ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR |
Delaware | 47-2039472 | |||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |||||||
330 Madison Avenue, New York, New York | 10017 | |||||||
(Address of principal executive offices) | (Zip Code) | |||||||
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||||||||
None | N/A | N/A |
Large accelerated filer | ¨ | Accelerated filer | ¨ | |||||||||||
Non-accelerated filer | ý | Smaller reporting company | ¨ | |||||||||||
Emerging growth company | ¨ | |||||||||||||
PART I. FINANCIAL INFORMATION | ||||||||||
Item 1. | ||||||||||
Item 2. | ||||||||||
Item 3. | ||||||||||
Item 4. | ||||||||||
PART II. OTHER INFORMATION | ||||||||||
Item 1. | ||||||||||
Item 1A. | ||||||||||
Item 2. | ||||||||||
Item 3. | ||||||||||
Item 5. | ||||||||||
Item 6. | ||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2020 | December 31, 2019 | |||||||||||||||
Assets | Assets | |||||||||||||||||
Investments at fair value (amortized cost of $377,494 and $272,996, respectively) | $ | 381,054 | $ | 275,084 | ||||||||||||||
Investments at fair value (amortized cost of $357,037 and $385,802, respectively) | Investments at fair value (amortized cost of $357,037 and $385,802, respectively) | $ | 329,201 | $ | 372,193 | |||||||||||||
Cash | 5,556 | 6,593 | Cash | 8,099 | 1,454 | |||||||||||||
Restricted cash | 16,317 | 19,575 | Restricted cash | 8,634 | 7,512 | |||||||||||||
Collateral deposits for foreign currency forward contracts | 400 | — | ||||||||||||||||
Deferred offering costs | — | 68 | ||||||||||||||||
Interest and dividend income receivable | 2,838 | 1,557 | Interest and dividend income receivable | 2,436 | 2,622 | |||||||||||||
Principal receivable | 113 | 2,521 | Principal receivable | 1,215 | — | |||||||||||||
Advisor transition costs reimbursement receivable | 280 | — | ||||||||||||||||
Unrealized appreciation on foreign currency forward contracts | 9 | — | ||||||||||||||||
Prepaid and deferred expenses | 23 | 34 | ||||||||||||||||
Receivable from related parties | Receivable from related parties | 30 | 35 | |||||||||||||||
Unrealized appreciation of foreign currency forward contracts | Unrealized appreciation of foreign currency forward contracts | 12 | — | |||||||||||||||
Prepaid expenses and other assets | Prepaid expenses and other assets | 175 | 284 | |||||||||||||||
Total assets | $ | 406,590 | $ | 305,432 | Total assets | $ | 349,802 | $ | 384,100 | |||||||||
Liabilities | Liabilities | |||||||||||||||||
Credit facility payable, net of financing costs | $ | 148,865 | $ | 124,505 | Credit facility payable, net of financing costs | $ | 150,147 | $ | 170,862 | |||||||||
Unrealized depreciation on foreign currency forward contracts | Unrealized depreciation on foreign currency forward contracts | 209 | 87 | |||||||||||||||
Payable for investments purchased | 4,930 | 1,093 | Payable for investments purchased | 729 | — | |||||||||||||
Accrued investment advisory fee | 617 | 489 | ||||||||||||||||
Accrued performance-based incentive fee | 1,156 | 536 | ||||||||||||||||
Unrealized depreciation on foreign currency forward contracts | 394 | 8 | ||||||||||||||||
Payable to related party | 25 | 33 | ||||||||||||||||
Trustees fees payable | 50 | — | ||||||||||||||||
Accrued professional services fees | 537 | 436 | ||||||||||||||||
Accrued advisor transition costs | 333 | — | ||||||||||||||||
Accrued management fee | Accrued management fee | 505 | 576 | |||||||||||||||
Payable to related parties | Payable to related parties | 150 | 195 | |||||||||||||||
Distributions payable | Distributions payable | 1,063 | — | |||||||||||||||
Collateral payable for foreign currency forward contracts | Collateral payable for foreign currency forward contracts | — | 320 | |||||||||||||||
Accounts payable, accrued expenses and other liabilities | 316 | 266 | Accounts payable, accrued expenses and other liabilities | 617 | 863 | |||||||||||||
Total liabilities | 157,223 | 127,366 | Total liabilities | 153,420 | 172,903 | |||||||||||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | ||||||||||||||||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | Commitments and contingencies (Note 8. Commitments and Contingencies) | |||||||||||||||||
Net Assets | $ | 249,367 | $ | 178,066 | Net Assets | $ | 196,382 | $ | 211,197 | |||||||||
Components of Net Assets: | Components of Net Assets: | |||||||||||||||||
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 29,151,096 and 21,016,797 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively | $ | 29 | $ | 21 | ||||||||||||||
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 27,014,903 and 27,157,534 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively | Common shares, $0.001 par value, 1,000,000,000 shares authorized, 27,014,903 and 27,157,534 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively | $ | 27 | $ | 27 | |||||||||||||
Paid-in-capital in excess of par value | 245,788 | 176,411 | Paid-in-capital in excess of par value | 229,065 | 229,996 | |||||||||||||
Accumulated distributions in excess of net investment income | (1,501 | ) | (445 | ) | ||||||||||||||
Accumulated undistributed net realized gain | 1,876 | — | ||||||||||||||||
Net unrealized appreciation | 3,175 | 2,079 | ||||||||||||||||
Accumulated loss, net of distributions | Accumulated loss, net of distributions | (32,710) | (18,826) | |||||||||||||||
Net assets | $ | 249,367 | $ | 178,066 | Net assets | $ | 196,382 | $ | 211,197 | |||||||||
Net asset value per Common Share | $ | 8.55 | $ | 8.47 | Net asset value per Common Share | $ | 7.27 | $ | 7.78 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Investment Income | |||||||||||||||||||||||
Interest income | $ | 6,037 | $ | 8,844 | $ | 20,123 | $ | 25,987 | |||||||||||||||
PIK interest income | 395 | 66 | 930 | 154 | |||||||||||||||||||
Dividend income | 214 | 244 | 670 | 783 | |||||||||||||||||||
Fee income | 50 | 8 | 282 | 275 | |||||||||||||||||||
Total investment income | 6,696 | 9,162 | 22,005 | 27,199 | |||||||||||||||||||
Operating Expenses | |||||||||||||||||||||||
Interest expense and other financing costs | 1,255 | 2,196 | 4,559 | 6,465 | |||||||||||||||||||
Management fee | 1,549 | 1,759 | 4,710 | 5,171 | |||||||||||||||||||
Performance-based incentive fee | — | — | — | 11 | |||||||||||||||||||
Administrative services | 39 | 50 | 132 | 151 | |||||||||||||||||||
Custody services | 23 | 23 | 72 | 72 | |||||||||||||||||||
Trustees fees | 88 | 92 | 262 | 252 | |||||||||||||||||||
Related party reimbursements | 151 | 203 | 499 | 623 | |||||||||||||||||||
Professional services fees | 218 | 214 | 651 | 703 | |||||||||||||||||||
Other expenses | 67 | 58 | 200 | 183 | |||||||||||||||||||
Total expenses | 3,390 | 4,595 | 11,085 | 13,631 | |||||||||||||||||||
Net investment income | 3,306 | 4,567 | 10,920 | 13,568 | |||||||||||||||||||
Realized and unrealized gains (losses): | |||||||||||||||||||||||
Net realized gains (losses) on: | |||||||||||||||||||||||
Investments | 454 | 205 | (181) | (6,600) | |||||||||||||||||||
Foreign currency forward contracts | (383) | 752 | 668 | 626 | |||||||||||||||||||
Foreign currency transactions | 10 | (5) | 171 | 81 | |||||||||||||||||||
Net realized gains (losses) | 81 | 952 | 658 | (5,893) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments | 6,901 | (6,070) | (14,227) | (285) | |||||||||||||||||||
Foreign currency forward contracts | (605) | 144 | (110) | 523 | |||||||||||||||||||
Foreign currency transactions | 3 | — | 2 | (17) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 6,299 | (5,926) | (14,335) | 221 | |||||||||||||||||||
Net realized and unrealized gains (losses) | 6,380 | (4,974) | (13,677) | (5,672) | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 9,686 | $ | (407) | $ | (2,757) | $ | 7,896 | |||||||||||||||
Per Common Share information: | |||||||||||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.12 | $ | 0.16 | $ | 0.40 | $ | 0.47 | |||||||||||||||
Earnings (loss) per Common Share - basic and diluted | $ | 0.36 | $ | (0.01) | $ | (0.10) | $ | 0.27 | |||||||||||||||
Weighted average Common Shares outstanding - basic and diluted | 27,127,699 | 28,613,345 | 27,224,991 | 28,997,077 | |||||||||||||||||||
Distribution per Common Share | $ | 0.13 | $ | 0.14 | $ | 0.41 | $ | 0.47 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Investment income | |||||||||||||||
Interest income | $ | 8,318 | $ | 3,503 | $ | 21,577 | $ | 7,117 | |||||||
Dividend income | — | — | — | 37 | |||||||||||
Fee income | 13 | 204 | 671 | 221 | |||||||||||
Total investment income | 8,331 | 3,707 | 22,248 | 7,375 | |||||||||||
Operating expenses | |||||||||||||||
Interest expense | 1,703 | 998 | 4,807 | 1,928 | |||||||||||
Administrative services | 44 | 32 | 141 | 82 | |||||||||||
Related party reimbursements | 105 | 98 | 328 | 286 | |||||||||||
Investment advisory fee | 1,986 | 1,025 | 5,620 | 2,142 | |||||||||||
Performance-based incentive fee | 201 | 43 | 620 | 43 | |||||||||||
Custody services | 24 | 18 | 68 | 47 | |||||||||||
Trustees fees | 112 | 101 | 372 | 264 | |||||||||||
Professional services fees | 229 | 253 | 765 | 812 | |||||||||||
Insurance | 36 | 35 | 106 | 107 | |||||||||||
Organizational expenses | — | — | — | 228 | |||||||||||
Advisor transition costs | 662 | — | 662 | — | |||||||||||
Other expenses | 29 | 21 | 85 | 52 | |||||||||||
Total expenses before advisor transition costs reimbursement | 5,131 | 2,624 | 13,574 | 5,991 | |||||||||||
Reimbursement of advisor transition costs | (662 | ) | — | (662 | ) | — | |||||||||
Total expenses | 4,469 | 2,624 | 12,912 | 5,991 | |||||||||||
Net investment income | 3,862 | 1,083 | 9,336 | 1,384 | |||||||||||
Realized and unrealized gain (loss): | |||||||||||||||
Net realized gains (losses) on: | |||||||||||||||
Investments | 491 | 467 | 3,021 | 474 | |||||||||||
Foreign currency forward contracts | (410 | ) | — | (1,029 | ) | — | |||||||||
Foreign currency transactions | (5 | ) | — | (116 | ) | — | |||||||||
Net realized gains | 76 | 467 | 1,876 | 474 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | 1,097 | 4,131 | 1,473 | 5,391 | |||||||||||
Foreign currency forward contracts | (217 | ) | — | (377 | ) | — | |||||||||
Net change in unrealized appreciation | 880 | 4,131 | 1,096 | 5,391 | |||||||||||
Net realized and unrealized gains | 956 | 4,598 | 2,972 | 5,865 | |||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 | |||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.13 | $ | 0.08 | $ | 0.35 | $ | 0.14 | |||||||
Earnings per Common Share - basic and diluted (Note 9. Earnings Per Common Share) | $ | 0.16 | $ | 0.40 | $ | 0.46 | $ | 0.71 | |||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,214,286 | 14,367,189 | 26,976,497 | 10,219,786 | |||||||||||
Distributions per Common Share | $ | 0.16 | $ | 0.17 | $ | 0.38 | $ | 0.22 |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | |||||||||||||||||||||||||||
Shares | Amount | Total | |||||||||||||||||||||||||||
Balance at December 31, 2019 | 27,157,534 | $ | 27 | $ | 229,996 | $ | (18,826) | $ | 211,197 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 3,999 | 3,999 | ||||||||||||||||||||||||
Net realized gains | — | — | — | 2,870 | 2,870 | ||||||||||||||||||||||||
Net change in unrealized depreciation | — | — | — | (36,659) | (36,659) | ||||||||||||||||||||||||
Net decrease in net assets resulting from operations | — | — | — | (29,790) | (29,790) | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (4,066) | (4,066) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (4,066) | (4,066) | ||||||||||||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||||
Issuance of Common Shares | 639,552 | 1 | 4,999 | — | 5,000 | ||||||||||||||||||||||||
Repurchase of Common Shares | (718,264) | (1) | (5,494) | — | (5,495) | ||||||||||||||||||||||||
Net decrease in net assets resulting from capital share transactions | (78,712) | — | (495) | — | (495) | ||||||||||||||||||||||||
Net decrease for the period | (78,712) | — | (495) | (33,856) | (34,351) | ||||||||||||||||||||||||
Balance at March 31, 2020 | 27,078,822 | $ | 27 | $ | 229,501 | $ | (52,682) | $ | 176,846 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 3,615 | 3,615 | ||||||||||||||||||||||||
Net realized losses | — | — | — | (2,293) | (2,293) | ||||||||||||||||||||||||
Net change in unrealized appreciation | — | — | — | 16,025 | 16,025 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | — | — | — | 17,347 | 17,347 | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (3,624) | (3,624) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (3,624) | (3,624) | ||||||||||||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||||
Repurchase of Common Shares | (267,193) | — | (1) | (1,838) | — | (1,838) | |||||||||||||||||||||||
Net decrease in net assets resulting from capital share transactions | (267,193) | — | (1,838) | — | (1,838) | ||||||||||||||||||||||||
Net increase (decrease) for the period | (267,193) | — | (1,838) | 13,723 | 11,885 | ||||||||||||||||||||||||
Balance at June 30, 2020 | 26,811,629 | $ | 27 | $ | 227,663 | $ | (38,959) | $ | 188,731 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 3,306 | 3,306 | ||||||||||||||||||||||||
Net realized gains | — | — | — | 81 | 81 | ||||||||||||||||||||||||
Net change in unrealized appreciation | — | — | — | 6,299 | 6,299 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | — | — | — | 9,686 | 9,686 | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (3,437) | (3,437) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (3,437) | (3,437) | ||||||||||||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||||
Issuance of Common Shares | 430,899 | — | (1) | 3,050 | — | 3,050 | |||||||||||||||||||||||
Repurchase of Common Shares | (227,625) | — | (1) | (1,648) | — | (1,648) | |||||||||||||||||||||||
Net increase in net assets resulting from capital share transactions | 203,274 | — | 1,402 | — | 1,402 | ||||||||||||||||||||||||
Net increase for the period | 203,274 | — | 1,402 | 6,249 | 7,651 | ||||||||||||||||||||||||
Balance at September 30, 2020 | 27,014,903 | $ | 27 | $ | 229,065 | $ | (32,710) | $ | 196,382 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Operations | |||||||
Net investment income | $ | 9,336 | $ | 1,384 | |||
Net realized gains | 1,876 | 474 | |||||
Net change in unrealized appreciation | 1,096 | 5,391 | |||||
Net increase in net assets resulting from operations | 12,308 | 7,249 | |||||
Shareholder distributions: | |||||||
Distributions from net investment income | (9,336 | ) | (1,399 | ) | |||
Distributions in excess of net investment income | (1,056 | ) | (1,707 | ) | |||
Net decrease in net assets resulting from shareholder distributions | (10,392 | ) | (3,106 | ) | |||
Capital share transactions: | |||||||
Issuance of Common Shares | 70,676 | 88,869 | |||||
Repurchase of Common Shares | (1,291 | ) | — | ||||
Net increase in net assets resulting from capital share transactions | 69,385 | 88,869 | |||||
Total increase in net assets | 71,301 | 93,012 | |||||
Net assets at beginning of period | 178,066 | 46,704 | |||||
Net assets at end of period | $ | 249,367 | $ | 139,716 | |||
Capital share activity: | |||||||
Common Shares outstanding at the beginning of the period | 21,016,797 | 5,840,060 | |||||
Common Shares issued from subscriptions | 8,285,299 | 10,980,584 | |||||
Repurchase of Common Shares outstanding | (151,000 | ) | — | ||||
Common Shares outstanding at the end of the period | 29,151,096 | 16,820,644 | |||||
Accumulated distributions in excess of net investment income | $ | (1,501 | ) | $ | (1,707 | ) |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | |||||||||||||||||||||||||||
Shares | Amount | Total | |||||||||||||||||||||||||||
Balance at December 31, 2018 | 29,195,002 | $ | 29 | $ | 246,083 | $ | (9,880) | $ | 236,232 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 4,398 | 4,398 | ||||||||||||||||||||||||
Net realized losses | — | — | — | (866) | (866) | ||||||||||||||||||||||||
Net change in unrealized appreciation | — | — | — | 555 | 555 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | — | — | — | 4,087 | 4,087 | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (4,717) | (4,717) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (4,717) | (4,717) | ||||||||||||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||||
Issuance of Common Shares | 124,070 | — | (1) | 1,000 | — | 1,000 | |||||||||||||||||||||||
Repurchase of Common Shares | (38,000) | — | (1) | (307) | — | (307) | |||||||||||||||||||||||
Net increase in net assets resulting from capital share transactions | 86,070 | — | 693 | — | 693 | ||||||||||||||||||||||||
Net increase (decrease) for the period | 86,070 | — | 693 | (630) | 63 | ||||||||||||||||||||||||
Balance at March 31, 2019 | 29,281,072 | $ | 29 | $ | 246,776 | $ | (10,510) | $ | 236,295 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 4,603 | 4,603 | ||||||||||||||||||||||||
Net realized losses | — | — | — | (5,979) | (5,979) | ||||||||||||||||||||||||
Net change in unrealized appreciation | — | — | — | 5,592 | 5,592 | ||||||||||||||||||||||||
Net increase in net assets resulting from operations | — | — | — | 4,216 | 4,216 | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (5,106) | (5,106) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (5,106) | (5,106) | ||||||||||||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||||
Repurchase of Common Shares | (667,727) | — | (1) | (5,375) | — | (5,375) | |||||||||||||||||||||||
Net decrease in net assets resulting from capital share transactions | (667,727) | — | (5,375) | — | (5,375) | ||||||||||||||||||||||||
Net decrease for the period | (667,727) | — | (5,375) | (890) | (6,265) | ||||||||||||||||||||||||
Balance at June 30, 2019 | 28,613,345 | $ | 29 | $ | 241,401 | $ | (11,400) | $ | 230,030 | ||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||||
Net investment income | — | — | — | 4,567 | 4,567 | ||||||||||||||||||||||||
Net realized gains | — | — | — | 952 | 952 | ||||||||||||||||||||||||
Net change in unrealized depreciation | — | — | — | (5,926) | (5,926) | ||||||||||||||||||||||||
Net decrease in net assets resulting from operations | — | — | — | (407) | (407) | ||||||||||||||||||||||||
Shareholder distributions: | |||||||||||||||||||||||||||||
Distributions from earnings | — | — | — | (3,924) | (3,924) | ||||||||||||||||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (3,924) | (3,924) | ||||||||||||||||||||||||
Net decrease for the period | — | — | — | (4,331) | (4,331) | ||||||||||||||||||||||||
Balance at September 30, 2019 | 28,613,345 | $ | 29 | $ | 241,401 | $ | (15,731) | $ | 225,699 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Operating activities | |||||||
Net increase in net assets resulting from operations | $ | 12,308 | $ | 7,249 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | |||||||
Paid-in-kind income | (169 | ) | (37 | ) | |||
Amortization of premium/accretion on investments, net | (941 | ) | (393 | ) | |||
Proceeds from sales of investments | 51,037 | 37,488 | |||||
Proceeds from paydowns on investments | 55,061 | 22,154 | |||||
Purchase of investments | (206,464 | ) | (195,614 | ) | |||
Net realized gain on investments | (3,021 | ) | (474 | ) | |||
Net change in unrealized appreciation on investments | (1,473 | ) | (5,391 | ) | |||
Net change in unrealized depreciation on foreign currency forward contracts | 377 | — | |||||
Amortization of deferred financing costs | 360 | 342 | |||||
(Increase) decrease in operating assets: | |||||||
Deferred offering costs | 68 | — | |||||
Interest and dividend income receivable | (1,281 | ) | (842 | ) | |||
Principal receivable | 2,408 | 23 | |||||
Advisor transition costs reimbursement receivable | (280 | ) | — | ||||
Prepaid and deferred expenses | 11 | (119 | ) | ||||
Increase (decrease) in operating liabilities: | |||||||
Payable for investments purchased | 3,837 | (4,230 | ) | ||||
Accrued investment advisory fee | 128 | 206 | |||||
Accrued performance-based incentive fee | 620 | 43 | |||||
Payable to related party | (8 | ) | 19 | ||||
Accrued professional services fees | 101 | 212 | |||||
Trustees fees payable | 50 | 45 | |||||
Accrued advisor transition costs | 333 | — | |||||
Accounts payable, accrued expenses and other liabilities | 50 | 79 | |||||
Net cash used in operating activities | (86,888 | ) | (139,240 | ) | |||
Financing activities | |||||||
Issuance of Common Shares | 70,676 | 88,869 | |||||
Repurchase of Common Shares | (1,291 | ) | — | ||||
Credit facility borrowings | 24,000 | 58,000 | |||||
Payment of financing costs | — | (219 | ) | ||||
Distributions paid | (10,392 | ) | (3,106 | ) | |||
Net cash provided by financing activities | 82,993 | 143,544 | |||||
Net increase (decrease) in restricted and unrestricted cash | (3,895 | ) | 4,304 | ||||
Restricted and unrestricted cash, beginning of period | 26,168 | 9,925 | |||||
Restricted and unrestricted cash, end of period | $ | 22,273 | $ | 14,229 | |||
Reconciliation of restricted and unrestricted cash | |||||||
Cash | 5,556 | 5,464 | |||||
Restricted cash | 16,317 | 8,765 | |||||
Collateral deposits for foreign currency forward contracts | 400 | — | |||||
Total restricted and unrestricted cash | $ | 22,273 | $ | 14,229 | |||
Supplemental disclosure of cash flow information: | |||||||
Cash paid for interest | $ | 4,360 | $ | 1,468 |
For the Nine Months Ended September 30, | |||||||||||
2020 | 2019 | ||||||||||
Operating activities | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,757) | $ | 7,896 | |||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | |||||||||||
Capitalized paid-in-kind income | (1,411) | (719) | |||||||||
Amortization of premium/accretion of discount, net | (987) | (1,153) | |||||||||
Proceeds from sales of investments | 18,782 | 35,509 | |||||||||
Proceeds from paydowns on investments | 72,676 | 16,963 | |||||||||
Net receipt of settlement of derivatives | 4,037 | 2,881 | |||||||||
Net payment of settlement of derivatives | (3,369) | (2,255) | |||||||||
Net realized gains on derivatives | (668) | (626) | |||||||||
Purchases of investments | (60,476) | (59,264) | |||||||||
Net realized losses on investments | 181 | 6,600 | |||||||||
Net change in unrealized depreciation on investments | 14,227 | 285 | |||||||||
Net change in unrealized (appreciation) depreciation on foreign currency forward contracts | 110 | (523) | |||||||||
Amortization of deferred financing costs | 285 | 284 | |||||||||
(Increase) decrease in operating assets: | |||||||||||
