Sierra Income Corp - FORM 10-Q

Attached files

file	filename
EX-32.1 - EXHIBIT 32.1 - Sierra Income Corp	ex321.htm
EX-31.2 - EXHIBIT 31.2 - Sierra Income Corp	ex312.htm
EX-31.1 - EXHIBIT 31.1 - Sierra Income Corp	ex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 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 March 31, 2017



o	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.)
280 Park Avenue, 6th Floor East, New York, NY 10017
(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 Website, 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 o No o

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



Large accelerated filer	o	Accelerated filer	o
Non-accelerated filer (Do not check if a smaller reporting company)	x	Smaller reporting company	o
Emerging growth company	x
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Securities Exchange Act of 1934). Yes o No x

As of May 8, 2017, the Registrant had 96,835,276 shares of common stock, $0.001 par value, outstanding.

Table of Contents

TABLE OF CONTENTS



Part I. Financial Information
Item 1. Financial Statements	F-1
Consolidated Statements of Assets and Liabilities as of March 31, 2017 (unaudited) and December 31, 2016	F-1
Consolidated Statements of Operations for the three months ended March 31, 2017 (unaudited) and 2016 (unaudited)	F-2
Consolidated Statements of Changes in Net Assets for the three months ended March 31, 2017 (unaudited) and 2016 (unaudited)	F-3
Consolidated Statements of Cash Flows for the three months ended March 31, 2017 (unaudited) and 2016 (unaudited)	F-4
Consolidated Schedule of Investments as of March 31, 2017 (unaudited)	F-5
Consolidated Schedule of Investments as of December 31, 2016	F-13
Notes to Consolidated Financial Statements (unaudited)	F-21
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	1
Item 3. Quantitative and Qualitative Disclosures About Market Risk	17
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	19
Item 3. Defaults Upon Senior Securities	19
Item 4. Mine Safety Disclosures	20
Item 5. Other Information	20
Item 6. Exhibits	20
SIGNATURES	21

Table of Contents

Sierra Income Corporation

Consolidated Statements of Assets and Liabilities



	As of
	March 31, 2017			December 31, 2016
ASSETS	(unaudited)
Investments at fair value
Non-controlled/non-affiliated investments (amortized cost of $938,890,614 and $921,626,572, respectively)	$	909,381,097		$	885,400,856
Controlled/affiliated investments (amortized cost of $130,897,334 and $104,855,866, respectively)	122,668,859			97,743,466
Total investments at fair value	1,032,049,956			983,144,322
Cash and cash equivalents	52,449,388			99,400,794
Cash collateral on total return swap (Note 5)	88,800,000			79,620,942
Interest receivable from non-controlled/non-affiliated investments	8,350,433			10,251,559
Due from affiliate (Note 7)	6,642,273			7,892,273
Receivable due on total return swap (Note 5)	1,167,521			1,289,163
Interest receivable from controlled/affiliated investments	495,360			1,028,321
Receivable for Company shares sold	426,000			533,123
Unsettled trades receivable	9,695,905			368,819
Prepaid expenses and other assets	192,916			201,932
Total assets	$	1,200,269,752		$	1,183,731,248

LIABILITIES
Revolving credit facilities payable (net of deferred financing costs of $4,012,063 and $4,340,533, respectively) (Note 6)	$	395,987,937		$	385,659,467
Unrealized depreciation on total return swap (Note 5)	13,751,686			13,647,330
Base Management fee payable (Note 7)	5,208,569			5,138,107
Accounts payable and accrued expenses	1,427,606			1,839,497
Incentive fees payable (Note 7)	548,805			1,405,419
Interest payable	826,172			1,230,530
Administrator fees payable	793,529			850,678
Unsettled trades payable	1,840,000			466,727
Deferred tax liability	542,194			244,622
Due to affiliate (Note 7)	—			135,784
Total liabilities	$	420,926,498		$	410,618,161

Commitments (Note 11)

NET ASSETS
Common shares, par value $0.001 per share, 250,000,000 common shares authorized, 96,265,797 and 94,666,418 common shares issued and outstanding, respectively	$	96,266		$	94,666
Capital in excess of par value	843,764,988			830,738,206
Accumulated distribution in excess of net realized gain/(loss) from investments and total return swap	(30,808,034		)	(20,333,057		)
Accumulated undistributed net investment income	18,235,306			19,756,740
Net unrealized depreciation on investments and total return swap, net of provision for taxes of $297,572 and $54,205, respectively	(51,945,272		)	(57,143,468		)
Total net assets	779,343,254			773,113,087
Total liabilities and net assets	$	1,200,269,752		$	1,183,731,248

NET ASSET VALUE PER COMMON SHARE	$	8.10		$	8.17

See accompanying notes to the consolidated financial statements.

F-1

Table of Contents

Sierra Income Corporation

Consolidated Statements of Operations



	Three Months Ended March 31,
	2017			2016
INVESTMENT INCOME	(unaudited)			(unaudited)
Interest from investments
Non-controlled/non-affiliated investments:
Cash	$	19,715,289		$	19,320,321
Payment-in-kind	1,815,049			1,572,630
Controlled/affiliated investments:
Cash	2,432,801			931,000
Payment-in-kind	64,598			—
Total interest income	24,027,737			21,823,951
Fee income (Note 12)	2,190,200			1,395,212
Interest from cash and cash equivalents	12,654			7,342
Total investment income	26,230,591			23,226,505
EXPENSES
Base management fee	5,208,569			4,797,629
Interest and financing expenses	3,596,864			3,440,717
Incentive fee	548,806			2,271,763
General and administrative expenses	1,229,349			1,489,963
Administrator expenses	793,529			583,206
Offering costs	521,684			763,199
Professional fees	586,043			563,220
Organizational and offering costs reimbursed to Affiliate (Note 7)	—			—
Total expenses	12,484,844			13,909,697
Net expense support reimbursement (Note 7)	—			(5,204,896		)
Net expenses	12,484,844			8,704,801
NET INVESTMENT INCOME	13,745,747			14,521,704
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
Net realized gain/(loss) from non-controlled/non-affiliated investments	(13,194,328		)	69,938
Net realized gain on total return swap (Note 5)	2,719,351			2,429,912
Net change in unrealized appreciation/(depreciation) on non-controlled/non-affiliated investments	6,716,199			(7,971,840		)
Net change in unrealized appreciation/(depreciation) on controlled/affiliated investments	(1,116,075		)	(27,098		)
Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)	(104,356		)	(2,675,311		)
Change in provision for deferred taxes on unrealized gain/(loss) on investments	(297,572		)	(72,585		)
Net gain/(loss) on investments	(5,276,781		)	(8,246,984		)
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	8,468,966		$	6,274,720
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.09		$	0.07
WEIGHTED AVERAGE - BASIC AND DILUTED NET INVESTMENT INCOME PER COMMON SHARE	$	0.14		$	0.17
WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED (Note 10)	95,382,267			84,845,431
DISTRIBUTIONS DECLARED PER COMMON SHARE	$	0.16		$	0.20

See accompanying notes to the consolidated financial statements.

