
|
59,361
|
|
4.0% - 34.0%
|
11.7%
|
|
Prime
|
174,112
|
|
166,602
|
|
5.3% - 36.0%
|
15.2%
|
||
|
Near Prime
|
527,613
|
|
502,369
|
|
6.0% - 36.0%
|
26.5%
|
||
|
No.
|
|
Property Name
|
|
City
|
|
Acquisition
Date |
|
Purchase
Price |
|
Mortgage
Outstanding |
||||
|
1
|
|
Filet of Chicken
|
|
Forest Park, GA
|
|
10/24/2012
|
|
$
|
7,400
|
|
|
$
|
—
|
|
|
2
|
|
1557 Terrell Mill Road, LLC
|
|
Marietta, GA
|
|
12/28/2012
|
|
23,500
|
|
|
14,829
|
|
||
|
3
|
|
5100 Live Oaks Blvd, LLC
|
|
Tampa, FL
|
|
1/17/2013
|
|
63,400
|
|
|
46,700
|
|
||
|
4
|
|
Lofton Place, LLC
|
|
Tampa, FL
|
|
4/30/2013
|
|
26,000
|
|
|
20,389
|
|
||
|
5
|
|
Arlington Park Marietta, LLC
|
|
Marietta, GA
|
|
5/8/2013
|
|
14,850
|
|
|
9,650
|
|
||
|
6
|
|
NPRC Carroll Resort, LLC
|
|
Pembroke Pines, FL
|
|
6/24/2013
|
|
225,000
|
|
|
181,214
|
|
||
|
7
|
|
APH Carroll 41, LLC
|
|
Marietta, GA
|
|
11/1/2013
|
|
30,600
|
|
|
32,594
|
|
||
|
8
|
|
Cordova Regency, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
13,750
|
|
|
11,375
|
|
||
|
9
|
|
Crestview at Oakleigh, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
17,500
|
|
|
13,845
|
|
||
|
10
|
|
Inverness Lakes, LLC
|
|
Mobile, AL
|
|
11/15/2013
|
|
29,600
|
|
|
24,700
|
|
||
|
11
|
|
Kings Mill Pensacola, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
20,750
|
|
|
17,550
|
|
||
|
12
|
|
Plantations at Pine Lake, LLC
|
|
Tallahassee, FL
|
|
11/15/2013
|
|
18,000
|
|
|
14,092
|
|
||
|
13
|
|
Verandas at Rocky Ridge, LLC
|
|
Birmingham, AL
|
|
11/15/2013
|
|
15,600
|
|
|
10,205
|
|
||
|
14
|
|
Matthews Reserve II, LLC
|
|
Matthews, NC
|
|
11/19/2013
|
|
22,063
|
|
|
19,957
|
|
||
|
15
|
|
City West Apartments II, LLC
|
|
Orlando, FL
|
|
11/19/2013
|
|
23,562
|
|
|
23,339
|
|
||
|
16
|
|
Vinings Corner II, LLC
|
|
Smyrna, GA
|
|
11/19/2013
|
|
35,691
|
|
|
33,006
|
|
||
|
17
|
|
Uptown Park Apartments II, LLC
|
|
Altamonte Springs, FL
|
|
11/19/2013
|
|
36,590
|
|
|
29,832
|
|
||
|
18
|
|
Mission Gate II, LLC
|
|
Plano, TX
|
|
11/19/2013
|
|
47,621
|
|
|
41,695
|
|
||
|
19
|
|
St. Marin Apartments II, LLC
|
|
Coppell, TX
|
|
11/19/2013
|
|
73,078
|
|
|
62,526
|
|
||
|
20
|
|
Atlanta Eastwood Village LLC
|
|
Stockbridge, GA
|
|
12/12/2013
|
|
25,957
|
|
|
19,785
|
|
||
|
21
|
|
Atlanta Monterey Village LLC
|
|
Jonesboro, GA
|
|
12/12/2013
|
|
11,501
|
|
|
9,193
|
|
||
|
22
|
|
Atlanta Hidden Creek LLC
|
|
Morrow, GA
|
|
12/12/2013
|
|
5,098
|
|
|
3,619
|
|
||
|
23
|
|
Atlanta Meadow Springs LLC
|
|
College Park, GA
|
|
12/12/2013
|
|
13,116
|
|
|
10,180
|
|
||
|
24
|
|
Atlanta Meadow View LLC
|
|
College Park, GA
|
|
12/12/2013
|
|
14,354
|
|
|
11,141
|
|
||
|
25
|
|
Atlanta Peachtree Landing LLC
|
|
Fairburn, GA
|
|
12/12/2013
|
|
17,224
|
|
|
13,575
|
|
||
|
26
|
|
APH Carroll Bartram Park, LLC
|
|
Jacksonville, FL
|
|
12/31/2013
|
|
38,000
|
|
|
27,990
|
|
||
|
27
|
|
Plantations at Hillcrest, LLC
|
|
Mobile, AL
|
|
1/17/2014
|
|
6,930
|
|
|
4,858
|
|
||
|
28
|
|
Crestview at Cordova, LLC
|
|
Pensacola, FL
|
|
1/17/2014
|
|
8,500
|
|
|
8,086
|
|
||
|
29
|
|
APH Carroll Atlantic Beach, LLC
|
|
Atlantic Beach, FL
|
|
1/31/2014
|
|
13,025
|
|
|
8,728
|
|
||
|
30
|
|
Taco Bell, OK
|
|
Yukon, OK
|
|
6/4/2014
|
|
1,719
|
|
|
—
|
|
||
|
31
|
|
Taco Bell, MO
|
|
Marshall, MO
|
|
6/4/2014
|
|
1,405
|
|
|
—
|
|
||
|
32
|
|
23 Mile Road Self Storage, LLC
|
|
Chesterfield, MI
|
|
8/19/2014
|
|
5,804
|
|
|
4,350
|
|
||
|
33
|
|
36th Street Self Storage, LLC
|
|
Wyoming, MI
|
|
8/19/2014
|
|
4,800
|
|
|
3,600
|
|
||
|
34
|
|
Ball Avenue Self Storage, LLC
|
|
Grand Rapids, MI
|
|
8/19/2014
|
|
7,281
|
|
|
5,460
|
|
||
|
35
|
|
Ford Road Self Storage, LLC
|
|
Westland, MI
|
|
8/29/2014
|
|
4,642
|
|
|
3,480
|
|
||
|
36
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Ann Arbor, MI
|
|
8/29/2014
|
|
4,458
|
|
|
3,345
|
|
||
|
37
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Ann Arbor, MI
|
|
8/29/2014
|
|
8,927
|
|
|
6,695
|
|
||
|
38
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Kalamazoo, MI
|
|
8/29/2014
|
|
2,363
|
|
|
1,775
|
|
||
|
39
|
|
Canterbury Green Apartments Holdings LLC
|
|
Fort Wayne, IN
|
|
9/29/2014
|
|
85,500
|
|
|
74,258
|
|
||
|
No.
|
|
Property Name
|
|
City
|
|
Acquisition
Date |
|
Purchase
Price |
|
Mortgage
Outstanding |
||||
|
40
|
|
Abbie Lakes OH Partners, LLC
|
|
Canal Winchester, OH
|
|
9/30/2014
|
|
12,600
|
|
|
10,440
|
|
||
|
41
|
|
Kengary Way OH Partners, LLC
|
|
Reynoldsburg, OH
|
|
9/30/2014
|
|
11,500
|
|
|
11,000
|
|
||
|
42
|
|
Lakeview Trail OH Partners, LLC
|
|
Canal Winchester, OH
|
|
9/30/2014
|
|
26,500
|
|
|
20,142
|
|
||
|
43
|
|
Lakepoint OH Partners, LLC
|
|
Pickerington, OH
|
|
9/30/2014
|
|
11,000
|
|
|
10,080
|
|
||
|
44
|
|
Sunbury OH Partners, LLC
|
|
Columbus, OH
|
|
9/30/2014
|
|
13,000
|
|
|
10,480
|
|
||
|
45
|
|
Heatherbridge OH Partners, LLC
|
|
Blacklick, OH
|
|
9/30/2014
|
|
18,416
|
|
|
15,480
|
|
||
|
46
|
|
Jefferson Chase OH Partners, LLC
|
|
Blacklick, OH
|
|
9/30/2014
|
|
13,551
|
|
|
12,240
|
|
||
|
47
|
|
Goldenstrand OH Partners, LLC
|
|
Hilliard, OH
|
|
10/29/2014
|
|
7,810
|
|
|
8,040
|
|
||
|
48
|
|
Jolly Road Self Storage, LLC
|
|
Okemos, MI
|
|
1/16/2015
|
|
7,492
|
|
|
5,620
|
|
||
|
49
|
|
Eaton Rapids Road Self Storage, LLC
|
|
Lansing West, MI
|
|
1/16/2015
|
|
1,741
|
|
|
1,305
|
|
||
|
50
|
|
Haggerty Road Self Storage, LLC
|
|
Novi, MI
|
|
1/16/2015
|
|
6,700
|
|
|
5,025
|
|
||
|
51
|
|
Waldon Road Self Storage, LLC
|
|
Lake Orion, MI
|
|
1/16/2015
|
|
6,965
|
|
|
5,225
|
|
||
|
52
|
|
Tyler Road Self Storage, LLC
|
|
Ypsilanti, MI
|
|
1/16/2015
|
|
3,507
|
|
|
2,630
|
|
||
|
53
|
|
SSIL I, LLC
|
|
Aurora, IL
|
|
11/5/2015
|
|
34,500
|
|
|
26,450
|
|
||
|
54
|
|
Vesper Tuscaloosa, LLC
|
|
Tuscaloosa, AL
|
|
9/28/2016
|
|
54,500
|
|
|
41,250
|
|
||
|
55
|
|
Vesper Iowa City, LLC
|
|
Iowa City, IA
|
|
9/28/2016
|
|
32,750
|
|
|
24,825
|
|
||
|
56
|
|
Vesper Corpus Christi, LLC
|
|
Corpus Christi, TX
|
|
9/28/2016
|
|
14,250
|
|
|
10,800
|
|
||
|
57
|
|
Vesper Campus Quarters, LLC
|
|
Corpus Christi, TX
|
|
9/28/2016
|
|
18,350
|
|
|
14,175
|
|
||
|
58
|
|
Vesper College Station, LLC
|
|
College Station, TX
|
|
9/28/2016
|
|
41,500
|
|
|
32,058
|
|
||
|
58
|
|
Vesper Kennesaw, LLC
|
|
Kennesaw, GA
|
|
9/28/2016
|
|
57,900
|
|
|
44,727
|
|
||
|
60
|
|
Vesper Statesboro, LLC
|
|
Statesboro, GA
|
|
9/28/2016
|
|
7,500
|
|
|
6,087
|
|
||
|
61
|
|
Vesper Manhattan KS, LLC
|
|
Manhattan, KS
|
|
9/28/2016
|
|
23,250
|
|
|
18,460
|
|
||
|
|
|
|
|
|
|
|
|
$
|
1,450,441
|
|
|
$
|
1,164,155
|
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||
|
Balance Sheet Data
|
|
|
|
||||
|
Cash and cash equivalents
|
$
|
89,750
|
|
|
$
|
74,691
|
|
|
Real estate, net
|
1,341,436
|
|
|
1,100,548
|
|
||
|
Unsecured consumer loans at fair value
|
728,332
|
|
|
674,423
|
|
||
|
Other assets
|
46,673
|
|
|
31,575
|
|
||
|
Mortgages payable
|
1,153,897
|
|
|
962,784
|
|
||
|
Revolving credit facilities
|
377,096
|
|
|
364,030
|
|
||
|
Notes payable, due to Prospect or Affiliate
|
642,052
|
|
|
561,282
|
|
||
|
Other liabilities
|
42,830
|
|
|
32,118
|
|
||
|
Total equity
|
(9,684
|
)
|
|
(38,977
|
)
|
||
|
|
Three Months Ended September 30, 2016
|
|
Three Months Ended September 30, 2015
|
||||
|
Summary of Operations
|
|
|
|
|
|||
|
Total revenue
|
$
|
84,714
|
|
|
$
|
62,549
|
|
|
Total expenses
|
70,995
|
|
|
55,529
|
|
||
|
Operating income
|
13,719
|
|
|
7,020
|
|
||
|
Depreciation and amortization
|
13,020
|
|
|
12,482
|
|
||
|
Fair value adjustment
|
18,707
|
|
|
10,086
|
|
||
|
Net loss
|
(18,008
|
)
|
|
(15,548
|
)
|
||
|
|
2017 Notes
|
|
|
2018 Notes
|
|
|
2019 Notes
|
|
|
2020 Notes
|
|
||||
|
Initial conversion rate(1)
|
85.8442
|
|
|
82.3451
|
|
|
79.7766
|
|
|
80.6647
|
|
||||
|
Initial conversion price
|
$
|
11.65
|
|
|
$
|
12.14
|
|
|
$
|
12.54
|
|
|
$
|
12.40
|
|
|
Conversion rate at September 30, 2016(1)(2)
|
87.7516
|
|
|
84.1497
|
|
|
79.8360
|
|
|
80.6670
|
|
||||
|
Conversion price at September
30
, 2016(2)(3)
|
$
|
11.40
|
|
|
$
|
11.88
|
|
|
$
|
12.53
|
|
|
$
|
12.40
|
|
|
Last conversion price calculation date
|
4/16/2016
|
|
|
8/14/2016
|
|
|
12/21/2015
|
|
|
4/11/2016
|
|
||||
|
Dividend threshold amount (per share)(4)
|
$
|
0.101500
|
|
|
$
|
0.101600
|
|
|
$
|
0.110025
|
|
|
$
|
0.110525
|
|
|
(1)
|
Conversion rates denominated in shares of common stock per $1 principal amount of the Convertible Notes converted.
