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Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended September 30, 2015

OR

 

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                      to                     

Commission File Number 814-00924

 

 

Sierra Income Corporation

(Exact name of registrant as specified in its charter)

 

 

 

Maryland   45-2544432

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

375 Park Avenue, 33rd Floor

New York, NY 10152

(Address of principal executive offices)

(212) 759-0777

(Registrant’s telephone number, including area code)

 

 

(Former name, former address and former fiscal year, if changed since last report)

 

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ¨    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer   ¨    Accelerated filer   ¨
Non-accelerated filer   x  (Do not check if a smaller reporting company)    Smaller reporting company   ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

As of November 4, 2015, the Registrant had 80,799,182 shares of common stock, $0.001 par value, outstanding.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

         Page  

Part I.      Financial Information

 

Item 1.      Financial Statements

    F-1   
  

Consolidated Statements of Assets and Liabilities as of September 30, 2015 (unaudited) and December  31, 2014

    F-1   
  

Consolidated Statements of Operations for the three and nine months ended September 30, 2015 (unaudited) and September 30, 2014 (unaudited)

    F-2   
  

Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2015 (unaudited) and September 30, 2014 (unaudited)

    F-3   
  

Consolidated Statements of Cash Flows for the nine months ended September 30, 2015 (unaudited) and September 30, 2014 (unaudited)

    F-4   
  

Consolidated Schedules of Investments as of September 30, 2015 (unaudited) and December 31, 2014 (unaudited)

    F-5   
  

Notes to Consolidated Financial Statements (unaudited)

    F-23   

Item 2.       Management’s Discussion and Analysis of Financial Condition and Results of Operations

    1   

Item 3.       Quantitative and Qualitative Disclosures About Market Risk

    19   

Item 4.      Controls and Procedures

    19   

Part II.    Other Information

 

Item 1.      Legal Proceedings

    19   

Item 1A.  Risk Factors

    19   

Item 2.       Unregistered Sales of Equity Securities and Use of Proceeds

    21   

Item 3.      Defaults Upon Senior Securities

    22   

Item 4.      Mine Safety Disclosures

    22   

Item 5.      Other Information

    22   

Item 6.      Exhibits

    22   

SIGNATURES

    25   


Table of Contents

Sierra Income Corporation

Consolidated Statements of Assets and Liabilities

 

     As of  
     September 30, 2015     December 31, 2014  
     (unaudited)        

ASSETS

    

Investments at fair value

    

Non-controlled/non-affiliated investments (amortized cost of $900,765,861 and $620,968,517, respectively)

   $ 873,783,957      $ 616,915,093   

Controlled/affiliated investments (amortized cost of $28,147,500 and $0, respectively)

     27,745,300        —     
  

 

 

   

 

 

 

Total investments at fair value

     901,529,257        616,915,093   

Cash collateral on total return swap (Note 5)

     77,029,970        56,877,928   

Cash and cash equivalents

     69,572,240        65,749,154   

Interest receivable

     6,676,066        5,213,605   

Due from affiliate (Note 7)

     4,909,928        6,995,930   

Deferred financing costs

     3,320,975        2,675,682   

Receivable due on total return swap (Note 5)

     2,505,694        1,095,582   

Prepaid expenses and other assets

     619,819        118,017   

Unsettled trades receivable

     474,480        424,641   
  

 

 

   

 

 

 

Total assets

   $ 1,066,638,429      $ 756,065,632   
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facilities payable

   $ 365,000,000      $ 236,500,000   

Unrealized depreciation on total return swap (Note 5)

     18,717,563        7,651,597   

Management fee payable

     4,584,654        3,271,387   

Accounts payable and accrued expenses

     2,026,825        2,427,843   

Due to affiliate (Note 7)

     1,558,800        1,574,737   

Interest payable

     1,117,350        648,497   

Administrator fees payable

     531,497        450,058   

Unsettled trades payable

     371,000        16,935,000   

Incentive fees

     246,192        —     

Deferred tax liability

     83,335        86,600   
  

 

 

   

 

 

 

Total liabilities

   $ 394,237,216      $ 269,545,719   
  

 

 

   

 

 

 

Commitments (Note 11)

    

NET ASSETS

    

Common shares, par value $0.001 per share, 250,000,000 common shares authorized, 78,580,360 and 54,260,324 common shares issued and outstanding, respectively

   $ 78,580      $ 54,260   

Capital in excess of par value

     713,387,021        494,060,576   

Accumulated distribution in excess of net realized gain/(loss) from investments and total return swap

     3,533,406        (5,408,243

Accumulated undistributed net investment income

     1,500,607        9,518,341   

Net unrealized appreciation/(depreciation) on investments and total return swap, net of provision for taxes of $3,266 and $0, respectively

     (46,098,401     (11,705,021
  

 

 

   

 

 

 

Total net assets

     672,401,213        486,519,913   
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 1,066,638,429      $ 756,065,632   
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 8.56      $ 8.97   
  

 

 

   

 

 

 

See accompanying notes to the consolidated financial statements.

 

 

F-1


Table of Contents

Sierra Income Corporation

Consolidated Statements of Operations

 

     For the three months ended
September 30,
    For the nine months ended
September 30,
 
     2015     2014     2015     2014  
     (unaudited)     (unaudited)     (unaudited)     (unaudited)  

INVESTMENT INCOME

        

Interest from investments

        

Non-controlled/non-affiliated investments:

        

Cash

   $ 20,684,669      $ 8,145,087      $ 51,973,886      $ 17,958,601   

Payment-in-kind

     511,922        123,053        1,182,080        231,200   

Controlled/affiliated investments:

        

Cash

     —          —          —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total interest income

     21,196,591        8,268,140        53,155,966        18,189,801   

Fee income

     2,282,521        3,786,405        8,630,025        5,274,782   

Interest from cash

     234        106        621        106   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     23,479,346        12,054,651        61,786,612        23,464,689   
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Base management fee

     4,584,654        2,791,528        12,548,197        5,702,346   

Interest and financing expenses

     2,929,780        917,738        6,887,503        1,587,438   

Offering costs

     1,116,233        393,613        3,183,890        583,713   

Incentive fee

     246,192        542,746        2,639,084        981,695   

General and administrative expenses

     1,167,136        722,240        3,304,237        1,915,528   

Professional fees

     463,816        564,522        1,637,791        1,070,220   

Administrator expenses

     531,497        350,118        1,625,938        850,913   

Organizational and offering costs reimbursed to SIC Advisors (Note 7)

     —          1,459,647        443,687        3,668,105   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total gross expenses

     11,039,308        7,742,152        32,270,327        16,359,958   

Net expense support reimbursement (Note 7)

     931,048        —          (3,003,964     (3,456,536
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     11,970,356        7,742,152        29,266,363        12,903,422   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME

     11,508,990        4,312,499        32,520,249        10,561,267   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain/(loss) from non-controlled/non-affiliated investments

     47,457        70,012        (285,772     2,201,834   

Net realized gain on total return swap (Note 5)

     3,607,072        2,498,893        9,227,421        4,310,381   

Net change in unrealized appreciation/(depreciation) on non-controlled/non-affiliated investments

     (19,791,028     2,640,577        (22,928,480     3,213,355   

Net change in unrealized appreciation/(depreciation) on controlled/affiliated investments

     (402,200     —          (402,200     —     

Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)

     (11,757,134     (3,199,218     (11,065,966     (2,281,197

Change in provision for deferred taxes on unrealized gain on investments

     288,115        —          3,266        —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain/(loss) on investments and total return swap

     (28,007,718     2,010,264        (25,451,731     7,444,373   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (16,498,728   $ 6,322,763      $ 7,068,518      $ 18,005,640   
  

 

 

   

 

 

   

 

 

   

 

 

 

WEIGHTED AVERAGE — BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ (0.22   $ 0.16      $ 0.11      $ 0.60   

WEIGHTED AVERAGE — BASIC AND DILUTED NET INVESTMENT INCOME PER COMMON SHARE

   $ 0.15      $ 0.11      $ 0.48      $ 0.35   

WEIGHTED AVERAGE COMMON STOCK OUTSTANDING — BASIC AND DILUTED (Note 10)

     75,354,820        40,543,811        67,105,439        30,107,034   

DIVIDENDS DECLARED PER COMMON SHARE

   $ 0.20      $ 0.20      $ 0.60      $ 0.60   

See accompanying notes to the consolidated financial statements.