Interest and dividend income receivable | 186 | (61) | |||||||||
Principal receivable | (1,215) | 6,852 | |||||||||
Receivable from related parties | 5 | 9 | |||||||||
Prepaid expenses and other assets | 109 | 160 | |||||||||
Increase (decrease) in operating liabilities: | |||||||||||
Payable for investments purchased | 729 | 239 | |||||||||
Accrued management fee | (71) | (12) | |||||||||
Payable to related parties | (45) | 26 | |||||||||
Collateral payable for foreign currency forward contracts | (320) | — | |||||||||
Accounts payable, accrued expenses and other liabilities | (246) | 90 | |||||||||
Net cash provided by operating activities | 39,762 | 13,181 | |||||||||
Financing activities | |||||||||||
Issuance of Common Shares | 8,050 | 1,000 | |||||||||
Repurchase of Common Shares | (8,981) | (5,682) | |||||||||
Credit facility borrowings | 4,000 | 22,000 | |||||||||
Credit facility repayments | (25,000) | (5,000) | |||||||||
Distributions paid | (10,064) | (16,031) | |||||||||
Net cash used in financing activities | (31,995) | (3,713) | |||||||||
Net increase in restricted and unrestricted cash | 7,767 | 9,468 | |||||||||
Restricted and unrestricted cash, beginning of period | 8,966 | 10,302 | |||||||||
Restricted and unrestricted cash, end of period | $ | 16,733 | $ | 19,770 | |||||||
Reconciliation of restricted and unrestricted cash | |||||||||||
Cash | 8,099 | 3,385 | |||||||||
Restricted cash | 8,634 | 16,385 | |||||||||
Total restricted and unrestricted cash | $ | 16,733 | $ | 19,770 | |||||||
Supplemental disclosure of cash flow information and non-cash financing activities: | |||||||||||
Cash paid for interest | $ | 4,296 | $ | 6,087 | |||||||
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt investments - 163.2% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Arcline FM Holdings LLC | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 1/21/2025 | 4,342 | $ | 4,253 | $ | 4,265 | 2.1 | % | ||||||||||||||||||||||||||||||||||||||||||||
Arcline FM Holdings LLC | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 1/21/2025 | — | (55) | (47) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,198 | 4,218 | 2.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 6/12/2021 | 3,388 | 3,382 | 3,329 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Aerospace & Defense | 7,580 | 7,547 | 3.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Automotive | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 11/17/2023 | 11,550 | 11,324 | 9,066 | 4.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
American Tire Distributors Inc. | Senior Secured Loans - First Lien | L+7.50% | 8.50% | 8/30/2024 | 2,948 | 2,690 | 2,533 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
BBB Industries | Senior Secured Loans - First Lien | L+4.50% | 5.58% | 8/1/2025 | 1,960 | 1,946 | 1,819 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
EnTrans International, LLC | (13) | Senior Secured Loans - First Lien | L+6.00% | 6.16% | 11/1/2024 | 7,440 | 6,279 | 6,622 | 3.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Mavis Tire Express Services Corp. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 3/20/2023 | — | (14) | (13) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | Senior Secured Loans - First Lien | L+3.25% | 3.47% | 3/20/2025 | 3,615 | 3,602 | 3,441 | 1.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
3,588 | 3,428 | 1.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Wesco Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.33% | 6/14/2024 | 1,238 | 1,227 | 1,234 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Automotive | 27,054 | 24,702 | 12.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gladman Developments Ltd. | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 9.57% | 8/16/2024 | £ | 2,470 | 3,104 | 3,082 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
Gladman Developments Ltd. (Delayed Draw) | UK(9)(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 9.57% | 8/16/2024 | £ | 784 | 1,004 | 954 | 0.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
4,108 | 4,036 | 2.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Hunt Companies, Inc. | (11) | Senior Secured Bonds | N/A | 6.25% | 2/15/2026 | 2,000 | 2,000 | 1,920 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
JZ Capital Partners Ltd. | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 6/14/2021 | 375 | 372 | 371 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 6,480 | 6,327 | 3.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+8.00% | 9.00% | 4/19/2024 | £ | 9,995 | 12,266 | 12,718 | 6.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
Blue Ribbon LLC | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 11/15/2021 | 2,762 | 2,365 | 2,573 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Checkers Holdings Inc | (13) | Senior Secured Loans - First Lien | L+4.25% | 5.25% | 4/25/2024 | 1,136 | 730 | 737 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||
Debt investments - 152.6% | ||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||
Advanced Integration Technology | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 4/3/2023 | 8,915 | $ | 8,784 | $ | 8,893 | 3.6 | % | ||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 6/14/2021 | 3,488 | 3,458 | 3,400 | 1.4 | % | ||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.06% | 9/8/2023 | 3,960 | 3,921 | 3,940 | 1.6 | % | ||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - Second Lien | L+8.75% | 10.06% | 9/6/2024 | 4,000 | 3,873 | 3,878 | 1.5 | % | ||||||||||||||
7,794 | 7,818 | 3.1 | % | |||||||||||||||||||||
Total Aerospace & Defense | 20,036 | 20,111 | 8.1 | % | ||||||||||||||||||||
Automotive | ||||||||||||||||||||||||
Accuride Corp. | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.33% | 11/10/2023 | 11,910 | 11,506 | 12,104 | 4.8 | % | ||||||||||||||
Express Oil | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 6/14/2024 | 2,368 | 2,317 | 2,317 | 0.9 | % | ||||||||||||||
Express Oil (Delayed Draw) | (12)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 6/14/2024 | 779 | 771 | 761 | 0.3 | % | ||||||||||||||
Express Oil (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | N/A | 6/14/2022 | — | (29 | ) | (28 | ) | — | % | ||||||||||||
3,059 | 3,050 | 1.2 | % | |||||||||||||||||||||
Humanetics | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.24% | 7/12/2022 | 8,543 | 8,344 | 8,402 | 3.4 | % | ||||||||||||||
Humanetics (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.00% | N/A | 7/12/2022 | — | (9 | ) | (48 | ) | — | % | ||||||||||||
8,335 | 8,354 | 3.4 | % | |||||||||||||||||||||
Mavis Tire Supply LLC | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.49% | 11/2/2020 | 2,933 | 2,905 | 2,907 | 1.2 | % | ||||||||||||||
Total Automotive | 25,805 | 26,415 | 10.6 | % | ||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||
C-III Capital Partners | (11)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.25% | 8/8/2021 | 2,545 | 2,463 | 2,523 | 1.0 | % | ||||||||||||||
Integro Insurance Brokers | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.83% | 10/28/2022 | 1,002 | 972 | 999 | 0.4 | % | ||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 3,435 | 3,522 | 1.4 | % | ||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.00% | 3/14/2024 | £10,000 | 12,144 | 13,057 | 5.2 | % | ||||||||||||||
Blue Harvest Fisheries | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.24% | 7/29/2022 | 6,809 | 6,723 | 6,726 | 2.7 | % | ||||||||||||||
Blue Harvest Fisheries | (14)(15) | Subordinated Debt | N/A | 10.00% | 7/29/2022 | 357 | 354 | 356 | 0.2 | % | ||||||||||||||
7,077 | 7,082 | 2.9 | % | |||||||||||||||||||||
Chef's Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 6/22/2022 | 4,038 | 3,974 | 4,094 | 1.6 | % |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
CTI Foods Holdings Co., LLC (First Out) | (14)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 5/3/2024 | 1,977 | 1,977 | 1,858 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
CTI Foods Holdings Co., LLC (Last Out) | (13)(14)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.00% | 5/3/2024 | 788 | 788 | 717 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
2,765 | 2,575 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 3/31/2023 | 872 | 868 | 866 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 3/31/2023 | 812 | 807 | 807 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
1,675 | 1,673 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Topps Company | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.50% | 10/2/2022 | 4,950 | 4,925 | 4,933 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
US Foods Inc. | (11)(13)(15) | Senior Secured Loans - First Lien | L+3.25% | 4.25% | 4/24/2025 | 2,963 | 2,755 | 2,888 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Beverage, Food & Tobacco | 27,481 | 28,097 | 14.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Equipment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 1,930 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Capital Equipment | 2,000 | 1,930 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aceto Chemicals | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 4/29/2025 | 5,135 | 5,106 | 5,108 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Aceto Chemicals (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 4/29/2025 | 240 | 161 | 164 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,267 | 5,272 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Drew Marine Group Inc. | (15) | Senior Secured Loans - First Lien | L+4.00% | 4.40% | 6/26/2026 | 988 | 975 | 976 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Ilpea Parent, Inc. | IT(10)(11)(15) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 3/2/2023 | 5,336 | 5,299 | 5,262 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Neon Holdings Inc | Senior Secured Bonds | N/A | 10.13% | 4/1/2026 | 284 | 280 | 300 | 0.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Seal For Life Industries US LLC (Revolver) | (9)(11)(13)(15) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/24/2024 | 217 | 152 | 155 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Seal For Life Industries US LLC | (11)(15) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/23/2025 | 6,938 | 6,819 | 6,851 | 3.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,971 | 7,006 | 3.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Chemicals, Plastics & Rubber | 18,792 | 18,816 | 9.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.32% | 6/26/2023 | 5,386 | 5,339 | 5,362 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - Second Lien | L+8.25% | 9.32% | 6/26/2024 | 6,000 | 5,923 | 5,875 | 3.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+4.25% | 4.40% | 6/24/2022 | 173 | 153 | 154 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
11,415 | 11,391 | 5.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - First Lien | L+4.25% | 6.05% | 6/15/2025 | 872 | 866 | 841 | 0.4 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
CTI Foods | Senior Secured Loans - Second Lien | L+7.25% | 8.49% | 6/28/2021 | 5,000 | 4,689 | 4,069 | 1.6 | % | |||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.80% | 3/31/2023 | 1,000 | 991 | 991 | 0.4 | % | ||||||||||||||
Parts Town, LLC | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 6,930 | 6,930 | 6,930 | 2.8 | % | ||||||||||||||
Parts Town, LLC | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 1,493 | 1,479 | 1,493 | 0.6 | % | ||||||||||||||
Parts Town, LLC (Revolver) | (8)(12)(15)(13) | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 6/23/2022 | 800 | 717 | 718 | 0.3 | % | ||||||||||||||
9,126 | 9,141 | 3.7 | % | |||||||||||||||||||||
Reddy Ice | Senior Secured Loans - First Lien | L+5.50% | 6.75% | 5/1/2019 | 3,625 | 3,514 | 3,576 | 1.4 | % | |||||||||||||||
Total Beverage, Food & Tobacco | 41,515 | 42,010 | 16.8 | % | ||||||||||||||||||||
Capital Equipment | ||||||||||||||||||||||||
Endries Acquisition Holdings | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.98% | 6/1/2023 | 625 | 619 | 619 | 0.3 | % | ||||||||||||||
Great Lakes Dredge and Dock | (11) | Senior Unsecured Debt | N/A | 8.00% | 5/15/2022 | 2,000 | 2,000 | 2,075 | 0.8 | % | ||||||||||||||
Total Capital Equipment | 2,619 | 2,694 | 1.1 | % | ||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||
Ilpea Parent Inc | IT(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.74% | 3/31/2023 | 5,863 | 5,782 | 5,885 | 2.4 | % | ||||||||||||||
Total Chemicals, Plastics & Rubber | 5,782 | 5,885 | 2.4 | % | ||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||
CH2M | (15) | Senior Secured Bonds | N/A | 10.00% | 4/28/2020 | 12,000 | 12,000 | 13,020 | 5.2 | % | ||||||||||||||
Fiber Composites, LLC | (14)(15)(20) | Senior Unsecured Debt | N/A | 12.50% | 6/29/2022 | 5,458 | 5,333 | 5,453 | 2.2 | % | ||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 6/26/2023 | 5,553 | 5,461 | 5,461 | 2.2 | % | ||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.58% | 6/26/2024 | 6,000 | 5,873 | 5,870 | 2.4 | % | ||||||||||||||
GAL Manufacturing (Revolver) | (8)(13)(15) | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 6/26/2022 | 60 | 8 | 8 | — | % | ||||||||||||||
11,342 | 11,339 | 4.6 | % | |||||||||||||||||||||
Hayward Industries, Inc. | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.49% | 7/18/2025 | 6,000 | 5,895 | 5,970 | 2.4 | % | ||||||||||||||
SRS Distribution Inc. | Senior Secured Loans - Second Lien | L+8.75% | 9.99% | 2/24/2023 | 6,790 | 6,710 | 6,985 | 2.8 | % | |||||||||||||||
Total Construction & Building | 41,280 | 42,767 | 17.2 | % | ||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.08% | 4/30/2021 | 4,758 | 4,709 | 4,716 | 1.9 | % | ||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.01% | 4/30/2021 | 923 | 911 | 915 | 0.4 | % | ||||||||||||||
5,620 | 5,631 | 2.3 | % | |||||||||||||||||||||
Total Consumer Goods: Non-Durable | 5,620 | 5,631 | 2.3 | % | ||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 9/23/2021 | 5,526 | 5,014 | 5,511 | 2.2 | % | |||||||||||||||
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - Second Lien | L+8.50% | 9.57% | 6/15/2026 | 1,588 | 1,526 | 1,369 | 0.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||
2,392 | 2,210 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Construction & Building | 13,807 | 13,601 | 6.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Diamond (BC) B.V. | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 9/6/2024 | 4,000 | 3,900 | 4,010 | 2.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC | (14)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.25% | 1/31/2025 | 3,743 | 3,719 | 3,702 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC (Delayed Draw B) | (14)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.32% | 1/31/2025 | 549 | 545 | 543 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.32% | 1/31/2024 | 327 | 279 | 283 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,543 | 4,528 | 2.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Pure Fishing, Inc. | (13) | Senior Secured Loans - First Lien | L+4.50% | 4.65% | 12/19/2025 | 3,990 | 3,549 | 3,624 | 1.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Safariland | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.25% | 11/17/2023 | 116 | 103 | 106 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Safariland | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.25% | 11/17/2023 | 5,555 | 5,057 | 5,049 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,160 | 5,155 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Consumer Goods: Non-Durable | 17,152 | 17,317 | 8.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Durable | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PlayPower, Inc. | Senior Secured Loans - First Lien | L+5.50% | 5.81% | 4/29/2026 | 1,246 | 1,236 | 1,159 | 0.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Consumer Goods: Durable | 1,236 | 1,159 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.82% | 9/23/2021 | 4,901 | 4,779 | 2,910 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Husky Injection Molding Systems Ltd. | CN(10)(11) | Senior Secured Loans - First Lien | L+3.00% | 3.36% | 3/28/2025 | 1,962 | 1,853 | 1,860 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Pelican Products Inc | Senior Secured Loans - First Lien | L+3.50% | 4.50% | 5/31/2025 | 3,979 | 3,486 | 3,817 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Resource Label Group LLC | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 5/26/2023 | 3,394 | 3,376 | 3,114 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.50% | 11/26/2023 | 3,000 | 2,974 | 2,535 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,350 | 5,649 | 2.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Containers, Packaging & Glass | 16,468 | 14,236 | 7.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basic Energy Services Inc | (13)(18) | Senior Secured Bonds | N/A | N/A | 10/15/2023 | 4,475 | 2,411 | 917 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Navajo Nation Oil and Gas | (15) | Senior Secured Loans - First Lien | L+7.50% | 9.00% | 6/14/2022 | 2,875 | 2,861 | 2,818 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Penn Virginia | (11)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.00% | 9/29/2022 | 3,000 | 2,970 | 2,100 | 1.1 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.83% | 5/26/2023 | 2,974 | 2,946 | 2,978 | 1.2 | % | ||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.83% | 11/26/2023 | 3,000 | 2,957 | 3,004 | 1.2 | % | ||||||||||||||
5,903 | 5,982 | 2.4 | % | |||||||||||||||||||||
Total Containers, Packaging & Glass | 10,917 | 11,493 | 4.6 | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP | (11)(15)(16) | Senior Secured Bonds | N/A | —% | 5/18/2020 | 3,250 | 3,153 | 2,990 | 1.2 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.50% | 5/1/2021 | 1,650 | 1,646 | 1,601 | 0.6 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 2,950 | 2,867 | 2,862 | 1.1 | % | ||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,855 | 1,766 | 1,785 | 0.7 | % | ||||||||||||||
6,279 | 6,248 | 2.4 | % | |||||||||||||||||||||
Moss Creek Resources | (13)(15) | Senior Unsecured Debt | L+8.00% | 9.50% | 3/29/2022 | 9,333 | 9,139 | 9,217 | 3.7 | % | ||||||||||||||
Penn Virginia | (11)(12)(13)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.34% | 9/29/2022 | 3,000 | 2,940 | 2,940 | 1.2 | % | ||||||||||||||
Total Energy: Oil & Gas | 21,511 | 21,395 | 8.5 | % | ||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||
Alltech | (15) | Subordinated Debt | L+7.25% | 8.49% | 7/9/2023 | 14,376 | 14,198 | 14,203 | 5.7 | % | ||||||||||||||
Alltech | (15) | Subordinated Debt | L+7.25% | 8.25% | 7/9/2023 | €601 | 619 | 702 | 0.3 | % | ||||||||||||||
14,817 | 14,905 | 6.0 | % | |||||||||||||||||||||
Hanger, Inc. | (11)(15) | Senior Unsecured Debt | N/A | 11.50% | 8/1/2019 | 4,000 | 3,950 | 4,150 | 1.6 | % | ||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.30% | 8/15/2023 | 8,000 | 7,861 | 7,908 | 3.2 | % | ||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.33% | 8/15/2023 | 4,000 | 3,947 | 3,954 | 1.6 | % | ||||||||||||||
11,808 | 11,862 | 4.8 | % | |||||||||||||||||||||
Total Healthcare & Pharmaceuticals | 30,575 | 30,917 | 12.4 | % | ||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||
Bay Club Company | Senior Secured Loans - First Lien | L+6.50% | 7.74% | 8/24/2022 | 7,660 | 7,482 | 7,774 | 3.1 | % | |||||||||||||||
Welcome Break | UK(10)(11)(15) | Senior Secured Loans - Second Lien | L+8.00% | 8.29% | 1/26/2023 | £5,989 | 7,378 | 7,920 | 3.2 | % | ||||||||||||||
Total Hotel, Gaming & Leisure | 14,860 | 15,694 | 6.3 | % | ||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.05% | 9/9/2022 | 6,930 | 6,861 | 6,863 | 2.7 | % | ||||||||||||||
Boats Group (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+5.75% | N/A | 8/10/2021 | — | (100 | ) | (99 | ) | — | % | ||||||||||||
6,761 | 6,764 | 2.7 | % |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Permian Production Partners | (13)(18) | Senior Secured Loans - First Lien | N/A | N/A | 5/20/2024 | 3,800 | 3,699 | 285 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Energy: Oil & Gas | 11,941 | 6,120 | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Alegeus Technologies LLC | (15) | Senior Secured Loans - First Lien | L+8.25% | 9.25% | 9/5/2024 | 8,000 | 7,962 | 7,973 | 4.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Cambrex Corporation | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/20/2026 | 2,481 | 2,432 | 2,494 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Healthcare & Pharmaceuticals | 10,394 | 10,467 | 5.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ASM Global | Senior Secured Loans - First Lien | L+2.50% | 2.66% | 1/23/2025 | 2,340 | 2,337 | 2,050 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Golden Nugget | (13) | Senior Secured Loans - First Lien | L+12.00% | 13.00% | 10/4/2023 | 11 | 11 | 13 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Golden Nugget | (13) | Senior Secured Loans - First Lien | L+12.00% | 13.00% | 10/4/2023 | 139 | 133 | 161 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
144 | 174 | 0.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Playtika Holding | (11) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 12/31/2024 | 1,203 | 1,183 | 1,207 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Hotel, Gaming & Leisure | 3,664 | 3,431 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 5/17/2024 | 5,679 | 5,626 | 5,595 | 2.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Boats Group (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/12/2022 | — | (42) | (29) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,584 | 5,566 | 2.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc. | (11) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 11/19/2024 | 2,406 | 2,310 | 2,202 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 5/4/2022 | 1,875 | 1,867 | 1,576 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | (14)(15) | Senior Unsecured Debt | N/A | 11.75% | 4/20/2022 | 2,000 | 1,977 | 1,396 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | (13) | Senior Unsecured Debt | N/A | 7.88% | 5/15/2024 | 1,259 | 1,229 | 677 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,073 | 3,649 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.57% | 6/15/2024 | 8,051 | 8,015 | 7,664 | 3.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Trader Interactive (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 6/15/2023 | — | (24) | (23) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