|
|
(2)
|
Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date.
|
|
(3)
|
The conversion price in effect at
September 30, 2016
was calculated on the last anniversary of the issuance and will be adjusted again on the next anniversary, unless the exercise price shall have changed by more than 1% before the anniversary.
|
|
(4)
|
The conversion rate is increased if monthly cash dividends paid to common shares exceed the monthly dividend threshold amount, subject to adjustment. Current dividend rates are below the minimum dividend threshold amount for further conversion rate adjustments for all bonds.
|
|
Tenor at
Origination (in years) |
|
Principal
Amount |
|
Interest Rate
Range |
|
Weighted
Average Interest Rate |
|
Maturity Date Range
|
|||
|
5
|
|
$
|
17,784
|
|
|
4.63%–4.75%
|
|
4.74
|
%
|
|
July 15, 2020 – September 15, 2020
|
|
6.5
|
|
30,350
|
|
|
5.10%–5.25%
|
|
5.24
|
%
|
|
January 15, 2022 – March 15, 2022
|
|
|
|
|
$
|
48,134
|
|
|
|
|
|
|
|
|
|
Tenor at
Origination
(in years)
|
|
Principal
Amount
|
|
Interest Rate
Range
|
|
Weighted
Average
Interest Rate
|
|
Maturity Date Range
|
|||
|
3
|
|
$
|
5,710
|
|
|
4.00%
|
|
4.00
|
%
|
|
October 15, 2016
|
|
3.5
|
|
3,109
|
|
|
4.00%
|
|
4.00
|
%
|
|
April 15, 2017
|
|
|
4
|
|
45,690
|
|
|
3.75%–4.00%
|
|
3.92
|
%
|
|
November 15, 2017 – May 15, 2018
|
|
|
5
|
|
297,916
|
|
|
4.25%–5.50%
|
|
5.01
|
%
|
|
July 15, 2018 – September 15, 2021
|
|
|
5.2
|
|
4,440
|
|
|
4.63%
|
|
4.63
|
%
|
|
August 15, 2020 – September 15, 2020
|
|
|
5.3
|
|
2,686
|
|
|
4.63%
|
|
4.63
|
%
|
|
September 15, 2020
|
|
|
5.4
|
|
5,000
|
|
|
4.75%
|
|
4.75
|
%
|
|
August 15, 2019
|
|
|
5.5
|
|
109,718
|
|
|
4.25%–5.00%
|
|
4.65
|
%
|
|
February 15, 2019 – November 15, 2020
|
|
|
6
|
|
2,197
|
|
|
3.38%
|
|
3.38
|
%
|
|
April 15, 2021 – May 15, 2021
|
|
|
6.5
|
|
40,817
|
|
|
5.10%–5.50%
|
|
5.24
|
%
|
|
February 15, 2020 – May 15, 2022
|
|
|
7
|
|
192,016
|
|
|
4.00%–6.55%
|
|
5.13
|
%
|
|
June 15, 2019 – December 15, 2022
|
|
|
7.5
|
|
1,996
|
|
|
5.75%
|
|
5.75
|
%
|
|
February 15, 2021
|
|
|
10
|
|
37,519
|
|
|
3.85%–7.00%
|
|
6.13
|
%
|
|
March 15, 2022 – December 15, 2025
|
|
|
12
|
|
2,978
|
|
|
6.00%
|
|
6.00
|
%
|
|
November 15, 2025 – December 15, 2025
|
|
|
15
|
|
17,325
|
|
|
5.25%–6.00%
|
|
5.36
|
%
|
|
May 15, 2028 – November 15, 2028
|
|
|
18
|
|
22,238
|
|
|
4.13%–6.25%
|
|
5.53
|
%
|
|
December 15, 2030 – August 15, 2031
|
|
|
20
|
|
4,452
|
|
|
5.63%–6.00%
|
|
5.89
|
%
|
|
November 15, 2032 – October 15, 2033
|
|
|
25
|
|
35,015
|
|
|
6.25%–6.50%
|
|
6.39
|
%
|
|
August 15, 2038 – May 15, 2039
|
|
|
30
|
|
114,924
|
|
|
5.50%–6.75%
|
|
6.23
|
%
|
|
November 15, 2042 – October 15, 2043
|
|
|
|
|
$
|
945,746
|
|
|
|
|
|
|
|
|
|
Tenor at
Origination (in years) |
|
Principal
Amount |
|
Interest Rate
Range |
|
Weighted
Average Interest Rate |
|
Maturity Date Range
|
|||
|
3
|
|
$
|
5,710
|
|
|
4.00%
|
|
4.00
|
%
|
|
October 15, 2016
|
|
3.5
|
|
3,109
|
|
|
4.00%
|
|
4.00
|
%
|
|
April 15, 2017
|
|
|
4
|
|
45,690
|
|
|
3.75%–4.00%
|
|
3.92
|
%
|
|
November 15, 2017 – May 15, 2018
|
|
|
5
|
|
259,191
|
|
|
4.25%–5.75%
|
|
4.95
|
%
|
|
July 15, 2018 – June 15, 2021
|
|
|
5.20
|
|
4,440
|
|
|
4.63%
|
|
4.63
|
%
|
|
August 15, 2020 – September 15, 2020
|
|
|
5.3
|
|
2,686
|
|
|
4.63%
|
|
4.63
|
%
|
|
September 15, 2020
|
|
|
5
|
|
5,000
|
|
|
4.75%
|
|
4.75
|
%
|
|
August 15, 2019
|
|
|
5.5
|
|
109,808
|
|
|
4.25%–5.00%
|
|
4.65
|
%
|
|
February 15, 2019 – November 15, 2020
|
|
|
6
|
|
2,197
|
|
|
3.38%
|
|
3.38
|
%
|
|
April 15, 2021 – May 15, 2021
|
|
|
6.5
|
|
40,867
|
|
|
5.10%–5.50%
|
|
5.24
|
%
|
|
February 15, 2020 – May 15, 2022
|
|
|
7.0
|
|
192,076
|
|
|
4.00%–6.55%
|
|
5.13
|
%
|
|
June 15, 2019 – December 15, 2022
|
|
|
7.5
|
|
1,996
|
|
|
5.75%
|
|
5.75
|
%
|
|
February 15, 2021
|
|
|
10
|
|
37,533
|
|
|
3.62%–7.00%
|
|
6.11
|
%
|
|
March 15, 2022 – December 15, 2025
|
|
|
12
|
|
2,978
|
|
|
6.00%
|
|
6.00
|
%
|
|
November 15, 2025 – December 15, 2025
|
|
|
15
|
|
17,325
|
|
|
5.25%–6.00%
|
|
5.36
|
%
|
|
May 15, 2028 – November 15, 2028
|
|
|
18
|
|
22,303
|
|
|
4.13%–6.25%
|
|
5.53
|
%
|
|
December 15, 2030 – August 15, 2031
|
|
|
20
|
|
4,462
|
|
|
5.63%–6.00%
|
|
5.89
|
%
|
|
November 15, 2032 – October 15, 2033
|
|
|
25
|
|
35,110
|
|
|
6.25%–6.50%
|
|
6.39
|
%
|
|
August 15, 2038 – May 15, 2039
|
|
|
30
|
|
116,327
|
|
|
5.50%–6.75%
|
|
6.23
|
%
|
|
November 15, 2042 – October 15, 2043
|
|
|
|
|
$
|
908,808
|
|
|
|
|
|
|
|
|
|
|
September 30, 2016
|
|
||||||||||||||||||
|
|
Principal Outstanding
|
Unamortized Discount & Debt Issuance Costs
|
Net Carrying Value
|
|
Fair Value
(1) |
|
Effective Interest Rate
|
|
||||||||||||
|
Revolving Credit Facility
(2)
|
$
|
44,000
|
|
$
|
6,834
|
|
$
|
44,000
|
|
(3
|
)
|
$
|
44,000
|
|
|
1ML+2.25%
|
|
(6
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2017 Notes
|
129,500
|
|
693
|
|
128,807
|
|
|
132,090
|
|
(4
|
)
|
5.91
|
%
|
(7
|
)
|
|||||
|
2018 Notes
|
200,000
|
|
1,860
|
|
198,140
|
|
|
205,450
|
|
(4
|
)
|
6.42
|
%
|
(7
|
)
|
|||||
|
2019 Notes
|
200,000
|
|
2,682
|
|
197,318
|
|
|
206,500
|
|
(4
|
)
|
6.51
|
%
|
(7
|
)
|
|||||
|
2020 Notes
|
392,000
|
|
8,025
|
|
383,975
|
|
|
397,880
|
|
(4
|
)
|
5.38
|
%
|
(7
|
)
|
|||||
|
Convertible Notes
|
921,500
|
|
|
|
908,240
|
|
|
941,920
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2023 Notes
|
250,000
|
|
4,528
|
|
245,472
|
|
|
250,000
|
|
(4
|
)
|
6.22
|
%
|
(7
|
)
|
|||||
|
5.00% 2019 Notes
|
300,000
|
|
2,288
|
|
297,712
|
|
|
306,975
|
|
(4
|
)
|
5.29
|
%
|
(7
|
)
|
|||||
|
2024 Notes
|
199,281
|
|
5,644
|
|
193,637
|
|
|
204,303
|
|
(4
|
)
|
6.52
|
%
|
(7
|
)
|
|||||
|
Public Notes
|
749,281
|
|
|
|
736,821
|
|
|
761,278
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Prospect Capital InterNotes
®
|
945,746
|
|
14,932
|
|
930,814
|
|
|
952,054
|
|
(5
|
)
|
5.71
|
%
|
(8
|
)
|
|||||
|
Total
|
$
|
2,660,527
|
|
|
|
$
|
2,619,875
|
|
|
$
|
2,699,252
|
|
|
|
|
|||||
|
(1)
|
As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of
September 30, 2016
.
|
|
(2)
|
The maximum draw amount of the Revolving Credit facility as of
September 30, 2016
is
$885,000
.
|
|
(3)
|
Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details.
|
|
(4)
|
We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes.
|
|
(5)
|
The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates.
|
|
(6)
|
For the Revolving Credit Facility, we have adjusted the stated rate as the fees are amortized on a straight-line method over the stated life of the obligation.
|
|
(7)
|
The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and debt issuance costs. For the 2024 Notes, the rate presented is a combined effective interest rate of the 2024 Notes and 2024 Notes Follow-on Program.
|
|
(8)
|
For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate.
|
|
|
June 30, 2016
|
|
||||||||||||||||||
|
|
Principal Outstanding
|
Unamortized Discount & Debt Issuance Costs
|
Net Carrying Value
|
|
Fair Value
(1)
|
|
Effective Interest Rate
|
|
||||||||||||
|
Revolving Credit Facility
(2)
|
$
|
—
|
|
$
|
7,525
|
|
$
|
—
|
|
(3
|
)
|
$
|
—
|
|
|
1ML+2.25%
|
|
(6
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2016 Notes
|
167,500
|
|
141
|
|
167,359
|
|
|
167,081
|
|
(4
|
)
|
6.18
|
%
|
(7
|
)
|
|||||
|
2017 Notes
|
129,500
|
|
852
|
|
128,648
|
|
|
130,762
|
|
(4
|
)
|
5.91
|
%
|
(7
|
)
|
|||||
|
2018 Notes
|
200,000
|
|
2,162
|
|
197,838
|
|
|
204,000
|
|
(4
|
)
|
6.42
|
%
|
(7
|
)
|
|||||
|
2019 Notes
|
200,000
|
|
2,952
|
|
197,048
|
|
|
202,000
|
|
(4
|
)
|
6.51
|
%
|
(7
|
)
|
|||||
|
2020 Notes
|
392,000
|
|
8,532
|
|
383,468
|
|
|
376,881
|
|
(4
|
)
|
5.38
|
%
|
(7
|
)
|
|||||
|
Convertible Notes
|
1,089,000
|
|
|
|
1,074,361
|
|
|
1,080,724
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2023 Notes
|
250,000
|
|
4,670
|
|
245,330
|
|
|
252,355
|
|
(4
|
)
|
6.22
|
%
|
(7
|
)
|
|||||
|
5.00% 2019 Notes
|
300,000
|
|
2,476
|
|
297,524
|
|
|
302,442
|
|
(4
|
)
|
5.29
|
%
|
(7
|
)
|
|||||
|
2024 Notes
|
161,380
|
|
4,866
|
|
156,514
|
|
|
159,250
|
|
(4
|
)
|
6.52
|
%
|
(7
|
)
|
|||||
|
Public Notes
|
711,380
|
|
|
|
699,368
|
|
|
714,047
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Prospect Capital InterNotes
®
|
908,808
|
|
15,597
|
|
893,211
|
|
|
894,840
|
|
(5
|
)
|
5.51
|
%
|
(8
|
)
|
|||||
|
Total
|
$
|
2,709,188
|
|
|
|
$
|
2,666,940
|
|
|
$
|
2,689,611
|
|
|
|
|
|||||
|
(1)
|
As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of
June 30, 2016
.
|
|
(2)
|
The maximum draw amount of the Revolving Credit facility as of
June 30, 2016
is
$885,000
.
|
|
(3)
|
Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Note 2 for accounting policy details.
|
|
(4)
|
We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes.
|
|
(5)
|
The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates.
|
|
(6)
|
For the Revolving Credit Facility, we have adjusted the stated rate as the fees are amortized on a straight-line method over the stated life of the obligation.
|
|
(7)
|
The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and debt issuance costs. For the 2024 Notes, the rate presented is a combined effective interest rate of the 2024 Notes and 2024 Notes Follow-on Program.
|
|
(8)
|
For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate.