 

F-2


Table of Contents

Sierra Income Corporation

Consolidated Statements of Changes in Net Assets

 

     For the nine months ended September 30,  
                 2015                               2014               
     (unaudited)      (unaudited)  

INCREASE FROM OPERATIONS

     

Net investment income

   $ 32,520,249       $ 10,561,267   

Net realized gain/(loss) on investments

     (285,772      2,201,834   

Net realized gain on total return swap (Note 5)

     9,227,421         4,310,381   

Net change in unrealized appreciation/(depreciation) on investments

     (23,330,680      3,213,355   

Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)

     (11,065,966      (2,281,197

Change in provision for deferred taxes on unrealized gain on investments

     3,266         —     
  

 

 

    

 

 

 

Net increase in net assets resulting from operations

     7,068,518         18,005,640   
  

 

 

    

 

 

 

SHAREHOLDER DISTRIBUTIONS

     

Distributions from return of capital (Note 2)

     —           (1,383,895

Distributions from net realized gains

     —           (6,512,215

Distributions from net investment income (Note 2)

     (40,537,983      (10,561,267
  

 

 

    

 

 

 

Net decrease in net assets from shareholder distributions

     (40,537,983      (18,457,377
  

 

 

    

 

 

 

COMMON SHARE TRANSACTIONS

     

Issuance of common shares, net of underwriting costs

     204,603,539         268,198,799   

Issuance of common shares pursuant to distribution reinvestment plan

     19,398,732         8,356,464   

Repurchase of common shares

     (4,651,506      (618,692
  

 

 

    

 

 

 

Net increase in net assets resulting from common share transactions

     219,350,765         275,936,571   
  

 

 

    

 

 

 

Total increase in net assets

     185,881,300         275,484,834   

Net assets at beginning of period

     486,519,913         153,002,273   
  

 

 

    

 

 

 

Net assets at end of period (including accumulated undistributed (distributions in excess of) net investment income of $1,500,607 and $(1,633,072), respectively)

   $ 672,401,213       $ 428,487,107   
  

 

 

    

 

 

 

Net asset value per common share

   $ 8.56       $ 9.22   

Common shares outstanding, beginning of period

     54,260,324         16,663,500   

Issuance of common shares

     22,661,355         28,975,372   

Issuance of common shares pursuant to distribution reinvestment plan

     2,177,482         904,675   

Repurchase of common shares

     (518,801      (66,499
  

 

 

    

 

 

 

Common shares outstanding, end of period

     78,580,360         46,477,048   
  

 

 

    

 

 

 

See accompanying notes to the consolidated financial statements.

 

F-3


Table of Contents

Sierra Income Corporation

Consolidated Statements of Cash Flows

 

     For the nine months ended
September 30,
 
     2015     2014  
     (unaudited)     (unaudited)  

Cash flows from operating activities

    

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 7,068,518      $ 18,005,640   

ADJUSTMENT TO RECONCILE NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES

    

Payment-in-kind interest income

     (1,182,080     (231,200

Net amortization of premium on investments

     (497,366     (111,106

Amortization of deferred financing costs

     993,897        (1,547,615

Net realized (gain)/loss on investments

     285,772        (2,201,834

Net change in unrealized (appreciation)/depreciation on investments

     23,330,680        (3,213,355

Net change in unrealized (appreciation)/depreciation on total return swap (Note 5)

     11,065,966        2,281,197   

Purchases and Originations

     (451,148,639     (466,291,195

Proceeds from sale of investments and principal repayments

     144,597,469        98,724,212   

(Increase)/decrease in operating assets:

    

Cash collateral on total return swap (Note 5)

     (20,152,042     (49,683,795

Unsettled trades receivable

     (49,839     496,250   

Due from affiliate

     2,086,002        (4,211,010

Interest receivable

     (1,462,461     (1,069,524

Receivable due on total return swap (Note 5)

     (1,410,112     (1,667,542

Prepaid expenses and other assets

     (218,122     (1,965,180

Increase/(decrease) in operating liabilities:

    

Unsettled trades payable

     (16,564,000     7,507,500   

Management fee payable

     1,313,267        1,973,949   

Accounts payable and accrued expenses

     (401,018     443,690   

Incentive fee payable

     246,192        982,323   

Administrator fees payable

     81,439        210,154   

Interest payable

     468,853        513,198   

Directors fee

     —          6,547   

Due to affiliate

     (15,937     1,734,514   

Deferred tax liability

     (3,265     —     
  

 

 

   

 

 

 

NET CASH USED IN OPERATING ACTIVITIES

     (301,566,826     (399,314,182
  

 

 

   

 

 

 

Cash flows from financing activities

    

Borrowings under revolving credit facility

     353,500,000        229,000,000   

Repayments of revolving credit facility

     (225,000,000     (66,000,000

Proceeds from issuance of common stock, net of underwriting costs

     204,603,539        268,198,799   

Payment of cash dividends

     (21,139,251     (10,100,913

Financing costs paid

     (1,922,870     —     

Repurchase of common shares

     (4,651,506     (618,692
  

 

 

   

 

 

 

NET CASH PROVIDED BY FINANCING ACTIVITIES

     305,389,912        420,479,194   
  

 

 

   

 

 

 

TOTAL INCREASE IN CASH

     3,823,086        21,165,012   

CASH AT BEGINNING OF PERIOD

     65,749,154        34,939,948   
  

 

 

   

 

 

 

CASH AT END OF PERIOD

   $ 69,572,240      $ 56,104,960   
  

 

 

   

 

 

 

Supplemental Information

    

Cash paid during the period for interest

   $ 6,418,649      $ 1,074,240   

Supplemental non-cash information

    

Payment-in-kind interest income

   $ 1,182,080      $ 231,200   

Amortization of deferred financing costs

   $ 993,897      $ 1,547,615   

Net amortization of premium on investments

   $ 497,366      $ 111,106   

Issuance of common shares in connection with distribution reinvestment plan

   $ 19,398,732      $ 8,356,464   

See accompanying notes to the consolidated financial statements.

 

F-4


Table of Contents

Sierra Income Corporation

Consolidated Schedule of Investments

As of September 30, 2015

(unaudited)

 

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Non-controlled/non-affiliated
investments — 129.9%

           

AAR Intermediate Holdings, LLC

  Energy: Oil & Gas  

Senior Secured First

Lien Term Loans

LIBOR + 12.000%,

1.000% Floor(3)(4)

    3/30/2019      $ 11,188,417      $ 10,615,940      $ 7,876,355        1.2
    Warrants to purchase 0.625% of outstanding company equity(4)(5)     3/30/2019        —          790,778        —          0.0
       

 

 

   

 

 

   

 

 

   
    11,188,417        11,406,718        7,876,355     

Access Media Holding LLC

  Media: Broadcasting
& Subscription
  Common Stock(4)(5)       —          —          —          0.0
   

Preferred Equity(4)(5)

      1,400,000        1,400,000        177,716        0.0
   

Senior Secured First

Lien Term Loans

5.000%, 5.000% PIK(4)

    7/22/2020        6,594,799        6,594,799        6,594,799        1.0
       

 

 

   

 

 

   

 

 

   
    7,994,799        7,994,799        6,772,515     

AESC Holding Corp., Inc.

  Retail  

Senior Secured Second

Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(3)(4)

    5/27/2019        7,000,000        7,000,000        7,052,204        1.0
       

 

 

   

 

 

   

 

 

   
    7,000,000        7,000,000        7,052,204     

Alpha Media LLC

  Media: Broadcasting
& Subscription
 

Senior Secured First

Lien Term Loans

LIBOR + 6.500%,

1.000% Floor(6)(7)

    4/30/2021        13,212,627        13,212,627        13,212,627        2.0
       

 

 

   

 

 

   

 

 

   
    13,212,627        13,212,627        13,212,627     

American Beacon Advisors, Inc.(8)

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second

Lien Term Loans

LIBOR + 8.750%,

1.000% Floor(6)

    4/30/2023        6,000,000        5,884,262        5,704,417        0.8
       

 

 

   

 

 

   

 

 

   
    6,000,000        5,884,262        5,704,417     

American Pacific Corp.