7,991 | 7,641 | 3.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 20,958 | 19,058 | 9.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Polyvision Corp. | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 2/21/2026 | 3,576 | 3,540 | 3,416 | 1.7 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Dominion Web Solutions | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.48% | 6/15/2024 | 5,640 | 5,640 | 5,546 | 2.2 | % | ||||||||||||||
Dominion Web Solutions (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.25% | N/A | 6/15/2023 | — | (49 | ) | (49 | ) | — | % | ||||||||||||
5,591 | 5,497 | 2.2 | % | |||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 12,352 | 12,261 | 4.9 | % | ||||||||||||||||||||
Media: Broadcasting & Subscription | ||||||||||||||||||||||||
ProQuest LLC | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.24% | 12/15/2022 | 787 | 772 | 764 | 0.3 | % | ||||||||||||||
Total Media: Broadcasting & Subscription | 772 | 764 | 0.3 | % | ||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||
New Day Aluminum LLC | (14)(15)(21) | Senior Secured Bonds | N/A | 10.00% | 10/28/2020 | 23 | 1 | 14 | — | % | ||||||||||||||
Total Metals & Mining | 1 | 14 | — | % | ||||||||||||||||||||
Retail | ||||||||||||||||||||||||
Belk Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.05% | 12/12/2022 | 2,281 | 2,077 | 1,919 | 0.8 | % | |||||||||||||||
Blue Nile Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.83% | 2/17/2023 | 11,850 | 11,522 | 11,909 | 4.8 | % | ||||||||||||||
Med Intermediate (MyEyeDr) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/14/2021 | 4,804 | 4,766 | 4,837 | 1.9 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Delayed Draw) | (8)(12)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/16/2021 | 139 | 116 | 150 | 0.1 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Term Loan B) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.49% | 8/16/2021 | 1,256 | 1,241 | 1,265 | 0.5 | % | ||||||||||||||
6,123 | 6,252 | 2.5 | % | |||||||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.80% | 6/23/2022 | 4,455 | 4,394 | 4,455 | 1.8 | % | ||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(8)(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.79% | 6/23/2022 | 375 | 375 | 375 | 0.1 | % | ||||||||||||||
4,769 | 4,830 | 1.9 | % | |||||||||||||||||||||
Toys R Us (DIP) | (12)(13) | Senior Secured Loans - First Lien | L+6.75% | 8.07% | 1/22/2019 | 2,000 | 1,990 | 2,040 | 0.8 | % | ||||||||||||||
Total Retail | 26,481 | 26,950 | 10.8 | % | ||||||||||||||||||||
Technology | ||||||||||||||||||||||||
ACA Compliance Group | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.99% | 1/30/2021 | 998 | 988 | 999 | 0.4 | % | ||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.82% | 3/18/2022 | 742 | 722 | 736 | 0.3 | % | ||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - Second Lien | L+9.50% | 10.81% | 1/31/2023 | 6,000 | 5,546 | 5,625 | 2.2 | % | ||||||||||||||
6,268 | 6,361 | 2.5 | % | |||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 9.55% | 2/28/2022 | 7,144 | 6,982 | 7,105 | 2.8 | % |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Polyvision Corp. | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 2/21/2026 | 1,007 | 997 | 962 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Polyvision Corp. | (9)(15) | Senior Secured Loans - First Lien | L+6.50% | 7.52% | 2/21/2026 | 139 | 139 | 118 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Polyvision Corp. | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/21/2025 | 223 | 154 | 161 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Metals & Mining | 4,830 | 4,657 | 2.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 7/31/2025 | 1,036 | 992 | 399 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Beverages and More, Inc. | (13) | Senior Secured Bonds | N/A | 11.50% | 6/15/2022 | 900 | 795 | 756 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Blue Nile, Inc. | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 2/17/2023 | 10,050 | 9,911 | 6,407 | 3.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/5/2022 | 4,307 | 4,283 | 3,876 | 2.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/5/2022 | 486 | 486 | 437 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,769 | 4,313 | 2.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Save-a-Lot | (13)(14) | Senior Secured Loans - First Lien | L+8.00% | 8.00% | 3/12/2024 | 891 | 805 | 891 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Save-a-Lot | (13)(14)(15) | Senior Secured Loans - Second Lien | L+11.75% | 11.75% | 10/1/2024 | 1,072 | 2,070 | 976 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
2,875 | 1,867 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Retail | 19,342 | 13,742 | 7.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Services: Business | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
24-7 Intouch | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+4.75% | 4.91% | 8/25/2025 | 3,920 | 3,713 | 3,666 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (GBP Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | G+5.00% | 5.73% | 6/16/2025 | £ | 2,060 | 2,560 | 2,252 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (USD Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.50% | 6.65% | 6/16/2025 | 890 | 854 | 755 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (Revolver) | UK(9)(10)(11)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/16/2024 | — | (39) | (68) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
3,375 | 2,939 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Capstone Logistics, LLC | Senior Secured Loans - First Lien | L+4.50% | 5.57% | 10/7/2021 | 4,750 | 4,737 | 4,695 | 2.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Cast & Crew Payroll | Senior Secured Loans - First Lien | L+3.75% | 3.90% | 1/16/2026 | 2,897 | 2,532 | 2,781 | 1.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
HealthChannels, Inc. | Senior Secured Loans - First Lien | L+4.50% | 4.69% | 4/3/2025 | 2,835 | 2,789 | 2,608 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Hersha Hospitality Management | (15) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 3/2/2026 | 4,264 | 4,179 | 3,838 | 2.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Hersha Hospitality Management (Delayed Draw) | (9)(15)(17) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 3/2/2026 | 43 | 8 | (129) | (0.1) | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,187 | 3,709 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Park Place Technologies | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 3/29/2025 | 2,652 | 2,643 | 2,628 | 1.3 | % |
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Alegeus Technology LLC | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.26% | 4/28/2023 | 998 | 988 | 988 | 0.4 | % | ||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.22% | 6/2/2024 | £2,300 | 2,912 | 3,023 | 1.2 | % | ||||||||||||||
Cologix Holdings | Senior Secured Loans - Second Lien | L+7.00% | 8.24% | 3/20/2025 | 3,000 | 2,970 | 3,035 | 1.2 | % | |||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+4.00% | 5.24% | 11/29/2023 | 5,373 | 5,320 | 5,440 | 2.2 | % | |||||||||||||||
Cvent, Inc. | (15) | Senior Secured Loans - Second Lien | L+10.00% | 11.24% | 5/29/2024 | 5,385 | 5,101 | 5,204 | 2.1 | % | ||||||||||||||
10,421 | 10,644 | 4.3 | % | |||||||||||||||||||||
Epicor Software Cop. | (15) | Senior Secured Bonds | L+8.25% | 9.40% | 5/21/2023 | 5,000 | 4,881 | 4,885 | 2.0 | % | ||||||||||||||
Greenway Health, LLC | Senior Secured Loans - First Lien | L+4.25% | 5.58% | 2/16/2024 | 7,980 | 7,906 | 8,020 | 3.2 | % | |||||||||||||||
Lytx, Inc. | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.99% | 8/31/2023 | 6,632 | 6,474 | 6,470 | 2.6 | % | ||||||||||||||
Lytx, Inc. (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | N/A | 8/31/2022 | — | (45 | ) | (45 | ) | — | % | ||||||||||||
6,429 | 6,425 | 2.6 | % | |||||||||||||||||||||
�� | ||||||||||||||||||||||||
Ministry Brands | (13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.23% | 12/2/2022 | 976 | 966 | 971 | 0.4 | % | ||||||||||||||
Ministry Brands (Delayed Draw) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.20% | 12/2/2022 | 519 | 516 | 515 | 0.2 | % | ||||||||||||||
Ministry Brands (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | P+5.00% | 8.25% | 12/2/2022 | 53 | 53 | 53 | — | % | ||||||||||||||
1,535 | 1,539 | 0.6 | % | |||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.09% | 12/20/2021 | 7,179 | 7,150 | 7,150 | 2.9 | % | ||||||||||||||
Onyx CenterSource (Revolver) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.09% | 12/20/2021 | 44 | 3 | 9 | — | % | ||||||||||||||
7,153 | 7,159 | 2.9 | % | |||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.49% | 1/18/2023 | 4,366 | 4,306 | 4,308 | 1.7 | % | ||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - Second Lien | L+9.75% | 10.99% | 7/27/2023 | 4,388 | 4,324 | 4,329 | 1.7 | % | ||||||||||||||
8,630 | 8,637 | 3.4 | % | |||||||||||||||||||||
PluralSight Holdings | (13)(15) | Senior Secured Loans - First Lien | L+8.50% | 9.84% | 6/12/2023 | 5,794 | 5,694 | 5,694 | 2.3 | % | ||||||||||||||
PluralSight Holdings (Revolver) | (8)(12)(13)(15)(18) | Senior Secured Loans - First Lien | L+8.50% | N/A | 6/12/2022 | — | (30 | ) | (29 | ) | — | % | ||||||||||||
5,664 | 5,665 | 2.3 | % | |||||||||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.80% | 4/3/2023 | 5,686 | 5,633 | 5,633 | 2.3 | % | ||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.80% | 10/17/2023 | 6,000 | 5,951 | 5,951 | 2.4 | % | ||||||||||||||
11,584 | 11,584 | 4.7 | % | |||||||||||||||||||||
Total Technology | 85,311 | 86,069 | 34.5 | % |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Park Place Technologies | (15) | Senior Secured Loans - Second Lien | L+8.00% | 9.00% | 3/29/2026 | 3,404 | 3,385 | 3,233 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,028 | 5,861 | 3.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (9)(13)(15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/4/2025 | 104 | 104 | 73 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (9)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 10/4/2026 | — | — | (3) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/4/2026 | 426 | 426 | 420 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/16/2026 | 2,844 | 2,810 | 2,805 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
3,340 | 3,295 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SLR Consulting | (11)(15) | Senior Secured Loans - First Lien | L+4.00% | 4.98% | 6/23/2025 | 1,588 | 1,557 | 1,555 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
SLR Consulting (Delayed Draw) | (11)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.50% | 5/23/2025 | 494 | 512 | 506 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
2,069 | 2,061 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Teneo Holdings LLC | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 7/12/2025 | 3,960 | 3,794 | 3,836 | 2.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
YAK Access, LLC | Senior Secured Loans - Second Lien | L+10.00% | 10.30% | 7/10/2026 | 5,000 | 4,714 | 3,683 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Services: Business | 41,278 | 39,134 | 19.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Technology | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Acquia Inc. | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 10/31/2025 | 1,789 | 1,754 | 1,771 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Acquia Inc. | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 10/31/2025 | — | (4) | (22) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
1,750 | 1,749 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Advicent Solutions | (14)(15) | Senior Secured Loans - First Lien | L+8.95% | 9.95% | 2/28/2022 | 7,266 | 7,214 | 4,710 | 2.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Advicent Solutions | (9)(13)(14)(15) | Senior Secured Loans - First Lien | P+5.25% | 8.50% | 2/28/2022 | 14 | 14 | 12 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Advicent Solutions | (14)(15) | Senior Secured Loans - First Lien | L+3.50% | 4.50% | 2/28/2022 | 1,650 | 1,642 | 1,642 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
8,870 | 6,364 | 3.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Alfresco Software | (15) | Senior Secured Loans - First Lien | L+8.00% | 9.00% | 9/9/2024 | 3,262 | 3,207 | 3,305 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Allvue Systems (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/6/2024 | — | (13) | (10) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Allvue Systems (Term Loan) | (15) | Senior Secured Loans - First Lien | L+4.00% | 4.15% | 9/4/2026 | 862 | 860 | 854 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
847 | 844 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Apptio, Inc. | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.25% | 1/10/2025 | 4,900 | 4,848 | 4,862 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Apptio, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/3/2024 | — | (30) | (29) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,818 | 4,833 | 2.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2017 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Telecommunications | ||||||||||||||||||||||||
Eco-Site (Delayed Draw) | (8)(12)(13)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.29% | 2/3/2022 | 9,643 | 9,472 | 9,450 | 3.8 | % | ||||||||||||||
Total Telecommunications | 9,472 | 9,450 | 3.8 | % | ||||||||||||||||||||
Utilities: Electric | ||||||||||||||||||||||||
BHI Energy | (13)(15) | Senior Secured Loans - Second Lien | L+8.75% | 9.98% | 2/25/2025 | 6,000 | 5,880 | 5,970 | 2.4 | % | ||||||||||||||
Moxie Liberty LLC | Senior Secured Loans - First Lien | L+6.50% | 7.83% | 8/21/2020 | 2,959 | 2,902 | 2,646 | 1.1 | % | |||||||||||||||
Moxie Patriot LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.08% | 12/21/2020 | 631 | 612 | 590 | 0.2 | % | ||||||||||||||
MRP Generation Holdings LLC | (11)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.33% | 10/18/2022 | 4,950 | 4,691 | 4,678 | 1.9 | % | ||||||||||||||
Panda Hummel LLC | Senior Secured Loans - First Lien | L+6.00% | 7.24% | 10/27/2022 | 655 | 634 | 606 | 0.2 | % | |||||||||||||||
PrimeLine Utility Services | (13)(14)(15)(22) | Senior Unsecured Debt | N/A | 16.00% | 6/1/2020 | 2,108 | 2,076 | 2,075 | 0.8 | % | ||||||||||||||
Total Utilities: Electric | 16,795 | 16,565 | 6.6 | % | ||||||||||||||||||||
Total Debt Investments | $ | 375,139 | $ | 380,607 | 152.6 | % | ||||||||||||||||||
Equity investments - 0.2% | ||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries (Closed End Units) | (13)(15)(17) | Equity and Other | N/A | N/A | — | $ | 13 | $ | 13 | — | % | |||||||||||||
Total Beverage, Food & Tobacco | 13 | 13 | — | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP (Preferred Equity) | (9)(11)(13)(15)(17) | Equity and Other | N/A | —% | 251 | $ | 1,886 | $ | — | — | % | |||||||||||||
SandRidge Energy Inc. (Common Equity) | (11)(13)(17) | Equity and Other | N/A | N/A | 22 | 456 | 434 | 0.2 | % | |||||||||||||||
Total Energy: Oil & Gas | 2,342 | 434 | 0.2 | % | ||||||||||||||||||||
Total Equity Investments | $ | 2,355 | $ | 447 | 0.2 | % | ||||||||||||||||||
Total Investments - 152.8% | (19) | $ | 377,494 | $ | 381,054 | 152.8 | % |
September 30, 2017 (in thousands) | |||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||
Foreign Currency Forward Contracts (19) | |||||||||||||||||
JPMorgan Chase Bank | 10/12/2017 | $713 | €595 | $ | — | $ | 9 | — | % | ||||||||
JPMorgan Chase Bank | 10/12/2017 | $23,810 | €18,056 | — | $ | (394 | ) | (0.2 | )% |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 6.41% | 6/8/2024 | £ | 2,638 | 3,348 | 3,368 | 1.7 | % | |||||||||||||||||||||||||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.68% | 6/8/2024 | £ | 338 | 426 | 436 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
3,774 | 3,804 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cologix Holdings | Senior Secured Loans - First Lien | L+3.75% | 4.75% | 3/20/2024 | 2,000 | 1,942 | 1,961 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+3.75% | 3.91% | 11/29/2024 | 1,480 | 1,465 | 1,346 | 0.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.36% | 4/28/2025 | 1,931 | 1,904 | 1,918 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 8.61% | 4/27/2026 | 462 | 454 | 458 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.36% | 4/28/2025 | 3,048 | 3,013 | 3,028 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 8.61% | 4/27/2026 | 4,696 | 4,639 | 4,661 | 2.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
10,010 | 10,065 | 5.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (USD Term Loan) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | L+6.25% | 6.75% | 1/25/2024 | 637 | 627 | 633 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+6.25% | 6.75% | 1/25/2024 | £ | 530 | 733 | 680 | 0.3 | % | |||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (Euro Delayed Draw) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | E+6.25% | 6.75% | 1/25/2024 | € | 97 | 118 | 113 | 0.1 | % | |||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (GBP Delayed Draw) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+6.25% | 6.75% | 1/25/2024 | £ | 326 | 423 | 418 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | (11)(14)(15) | Senior Secured Loans - First Lien | L+6.25% | 6.75% | 1/25/2024 | 2,211 | 2,178 | 2,199 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | E+6.25% | 6.75% | 1/25/2024 | € | 289 | 317 | 337 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | UK(10)(11)(15) | Senior Secured Loans - First Lien | N/A | 6.75% | 1/22/2024 | 661 | 706 | 770 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,102 | 5,150 | 2.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Lytx, Inc. | (9)(15)(16) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 2/27/2026 | 511 | 490 | 483 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Lytx, Inc. | (15)(16) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 2/27/2026 | 5,873 | 5,776 | 5,794 | 3.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,266 | 6,277 | 3.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Ministry Brands | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 946 | 942 | 899 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 503 | 502 | 478 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 183 | 182 | 173 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
1,626 | 1,550 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 12/20/2021 | 6,616 | 6,607 | 4,962 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Onyx CenterSource (Revolver) | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.25% | 12/20/2021 | 329 | 319 | 247 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,926 | 5,209 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 1/27/2023 | 6,105 | 6,076 | 6,081 | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 1/27/2023 | 388 | 388 | 386 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,464 | 6,467 | 3.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 12/12/2023 | 5,386 | 5,312 | 5,315 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 12/12/2023 | 1,137 | 1,112 | 1,122 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Velocity Holdings US (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 12/12/2022 | 277 | 248 | 252 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,672 | 6,689 | 3.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Wide Orbit, Inc. | (15) | Senior Secured Loans - First Lien | L+8.50% | 9.75% | 7/8/2025 | 3,698 | 3,657 | 3,657 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Wide Orbit, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 7/8/2025 | — | — | (35) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
3,657 | 3,622 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Wind River Systems | (15) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 6/24/2024 | 5,407 | 5,323 | 5,352 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Technology | 78,719 | 74,587 | 38.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Telecommunications | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Firstlight Fiber | Senior Secured Loans - First Lien | L+3.50% | 3.66% | 7/23/2025 | 2,214 | 2,205 | 2,133 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Firstlight Fiber | (15) | Senior Secured Loans - Second Lien | L+7.50% | 7.66% | 7/23/2026 | 2,500 | 2,477 | 2,188 | 1.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,682 | 4,321 | 2.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Telecommunications | 4,682 | 4,321 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Transportation: Consumer | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Delta Airlines | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 5/1/2023 | 100 | 97 | 100 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Transportation: Consumer | 97 | 100 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Utilities: Electric | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
BHI Energy | (15) | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 2/28/2025 | 6,000 | 5,918 | 5,880 | 3.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Utilities: Electric | 5,918 | 5,880 | 3.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Utilities: Oil & Gas | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SeaPort | (15) | Senior Secured Loans - First Lien | L+5.50% | 5.66% | 10/31/2025 | 5,877 | 5,739 | 5,289 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Utilities: Oil & Gas | 5,739 | 5,289 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Debt Investments | $ | 345,612 | $ | 320,518 | 163.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Equity investments - 4.4% |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Four Springs Capital Trust (Preferred Equity) | (11)(13)(14)(15) | Equity and Other | N/A | 16.50% | 268,142 | $ | 5,314 | $ | 5,363 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 5,314 | 5,363 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Chef's Holdings Inc. | (13)(15)(16) | Equity and Other | N/A | N/A | 19,540 | 2,459 | 1,658 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Beverage, Food & Tobacco | 2,459 | 1,658 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Maverick Natural Resources, LLC (Common Equity) | (15)(16) | Equity and Other | N/A | N/A | 4,625 | 2,777 | 578 | 0.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