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
|
Total
|
|
Less than 1 Year
|
|
1 – 3 Years
|
|
3 – 5 Years
|
|
After 5 Years
|
||||||||||
|
Revolving Credit Facility
|
$
|
44,000
|
|
|
—
|
|
|
$
|
—
|
|
|
$
|
44,000
|
|
|
$
|
—
|
|
|
|
Convertible Notes
|
921,500
|
|
|
—
|
|
|
529,500
|
|
|
392,000
|
|
|
—
|
|
|||||
|
Public Notes
|
749,281
|
|
|
—
|
|
|
300,000
|
|
|
—
|
|
|
449,281
|
|
|||||
|
Prospect Capital InterNotes®
|
945,746
|
|
|
8,819
|
|
|
270,957
|
|
|
385,415
|
|
|
280,555
|
|
|||||
|
Total Contractual Obligations
|
$
|
2,660,527
|
|
|
$
|
8,819
|
|
|
$
|
1,100,457
|
|
|
$
|
821,415
|
|
|
$
|
729,836
|
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
|
Total
|
|
Less than 1 Year
|
|
1 – 3 Years
|
|
3 – 5 Years
|
|
After 5 Years
|
||||||||||
|
Revolving Credit Facility
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Convertible Notes
|
1,089,000
|
|
|
167,500
|
|
|
529,500
|
|
|
392,000
|
|
|
—
|
|
|||||
|
Public Notes
|
711,380
|
|
|
—
|
|
|
—
|
|
|
300,000
|
|
|
411,380
|
|
|||||
|
Prospect Capital InterNotes
®
|
908,808
|
|
|
8,819
|
|
|
257,198
|
|
|
360,599
|
|
|
282,192
|
|
|||||
|
Total Contractual Obligations
|
$
|
2,709,188
|
|
|
$
|
176,319
|
|
|
$
|
786,698
|
|
|
$
|
1,052,599
|
|
|
$
|
693,572
|
|
|
Repurchases of Common Stock
|
Three Months Ended
September 30, 2015 |
||
|
Dollar amount repurchased
|
$
|
31,530
|
|
|
Shares Repurchased
|
4,358,750
|
|
|
|
Weighted average price per share
|
7.23
|
|
|
|
Weighted average discount to June 30, 2015 net asset value
|
30
|
%
|
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Amount Per Share
|
|
Amount Distributed (in thousands)
|
||||
|
5/6/2015
|
|
7/31/2015
|
|
8/20/2015
|
|
$
|
0.083330
|
|
|
$
|
29,909
|
|
|
5/6/2015
|
|
8/31/2015
|
|
9/17/2015
|
|
0.083330
|
|
|
29,605
|
|
||
|
8/24/2015
|
|
9/30/2015
|
|
10/22/2015
|
|
0.083330
|
|
|
29,601
|
|
||
|
Total declared and payable for the three months ended September 30, 2015
|
|
|
$
|
89,115
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
||||
|
5/9/2016
|
|
7/29/2016
|
|
8/18/2016
|
|
$
|
0.083330
|
|
|
$
|
29,783
|
|
|
5/9/2016
|
|
8/31/2016
|
|
9/22/2016
|
|
0.083330
|
|
|
29,809
|
|
||
|
8/25/2016
|
|
9/30/2016
|
|
10/20/2016
|
|
0.083330
|
|
|
29,836
|
|
||
|
Total declared and payable for the three months ended September 30, 2016
|
|
|
$
|
89,428
|
|
|||||||
|
•
|
$0.08333 per share for October 2016 to holders of record on October 31, 2016 with a payment date of November 17, 2016.
|
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Structuring and amendment fees (refer to Note 3)
|
$
|
4,476
|
|
|
$
|
3,642
|
|
|
Royalty and Net Revenue interests
|
1,170
|
|
|
1,903
|
|
||
|
Administrative agent fees
|
152
|
|
|
188
|
|
||
|
Total Other Income
|
$
|
5,798
|
|
|
$
|
5,733
|
|
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Net increase in net assets resulting from operations
|
$
|
81,366
|
|
|
$
|
27,817
|
|
|
Weighted average common shares outstanding
|
357,527,279
|
|
|
356,962,242
|
|
||
|
Net increase in net assets resulting from operations per share
|
$
|
0.23
|
|
|
$
|
0.08
|
|
|
|
|
Tax Year Ended August 31,
|
||||||||||
|
|
|
2016
|
|
2015
|
|
2014
|
||||||
|
Ordinary income
|
|
$
|
355,985
|
|
|
$
|
413,640
|
|
|
$
|
413,051
|
|
|
Capital gain
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Return of capital
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Total dividends paid to shareholders
|
|
$
|
355,985
|
|
|
$
|
413,640
|
|
|
$
|
413,051
|
|
|
|
|
Tax Year Ended August 31,
|
||||||||||
|
|
|
2016
|
|
2015
|
|
2014
|
||||||
|
Net increase in net assets resulting from operations
|
|
$
|
262,832
|
|
|
$
|
360,572
|
|
|
$
|
317,671
|
|
|
Net realized loss on investments
|
|
22,666
|
|
|
164,230
|
|
|
28,244
|
|
|||
|
Net unrealized (appreciation) depreciation on investments
|
|
73,181
|
|
|
(157,745
|
)
|
|
24,638
|
|
|||
|
Other temporary book-to-tax differences
|
|
(8,875
|
)
|
|
98,289
|
|
|
(9,122
|
)
|
|||
|
Permanent differences
|
|
2,489
|
|
|
2,436
|
|
|
(4,317
|
)
|
|||
|
Taxable income before deductions for distributions
|
|
$
|
352,293
|
|
|
$
|
467,782
|
|
|
$
|
357,114
|
|
|
•
|
No incentive fee in any calendar quarter in which our pre-incentive fee net investment income does not exceed the hurdle rate;
|
|
•
|
100.00% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate); and
|
|
•
|
20.00% of the amount of our pre-incentive fee net investment income, if any, that exceeds 125.00% of the quarterly hurdle rate in any calendar quarter (8.75% annualized assuming a 7.00% annualized hurdle rate).
|
|
Three Months Ended September 30, 2015
|
$
|
2,295
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
557
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
231
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
148
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
86
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
161
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,123
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
25
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
50
|
|
|
September 30, 2016
|
75
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
4,112
|
|
|
Three Months Ended September 30, 2016
|
112
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,918
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
2,872
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
876
|
|
|
Three Months Ended September 30, 2016
|
750
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
155
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
60
|
|
|
Three Months Ended September 30, 2016
|
60
|
|
|
|
June 30, 2016
|
$
|
60
|
|
|
September 30, 2016
|
60
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
96
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
2
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
(390
|
)
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,798
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
75
|
|
|
September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
75
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,857
|
|
|
Three Months Ended September 30, 2016
|
2,120
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
1,056
|
|
|
|
June 30, 2016
|
$
|
21
|
|
|
September 30, 2016
|
28
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
619
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
175
|
|
|
Three Months Ended September 30, 2016
|
175
|
|
|
|
June 30, 2016
|
$
|
175
|
|
|
September 30, 2016
|
175
|
|
|
|
June 30, 2016
|
$
|
3
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
200
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,460
|
|
|
Three Months Ended September 30, 2016
|
1,346
|
|
|
|
June 30, 2016
|
$
|
2,335
|
|
|
September 30, 2016
|
934
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
63
|
|
|
Three Months Ended September 30, 2016
|
63
|
|
|
|
June 30, 2016
|
$
|
63
|
|
|
September 30, 2016
|
63
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
120
|
|
|
Three Months Ended September 30, 2016
|
54
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
4,896
|
|
|
Three Months Ended September 30, 2016
|
6,424
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,052
|
|
|
Three Months Ended September 30, 2016
|
934
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
454
|
|
|
Three Months Ended September 30, 2016
|
874
|
|
|
|
June 30, 2016
|
$
|
639
|
|
|
September 30, 2016
|
626
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
678
|
|
|
Three Months Ended September 30, 2016
|
937
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
14,137
|
|
|
Three Months Ended September 30, 2016
|
14,423
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
347
|
|
|
Three Months Ended September 30, 2016
|
1,753
|
|
|
|
June 30, 2016
|
$
|
156
|
|
|
September 30, 2016
|
157
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
600
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
600
|
|
|
|
June 30, 2016
|
$
|
600
|
|
|
September 30, 2016
|
600
|
|
|
|
June 30, 2016
|
$
|
2
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
161
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
432
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
532
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
225
|
|
|
September 30, 2016
|
300
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
65
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
3,022
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,274
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
14
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
7,779
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
125
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
83
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,304
|
|
|
Three Months Ended September 30, 2016
|
1,307
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
140
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
440
|
|
|
September 30, 2016
|
14
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
144
|
|
|
Three Months Ended September 30, 2016
|
144
|
|
|
|
June 30, 2016
|
$
|
48
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
75
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
75
|
|
|
|
June 30, 2016
|
$
|
75
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
59
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
5,955
|
|
|
Three Months Ended September 30, 2016
|
16,044
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
703
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
174
|
|
|
September 30, 2016
|
185
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
8,155
|
|
|
Three Months Ended September 30, 2016
|
5,269
|
|
|
|
June 30, 2016
|
$
|
44
|
|
|
September 30, 2016
|
60
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
235
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
5
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
768
|
|
|
Three Months Ended September 30, 2016
|
1,170
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
1,060
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
469
|
|
|
Three Months Ended September 30, 2016
|
710
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
128
|
|
|
Three Months Ended September 30, 2016
|
325
|
|
|
|
June 30, 2016
|
$
|
210
|
|
|
September 30, 2016
|
325
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
433
|
|
|
Three Months Ended September 30, 2016
|
936
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
20
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
2
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
356
|
|
|
Three Months Ended September 30, 2016
|
1,842
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
758
|
|
|
Three Months Ended September 30, 2016
|
856
|
|
|
|
June 30, 2016
|
$
|
9
|
|
|
September 30, 2016
|
9
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
100
|
|
|
Three Months Ended September 30, 2016
|
100
|
|
|
|
June 30, 2016
|
$
|
100
|
|
|
September 30, 2016
|
100
|
|
|
|
June 30, 2016
|
$
|
4
|
|
|
September 30, 2016
|
2
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
133
|
|
|
Three Months Ended September 30, 2016
|
133
|
|
|
|
June 30, 2016
|
$
|
1
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
250
|
|
|
Three Months Ended September 30, 2016
|
250
|
|
|
|
June 30, 2016
|
$
|
3
|
|
|
September 30, 2016
|
3
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
38
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
38
|
|
|
|
June 30, 2016
|
$
|
1,100
|
|
|