  Chemicals, Plastics
& Rubber
 

Senior Secured First

Lien Term Loans

LIBOR + 6.000%,

1.000% Floor(6)

    2/27/2019        7,880,000        7,836,942        7,810,311        1.2
       

 

 

   

 

 

   

 

 

   
    7,880,000        7,836,942        7,810,311     

Anaren, Inc.

  Aerospace &
Defense
 

Senior Secured Second

Lien Term Loans

LIBOR + 8.250%,

1.000% Floor(6)

    8/18/2021        10,000,000        9,915,797        9,822,391        1.5
       

 

 

   

 

 

   

 

 

   
    10,000,000        9,915,797        9,822,391     

Aperture Group, LLC

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured First

Lien Term Loans

LIBOR + 6.250%,

1.000% Floor(3)

    8/29/2019        2,437,594        2,427,675        2,396,733        0.4
       

 

 

   

 

 

   

 

 

   
    2,437,594        2,427,675        2,396,733     

 

See accompanying notes to consolidated financial statements.

 

F-5


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Ascensus, Inc.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second

Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(6)

    12/2/2020        4,000,000        3,955,272        3,993,311        0.6
       

 

 

   

 

 

   

 

 

   
    4,000,000        3,955,272        3,993,311     

Associated Asphalt Partners, LLC

  Chemicals, Plastics
& Rubber
 

Senior Secured First

Lien Notes

8.500%(9)(10)

    2/15/2018        1,778,000        1,786,874        1,749,108        0.3
       

 

 

   

 

 

   

 

 

   
    1,778,000        1,786,874        1,749,108     

Asurion Corp.(8)

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second Lien Term Loans

LIBOR + 7.500%,

1.000% Floor(6)

    3/3/2021        7,000,000        6,939,912        6,300,000        0.9
       

 

 

   

 

 

   

 

 

   
    7,000,000        6,939,912        6,300,000     

Atrium Innovations, Inc.(11)

  Healthcare &
Pharmaceuticals
 

Senior Secured Second Lien Term Loans

LIBOR + 6.750%,

1.000% Floor(6)

    8/13/2021        5,000,000        4,979,271        4,409,884        0.7
       

 

 

   

 

 

   

 

 

   
    5,000,000        4,979,271        4,409,884     

Aviation Technical Services, Inc.

  Aerospace &
Defense
 

Senior Secured Second Lien Term Loans

LIBOR + 8.500%,

1.000% Floor(3)(4)

    3/31/2022        22,500,000        22,500,000        22,500,000        3.3
       

 

 

   

 

 

   

 

 

   
    22,500,000        22,500,000        22,500,000     

Backcountry.com, LLC

  Retail  

Senior Secured First

Lien Term Loans

LIBOR + 7.250%,

1.000% Floor(3)(4)

    6/30/2020        35,138,889        35,138,889        35,138,889        5.2
       

 

 

   

 

 

   

 

 

   
    35,138,889        35,138,889        35,138,889     

Bennu Oil & Gas, LLC

  Energy: Oil & Gas  

Senior Secured Second Lien Term Loans

LIBOR + 8.500%,

1.250% Floor, 2.500% PIK(6)

    11/1/2018        5,553,021        5,549,357        3,578,846        0.5
       

 

 

   

 

 

   

 

 

   
    5,553,021        5,549,357        3,578,846     

Birch Communications, Inc.

  Telecommunications  

Senior Secured First

Lien Term Loans

LIBOR + 6.750%,

1.000% Floor(3)(4)

    7/18/2020        14,572,917        14,335,699        14,424,935        2.1
       

 

 

   

 

 

   

 

 

   
    14,572,917        14,335,699        14,424,935     

Black Angus Steakhouses LLC

  Hotel, Gaming &
Leisure
 

Senior Secured First

Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(3)(4)(7)

    4/24/2020        21,395,090        21,395,090        21,395,090        3.2
       

 

 

   

 

 

   

 

 

   
          21,395,090        21,395,090        21,395,090     

Brundage-Bone Concrete Pumping, Inc.

  Construction &
Building
 

Senior Secured First

Lien Notes

10.375%(9)(10)

    9/1/2021        7,500,000        7,629,766        7,631,250        1.1
       

 

 

   

 

 

   

 

 

   
          7,500,000        7,629,766        7,631,250     

Capstone Nutrition

  Healthcare &
Pharmaceuticals
  Common Stock (4)(5)       —          300,000        548,335        0.1
   

Senior Secured First

Lien Term Loans

LIBOR + 9.500%,

1.000% Floor, 1.000% PIK(3)(4)

    4/28/2019        15,063,858        15,063,858        15,082,427        2.2
       

 

 

   

 

 

   

 

 

   
          15,063,858        15,363,858        15,630,762     

 

See accompanying notes to consolidated financial statements.

 

F-6


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Charming Charlie, Inc.

  Retail  

Senior Secured First

Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(6)

    12/24/2019        8,877,645        8,893,898        8,691,837        1.3
       

 

 

   

 

 

   

 

 

   
          8,877,645        8,893,898        8,691,837     

Collective Brands Finance, Inc.(8)

  Retail  

Senior Secured Second Lien Term Loans

LIBOR + 7.500%,

1.000% Floor(6)

    3/11/2022        6,000,000        6,017,214        5,188,324        0.8
       

 

 

   

 

 

   

 

 

   
          6,000,000        6,017,214        5,188,324     

ContMid Intermediate, Inc.

  Automotive  

Senior Secured Second Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(3)(4)

    10/25/2019        14,317,924        14,317,924        14,137,564        2.1
       

 

 

   

 

 

   

 

 

   
          14,317,924        14,317,924        14,137,564     

ConvergeOne Holdings Corp.

  Telecommunications  

Senior Secured Second Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(3)(4)

    6/17/2021        12,500,000        12,391,836        12,320,251        1.8
       

 

 

   

 

 

   

 

 

   
          12,500,000        12,391,836        12,320,251     

Cornerstone Chemical Company

  Chemicals, Plastics &
Rubber
 

Senior Secured First

Lien Notes

9.375%(9)

    3/15/2018        2,500,000        2,569,584        2,587,900        0.4
       

 

 

   

 

 

   

 

 

   
          2,500,000        2,569,584        2,587,900     

CP OpCo, LLC

  Services: Consumer  

Senior Secured First

Lien Term Loans

LIBOR + 6.750%,

1.000% Floor(4)(6)

    9/30/2020        3,000,000        3,000,000        3,000,000        0.4
       

 

 

   

 

 

   

 

 

   
    3,000,000        3,000,000        3,000,000     

CRGT, Inc.

  High Tech Industries  

Senior Secured First

Lien Term Loans

LIBOR + 6.500%,

1.000% Floor(4)(6)

    12/19/2020        4,844,146        4,844,146        4,832,035        0.7
       

 

 

   

 

 

   

 

 

   
    4,844,146        4,844,146        4,832,035     

DHISCO Electronic Distribution, Inc.

  Hotel, Gaming &
Leisure
 

Senior Secured First

Lien Term Loans

LIBOR + 9.000%

PIK, 1.500%

Floor(3)(4)

    2/10/2018        3,890,881        3,890,881        3,905,196        0.6
    Senior Secured First Lien Term Loans LIBOR + 9.000%, 1.500% Floor(3)(4)(7)     11/10/2019        19,523,810        19,523,810        19,674,505        2.9
   

Warrants to purchase

4.2% of the

outstanding equity(4)(5)

    2/10/2018        —          769,231        1,486,806        0.2
       

 

 

   

 

 

   

 

 

   
    23,414,691        24,183,922        25,066,507     

Drew Marine Partners, LP

  Transportation: Cargo  

Senior Secured Second Lien Term Loans

LIBOR + 7.000%,

1.000% Floor(6)

    5/19/2021        10,000,000        10,069,763        9,681,235        1.4
       

 

 

   

 

 

   

 

 

   
    10,000,000        10,069,763        9,681,235     

Dynamic Energy Services International LLC

  Energy: Oil & Gas  

Senior Secured First

Lien Term Loans

LIBOR + 8.500%, 1.000% Floor(3)(4)

    3/6/2018        9,250,000        9,250,000        8,969,910        1.3
       

 

 

   

 

 

   

 

 

   
    9,250,000        9,250,000        8,969,910     

 

See accompanying notes to consolidated financial statements.