SandRidge Energy, Inc. (Common Equity) | (11)(13)(16) | Equity and Other | N/A | N/A | 21,224 | 448 | 35 | — | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Energy: Oil & Gas | 3,225 | 613 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Save-a-Lot | (13)(15) | Equity and Other | N/A | N/A | 53,097 | — | — | — | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Retail | — | — | — | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Technology | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Alfresco Software (Common Equity) | (13)(15)(16) | Equity and Other | N/A | N/A | 66,230 | 166 | 716 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Velocity Holdings US (Class A Units) | (13)(15)(16) | Equity and Other | N/A | N/A | 231 | 231 | 303 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Wolfhound Parent Inc. (Warrants) | (13)(15)(16) | Equity and Other | N/A | N/A | 1,975 | 30 | 30 | — | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Technology | 427 | 1,049 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Equity Investments | $ | 11,425 | $ | 8,683 | 4.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Investments - 167.6% | $ | 357,037 | $ | 329,201 | 167.6 | % |
September 30, 2020 (in thousands) | ||||||||||||||||||||||||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||||||||||||||||||
Foreign Currency Forward Contracts | ||||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10/16/2020 | $ | 1,244 | € | 1,051 | — | $ | 12 | — | % | ||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10/16/2020 | $ | 24,600 | £ | 19,225 | — | $ | (209) | (0.1) | % | ||||||||||||||||||||||||||||
$ | (197) | (0.1) | % |
(2)All debt and equity investments are income producing unless otherwise noted. 16 GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED) (3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities. (4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of September 30, 2020, LIBO rates ranged between 0.15% for 1-month LIBOR to 0.23% for 3-month LIBOR. (5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at September 30, 2020. (6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. (7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock. (8)As of September 30, 2020, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $5.7 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $31.5 million; the net unrealized depreciation was $25.8 million; the aggregate cost of securities for Federal income tax purposes was $354.8 million. (9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of September 30, 2020 (see Note 8. Commitments and Contingencies). (10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. (11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of September 30, 2020, qualifying assets represented 80% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. (12)Investment position or portion thereof unsettled as of September 30, 2020. (13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of September 30, 2020; (see Note 7. Borrowings). (14)The underlying credit agreement or indenture contains a 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. 17 GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). (16)Non-income producing security. (17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. (18)Investment was on non-accrual status as of September 30, 2020, meaning that the Master Fund has ceased recognizing interest income on these investments. As of September 30, 2020, debt investments on non-accrual status represented 1.7% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively. |
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt investments - 170.0% | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.94% | 6/12/2021 | 3,434 | $ | 3,420 | $ | 3,365 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.66% | 9/8/2023 | 3,880 | 3,854 | 3,512 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Aerospace & Defense | 7,274 | 6,877 | 3.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Automotive | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 7.35% | 11/17/2023 | 11,640 | 11,366 | 9,254 | 4.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
American Tire Distributors Inc. | Senior Secured Loans - First Lien | L+7.50% | 9.30% | 8/30/2024 | 2,970 | 2,674 | 2,666 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
BBB Industries | Senior Secured Loans - First Lien | L+4.50% | 6.30% | 8/1/2025 | 1,975 | 1,958 | 1,928 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
EnTrans International, LLC | Senior Secured Loans - First Lien | L+6.00% | 7.80% | 11/1/2024 | 3,700 | 3,543 | 3,588 | 1.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Mavis Tire Express Services Corp. | Senior Secured Loans - First Lien | L+3.25% | 5.05% | 3/20/2025 | 3,231 | 3,218 | 3,158 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Mavis Tire Express Services Corp. (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+3.25% | 5.04% | 3/20/2023 | 28 | 10 | 11 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | (9) | Senior Secured Loans - First Lien | L+3.25% | 5.05% | 3/20/2025 | 92 | 92 | 90 | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
3,320 | 3,259 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Wesco Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.36% | 6/14/2024 | 1,247 | 1,234 | 1,243 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Automotive | 24,095 | 21,938 | 10.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gladman Developments Ltd. | UK(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 10.30% | 8/16/2024 | £ | 2,405 | 3,007 | 3,137 | 1.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
Gladman Developments Ltd. (Delayed Draw) | UK(9)(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 10.30% | 8/16/2024 | £ | 740 | 944 | 954 | 0.5 | % | |||||||||||||||||||||||||||||||||||||||||||||
3,951 | 4,091 | 2.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Hunt Companies, Inc. | (11) | Senior Secured Bonds | N/A | 6.25% | 2/15/2026 | 2,000 | 2,000 | 1,974 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
JZ Capital Partners Ltd. | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+5.75% | 7.88% | 6/14/2021 | 375 | 370 | 374 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 6,321 | 6,439 | 3.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+8.00% | 9.00% | 4/19/2024 | £ | 9,995 | 12,232 | 12,879 | 6.1 | % | |||||||||||||||||||||||||||||||||||||||||||||
CTI Foods Holdings Co., LLC (First Out) | (14)(15) | Senior Secured Loans - First Lien | L+7.00% | 9.26% | 5/3/2024 | 1,962 | 1,962 | 1,962 | 0.9 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
INVESTMENTS | ||||||||||||||||||||||||
Debt investments - 154.3% | ||||||||||||||||||||||||
Aerospace & Defense | ||||||||||||||||||||||||
Advanced Integration Technology | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/22/2021 | 7,980 | $ | 7,757 | $ | 8,020 | 4.5 | % | |||||||||||||
National Technical Systems, Inc. | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 6/14/2021 | 4,092 | 4,052 | 3,990 | 2.2 | % | ||||||||||||||
National Technical Systems, Inc. (Delayed Draw) | (8)(17)(20) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 6/11/2021 | 765 | — | (19 | ) | — | % | |||||||||||||
4,052 | 3,971 | 2.2 | % | |||||||||||||||||||||
StandardAero | Subordinated Debt | N/A | 10.00% | 7/15/2023 | 2,380 | 2,367 | 2,505 | 1.4 | % | |||||||||||||||
Tronair Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 9/8/2023 | 3,960 | 3,922 | 3,940 | 2.2 | % | |||||||||||||||
Tronair Inc. | (17) | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 9/6/2024 | 4,000 | 3,864 | 3,864 | 2.2 | % | ||||||||||||||
7,786 | 7,804 | 4.4 | % | |||||||||||||||||||||
Total Aerospace & Defense | 21,962 | 22,300 | 12.5 | % | ||||||||||||||||||||
Automotive | ||||||||||||||||||||||||
Accuride Corp. | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 11/10/2023 | 12,000 | 11,580 | 11,760 | 6.7 | % | |||||||||||||||
BBB Industries, Inc. | (17) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/3/2021 | 4,975 | 4,871 | 4,984 | 2.8 | % | ||||||||||||||
Humanetics | (12)(17) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/12/2022 | 8,605 | 8,380 | 8,441 | 4.7 | % | ||||||||||||||
Humanetics (Revolver) | (8)(12)(13)(17)(20) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/12/2022 | 400 | (10 | ) | (8 | ) | — | % | ||||||||||||
8,370 | 8,433 | 4.7 | % | |||||||||||||||||||||
Mavis Tire Supply LLC | (17) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 11/2/2020 | 2,955 | 2,921 | 2,923 | 1.6 | % | ||||||||||||||
Total Automotive | 27,742 | 28,100 | 15.8 | % | ||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | ||||||||||||||||||||||||
C-III Capital Partners | (11)(17) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 8/8/2021 | 3,120 | 3,076 | 3,077 | 1.7 | % | ||||||||||||||
C-III Capital Partners | (11)(17) | Senior Secured Loans - First Lien | L+7.92% | 8.92% | 8/8/2021 | 4,680 | 4,504 | 4,507 | 2.5 | % | ||||||||||||||
7,580 | 7,584 | 4.2 | % | |||||||||||||||||||||
Integro Insurance Brokers | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/28/2022 | 2,771 | 2,674 | 2,743 | 1.5 | % | |||||||||||||||
Integro Insurance Brokers (Delayed Draw) | Senior Secured Loans - First Lien | L+5.75% | 6.50% | 10/7/2022 | 150 | 145 | 149 | 0.1 | % | |||||||||||||||
2,819 | 2,892 | 1.6 | % | |||||||||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 10,399 | 10,476 | 5.8 | % | ||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries | (17) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 7/29/2022 | 6,866 | 6,769 | 6,770 | 3.8 | % | ||||||||||||||
Blue Harvest Fisheries | (13)(15)(17) | Subordinated Debt | N/A | 10.00% | 8/17/2036 | 337 | 337 | 337 | 0.2 | % | ||||||||||||||
7,106 | 7,107 | 4.0 | % | |||||||||||||||||||||
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
CTI Foods Holdings Co., LLC (Last Out) | (13)(14)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.91% | 5/3/2024 | 770 | 770 | 731 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
2,732 | 2,693 | 1.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.20% | 3/31/2023 | 897 | 891 | 891 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.20% | 3/31/2023 | 833 | 827 | 827 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
1,718 | 1,718 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Topps Company | (15) | Senior Secured Loans - First Lien | L+5.25% | 7.19% | 10/2/2022 | 4,988 | 4,963 | 4,981 | 2.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Beverage, Food & Tobacco | 21,645 | 22,271 | 10.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Equipment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 1,995 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Capital Equipment | 2,000 | 1,995 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Chemicals, Plastics & Rubber | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aceto Chemicals | (15) | Senior Secured Loans - First Lien | L+5.50% | 7.62% | 4/29/2025 | 5,174 | 5,142 | 5,144 | 2.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Aceto Chemicals (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 4/29/2025 | — | (90) | (89) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,052 | 5,055 | 2.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Drew Marine Group Inc. | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.19% | 6/26/2026 | 995 | 981 | 981 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Ilpea Parent, Inc. | IT(10)(11) | Senior Secured Loans - First Lien | L+4.75% | 6.46% | 3/2/2023 | 5,496 | 5,447 | 5,468 | 2.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Neon Holdings Inc | Senior Secured Bonds | N/A | 10.13% | 4/1/2026 | 1,500 | 1,475 | 1,493 | 0.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Seal For Life Industries US LLC (Revolver) | (9)(11)(13)(15) | Senior Secured Loans - First Lien | L+6.00% | 8.20% | 7/24/2024 | 260 | 185 | 186 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Seal For Life Industries US LLC | (11)(15) | Senior Secured Loans - First Lien | E+6.00% | 8.26% | 7/23/2025 | 6,991 | 6,870 | 6,889 | 3.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
7,055 | 7,075 | 3.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Chemicals, Plastics & Rubber | 20,010 | 20,072 | 9.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - First Lien | L+4.00% | 6.20% | 6/26/2023 | 5,428 | 5,368 | 5,396 | 2.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - Second Lien | L+8.25% | 10.45% | 6/26/2024 | 6,000 | 5,910 | 5,865 | 2.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
GAL Manufacturing (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.09% | 6/24/2022 | 173 | 145 | 146 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
11,423 | 11,407 | 5.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 6/15/2025 | 1,744 | 1,730 | 1,743 | 0.8 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Bumble Bee Seafoods | (13)(15) | Subordinated Debt | N/A | 9.63% | 3/15/2018 | 1,240 | 1,231 | 1,206 | 0.7 | % | ||||||||||||||
Chefs' Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 6/22/2022 | 3,893 | 3,830 | 3,919 | 2.2 | % | ||||||||||||||
Chefs' Warehouse, Inc.(Delayed Draw) | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 6/22/2022 | 179 | 169 | 181 | 0.1 | % | ||||||||||||||
3,999 | 4,100 | 2.3 | % | |||||||||||||||||||||
CTI Foods | Senior Secured Loans - Second Lien | L+7.25% | 8.25% | 6/28/2021 | 5,000 | 4,640 | 4,550 | 2.6 | % | |||||||||||||||
Give & Go Prepared Foods Corp. | CN(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 7/12/2023 | 7,980 | 7,829 | 8,010 | 4.5 | % | ||||||||||||||
KeHE Distributors, LLC | Senior Secured Bonds | N/A | 7.63% | 8/15/2021 | 500 | 494 | 497 | 0.3 | % | |||||||||||||||
Parts Town, LLC | (17) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 6/23/2022 | 6,983 | 6,983 | 6,983 | 3.9 | % | ||||||||||||||
Parts Town, LLC (Revolver) | (8)(13)(14)(17) | Senior Secured Loans - First Lien | P+5.50% | 7.50% | 6/23/2022 | 1,000 | 5 | 5 | — | % | ||||||||||||||
6,988 | 6,988 | 3.9 | % | |||||||||||||||||||||
Reddy Ice | (14) | Senior Secured Loans - First Lien | L+5.50% | 6.75% | 5/1/2019 | 3,654 | 3,493 | 3,584 | 2.0 | % | ||||||||||||||
Total Beverage, Food & Tobacco | 35,780 | 36,042 | 20.3 | % | ||||||||||||||||||||
Construction & Building | ||||||||||||||||||||||||
Fiber Composites LLC | (15)(17)(22) | Senior Unsecured Debt | 12.50% | 12.50% | 6/29/2022 | 5,430 | 5,321 | 5,410 | 3.0 | % | ||||||||||||||
Generation Brands | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 6/7/2022 | 4,975 | 4,930 | 4,997 | 2.8 | % | |||||||||||||||
SiteOne Landscape Supply, Inc. | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 4/29/2022 | 4,963 | 4,914 | 5,012 | 2.8 | % | |||||||||||||||
SRS Distribution Inc. | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 2/24/2023 | 5,000 | 4,907 | 5,167 | 2.9 | % | |||||||||||||||
Total Construction & Building | 20,072 | 20,586 | 11.5 | % | ||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||
Implus Footcare, LLC | (17) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 4/30/2021 | 4,925 | 4,865 | 4,872 | 2.7 | % | ||||||||||||||
Implus Footcare, LLC | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 4/30/2021 | 955 | 941 | 953 | 0.5 | % | ||||||||||||||
5,806 | 5,825 | 3.2 | % | |||||||||||||||||||||
Total Consumer Goods: Non-Durable | 5,806 | 5,825 | 3.2 | % | ||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 9/23/2021 | 5,960 | 5,310 | 5,766 | 3.2 | % | |||||||||||||||
Pelican Products, Inc. | Senior Secured Loans - First Lien | L+4.25% | 5.25% | 4/10/2020 | 5,018 | 4,833 | 5,002 | 2.8 | % | |||||||||||||||
Total Containers, Packaging & Glass | 10,143 | 10,768 | 6.0 | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP | (11)(17)(18) | Senior Secured Bonds | N/A | —% | 5/18/2020 | 3,250 | 3,152 | 3,023 | 1.7 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.50% | 5/1/2021 | 350 | 330 | 347 | 0.2 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 1,800 | 1,707 | 1,782 | 1.0 | % | ||||||||||||||
Ferrellgas, L.P. | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,355 | 1,254 | 1,331 | 0.7 | % | ||||||||||||||
3,291 | 3,460 | 1.9 | % |
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - Second Lien | L+8.50% | 10.20% | 6/15/2026 | 1,756 | 1,679 | 1,668 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
3,409 | 3,411 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Construction & Building | 14,832 | 14,818 | 7.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Non-Durable | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.37% | 1/31/2025 | 3,620 | 3,590 | 3,591 | 1.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC (Delayed Draw B) | (9)(15) | Senior Secured Loans - First Lien | L+6.25% | 8.25% | 1/31/2025 | 533 | 528 | 528 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Galls LLC (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | P+5.25% | 10.00% | 1/31/2024 | 487 | 430 | 434 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Consumer Goods: Non-Durable | 4,548 | 4,553 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Durable | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
PlayPower, Inc. | Senior Secured Loans - First Lien | L+5.50% | 7.30% | 4/29/2026 | 1,294 | 1,281 | 1,284 | 0.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Consumer Goods: Durable | 1,281 | 1,284 | 0.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Containers, Packaging & Glass | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.45% | 9/23/2021 | 5,239 | 5,010 | 4,610 | 2.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Husky Injection Molding Systems Ltd. | CN(10)(11) | Senior Secured Loans - First Lien | L+3.00% | 4.70% | 3/28/2025 | 1,980 | 1,854 | 1,952 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.60% | 5/26/2023 | 3,449 | 3,426 | 3,121 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 10.60% | 11/26/2023 | 3,000 | 2,969 | 2,550 | 1.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
6,395 | 5,671 | 2.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Containers, Packaging & Glass | 13,259 | 12,233 | 5.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basic Energy Services Inc | (13) | Senior Secured Bonds | N/A | 10.75% | 10/15/2023 | 2,000 | 1,985 | 1,430 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Navajo Nation Oil and Gas | (15) | Senior Secured Loans - First Lien | L+7.50% | 9.60% | 6/14/2022 | 3,438 | 3,415 | 3,417 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Penn Virginia | (11)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.71% | 9/29/2022 | 3,000 | 2,961 | 2,955 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Permian Production Partners | (15)(18) | Senior Secured Loans - First Lien | N/A | N/A | 5/20/2024 | 3,800 | 3,680 | 1,805 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Energy: Oil & Gas | 12,041 | 9,607 | 4.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Alegeus Technologies LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.28% | 9/5/2024 | 8,000 | 7,938 | 7,969 | 3.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alltech | (13)(15) | Senior Unsecured Debt | L+10.25% | 11.95% | 7/21/2023 | 14,375 | 14,257 | 14,258 | 6.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alltech | (13)(15) | Senior Unsecured Debt | E+10.25% | 11.25% | 7/21/2023 | € | 601 | 622 | 669 | 0.3 | % | |||||||||||||||||||||||||||||||||||||||||||||
14,879 | 14,927 | 7.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cambrex Corporation | Senior Secured Loans - First Lien | L+5.00% | 6.70% | 11/20/2026 | 2,500 | 2,450 | 2,498 | 1.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Endo Pharmaceuticals Finance Co. | IR(10)(11)(13) | Senior Unsecured Debt | N/A | 6.00% | 7/15/2023 | 4,965 | 4,104 | 3,587 | 1.7 | % |
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
SandRidge Energy Inc. | (11)(13) | Subordinated Debt | N/A | —% | 10/3/2020 | 226 | 254 | 282 | 0.2 | % | ||||||||||||||
Total Energy: Oil & Gas | 6,697 | 6,765 | 3.8 | % | ||||||||||||||||||||
Healthcare & Pharmaceuticals | ||||||||||||||||||||||||
Alltech | (16)(17) | Subordinated Debt | L+6.75% | 7.75% | 7/9/2023 | 15,003 | 14,799 | 14,805 | 8.3 | % | ||||||||||||||
American Academy Holdings, LLC | (17) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 5/17/2021 | 4,484 | 4,444 | 4,445 | 2.5 | % | ||||||||||||||
Hanger, Inc. | (11) | Senior Unsecured Debt | N/A | 11.50% | 8/1/2019 | 4,000 | 3,929 | 4,000 | 2.2 | % | ||||||||||||||
WIRB-Copernicus Group | (17) | Senior Secured Loans - Second Lien | L+9.00% | 10.00% | 8/12/2022 | 8,000 | 7,850 | 7,849 | 4.4 | % | ||||||||||||||
Total Healthcare & Pharmaceuticals | 31,022 | 31,099 | 17.4 | % | ||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||
Bay Club Company | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/24/2022 | 6,517 | 6,330 | 6,574 | 3.7 | % | |||||||||||||||
Bay Club Company (Bridge Loan) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/24/2017 | 1,450 | 1,430 | 1,443 | 0.8 | % | |||||||||||||||
7,760 | 8,017 | 4.5 | % | |||||||||||||||||||||
Total Hotel, Gaming & Leisure | 7,760 | 8,017 | 4.5 | % | ||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||
Dominion Marine Media | (17) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 9/9/2022 | 7,000 | 6,922 | 6,922 | 3.9 | % | ||||||||||||||
Dominion Marine Media (Revolver) | (8)(12)(13)(17)(20) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 8/10/2021 | 1,000 | (118 | ) | (11 | ) | — | % | ||||||||||||
6,804 | 6,911 | 3.9 | % | |||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 6,804 | 6,911 | 3.9 | % | ||||||||||||||||||||
Media: Broadcasting & Subscription | ||||||||||||||||||||||||
ProQuest LLC | Senior Secured Loans - Second Lien | L+9.00% | 10.00% | 12/15/2022 | 1,312 | 1,286 | 1,273 | 0.7 | % | |||||||||||||||
Media: Broadcasting & Subscription | 1,286 | 1,273 | 0.7 | % | ||||||||||||||||||||
Metals & Mining | ||||||||||||||||||||||||
New Day Aluminum LLC | (15)(17)(23) | Senior Secured Bonds | N/A | 10.00% | 10/28/2020 | 24 | — | 24 | — | % | ||||||||||||||
Total Metals & Mining | — | 24 | — | % | ||||||||||||||||||||