September 30, 2016
|
1,163
|
|
|
|
June 30, 2016
|
$
|
2
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
75
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
731
|
|
|
Three Months Ended September 30, 2016
|
716
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
45
|
|
|
Three Months Ended September 30, 2016
|
45
|
|
|
|
June 30, 2016
|
$
|
45
|
|
|
September 30, 2016
|
45
|
|
|
|
June 30, 2016
|
$
|
1
|
|
|
September 30, 2016
|
1
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
—
|
|
|
Three Months Ended September 30, 2016
|
545
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,891
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
282
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
50
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
29
|
|
|
September 30, 2016
|
—
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
125
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
—
|
|
|
September 30, 2016
|
13
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
1,031
|
|
|
Three Months Ended September 30, 2016
|
1,102
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
474
|
|
|
Three Months Ended September 30, 2016
|
397
|
|
|
|
June 30, 2016
|
$
|
12
|
|
|
September 30, 2016
|
607
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
278
|
|
|
Three Months Ended September 30, 2016
|
280
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
66
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
3
|
|
|
September 30, 2016
|
3
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
75
|
|
|
Three Months Ended September 30, 2016
|
75
|
|
|
|
June 30, 2016
|
$
|
75
|
|
|
September 30, 2016
|
75
|
|
|
|
Three Months Ended September 30, 2015
|
$
|
9
|
|
|
Three Months Ended September 30, 2016
|
—
|
|
|
|
June 30, 2016
|
$
|
14
|
|
|
September 30, 2016
|
14
|
|
|
|
|
Three Months Ended
|
|||||||||
|
|
2016
|
|
2015
|
|
||||||
|
Per Share Data
|
|
|
|
|
||||||
|
Net asset value at beginning of period
|
$
|
9.62
|
|
|
$
|
10.31
|
|
|
||
|
Net investment income(1)
|
0.22
|
|
|
0.26
|
|
|
||||
|
Net realized losses on investments(1)
|
—
|
|
(4
|
)
|
(0.01
|
)
|
|
|||
|
Net change in unrealized appreciation (depreciation) on investments(1)
|
0.01
|
|
|
(0.17
|
)
|
|
||||
|
Net realized losses on extinguishment of debt(1)
|
—
|
|
(4
|
)
|
—
|
|
(4
|
)
|
||
|
Dividends to shareholders
|
(0.25
|
)
|
|
(0.25
|
)
|
|
||||
|
Common stock transactions(2)
|
—
|
|
(4
|
)
|
0.03
|
|
|
|||
|
Net asset value at end of period
|
$
|
9.60
|
|
|
$
|
10.17
|
|
|
||
|
|
|
|
|
|
||||||
|
Per share market value at end of period
|
$
|
8.10
|
|
|
$
|
7.13
|
|
|
||
|
Total return based on market value(3)
|
6.73
|
%
|
|
—
|
%
|
|
||||
|
Total return based on net asset value(3)
|
2.83
|
%
|
|
1.96
|
%
|
|
||||
|
Shares of common stock outstanding at end of period
|
358,042,158
|
|
|
355,222,482
|
|
|
||||
|
Weighted average shares of common stock outstanding
|
357,527,279
|
|
|
356,962,242
|
|
|
||||
|
|
|
|
|
|
||||||
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
||||
|
Net assets at end of period
|
$
|
3,435,609
|
|
|
$
|
3,614,021
|
|
|
||
|
Portfolio turnover rate
|
1.90
|
%
|
|
6.71
|
%
|
|
||||
|
Annualized ratio of operating expenses to average net assets
|
11.75
|
%
|
|
11.92
|
%
|
|
||||
|
Annualized ratio of net investment income to average net assets
|
9.19
|
%
|
|
9.98
|
%
|
|
||||
|
|
Year Ended June 30,
|
|
|||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
|
|||||||||||
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Net asset value at beginning of year
|
$
|
10.31
|
|
|
$
|
10.56
|
|
|
$
|
10.72
|
|
|
$
|
10.83
|
|
|
$
|
10.36
|
|
|
|
|
Net investment income(1)
|
1.04
|
|
|
1.03
|
|
|
1.19
|
|
|
1.57
|
|
|
1.63
|
|
|
||||||
|
Net realized (losses) gains on investments(1)
|
(0.07
|
)
|
|
(0.51
|
)
|
|
(0.01
|
)
|
|
(0.13
|
)
|
|
0.32
|
|
|
||||||
|
Net change in unrealized (depreciation) appreciation on investments(1)
|
(0.68
|
)
|
|
0.47
|
|
|
(0.12
|
)
|
|
(0.37
|
)
|
|
(0.28
|
)
|
|
||||||
|
Net realized losses on extinguishment of debt(1)
|
—
|
|
(4)
|
(0.01
|
)
|
|
—
|
|
(4)
|
—
|
|
(4
|
)
|
—
|
|
(4)
|
|||||
|
Dividends to shareholders
|
(1.00
|
)
|
|
(1.19
|
)
|
|
(1.32
|
)
|
|
(1.28
|
)
|
|
(1.22
|
)
|
|
||||||
|
Common stock transactions(2)
|
0.02
|
|
|
(0.04
|
)
|
|
0.10
|
|
|
0.10
|
|
|
0.02
|
|
|
||||||
|
Net asset value at end of year
|
$
|
9.62
|
|
|
$
|
10.31
|
|
|
$
|
10.56
|
|
|
$
|
10.72
|
|
|
$
|
10.83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Per share market value at end of year
|
$
|
7.82
|
|
|
$
|
7.37
|
|
|
$
|
10.63
|
|
|
$
|
10.80
|
|
|
$
|
11.39
|
|
|
|
|
Total return based on market value(3)
|
21.84
|
%
|
|
(20.84
|
%)
|
|
10.88
|
%
|
|
6.24
|
%
|
|
27.21
|
%
|
|
||||||
|
Total return based on net asset value(3)
|
7.15
|
%
|
|
11.47
|
%
|
|
10.97
|
%
|
|
10.91
|
%
|
|
18.03
|
%
|
|
||||||
|
Shares of common stock outstanding at end of year
|
357,107,231
|
|
|
359,090,759
|
|
|
342,626,637
|
|
|
247,836,965
|
|
|
139,633,870
|
|
|
||||||
|
Weighted average shares of common stock outstanding
|
356,134,297
|
|
|
353,648,522
|
|
|
300,283,941
|
|
|
207,069,971
|
|
|
114,394,554
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Net assets at end of year
|
$
|
3,435,917
|
|
|
$
|
3,703,049
|
|
|
$
|
3,618,182
|
|
|
$
|
2,656,494
|
|
|
$
|
1,511,974
|
|
|
|
|
Portfolio turnover rate
|
15.98
|
%
|
|
21.89
|
%
|
|
15.21
|
%
|
|
29.24
|
%
|
|
29.06
|
%
|
|
||||||
|
Annualized ratio of operating expenses to average net assets
|
11.95
|
%
|
|
11.66
|
%
|
|
11.11
|
%
|
|
11.50
|
%
|
|
10.73
|
%
|
|
||||||
|
Annualized ratio of net investment income to average net assets
|
10.54
|
%
|
|
9.87
|
%
|
|
11.18
|
%
|
|
14.86
|
%
|
|
14.92
|
%
|
|
||||||
|
(1)
|
Per share data amount is based on the weighted average number of common shares outstanding for the year/period presented (except for dividends to shareholders which is based on actual rate per share).
|
|
(2)
|
Common stock transactions include the effect of our issuance of common stock in public offerings (net of underwriting and offering costs), shares issued in connection with our dividend reinvestment plan, shares issued to acquire investments and shares repurchased below net asset value pursuant to our Repurchase Program.
|
|
(3)
|
Total return based on market value is based on the change in market price per share between the opening and ending market prices per share in each period and assumes that dividends are reinvested in accordance with our dividend reinvestment plan. Total return based on net asset value is based upon the change in net asset value per share between the opening and ending net asset values per share in each period and assumes that dividends are reinvested in accordance with our dividend reinvestment plan.
|
|
(4)
|
Amount is less than $0.01.
|
|
|
|
Investment Income
|
|
Net Investment Income
|
|
Net Realized and Unrealized Gains (Losses)
|
|
Net Increase (Decrease) in
Net Assets from Operations
|
||||||||||||||||
|
Quarter Ended
|
|
Total
|
|
Per Share(1)
|
|
Total
|
|
Per Share(1)
|
|
Total
|
|
Per Share(1)
|
|
Total
|
|
Per Share(1)
|
||||||||
|
September 30, 2014
|
|
202,021
|
|
|
0.59
|
|
|
94,463
|
|
|
0.28
|
|
|
(10,355
|
)
|
|
(0.04
|
)
|
|
84,108
|
|
|
0.24
|
|
|
December 31, 2014
|
|
198,883
|
|
|
0.56
|
|
|
91,325
|
|
|
0.26
|
|
|
(5,355
|
)
|
|
(0.02
|
)
|
|
85,970
|
|
|
0.24
|
|
|
March 31, 2015
|
|
191,350
|
|
|
0.53
|
|
|
87,441
|
|
|
0.24
|
|
|
(5,949
|
)
|
|
(0.01
|
)
|
|
81,492
|
|
|
0.23
|
|
|
June 30, 2015
|
|
198,830
|
|
|
0.55
|
|
|
89,518
|
|
|
0.25
|
|
|
5,251
|
|
|
0.01
|
|
|
94,769
|
|
|
0.26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
September 30, 2015
|
|
200,251
|
|
|
0.56
|
|
|
91,242
|
|
|
0.26
|
|
|
(63,425
|
)
|
|
(0.18
|
)
|
|
27,817
|
|
|
0.08
|
|
|
December 31, 2015
|
|
209,191
|
|
|
0.59
|
|
|
100,893
|
|
|
0.28
|
|
|
(196,013
|
)
|
|
(0.55
|
)
|
|
(95,120
|
)
|
|
(0.27
|
)
|
|
March 31, 2016
|
|
189,493
|
|
|
0.53
|
|
|
87,626
|
|
|
0.25
|
|
|
(12,118
|
)
|
|
(0.03
|
)
|
|
75,508
|
|
|
0.21
|
|
|
June 30, 2016
|
|
193,038
|
|
|
0.54
|
|
|
91,367
|
|
|
0.26
|
|
|
3,790
|
|
|
0.01
|
|
|
95,157
|
|
|
0.27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
September 30, 2016
|
|
179,832
|
|
|
0.50
|
|
|
78,919
|
|
|
0.22
|
|
|
2,447
|
|
|
0.01
|
|
|
81,366
|
|
|
0.23
|
|
|
(1)
|
Per share amounts are calculated using the weighted average number of common shares outstanding for the period presented. As such, the sum of the quarterly per share amounts above will not necessarily equal the per share amounts for the fiscal year.
|
|
•
|
$0.08333 per share for November 2016 to holders of record on November 30, 2016 with a payment date of December 22, 2016;
|
|
•
|
$0.08333 per share for December 2016 to holders of record on December 30, 2016 with a payment date of January 19, 2017; and
|
|
•
|
$0.08333 per share for January 2017 to holders of record on January 31, 2017 with a payment date of February 16, 2017.
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||||
|
Level of Control
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
||||||||
|
Control Investments
|
$
|
1,870,228
|
|
29.7%
|
$
|
1,867,823
|
|
30.6%
|
|
$
|
1,768,220
|
|
29.0%
|
$
|
1,752,449
|
|
29.7%
|
|
Affiliate Investments
|
8,530
|
|
0.1%
|
6,966
|
|
0.1%
|
|
10,758
|
|
0.2%
|
11,320
|
|
0.2%
|
||||
|
Non-Control/Non-Affiliate Investments
|
4,422,436
|
|
70.2%
|
4,234,807
|
|
69.3%
|
|
4,312,122
|
|
70.8%
|
4,133,939
|
|
70.1%
|
||||
|
Total Investments
|
$
|
6,301,194
|
|
100.0%
|
$
|
6,109,596
|
|
100.0%
|
|
$
|
6,091,100
|
|
100.0%
|
$
|
5,897,708
|
|
100.0%
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||||||||
|
Type of Investment
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
||||||||||||
|
Revolving Line of Credit
|
$
|
8,850
|
|
0.1
|
%
|
$
|
8,850
|
|
0.1
|
%
|
|
$
|
13,274
|
|
0.2
|
%
|
$
|
13,274
|
|
0.2
|
%
|
|
Senior Secured Debt
|
3,259,769
|
|
51.7
|
%
|
3,132,687
|
|
51.4
|
%
|
|
3,072,839
|
|
50.4
|
%
|
2,941,722
|
|
50.0
|
%
|
||||
|
Subordinated Secured Debt
|
1,189,830
|
|
18.9
|
%
|
1,189,272
|
|
19.5
|
%
|
|
1,228,598
|
|
20.2
|
%
|
1,209,604
|
|
20.5
|
%
|
||||
|
Subordinated Unsecured Debt
|
76,751
|
|
1.2
|
%
|
68,966
|
|
1.1
|
%
|
|
75,878
|
|
1.2
|
%
|
68,358
|
|
1.2
|
%
|
||||
|
Small Business Loans
|
15,810
|
|
0.3
|
%
|
15,206
|
|
0.2
|
%
|
|
14,603
|
|
0.2
|
%
|
14,215
|
|
0.2
|
%
|
||||
|
CLO Residual Interest
|
1,128,530
|
|
18.0
|
%
|
1,031,122
|
|
16.9
|
%
|
|
1,083,540
|
|
17.9
|
%
|
1,009,696
|
|
17.1
|
%
|
||||
|
Preferred Stock
|
137,092
|
|
2.2
|
%
|
76,065
|
|
1.2
|
%
|
|
139,320
|
|
2.3
|
%
|
78,922
|
|
1.3
|
%
|
||||
|
Common Stock
|
323,484
|
|
5.1
|
%
|
364,418
|
|
6.0
|
%
|
|
298,033
|
|
4.9
|
%
|
315,587
|
|
5.4
|
%
|
||||
|
Membership Interest
|
159,397
|
|
2.5
|
%
|
146,679
|
|
2.4
|
%
|
|
159,417
|
|
2.6
|
%
|
167,389
|
|
2.8
|
%
|
||||
|
Participating Interest(1)
|
—
|
|
—
|
%
|
72,447
|
|
1.2
|
%
|
|
—
|
|
—
|
%
|
70,609
|
|
1.2
|
%
|
||||
|
Escrow Receivable
|
—
|
|
—
|
%
|
2,115
|
|
—
|
%
|
|
3,916
|
|
0.1
|
%
|
6,116
|
|
0.1
|
%
|
||||
|
Warrants
|
1,681
|
|
0.0
|
%
|
1,769
|
|
—
|
|
|
1,682
|
|
—
|
%
|
2,216
|
|
—
|
%
|
||||
|
Total Investments
|
$
|
6,301,194
|
|
100.0
|
%
|
$
|
6,109,596
|
|
100.0
|
%
|
|
$
|
6,091,100
|
|
100.0
|
%
|
$
|
5,897,708
|
|
100.0
|
%
|
|
(1)
|
Participating Interest includes our participating equity investments, such as net profits interests, net operating income interests, net revenue interests, and overriding royalty interests.