F-2

Table of Contents

Sierra Income Corporation

Consolidated Statements of Changes in Net Assets



	Three Months Ended March 31,
	2017			2016
INCREASE/(DECREASE) FROM OPERATIONS	(unaudited)			(unaudited)
Net investment income	$	13,745,747		$	14,521,704
Net realized gain/(loss) on investments	(13,194,328		)	69,938
Net realized gain on total return swap (Note 5)	2,719,351			2,429,912
Net change in unrealized appreciation/(depreciation) on investments	5,600,124			(7,998,938		)
Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)	(104,356		)	(2,675,311		)
Change in provision for deferred taxes on unrealized gain on investments	(297,572		)	(72,585		)
Net increase/(decrease) in net assets resulting from operations	8,468,966			6,274,720
SHAREHOLDER DISTRIBUTIONS
Distributions from net investment income (Note 2)	(15,267,181		)	(17,021,554		)
Distributions from return of capital (Note 2)	—			—
Distributions from net realized gains	—			—
Net decrease in net assets from shareholder distributions	(15,267,181		)	(17,021,554		)
COMMON SHARE TRANSACTIONS
Issuance of common shares, net of underwriting costs	6,071,081			31,597,060
Issuance of common shares pursuant to distribution reinvestment plan	7,085,971			8,083,797
Repurchase of common shares	(128,670		)	—
Net increase in net assets resulting from common share transactions	13,028,382			39,680,857
Total increase in net assets	6,230,167			28,934,023
Net assets at beginning of period	773,113,087			674,124,099
Net assets at end of period⁽¹⁾	$	779,343,254		$	703,058,122

Net asset value per common share	$	8.10		$	8.04
Common shares outstanding, beginning of period	94,666,418			82,623,649
Issuance of common shares	743,698			3,867,185
Issuance of common shares pursuant to distribution reinvestment plan	871,436			990,727
Repurchase of common shares	(15,755		)	—
Common shares outstanding, end of period	96,265,797			87,481,561



(1)	Net assets at end of period include accumulated undistributed net investment income of $18,235,306 and $18,678,496 for three months ended March 31, 2017 and 2016, respectively.

See accompanying notes to the consolidated financial statements.

F-3

Table of Contents

Sierra Income Corporation

Consolidated Statements of Cash Flows



	Three Months Ended March 31,
	2017			2016
	(unaudited)			(unaudited)
Cash flows from operating activities
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:	$	8,468,966		$	6,274,720
ADJUSTMENT TO RECONCILE NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:
Payment-in-kind interest income	(1,879,647		)	(1,572,630		)
Net amortization of premium on investments	(305,936		)	(169,352		)
Amortization of deferred financing costs	347,220			313,470
Net realized (gain)/loss on investments	13,194,328			(69,938		)
Net change in unrealized (appreciation)/depreciation on investments	(5,600,124		)	7,998,938
Net change in unrealized (appreciation)/depreciation on total return swap (Note 5)	104,356			2,675,311
Purchases and originations	(100,087,565		)	(79,189,827		)
Proceeds from sale of investments and principal repayments	45,773,310			48,385,707
(Increase)/decrease in operating assets:
Cash collateral on total return swap (Note 5)	(9,179,058		)	(5,900,000		)
Unsettled trades receivable	(9,327,086		)	(59,007		)
Due from affiliate (Note 7)	1,250,000			(2,104,897		)
Interest receivable from non-controlled/non-affiliated investments	1,901,126			786,114
Interest receivable from controlled/affiliated investments	532,961			—
Receivable for Company shares sold	107,123			—
Receivable due on total return swap (Note 5)	121,642			(393,945		)
Prepaid expenses and other assets	9,016			66,949
Increase/(decrease) in operating liabilities:
Unsettled trades payable	1,373,273			22,587,078
Management fee payable	70,462			111,533
Accounts payable and accrued expenses	(411,891		)	(578,266		)
Incentive fees payable	(856,614		)	476,495
Administrator fees payable	(57,149		)	65,276
Interest payable	(404,358		)	254,292
Deferred tax liability	297,572			72,585
Due to affiliate (Note 7)	(135,784		)	(695,533		)
NET CASH USED IN OPERATING ACTIVITIES	(54,693,857		)	(664,927		)
Cash flows from financing activities:
Borrowings under revolving credit facility	60,000,000			—
Repayments of revolving credit facility	(50,000,000		)	(25,000,000		)
Proceeds from issuance of common stock, net of underwriting costs	6,071,081			31,597,060
Payment of cash distributions	(8,181,210		)	(8,937,757		)
Financing costs paid	(18,750		)	(18,750		)
Repurchase of common shares	(128,670		)	—
NET CASH PROVIDED BY FINANCING ACTIVITIES	7,742,451			(2,359,447		)
TOTAL INCREASE IN CASH	(46,951,406		)	(3,024,374		)
CASH AT BEGINNING OF PERIOD	99,400,794			93,658,142
CASH AT END OF PERIOD	$	52,449,388		$	90,633,768
Supplemental Information:
Cash paid during the year for interest	$	4,001,222		$	3,186,425
Supplemental non-cash information:
Non-cash purchase of investments	$	13,231,240		$	—
Non-cash sale of investments	13,231,240			—
Payment-in-kind interest income	1,879,647			1,572,630
Amortization of deferred financing costs	347,220			313,470
Net amortization of premium on investments	305,939			169,352
Issuance of common shares in connection with distribution reinvestment plan	7,085,971			8,083,797

See accompanying notes to the consolidated financial statements.