 

F-7


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

EarthLink, Inc.(11)

  Telecommunications  

Senior Secured First

Lien Notes

7.375%(9)(10)

    6/1/2020        2,450,000        2,440,251        2,529,625        0.4
       

 

 

   

 

 

   

 

 

   
    2,450,000        2,440,251        2,529,625     

FKI Security Group LLC

  Capital Equipment  

Senior Secured First

Lien Term Loans

LIBOR + 8.500%, 1.000% Floor(3)(4)

    3/30/2020        14,906,250        14,906,250        14,616,177        2.2
       

 

 

   

 

 

   

 

 

   
    14,906,250        14,906,250        14,616,177     

Frontier Communications Corp.

  Telecommunications  

Senior Secured First

Lien Notes

10.250%(9)(10)

    9/15/2022        2,000,000        2,000,000        1,950,000        0.3
       

 

 

   

 

 

   

 

 

   
    2,000,000        2,000,000        1,950,000     

Gastar Exploration USA, Inc.

  Energy: Oil & Gas  

Senior Secured First

Lien Notes

8.625%(9)

    5/15/2018        5,400,000        5,410,854        3,665,250        0.5
       

 

 

   

 

 

   

 

 

   
    5,400,000        5,410,854        3,665,250     

Genex Holdings, Inc.(8)

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second Lien Term Loans

LIBOR + 7.750%, 1.000% Floor(6)

    5/30/2022        9,500,000        9,529,390        9,381,250        1.4
       

 

 

   

 

 

   

 

 

   
    9,500,000        9,529,390        9,381,250     

GK Holdings, Inc.

  Services: Business  

Senior Secured Second Lien Term Loans

LIBOR + 9.500%,

1.000% Floor(3)

    1/20/2022        10,000,000        10,000,000        9,728,434        1.4
       

 

 

   

 

 

   

 

 

   
    10,000,000        10,000,000        9,728,434     

Green Field Energy Services, Inc.

  Energy: Oil & Gas  

Senior Secured First

Lien Notes

13.000%(4)(9)(12)

    11/15/2016        766,616        754,801        157,156        0.0
    Warrants/Equity(4)(5)       709        29,000        —          0.0
       

 

 

   

 

 

   

 

 

   
    767,325        783,801        157,156     

GTCR Valor Companies, Inc.

  High Tech
Industries
 

Senior Secured First

Lien Term Loans

LIBOR + 5.000%,

1.000% Floor(6)

    5/30/2021        2,921,253        2,895,580        2,904,592        0.4
   

Senior Secured Second Lien Term Loans

LIBOR + 8.500%,

1.000% Floor(6)

    11/30/2021        4,000,000        3,964,824        3,825,585        0.6
       

 

 

   

 

 

   

 

 

   
    6,921,253        6,860,404        6,730,177     

H.D. Vest, Inc.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second Lien Term Loans

LIBOR + 8.000%,

1.250% Floor(6)

    3/17/2021        16,500,000        16,500,000        16,102,105        2.4
       

 

 

   

 

 

   

 

 

   
    16,500,000        16,500,000        16,102,105     

HBC Holdings, LLC

  Wholesale  

Senior Secured First

Lien Term Loans

LIBOR + 5.750%,

1.000% Floor(4)(6)

    3/30/2020        14,850,000        14,850,000        14,065,537        2.1
       

 

 

   

 

 

   

 

 

   
    14,850,000        14,850,000        14,065,537     

Heligear Acquisition Co.

  Aerospace &
Defense
 

Senior Secured First

Lien Notes

10.250%(4)(9)

    10/15/2019        15,000,000        15,000,000        15,392,609        2.3
       

 

 

   

 

 

   

 

 

   
    15,000,000        15,000,000        15,392,609     

 

See accompanying notes to consolidated financial statements.

 

F-8


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Hill International, Inc.(11)

  Construction &
Building
 

Senior Secured First

Lien Term Loans

LIBOR + 6.750%,

1.000% Floor(4)(6)

    9/26/2020        16,830,000        16,830,000        16,458,981        2.4
       

 

 

   

 

 

   

 

 

   
    16,830,000        16,830,000        16,458,981     

Holland Acquisition Corp.

  Energy: Oil & Gas  

Senior Secured First

Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(6)

    5/29/2018        4,832,381        4,770,829        4,171,370        0.6
       

 

 

   

 

 

   

 

 

   
    4,832,381        4,770,829        4,171,370     

Ignite Restaurant Group, Inc.

  Hotel, Gaming &
Leisure
 

Senior Secured First

Lien Term Loans

LIBOR + 7.000%,

1.000% Floor(6)

    2/13/2019        11,880,000        11,735,694        11,744,655        1.7
       

 

 

   

 

 

   

 

 

   
    11,880,000        11,735,694        11,744,655     

IHS Intermediate, Inc.

  Services: Business  

Senior Secured Second Lien Term Loans

LIBOR + 8.250%,

1.000% Floor(6)

    7/20/2022        25,000,000        25,000,000        25,000,000        3.7
       

 

 

   

 

 

   

 

 

   
    25,000,000        25,000,000        25,000,000     

Interface Security Systems, Inc.

  Services: Consumer  

Senior Secured First

Lien Notes

9.250%(9)(10)

    1/15/2018        3,417,000        3,453,260        3,434,085        0.5
       

 

 

   

 

 

   

 

 

   
    3,417,000        3,453,260        3,434,085     

Invision Diversified, LLC

  Services: Business  

Senior Secured First

Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(3)(4)

    6/30/2020        24,937,500        24,937,500        24,937,500        3.7
       

 

 

   

 

 

   

 

 

   
    24,937,500        24,937,500        24,937,500     

IPS Corporation

  Wholesale  

Senior Secured First

Lien Term Loans

LIBOR + 6.250%,

1.000% Floor(13)

    2/5/2021        9,925,006        9,925,006        9,640,962        1.4
       

 

 

   

 

 

   

 

 

   
    9,925,006        9,925,006        9,640,962     

IronGate Energy Services, LLC

  Energy: Oil & Gas  

Senior Secured First

Lien Notes

11.000%(9)

    7/1/2018        3,000,000        2,964,299        1,903,239        0.3
       

 

 

   

 

 

   

 

 

   
    3,000,000        2,964,299        1,903,239     

Isola USA Corp.(8)

  High Tech
Industries
 

Senior Secured First

Lien Term Loans

LIBOR + 8.250%,

1.000% Floor(6)

    11/29/2018        5,761,557        5,861,181        5,688,732        0.8
       

 

 

   

 

 

   

 

 

   
    5,761,557        5,861,181        5,688,732     

JAC Holding Corp.

  Automotive  

Senior Secured First

Lien Notes

11.500%(4)(9)(10)

    10/1/2019        12,000,000        12,000,000        11,895,000        1.8
       

 

 

   

 

 

   

 

 

   
    12,000,000        12,000,000        11,895,000     

Jordan Reses Supply Company, LLC

  Healthcare &
Pharmaceuticals
 

Senior Secured Second Lien Term Loans

LIBOR + 11.000%, 1.000% Floor(3)(4)

    4/24/2020        5,000,000        5,000,000        5,087,455        0.8
       

 

 

   

 

 

   

 

 

   
    5,000,000        5,000,000        5,087,455     

Liquidnet Holdings, Inc.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured First

Lien Term Loans

LIBOR + 6.750%,

1.000% Floor(6)

    5/22/2019        6,562,500        6,486,388        6,255,070        0.9
       

 

 

   

 

 

   

 

 

   
    6,562,500        6,486,388        6,255,070     

 

See accompanying notes to consolidated financial statements.