Retail | ||||||||||||||||||||||||
Belk Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 12/12/2022 | 4,464 | 3,987 | 3,865 | 2.2 | % | |||||||||||||||
Med Intermediate (MyEyeDr) | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/14/2021 | 4,841 | 4,796 | 4,803 | 2.7 | % | ||||||||||||||
Med Intermediate (MyEyeDr) (Delayed Draw) | (8)(12)(17)(20) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/16/2021 | 1,631 | (24 | ) | (13 | ) | — | % | ||||||||||||
Med Intermediate (MyEyeDr) (Term Loan B) | (17) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 8/16/2021 | 1,269 | 1,248 | 1,256 | 0.7 | % | ||||||||||||||
6,020 | 6,046 | 3.4 | % | |||||||||||||||||||||
Pet Holdings ULC | CN(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 6/1/2023 | 4,489 | 4,419 | 4,506 | 2.5 | % | ||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(8)(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 6/1/2023 | 500 | — | 2 | — | % | ||||||||||||||
4,419 | 4,508 | 2.5 | % |
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+8.25% | 9.87% | 8/15/2023 | 12,000 | 11,823 | 12,120 | 5.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Healthcare & Pharmaceuticals | 41,194 | 41,101 | 19.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Hotel, Gaming & Leisure | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ASM Global | Senior Secured Loans - First Lien | L+3.00% | 4.70% | 1/23/2025 | 2,358 | 2,356 | 2,371 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
ASM Global | Senior Secured Loans - Second Lien | L+7.00% | 8.70% | 1/23/2026 | 2,400 | 2,395 | 2,428 | 1.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
4,751 | 4,799 | 2.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Playtika Holding | (11) | Senior Secured Loans - First Lien | L+6.00% | 7.80% | 12/31/2024 | 2,000 | 1,960 | 2,025 | 1.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Hotel, Gaming & Leisure | 6,711 | 6,824 | 3.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Media: Advertising, Printing & Publishing | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 5/17/2024 | 5,722 | 5,665 | 5,722 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - Second Lien | L+8.00% | 9.80% | 11/18/2024 | 3,338 | 3,306 | 3,372 | 1.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Boats Group (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/12/2022 | — | (44) | (41) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
8,927 | 9,053 | 4.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc. | (11) | Senior Secured Loans - First Lien | L+6.25% | 8.04% | 11/19/2024 | 2,500 | 2,400 | 2,500 | 1.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | Senior Secured Loans - First Lien | L+4.00% | 5.70% | 5/4/2022 | 1,943 | 1,930 | 1,863 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | (13)(14)(15) | Senior Unsecured Debt | N/A | 11.00% | 4/20/2022 | 2,000 | 1,968 | 1,871 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
McGraw-Hill Global Education Holdings | (13) | Senior Unsecured Debt | N/A | 7.88% | 5/15/2024 | 1,340 | 1,302 | 1,152 | 0.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
5,200 | 4,886 | 2.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.30% | 6/15/2024 | 8,113 | 8,070 | 8,023 | 3.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Trader Interactive (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 6/15/2023 | — | (31) | (30) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
8,039 | 7,993 | 3.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 24,566 | 24,432 | 11.6 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
At Home Group | (11)(15) | Senior Secured Loans - First Lien | L+3.50% | 5.43% | 6/3/2022 | 318 | 291 | 278 | 0.1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+6.75% | 8.80% | 12/12/2022 | 1,146 | 1,083 | 807 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Beverages and More, Inc. | (13) | Senior Secured Bonds | N/A | 11.50% | 6/15/2022 | 900 | 758 | 617 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Blue Nile, Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.41% | 2/17/2023 | 10,500 | 10,316 | 4,568 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Buddys Newco, LLC | (13)(15) | Senior Secured Loans - First Lien | L+8.00% | 10.21% | 7/10/2024 | 3,900 | 3,827 | 4,088 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Total Retail | 14,426 | 14,419 | 8.1 | % | ||||||||||||||||||||
Services: Business | ||||||||||||||||||||||||
MDC Partners Inc. | (11) | Subordinated Debt | N/A | 6.50% | 5/1/2024 | 925 | 816 | 833 | 0.5 | % | ||||||||||||||
Ryan LLC | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 8/7/2020 | 1,989 | 1,966 | 1,978 | 1.1 | % | |||||||||||||||
Total Services: Business | 2,782 | 2,811 | 1.6 | % | ||||||||||||||||||||
Technology | ||||||||||||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - Second Lien | L+9.50% | 10.50% | 1/31/2023 | 4,100 | 3,734 | 3,726 | 2.1 | % | ||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 6/16/2023 | 5,400 | 5,340 | 5,468 | 3.1 | % | |||||||||||||||
Cvent, Inc. | (17) | Senior Secured Loans - Second Lien | L+10.00% | 11.00% | 5/29/2024 | 5,385 | 5,070 | 5,184 | 2.9 | % | ||||||||||||||
10,410 | 10,652 | 6.0 | % | |||||||||||||||||||||
Epicor Software Corp. | (17) | Senior Secured Bonds | L+8.25% | 9.25% | 5/21/2023 | 5,000 | 4,869 | 4,885 | 2.7 | % | ||||||||||||||
GlobalLogic Holdings Inc. | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 6/30/2022 | 857 | 844 | 858 | 0.5 | % | |||||||||||||||
Greenway Health, LLC | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/4/2020 | 4,812 | 4,636 | 4,788 | 2.7 | % | |||||||||||||||
Greenway Health, LLC | Senior Secured Loans - Second Lien | L+8.25% | 9.25% | 11/4/2021 | 5,000 | 4,791 | 4,875 | 2.7 | % | |||||||||||||||
9,427 | 9,663 | 5.4 | % | |||||||||||||||||||||
Onyx CenterSource | (17) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 12/20/2021 | 7,233 | 7,199 | 7,199 | 4.1 | % | ||||||||||||||
Onyx CenterSource (Revolver) | (8)(13)(17)(20) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 12/20/2021 | 329 | (41 | ) | (2 | ) | — | % | ||||||||||||
7,158 | 7,197 | 4.1 | % | |||||||||||||||||||||
Planview, Inc. | (17) | Senior Secured Loans - Second Lien | L+9.50% | 10.50% | 8/9/2022 | 8,000 | 7,848 | 7,852 | 4.4 | % | ||||||||||||||
QLIK Technologies Inc. | (11)(17) | Senior Secured Loans - First Lien | L+8.25% | 9.25% | 8/22/2022 | 7,980 | 7,820 | 7,835 | 4.4 | % | ||||||||||||||
TIBCO Software Inc. | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 12/4/2020 | 1,714 | 1,721 | 1,724 | 1.0 | % | |||||||||||||||
TIBCO Software Inc. | Subordinated Debt | N/A | 11.38% | 12/1/2021 | 660 | 670 | 660 | 0.4 | % | |||||||||||||||
2,391 | 2,384 | 1.4 | % | |||||||||||||||||||||
Total Technology | 54,501 | 55,052 | 31.0 | % | ||||||||||||||||||||
Utilities: Electric | ||||||||||||||||||||||||
Moxie Liberty LLC | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/21/2020 | 2,981 | 2,910 | 2,948 | 1.7 | % | |||||||||||||||
Moxie Patriot LLC | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 12/21/2020 | 636 | 613 | 633 | 0.4 | % | |||||||||||||||
3,523 | 3,581 | 2.1 | % | |||||||||||||||||||||
MRP Generation Holdings LLC | (11) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 10/18/2022 | 4,988 | 4,695 | 4,950 | 2.8 | % | ||||||||||||||
Panda Hummel LLC | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 10/27/2022 | 2,700 | 2,605 | 2,604 | 1.5 | % | |||||||||||||||
Terraform Global Operating LLC | (11) | Senior Secured Bonds | N/A | 9.75% | 8/15/2022 | 3,000 | 2,890 | 3,202 | 1.8 | % | ||||||||||||||
Total Utilities: Electric | 13,713 | 14,337 | 8.2 | % | ||||||||||||||||||||
Total Debt Investments | $ | 270,895 | $ | 274,805 | 154.3 | % |
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.60% | 7/5/2022 | 4,340 | 4,306 | 4,080 | 1.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.60% | 7/5/2022 | 489 | 489 | 460 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,795 | 4,540 | 2.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Save-a-Lot | (13) | Senior Secured Loans - First Lien | L+6.00% | 8.10% | 12/5/2023 | 4,064 | 2,261 | 1,488 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Sears Outlet | (11)(13)(15) | Senior Secured Loans - First Lien | L+6.50% | 8.43% | 10/23/2023 | 2,625 | 2,575 | 2,644 | 1.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Smart & Final Stores LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.55% | 6/20/2025 | 3,980 | 3,605 | 3,850 | 1.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Total Retail | 29,511 | 22,880 | 10.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Services: Business | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
24-7 Intouch | CN(10)(11) | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 8/25/2025 | 3,950 | 3,715 | 3,851 | 1.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (GBP Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | G+5.00% | 5.71% | 6/16/2025 | £ | 2,060 | 2,546 | 2,603 | 1.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (USD Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.80% | 6/16/2025 | 890 | 850 | 863 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alexander Mann Solutions (Revolver) | UK(9)(10)(11)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/16/2024 | — | (45) | (45) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
3,351 | 3,421 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Capstone Logistics, LLC | Senior Secured Loans - First Lien | L+4.50% | 6.21% | 10/7/2021 | 4,755 | 4,730 | 4,687 | 2.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Clarion (Comet Bidco) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.00% | 7.12% | 9/30/2024 | 5,881 | 5,790 | 5,779 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
HealthChannels, Inc. | Senior Secured Loans - First Lien | L+4.50% | 6.24% | 4/3/2025 | 2,857 | 2,805 | 2,810 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Lifelong Learner Holdings T/L | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.49% | 10/16/2026 | 2,866 | 2,831 | 2,834 | 1.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Park Place Technologies | Senior Secured Loans - First Lien | L+4.00% | 5.80% | 3/29/2025 | 2,672 | 2,662 | 2,663 | 1.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Park Place Technologies | Senior Secured Loans - Second Lien | L+8.00% | 9.80% | 3/29/2026 | 3,404 | 3,383 | 3,378 | 1.6 | % | |||||||||||||||||||||||||||||||||||||||||||||||
6,045 | 6,041 | 2.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+5.75% | 7.69% | 10/4/2025 | 30 | 30 | (6) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (9)(15) | Senior Secured Loans - First Lien | N/A | N/A | 10/4/2026 | — | — | — | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
PSI Services LLC | (9)(15) | Senior Secured Loans - First Lien | L+5.75% | 7.63% | 10/4/2026 | 429 | 429 | 422 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
459 | 416 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
SLR Consulting | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.79% | 6/23/2025 | 1,588 | 1,551 | 1,554 | 0.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
SLR Consulting (Delayed Draw) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.18% | 5/23/2025 | 494 | 512 | 508 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
2,063 | 2,062 | 1.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2016 (in thousands) | ||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal Amount / No. Shares (6) | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Equity Investments - 0.2% | ||||||||||||||||||||||||
Beverage, Food & Tobacco | ||||||||||||||||||||||||
Blue Harvest Fisheries (Closed End Units) | (13)(17)(19) | Equity and Other | N/A | N/A | — | 13 | 13 | — | % | |||||||||||||||
Total Beverage, Food & Tobacco | 13 | 13 | — | % | ||||||||||||||||||||
Energy: Oil & Gas | ||||||||||||||||||||||||
BreitBurn Energy Partners LP (Preferred Equity) | (9)(11)(13)(17)(19) | Equity and Other | N/A | 8.00% | 251 | 1,886 | 40 | — | % | |||||||||||||||
SandRidge Energy Inc. (Common Equity) | (11)(13)(19) | Equity and Other | N/A | N/A | 10 | 202 | 226 | 0.2 | % | |||||||||||||||
Total Energy: Oil & Gas | 2,088 | 266 | — | % | ||||||||||||||||||||
Total Equity Investments | $ | 2,101 | $ | 279 | — | % | ||||||||||||||||||
TOTAL INVESTMENTS - 154.5% | (21) | $ | 272,996 | $ | 275,084 | 154.3 | % |
December 31, 2016 (in thousands) | |||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||
Foreign Currency Forward Contracts (21) | |||||||||||||||
JPMorgan Chase Bank | 1/12/2017 | $615 | €592 | $ | (8 | ) | — | % |
December 31, 2019 (in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Teneo Holdings LLC | Senior Secured Loans - First Lien | L+5.25% | 6.99% | 7/12/2025 | 3,990 | 3,802 | 3,805 | 1.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||
YAK Access, LLC | Senior Secured Loans - Second Lien | L+10.00% | 11.79% | 7/10/2026 | 5,000 | 4,688 | 4,409 | 2.1 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Services: Business | 40,279 | 40,115 | 19.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Technology | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 10.35% | 2/28/2022 | 6,983 | 6,904 | 5,795 | 2.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Alfresco Software | (15) | Senior Secured Loans - First Lien | L+8.50% | 10.64% | 9/9/2024 | 3,287 | 3,223 | 3,229 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Acquia Inc. | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.91% | 10/31/2025 | 1,789 | 1,754 | 1,776 | 0.8 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Acquia Inc. | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 10/31/2025 | — | (4) | (26) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
1,750 | 1,750 | 0.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Allvue Systems (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/6/2024 | — | (13) | (12) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Allvue Systems (Term Loan) | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.36% | 9/4/2026 | 868 | 866 | 860 | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||||||
853 | 848 | 0.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Apptio, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/3/2024 | — | (35) | (34) | — | % | ||||||||||||||||||||||||||||||||||||||||||||||
Apptio, Inc. | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.96% | 1/10/2025 | 4,900 | 4,841 | 4,855 | 2.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
4,806 | 4,821 | 2.3 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.03% | 6/8/2024 | £ | 2,638 | 3,346 | 3,450 | 1.7 | % | |||||||||||||||||||||||||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.01% | 6/8/2024 | £ | 338 | 426 | 447 | 0.2 | % | |||||||||||||||||||||||||||||||||||||||||||||
3,772 | 3,897 | 1.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cologix Holdings | Senior Secured Loans - First Lien | L+3.75% | 5.45% | 3/20/2024 | 2,000 | 1,931 | 1,990 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+3.75% | 5.55% | 11/29/2024 | 1,975 | 1,952 | 1,976 | 0.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.76% | 4/28/2025 | 1,931 | 1,900 | 1,916 | 0.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 9.68% | 4/27/2026 | 462 | 454 | 458 | 0.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.76% | 4/28/2025 | 3,048 | 3,006 | 3,025 | 1.5 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 9.68% | 4/27/2026 | 4,696 | 4,631 | 4,656 | 2.2 | % | ||||||||||||||||||||||||||||||||||||||||||||||
9,991 | 10,055 | 4.8 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (USD Term Loan) | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+4.25% | 6.35% | 1/22/2024 | 634 | 625 | 630 | 0.3 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+4.25% | 5.01% | 1/22/2024 | £ | 528 | 729 | 695 | 0.3 | % |
GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS
25 GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS
26 GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS
_______________________ (1)Security may be an obligation of one or more entities affiliated with the named portfolio company. (2)All debt and equity investments are income producing unless otherwise noted. (3)All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities. (4)The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2019, LIBO rates ranged between 1.76% for 1-month LIBOR to 1.91% for 3-month LIBOR. (5)For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, 2019. (6)Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. (7)Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock. (8)As of December 31, 2019, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $4.8 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $17.6 million; the net unrealized depreciation was $12.8 million; the aggregate cost of securities for Federal income tax purposes was $384.9 million. 27 GUGGENHEIM CREDIT INCOME FUND CONSOLIDATED SCHEDULE OF INVESTMENTS (9)The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2019 (see Note 8. Commitments and Contingencies). (10)A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. (11)The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2019, qualifying assets represented 79% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. (12)Investment position or portion thereof unsettled as of December 31, 2019. (13)The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of December 31, 2019; (see Note 7. Borrowings). (14)The underlying credit agreement or indenture contains a 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.
(15)Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). (16)Non-income producing security. (17)The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. (18)Investment was on non-accrual status as of December 31, 2019, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2019, debt investments on non-accrual status represented 1.0% and 0.5% of total investments on an amortized cost basis and fair value basis, respectively. |
September 30, 2017 | ||||||||||
Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | ||||||||
Senior secured loans - first lien | $ | 228,489 | $ | 231,843 | 60.8 | % | ||||
Senior secured loans - second lien | 82,667 | 83,376 | 21.9 | |||||||
Senior secured bonds | 20,035 | 20,909 | 5.5 | |||||||
Senior unsecured debt | 28,777 | 29,218 | 7.7 | % | ||||||
Total senior debt | $ | 359,968 | $ | 365,346 | 95.9 | % | ||||
Subordinated debt | 15,171 | 15,261 | 4.0 | |||||||
Equity and other | 2,355 | 447 | 0.1 | |||||||
Total investments | $ | 377,494 | $ | 381,054 | 100.0 | % |
December 31, 2016 | ||||||||||
Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | ||||||||
Senior secured loans - first lien | $ | 182,485 | $ | 185,336 | 67.4 | % | ||||
Senior secured loans - second lien | 43,990 | 44,340 | 16.1 | |||||||
Senior secured bonds | 11,405 | 11,631 | 4.2 | |||||||
Senior unsecured debt | 12,541 | 12,870 | 4.7 | |||||||
Total senior debt | $ | 250,421 | $ | 254,177 | 92.4 | % | ||||
Subordinated debt | 20,474 | 20,628 | 7.5 | |||||||
Equity and other | 2,101 | 279 | 0.1 | |||||||
Total investments | $ | 272,996 | $ | 275,084 | 100.0 | % |
September 30, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||
Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||||||||||||||||||||||||
Senior secured loans - first lien | $ | 297,870 | $ | 279,664 | 85.0 | % | $ | 279,872 | $ | 268,678 | 72.2 | % | |||||||||||||||||||||||
Senior secured loans - second lien | 37,050 | 32,958 | 10.0 | 56,913 | 56,651 | 15.2 | |||||||||||||||||||||||||||||
Senior secured bonds | 7,486 | 5,823 | 1.8 | 12,996 | 12,223 | 3.3 | |||||||||||||||||||||||||||||
Senior unsecured debt | 3,206 | 2,073 | 0.6 | 22,253 | 21,537 | 5.8 | |||||||||||||||||||||||||||||
Total senior debt | $ | 345,612 | $ | 320,518 | 97.4 | % | $ | 372,034 | $ | 359,089 | 96.5 | % | |||||||||||||||||||||||
Equity and other | 11,425 | 8,683 | 2.6 | 13,768 | 13,104 | 3.5 | |||||||||||||||||||||||||||||
Total investments | $ | 357,037 | $ | 329,201 | 100.0 | % | $ | 385,802 | $ | 372,193 | 100.0 | % |
September 30, 2017 | December 31, 2016 | September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Industry Classification | Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | Investments at Amortized Cost | Investments at Fair Value | Percentage of Portfolio at Fair Value | Industry Classification | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
Technology | $ | 85,311 | $ | 86,069 | 22.6 | % | $ | 54,501 | $ | 55,052 | 20.0 | % | Technology | $ | 79,146 | $ | 75,636 | 23.0 | % | $ | 81,806 | $ | 81,726 | 22.0 | % | |||||||||||||||||||||||||||||||||||
Services: Business | Services: Business | 41,278 | 39,134 | 11.9 | 40,279 | 40,115 | 10.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Beverage, Food & Tobacco | Beverage, Food & Tobacco | 29,940 | 29,755 | 9.0 | 24,104 | 24,555 | 6.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Automotive | Automotive | 27,054 | 24,702 | 7.5 | 24,095 | 21,938 | 5.9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Media: Advertising, Printing & Publishing | Media: Advertising, Printing & Publishing | 20,958 | 19,058 | 5.8 | 24,566 | 24,432 | 6.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Chemicals, Plastics & Rubber | Chemicals, Plastics & Rubber | 18,792 | 18,816 | 5.7 | 20,010 | 20,072 | 5.4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer goods: Non-durable | Consumer goods: Non-durable | 17,152 | 17,317 | 5.3 | 4,548 | 4,553 | 1.2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Containers, Packaging & Glass | Containers, Packaging & Glass | 16,468 | 14,236 | 4.3 | 13,259 | 12,233 | 3.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Retail | Retail | 19,342 | 13,742 | 4.2 | 29,511 | 22,880 | 6.1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Construction & Building | 41,280 | 42,767 | 11.2 | 20,072 | 20,586 | 7.5 | Construction & Building | 13,807 | 13,601 | 4.1 | 14,832 | 14,818 | 4.0 | |||||||||||||||||||||||||||||||||||||||||||||||
Beverage, Food & Tobacco | 41,528 | 42,023 | 11.0 | 35,793 | 36,055 | 13.1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate (1) | Banking, Finance, Insurance & Real Estate (1) | 11,794 | 11,690 | 3.6 | 11,021 | 11,191 | 3.0 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Healthcare & Pharmaceuticals | 30,575 | 30,917 | 8.1 | 31,022 | 31,099 | 11.3 | Healthcare & Pharmaceuticals | 10,394 | 10,467 | 3.2 | 41,194 | 41,101 | 11.0 | |||||||||||||||||||||||||||||||||||||||||||||||