F-4

Table of Contents

Sierra Income Corporation

Consolidated Schedule of Investments

As of March 31, 2017

(unaudited)



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value		% of Net Assets⁽²⁾
Non-controlled/non-affiliated investments– 116.7%
AAAHI Acquisition Corporation	Transportation: Consumer	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(3) (4)}	12/15/2021	$	7,234,872	$	7,234,872	$	7,234,872	0.9%
		Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(3) (4) (5)}	12/14/2018	97,663		97,663		97,663		0.0%
				7,332,535		7,332,535		7,332,535
AAR Intermediate Holdings, LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor^{(3) (4) (5)}	9/30/2021	251,558		251,558		251,558		0.0%
		Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor^{(3) (4)}	9/30/2021	3,144,481		3,144,481		3,144,481		0.4%
		Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor, PIK^{(3) (4)}	9/30/2021	6,755,019		5,597,023		6,315,943		0.8%
		Membership Units ^{(4) (6) (7)}		—		—		—		0.0%
				10,151,058		8,993,062		9,711,982
Advanced Diagnostic Holdings, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 8.750%, 0.875% Floor^{(3) (4)}	12/11/2020	14,970,966		14,970,966		15,270,384		2.0%
				14,970,966		14,970,966		15,270,384
Alpha Media LLC	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor⁽⁸⁾	2/25/2022	6,825,765		6,559,392		6,673,619		0.9%
				6,825,765		6,559,392		6,673,619
American Dental Partners, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4)}	9/25/2023	7,250,000		7,250,000		7,250,000		0.9%
				7,250,000		7,250,000		7,250,000
Amerijet Holdings, Inc.	Transportation: Cargo	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor^{(3) (4)}	7/15/2021	15,881,250		15,881,250		16,066,425		2.1%
				15,881,250		15,881,250		16,066,425
AMMC CLO 17, Limited Series 2015-17A	Multi-Sector Holdings	Subordinated Note 18.501% effective yield^{(1) (6) (9) (10)}	11/15/2027	5,000,000		3,519,589		3,895,250		0.5%
				5,000,000		3,519,589		3,895,250
Anaren, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	8/18/2021	10,000,000		9,932,639		10,000,000		1.3%
				10,000,000		9,932,639		10,000,000
Answers Corporation	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(5) (8) (11)}	9/8/2017	548,014		548,014		548,014		0.1%
				548,014		548,014		548,014
APCO Holdings, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor^{(4) (8)}	1/31/2022	4,266,182		4,157,983		4,266,182		0.5%
				4,266,182		4,157,983		4,266,182
Apidos CLO XXIV, Series 2016-24A	Multi-Sector Holdings	Subordinated Note 13.809% effective yield^{(1) (4) (6) (9) (10)}	7/20/2027	21,763,518		17,559,895		16,723,087		2.1%
				21,763,518		17,559,895		16,723,087
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor^{(3) (11)}	3/3/2021	7,000,000		6,953,611		7,000,000		0.9%
				7,000,000		6,953,611		7,000,000
Aviation Technical Services, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4) (12)}	3/31/2022	25,000,000		25,000,000		25,250,000		3.2%
				25,000,000		25,000,000		25,250,000

F-5

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
Backcountry.com, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(3) (4) (12)}	6/30/2020	29,739,618	29,739,618	30,037,014	3.9%
				29,739,618	29,739,618	30,037,014
Birch Communications, Inc.	Telecommunications	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(4) (8)}	7/17/2020	13,628,612	13,458,082	13,536,482	1.7%
				13,628,612	13,458,082	13,536,482
Black Angus Steakhouses LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(4) (5) (8) (12)}	4/24/2020	669,643	669,643	496,964	0.1%
		Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(4) (8) (12)}	4/24/2020	19,508,929	19,508,929	18,765,638	2.4%
				20,178,572	20,178,572	19,262,602
Brundage-Bone Concrete Pumping, Inc.	Construction & Building	Senior Secured First Lien Note 10.375%⁽⁹⁾	9/1/2021	7,500,000	7,603,205	8,061,600	1.0%
				7,500,000	7,603,205	8,061,600
Charming Charlie LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor⁽³⁾	12/24/2019	7,908,765	7,919,956	6,448,886	0.8%
				7,908,765	7,919,956	6,448,886
ConvergeOne Holdings Corp.	Telecommunications	Senior Secured Second Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4) (11)}	6/17/2021	12,500,000	12,414,828	12,500,000	1.6%
				12,500,000	12,414,828	12,500,000
Cornerstone Chemical Company	Chemicals, Plastics & Rubber	Senior Secured First Lien Note 9.375%^{(9) (13)}	3/15/2018	4,970,000	4,893,285	4,970,000	0.6%
				4,970,000	4,893,285	4,970,000
CP Opco, LLC	Services: Consumer	Revolver LIBOR + 4.500%, 1.000% Floor^{(3) (4) (5)}	3/31/2019	338,974	338,974	338,974	0.0%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK^{(3) (4)}	4/28/2017	20,486	20,486	20,486	0.0%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK^{(3) (4)}	3/31/2019	728,334	728,334	728,334	0.1%
		Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor, PIK^{(3) (4) (14)}	3/31/2019	1,526,410	717,016	763,205	0.1%
		Preferred Units LIBOR + 9.500%, 1.000% Floor, PIK^(4)(14)	3/31/2019	—	—	—	0.0%
		Common Units ^{(4) (7)}		—	—	—	0.0%
				2,614,204	1,804,810	1,850,999
DHISCO Electronic Distribution, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.500% Floor^{(4) (8)}	11/10/2019	2,380,952	2,380,952	2,380,952	0.3%
		Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.500% Floor, PIK^{(4) (8)}	11/10/2019	8,669,099	8,669,099	8,669,099	1.1%
		Senior Secured First Lien Term Loan LIBOR + 10.250%, 1.500% Floor, PIK^{(4) (8) (14)}	11/10/2019	7,465,518	7,257,481	3,732,759	0.5%
		Senior Secured First Lien Term Loan LIBOR + 11.250%, 1.500% Floor, PIK^{(4) (8) (14)}	11/10/2019	6,971,237	2,940,892	—	0.0%
		Common Units, Class A ^{(4) (7)}		—	769,231	—	0.0%
				25,486,806	22,017,655	14,782,810
Drew Marine Partners, LP	Transportation: Cargo	Senior Secured Second Lien Term Loan LIBOR + 7.000%, 1.000% Floor⁽³⁾	5/19/2021	10,000,000	10,051,480	9,872,800	1.3%
				10,000,000	10,051,480	9,872,800
Dryden 38 Senior Loan Fund - Series 2015-38A	Multi-Sector Holdings	Subordinated Note 16.680% effective yield ^{(1) (6) (9) (10)}	7/15/2027	7,000,000	4,979,061	4,989,600	0.6%
				7,000,000	4,979,061	4,989,600
Dryden 43 Senior Loan Fund - Series 2016-43A	Multi-Sector Holdings	Subordinated Note 14.828% effective yield ^{(1) (4) (6) (9) (10)}	7/20/2029	3,620,000	2,932,200	2,946,499	0.4%