 

F-9


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Livingston International,
Inc.(8)(11)

  Transportation:

Cargo

 

Senior Secured Second Lien Term Loans

LIBOR + 7.750%,

1.250% Floor(6)

    4/18/2020        2,658,504        2,654,709        2,489,145        0.4
       

 

 

   

 

 

   

 

 

   
    2,658,504        2,654,709        2,489,145     

LTCG Holdings Corp.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured First

Lien Term Loans

LIBOR + 5.000%,

1.000% Floor(6)

    6/6/2020        2,838,571        2,827,050        2,672,598        0.4
       

 

 

   

 

 

   

 

 

   
    2,838,571        2,827,050        2,672,598     

Miller Heiman, Inc.

  Services: Business  

Senior Secured First

Lien Term Loans

LIBOR + 5.750%,

1.000% Floor(6)

    9/30/2019        24,218,750        24,218,750        23,465,983        3.5
       

 

 

   

 

 

   

 

 

   
    24,218,750        24,218,750        23,465,983     

Nathan’s Famous, Inc.

  Beverage & Food  

Senior Secured First

Lien Notes

10.000%(10)

    3/15/2020        7,000,000        7,000,000        7,420,000        1.1
       

 

 

   

 

 

   

 

 

   
    7,000,000        7,000,000        7,420,000     

Nation Safe Drivers Holdings, Inc.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second Lien Term Loans

LIBOR + 8.000%,

2.000% Floor(4)(6)

    9/29/2020        20,676,479        20,676,479        20,690,125        3.1
       

 

 

   

 

 

   

 

 

   
    20,676,479        20,676,479        20,690,125     

New Media Holdings II, LLC

  Media: Advertising,
Printing &
Publishing
 

Senior Secured First

Lien Term Loans

LIBOR + 6.250%,

1.000% Floor(6)

    6/4/2020        18,274,075        18,255,311        17,948,780        2.7
       

 

 

   

 

 

   

 

 

   
    18,274,075        18,255,311        17,948,780     

Newpage Corp.

  Media: Advertising,
Printing &
Publishing
 

Senior Secured First

Lien Term Loans

LIBOR + 8.250%,

1.250% Floor(6)

    2/11/2021        9,792,917        9,686,733        5,780,250        0.9
       

 

 

   

 

 

   

 

 

   
    9,792,917        9,686,733        5,780,250     

Northern Lights MIDCO, LLC

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured First

Lien Term Loans

LIBOR + 9.500%,

1.500% Floor(3)(4)

    11/21/2019        4,523,750        4,523,750        4,570,584        0.7
       

 

 

   

 

 

   

 

 

   
    4,523,750        4,523,750        4,570,584     

Omnitracs, Inc.

  High Tech
Industries
 

Senior Secured Second Lien Term Loans

LIBOR + 7.750%,

1.000% Floor(6)

    5/25/2021        7,000,000        7,013,320        6,770,878        1.0
       

 

 

   

 

 

   

 

 

   
    7,000,000        7,013,320        6,770,878     

Oxford Mining Company, LLC

  Metals & Mining  

Senior Secured First

Lien Term Loans

LIBOR + 8.500%,

0.750% Floor, 3.000% PIK(4)(6)

    12/31/2018        20,121,672        20,121,672        19,349,402        2.9
       

 

 

   

 

 

   

 

 

   
    20,121,672        20,121,672        19,349,402     

Physiotherapy Corporation

  Healthcare &
Pharmaceuticals
 

Senior Secured First

Lien Term Loans

LIBOR + 4.750%,

1.000% Floor(6)

    6/4/2021        7,500,000        7,500,000        7,500,000        1.1
       

 

 

   

 

 

   

 

 

   
    7,500,000        7,500,000        7,500,000     

 

See accompanying notes to consolidated financial statements.

 

F-10


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Reddy Ice Corporation

  Beverage & Food  

Senior Secured Second Lien Term Loans

LIBOR + 9.500%,

1.250% Floor(3)(4)

    10/1/2019        2,000,000        2,000,000        1,580,795        0.2
       

 

 

   

 

 

   

 

 

   
    2,000,000        2,000,000        1,580,795     

Research Now Group, Inc.

  Services: Business  

Senior Secured Second Lien Term Loans

LIBOR + 8.750%,

1.000% Floor(6)

    3/18/2022        15,000,000        15,000,000        14,599,661        2.2
       

 

 

   

 

 

   

 

 

   
    15,000,000        15,000,000        14,599,661     

Response Team Holdings, LLC

  Construction &
Building
  Preferred Equity 12% PIK(4)(5)     3/28/2019        3,334,860        3,077,452        3,051,236        0.5
   

Senior Secured First

Lien Term Loans

LIBOR + 8.500%,

2.000% Floor, 1.000% PIK(3)(4)

    3/28/2019        15,322,710        15,322,710        15,183,063        2.3
    Warrants to purchase 3.70% of the outstanding common units(4)(5)       —          257,407        502,508        0.1
       

 

 

   

 

 

   

 

 

   
    18,657,570        18,657,569        18,736,807     

School Specialty, Inc.

  Wholesale  

Senior Secured First

Lien Term Loans

LIBOR + 8.500%,

1.000% Floor(6)

    6/11/2019        10,087,334        10,031,754        9,849,355        1.5
       

 

 

   

 

 

   

 

 

   
    10,087,334        10,031,754        9,849,355     

Ship Supply Acquisition Corporation

  Services: Business  

Senior Secured First Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(3)(4)(7)

    7/31/2020        26,219,512        26,219,512        26,219,512        3.9
       

 

 

   

 

 

   

 

 

   
    26,219,512        26,219,512        26,219,512     

Sizzling Platter, LLC

  Hotel, Gaming &
Leisure
 

Senior Secured First

Lien Term Loans

LIBOR + 7.500%,

1.000% Floor(6)

    4/28/2019        15,000,000        15,000,000        15,298,026        2.3
       

 

 

   

 

 

   

 

 

   
    15,000,000        15,000,000        15,298,026     

Software Paradigms International Group, LLC

  High Tech
Industries
 

Senior Secured First

Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(4)(6)(7)

    5/22/2020        32,098,298        32,098,298        32,098,298        4.8
       

 

 

   

 

 

   

 

 

   
    32,098,298        32,098,298        32,098,298     

Southwest Dealer Services, Inc.

  Automotive  

Senior Secured First

Lien Term Loans

LIBOR + 6.000%,

1.000% Floor(3)(4)

    3/16/2020        1,888,291        1,888,291        1,861,944        0.3
       

 

 

   

 

 

   

 

 

   
    1,888,291        1,888,291        1,861,944     

Survey Sampling International, LLC

  Services: Business  

Senior Secured Second Lien Term Loans

LIBOR + 9.000%,

1.000% Floor(3)

    12/16/2021        24,000,000        24,000,000        23,088,381        3.4
       

 

 

   

 

 

   

 

 

   
    24,000,000        24,000,000        23,088,381     

Techniplas LLC

  Automotive  

Senior Secured First

Lien Notes

10.000%(9)

    5/1/2020        6,000,000        6,000,000        5,719,627        0.9
       

 

 

   

 

 

   

 

 

   
    6,000,000        6,000,000        5,719,627     

 

See accompanying notes to consolidated financial statements.

 

F-11


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

Tempel Steel Company

  Metals & Mining  

Senior Secured First

Lien Notes

12.000%(4)(9)

    8/15/2016        1,115,000        1,111,400        1,028,352        0.2
       

 

 

   

 

 

   

 

 

   
    1,115,000        1,111,400        1,028,352     

The Garretson Resolution Group, Inc.

  Services: Business  

Senior Secured First

Lien Term Loans

LIBOR + 6.500%,

1.000% Floor(3)

    5/22/2021        9,937,500        9,890,268        9,937,500        1.5
       

 

 

   

 

 

   

 

 

   
    9,937,500        9,890,268        9,937,500     

TouchTunes Interactive Networks, Inc.