Retail | 26,481 | 26,950 | 7.1 | 14,426 | 14,419 | 5.3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Automotive | 25,805 | 26,415 | 7.0 | 27,742 | 28,100 | 10.2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Aerospace & Defense | Aerospace & Defense | 7,580 | 7,547 | 2.3 | 7,274 | 6,877 | 1.8 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Energy: Oil & Gas | 23,853 | 21,829 | 5.7 | 8,785 | 7,031 | 2.6 | Energy: Oil & Gas | 15,166 | 6,733 | 2.0 | 15,266 | 11,778 | 3.2 | |||||||||||||||||||||||||||||||||||||||||||||||
Aerospace & Defense | 20,036 | 20,111 | 5.3 | 21,962 | 22,300 | 8.1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Utilities: Electric | 16,795 | 16,565 | 4.4 | 13,713 | 14,337 | 5.2 | Utilities: Electric | 5,918 | 5,880 | 1.8 | 8,786 | 8,508 | 2.3 | |||||||||||||||||||||||||||||||||||||||||||||||
Utilities: Oil & Gas | Utilities: Oil & Gas | 5,739 | 5,289 | 1.6 | 5,784 | 5,881 | 1.6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Metals & Mining | Metals & Mining | 4,830 | 4,657 | 1.4 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Telecommunications | Telecommunications | 4,682 | 4,321 | 1.3 | 4,697 | 4,718 | 1.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Hotel, Gaming & Leisure | 14,860 | 15,694 | 4.1 | 7,760 | 8,017 | 2.9 | Hotel, Gaming & Leisure | 3,664 | 3,431 | 1.0 | 6,711 | 6,824 | 1.8 | |||||||||||||||||||||||||||||||||||||||||||||||
Media: Advertising, Printing & Publishing | 12,352 | 12,261 | 3.2 | 6,804 | 6,911 | 2.5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Containers, Packaging & Glass | 10,917 | 11,493 | 3.0 | 10,143 | 10,768 | 3.9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Telecommunications | 9,472 | 9,450 | 2.5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Chemicals, Plastics & Rubber | 5,782 | 5,885 | 1.5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Non-Durable | 5,620 | 5,631 | 1.5 | 5,806 | 5,825 | 2.1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate (1) | 3,435 | 3,522 | 0.9 | 10,399 | 10,476 | 3.8 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Equipment | 2,619 | 2,694 | 0.7 | — | — | — | Capital Equipment | 2,000 | 1,930 | 0.6 | 2,000 | 1,995 | 0.5 | |||||||||||||||||||||||||||||||||||||||||||||||
Media: Broadcasting & Subscription | 772 | 764 | 0.2 | 1,286 | 1,273 | 0.5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Metals & Mining | 1 | 14 | — | — | 24 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Services: Business | — | — | — | 2,782 | 2,811 | 1.0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 377,494 | $ | 381,054 | 100.0 | % | $ | 272,996 | $ | 275,084 | 100.0 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Consumer Goods: Durable | Consumer Goods: Durable | 1,236 | 1,159 | 0.4 | 1,281 | 1,284 | 0.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Transportation: Consumer | Transportation: Consumer | 97 | 100 | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Transportation: Cargo | Transportation: Cargo | — | — | — | 4,778 | 4,714 | 1.3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investments | Total investments | $ | 357,037 | $ | 329,201 | 100.0 | % | $ | 385,802 | $ | 372,193 | 100.0 | % |
Geographic Dispersion | September 30, 2020 | December 31, 2019 | ||||||||||||
United States of America | 87.3 | % | 85.5 | % | ||||||||||
United Kingdom | 8.1 | 9.2 | ||||||||||||
Canada | 3.0 | 2.8 | ||||||||||||
Italy | 1.6 | 1.5 | ||||||||||||
Ireland | — | 1.0 | ||||||||||||
Total investments | 100.0 | % | 100.0 | % |
Geographic Dispersion | September 30, 2017 | December 31, 2016 | ||||
United States of America | 89.2 | % | 94.1 | % | ||
United Kingdom | 8.0 | 1.4 | ||||
Italy | 1.5 | — | ||||
Canada | 1.3 | 4.5 | ||||
Total investments | 100.0 | % | 100.0 | % |
September 30, 2017 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | October 12, 2017 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 595 | $ | 713 | $ | 704 | $ | 9 | |||||||||||
GBP | October 12, 2017 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,056 | 23,810 | 24,204 | (394 | ) | |||||||||||||
Total | $ | 24,523 | $ | 24,908 | $ | (385 | ) |
Debt Investments Denominated in Foreign Currencies As of September 30, 2017 | Hedges As of September 30, 2017 | |||||||||||||||||||
Par Value in Local Currency | Par Value in U.S. Dollars | Fair Value in U.S. Dollars | Foreign Currency Hedge Notional Amount in Local Currency | Hedges' Notional Value at Period End | ||||||||||||||||
EUR | € | 601 | $ | 627 | $ | 702 | € | 595 | $ | 704 | ||||||||||
GBP | £ | 18,289 | 22,912 | 24,000 | £ | 18,056 | 24,204 | |||||||||||||
Total | $ | 23,539 | $ | 24,702 | $ | 24,908 |
September 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||||||||||||||||||||||||
EUR | October 16, 2020 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 1,051 | $ | 1,245 | $ | 1,233 | $ | 12 | |||||||||||||||||||||||||||||||||
GBP | October 16, 2020 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 19,225 | 24,600 | 24,809 | (209) | ||||||||||||||||||||||||||||||||||||
Total | $ | 25,845 | $ | 26,042 | $ | (197) |
December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||||||||||||||||||||||||
EUR | January 14, 2020 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 694 | $ | 772 | $ | 779 | $ | (7) | |||||||||||||||||||||||||||||||||
GBP | January 14, 2020 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,878 | 24,936 | 25,016 | (80) | ||||||||||||||||||||||||||||||||||||
Total | $ | 25,708 | $ | 25,795 | $ | (87) |
December 31, 2016 | ||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||
EUR | January 12, 2017 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | €592 Sold | $ | 616 | $ | 624 | $ | (8 | ) |
Debt Investments Denominated in Foreign Currencies As of December 31, 2016 | Hedges As of December 31, 2016 | |||||||||||||||||||
Par Value in Local Currency | Par Value in U.S. Dollars | Fair Value in U.S. Dollars | Foreign Currency Hedge Notional Amount in Local Currency | Hedges' Notional Value at Period End | ||||||||||||||||
EUR | € | 601 | $ | 627 | $ | 624 | € | 592 | $ | 624 | ||||||||||
Total | $ | 627 | $ | 624 | $ | 624 |
Three Months Ended | Nine Months Ended | |||||||||
Statement Location | September 30, 2017 | September 30, 2017 | ||||||||
Net realized gains (losses) | ||||||||||
Foreign currency forward contracts | Net realized losses on foreign currency forward contracts | $ | (410 | ) | $ | (1,029 | ) | |||
Net unrealized gains (losses) | ||||||||||
Foreign currency forward contracts | Net change in unrealized depreciation on foreign currency forward contracts | (217 | ) | (377 | ) | |||||
Net realized and unrealized losses on foreign currency forward contracts | $ | (627 | ) | $ | (1,406 | ) |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||||||||||||||||||
Statement Location | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||||||||
Net realized gains (losses) | ||||||||||||||||||||||||||||||||
Foreign currency forward contracts | Net realized gains (losses) on foreign currency forward contracts | $ | (383) | $ | 752 | $ | 668 | $ | 626 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | ||||||||||||||||||||||||||||||||
Foreign currency forward contracts | Net change in unrealized appreciation (depreciation) on foreign currency forward contracts | (605) | 144 | (110) | 523 | |||||||||||||||||||||||||||
Net realized and unrealized gains (losses) on foreign currency forward contracts | $ | (988) | $ | 896 | $ | 558 | $ | 1,149 |
As of | Counterparty | Gross Derivative Assets in Statement of Assets and Liabilities | Gross Derivative Liabilities in Statement of Assets and Liabilities | Collateral Pledged | Net position of Derivative Assets, Liabilities and Pledged Collateral | |||||||||||||||||||||||||||
September 30, 2020 | JP Morgan Chase Bank, N.A. | $ | 12 | $ | (209) | $ | — | $ | (197) | |||||||||||||||||||||||
December 31, 2019 | JP Morgan Chase Bank, N.A. | $ | — | $ | (87) | $ | (320) | $ | (407) |
September 30, 2017 | ||||||||||||||||
Counterparty | Gross Derivative Liabilities in Statement of Assets and Liabilities | Gross Derivative Assets in Statement of Assets and Liabilities | Collateral Pledged (1) | Net position of Derivative Assets, Liabilities and Pledged Collateral | ||||||||||||
JP Morgan Chase Bank, N.A. | $ | (394 | ) | $ | 9 | $ | 385 | $ | — |
September 30, 2017 | September 30, 2020 | |||||||||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||||||
Investments | Investments | |||||||||||||||||||||||||||||||||||||
Senior secured loans - first lien | $ | — | $ | 41,756 | $ | 190,087 | $ | 231,843 | Senior secured loans - first lien | $ | — | $ | 86,896 | $ | 192,768 | $ | 279,664 | |||||||||||||||||||||
Senior secured loans - second lien | — | 19,714 | 63,662 | 83,376 | Senior secured loans - second lien | — | 5,052 | 27,906 | 32,958 | |||||||||||||||||||||||||||||
Senior secured bonds | — | — | 20,909 | 20,909 | Senior secured bonds | — | 5,823 | — | 5,823 | |||||||||||||||||||||||||||||
Senior unsecured debt | — | $ | 8,323 | $ | 20,895 | $ | 29,218 | Senior unsecured debt | — | 677 | 1,396 | 2,073 | ||||||||||||||||||||||||||
Total senior debt | — | $ | 69,793 | $ | 295,553 | $ | 365,346 | Total senior debt | $ | — | $ | 98,448 | $ | 222,070 | $ | 320,518 | ||||||||||||||||||||||
Subordinated debt | — | — | 15,261 | 15,261 | ||||||||||||||||||||||||||||||||||
Equity and other | 434 | — | 13 | 447 | Equity and other | 35 | — | 8,648 | 8,683 | |||||||||||||||||||||||||||||
Total investments | $ | 434 | $ | 69,793 | $ | 310,827 | $ | 381,054 | Total investments | $ | 35 | $ | 98,448 | $ | 230,718 | $ | 329,201 | |||||||||||||||||||||
Percentage | 0.1 | % | 18.3 | % | 81.6 | % | 100.0 | % | Percentage | 0.0 | % | 29.9 | % | 70.1 | % | 100.0 | % | |||||||||||||||||||||
Derivative Instruments | Derivative Instruments | |||||||||||||||||||||||||||||||||||||
Derivative Instruments | ||||||||||||||||||||||||||||||||||||||
Foreign currency forward contracts | $ | — | $ | (394 | ) | $ | — | $ | (394 | ) | Foreign currency forward contracts | $ | — | $ | (197) | $ | — | $ | (197) | |||||||||||||||||||
Foreign currency forward contracts | $ | — | $ | 9 | $ | — | $ | 9 |
December 31, 2016 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 105,423 | $ | 79,913 | $ | 185,336 | |||||||
Senior secured loans - second lien | — | 19,590 | 24,750 | 44,340 | |||||||||||
Senior secured bonds | — | 3,699 | 7,932 | 11,631 | |||||||||||
Senior unsecured debt | — | 7,460 | 5,410 | 12,870 | |||||||||||
Total senior debt | — | 136,172 | 118,005 | 254,177 | |||||||||||
Subordinated debt | — | 5,486 | 15,142 | 20,628 | |||||||||||
Equity and other | 226 | — | 53 | 279 | |||||||||||
Total investments | $ | 226 | $ | 141,658 | $ | 133,200 | $ | 275,084 | |||||||
Percentage | 0.1 | % | 51.5 | % | 48.4 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (8 | ) | $ | — | $ | (8 | ) |
December 31, 2019 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Investments | |||||||||||||||||||||||
Senior secured loans - first lien | $ | — | $ | 80,704 | $ | 187,974 | $ | 268,678 | |||||||||||||||
Senior secured loans - second lien | — | 14,364 | 42,287 | 56,651 | |||||||||||||||||||
Senior secured bonds | — | 12,223 | — | 12,223 | |||||||||||||||||||
Senior unsecured debt | — | 4,739 | 16,798 | 21,537 | |||||||||||||||||||
Total senior debt | $ | — | $ | 112,030 | $ | 247,059 | $ | 359,089 | |||||||||||||||
Equity and other | 90 | — | 13,014 | 13,104 | |||||||||||||||||||
Total investments | $ | 90 | $ | 112,030 | $ | 260,073 | $ | 372,193 | |||||||||||||||
Percentage | 0.0 | % | 30.1 | % | 69.9 | % | 100.0 | % | |||||||||||||||
Derivative Instruments | |||||||||||||||||||||||
Foreign currency forward contracts | $ | — | $ | (87) | $ | — | $ | (87) |
September 30, 2017 | |||||||||||||||||||||||||||||
September 30, 2020 | September 30, 2020 | ||||||||||||||||||||||||||||
Asset Category | No. of Investment Positions | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | |||||||||||||||
Senior secured loans - first lien | 36 | $ | 123,885 | Transacted value | Cost (5) | 98.50 | Increase | Senior secured loans - first lien | $ | 159,437 | Yield analysis | Yield | 7.93% | 4.23% - 32.59% | Decrease | ||||||||||||||
Transacted value | Price | 100 | Increase | $ | 1,642 | Transacted value | Cost | 99.50 | Increase | ||||||||||||||||||||
Yield analysis | Yield | 8.19% | 5.92% - 12.44% | Decrease | $ | 4,710 | Transacted value | Bid | 54.28 | Increase | |||||||||||||||||||
Senior secured loans - second lien | 9 | $ | 47,954 | Transacted value | Cost (5) | 98.00 | Increase | ||||||||||||||||||||||
Yield analysis | Yield | 10.32% | 8.59% - 11.97% | Decrease | |||||||||||||||||||||||||
Senior secured bonds | 4 | $ | 17,919 | Transacted value | Price | 110.00 | Increase | ||||||||||||||||||||||
Yield analysis | Yield | 9.98% | 9.94% - 10.00% | Decrease | Discounted cash flow | Discount Rate | 17.50% | Decrease | |||||||||||||||||||||
Market comparable | EBITDA multiple | 9.3x | 9.3x | Increase | Discounted cash flow | Perpetuity Growth Rate | (10.00)% | Increase | |||||||||||||||||||||
Discounted cash flow | Terminal EBITDA Multiple | 7.2x | Increase | ||||||||||||||||||||||||||
Senior secured loans - second lien | Senior secured loans - second lien | $ | 16,874 | Yield analysis | Yield | 9.00% | 8.18% - 9.54% | Decrease | |||||||||||||||||||||
Senior unsecured debt | 3 | $ | 16,745 | Yield analysis | Yield | 11.57% | 9.85% - 16.73% | Decrease | Senior unsecured debt | $ | 1,396 | Yield analysis | Yield | 38.37% | Decrease | ||||||||||||||
Subordinated debt | 3 | $ | 15,261 | Transacted value | Cost (5) | 100.00 | Increase | ||||||||||||||||||||||
Equity and other | Equity and other | $ | 30 | Transacted value | Cost(5) | 15.36 | Increase | ||||||||||||||||||||||
Yield analysis | Yield | 8.74% | 8.52% - 8.75% | Decrease | $ | 5,363 | Market comparable | Capitalization Rate | 7.00% | Increase | |||||||||||||||||||
Equity and other | 1 | $ | 13 | Transacted value | Cost (5) | $1.00 | Increase | ||||||||||||||||||||||
$ | 578 | Market comparable | Cash Flow Multiple | 2.6x | Increase | ||||||||||||||||||||||||
Market comparable | Oil production multiple (6) | 13377x | Increase | ||||||||||||||||||||||||||
Market comparable | Oil reserve multiple (7) | 5.2x | Increase | ||||||||||||||||||||||||||
$ | 2,677 | Discounted cash flow | Discount Rate | 16.00% | 13.24% - 17.5% | Decrease | |||||||||||||||||||||||
Discounted cash flow | EBITDA multiple | 14.9x | 14.5x - 15.8x | Increase | |||||||||||||||||||||||||
Discounted cash flow | Perpetuity Growth Rate | 6.00% | 5% - 8% | Increase | |||||||||||||||||||||||||
Discounted cash flow | Terminal EBITDA Multiple | 8.2x | 5x - 13x | Increase | |||||||||||||||||||||||||
Total | 56 | $ | 221,777 | Total | $ | 192,707 |
December 31, 2019 | ||||||||||||||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||||||||||||||
Senior secured loans - first lien | $ | 121,594 | Yield analysis | Yield | 8.44% | 4.64% - 12.05% | Decrease | |||||||||||||
$ | 5,722 | Transacted value | Potential transaction | 100.00 | 100.00 | Increase | ||||||||||||||
$ | 14,656 | Yield analysis | Yield | 7.88% | 6.47% - 8.5% | Decrease | ||||||||||||||
Transacted value | Potential transaction | 101.73 | 100 - 105.57 | Increase | ||||||||||||||||
$ | 5,795 | Yield analysis | Yield | 20.23% | 20.23% | Decrease | ||||||||||||||
Transacted value | Bid | 61.27 | 61.27 | Increase | ||||||||||||||||
Discounted cash flow | Discount Rate | 17.50% | 17.50% | Decrease | ||||||||||||||||
Discounted cash flow | Perpetuity Growth Rate | (10.00)% | (10.00)% | Increase | ||||||||||||||||
Discounted cash flow | Terminal EBITDA Multiple | 5.9x | 5.9x | Increase | ||||||||||||||||
Senior secured loans - second lien | $ | 16,904 | Yield analysis | Yield | 9.91% | 7.67% - 11.27% | Decrease | |||||||||||||
$ | 15,492 | Transacted value | Potential transaction | 101.00 | 101.00 | Increase | ||||||||||||||
$ | 4,386 | Yield analysis | Yield | 11.46% | 11.46% | Decrease | ||||||||||||||
Transacted value | Potential transaction | 100.00 | 100.00 | Increase | ||||||||||||||||
Senior unsecured debt | $ | 16,798 | Yield analysis | Yield | 12.44% | 11.53% - 14.33% | Decrease | |||||||||||||
Equity and other | $ | 30 | Transacted value | Cost (5) | 15.36 | 15.36 | Increase | |||||||||||||
$ | 3,303 | Transacted value | Potential transaction | 1,116.45 | 1,116.45 | Increase | ||||||||||||||
$ | 4,752 | Market comparable | Capitalization Rate | 7.00% | 7.00% | Increase | ||||||||||||||
$ | 81 | Discounted cash flow | EBITDA multiple | 16.7x | 16.7x | Increase | ||||||||||||||
$ | 2,081 | Market comparable | Cash Flow Multiple | 3.6x | 3.6x | Increase | ||||||||||||||
Market comparable | Oil production multiple (6) | 19,650x | 19,650x | Increase | ||||||||||||||||
Market comparable | Oil reserve multiple (7) | 6.6x | 6.6x | Increase | ||||||||||||||||
$ | 2,767 | Discounted cash flow | Discount Rate | 20.01% | 14.08% - 15% | Decrease | ||||||||||||||
Discounted cash flow | EBITDA multiple | 14.5x | 13.2x - 15.4x | Increase | ||||||||||||||||
Discounted cash flow | Perpetuity Growth Rate | 6.74% | 5% - 8% | Increase | ||||||||||||||||
Discounted cash flow | Terminal EBITDA Multiple | 8.2x | 7.5x - 13x | Increase | ||||||||||||||||
Total | $ | 214,361 |
December 31, 2016 | |||||||||
Asset Category | No. of Investment Positions | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | 22 | $ | 74,929 | Yield analysis | Yield | 7.75% | 6.49% - 10.20% | Decrease | |
Transacted value | Cost (5) | 99.53 | 99.53 | Increase | |||||
Market comparables | EBITDA multiple | 16.3x | 16.3x | Increase | |||||
Senior secured loans - second lien | 4 | $ | 24,750 | Yield analysis | Yield | 10.89% | 10.40% -11.85% | Decrease | |
Market comparables | EBITDA multiple | 6.2x | 6.2x | Increase | |||||
Senior secured bonds | 3 | $ | 4,909 | Yield analysis | Yield | 9.72% | 9.72% | Decrease | |
Liquidation Analysis | Liquidation value | N/A | N/A | Increase | |||||
Senior unsecured debt | 1 | $ | 5,410 | Yield analysis | Yield | 12.59% | 12.59% | Decrease | |
Subordinated debt | 2 | $ | 15,142 | Transacted value | Cost (5) | 98.67 | 98.64-100.00 | Increase | |
Equity and other | 2 | $ | 53 | Transacted value | Cost (5) | 1.00 | 1.00 | Increase | |
Market and income approach | Company specific risk premium | 515.60% | 515.60% | Decrease | |||||
Option valuation model | Volatility | 163.18% | 163.18% | Increase | |||||
Total | 33 | $ | 125,193 |
For the Three Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||||||||||||||||||||||||
Balance as of July 1, 2020 | $ | 198,457 | $ | 27,598 | $ | 1,498 | $ | 7,621 | $ | 235,174 | |||||||||||||||||||||||||||||||
Additions (1) | 5,384 | 29 | — | 214 | 5,627 | ||||||||||||||||||||||||||||||||||||
Sales and repayments (2) | (7,082) | — | — | — | (7,082) | ||||||||||||||||||||||||||||||||||||
Net realized gains (3) | 392 | — | — | — | 392 | ||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | 434 | 325 | (105) | 813 | 1,467 | ||||||||||||||||||||||||||||||||||||
Net discount accretion | 132 | (46) | 3 | — | 89 | ||||||||||||||||||||||||||||||||||||
Transfers into Level 3 (5) | 3,925 | — | — | — | 3,925 | ||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 (6) | (8,874) | — | — | — | (8,874) | ||||||||||||||||||||||||||||||||||||
Fair value balance as of September 30, 2020 | $ | 192,768 | $ | 27,906 | $ | 1,396 | $ | 8,648 | $ | 230,718 | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2020 | $ | 713 | $ | 324 | $ | (105) | $ | 813 | $ | 1,745 |
Three Months Ended September 30, 2017 | ||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | ||||||||||||||||||||||
Balance as of July 1, 2017 | $ | 124,215 | $ | 47,717 | $ | 19,900 | $ | 16,655 | $ | 15,210 | $ | 52 | $ | 223,749 | ||||||||||||||
Additions (1) | 11,805 | 14,715 | — | 106 | 18 | — | 26,644 | |||||||||||||||||||||
Net realized gains (2) | 297 | 17 | — | — | — | — | 314 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | (60 | ) | 438 | 1,006 | (40 | ) | 27 | (39 | ) | 1,332 | ||||||||||||||||||
Sales and repayments (4) | (14,565 | ) | (457 | ) | — | — | — | — | (15,022 | ) | ||||||||||||||||||
Net discount accretion | 150 | 34 | 3 | 24 | 6 | — | 217 | |||||||||||||||||||||
Investment position reclassification | — | — | — | — | — | |||||||||||||||||||||||
Transfers into Level 3 (5) (6) | 68,245 | 1,198 | — | 4,150 | — | — | — | 73,593 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | ||||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 141 | $ | 438 | $ | 1,006 | $ | (40 | ) | $ | 27 | $ | (39 | ) | $ | 1,533 |
Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2017 | $ | 79,913 | $ | 24,750 | $ | 7,932 | $ | 5,410 | $ | 15,142 | $ | 53 | $ | 133,200 | |||||||||||||
Additions (1) | 107,203 | 45,109 | 12,000 | 13,803 | 17 | — | 178,132 | ||||||||||||||||||||
Net realized gains (2) | 1,003 | 293 | — | 26 | — | — | 1,322 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | 1,291 | 807 | 964 | 237 | 83 | (40 | ) | 3,342 | |||||||||||||||||||
Sales and repayments (4) | (39,002 | ) | (8,656 | ) | — | (2,632 | ) | — | — | (50,290 | ) | ||||||||||||||||
Net discount accretion | 372 | 86 | 13 | 51 | 19 | — | 541 | ||||||||||||||||||||
Transfers into Level 3 (5) (6) | 39,307 | 1,273 | — | 4,000 | — | — | 44,580 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 1,400 | $ | 807 | $ | 964 | $ | 237 | $ | 83 | $ | (40 | ) | $ | 3,451 |
For the Nine Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||||||||||||||||||||||||
Balance as of January 1, 2020 | $ | 187,974 | $ | 42,287 | $ | 16,798 | $ | 13,014 | $ | 260,073 | |||||||||||||||||||||||||||||||
Additions (1) | 41,890 | 2,195 | — | 615 | 44,700 | ||||||||||||||||||||||||||||||||||||
Sales and repayments (2) | (29,019) | (19,881) | (15,354) | (3,375) | (67,629) | ||||||||||||||||||||||||||||||||||||
Net realized gains (3) | 13 | 425 | 465 | 417 | 1,320 | ||||||||||||||||||||||||||||||||||||
Net change in unrealized depreciation on investments (4) | (9,355) | (3,325) | (532) | (2,023) | (15,235) | ||||||||||||||||||||||||||||||||||||
Net discount accretion | 467 | (75) | 19 | — | 411 | ||||||||||||||||||||||||||||||||||||
Transfers into Level 3 (5) | 34,033 | 10,230 | — | — | 44,263 | ||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 (6) | (33,235) | (3,950) | — | — | (37,185) | ||||||||||||||||||||||||||||||||||||