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||||||||
|
Type of Investment
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
||||||||||||
|
First Lien
|
$
|
3,268,619
|
|
57.5
|
%
|
$
|
3,141,537
|
|
57.7
|
%
|
|
$
|
3,079,689
|
|
56.1
|
%
|
$
|
2,948,572
|
|
56.1
|
%
|
|
Second Lien
|
1,189,830
|
|
20.9
|
%
|
1,189,272
|
|
21.8
|
%
|
|
1,235,022
|
|
22.5
|
%
|
1,216,028
|
|
23.1
|
%
|
||||
|
Unsecured
|
76,751
|
|
1.4
|
%
|
68,966
|
|
1.3
|
%
|
|
75,878
|
|
1.4
|
%
|
68,358
|
|
1.3
|
%
|
||||
|
Small Business Loans
|
15,810
|
|
0.3
|
%
|
15,206
|
|
0.3
|
%
|
|
14,603
|
|
0.3
|
%
|
14,215
|
|
0.3
|
%
|
||||
|
CLO Residual Interest
|
1,128,530
|
|
19.9
|
%
|
1,031,122
|
|
18.9
|
%
|
|
1,083,540
|
|
19.7
|
%
|
1,009,696
|
|
19.2
|
%
|
||||
|
Total Debt Investments
|
$
|
5,679,540
|
|
100.0
|
%
|
$
|
5,446,103
|
|
100.0
|
%
|
|
$
|
5,488,732
|
|
100.0
|
%
|
$
|
5,256,869
|
|
100.0
|
%
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||||||||
|
Geographic Location
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
||||||||||||
|
Canada
|
$
|
15,000
|
|
0.2
|
%
|
$
|
7,076
|
|
0.1
|
%
|
|
$
|
15,000
|
|
0.2
|
%
|
$
|
8,081
|
|
0.1
|
%
|
|
Cayman Islands
|
1,128,530
|
|
17.9
|
%
|
1,031,122
|
|
16.9
|
%
|
|
1,083,540
|
|
17.8
|
%
|
1,009,696
|
|
17.1
|
%
|
||||
|
France
|
9,770
|
|
0.2
|
%
|
9,127
|
|
0.1
|
%
|
|
9,756
|
|
0.2
|
%
|
9,015
|
|
0.2
|
%
|
||||
|
MidWest US
|
782,615
|
|
12.4
|
%
|
844,232
|
|
13.8
|
%
|
|
804,515
|
|
13.2
|
%
|
849,029
|
|
14.4
|
%
|
||||
|
NorthEast US
|
814,277
|
|
12.9
|
%
|
801,335
|
|
13.0
|
%
|
|
838,331
|
|
13.8
|
%
|
824,408
|
|
13.9
|
%
|
||||
|
NorthWest US
|
41,048
|
|
0.7
|
%
|
39,918
|
|
0.7
|
%
|
|
41,317
|
|
0.7
|
%
|
40,122
|
|
0.7
|
%
|
||||
|
Puerto Rico
|
40,417
|
|
0.6
|
%
|
40,417
|
|
0.7
|
%
|
|
40,516
|
|
0.7
|
%
|
40,516
|
|
0.7
|
%
|
||||
|
SouthEast US
|
1,541,534
|
|
24.5
|
%
|
1,614,960
|
|
26.5
|
%
|
|
1,498,976
|
|
24.6
|
%
|
1,531,944
|
|
26.0
|
%
|
||||
|
SouthWest US
|
602,740
|
|
9.6
|
%
|
518,323
|
|
8.5
|
%
|
|
586,701
|
|
9.6
|
%
|
486,695
|
|
8.3
|
%
|
||||
|
Western US
|
1,325,263
|
|
21.0
|
%
|
1,203,086
|
|
19.7
|
%
|
|
1,172,448
|
|
19.2
|
%
|
1,098,202
|
|
18.6
|
%
|
||||
|
Total Investments
|
$
|
6,301,194
|
|
100.0
|
%
|
$
|
6,109,596
|
|
100.0
|
%
|
|
$
|
6,091,100
|
|
100.0
|
%
|
$
|
5,897,708
|
|
100.0
|
%
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||||||||||||||||
|
Industry
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
|
Cost
|
% of Portfolio
|
Fair Value
|
% of Portfolio
|
||||||||||||
|
Aerospace & Defense
|
$
|
60,732
|
|
1.0
|
%
|
$
|
64,170
|
|
1.1
|
%
|
|
$
|
67,518
|
|
1.1
|
%
|
$
|
69,836
|
|
1.2
|
%
|
|
Business Services
|
403,445
|
|
6.4
|
%
|
401,369
|
|
6.6
|
%
|
|
249,482
|
|
4.1
|
%
|
246,960
|
|
4.2
|
%
|
||||
|
Chemicals
|
4,968
|
|
0.1
|
%
|
4,915
|
|
0.1
|
%
|
|
4,967
|
|
0.1
|
%
|
4,819
|
|
0.1
|
%
|
||||
|
Commercial Services
|
110,726
|
|
1.8
|
%
|
91,387
|
|
1.5
|
%
|
|
247,144
|
|
4.1
|
%
|
219,988
|
|
3.7
|
%
|
||||
|
Construction & Engineering
|
60,833
|
|
1.0
|
%
|
30,531
|
|
0.5
|
%
|
|
60,436
|
|
1.0
|
%
|
31,091
|
|
0.5
|
%
|
||||
|
Consumer Finance
|
458,387
|
|
7.3
|
%
|
486,121
|
|
8.0
|
%
|
|
449,203
|
|
7.4
|
%
|
474,652
|
|
8.0
|
%
|
||||
|
Consumer Services
|
233,863
|
|
3.6
|
%
|
233,677
|
|
3.7
|
%
|
|
194,554
|
|
3.1
|
%
|
197,346
|
|
3.2
|
%
|
||||
|
Diversified Financial Services
|
158,931
|
|
2.5
|
%
|
158,931
|
|
2.6
|
%
|
|
115,648
|
|
1.9
|
%
|
115,648
|
|
2.0
|
%
|
||||
|
Durable Consumer Products
|
474,130
|
|
7.5
|
%
|
470,099
|
|
7.7
|
%
|
|
457,075
|
|
7.5
|
%
|
453,795
|
|
7.7
|
%
|
||||
|
Food Products
|
284,576
|
|
4.5
|
%
|
285,150
|
|
4.7
|
%
|
|
287,626
|
|
4.7
|
%
|
283,172
|
|
4.8
|
%
|
||||
|
Healthcare
|
268,941
|
|
4.3
|
%
|
270,369
|
|
4.4
|
%
|
|
307,136
|
|
5.0
|
%
|
308,345
|
|
5.2
|
%
|
||||
|
Hotels, Restaurants & Leisure
|
139,686
|
|
2.2
|
%
|
138,058
|
|
2.3
|
%
|
|
139,813
|
|
2.3
|
%
|
139,954
|
|
2.4
|
%
|
||||
|
Machinery
|
309
|
|
—
|
%
|
617
|
|
—
|
%
|
|
330
|
|
—
|
%
|
511
|
|
—
|
%
|
||||
|
Manufacturing (2)
|
219,351
|
|
3.5
|
%
|
181,180
|
|
3.0
|
%
|
|
219,503
|
|
3.6
|
%
|
180,546
|
|
3.1
|
%
|
||||
|
Media
|
370,950
|
|
5.9
|
%
|
357,250
|
|
5.8
|
%
|
|
371,440
|
|
6.1
|
%
|
357,864
|
|
6.1
|
%
|
||||
|
Metal Services & Minerals
|
9,939
|
|
0.2
|
%
|
9,004
|
|
0.1
|
%
|
|
9,934
|
|
0.2
|
%
|
8,701
|
|
0.1
|
%
|
||||
|
Oil and Gas Production
|
—
|
|
—
|
%
|
16
|
|
—
|
%
|
|
5,460
|
|
0.1
|
%
|
6,138
|
|
0.1
|
%
|
||||
|
Oil and Gas Services
|
286,058
|
|
4.5
|
%
|
143,462
|
|
2.3
|
%
|
|
286,105
|
|
4.7
|
%
|
165,091
|
|
2.8
|
%
|
||||
|
Online Lending
|
463,849
|
|
7.4
|
%
|
431,791
|
|
7.1
|
%
|
|
406,931
|
|
6.7
|
%
|
377,385
|
|
6.4
|
%
|
||||
|
Personal & Nondurable Consumer Products
|
216,320
|
|
3.4
|
%
|
198,354
|
|
3.2
|
%
|
|
213,585
|
|
3.5
|
%
|
193,054
|
|
3.3
|
%
|
||||
|
Pharmaceuticals
|
80,052
|
|
1.3
|
%
|
80,052
|
|
1.3
|
%
|
|
70,739
|
|
1.2
|
%
|
70,739
|
|
1.2
|
%
|
||||
|
Property Management
|
—
|
|
—
|
%
|
—
|
|
—
|
%
|
|
3,916
|
|
0.1
|
%
|
3,900
|
|
0.1
|
%
|
||||
|
Real Estate
|
384,522
|
|
6.1
|
%
|
563,405
|
|
9.3
|
%
|
|
335,048
|
|
5.5
|
%
|
480,763
|
|
8.2
|
%
|
||||
|
Software & Computer Services (2)
|
133,038
|
|
2.1
|
%
|
130,640
|
|
2.1
|
%
|
|
153,485
|
|
2.5
|
%
|
151,192
|
|
2.6
|
%
|
||||
|
Telecommunication Services
|
4,393
|
|
0.1
|
%
|
4,393
|
|
0.1
|
%
|
|
4,392
|
|
0.1
|
%
|
4,392
|
|
0.1
|
%
|
||||
|
Textiles, Apparel & Luxury Goods
|
277,350
|
|
4.3
|
%
|
277,982
|
|
4.5
|
%
|
|
278,552
|
|
4.5
|
%
|
278,552
|
|
4.7
|
%
|
||||
|
Transportation
|
67,315
|
|
1.1
|
%
|
65,551
|
|
1.1
|
%
|
|
67,538
|
|
1.1
|
%
|
63,578
|
|
1.1
|
%
|
||||
|
Subtotal
|
$
|
5,172,664
|
|
82.1
|
%
|
$
|
5,078,474
|
|
83.1
|
%
|
|
$
|
5,007,560
|
|
82.2
|
%
|
$
|
4,888,012
|
|
82.9
|
%
|
|
Structured Finance (1)
|
1,128,530
|
|
17.9
|
%
|
1,031,122
|
|
16.9
|
%
|
|
1,083,540
|
|
17.8
|
%
|
1,009,696
|
|
17.1
|
%
|
||||
|
Total Investments
|
$
|
6,301,194
|
|
100.0
|
%
|
$
|
6,109,596
|
|
100.0
|
%
|
|
$
|
6,091,100
|
|
100.0
|
%
|
$
|
5,897,708
|
|
100.0
|
%
|
|
(1)
|
Our CLO investments do not have industry concentrations and as such have been separated in the table above.
|
|
(2)
|
Industry includes exposure to the energy markets through our investments in Gulf Coast and Pinnacle (US) Acquisition Co. Limited. Including these investments, our overall fair value exposure to the broader energy industry, including oil and gas services and production as noted above, as of
September 30, 2016
and
June 30, 2016
is
$156,060
and
$183,966
, respectively.
|
|
Quarter Ended
|
|
Acquisitions(1)
|
|
Dispositions(2)
|
||
|
September 30, 2014
|
|
714,255
|
|
|
690,194
|
|
|
December 31, 2014
|
|
522,705
|
|
|
224,076
|
|
|
March 31, 2015
|
|
219,111
|
|
|
108,124
|
|
|
June 30, 2015
|
|
411,406
|
|
|
389,168
|
|
|
|
|
|
|
|
||
|
September 30, 2015
|
|
345,743
|
|
|
436,919
|
|
|
December 31, 2015
|
|
316,145
|
|
|
354,855
|
|
|
March 31, 2016
|
|
23,176
|
|
|
163,641
|
|
|
June 30, 2016
|
|
294,038
|
|
|
383,460
|
|
|
|
|
|
|
|
||
|
September 30, 2016
|
|
347,150
|
|
|
114,331
|
|
|
(1)
|
Includes investments in new portfolio companies, follow-on investments in existing portfolio companies, refinancings and PIK interest.
|
|
(2)
|
Includes sales, scheduled principal payments, prepayments and refinancings.
|
|
Loan Type
|
Outstanding Principal Balance
|
Fair Value
|
Interest Rate Range
|
Weighted Average Interest Rate*
|
||||
|
Super Prime
|
$
|
61,017
|
|
$
|
59,361
|
|
4.0% - 34.0%
|
11.7%
|
|
Prime
|
174,112
|
|
166,602
|
|
5.3% - 36.0%
|
15.2%
|
||
|
Near Prime
|
527,613
|
|
502,369
|
|
6.0% - 36.0%
|
26.5%
|
||
|
No.