  Media: Diversified
& Production
 

Senior Secured Second Lien Term Loans

LIBOR + 8.250%,

1.000% Floor(6)

    5/29/2022        7,500,000        7,500,000        7,500,000        1.1
       

 

 

   

 

 

   

 

 

   
    7,500,000        7,500,000        7,500,000     

TravelCLICK, Inc.(8)

  Hotel, Gaming &
Leisure
 

Senior Secured Second Lien Term Loans

LIBOR + 7.750%,

1.000% Floor(6)

    11/6/2021        6,000,000        5,921,888        5,769,357        0.9
       

 

 

   

 

 

   

 

 

   
    6,000,000        5,921,888        5,769,357     

True Religion Apparel, Inc.

  Retail  

Senior Secured Second Lien Term Loans

LIBOR + 10.000%, 1.000% Floor(14)

    1/30/2020        4,000,000        3,869,664        1,587,388        0.2
       

 

 

   

 

 

   

 

 

   
    4,000,000        3,869,664        1,587,388     

U.S. Auto Sales Inc.

  Banking, Finance,
Insurance & Real
Estate
 

Senior Secured Second Lien Term Loans

LIBOR + 10.500%, 1.000% Floor(3) (4)

    6/8/2020        5,500,000        5,500,000        5,500,000        0.8
       

 

 

   

 

 

   

 

 

   
    5,500,000        5,500,000        5,500,000     

U.S. Well Services, LLC

  Energy: Oil & Gas   Equity/Warrants (5)     2/21/2019        —          173        227,107        0.0
       

 

 

   

 

 

   

 

 

   
    —          173        227,107     

Valence Surface Technologies, Inc.

  Aerospace &
Defense
 

Senior Secured First

Lien Term Loans

LIBOR + 5.500%,

1.000% Floor(3)

    6/13/2019        4,713,208        4,686,848        4,596,380        0.7
       

 

 

   

 

 

   

 

 

   
    4,713,208        4,686,848        4,596,380     

Velocity Pooling Vehicle, LLC

  Automotive  

Senior Secured Second Lien Term Loans

LIBOR + 7.250%,

1.000% Floor(3)(4)

    5/14/2022        20,625,000        18,159,431        17,043,784        2.5
       

 

 

   

 

 

   

 

 

   
    20,625,000        18,159,431        17,043,784     

Vestcom International, Inc.

  Services: Business  

Senior Secured Second Lien Term Loans

LIBOR + 7.750%,

1.000% Floor(14)

    9/30/2022        5,000,000        5,000,000        4,802,274        0.7
       

 

 

   

 

 

   

 

 

   
    5,000,000        5,000,000        4,802,274     

Watermill-QMC Midco, Inc.

  Automotive   Equity (4)(5)       514,195        514,195        514,195        0.1
   

Senior Secured First

Lien Term Loans 12.000%, 1.000%

PIK(4)

    6/30/2020        26,826,519        26,826,519        26,826,519        4.0
       

 

 

   

 

 

   

 

 

   
    27,340,714        27,340,714        27,340,714     

 

See accompanying notes to consolidated financial statements.

 

F-12


Table of Contents

Company(1)

  Industry  

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net  Assets(2)
 

YP LLC(8)

  Media:
Advertising,
Printing &
Publishing
 

Senior Secured First

Lien Term Loans

LIBOR + 6.750%,

1.250% Floor(6)

    6/4/2018        3,652,174        3,681,409        3,617,428        0.5
       

 

 

   

 

 

   

 

 

   
    3,652,174        3,681,409        3,617,428     

Z Gallerie, LLC

  Retail  

Senior Secured First

Lien Term Loans

LIBOR + 6.500%,

1.000% Floor(14)

    10/8/2020        4,742,222        4,694,666        4,712,962        0.7
       

 

 

   

 

 

   

 

 

   
    4,742,222        4,694,666        4,712,962     
         

 

 

   

 

 

   

Total non-controlled/non-affiliated investments

        $ 900,765,861      $ 873,783,957        129.9
         

 

 

   

 

 

   

Controlled/affiliated
investments (15) — 4.1%

           

Sierra Senior Loan Strategy JV I LLC

  Multi-Sector
Holdings
  Equity/Other     $ 28,147,500      $ 28,147,500      $ 27,745,300        4.1
         

 

 

   

 

 

   

Total controlled/affiliated
investments

   

    $ 28,147,500      $ 27,745,300        4.1
         

 

 

   

 

 

   

Money market fund — 1.9%

           

Federated Prime Obligations Fund

    Money Market 0.01%       12,519,516      $ 12,519,516      $ 12,519,516        1.9
         

 

 

   

 

 

   

Total money market fund

  

    $ 12,519,516      $ 12,519,516        1.9
         

 

 

   

 

 

   
Derivative Instrument — Long Exposure               Notional
Amount
    Unrealized
Appreciation
(Depreciation)
       

Total return swap with Citibank, N.A. (Note 5)

    Total Return Swap       $ 235,993,671      $ (18,717,563  
         

 

 

   

 

 

   
    $ 235,993,671      $ (18,717,563  
         

 

 

   

 

 

   

 

(1)

All of the Company’s investments are domiciled in the United States except for Atrium Innovations, Inc. and Livingston International, Inc. which are domiciled in Canada.

(2)

Percentage is based on net assets of $672,401,213 as of September 30, 2015.

(3)

The interest rate on these loans is subject to a base rate plus 1M London Interbank Offering Rate (“LIBOR”), which at September 30, 2015 was 0.19%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at September 30, 2015, the prevailing rate in effect at September 30, 2015 was the base rate plus the LIBOR floor.

(4)

An affiliated fund that is managed by an affiliate of SIC Advisors LLC also holds an investment in this security.

(5)

Security is non-income producing.

(6)

The interest rate on these loans is subject to a base rate plus 3M LIBOR, which at September 30, 2015 was 0.33%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at September 30, 2015, the prevailing rate in effect at September 30, 2015 was the base rate plus the LIBOR floor.

(7)

The investment has an unfunded commitment as of September 30, 2015. For further details see Note 11. Fair value includes an analysis of the unfunded commitment.

(8)

Security is also held in the underlying portfolio of the total return swap with Citibank, N.A. (see Note 5). The Company’s total exposure to American Beacon Advisors, Inc., Asurion Corp., Collective Brands Finance, Inc., Genex Holdings, Inc., Isola USA Corp., Livingston International, Inc., TravelCLICK, Inc., and YP LLC is $6,699,417 or 1.0%, $11,145,284 or 1.7%, $11,091,105 or 1.6%, $12,346,350 or 1.8%, $9,480,982 or 1.4%, $4,458,588 or 0.7%, $20,474,617 or 3.0%, $7,296,993 or 1.1%, respectively, of Net Assets as of September 30, 2015.

(9)

Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities represent a fair value of $59,643,201 and 8.8% of net assets as of September 30, 2015 and are considered restricted.

(10)

Represents securities in Level 2 in the ASC 820 table (see Note 4).

(11)

The investment is not a qualifying asset under Section 55 of the Investment Company Act of 1940 (the “1940 Act”), as amended. Non-qualifying assets represent 3.8% of the Company’s portfolio at fair value.

 

See accompanying notes to consolidated financial statements.

 

F-13


Table of Contents
(12)

The investment was on non-accrual status as of September 30, 2015.

(13)

The interest rate on these loans is subject to a base rate plus 2M LIBOR, which at September 30, 2015 was 0.26%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 2M LIBOR rate at September 30, 2015, the prevailing rate in effect at September 30, 2015 was the base rate plus the LIBOR floor.

(14)

The interest rate on these loans is subject to a base rate plus 6M LIBOR, which at September 30, 2015 was 0.53%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 6M LIBOR rate at September 30, 2015, the prevailing rate in effect at September 30, 2015 was the base rate plus the LIBOR floor.

(15)

Control Investments are defined by the 1940 Act as investments in companies in which the Company owns more than 25% of the voting securities or maintains greater than 50% of the board representation.

 

1M 1 Month
2M 2 Month
3M 3 Month
6M 6 Month

 

See accompanying notes to consolidated financial statements.