Fair value balance as of September 30, 2020 | $ | 192,768 | $ | 27,906 | $ | 1,396 | $ | 8,648 | $ | 230,718 | |||||||||||||||||||||||||||||||
Change in net unrealized depreciation on investments held as of September 30, 2020 | $ | (5,838) | $ | (1,389) | $ | (484) | $ | (1,597) | $ | (9,308) |
Three Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of July 1, 2016 | $ | 27,583 | $ | — | $ | 6,258 | $ | — | $ | — | $ | 40 | $ | 33,881 | |||||||||||||
Additions (1) | 49,445 | 19,540 | — | — | — | — | 68,985 | ||||||||||||||||||||
Net realized gains (2) | 9 | — | — | — | — | — | 9 | ||||||||||||||||||||
Net change in unrealized appreciation on investments (3) | 265 | 3 | 1,387 | — | — | — | 1,655 | ||||||||||||||||||||
Sales or repayments (4) | (537 | ) | — | — | — | — | — | (537 | ) | ||||||||||||||||||
Net discount accretion | 27 | 5 | 3 | — | — | — | 35 | ||||||||||||||||||||
Fair value balance as of September 30, 2016 | $ | 76,792 | $ | 19,548 | $ | 7,648 | $ | — | $ | — | $ | 40 | $ | 104,028 | |||||||||||||
Change in net unrealized appreciation on investments held as of September 30, 2016 | $ | 255 | $ | 3 | $ | 1,387 | $ | — | $ | — | $ | — | $ | 1,645 |
Nine Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2016 | $ | 21,200 | $ | 1,576 | $ | 6,827 | $ | — | $ | — | $ | 471 | $ | 30,074 | |||||||||||||
Additions (1) | 60,297 | 19,540 | — | — | — | 37 | 79,874 | ||||||||||||||||||||
Net realized gains (2) | 188 | — | — | — | — | — | 188 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | 53 | 3 | 821 | — | — | (468 | ) | 409 | |||||||||||||||||||
Sales and repayments (4) | (9,969 | ) | — | — | — | — | — | (9,969 | ) | ||||||||||||||||||
Net discount accretion | 60 | 5 | — | — | — | — | 65 | ||||||||||||||||||||
Transfers out of Level 3 (5) (6) | — | (1,576 | ) | — | — | — | — | (1,576 | ) | ||||||||||||||||||
Transfers into Level 3 (5) (7) | 4,963 | — | — | — | — | — | 4,963 | ||||||||||||||||||||
Fair value balance as of September 30, 2016 | $ | 76,792 | $ | 19,548 | $ | 7,648 | $ | — | $ | — | $ | 40 | $ | 104,028 | |||||||||||||
Change in net unrealized (depreciation) on investments held as of September 30, 2016 | $ | 187 | $ | 3 | $ | 821 | $ | — | $ | — | $ | (468 | ) | $ | 543 |
For the Three Months Ended September 30, 2019 | |||||||||||||||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||||||||||||||||||||||||
Balance as of July 1, 2019 | $ | 176,521 | $ | 46,452 | $ | 16,867 | $ | 13,318 | $ | 253,158 | |||||||||||||||||||||||||||||||
Additions (1) | 15,566 | — | — | 185 | 15,751 | ||||||||||||||||||||||||||||||||||||
Sales and repayments (2) | (7,431) | — | — | (520) | (7,951) | ||||||||||||||||||||||||||||||||||||
Net realized gains (3) | 110 | — | — | — | 110 | ||||||||||||||||||||||||||||||||||||
Net change in unrealized depreciation on investments (4) | (3,752) | (172) | (94) | (23) | (4,041) | ||||||||||||||||||||||||||||||||||||
Net discount accretion | 153 | 24 | 9 | — | 186 | ||||||||||||||||||||||||||||||||||||
Transfers into Level 3 (5) | 12,417 | — | — | — | 12,417 | ||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 (6) | (10,245) | (2,955) | — | — | (13,200) | ||||||||||||||||||||||||||||||||||||
Fair value balance as of September 30, 2019 | $ | 183,339 | $ | 43,349 | $ | 16,782 | $ | 12,960 | $ | 256,430 | |||||||||||||||||||||||||||||||
Change in net unrealized depreciation on investments held as of September 30, 2019 | $ | (3,752) | $ | (172) | $ | (94) | $ | (23) | $ | (4,041) |
For the Nine Months Ended September 30, 2019 | |||||||||||||||||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||||||||||||||||||||||||
Balance as of January 1, 2019 | $ | 204,558 | $ | 51,898 | $ | 16,666 | $ | 10,325 | $ | 283,447 | |||||||||||||||||||||||||||||||
Additions (1) | 29,417 | 4,469 | — | 3,208 | 37,094 | ||||||||||||||||||||||||||||||||||||
Sales and repayments (2) | (21,813) | (2,674) | — | (636) | (25,123) | ||||||||||||||||||||||||||||||||||||
Net realized gains (losses) (3) | 253 | (4,501) | — | — | (4,248) | ||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (4,784) | 3,946 | 87 | 63 | (688) | ||||||||||||||||||||||||||||||||||||
Net discount accretion | 481 | 70 | 29 | — | 580 | ||||||||||||||||||||||||||||||||||||
Transfers into Level 3 (5) | 27,507 | 533 | — | — | 28,040 | ||||||||||||||||||||||||||||||||||||
Transfers out of Level 3 (6) | (52,280) | (10,392) | — | — | (62,672) | ||||||||||||||||||||||||||||||||||||
Fair value balance as of September 30, 2019 | $ | 183,339 | $ | 43,349 | $ | 16,782 | $ | 12,960 | $ | 256,430 | |||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2019 | $ | (5,273) | $ | (203) | $ | 87 | $ | (400) | $ | (5,789) |
(i)The |
Related Party (1) (2) | For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||||||||||
Source Agreement & Description | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Guggenheim | Investment Advisory Agreement - management fee | $ | 1,549 | $ | 1,759 | $ | 4,710 | $ | 5,171 | |||||||||||||||||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 151 | 203 | 499 | 623 | |||||||||||||||||||||||||||
Income: | ||||||||||||||||||||||||||||||||
Guggenheim | Share on capital structuring fees and administrative agency fees | 10 | 8 | 26 | 160 | |||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||
Related Party | Source Agreement & Description | 2017 | 2016 | 2017 | 2016 | |||||||||||||
CCA & Guggenheim | Prior Investment Advisory Agreement - investment advisory fee (1) | $ | 1,595 | $ | 1,025 | $ | 5,229 | $ | 2,142 | |||||||||
Guggenheim | Interim Investment Advisory Agreement - investment advisory fee (1) | 391 | — | 391 | — | |||||||||||||
CCA & Guggenheim | Prior Administrative Services Agreement - expense reimbursement | 80 | 98 | 303 | 286 | |||||||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 25 | — | 25 | — | |||||||||||||
GCIF-I | Net Issuance (Repurchase) of Common Shares | (7 | ) | 5,666 | 20,523 | 13,208 | ||||||||||||
GCIF 2016T | Net Issuance (Repurchase) of Common Shares | 592 | 32,946 | 48,862 | 75,661 | |||||||||||||
CCA & Guggenheim | O&O Agreement - organization cost reimbursements | — | — | — | 228 | |||||||||||||
Trustees | Amended and Restated Bylaws - trustee fees and expenses (2) | 112 | 101 | 372 | 264 | |||||||||||||
Guggenheim | Co-Investment Exemptive Relief Order - Reimbursement of capital structuring fees | — | 157 | 315 | 157 | |||||||||||||
WPC & Guggenheim | Advisor Transition Costs - Transition costs in connection with investment advisor changes, proxy statement, and shareholder meeting | 662 | — | 662 | — |
Hamilton Credit Facility - Borrowing Summary | ||||||||||||||||||||||||||||||||||||||
As of | Principal Amount Committed | Principal Amount Outstanding | Carrying Value (1) | Interest Rate (2) | Maturity Date | Maturity Term | ||||||||||||||||||||||||||||||||
September 30, 2020 | $ | 175,000 | $ | 151,000 | $ | 150,147 | 2.75 | % | 12/29/22 | 2.2 | years | |||||||||||||||||||||||||||
December 31, 2019 | $ | 175,000 | $ | 172,000 | $ | 170,862 | 4.40 | % | 12/29/22 | 3.0 | years |
Hamilton Credit Facility - Borrowing Summary | |||||||||||||||||||||
As of | Total Principal Amount Committed | Principal Amount Outstanding | Carrying Value (1) | Interest Rate (2) | Maturity Date | Maturity Term | |||||||||||||||
September 30, 2017 | $ | 175,000 | $ | 150,000 | $ | 148,865 | 3.97 | % | December 17, 2019 | 2.2 | years | ||||||||||
December 31, 2016 | $ | 175,000 | $ | 126,000 | $ | 124,505 | 3.64 | % | December 17, 2019 | 3.0 | years |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||
Stated interest expense | $ | 1,110 | $ | 2,081 | $ | 4,150 | $ | 6,050 | ||||||||||||||||||
Unused/undrawn fees | 50 | 19 | 124 | 131 | ||||||||||||||||||||||
Amortization of deferred financing costs | 95 | 96 | 285 | 284 | ||||||||||||||||||||||
Total interest expense and other financing costs | $ | 1,255 | $ | 2,196 | $ | 4,559 | $ | 6,465 | ||||||||||||||||||
Average borrowings | $ | 155,663 | $ | 167,543 | $ | 158,861 | $ | 157,802 | ||||||||||||||||||
Weighted average interest rate (1) | 2.92 | % | 4.91 | % | 3.53 | % | 5.17 | % | ||||||||||||||||||
Amortized financing costs | 0.24 | % | 0.22 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Total borrowing cost | 3.16 | % | 5.13 | % | 3.77 | % | 5.41 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Stated interest expense | $ | 1,511 | $ | 675 | $ | 4,052 | $ | 1,324 | ||||||||
Unused/undrawn fees | 69 | 206 | 395 | 262 | ||||||||||||
Amortization of deferred financing costs | 123 | 117 | 360 | 342 | ||||||||||||
Total interest expense | $ | 1,703 | $ | 998 | $ | 4,807 | $ | 1,928 | ||||||||
Annualized weighted average interest rate(1) | 3.9 | % | 3.4 | % | 3.8 | % | 3.2 | % | ||||||||
Average borrowings | $ | 150,000 | $ | 79,250 | $ | 140,400 | $ | 55,100 |
Total Unfunded Commitments | ||||||||
Category / Portfolio Company (1) | September 30, 2017 | December 31, 2016 | ||||||
Boats Group (Revolver) | $ | 1,000 | $ | 1,000 | ||||
Dominion Web Solutions (Revolver) | 346 | — | ||||||
Eco-Site (Delayed Draw) | 3,214 | — | ||||||
Express Oil (Delayed Draw) | 24 | — | ||||||
Express Oil (Revolver) | 241 | — | ||||||
GAL Manufacturing (Revolver) | 373 | — | ||||||
Grinding Media Inc. | — | 6,200 | ||||||
Humanetics (Revolver) | 400 | 400 | ||||||
Lytx (Revolver) | 368 | — | ||||||
Med Intermediate (Delayed Draw) | 1,493 | 1,631 | ||||||
Ministry Brands (Delayed Draw) | 135 | — | ||||||
Onyx CenterSource (Revolver) | 285 | 329 | ||||||
National Technical Systems, Inc. (Delayed Draw) | — | 765 | ||||||
Parts Town, LLC (Revolver) | 200 | 900 | ||||||
Pet Holdings ULC (Delayed Draw) | 125 | 500 | ||||||
PluralSight Holdings (Revolver) | 250 | — | ||||||
Total Unfunded Commitments | $ | 8,454 | $ | 11,725 |
Total Unfunded Commitments | ||||||||||||||
Category / Portfolio Company (1) | September 30, 2020 | December 31, 2019 | ||||||||||||
Aceto Chemical (Revolver) | $ | 560 | $ | 800 | ||||||||||
Acquia Inc. (Revolver) | 211 | 211 | ||||||||||||
Advicent Solutions (Revolver) | 339 | — | ||||||||||||
Alexander Mann Solutions (Revolver) (2) | 446 | 446 | ||||||||||||
Allvue Systems (Revolver) | 132 | 132 | ||||||||||||
Apptio, Inc. (Revolver) | 326 | 326 | ||||||||||||
Arcline FM Holdings LLC (Revolver) | 436 | — | ||||||||||||
Boats Group (Revolver) | 1,000 | 1,000 | ||||||||||||
GAL Manufacturing (Revolver) | 260 | 260 | ||||||||||||
Galls LLC (Delayed Draw) | — | 1,518 | ||||||||||||
Galls LLC (Revolver) | 287 | 113 | ||||||||||||
Gladman Developments Ltd. (Delayed Draw) (2) | 706 | 706 | ||||||||||||
Hersha Hospitality Management (Delayed Draw) | 1,671 | — | ||||||||||||
Lytx, Inc. (Delayed Draw) | 1,540 | 368 | ||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | — | 319 | ||||||||||||
Mavis Tire Express Services Corp. (Revolver) | 217 | 189 | ||||||||||||
Onyx CenterSource (Revolver) | — | 329 | ||||||||||||
Polyvision Corp. (Delayed Draw) | 325 | — | ||||||||||||
Polyvision Corp. (Revolver) | 706 | — | ||||||||||||
PSI Services LLC (Delayed Draw) | 239 | 239 | ||||||||||||
PSI Services LLC (Delayed Draw) | — | 168 | ||||||||||||
PSI Services LLC (Revolver) | 195 | 269 | ||||||||||||
Seal For Life Industries US LLC (Revolver) | 433 | 390 | ||||||||||||
Trader Interactive (Revolver) | 346 | 346 | ||||||||||||
Velocity Holdings US (Revolver) | 185 | — | ||||||||||||
Wide Orbit (Revolver) | 293 | — | ||||||||||||
Total Unfunded Commitments | $ | 10,853 | $ | 8,129 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 | ||||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,214,286 | 14,367,189 | 26,976,497 | 10,219,786 | ||||||||||||
Earnings per Common Share - basic and diluted (1) | $ | 0.16 | $ | 0.40 | $ | 0.46 | $ | 0.71 |
For the Nine Months Ended September 30, | ||||||||||||||||||
Nine Months Ended September 30, | 2020 | 2019 | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
PER COMMON SHARE OPERATING PERFORMANCE (1) | ||||||||||||||||||
PER COMMON SHARE OPERATING PERFORMANCE | PER COMMON SHARE OPERATING PERFORMANCE | |||||||||||||||||
Net asset value, beginning of period | $ | 8.47 | $ | 8.00 | Net asset value, beginning of period | $ | 7.78 | $ | 8.09 | |||||||||
Net investment income | 0.35 | 0.14 | ||||||||||||||||
Net realized gains | 0.07 | 0.05 | ||||||||||||||||
Net change in unrealized appreciation (2) | 0.04 | 0.34 | ||||||||||||||||
Net increase resulting from operations | 0.46 | 0.53 | ||||||||||||||||
Net investment income (1) | Net investment income (1) | 0.40 | 0.47 | |||||||||||||||
Net realized gains (losses) (1) | Net realized gains (losses) (1) | 0.02 | (0.20) | |||||||||||||||
Net change in unrealized depreciation (2) | Net change in unrealized depreciation (2) | (0.52) | — | |||||||||||||||
Net increase (decrease) resulting from operations | Net increase (decrease) resulting from operations | (0.10) | 0.27 | |||||||||||||||
Distributions to Common Shareholders (3) | Distributions to Common Shareholders (3) | |||||||||||||||||
Distributions from net investment income | (0.35 | ) | (0.14 | ) | Distributions from net investment income | (0.40) | (0.46) | |||||||||||
Distributions in excess of net investment income | (0.03 | ) | (0.08 | ) | ||||||||||||||
Distributions from realized gains | Distributions from realized gains | — | (0.01) | |||||||||||||||
Distribution in excess of net investment income | Distribution in excess of net investment income | (0.01) | — | |||||||||||||||
Net decrease resulting from distributions | (0.38 | ) | (0.22 | ) | Net decrease resulting from distributions | (0.41) | (0.47) | |||||||||||
Net asset value, end of period | $ | 8.55 | $ | 8.31 | Net asset value, end of period | $ | 7.27 | $ | 7.89 | |||||||||
INVESTMENT RETURNS | INVESTMENT RETURNS | |||||||||||||||||
Total investment return (4) | 5.49 | % | 6.64 | % | Total investment return (4) | (1.03) | % | 3.38 | % | |||||||||
RATIOS/SUPPLEMENTAL DATA | RATIOS/SUPPLEMENTAL DATA | |||||||||||||||||
Net assets, end of period | $ | 249,367 | $ | 139,716 | Net assets, end of period | $ | 196,382 | $ | 225,699 | |||||||||
Average net assets (5) | $ | 229,306 | $ | 83,661 | Average net assets (5) | $ | 196,433 | $ | 233,075 | |||||||||
Common Shares outstanding, end of period | 29,151,096 | 16,820,644 | Common Shares outstanding, end of period | 27,014,903 | 28,613,345 | |||||||||||||
Weighted average Common Shares outstanding | 26,976,497 | 10,219,786 | Weighted average Common Shares outstanding | 27,224,991 | 28,997,077 | |||||||||||||
Ratios-to-average net assets: (5) | Ratios-to-average net assets: (5) | |||||||||||||||||
Operating expenses | 5.92 | % | 7.16 | % | ||||||||||||||
Effect of advisor transition costs reimbursement | (0.29 | )% | — | % | ||||||||||||||
Net expenses | 5.63 | % | 7.16 | % | ||||||||||||||
Total expenses | Total expenses | 5.64 | % | 5.85 | % | |||||||||||||
Net investment income | 4.07 | % | 1.65 | % | Net investment income | 5.56 | % | 5.82 | % | |||||||||
Average outstanding borrowings (5) | $ | 140,400 | $ | 55,100 | Average outstanding borrowings (5) | $ | 158,861 | $ | 157,802 | |||||||||
Portfolio turnover rate (5) (6) | 31 | % | 46 | % | Portfolio turnover rate (5) (6) | 18 | % | 14 | % | |||||||||
Asset coverage ratio (7) | 2.66 | 2.44 | Asset coverage ratio (7) | 2.30 | 2.35 |
(5)The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios-to-average net assets are not annualized. (6)Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period. (7)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period. 49 Notes to Consolidated Financial Statements (Unaudited) |
Three Months Ended September 30, | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Per Share | Amount | Allocation | Per Share | Amount | Allocation | ||||||||||||
Total Declared Distributions | $ | 0.16 | $ | 4,600 | 100.0 | % | $ | 0.17 | $ | 2,756 | 100.0 | % | |||||
From net investment income | 0.13 | 3,862 | 84.0 | 0.08 | 1,083 | 39.3 | |||||||||||
Distributions in excess of net investment income | 0.03 | 738 | 16.0 | 0.09 | 1,673 | 60.7 |
Record Date | Payment Date | Distribution Per Common Share at Record Date | Distribution Per Common Share at Payment Date | Cash Distribution | ||||||||||||||||||||||
For Calendar Year 2020 | ||||||||||||||||||||||||||
January 2, 6, 13, 20 | January 22 | $ | 0.01100 | $ | 0.04400 | $ | 1,195 | |||||||||||||||||||
January 27, February 3, 10, 17 | February 19 | 0.01100 | 0.04400 | 1,217 | ||||||||||||||||||||||
February 24, March 2, 9, 14, 23 | March 25 | 0.01000 | 0.05000 | 1,383 | ||||||||||||||||||||||
March 30, April 6, 13, 20 | April 22 | 0.01000 | 0.04000 | 1,084 | ||||||||||||||||||||||
April 27, May 4, 11, 18 ,25, June 1 | June 2 | 0.01000 | 0.06000 | 1,625 | ||||||||||||||||||||||
June 8, 15, 22, 29 | July 2 | 0.01100 | 0.04400 | 1,186 | ||||||||||||||||||||||
July 6, 13, 20, 27, August 3 | August 4 | 0.00950 | 0.04750 | 1,285 | ||||||||||||||||||||||
August 10, 17, 24, 31 | September 2 | 0.01000 | 0.04000 | 1,089 | ||||||||||||||||||||||
September 7, 14, 21, 28 | October 1 | 0.00980 | 0.03920 | 1,063 | ||||||||||||||||||||||
$ | 0.40870 | $ | 11,127 | |||||||||||||||||||||||
For Calendar Year 2019 | ||||||||||||||||||||||||||
January 7, 14, 21, 28 | January 30 | $ | 0.01346 | $ | 0.05384 | $ | 1,572 | |||||||||||||||||||
February 4, 11, 18, 25 | February 27 | 0.01346 | 0.05384 | 1,572 | ||||||||||||||||||||||
March 4, 11, 18, 25 | March 27 | 0.01346 | 0.05384 | 1,573 | ||||||||||||||||||||||
April 1, 8, 15, 22, 29 | May 1 | 0.01346 | 0.06730 | 1,971 | ||||||||||||||||||||||
May 6, 13, 20, 27 | May 29 | 0.01346 | 0.05384 | 1,576 | ||||||||||||||||||||||
June 3, 10, 17, 24 | June 26 | 0.01346 | 0.05384 | 1,559 | ||||||||||||||||||||||
July 1, 8, 15, 22, 29 | July 31 | 0.01346 | 0.06730 | 1,926 | ||||||||||||||||||||||
August 5, 12, 19, 26 | August 28 | 0.00776 | 0.03104 | 888 | ||||||||||||||||||||||
September 2, 9, 16, 23, 30 | October 2 | 0.00776 | 0.03880 | 1,110 | ||||||||||||||||||||||
$ | 0.47364 | $ | 13,747 |
Nine Months Ended September 30, | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Per Share | Amount | Allocation | Per Share | Amount | Allocation | ||||||||||||
Total Declared Distributions | $ | 0.38 | $ | 10,392 | 100.0 | % | $ | 0.22 | $ | 3,106 | 100.0 | % | |||||
From net investment income | 0.35 | 9,336 | 89.8 | 0.14 | 1,399 | 45.0 | |||||||||||
Distributions in excess of net investment income | 0.03 | 1,056 | 10.2 | 0.08 | 1,707 | 55.0 |
As of | |||||||||||
September 30, 2020 | December 31, 2019 | ||||||||||
Total assets | $ | 349,802 | $ | 384,100 | |||||||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 349,073 | $ | 384,100 | |||||||
Investments in portfolio companies, at fair value | $ | 329,201 | $ | 372,193 | |||||||
Borrowings | $ | 151,000 | $ | 172,000 | |||||||
Net assets | $ | 196,382 | $ | 211,197 | |||||||
Net asset value per Common Share | $ | 7.27 | $ | 7.78 | |||||||
Leverage ratio (borrowings/adjusted total assets) | 43.3 | % | 44.8 | % |
As of | |||||||
September 30, 2017 | December 31, 2016 | ||||||
Total assets | $ | 406,590 | $ | 305,432 | |||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 401,660 | $ | 304,339 | |||
Investments in portfolio companies, at fair value | $ | 381,054 | $ | 275,084 | |||
Borrowings | $ | 150,000 | $ | 126,000 | |||
Net assets | $ | 249,367 | $ | 178,066 | |||
Net asset value per Common Share | $ | 8.55 | $ | 8.47 | |||
Leverage ratio (borrowings/adjusted total assets) | 37.3 | % | 41.4 | % |
For the Nine Months Ended September 30, | |||||||||||
2020 | 2019 | ||||||||||
Average net assets | $ | 196,433 | $ | 233,075 | |||||||
Average borrowings | $ | 158,861 | $ | 157,802 | |||||||
Cost of investments purchased | $ | 60,476 | $ | 59,264 | |||||||
Sales of investments | $ | 18,782 | $ | 35,509 | |||||||
Principal payments | $ | 72,676 | $ | 16,963 | |||||||
Net investment income | $ | 10,920 | $ | 13,568 | |||||||
Net realized gains (losses) | $ | 658 | $ | (5,893) | |||||||
Net change in unrealized appreciation (depreciation) | $ | (14,335) | $ | 221 | |||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,757) | $ | 7,896 | |||||||
Total distributions to shareholders | $ | 11,127 | $ | 13,747 | |||||||
Net investment income per Common Share - basic and diluted | $ | 0.40 | $ | 0.47 | |||||||
Earnings (loss) per Common Share - basic and diluted | $ | (0.10) | $ | 0.27 | |||||||
Distributions per Common Share | $ | 0.41 | $ | 0.47 |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Average net assets | $ | 229,306 | $ | 83,661 | |||
Average borrowings | $ | 140,400 | $ | 55,100 | |||
Cost of investments purchased | $ | 206,464 | $ | 195,614 | |||
Sales of investments | $ | 51,037 | $ | 37,488 | |||
Principal payments | $ | 55,061 | $ | 22,154 | |||
Net investment income | $ | 9,336 | $ | 1,384 | |||
Net realized gains | $ | 1,876 | $ | 474 | |||
Net change in unrealized appreciation | $ | 1,096 | $ | 5,391 | |||
Net increase in net assets resulting from operations | $ | 12,308 | $ | 7,249 | |||
Total distributions to shareholders | $ | 10,392 | $ | 3,106 | |||
Net investment income per Common Share - basic and diluted | $ | 0.35 | $ | 0.14 | |||
Earnings per Common Share - basic and diluted | $ | 0.46 | $ | 0.71 | |||
Distributions per Common Share | $ | 0.38 | $ | 0.22 |
For the Three Months Ended September 30, 2020 | For the Nine Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||
Investment activity segmented by access channel: | Amount | Percentage | Amount | Percentage | ||||||||||||||||||||||||||||
Direct originations | $ | 2,051 | 82.7 | % | $ | 28,335 | 59.2 | % | ||||||||||||||||||||||||
Syndicated transactions | 430 | 17.3 | % | 19,488 | 40.8 | % | ||||||||||||||||||||||||||
Total investment commitments entered during the period | $ | 2,481 | 100.0 | % | $ | 47,823 | 100.0 | % |
For the Three Months Ended September 30, 2020 | For the Nine Months Ended September 30, 2020 | ||||||||||
Portfolio companies at beginning of period | 89 | 86 | |||||||||
Number of added portfolio companies | 2 | 9 | |||||||||
Number of exited portfolio companies | (2) | (6) | |||||||||
Portfolio companies at period end | 89 | 89 | |||||||||
Number of debt investments at period end | 142 | 142 | |||||||||
Number of equity/other investments at period end | 8 | 8 |
Three Months Ended | Nine Months Ended | ||||||
September 30, 2017 | September 30, 2017 | ||||||
Investment activity segmented by access channel: | |||||||
Direct origination | $ | 18,443 | $ | 146,955 | |||
Primary issuance | 14,091 | 46,009 | |||||
Secondary market transactions | — | 13,500 | |||||
Total investment activity | 32,534 | 206,464 | |||||