F-6

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
				3,620,000	2,932,200	2,946,499
Dryden 49 Senior Loan Fund	Multi-Sector Holdings	Preferred Shares ^{(1) (4) (6)}		—	14,500,000	14,700,825	1.9%
				—	14,500,000	14,700,825
Dynamic Energy Services International LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loan 13.500% PIK + LIBOR⁽⁴⁾⁽⁸⁾	3/6/2018	8,961,005	8,961,005	7,627,697	1.0%
				8,961,005	8,961,005	7,627,697
Elite Comfort Solutions LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (5)}	1/15/2021	8,802,721	8,802,721	8,802,721	1.1%
				8,802,721	8,802,721	8,802,721
First Boston Construction Holdings, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Note 12.000%^{(4) (5)}	12/31/2020	6,105,000	6,105,000	6,105,000	0.8%
		Preferred Equity ^{(4) (7)}		—	1,526,250	1,526,250	0.2%
				6,105,000	7,631,250	7,631,250
FKI Security Group, LLC	Capital Equipment	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4)}	3/30/2020	11,843,750	11,843,750	11,843,750	1.5%
				11,843,750	11,843,750	11,843,750
Friedrich Holdings, Inc.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(4) (8)}	2/7/2023	13,806,751	13,806,751	13,806,751	1.8%
				13,806,751	13,806,751	13,806,751
Frontier Communications Corp.	Telecommunications	Senior Secured First Lien Note 10.500%^{(6) (9)}	9/15/2022	2,000,000	2,000,000	2,022,500	0.3%
				2,000,000	2,000,000	2,022,500
Genex Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor ^{(3) (11)}	5/30/2022	9,500,000	9,524,184	9,500,000	1.2%
				9,500,000	9,524,184	9,500,000
GK Holdings, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 10.250%, 1.000% Floor⁽³⁾	1/20/2022	10,000,000	10,000,000	10,100,000	1.3%
				10,000,000	10,000,000	10,100,000
Green Field Energy Services, Inc.	Energy: Oil & Gas	Senior Secured First Lien Note 13.000%^{(4) (9) (14)}	11/15/2016	766,616	754,615	122,658	0.0%
		Warrants ^{(4) (7)}		—	29,000	—	0.0%
				766,616	783,615	122,658
HBC Holdings LLC	Wholesale	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4)}	3/30/2020	12,937,500	12,937,500	12,329,826	1.6%
				12,937,500	12,937,500	12,329,826
Heligear Acquisition Co.	Aerospace & Defense	Senior Secured First Lien Note 10.250%^{(4) (9)}	10/15/2019	15,000,000	15,000,000	15,826,500	2.0%
				15,000,000	15,000,000	15,826,500
High Ridge Brands Co.	Consumer Goods: Non-Durable	Senior Secured First Lien Note 8.875%⁽⁹⁾	3/15/2025	2,000,000	2,000,000	2,000,000	0.3%
				2,000,000	2,000,000	2,000,000
Hill International, Inc.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 6.750%, 1.000% Floor^{(4) (8) (12)}	9/28/2020	16,575,000	16,575,000	16,575,000	2.1%
				16,575,000	16,575,000	16,575,000
Holland Acquisition Corp.	Energy: Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor⁽³⁾	5/29/2018	4,515,605	4,487,372	3,216,510	0.4%
				4,515,605	4,487,372	3,216,510
Hylan Datacom & Electrical LLC	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor^{(3) (4)}	7/25/2021	15,699,793	15,699,793	15,877,672	2.0%
				15,699,793	15,699,793	15,877,672
Ignite Restaurant Group, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor⁽³⁾	2/13/2019	8,364,050	8,302,358	7,583,266	1.0%
				8,364,050	8,302,358	7,583,266