 

F-14


Table of Contents

Sierra Income Corporation

Consolidated Schedule of Investments

As of December 31, 2014

 

Company(1)

 

Industry(14)

 

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net Assets(2)
 

Non-controlled/non-affiliated
investments — 126.8%

           

AAR Intermediate Holdings, LLC

  Energy: Oil & Gas  

Senior Secured First

Lien Term Loans

         
   

LIBOR + 12.000%,

1.000% Floor(3)(4)

    6/30/2015      $ 1,006,234      $ 1,006,234      $ 997,872        0.2
   

 

Senior Secured First

Lien Term Loans

LIBOR + 12.000%,

1.000% Floor(3)(4)

    3/30/2019        11,697,470        10,938,261        10,703,771        2.2
   

Warrants to purchase

1.98% of outstanding

company equity(4)(5)

    3/30/2019        —          790,778        598,870        0.1
       

 

 

   

 

 

   

 

 

   
          12,703,704        12,735,273        12,300,513     

ALG USA Holdings, Inc.

  Hotel, Gaming & Leisure  

Senior Secured Second

Lien Term Loans

         
   

LIBOR + 9.000%,

1.250% Floor(6)

    2/28/2020        2,000,000        1,967,491        2,011,269        0.4
       

 

 

   

 

 

   

 

 

   
          2,000,000        1,967,491        2,011,269     

Allen Edmonds Corp.

  Retail  

Senior Secured Second

Lien Term Loans

         
   

LIBOR + 9.000%,

1.000% Floor(3)(4)

    5/27/2019        7,000,000        7,000,000        7,070,000        1.5
       

 

 

   

 

 

   

 

 

   
          7,000,000        7,000,000        7,070,000     

AM3 Pinnacle Corporation

  Media: Broadcasting & Subscription   Senior Secured First Lien Term Loans          
    10.000%(4)(7)     10/22/2018        6,533,857        6,533,857        6,533,857        1.3
       

 

 

   

 

 

   

 

 

   
          6,533,857        6,533,857        6,533,857     

American Pacific Corp.

  Chemicals, Plastics & Rubber   Senior Secured First Lien Term Loans          
    LIBOR + 6.000%, 1.000% Floor(6)     2/27/2019        7,940,000        7,888,650        8,056,333        1.7
       

 

 

   

 

 

   

 

 

   
          7,940,000        7,888,650        8,056,333     

Anaren, Inc.

  Aerospace & Defense  

Senior Secured Second

Lien Term Loans

LIBOR + 8.250%,

1.000% Floor(6)

    8/18/2021        10,000,000        9,908,218        9,935,749        2.0
       

 

 

   

 

 

   

 

 

   
          10,000,000        9,908,218        9,935,749     

Ascensus, Inc.

  Banking, Finance, Insurance & Real Estate  

Senior Secured Second

Lien Term Loans

LIBOR + 8.000%,

1.000% Floor(6)

    12/2/2020        4,000,000        3,948,926        4,000,000        0.8
       

 

 

   

 

 

   

 

 

   
          4,000,000        3,948,926        4,000,000     

Associated Asphalt Partners, LLC

  Chemicals, Plastics & Rubber   Senior Secured First          
    Lien Notes 8.500%(8)     2/15/2018        2,000,000        2,013,443        1,993,534        0.4
       

 

 

   

 

 

   

 

 

   
          2,000,000        2,013,443        1,993,534     

Asurion Corp.(9)

  Banking, Finance, Insurance & Real Estate  

Senior Secured Second

Lien Term Loans

LIBOR + 7.500%,

1.000% Floor(6)

    3/3/2021        7,000,000        6,935,000        7,000,000        1.4
       

 

 

   

 

 

   

 

 

   
          7,000,000        6,935,000        7,000,000     

 

F-15


Table of Contents

Company(1)

 

Industry

 

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net Assets(2)
 

Atrium Innovations, Inc.(10)

 

Healthcare & Pharmaceuticals

 

Senior Secured Second

Lien Term Loans

         
   

LIBOR + 6.750%,

1.000% Floor(6)

    8/13/2021        5,000,000        4,977,296        4,743,856        1.0
       

 

 

   

 

 

   

 

 

   
          5,000,000        4,977,296        4,743,856     

Bennu Oil & Gas, LLC

  Energy: Oil & Gas   Senior Secured Second Lien Term Loans          
    LIBOR + 7.500%, 1.250% Floor(6)     11/1/2018        5,525,389        5,520,837        4,570,180        0.9
       

 

 

   

 

 

   

 

 

   
          5,525,389        5,520,837        4,570,180     

Birch Communications, Inc.

  Telecommunications   Senior Secured First Lien Term Loans          
    LIBOR + 6.750%, 1.000% Floor(3)(4)     7/18/2020        14,572,917        14,300,451        14,042,615        2.9
       

 

 

   

 

 

   

 

 

   
          14,572,917        14,300,451        14,042,615     

Brundage-Bone Concrete Pumping, Inc.

 

Construction & Building

  Senior Secured First          
    Lien Notes 10.375%(8)     9/1/2021        7,500,000        7,641,129        7,600,484        1.6
       

 

 

   

 

 

   

 

 

   
          7,500,000        7,641,129        7,600,484     

Charming Charlie, Inc.

  Retail   Senior Secured First Lien Term Loans          
    LIBOR + 8.000%, 1.000% Floor(6)     12/24/2019        8,945,242        8,963,787        9,034,694        1.9
       

 

 

   

 

 

   

 

 

   
          8,945,242        8,963,787        9,034,694     

Collective Brands Finance, Inc.(9)(10)

  Retail   Senior Secured Second Lien Term Loans LIBOR + 7.500%, 1.000% Floor(6)     3/11/2022        6,000,000        6,018,670        5,669,782        1.2
       

 

 

   

 

 

   

 

 

   
          6,000,000        6,018,670        5,669,782     

Contmid, Inc.

  Automotive   Senior Secured Second Lien Term Loans LIBOR + 9.000%, 1.000% Floor(3)(4)     10/25/2019        14,317,924        14,317,924        14,317,924        2.9
       

 

 

   

 

 

   

 

 

   
          14,317,924        14,317,924        14,317,924     

ConvergeOne Holdings Corporation

  Telecommunications   Senior Secured Second Lien Term Loans          
    LIBOR + 8.000%, 1.000% Floor(3)(4)     6/17/2021        12,500,000        12,381,463        12,312,750        2.5
       

 

 

   

 

 

   

 

 

   
          12,500,000        12,381,463        12,312,750     

Cornerstone Chemical Company

 

Chemicals, Plastics & Rubber

  Senior Secured First          
    Lien Notes(8)(11)     3/15/2018        2,500,000        2,587,841        2,550,000        0.5
       

 

 

   

 

 

   

 

 

   
          2,500,000        2,587,841        2,550,000     

CP Opco, LLC

  Services: Consumer   Senior Secured First Lien Term Loans LIBOR + 6.750%, 1.000% Floor(4)(6)     9/30/2020        8,000,000        8,000,000        8,000,000        1.6
       

 

 

   

 

 

   

 

 

   
          8,000,000        8,000,000        8,000,000     

CRGT, Inc.

  High Tech Industries   Senior Secured First Lien Term Loans LIBOR + 6.500%, 1.000% Floor(4)(6)     12/19/2020        10,000,000        10,000,000        10,000,000        2.1
       

 

 

   

 

 

   

 

 

   
          10,000,000        10,000,000        10,000,000     

Deltek, Inc.

  High Tech Industries   Senior Secured Second Lien Term Loans LIBOR + 8.750%, 1.250% Floor(6)     10/10/2019        3,000,000        2,981,523        3,060,000        0.6
       

 

 

   

 

 

   

 

 

   
          3,000,000        2,981,523        3,060,000     

 

F-16


Table of Contents

Company(1)

 

Industry

 

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net Assets(2)
 

Drew Marine Partners LP

  Transportation: Cargo   Senior Secured Second Lien Term Loans          
    LIBOR + 7.000%, 1.000% Floor(6)     5/19/2021        10,000,000        10,078,927        10,033,409        2.1
       

 

 

   

 

 

   

 

 

   
          10,000,000        10,078,927        10,033,409     

Dynamic Energy Services International, LLC

  Energy: Oil & Gas   Senior Secured First Lien Term Loans          
    LIBOR + 8.500%, 1.000% Floor(3)(4)     3/6/2018        9,625,000        9,625,000        9,338,439        1.9
       

 

 

   

 

 

   

 

 

   
          9,625,000        9,625,000        9,338,439     

EarthLink, Inc.(10)

  Telecommunications   Senior Secured First          
    Lien Notes 7.375%(8)(11)     6/1/2020        2,450,000        2,439,171        2,462,250        0.5
       

 

 

   

 

 

   

 

 

   
          2,450,000        2,439,171        2,462,250     

Encompass Digital Media, Inc.(9)

  Telecommunications   Senior Secured Second Lien Term Loans          
    LIBOR + 7.750%, 1.000% Floor(6)     6/6/2022        1,500,000        1,486,019        1,500,568        0.3
       

 

 

   

 

 

   

 

 

   
          1,500,000        1,486,019        1,500,568     

F.H.G. Corp.