|
|
Property Name
|
|
City
|
|
Acquisition
Date |
|
Purchase
Price |
|
Mortgage
Outstanding |
||||
|
|
|
|
|
|
||||||||||
|
1
|
|
Filet of Chicken
|
|
Forest Park, GA
|
|
10/24/2012
|
|
$
|
7,400
|
|
|
$
|
—
|
|
|
2
|
|
1557 Terrell Mill Road, LLC
|
|
Marietta, GA
|
|
12/28/2012
|
|
23,500
|
|
|
14,829
|
|
||
|
3
|
|
5100 Live Oaks Blvd, LLC
|
|
Tampa, FL
|
|
1/17/2013
|
|
63,400
|
|
|
46,700
|
|
||
|
4
|
|
Lofton Place, LLC
|
|
Tampa, FL
|
|
4/30/2013
|
|
26,000
|
|
|
20,389
|
|
||
|
5
|
|
Arlington Park Marietta, LLC
|
|
Marietta, GA
|
|
5/8/2013
|
|
14,850
|
|
|
9,650
|
|
||
|
6
|
|
NPRC Carroll Resort, LLC
|
|
Pembroke Pines, FL
|
|
6/24/2013
|
|
225,000
|
|
|
181,214
|
|
||
|
7
|
|
APH Carroll 41, LLC
|
|
Marietta, GA
|
|
11/1/2013
|
|
30,600
|
|
|
32,594
|
|
||
|
8
|
|
Cordova Regency, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
13,750
|
|
|
11,375
|
|
||
|
9
|
|
Crestview at Oakleigh, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
17,500
|
|
|
13,845
|
|
||
|
10
|
|
Inverness Lakes, LLC
|
|
Mobile, AL
|
|
11/15/2013
|
|
29,600
|
|
|
24,700
|
|
||
|
11
|
|
Kings Mill Pensacola, LLC
|
|
Pensacola, FL
|
|
11/15/2013
|
|
20,750
|
|
|
17,550
|
|
||
|
12
|
|
Plantations at Pine Lake, LLC
|
|
Tallahassee, FL
|
|
11/15/2013
|
|
18,000
|
|
|
14,092
|
|
||
|
13
|
|
Verandas at Rocky Ridge, LLC
|
|
Birmingham, AL
|
|
11/15/2013
|
|
15,600
|
|
|
10,205
|
|
||
|
14
|
|
Matthews Reserve II, LLC
|
|
Matthews, NC
|
|
11/19/2013
|
|
22,063
|
|
|
19,957
|
|
||
|
15
|
|
City West Apartments II, LLC
|
|
Orlando, FL
|
|
11/19/2013
|
|
23,562
|
|
|
23,339
|
|
||
|
16
|
|
Vinings Corner II, LLC
|
|
Smyrna, GA
|
|
11/19/2013
|
|
35,691
|
|
|
33,006
|
|
||
|
17
|
|
Uptown Park Apartments II, LLC
|
|
Altamonte Springs, FL
|
|
11/19/2013
|
|
36,590
|
|
|
29,832
|
|
||
|
18
|
|
Mission Gate II, LLC
|
|
Plano, TX
|
|
11/19/2013
|
|
47,621
|
|
|
41,695
|
|
||
|
19
|
|
St. Marin Apartments II, LLC
|
|
Coppell, TX
|
|
11/19/2013
|
|
73,078
|
|
|
62,526
|
|
||
|
20
|
|
Atlanta Eastwood Village LLC
|
|
Stockbridge, GA
|
|
12/12/2013
|
|
25,957
|
|
|
19,785
|
|
||
|
21
|
|
Atlanta Monterey Village LLC
|
|
Jonesboro, GA
|
|
12/12/2013
|
|
11,501
|
|
|
9,193
|
|
||
|
22
|
|
Atlanta Hidden Creek LLC
|
|
Morrow, GA
|
|
12/12/2013
|
|
5,098
|
|
|
3,619
|
|
||
|
23
|
|
Atlanta Meadow Springs LLC
|
|
College Park, GA
|
|
12/12/2013
|
|
13,116
|
|
|
10,180
|
|
||
|
24
|
|
Atlanta Meadow View LLC
|
|
College Park, GA
|
|
12/12/2013
|
|
14,354
|
|
|
11,141
|
|
||
|
25
|
|
Atlanta Peachtree Landing LLC
|
|
Fairburn, GA
|
|
12/12/2013
|
|
17,224
|
|
|
13,575
|
|
||
|
26
|
|
APH Carroll Bartram Park, LLC
|
|
Jacksonville, FL
|
|
12/31/2013
|
|
38,000
|
|
|
27,990
|
|
||
|
27
|
|
Plantations at Hillcrest, LLC
|
|
Mobile, AL
|
|
1/17/2014
|
|
6,930
|
|
|
4,858
|
|
||
|
28
|
|
Crestview at Cordova, LLC
|
|
Pensacola, FL
|
|
1/17/2014
|
|
8,500
|
|
|
8,086
|
|
||
|
29
|
|
APH Carroll Atlantic Beach, LLC
|
|
Atlantic Beach, FL
|
|
1/31/2014
|
|
13,025
|
|
|
8,728
|
|
||
|
30
|
|
Taco Bell, OK
|
|
Yukon, OK
|
|
6/4/2014
|
|
1,719
|
|
|
—
|
|
||
|
31
|
|
Taco Bell, MO
|
|
Marshall, MO
|
|
6/4/2014
|
|
1,405
|
|
|
—
|
|
||
|
32
|
|
23 Mile Road Self Storage, LLC
|
|
Chesterfield, MI
|
|
8/19/2014
|
|
5,804
|
|
|
4,350
|
|
||
|
33
|
|
36th Street Self Storage, LLC
|
|
Wyoming, MI
|
|
8/19/2014
|
|
4,800
|
|
|
3,600
|
|
||
|
34
|
|
Ball Avenue Self Storage, LLC
|
|
Grand Rapids, MI
|
|
8/19/2014
|
|
7,281
|
|
|
5,460
|
|
||
|
35
|
|
Ford Road Self Storage, LLC
|
|
Westland, MI
|
|
8/29/2014
|
|
4,642
|
|
|
3,480
|
|
||
|
36
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Ann Arbor, MI
|
|
8/29/2014
|
|
4,458
|
|
|
3,345
|
|
||
|
37
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Ann Arbor, MI
|
|
8/29/2014
|
|
8,927
|
|
|
6,695
|
|
||
|
38
|
|
Ann Arbor Kalamazoo Self Storage, LLC
|
|
Kalamazoo, MI
|
|
8/29/2014
|
|
2,363
|
|
|
1,775
|
|
||
|
39
|
|
Canterbury Green Apartments Holdings LLC
|
|
Fort Wayne, IN
|
|
9/29/2014
|
|
85,500
|
|
|
74,258
|
|
||
|
40
|
|
Abbie Lakes OH Partners, LLC
|
|
Canal Winchester, OH
|
|
9/30/2014
|
|
12,600
|
|
|
10,440
|
|
||
|
No.
|
|
Property Name
|
|
City
|
|
Acquisition
Date |
|
Purchase
Price |
|
Mortgage
Outstanding |
||||
|
|
|
|
|
|
||||||||||
|
41
|
|
Kengary Way OH Partners, LLC
|
|
Reynoldsburg, OH
|
|
9/30/2014
|
|
11,500
|
|
|
11,000
|
|
||
|
42
|
|
Lakeview Trail OH Partners, LLC
|
|
Canal Winchester, OH
|
|
9/30/2014
|
|
26,500
|
|
|
20,142
|
|
||
|
43
|
|
Lakepoint OH Partners, LLC
|
|
Pickerington, OH
|
|
9/30/2014
|
|
11,000
|
|
|
10,080
|
|
||
|
44
|
|
Sunbury OH Partners, LLC
|
|
Columbus, OH
|
|
9/30/2014
|
|
13,000
|
|
|
10,480
|
|
||
|
45
|
|
Heatherbridge OH Partners, LLC
|
|
Blacklick, OH
|
|
9/30/2014
|
|
18,416
|
|
|
15,480
|
|
||
|
46
|
|
Jefferson Chase OH Partners, LLC
|
|
Blacklick, OH
|
|
9/30/2014
|
|
13,551
|
|
|
12,240
|
|
||
|
47
|
|
Goldenstrand OH Partners, LLC
|
|
Hilliard, OH
|
|
10/29/2014
|
|
7,810
|
|
|
8,040
|
|
||
|
48
|
|
Jolly Road Self Storage, LLC
|
|
Okemos, MI
|
|
1/16/2015
|
|
7,492
|
|
|
5,620
|
|
||
|
49
|
|
Eaton Rapids Road Self Storage, LLC
|
|
Lansing West, MI
|
|
1/16/2015
|
|
1,741
|
|
|
1,305
|
|
||
|
50
|
|
Haggerty Road Self Storage, LLC
|
|
Novi, MI
|
|
1/16/2015
|
|
6,700
|
|
|
5,025
|
|
||
|
51
|
|
Waldon Road Self Storage, LLC
|
|
Lake Orion, MI
|
|
1/16/2015
|
|
6,965
|
|
|
5,225
|
|
||
|
52
|
|
Tyler Road Self Storage, LLC
|
|
Ypsilanti, MI
|
|
1/16/2015
|
|
3,507
|
|
|
2,630
|
|
||
|
53
|
|
SSIL I, LLC
|
|
Aurora, IL
|
|
11/5/2015
|
|
34,500
|
|
|
26,450
|
|
||
|
54
|
|
Vesper Tuscaloosa, LLC
|
|
Tuscaloosa, AL
|
|
9/28/2016
|
|
54,500
|
|
|
41,250
|
|
||
|
55
|
|
Vesper Iowa City, LLC
|
|
Iowa City, IA
|
|
9/28/2016
|
|
32,750
|
|
|
24,825
|
|
||
|
56
|
|
Vesper Corpus Christi, LLC
|
|
Corpus Christi, TX
|
|
9/28/2016
|
|
14,250
|
|
|
10,800
|
|
||
|
57
|
|
Vesper Campus Quarters, LLC
|
|
Corpus Christi, TX
|
|
9/28/2016
|
|
18,350
|
|
|
14,175
|
|
||
|
58
|
|
Vesper College Station, LLC
|
|
College Station, TX
|
|
9/28/2016
|
|
41,500
|
|
|
32,058
|
|
||
|
58
|
|
Vesper Kennesaw, LLC
|
|
Kennesaw, GA
|
|
9/28/2016
|
|
57,900
|
|
|
44,727
|
|
||
|
60
|
|
Vesper Statesboro, LLC
|
|
Statesboro, GA
|
|
9/28/2016
|
|
7,500
|
|
|
6,087
|
|
||
|
61
|
|
Vesper Manhattan KS, LLC
|
|
Manhattan, KS
|
|
9/28/2016
|
|
23,250
|
|
|
18,460
|
|
||
|
|
|
|
|
|
|
|
|
1,450,441
|
|
|
1,164,155
|
|
||
|
|
September 30, 2016
|
|
||||||||||||||||||
|
|
Principal Outstanding
|
Unamortized Discount & Debt Issuance Costs
|
Net Carrying Value
|
|
Fair Value
(1) |
|
Effective Interest Rate
|
|
||||||||||||
|
Revolving Credit Facility
(2)
|
$
|
44,000
|
|
$
|
6,834
|
|
$
|
44,000
|
|
(3
|
)
|
$
|
44,000
|
|
|
1ML+2.25%
|
|
(6
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2017 Notes
|
129,500
|
|
693
|
|
128,807
|
|
|
132,090
|
|
(4
|
)
|
5.91
|
%
|
(7
|
)
|
|||||
|
2018 Notes
|
200,000
|
|
1,860
|
|
198,140
|
|
|
205,450
|
|
(4
|
)
|
6.42
|
%
|
(7
|
)
|
|||||
|
2019 Notes
|
200,000
|
|
2,682
|
|
197,318
|
|
|
206,500
|
|
(4
|
)
|
6.51
|
%
|
(7
|
)
|
|||||
|
2020 Notes
|
392,000
|
|
8,025
|
|
383,975
|
|
|
397,880
|
|
(4
|
)
|
5.38
|
%
|
(7
|
)
|
|||||
|
Convertible Notes
|
921,500
|
|
|
|
908,240
|
|
|
941,920
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
2023 Notes
|
250,000
|
|
4,528
|
|
245,472
|
|
|
250,000
|
|
(4
|
)
|
6.22
|
%
|
(7
|
)
|
|||||
|
5.00% 2019 Notes
|
300,000
|
|
2,288
|
|
297,712
|
|
|
306,975
|
|
(4
|
)
|
5.29
|
%
|
(7
|
)
|
|||||
|
2024 Notes
|
199,281
|
|
5,644
|
|
193,637
|
|
|
204,303
|
|
(4
|
)
|
6.52
|
%
|
(7
|
)
|
|||||
|
Public Notes
|
749,281
|
|
|
|
736,821
|
|
|
761,278
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Prospect Capital InterNotes
®
|
945,746
|
|
14,932
|
|
930,814
|
|
|
952,054
|
|
(5
|
)
|
5.71
|
%
|
(8
|
)
|
|||||
|
Total
|
$
|
2,660,527
|
|
|
|
$
|
2,619,875
|
|
|
$
|
2,699,252
|
|
|
|
|
|||||
|
(1)
|
As permitted by ASC 825-10-25, we have not elected to value our Revolving Credit Facility, Convertible Notes, Public Notes and Prospect Capital InterNotes® at fair value. The fair value of these debt obligations are categorized as Level 2 under ASC 820 as of
September 30, 2016
.
|
|
(2)
|
The maximum draw amount of the Revolving Credit facility as of
September 30, 2016
is
$885,000
.
|
|
(3)
|
Net Carrying Value excludes deferred financing costs associated with the Revolving Credit Facility. See Critical Accounting Policies and Estimates for accounting policy details.
|
|
(4)
|
We use available market quotes to estimate the fair value of the Convertible Notes and Public Notes.
|
|
(5)
|
The fair value of Prospect Capital InterNotes® is estimated by discounting remaining payments using current Treasury rates.
|
|
(6)
|
For the Revolving Credit Facility, we have adjusted the stated rate as the fees are amortized on a straight-line method over the stated life of the obligation.
|
|
(7)
|
The effective interest rate is equal to the effect of the stated interest, the accretion of original issue discount and debt issuance costs. For the 2024 Notes, the rate presented is a combined effective interest rate of the 2024 Notes and 2024 Notes Follow-on Program.
|
|
(8)
|
For the Prospect Capital InterNotes®, the rate presented is the weighted average effective interest rate.