F-7

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
IHS Intermediate, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	7/20/2022	25,000,000	25,000,000	24,973,000	3.2%
				25,000,000	25,000,000	24,973,000
Impact Sales, LLC	Services: Business	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(3) (4) (5)}	12/30/2021	4,890,625	4,890,625	4,890,625	0.6%
				4,890,625	4,890,625	4,890,625
Interface Security Systems Holdings, Inc.	Services: Consumer	Senior Secured First Lien Note 9.250%⁽⁹⁾	1/15/2018	3,417,000	3,430,300	3,395,644	0.4%
				3,417,000	3,430,300	3,395,644
Invision Diversified, LLC	Services: Business	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4) (12)}	6/30/2020	24,178,935	24,178,935	24,662,514	3.2%
				24,178,935	24,178,935	24,662,514
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 8.250%, 1.000% Floor ^{(3) (11)}	11/29/2018	5,418,190	5,467,852	5,049,699	0.6%
				5,418,190	5,467,852	5,049,699
Jordan Reses Supply Company, LLC	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 11.000%, 1.000% Floor^{(3) (4)}	4/24/2020	5,000,000	5,000,000	5,050,000	0.6%
				5,000,000	5,000,000	5,050,000
L&S Plumbing Partnership, Ltd.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4)}	2/15/2022	12,265,625	12,265,625	12,265,625	1.6%
				12,265,625	12,265,625	12,265,625
Liquidnet Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 6.750%, 1.000% Floor⁽³⁾	5/22/2019	6,037,500	5,992,958	6,072,578	0.8%
				6,037,500	5,992,958	6,072,578
Livingston International Inc.	Transportation: Cargo	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.250% Floor^{(3) (6) (11)}	4/17/2020	2,658,504	2,655,705	2,562,772	0.3%
				2,658,504	2,655,705	2,562,772
Loar Group Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 9.250%, 1.000% Floor⁽⁸⁾	7/12/2022	15,000,000	15,000,000	15,300,000	2.0%
				15,000,000	15,000,000	15,300,000
LSF9 Atlantis Holdings, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4)}	1/15/2021	9,500,000	9,423,406	9,629,675	1.2%
				9,500,000	9,423,406	9,629,675
LTCG Holdings Corp.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor⁽³⁾	6/6/2020	2,838,571	2,830,334	2,698,005	0.3%
				2,838,571	2,830,334	2,698,005
Magnetite XIX, Limited	Multi-Sector Holdings	Equity/Warrant ^{(1) (4) (6)}		—	8,166,667	8,166,667	1.0%
				—	8,166,667	8,166,667
Nathan's Famous, Inc.	Beverage & Food	Senior Secured First Lien Note 10.000%⁽¹³⁾	3/15/2020	7,000,000	7,000,000	7,507,500	1.0%
				7,000,000	7,000,000	7,507,500
Nation Safe Drivers Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.000%, 2.000% Floor^{(3) (4)}	9/29/2020	20,676,479	20,676,479	20,883,243	2.7%
				20,676,479	20,676,479	20,883,243
New Media Holdings II, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loan LIBOR + 6.250%, 1.000% Floor⁽³⁾	6/4/2020	17,997,890	17,984,559	17,997,890	2.3%
				17,997,890	17,984,559	17,997,890
Novetta Solutions, LLC	High Tech Industries	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor⁽³⁾	10/16/2023	11,000,000	10,907,995	10,689,140	1.4%
				11,000,000	10,907,995	10,689,140
Nuspire, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4) (5)}	11/8/2022	6,310,000	6,310,000	6,310,000	0.8%

F-8

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
				6,310,000	6,310,000	6,310,000
Omnitracs, Inc.	Telecommunications	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor⁽³⁾	5/25/2021	7,000,000	7,010,661	7,000,000	0.9%
				7,000,000	7,010,661	7,000,000
Oxford Mining Company, LLC	Metals & Mining	Senior Secured First Lien Term Loan LIBOR + 8.500%, 0.750% Floor, 3.000% PIK^{(3) (4)}	12/31/2018	20,889,280	20,889,280	20,837,058	2.7%
				20,889,280	20,889,280	20,837,058
Path Medical, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor^{(4) (8)}	10/11/2021	15,990,000	15,389,424	15,345,923	2.0%
		Warrants ^{(4) (7)}		—	669,709	669,709	0.1%
				15,990,000	16,059,133	16,015,632
Payless Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor^{(3) (14)}	3/11/2022	6,000,000	6,014,018	712,500	0.1%
				6,000,000	6,014,018	712,500
Peabody Energy Corporation	Metals & Mining	Senior Secured First Lien Note 6.000%^{(9) (13)}	3/31/2022	1,000,000	1,000,000	1,000,000	0.1%
				1,000,000	1,000,000	1,000,000
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loan LIBOR + 3.250%, 1.000% Floor^{(3) (4) (11)}	1/26/2023	2,000,000	1,840,000	1,840,000	0.2%
				2,000,000	1,840,000	1,840,000
PetroChoice Holdings, Inc.	Chemicals, Plastics & Rubber	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor ^{(3) (11)}	9/3/2023	9,000,000	9,000,000	9,000,000	1.2%
				9,000,000	9,000,000	9,000,000
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 5.750%, 1.000% Floor ^{(3) (11)}	7/27/2020	3,969,466	2,790,756	3,349,237	0.4%
				3,969,466	2,790,756	3,349,237
Press Ganey Holdings, Inc	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor ^{(8) (11)}	10/21/2024	6,500,000	6,473,806	6,472,505	0.8%
				6,500,000	6,473,806	6,472,505
PT Network, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4) (5)}	11/30/2021	5,805,834	5,805,834	5,805,834	0.7%
				5,805,834	5,805,834	5,805,834
Reddy Ice Corporation	Beverage & Food	Senior Secured Second Lien Term Loan LIBOR + 9.500%, 1.250% Floor^{(3) (4)}	10/1/2019	2,000,000	2,000,000	1,780,000	0.2%
				2,000,000	2,000,000	1,780,000
Research Now Group, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor⁽³⁾	3/18/2022	15,000,000	15,000,000	15,000,000	1.9%
				15,000,000	15,000,000	15,000,000
Resolute Investment Managers, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor⁽³⁾	4/30/2023	6,000,000	5,901,022	6,000,000	0.8%
				6,000,000	5,901,022	6,000,000
Response Team Holdings, LLC	Construction & Building	Preferred Equity 12% PIK^{(4) (6)} ⁽¹⁴⁾		—	3,384,734	996,255	0.1%
		Warrants ^{(4) (6) (7)}		—	257,407	—	0.0%
				—	3,642,141	996,255
Rhombus Cinema Holdings, LP	Media: Diversified & Production	Preferred Equity 10.000% PIK^{(4) (6)}		—	4,584,207	5,253,658	0.7%
		Equity ^{(4) (6) (7)}		—	3,162,793	3,835,540	0.5%
				—	7,747,000	9,089,198
School Specialty, Inc.	Wholesale	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor⁽³⁾	6/11/2019	8,785,060	8,762,577	8,785,060	1.1%
				8,785,060	8,762,577	8,785,060