Investments sold or repaid | (29,993 | ) | (106,098 | ) | |||
Net investment activity | $ | 2,541 | $ | 100,366 | |||
Portfolio companies at beginning of period | 67 | 55 | |||||
Number of added portfolio companies | 5 | 28 | |||||
Number of exited portfolio companies | (4 | ) | (15 | ) | |||
Portfolio companies at period end | 68 | 68 | |||||
Number of debt investments at period end | 96 | 96 | |||||
Number of equity/other investments at period end | 3 | 3 |
Balance as of January 1, 2020 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of September 30, 2020 | |||||||||||||||||||||||||
Senior secured loans - first lien | $ | 268,678 | $ | 57,880 | $ | (39,601) | $ | (7,293) | $ | 279,664 | |||||||||||||||||||
Senior secured loans - second lien | 56,651 | 2,166 | (22,440) | (3,419) | 32,958 | ||||||||||||||||||||||||
Senior secured bonds | 12,223 | 430 | (6,613) | (217) | 5,823 | ||||||||||||||||||||||||
Senior unsecured debt | 21,537 | — | (19,429) | (35) | 2,073 | ||||||||||||||||||||||||
Total senior debt | $ | 359,089 | $ | 60,476 | $ | (88,083) | $ | (10,964) | $ | 320,518 | |||||||||||||||||||
Equity and other | 13,104 | — | (3,375) | (1,046) | 8,683 | ||||||||||||||||||||||||
Total | $ | 372,193 | $ | 60,476 | $ | (91,458) | $ | (12,010) | $ | 329,201 |
Balance as of January 1, 2017 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of September 30, 2017 | |||||||||||||||
Senior secured loan - first lien | $ | 185,336 | $ | 124,159 | $ | (80,579 | ) | $ | 2,927 | $ | 231,843 | ||||||||
Senior secured loan - second lien | 44,340 | 51,643 | (13,655 | ) | 1,048 | 83,376 | |||||||||||||
Senior secured bond | 11,631 | 12,000 | (3,841 | ) | 1,119 | 20,909 | |||||||||||||
Senior unsecured debt | 12,870 | 18,662 | (2,633 | ) | 319 | 29,218 | |||||||||||||
Total senior debt | $ | 254,177 | $ | 206,464 | $ | (100,708 | ) | $ | 5,413 | $ | 365,346 | ||||||||
Subordinated debt | 20,628 | — | (5,390 | ) | 23 | 15,261 | |||||||||||||
Equity and other | 279 | — | — | 168 | 447 | ||||||||||||||
Total | $ | 275,084 | $ | 206,464 | $ | (106,098 | ) | $ | 5,604 | $ | 381,054 |
As of | |||||||||||||||||
September 30, 2020 | December 31, 2019 | ||||||||||||||||
Weighted average portfolio company EBITDA (1) | $ | 86,056 | $ | 100,514 | |||||||||||||
Median portfolio company EBITDA (1) | $ | 52,855 | $ | 71,592 | |||||||||||||
Weighted average purchase price of debt investments (2) | 96.3 | % | 96.7 | % | |||||||||||||
Weighted average duration of debt investments (3) | 1.5 | years | 0.3 | years | |||||||||||||
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments | 1.7 | % | 1.0 | % | |||||||||||||
Debt investments on non-accrual status as a percentage of fair value of total debt investments | 0.4 | % | 0.5 | % | |||||||||||||
Number of debt investments on non-accrual status | 2 | 1 | |||||||||||||||
Floating interest rate debt investments: | |||||||||||||||||
Percent of debt portfolio (4) | 97.5 | % | 94.8 | % | |||||||||||||
Percent of floating rate debt investments with interest rate floors (4) | 73.5 | % | 74.3 | % | |||||||||||||
Weighted average interest rate floor | 1.0 | % | 1.0 | % | |||||||||||||
Weighted average coupon spread to base interest rate | 591 | bps | 637 | bps | |||||||||||||
3-month LIBOR | 23 | bps | 191 | bps | |||||||||||||
Fixed interest rate debt investments: | |||||||||||||||||
Percent of debt portfolio (4) | 2.5 | % | 5.2 | % | |||||||||||||
Weighted average coupon rate | 7.7 | % | 8.7 | % | |||||||||||||
Weighted average years to maturity | 3.2 | years | 3.8 | years | |||||||||||||
Weighted average effective yields | |||||||||||||||||
Senior secured loans - first lien (5) | 7.5 | % | 8.3 | % | |||||||||||||
Senior secured loans - second lien (5) | 8.7 | % | 10.5 | % | |||||||||||||
Senior secured bonds (5) | 6.3 | % | 10.4 | % | |||||||||||||
Senior unsecured debt (5) | 11.1 | % | 12.0 | % | |||||||||||||
Total debt investments (5) | 7.6 | % | 8.9 | % | |||||||||||||
Total investments (6) | 7.6 | % | 8.9 | % |
As of | |||||||||
September 30, 2017 | December 31, 2016 | ||||||||
Weighted average portfolio company EBITDA (1) | $ | 89,338 | $ | 99,760 | |||||
Median portfolio company EBITDA(1) | $ | 65,500 | $ | 84,450 | |||||
Weighted average purchase price of investments (2) | 96.7 | % | 97.0 | % | |||||
Weighted average duration of debt investments (3) | 0.4 | years | 0.6 | years | |||||
Debt investments on non-accrual status as a percentage of amortized cost | 0.8 | % | 1.2 | % | |||||
Debt investments on non-accrual status as a percentage of fair value | 0.8 | % | 1.1 | % | |||||
Number of Debt investments on non-accrual status | 1 | 1 | |||||||
Floating interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 90.4 | % | 90.7 | % | |||||
Percent of floating rate debt investments with interest rate floors (4) | 97.0 | % | 100.0 | % | |||||
Weighted average interest rate floor | 1.0 | % | 1.0 | % | |||||
Weighted average coupon spread to base interest rate | 691 | bps | 654 | bps |
Fixed interest rate debt investments: | |||||||
Percent of debt portfolio (4) | 9.6 | % | 9.3 | % | |||
Weighted average coupon rate | 10.0 | % | 9.8 | % | |||
Weighted average years to maturity | 3.4 | years | 4.9 | years | |||
Weighted average effective yields: (5) | |||||||
Senior secured loans - first lien | 8.0 | % | 7.5 | % | |||
Senior secured loans - second lien | 10.5 | % | 10.8 | % | |||
Senior secured bonds | 8.4 | % | 7.0 | % | |||
Senior unsecured debt | 10.7 | % | 11.5 | % | |||
Subordinated debt | 8.8 | % | 8.5 | % | |||
Total debt portfolio | 8.8 | % | 8.2 | % |
September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||||||||||||||||||||
2020 | $ | — | — | % | $ | 2,892 | 0.8 | % | ||||||||||||||||||||||||
2021 | 23,120 | 6.5 | 20,454 | 5.3 | ||||||||||||||||||||||||||||
2022 | 31,404 | 8.8 | 31,823 | 8.3 | ||||||||||||||||||||||||||||
2023 | 65,810 | 18.5 | 118,222 | 31.0 | ||||||||||||||||||||||||||||
2024 | 96,121 | 27.0 | 99,195 | 26.0 | ||||||||||||||||||||||||||||
2025 | 92,452 | 26.0 | 66,614 | 17.4 | ||||||||||||||||||||||||||||
2026 | 47,091 | 13.2 | 42,707 | 11.2 | ||||||||||||||||||||||||||||
Total | $ | 355,998 | 100.0 | % | $ | 381,907 | 100.0 | % |
September 30, 2017 | December 31, 2016 | |||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||
2017 | $ | — | — | % | $ | 1,450 | 0.5 | % | ||||||
2018 | — | — | 1,240 | 0.4 | ||||||||||
2019 | 9,625 | 2.5 | 7,654 | 2.8 | ||||||||||
2020 | 23,903 | 6.2 | 23,606 | 8.5 | ||||||||||
2021 | 39,594 | 10.2 | 66,021 | 23.7 | ||||||||||
2022 | 101,436 | 26.2 | 106,021 | 38.1 | ||||||||||
2023 | 149,358 | 38.6 | 62,183 | 22.3 | ||||||||||
2024 | 47,588 | 12.3 | 10,310 | 3.7 | ||||||||||
2025 | 15,000 | 3.9 | — | — | ||||||||||
2036 | 337 | 0.1 | — | — | ||||||||||
Total | $ | 386,841 | 100.0 | % | $ | 278,485 | 100.0 | % |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Total investment income | $ | 6,696 | $ | 9,162 | $ | 22,005 | $ | 27,199 | |||||||||||||||
Total expenses | 3,390 | 4,595 | 11,085 | 13,631 | |||||||||||||||||||
Net investment income | 3,306 | 4,567 | 10,920 | 13,568 | |||||||||||||||||||
Net realized gains (losses) | 81 | 952 | 658 | (5,893) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 6,299 | (5,926) | (14,335) | 221 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 9,686 | $ | (407) | $ | (2,757) | $ | 7,896 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total investment income | $ | 8,331 | $ | 3,707 | $ | 22,248 | $ | 7,375 | ||||||||
Total expenses | 4,469 | 2,624 | 12,912 | 5,991 | ||||||||||||
Net investment income | 3,862 | 1,083 | 9,336 | 1,384 | ||||||||||||
Net realized gains | 76 | 467 | 1,876 | 474 | ||||||||||||
Net change in unrealized appreciation | 880 | 4,131 | 1,096 | 5,391 | ||||||||||||
Net increase in net assets resulting from operations | $ | 4,818 | $ | 5,681 | $ | 12,308 | $ | 7,249 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Interest income on debt securities: | |||||||||||||||||||||||
Cash interest | $ | 5,732 | $ | 8,398 | $ | 19,136 | $ | 24,834 | |||||||||||||||
PIK interest | 395 | 66 | 930 | 154 | |||||||||||||||||||
Net accretion/amortization of discounts/premiums | 305 | 446 | 987 | 1,153 | |||||||||||||||||||
Total interest on debt securities | 6,432 | 8,910 | 21,053 | 26,141 | |||||||||||||||||||
PIK dividend | 214 | 244 | 670 | 783 | |||||||||||||||||||
Total interest and dividend income | $ | 6,646 | $ | 9,154 | $ | 21,723 | $ | 26,924 | |||||||||||||||
Average Investments at cost | $ | 357,399 | $ | 383,741 | $ | 358,407 | $ | 389,634 | |||||||||||||||
Average Income Generating Investments at cost (1) | $ | 345,384 | $ | 373,651 | $ | 343,637 | $ | 380,972 | |||||||||||||||
Income return (2) | 1.9 | % | 2.4 | % | 6.3 | % | 7.1 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income on debt securities: | ||||||||||||||||
Cash interest | $ | 7,815 | $ | 3,301 | $ | 20,467 | $ | 6,724 | ||||||||
PIK interest | 169 | — | $ | 169 | — | |||||||||||
Net accretion/amortization of discounts/premiums | 334 | 202 | 941 | 393 | ||||||||||||
Total interest on debt securities | $ | 8,318 | $ | 3,503 | $ | 21,577 | $ | 7,117 | ||||||||
Dividend income | — | — | — | 37 | ||||||||||||
Fee income | 13 | 204 | 671 | 221 | ||||||||||||
Total investment income | $ | 8,331 | $ | 3,707 | $ | 22,248 | $ | 7,375 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Capital structuring fees | $ | — | $ | — | $ | — | $ | 136 | |||||||||||||||
Administrative agency fees | 10 | 8 | 26 | 24 | |||||||||||||||||||
Amendment fees and other | 40 | — | 256 | 115 | |||||||||||||||||||
Total fee income | $ | 50 | $ | 8 | $ | 282 | $ | 275 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Capital structuring fees | $ | — | $ | 157 | $ | 315 | $ | 157 | ||||||||
Amendment/consent fees | — | 16 | 195 | 31 | ||||||||||||
Commitment fees/other | 13 | 31 | 161 | 33 | ||||||||||||
Total fee income | $ | 13 | $ | 204 | $ | 671 | $ | 221 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Fixed operating expenses: | |||||||||||||||||||||||
Related party reimbursements (1) | $ | 151 | $ | 203 | $ | 499 | $ | 623 | |||||||||||||||
Trustees fees | 88 | 92 | 262 | 252 | |||||||||||||||||||
Professional services fees (2) | 218 | 214 | 651 | 703 | |||||||||||||||||||
Other expenses | 67 | 58 | 200 | 183 | |||||||||||||||||||
Total fixed operating expenses | 524 | 567 | 1,612 | 1,761 | |||||||||||||||||||
Variable operating expenses: | |||||||||||||||||||||||
Interest expense (3) | 1,255 | 2,196 | 4,559 | 6,465 | |||||||||||||||||||
Administrative services (4) | 39 | 50 | 132 | 151 | |||||||||||||||||||
Management fee | 1,549 | 1,759 | 4,710 | 5,171 | |||||||||||||||||||
Custody services | 23 | 23 | 72 | 72 | |||||||||||||||||||
Total variable operating expenses | 2,866 | 4,028 | 9,473 | 11,859 | |||||||||||||||||||
Performance-dependent expenses: | |||||||||||||||||||||||
Performance-based incentive fee | — | — | — | 11 | |||||||||||||||||||
Total performance-dependent expenses | — | — | — | 11 | |||||||||||||||||||
Total expenses | $ | 3,390 | $ | 4,595 | $ | 11,085 | $ | 13,631 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Fixed operating expenses: | ||||||||||||||||
Related party reimbursements | $ | 105 | $ | 98 | $ | 328 | $ | 286 | ||||||||
Trustees fees | 112 | 101 | 372 | 264 | ||||||||||||
Professional services fees (1) | 229 | 253 | 765 | 812 | ||||||||||||
Insurance | 36 | 35 | 106 | 107 | ||||||||||||
Other expenses | 29 | 21 | 85 | 52 | ||||||||||||
Total fixed operating expenses | 511 | 508 | 1,656 | 1,521 | ||||||||||||
Variable operating expenses: | ||||||||||||||||
Interest expense | 1,703 | 998 | 4,807 | 1,928 | ||||||||||||
Administrative services (2) | 44 | 32 | 141 | 82 | ||||||||||||
Investment advisory fee | 1,986 | 1,025 | 5,620 | 2,142 | ||||||||||||
Custody services | 24 | 18 | 68 | 47 | ||||||||||||
Organizational expenses | — | — | — | 228 | ||||||||||||
Total variable operating expenses | 3,757 | 2,073 | 10,636 | 4,427 | ||||||||||||
Performance dependent expenses: | ||||||||||||||||
Performance-based incentive fee | 201 | 43 | 620 | 43 | ||||||||||||
Total performance dependent expenses | 201 | 43 | 620 | 43 | ||||||||||||
Total operating expenses | $ | 4,469 | $ | 2,624 | $ | 12,912 | $ | 5,991 |
Three Months Ended September 30, | Nine Months Ended September 30, | For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||||||||||||
Investments | $ | 491 | $ | 467 | $ | 3,021 | $ | 474 | Investments | $ | 454 | $ | 205 | $ | (181) | $ | (6,600) | ||||||||||||||||||||||
Foreign currency forward contract | (410 | ) | — | (1,029 | ) | — | |||||||||||||||||||||||||||||||||
Foreign currency forward contracts | Foreign currency forward contracts | (383) | 752 | 668 | 626 | ||||||||||||||||||||||||||||||||||
Foreign currency transactions | (5 | ) | — | (116 | ) | — | Foreign currency transactions | 10 | (5) | 171 | 81 | ||||||||||||||||||||||||||||
Net realized gains | $ | 76 | $ | 467 | $ | 1,876 | $ | 474 | |||||||||||||||||||||||||||||||
Net realized gains (losses) | Net realized gains (losses) | $ | 81 | $ | 952 | $ | 658 | $ | (5,893) |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Investments (1) | $ | 6,901 | $ | (6,070) | $ | (14,227) | $ | (285) | |||||||||||||||
Foreign currency forward contracts | (605) | 144 | (110) | 523 | |||||||||||||||||||
Foreign currency transactions | 3 | — | 2 | (17) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) | $ | 6,299 | $ | (5,926) | $ | (14,335) | $ | 221 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investments | $ | 1,097 | $ | 4,131 | $ | 1,473 | $ | 5,391 | ||||||||
Foreign currency forward contract | (217 | ) | — | (377 | ) | — | ||||||||||
Net change in unrealized appreciation | $ | 880 | $ | 4,131 | $ | 1,096 | $ | 5,391 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Unrealized appreciation on investments (1) | $ | 1,766 | $ | 4,876 | $ | 5,217 | $ | 6,409 | ||||||||
Unrealized depreciation on investments (1) | (669 | ) | (745 | ) | (3,744 | ) | (1,018 | ) | ||||||||
Total net change in unrealized appreciation on investments | $ | 1,097 | $ | 4,131 | $ | 1,473 | $ | 5,391 | ||||||||
Unrealized appreciation on Level 3 investments | $ | 2,178 | $ | 1,768 | $ | 4,607 | $ | 1,194 | ||||||||
Unrealized depreciation on Level 3 investments | (846 | ) | (113 | ) | (1,265 | ) | (783 | ) | ||||||||
Total net change in unrealized appreciation on Level 3 investments | $ | 1,332 | $ | 1,655 | $ | 3,342 | $ | 411 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Unrealized appreciation on all investments (1) | $ | 9,763 | $ | 1,043 | $ | 34,094 | $ | 14,744 | |||||||||||||||
Unrealized depreciation on all investments (1) | (2,862) | (7,113) | (48,321) | (15,029) | |||||||||||||||||||
Total net change in unrealized appreciation (depreciation) on all investments | $ | 6,901 | $ | (6,070) | $ | (14,227) | $ | (285) | |||||||||||||||
Unrealized appreciation on Level 3 investments only (1) | $ | 3,681 | $ | 369 | $ | 13,121 | $ | 7,097 | |||||||||||||||
Unrealized depreciation on Level 3 investments only (1) | (2,214) | (4,410) | (28,356) | (7,785) | |||||||||||||||||||
Total net change in unrealized appreciation (depreciation) on Level 3 investments only | $ | 1,467 | $ | (4,041) | $ | (15,235) | $ | (688) |
Total Investment Return-Net Asset Value(1) | Total Investment Return-Net Asset Value(1) | ||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, | Since Commencement | For the Nine Months Ended September 30, | Since Commencement | ||||||||||||||||||||||||||||||||||||||||
Company | Date Operations Commenced (2) | 2017 | 2016 | Cumulative | Annualized | Company | Date Operations Commenced (2) | 2020 | 2019 | Cumulative | Annualized | ||||||||||||||||||||||||||||||||
Guggenheim Credit Income Fund | December 19, 2014 | 5.49 | % | 6.64 | % | 6.02 | % | 2.11 | % | Guggenheim Credit Income Fund | 12/19/2014 | (1.03) | % | 3.38 | % | 16.44 | % | 2.66 | % |
(1)Total |
For the Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | |||||||||||||
Source of Distribution (1) | Distribution Amount | Percentage | Distribution Amount | Percentage | ||||||||||
Net investment income (before reimbursements) | $ | 8,674 | 83.5 | % | $ | 1,384 | 44.6 | % | ||||||
Book-to-tax differences | (547 | ) | (5.3 | ) | 203 | 6.5 | ||||||||
Short-term capital gains | 1,603 | 15.4 | 473 | 15.2 | ||||||||||
Long-term capital gains | — | — | % | — | — | |||||||||
Reimbursement of advisor transition cost | 662 | 6.4 | % | — | — | |||||||||
Other (2) | — | — | % | 1,046 | 33.7 | % | ||||||||
Total Distributions | $ | 10,392 | 100.0 | % | $ | 3,106 | 100.0 | % |
As of | ||||||||||||||
September 30, 2020 | December 31, 2019 | |||||||||||||
Cash | $ | 8,099 | $ | 1,454 | ||||||||||
Restricted cash (1) | 8,634 | 7,512 | ||||||||||||
Unused borrowing capacity | 24,000 | 3,000 | ||||||||||||
Principal receivable | 1,215 | — | ||||||||||||
Unfunded investment commitments | (10,853) | (8,129) | ||||||||||||
Payable for investments purchased | (729) | — | ||||||||||||
Other net working capital (2) | 131 | 703 | ||||||||||||
Total operational liquidity | $ | 30,497 | $ | 4,540 |
September 30, 2020 | ||||||||||||||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||||||||||||||
Financings-Hamilton Credit Facility: | ||||||||||||||||||||||||||||||||
Debt - principal repayment | $ | 151,000 | $ | — | $ | 151,000 | $ | — | $ | — | ||||||||||||||||||||||
Interest on borrowings (1) (2) | 9,445 | 4,204 | 5,241 | — | — | |||||||||||||||||||||||||||
Unused commitment fee (1) | 303 | 243 | 60 | — | — | |||||||||||||||||||||||||||
Total - Financings | $ | 160,748 | $ | 4,447 | $ | 156,301 | $ | — | $ | — | ||||||||||||||||||||||
Liquidation of Feeder Funds' Investments: | ||||||||||||||||||||||||||||||||
GCIF 2016T (3) | $ | 128,829 | $ | — | $ | 128,829 | $ | — | $ | — | ||||||||||||||||||||||
GCIF 2019 (3) | 39,598 | — | — | — | 39,598 | |||||||||||||||||||||||||||
Total Liquidation of Feeder Funds' Investments | $ | 168,427 | $ | — | $ | 128,829 | $ | — | $ | 39,598 |
September 30, 2017 | ||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||
Financings-Hamilton Credit Facility: | ||||||||||||||||||||
Debt - principal | $ | 150,000 | $ | — | $ | 150,000 | $ | — | $ | — | ||||||||||
Interest on borrowings (1) (2) | 13,349 | 6,038 | 7,311 | — | — | |||||||||||||||
Unused fee commitment | 307 | 254 | 53 | — | — | |||||||||||||||
Total - Financings | $ | 163,656 | $ | 6,292 | $ | 157,364 | $ | — | $ | — | ||||||||||
Feeder Fund Liquidity: | ||||||||||||||||||||
GCIF 2016T (3) | $ | 161,126 | $ | — | $ | — | $ | 161,126 | $ | — | ||||||||||
GCIF-I (3) | 40,717 | — | — | — | 40,717 | |||||||||||||||
Total Feeder Fund Liquidity | $ | 201,843 | $ | — | $ | — | $ | 161,126 | $ | 40,717 |
September 30, 2017 | December 31, 2016 | ||||||
Investments classified as Level 3 fair value | $ | 310,827 | $ | 133,200 | |||
Total fair value of investment portfolio | $ | 381,054 | $ | 275,084 | |||
Total assets | $ | 406,590 | $ | 305,432 | |||
% of investment portfolio classified as Level 3 fair value | 81.6 | % | 48.4 | % | |||
% of total assets classified as Level 3 fair value | 76.4 | % | 43.6 | % |
As of | |||||||||||
September 30, 2020 | December 31, 2019 | ||||||||||
Investments classified as Level 3 fair value | $ | 230,718 | $ | 260,073 | |||||||
Total investments at fair value | $ | 329,201 | $ | 372,193 | |||||||
Total assets | $ | 349,802 | $ | 384,100 | |||||||
Percentage of investment portfolio classified as Level 3 fair value | 70.1 | % | 69.9 | % | |||||||
Percentage of total assets classified as Level 3 fair value | 66.0 | % | 67.7 | % |
September 30, 2020 | September 30, 2019 | ||||||||||
Fair Value of Level 3 Investments at Period End | $ | 230,718 | $ | 256,430 | |||||||
Fair Value Assuming a 5% Increase in Value | 242,254 | 269,252 | |||||||||
Increase in unrealized appreciation | 11,536 | 12,822 | |||||||||
(Increase) in management fees (1) | (152) | (167) | |||||||||
(Increase) in performance based incentive fee (2) | (2,307) | (2,564) | |||||||||
Increase in net assets resulting from operations | $ | 9,077 | $ | 10,091 | |||||||
Weighted average Common Shares outstanding (basic and diluted) | 27,224,991 | 28,997,077 | |||||||||
Common Shares outstanding at the end of the period | 27,014,903 | 28,613,345 | |||||||||
Increase in earnings per Common Share | $ | 0.33 | $ | 0.35 | |||||||
Increase in net asset value per Common Share | $ | 0.34 | $ | 0.35 |
Basis Points (bps) Increase | Annualized Interest Income Increase (Decrease) | Annualized Interest Expense Increase (Decrease) | Annualized Net Increase (Decrease) | Net Increase (Decrease) per Share | ||||||||||||||||||||||
-50 bps | $ | (417) | $ | (755) | $ | 338 | $ | 0.01 | ||||||||||||||||||
+50 bps | 425 | 755 | (330) | (0.01) | ||||||||||||||||||||||
+100 bps | 1,337 | 1,510 | (173) | (0.01) | ||||||||||||||||||||||
+150 bps | 2,984 | 2,265 | 719 | 0.03 | ||||||||||||||||||||||
+200 bps | 4,675 | 3,020 | 1,655 | 0.06 |
Basis Points (bps) Increase | Annualized Interest Income | Annualized Interest Expense | Annualized Net Increase | |||||||||
+ 50 bps | $ | 1,556 | $ | 750 | $ | 806 | ||||||
+100 bps | 3,101 | 1,500 | 1,601 | |||||||||
+150 bps | 4,652 | 2,250 | 2,402 | |||||||||
+200 bps | 6,203 | 3,000 | 3,203 |
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs (1) | ||||
July 1, 2017 to July 31, 2017 | — | — | — | — | ||||
August 1, 2017 to August 31, 2017 | — | — | — | — | ||||
September 1, 2017 to September 30, 2017 | 151,000 | $8.55 | 151,000 | — | ||||
Total | 151,000 | 151,000 | — |
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs(1) | ||||||||||||||||||||||
July 1 to July 31, 2020 | — | — | — | — | ||||||||||||||||||||||
August 1 to August 31, 2020 | — | — | — | — | ||||||||||||||||||||||
September 1 to September 30, 2020 | (1) | 227,625 | 7.24 | 227,625 | — | |||||||||||||||||||||
Total | 227,625 | 227,625 | — |
Date: | November | By: | /s/ Matthew S. Bloom | |||||||||
MATTHEW S. BLOOM | ||||||||||||
President and Chief Executive Officer | ||||||||||||
(Principal Executive Officer) | ||||||||||||
Date: | November | By: | /s/ | |||||||||
Chief Financial Officer | ||||||||||||
(Principal Financial Officer) |
3.1 | |||||||||
3.2 | |||||||||
3.3 | |||||||||
3.4 | |||||||||
10.1 | |||||||||
10.2 | |||||||||
10.3 | |||||||||
10.4 | |||||||||
10.5 | |||||||||
10.6 | |||||||||
10.7 | |||||||||
10.8 | |||||||||
10.9 | |||||||||
10.10 | |||||||||
10.11 | |||||||||
10.12 | |||||||||
14.2 | ||||||||
31.1 | ||||||||
31.2 | |||||||||
32 |