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
|
Total
|
|
Less than 1 Year
|
|
1 – 3 Years
|
|
3 – 5 Years
|
|
After 5 Years
|
||||||||||
|
Revolving Credit Facility
|
$
|
44,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,000
|
|
|
$
|
—
|
|
|
Convertible Notes
|
921,500
|
|
|
—
|
|
|
529,500
|
|
|
392,000
|
|
|
—
|
|
|||||
|
Public Notes
|
749,281
|
|
|
—
|
|
|
300,000
|
|
|
—
|
|
|
449,281
|
|
|||||
|
Prospect Capital InterNotes®
|
945,746
|
|
|
8,819
|
|
|
270,957
|
|
|
385,415
|
|
|
280,555
|
|
|||||
|
Total Contractual Obligations
|
$
|
2,660,527
|
|
|
$
|
8,819
|
|
|
$
|
1,100,457
|
|
|
$
|
821,415
|
|
|
$
|
729,836
|
|
|
|
Payments Due by Period
|
||||||||||||||||||
|
|
Total
|
|
Less than 1 Year
|
|
1 – 3 Years
|
|
3 – 5 Years
|
|
After 5 Years
|
||||||||||
|
Revolving Credit Facility
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Convertible Notes
|
1,089,000
|
|
|
167,500
|
|
|
529,500
|
|
|
392,000
|
|
|
—
|
|
|||||
|
Public Notes
|
711,380
|
|
|
—
|
|
|
—
|
|
|
300,000
|
|
|
411,380
|
|
|||||
|
Prospect Capital InterNotes®
|
908,808
|
|
|
8,819
|
|
|
257,198
|
|
|
360,599
|
|
|
282,192
|
|
|||||
|
Total Contractual Obligations
|
$
|
2,709,188
|
|
|
$
|
176,319
|
|
|
$
|
786,698
|
|
|
$
|
1,052,599
|
|
|
$
|
693,572
|
|
|
|
2017 Notes
|
|
|
2018 Notes
|
|
|
2019 Notes
|
|
|
2020 Notes
|
|
||||
|
Initial conversion rate(1)
|
85.8442
|
|
|
82.3451
|
|
|
79.7766
|
|
|
80.6647
|
|
||||
|
Initial conversion price
|
$
|
11.65
|
|
|
$
|
12.14
|
|
|
$
|
12.54
|
|
|
$
|
12.40
|
|
|
Conversion rate at September 30, 2016(1)(2)
|
87.7516
|
|
|
84.1497
|
|
|
79.8360
|
|
|
80.6670
|
|
||||
|
Conversion price at September
30
, 2016(2)(3)
|
$
|
11.40
|
|
|
$
|
11.88
|
|
|
$
|
12.53
|
|
|
$
|
12.40
|
|
|
Last conversion price calculation date
|
4/16/2016
|
|
|
8/14/2016
|
|
|
12/21/2015
|
|
|
4/11/2016
|
|
||||
|
Dividend threshold amount (per share)(4)
|
$
|
0.101500
|
|
|
$
|
0.101600
|
|
|
$
|
0.110025
|
|
|
$
|
0.110525
|
|
|
(1)
|
Conversion rates denominated in shares of common stock per $1 principal amount of the Convertible Notes converted.
|
|
(2)
|
Represents conversion rate and conversion price, as applicable, taking into account certain de minimis adjustments that will be made on the conversion date.
|
|
(3)
|
The conversion price in effect at
September 30, 2016
was calculated on the last anniversary of the issuance and will be adjusted again on the next anniversary, unless the exercise price shall have changed by more than 1% before the anniversary.
|
|
(4)
|
The conversion rate is increased if monthly cash dividends paid to common shares exceed the monthly dividend threshold amount, subject to adjustment. Current dividend rates are below the minimum dividend threshold amount for further conversion rate adjustments for all bonds.
|
|
Tenor at
Origination (in years) |
|
Principal
Amount |
|
Interest Rate
Range |
|
Weighted
Average Interest Rate |
|
Maturity Date Range
|
|||
|
5
|
|
$
|
17,784
|
|
|
4.63%–4.75%
|
|
4.74
|
%
|
|
July 15, 2020 – September 15, 2020
|
|
6.5
|
|
30,350
|
|
|
5.10%–5.25%
|
|
5.24
|
%
|
|
January 15, 2022 – March 15, 2022
|
|
|
|
|
$
|
48,134
|
|
|
|
|
0.051
|
|
|
|
|
Tenor at
Origination (in years) |
|
Principal
Amount |
|
Interest Rate
Range |
|
Weighted
Average Interest Rate |
|
Maturity Date Range
|
|||
|
3
|
|
$
|
5,710
|
|
|
4.00%
|
|
4.00
|
%
|
|
October 15, 2016
|
|
3.5
|
|
3,109
|
|
|
4.00%
|
|
4.00
|
%
|
|
April 15, 2017
|
|
|
4
|
|
45,690
|
|
|
3.75%–4.00%
|
|
3.92
|
%
|
|
November 15, 2017 – May 15, 2018
|
|
|
5
|
|
297,916
|
|
|
4.25%–5.50%
|
|
5.01
|
%
|
|
July 15, 2018 – September 15, 2021
|
|
|
5.2
|
|
4,440
|
|
|
4.63%
|
|
4.63
|
%
|
|
August 15, 2020 – September 15, 2020
|
|
|
5.3
|
|
2,686
|
|
|
4.63%
|
|
4.63
|
%
|
|
September 15, 2020
|
|
|
5.4
|
|
5,000
|
|
|
4.75%
|
|
4.75
|
%
|
|
August 15, 2019
|
|
|
5.5
|
|
109,718
|
|
|
4.25%–5.00%
|
|
4.65
|
%
|
|
February 15, 2019 – November 15, 2020
|
|
|
6
|
|
2,197
|
|
|
3.38%
|
|
3.38
|
%
|
|
April 15, 2021 – May 15, 2021
|
|
|
6.5
|
|
40,817
|
|
|
5.10%–5.50%
|
|
5.24
|
%
|
|
February 15, 2020 – May 15, 2022
|
|
|
7
|
|
192,016
|
|
|
4.00%–6.55%
|
|
5.13
|
%
|
|
June 15, 2019 – December 15, 2022
|
|
|
7.5
|
|
1,996
|
|
|
5.75%
|
|
5.75
|
%
|
|
February 15, 2021
|
|
|
10
|
|
37,519
|
|
|
3.85%–7.00%
|
|
6.13
|
%
|
|
March 15, 2022 – December 15, 2025
|
|
|
12
|
|
2,978
|
|
|
6.00%
|
|
6.00
|
%
|
|
November 15, 2025 – December 15, 2025
|
|
|
15
|
|
17,325
|
|
|
5.25%–6.00%
|
|
5.36
|
%
|
|
May 15, 2028 – November 15, 2028
|
|
|
18
|
|
22,238
|
|
|
4.13%–6.25%
|
|
5.53
|
%
|
|
December 15, 2030 – August 15, 2031
|
|
|
20
|
|
4,452
|
|
|
5.63%–6.00%
|
|
5.89
|
%
|
|
November 15, 2032 – October 15, 2033
|
|
|
25
|
|
35,015
|
|
|
6.25%–6.50%
|
|
6.39
|
%
|
|
August 15, 2038 – May 15, 2039
|
|
|
30
|
|
114,924
|
|
|
5.50%–6.75%
|
|
6.23
|
%
|
|
November 15, 2042 – October 15, 2043
|
|
|
|
|
$
|
945,746
|
|
|
|
|
|
|
|
|
|
Tenor at
Origination (in years) |
|
Principal
Amount |
|
Interest Rate
Range |
|
Weighted
Average Interest Rate |
|
Maturity Date Range
|
|||
|
3
|
|
$
|
5,710
|
|
|
4.00%
|
|
4.00
|
%
|
|
October 15, 2016
|
|
3.5
|
|
3,109
|
|
|
4.00%
|
|
4.00
|
%
|
|
April 15, 2017
|
|
|
4
|
|
45,690
|
|
|
3.75%–4.00%
|
|
3.92
|
%
|
|
November 15, 2017 – May 15, 2018
|
|
|
5
|
|
259,191
|
|
|
4.25%–5.75%
|
|
4.95
|
%
|
|
July 15, 2018 – June 15, 2021
|
|
|
5.20
|
|
4,440
|
|
|
4.63%
|
|
4.63
|
%
|
|
August 15, 2020 – September 15, 2020
|
|
|
5.3
|
|
2,686
|
|
|
4.63%
|
|
4.63
|
%
|
|
September 15, 2020
|
|
|
5
|
|
5,000
|
|
|
4.75%
|
|
4.75
|
%
|
|
August 15, 2019
|
|
|
5.5
|
|
109,808
|
|
|
4.25%–5.00%
|
|
4.65
|
%
|
|
February 15, 2019 – November 15, 2020
|
|
|
6
|
|
2,197
|
|
|
3.38%
|
|
3.38
|
%
|
|
April 15, 2021 – May 15, 2021
|
|
|
6.5
|
|
40,867
|
|
|
5.10%–5.50%
|
|
5.24
|
%
|
|
February 15, 2020 – May 15, 2022
|
|
|
7
|
|
192,076
|
|
|
4.00%–6.55%
|
|
5.13
|
%
|
|
June 15, 2019 – December 15, 2022
|
|
|
8
|
|
1,996
|
|
|
5.75%
|
|
5.75
|
%
|
|
February 15, 2021
|
|
|
10
|
|
37,533
|
|
|
3.62%–7.00%
|
|
6.11
|
%
|
|
March 15, 2022 – December 15, 2025
|
|
|
12
|
|
2,978
|
|
|
6.00%
|
|
6.00
|
%
|
|
November 15, 2025 – December 15, 2025
|
|
|
15
|
|
17,325
|
|
|
5.25%–6.00%
|
|
5.36
|
%
|
|
May 15, 2028 – November 15, 2028
|
|
|
18
|
|
22,303
|
|
|
4.13%–6.25%
|
|
5.53
|
%
|
|
December 15, 2030 – August 15, 2031
|
|
|
20
|
|
4,462
|
|
|
5.63%–6.00%
|
|
5.89
|
%
|
|
November 15, 2032 – October 15, 2033
|
|
|
25
|
|
35,110
|
|
|
6.25%–6.50%
|
|
6.39
|
%
|
|
August 15, 2038 – May 15, 2039
|
|
|
30
|
|
116,327
|
|
|
5.50%–6.75%
|
|
6.23
|
%
|
|
November 15, 2042 – October 15, 2043
|
|
|
|
|
$
|
908,808
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2016
|
|
June 30, 2016
|
||||
|
Net assets
|
|
$
|
3,435,609
|
|
|
$
|
3,435,917
|
|
|
Shares of common stock issued and outstanding
|
|
358,042,158
|
|
|
357,107,231
|
|
||
|
Net asset value per share
|
|
$
|
9.60
|
|
|
$
|
9.62
|
|
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
|
|||||||
|
Interest income
|
$
|
171,650
|
|
|
$
|
191,303
|
|
|
Dividend income
|
2,384
|
|
|
3,215
|
|
||
|
Other income
|
5,798
|
|
|
5,733
|
|
||
|
Total investment income
|
$
|
179,832
|
|
|
$
|
200,251
|
|
|
|
|
|
|
||||
|
Average debt principal of performing investments
|
$
|
5,688,154
|
|
|
$
|
6,385,514
|
|
|
Weighted average interest rate earned on performing debt and equity investments
|
12.07
|
%
|
|
11.98
|
%
|
||
|
|
Three Months Ended September 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
Interest on borrowings
|
$
|
35,714
|
|
|
$
|
37,316
|
|
|
Amortization of deferred financing costs
|
3,634
|
|
|
3,556
|
|
||
|
Accretion of discount on Public Notes
|
64
|
|
|
49
|
|
||
|
Facility commitment fees
|
2,257
|
|
|
1,036
|
|
||
|
Total interest and credit facility expenses
|
$
|
41,669
|
|
|
$
|
41,957
|
|
|
|
|
|
|
||||
|
Average principal debt outstanding
|
$
|
2,667,420
|
|
|
$
|
2,956,726
|
|
|
Weighted average stated interest rate on borrowings(1)
|
5.36
|
%
|
|
5.05
|
%
|
||
|
Weighted average interest rate on borrowings(2)
|
6.25
|
%
|
|
5.68
|
%
|
||
|
(1)
|
Includes only the stated interest expense.