F-9

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
Ship Supply Acquisition Corporation	Services: Business	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor^{(4) (8)}	7/31/2020	23,125,000	23,125,000	22,155,600	2.8%
				23,125,000	23,125,000	22,155,600
Simplified Logistics, LLC	Services: Business	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4)}	2/28/2022	7,500,000	7,500,000	7,500,000	1.0%
				7,500,000	7,500,000	7,500,000
Sizzling Platter, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor⁽³⁾	4/28/2020	15,000,000	15,000,000	15,150,000	1.9%
				15,000,000	15,000,000	15,150,000
SMART Financial Operations, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 10.000%, 1.000% Floor^{(3) (4) (5)}	11/22/2021	3,700,000	3,700,000	3,700,000	0.5%
		Equity ^{(4) (6) (7)}		—	1,000,000	1,000,000	0.1%
				3,700,000	4,700,000	4,700,000
Southwest Dealer Services, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor^{(3) (4)}	3/16/2020	2,504,094	2,504,094	2,504,094	0.3%
				2,504,094	2,504,094	2,504,094
SRS Software, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(3) (4) (5)}	2/17/2022	19,500,000	19,500,000	19,500,000	2.5%
				19,500,000	19,500,000	19,500,000
Survey Sampling International, LLC	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 9.000%, 1.000% Floor⁽³⁾	12/16/2021	24,000,000	24,000,000	24,000,000	3.1%
				24,000,000	24,000,000	24,000,000
TCH-2 Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor^{(8) (11)}	11/6/2021	6,000,000	5,936,892	5,974,680	0.8%
				6,000,000	5,936,892	5,974,680
Techniplas, LLC	Automotive	Senior Secured First Lien Note 10.000%^{(9) (13)}	5/1/2020	6,000,000	6,000,000	5,767,500	0.7%
				6,000,000	6,000,000	5,767,500
The Garretson Resolution Group, Inc.	Services: Business	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor⁽³⁾	5/22/2021	9,562,500	9,527,069	9,623,126	1.2%
				9,562,500	9,527,069	9,623,126
Touchtunes Interactive Networks, Inc.	Media: Diversified & Production	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	5/27/2022	7,500,000	7,500,000	7,575,000	1.0%
				7,500,000	7,500,000	7,575,000
Transocean Phoenix 2 Ltd.	Energy: Oil & Gas	Senior Secured First Lien Note 7.750%^{(4) (9) (13)}	10/15/2024	7,500,000	7,387,506	8,074,950	1.0%
				7,500,000	7,387,506	8,074,950
Truco Enterprises, LP	Beverage & Food	Senior Secured First Lien Term Loan LIBOR + 7.220%, 1.000% Floor^{(4) (8)}	4/26/2021	9,924,370	9,924,370	9,924,370	1.3%
				9,924,370	9,924,370	9,924,370
True Religion Apparel, Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 10.000%, 1.000% Floor⁽³⁾	1/30/2020	4,000,000	3,905,514	—	0.0%
				4,000,000	3,905,514	—
U.S. Auto Sales, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 11.750%, 1.000% Floor^{(4) (8) (12)}	6/5/2020	5,500,000	5,500,000	5,497,140	0.7%
				5,500,000	5,500,000	5,497,140
U.S. Well Services, LLC	Energy: Oil & Gas	Warrants ⁽⁷⁾	2/21/2019	—	173	—	0.0%
				—	173	—
Valence Surface Technologies, Inc.	Aerospace & Defense	Senior Secured First Lien Term Loan LIBOR + 5.500%, 1.000% Floor^{(4) (8)}	6/13/2019	4,250,144	4,238,581	4,144,740	0.5%
				4,250,144	4,238,581	4,144,740

F-10

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost		Fair Value		% of Net Assets⁽²⁾
Velocity Pooling Vehicle, LLC	Automotive	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(3) (4)}	5/13/2022	20,625,000	18,680,534		10,996,425		1.4%
				20,625,000	18,680,534		10,996,425
Verso Corporation	Media: Advertising, Printing & Publishing	Common Stock ^{(7) (15)}		—	2,238,108		1,119,054		0.1%
				—	2,238,108		1,119,054
VOYA CLO 2016-2, LTD.	Multi-Sector Holdings	Subordinated Note 13.455% effective yield ^{(1) (6) (9) (10)}	7/19/2028	22,842,661	19,612,580		18,799,510		2.4%
				22,842,661	19,612,580		18,799,510
Watermill-QMC Holdings, Corp.	Automotive	Partnership Interest ^{(4) (6) (7)}		—	850,136		1,102,626		0.1%
				—	850,136		1,102,626
Z Gallerie, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(4) (8)}	10/8/2020	4,670,731	4,635,402		4,670,730		0.6%
				4,670,731	4,635,402		4,670,730

Total non-controlled/non-affiliated investments					$	938,890,614	$	909,381,097	116.7%

Controlled/affiliated investments– 15.7%⁽¹⁶⁾
Access Media Holdings, LLC	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loan 5.000%, 5.000% PIK⁽⁴⁾	7/22/2020	7,114,205	7,114,205		7,114,205		0.9%
		Common Stock ^{(4) (6) (7)}		—	—		—		0.0%
		Preferred Equity Series A ^{(4) (6) (7)}		—	1,400,000		—		0.0%
		Preferred Equity Series AA ^{(4) (6) (7)}		—	700,000		—		0.0%

				7,114,205	9,214,205		7,114,205
Capstone Nutrition, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 12.500%, 1.000% Floor, PIK^{(4) (8) (14)}	4/28/2019	26,192,319	22,489,086		16,801,325		2.2%
		Common Stock ^{(4) (7)}		—	9		—		0.0%
		Common Stock, Class B ^{(4) (7)}		—	—		—		0.0%
		Common Stock, Class C ^{(4) (7)}		—	300,002		—		0.0%
				26,192,319	22,789,097		16,801,325
MCM Capital Office Park Holdings LLC	Banking, Finance, Insurance & Real Estate	Equity ^{(6) (7)}		—	7,344,156		7,344,156		0.9%
				—	7,344,156		7,344,156
Nomida, LLC	Construction & Building	Senior Secured First Lien Term Loan 10.000%⁽⁶⁾	12/1/2020	8,100,000	8,100,000		8,100,000		1.0%
		Equity ^{(6) (7)}		—	5,400,000		5,400,000		0.7%
				8,100,000	13,500,000		13,500,000
Sierra Senior Loan Strategy JV I LLC	Multi-Sector Holdings	Equity		63,628,750	63,628,750		63,513,166		8.1%
				63,628,750	63,628,750		63,513,166
TwentyEighty, Inc.	Services: Business	Senior Secured First Lien Term Loan 0.250%, 8.750% PIK⁽³⁾	3/31/2020	5,733,754	5,083,054		5,039,855		0.6%
		Senior Secured First Lien Term Loan 1.000%, 7.000% PIK⁽³⁾	3/31/2020	6,352,824	6,352,824		6,352,824		0.8%
		Senior Secured First Lien Term Loan LIBOR + 3.500%, 1.000% Floor, 4.500% PIK⁽³⁾	3/31/2020	3,003,327	2,985,248		3,003,328		0.4%
		Equity/Warrants ^{(6) (7)}		—	—		—		0.0%
				15,089,905	14,421,126		14,396,007