  Healthcare & Pharmaceuticals   Senior Secured First Lien Term Loans          
    LIBOR + 9.500%, 1.000% Floor(3)(4)     4/28/2019        15,000,000        15,000,000        14,880,354        3.1
       

 

 

   

 

 

   

 

 

   
          15,000,000        15,000,000        14,880,354     

F.H.G. Corp. Cornerstone Research

  Healthcare & Pharmaceuticals   Common Stock(4)(5)          
          —          300,000        63,169        0.0
       

 

 

   

 

 

   

 

 

   
          —          300,000        63,169     

Flexera Software, Inc.(9)

  High Tech Industries   Senior Secured Second Lien Term Loans          
    LIBOR + 7.000%, 1.000% Floor(6)     4/2/2021        5,000,000        5,018,504        4,852,592        1.0
       

 

 

   

 

 

   

 

 

   
          5,000,000        5,018,504        4,852,592     

Gastar Exploration USA, Inc.(10)

  Energy: Oil & Gas   Senior Secured First          
    Lien Notes 8.625%(8)(11)     5/15/2018        5,400,000        5,413,659        4,731,750        1.0
       

 

 

   

 

 

   

 

 

   
          5,400,000        5,413,659        4,731,750     

Genex Services, Inc.(9)

  Banking, Finance, Insurance & Real   Senior Secured Second Lien Term Loans          
  Estate   LIBOR + 7.750%, 1.000% Floor(6)     5/30/2022        9,500,000        9,531,763        9,299,753        1.9
       

 

 

   

 

 

   

 

 

   
          9,500,000        9,531,763        9,299,753     

Green Field Energy Services, Inc.

  Energy: Oil & Gas   Senior Secured First Lien Notes 13.000%(4)(8)(12)     11/15/2016        766,616        755,260        237,651        0.1
   

Warrants/Equity(4)(5)

    11/15/2021        —          29,000        —          0.0
       

 

 

   

 

 

   

 

 

   
          766,616        784,260        237,651     

GTCR Valor Companies, Inc.

  High Tech Industries   Senior Secured First Lien Term Loans          
    LIBOR + 5.000%, 1.000% Floor(6)     5/30/2021        7,968,616        7,892,569        7,788,079        1.6

 

F-17


Table of Contents

Company(1)

 

Industry

 

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net Assets(2)
 
    Senior Secured Second Lien Term Loans LIBOR + 8.500%, 1.000% Floor(6)     11/30/2021        4,000,000        3,961,852        3,914,693        0.8
       

 

 

   

 

 

   

 

 

   
          11,968,616        11,854,421        11,702,772     

HBC Holdings, LLC

 

Wholesale

  Senior Secured First Lien Term Loans          
    LIBOR + 5.750%, 1.000% Floor(4)(6)     3/30/2020        14,962,500        14,962,500        14,962,500        3.1
       

 

 

   

 

 

   

 

 

   
          14,962,500        14,962,500        14,962,500     

Hill International, Inc.

 

Construction & Building

  Senior Secured First Lien Term Loans          
    LIBOR + 6.750%, 1.000% Floor(4)(6)     9/25/2020        16,957,500        16,957,500        16,957,457        3.5
       

 

 

   

 

 

   

 

 

   
          16,957,500        16,957,500        16,957,457     

Holland Acquisition Corp.

  Energy: Oil & Gas   Senior Secured First Lien Term Loans          
    LIBOR + 9.000%, 1.000% Floor(6)     5/29/2018        5,000,000        4,921,900        4,599,148        0.9
       

 

 

   

 

 

   

 

 

   
          5,000,000        4,921,900        4,599,148     

Ignite Restaurant Group, Inc.

 

Hotel, Gaming & Leisure

  Senior Secured First Lien Term Loans          
    LIBOR + 7.000%, 1.000% Floor(6)     2/13/2019        11,970,000        11,799,221        11,970,000        2.5
       

 

 

   

 

 

   

 

 

   
          11,970,000        11,799,221        11,970,000     

Integra Telecom, Inc.

  Telecommunications   Senior Secured Second Lien Term Loans          
    LIBOR + 8.500%, 1.250% Floor(3)(4)     2/22/2020        735,455        733,682        728,204        0.2
       

 

 

   

 

 

   

 

 

   
          735,455        733,682        728,204     

Interface Security Systems, Inc.

  Services: Consumer   Senior Secured First Lien Notes 9.250%(4)(8)     1/15/2018        3,417,000        3,463,712        3,484,637        0.7
       

 

 

   

 

 

   

 

 

   
          3,417,000        3,463,712        3,484,637     

IronGate Energy Services, LLC

  Energy: Oil & Gas   Senior Secured First Lien Notes 11.000%(8)     7/1/2018        3,000,000        2,957,768        2,588,307        0.5
       

 

 

   

 

 

   

 

 

   
          3,000,000        2,957,768        2,588,307     

Isola USA(9)

  High Tech Industries   Senior Secured First          
    Lien Term Loans LIBOR + 8.250%, 1.000% Floor(6)     11/29/2018        5,874,528        5,999,752        5,931,034        1.2
       

 

 

   

 

 

   

 

 

   
          5,874,528        5,999,752        5,931,034     

JAC Holdings Corp.

  Automotive   Senior Secured First Lien Notes 11.500%(4)(8)     10/1/2019        12,000,000        12,000,000        12,000,000        2.5
       

 

 

   

 

 

   

 

 

   
          12,000,000        12,000,000        12,000,000     

Jordan Reses Supply Company LLC

  Healthcare & Pharmaceuticals   Senior Secured Second Lien Term Loans          
    LIBOR + 11.000%, 1.000% Floor(3)(4)     4/24/2020        5,000,000        5,000,000        5,000,000        1.0
       

 

 

   

 

 

   

 

 

   
          5,000,000        5,000,000        5,000,000     

Kik Custom Products, Inc.

  Consumer goods: Non-durable   Senior Secured Second Lien Term Loans          
    LIBOR + 8.250%, 1.250% Floor(13)     10/29/2019        5,000,000        4,991,433        5,006,500        1.0
       

 

 

   

 

 

   

 

 

   
          5,000,000        4,991,433        5,006,500     

Linc Energy Finance (USA), Inc.

  Energy: Oil & Gas   Senior Secured Second          
    Lien Notes 12.500%(4)(8)     10/31/2017        500,000        498,615        504,137        0.1

 

F-18


Table of Contents

Company(1)

 

Industry

 

Type of Investment

  Maturity     Par
Amount
    Cost     Fair Value     % of
Net Assets(2)
 
    Senior Secured Second Lien Notes 12.500%(4)     10/31/2017        500,000        487,623        504,137        0.1
       

 

 

   

 

 

   

 

 

   
          1,000,000        986,238        1,008,274     

Liquidnet Holdings, Inc.

 

Banking, Finance, Insurance & Real Estate

  Senior Secured First Lien Term Loans          
    LIBOR + 6.750%, 1.000% Floor(6)     5/22/2019        6,825,000        6,732,689        6,564,518        1.4
       

 

 

   

 

 

   

 

 

   
          6,825,000        6,732,689        6,564,518     

Livingston International, Inc.(9)(10)

 

Transportation: Cargo

  Senior Secured Second Lien Term Loans          
    LIBOR + 7.750%, 1.250% Floor(6)