|
|
(2)
|
Includes the stated interest expense, amortization of deferred financing costs, accretion of discount on Public Notes and commitment fees on the undrawn portion of our Revolving Credit Facility.
|
|
•
|
$0.08333 per share for November 2016 to holders of record on November 30, 2016 with a payment date of December 22, 2016;
|
|
•
|
$0.08333 per share for December 2016 to holders of record on December 30, 2016 with a payment date of January 19, 2017; and
|
|
•
|
$0.08333 per share for January 2017 to holders of record on January 31, 2017 with a payment date of February 16, 2017.
|
|
1.
|
Each portfolio company or investment is reviewed by our investment professionals with independent valuation firms engaged by our Board of Directors.
|
|
2.
|
The independent valuation firms prepare independent valuations for each investment based on their own independent assessments and issue their report.
|
|
3.
|
The Audit Committee of our Board of Directors reviews and discusses with the independent valuation firms the valuation reports, and then makes a recommendation to the Board of Directors of the value for each investment.
|
|
4.
|
The Board of Directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of the Investment Adviser, the respective independent valuation firm and the Audit Committee.
|
|
(in thousands)
Basis Point Change
|
|
Interest Income
|
|
Interest Expense
|
|
Net Income
|
|
Net Investment Income (1)
|
||||||||
|
Up 300 basis points
|
|
$
|
92,748
|
|
|
$
|
1,363
|
|
|
$
|
91,384
|
|
|
$
|
73,107
|
|
|
Up 200 basis points
|
|
54,474
|
|
|
909
|
|
|
53,565
|
|
|
42,852
|
|
||||
|
Up 100 basis points
|
|
18,619
|
|
|
456
|
|
|
18,163
|
|
|
14,531
|
|
||||
|
Down 100 basis points
|
|
(220
|
)
|
|
(246
|
)
|
|
26
|
|
|
21
|
|
||||
|
(1)
|
Includes the impact of income incentive fees. See Note 13 to our consolidated financial statements for the period ended
|
|
(2)
|
As of
September 30, 2016
one and three month LIBOR was
0.53%
and
0.85%
, respectively.
|
|
Exhibit No.
|
|
|
3.1
|
Articles of Amendment and Restatement(1)
|
|
3.2
|
Amended and Restated Bylaws(2)
|
|
4.1
|
Form of 6.250% Notes due 2024, Note 4, of an aggregate principal amount of $563,000.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(3)
|
|
4.2
|
Form of 6.250% Notes due 2024, Note 5, of an aggregate principal amount of $323,825.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(3)
|
|
4.3
|
Form of 6.250% Notes due 2024, Note 6, of an aggregate principal amount of $730,600.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(3)
|
|
4.4
|
Form of 6.250% Notes due 2024, Note 7, of an aggregate principal amount of $265,125.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(3)
|
|
4.5
|
Form of 6.250% Notes due 2024, Note 8, of an aggregate principal amount of $722,100.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(3)
|
|
Exhibit No.
|
|
|
4.6
|
Four Hundred Thirty-First Supplemental Indenture dated as of July 8, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(3)
|
|
4.7
|
Form of 6.250% Notes due 2024, Note 9, of an aggregate principal amount of $599,050.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(4)
|
|
4.8
|
Form of 6.250% Notes due 2024, Note 10, of an aggregate principal amount of $807,500.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(4)
|
|
4.9
|
Form of 6.250% Notes due 2024, Note 11, of an aggregate principal amount of $799,475.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(4)
|
|
4.10
|
Form of 6.250% Notes due 2024, Note 12, of an aggregate principal amount of $501,625.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(4)
|
|
4.11
|
Four Hundred Thirty-Second Supplemental Indenture dated as of July 14, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(4)
|
|
4.12
|
Form of 6.250% Notes due 2024, Note 13, of an aggregate principal amount of $592,500.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(5)
|
|
4.13
|
Form of 6.250% Notes due 2024, Note 14, of an aggregate principal amount of $581,250.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(5)
|
|
4.14
|
Form of 6.250% Notes due 2024, Note 15, of an aggregate principal amount of $463,750.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(5)
|
|
4.15
|
Form of 6.250% Notes due 2024, Note 16, of an aggregate principal amount of $836,475.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(5)
|
|
4.16
|
Form of 6.250% Notes due 2024, Note 17, of an aggregate principal amount of $536,725.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(5)
|
|
4.17
|
Four Hundred Thirty-Third Supplemental Indenture dated as of July 21, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(5)
|
|
4.18
|
Form of 6.250% Notes due 2024, Note 18, of an aggregate principal amount of $1,746,400.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(6)
|
|
4.19
|
Form of 6.250% Notes due 2024, Note 19, of an aggregate principal amount of $826,325.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(6)
|
|
4.20
|
Form of 6.250% Notes due 2024, Note 20, of an aggregate principal amount of $838,525.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(6)
|
|
4.21
|
Form of 6.250% Notes due 2024, Note 21, of an aggregate principal amount of $1,027,325.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(6)
|
|
4.22
|
Form of 6.250% Notes due 2024, Note 22, of an aggregate principal amount of $1,329,050.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(6)
|
|
4.23
|
Four Hundred Thirty-Fourth Supplemental Indenture dated as of July 28, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(6)
|
|
4.24
|
Form of 6.250% Notes due 2024, Note 23, of an aggregate principal amount of $1,232,075.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(7)
|
|
4.25
|
Form of 6.250% Notes due 2024, Note 24, of an aggregate principal amount of $1,273,150.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(7)
|
|
4.26
|
Form of 6.250% Notes due 2024, Note 25, of an aggregate principal amount of $1,825,850.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(7)
|
|
4.27
|
Form of 6.250% Notes due 2024, Note 26, of an aggregate principal amount of $902,650.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(7)
|
|
4.28
|
Form of 6.250% Notes due 2024, Note 27, of an aggregate principal amount of $866,500.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(7)
|
|
4.29
|
Four Hundred Thirty-Fifth Supplemental Indenture dated as of August 4, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(7)
|
|
4.30
|
Form of 6.250% Notes due 2024, Note 28, of an aggregate principal amount of $1,284,800.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(8)
|
|
4.31
|
Form of 6.250% Notes due 2024, Note 29, of an aggregate principal amount of $1,423,275.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(8)
|
|
Exhibit No.
|
|
|
4.32
|
Form of 6.250% Notes due 2024, Note 30, of an aggregate principal amount of $1,424,750.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(8)
|
|
4.33
|
Form of 6.250% Notes due 2024, Note 31, of an aggregate principal amount of $1,525,475.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(8)
|
|
4.34
|
Form of 6.250% Notes due 2024, Note 32, of an aggregate principal amount of $1,335,200.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(8)
|
|
4.35
|
Four Hundred Thirty-Sixth Supplemental Indenture dated as of August 11, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(8)
|
|
4.36
|
Form of 6.250% Notes due 2024, Note 33, of an aggregate principal amount of $746,950.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(9)
|
|
4.37
|
Form of 6.250% Notes due 2024, Note 34, of an aggregate principal amount of $1,254,725.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(9)
|
|
4.38
|
Form of 6.250% Notes due 2024, Note 35, of an aggregate principal amount of $790,900.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(9)
|
|
4.39
|
Form of 6.250% Notes due 2024, Note 36, of an aggregate principal amount of $1,477,725.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(9)
|
|
4.40
|
Form of 6.250% Notes due 2024, Note 37, of an aggregate principal amount of $2,147,375.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(9)
|
|
4.41
|
Four Hundred Thirty-Seventh Supplemental Indenture dated as of August 18, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(9)
|
|
4.42
|
Form of 6.250% Notes due 2024, Note 38, of an aggregate principal amount of $1,502,000.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(10)
|
|
4.43
|
Form of 6.250% Notes due 2024, Note 39, of an aggregate principal amount of $1,098,150.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(10)
|
|
4.44
|
Form of 6.250% Notes due 2024, Note 40, of an aggregate principal amount of $719,375.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(10)
|
|
4.45
|
Form of 6.250% Notes due 2024, Note 41, of an aggregate principal amount of $979,025.00, pursuant to the Supplemental Indenture dated as of June 22, 2016, to the U.S. Bank Indenture(10)
|
|
4.46
|
Four Hundred Thirty-Eighth Supplemental Indenture dated as of August 25, 2016, to the U.S. Bank Indenture and Form of 5.500% Prospect Capital InterNote® due 2021(10)
|
|
4.47
|
Four Hundred Thirty-Ninth Supplemental Indenture dated as of September 15, 2016, to the U.S. Bank Indenture and Form of 5.250% Prospect Capital InterNote® due 2021(12)
|
|
4.48
|
Four Hundred Fortieth Supplemental Indenture dated as of September 22, 2016, to the U.S. Bank Indenture and Form of 5.250% Prospect Capital InterNote® due 2021(13)
|
|
4.49
|
Four Hundred Forty-First Supplemental Indenture dated as of September 29, 2016, to the U.S. Bank Indenture and Form of 5.000% Prospect Capital InterNote® due 2021(14)
|
|
10.1
|
Form of Debt Distribution Agreement(11)
|
|
11
|
Computation of Per Share Earnings (included in the notes to the financial statements contained in this report)
|
|
12
|
Computation of Ratios (included in the notes to the financial statements contained in this report)
|
|
31.1
|
Certification of Chief Executive Officer pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended*
|
|
31.2
|
Certification of Chief Financial Officer pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended*
|
|
32.1
|
Certification of Chief Executive Officer pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)*
|
|
32.2
|
Certification of Chief Financial Officer pursuant to Section 906 of The Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)*
|
|
*
|
Filed herewith.
|
|
(1)
|
Incorporated by reference to Exhibit 3.1 of the Registrant’s form 8-K, filed on May 9, 2014.
|
|
(2)
|
Incorporated by reference to Exhibit 3.1 of the Registrant’s Form 8-K, filed on December 11, 2015.
|
|
(3)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 29 to the Registration Statement on Form N-2, filed on July 8, 2016.
|
|
(4)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 30 to the Registration Statement on Form N-2, filed on July 14, 2016.
|
|
(5)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 31 to the Registration Statement on Form N-2, filed on July 21, 2016.
|
|
(6)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 32 to the Registration Statement on Form N-2, filed on July 28, 2016.
|
|
(7)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 33 to the Registration Statement on Form N-2, filed on August 4, 2016.
|
|
(8)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 34 to the Registration Statement on Form N-2, filed on August 11, 2016.
|
|
(9)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 35 to the Registration Statement on Form N-2, filed on August 18, 2016.
|
|
(10)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 36 to the Registration Statement on Form N-2, filed on August 25, 2016.
|
|
(11)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 37 to the Registration Statement on Form N-2, filed on September 1, 2016.
|
|
(12)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 38 to the Registration Statement on Form N-2, filed on September 15, 2016.
|
|
(13)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 39 to the Registration Statement on Form N-2, filed on September 22, 2016.
|
|
(14)
|
Incorporated by reference from the Registrant's Post-Effective Amendment No. 40 to the Registration Statement on Form N-2, filed on September 29, 2016.
|
|
PROSPECT CAPITAL CORPORATION
|
|
|
|
|
|
By:
|
/s/ JOHN F. BARRY III
|
|
|
John F. Barry III
|
|
|
Chairman of the Board and Chief Executive Officer
|
|
/s/ JOHN F. BARRY III
|
|
/s/ ANDREW C. COOPER
|
|
John F. Barry III
|
|
Andrew C. Cooper
|
|
Chairman of the Board, Chief Executive Officer and Director
|
|
Director
|
|
November 8, 2016
|
|
November 8, 2016
|
|
|
|
|
|
/s/ BRIAN H. OSWALD
|
|
/s/ WILLIAM J. GREMP
|
|
Brian H. Oswald
|
|
William J. Gremp
|
|
Chief Financial Officer
|
|
Director
|
|
November 8, 2016
|
|
November 8, 2016
|
|
|
|
|
|
/s/ M. GRIER ELIASEK
|
|
/s/ EUGENE S. STARK
|
|
M. Grier Eliasek
|
|
Eugene S. Stark
|
|
President, Chief Operating Officer and Director
|
|
Director
|
|
November 8, 2016
|
|
November 8, 2016
|
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
| FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
|---|
| DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
|---|
No information found
No Customers Found
No Suppliers Found
Price
Yield
| Owner | Position | Direct Shares | Indirect Shares |
|---|