Total controlled/affiliated investments					$	130,897,334	$	122,668,859	15.7%

Money market fund– 1.3%

F-11

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost		Fair Value			% of Net Assets⁽²⁾
Federated Institutional Prime Obligations Fund		Money Market 0.88% ⁽¹⁵⁾		10,514,676	$	10,514,676	$	10,514,676		1.3%
Total money market fund					$	10,514,676	$	10,514,676		1.3%

Derivative Instrument - Long Exposure

Total return swap with Citibank, N.A. (Note 5)		Total Return Swap			$	264,539,720	$	(13,751,686	)
					$	264,539,720	$	(13,751,686	)



(1)	All of the Company's investments are domiciled in the United States except for Livingston International Inc., which is domiciled in Canada and AMMC CLO 17, Limited Series 2015-17A, Apidos CLO XXIV, Series 2016-24A, Dryden 38 Senior Loan Fund, Series 2015-38A, Dryden 43 Senior Loan Fund, Series 2016-43A, Dryden 49 Senior Loan Fund, Magnetite XIX, Limited and VOYA CLO 2016-2, LTD. which are all domiciled in the Cayman Islands. All foreign investments were denominated in US Dollars.
(2)	Percentage is based on net assets of $779,343,254 as of March 31, 2017.
(3)	The interest rate on these loans is subject to a base rate plus 3 Month “3M” LIBOR, which at March 31, 2017 was 1.15%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 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)	The investment has an unfunded commitment as of March 31, 2017. For further details see Note 11. Fair value includes an analysis of the unfunded commitment.
(6)	The investment is not a qualifying asset under Section 55 of the Investment Company Act of 1940, as amended, (the "1940 Act"). Non-qualifying assets represent 16.6% of the Company's portfolio at fair value.
(7)	Security is non-income producing.
(8)	The interest rate on these loans is subject to a base rate plus 1 Month "1M" LIBOR, which at March 31, 2017 was 0.98%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.
(9)	Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities represent a fair value of $98,595,298 or 12.7% of net assets as of March 31, 2017 and are considered restricted.
(10)	This investment is in the equity class of a collateralized loan obligation ("CLO"). The CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions that have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
(11)	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 Answers Corporation, Asurion LLC., ConvergeOne Holdings Corp., Genex Holdings, Inc., Isola USA Corp., Livingston International, Inc., Petco Animal Supplies, Inc., PetroChoice Holdings, LLC, Preferred Proppants, LLC, Press Ganey Holdings, Inc., and TCH-2 Holdings, LLC is $14,805,889 or 1.9%, $9,992,513 or 1.3%, $14,956,202 or 1.9%, $13,663,924 or 1.8%, $8,595,699 or 1.1%, $4,532,215 or 0.6%, $10,624,067 or 1.4%, $14,000,000 or 1.8%, $6,183,464 or 0.8%, $12,945,005 or 1.7%, and $10,648,484 or 1.4%, respectively, of Net Assets as of March 31, 2017.
(12)	A portion of this investment was sold via a participation agreement.
(13)	Represents securities in Level 2 in the ASC 820 table (see Note 4).
(14)	The investment was on non-accrual status as of March 31, 2017.
(15)	Represents securities in Level 1 in the ASC 820 table (see Note 4).
(16)	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.

F-12

Table of Contents

Sierra Income Corporation

Consolidated Schedule of Investments

As of December 31, 2016



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value		% of Net Assets⁽²⁾
Non-controlled/non-affiliated investments– 114.5%
AAAHI Acquisition Corporation	Transportation: Consumer	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^(3)(4)(5)	12/15/2021	$	7,280,374	$	7,280,374	$	7,280,374	0.9%
				7,280,374		7,280,374		7,280,374
AAR Intermediate Holdings, LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor^{(3) (4) (5)}	9/30/2021	150,935		150,935		150,935		0.0%
		Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor^{(3) (4)}	9/30/2021	3,144,481		3,144,481		3,144,481		0.4%
		Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor, PIK^{(3) (4)}	9/30/2021	6,457,851		5,254,799		5,211,292		0.7%
		Membership Units ^{(4) (6) (7)}		—		—		—		0.0%
				9,753,267		8,550,215		8,506,708
Access Media Holdings, LLC	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loan 5.000%, 5.000% PIK⁽⁴⁾	7/22/2020	7,026,014		7,026,014		6,868,420		0.9%
		Common Stock ^{(4) (6) (7)}		—		—		—		0.0%
		Preferred Equity Series A ^{(4) (6) (7)}		—		1,400,000		—		0.0%
		Preferred Equity Series AA ^{(4) (6) (7)}		—		647,500		—		0.0%
				7,026,014		9,073,514		6,868,420
Advanced Diagnostic Holdings, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 8.750%, 0.875% Floor^{(3) (4)}	12/11/2020	15,262,608		15,262,608		15,567,860		2.0%
				15,262,608		15,262,608		15,567,860
Alpha Media LLC	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loan LIBOR 5 6.000%, 1.000% Floor⁽⁸⁾⁽⁵⁾	2/25/2022	9,384,375		9,012,061		8,962,078		1.2%
				9,384,375		9,012,061		8,962,078
Amerijet Holdings Inc.	Transportation: Cargo	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor^{(3) (4)}	7/15/2021	16,087,500		16,087,500		16,087,500		2.1%
				16,087,500		16,087,500		16,087,500
AMMC CLO 17, Limited Series 2015-17A	Multi-Sector Holdings	Subordinated Note 21.670% effective yield^{(6) (9) (10)}	11/15/2027	5,000,000		3,553,568		4,181,250		0.5%
				5,000,000		3,553,568		4,181,250
Anaren, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	8/18/2021	10,000,000		9,929,667		10,002,500		1.3%
				10,000,000		9,929,667		10,002,500
APCO Holdings, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor^{(4) (8)}	1/31/2022	4,351,318		4,236,463		4,369,201		0.6%
				4,351,318		4,236,463		4,369,201
Apidos CLO XXIV, Series 2016-24A	Multi-Sector Holdings	Subordinated Note 16.535% effective yield^{(4) (6) (9) (10)}	1/20/2023	25,471,800		21,625,558		21,977,069		2.8%
				25,471,800		21,625,558		21,977,069
Associated Asphalt Partners, LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Note 8.500%⁽⁹⁾	2/15/2018	1,778,000		1,782,303		1,795,780		0.2%
				1,778,000		1,782,303		1,795,780
Astro AB Borrower, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor^(3)(11)	4/30/2023	6,000,000		5,898,052		6,060,000		0.8%
				6,000,000		5,898,052		6,060,000

F-13

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor^(3)(11)	3/3/2021	7,000,000	6,952,364	7,087,500	0.9%
				7,000,000	6,952,364	7,087,500
Atrium Innovations, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 6.750%, 1.000% Floor^{(3) (6)}	8/13/2021	5,000,000	4,982,828	5,000,000	0.6%
				5,000,000	4,982,828	5,000,000
Aviation Technical Services, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor^(3)(4)(17)	3/31/2022	25,000,000	25,000,000	25,500,000	3.3%
				25,000,000	25,000,000	25,500,000
Backcountry.com, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(3) (4) (17)}	6/30/2020	34,589,843	34,589,843	34,935,742	4.5%
				34,589,843	34,589,843	34,935,742
Birch Communications, Inc.	Telecommunications	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(4) (8)}	7/17/2020	13,816,112	13,647,092	13,633,601	1.8%
				13,816,112	13,647,092	13,633,601
Black Angus Steakhouses LLC	Hotel, Gaming & Leisure	Revolving Credit Facility LIBOR + 9.000%, 1.000% Floor^{(3) (4) (5) (17)}	4/24/2020	669,643	669,643	613,326	0.1%
		Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4) (17)}	4/24/2020	19,637,277	19,637,277	19,141,828	2.5%
				20,306,920	20,306,920	19,755,154
Brundage-Bone Concrete Pumping, Inc.	Construction & Building	Senior Secured First Lien Note 10.375%⁽⁹⁾	9/1/2021	7,500,000	7,607,418	8,025,000	1.0%
				7,500,000	7,607,418	8,025,000
Charming Charlie LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor⁽³⁾	12/24/2019	7,908,765	7,920,847	6,334,209	0.8%
				7,908,765	7,920,847	6,334,209
ConvergeOne Holdings Corp.⁽¹¹⁾	Telecommunications	Senior Secured Second Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4)}	6/17/2021	12,500,000	12,410,777	12,500,000	1.6%
				12,500,000	12,410,777	12,500,000
Cornerstone Chemical Company	Chemicals, Plastics & Rubber	Senior Secured First Lien Note 9.375%⁽⁹⁾	3/15/2018	4,970,000	4,874,178	4,963,788	0.6%
				4,970,000	4,874,178	4,963,788
CP Opco, LLC	Services: Consumer	Revolver LIBOR + 4.500%, 1.000% Floor^{(3) (4) (5)}	3/31/2019	128,039	128,039	128,039	0.0%
		Revolver ABR + 3.500%, 3.750% Floor^{(3) (4) (5)}	3/31/2019	210,935	210,935	210,935	0.0%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK^{(3) (4)}	3/31/2019	504,597	504,597	504,597	0.1%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK^{(3) (4)}	3/31/2019	210,249	210,249	210,249	0.0%
		Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor, PIK^{(3) (4) (12)}	3/31/2019	1,487,033	717,016	743,516	0.1%
		Preferred Units LIBOR + 9.500%, 1.000% Floor, PIK^{(4) (12)}	3/31/2019	205	—	—	0.0%
		Common Units ^{(4) (7)}		—	—	—	0.0%
				2,541,058	1,770,836	1,797,336
CRGT Inc.	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(4) (8)}	12/19/2020	3,966,456	3,966,456	3,966,456	0.5%
				3,966,456	3,966,456	3,966,456

F-14

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
DHISCO Electronic Distribution, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.500% Floor^{(3) (4)}	11/10/2019	2,380,952	2,380,952	2,380,952	0.3%
		Senior Secured First Lien Term Loan LIBOR + 11.250% PIK, 1.500% Floor^{(3) (4) (12)}	11/10/2019	6,680,333	2,940,892	2,956,515	0.4%
		Senior Secured First Lien Term Loan LIBOR + 9.000% PIK, 1.500% Floor^{(3) (4)}	11/10/2019	8,369,792	8,369,792	8,369,792	1.1%
		Senior Secured First Lien Term Loan LIBOR + 10.250%, PIK 1.500% Floor^{(3) (4)}	11/10/2019	7,177,827	7,177,827	7,177,827	0.9%
		Common Units, Class A ^{(4) (7)}		—	769,231	—	0.0%
				24,608,904	21,638,694	20,885,086
Drew Marine Partners, LP	Transportation: Cargo	Senior Secured Second Lien Term Loan LIBOR + 7.000%, 1.000% Floor⁽³⁾	5/19/2021	10,000,000	10,054,556	9,872,800	1.3%
				10,000,000	10,054,556	9,872,800
Dryden 38 Senior Loan Fund - Series 2015-38A	Multi-Sector Holdings	Subordinated Note 17.689% effective yield^{(6) (9) (10)}	7/15/2027	7,000,000	5,011,083	5,225,150	0.7%
				7,000,000	5,011,083	5,225,150
Dryden 43 Senior Loan Fund - Series 2016-43A	Multi-Sector Holdings	Subordinated Note 18.086% effective yield^{(4) (6) (9) (10)}	7/20/2029	3,620,000	2,932,200	3,250,579	0.4%
				3,620,000	2,932,200	3,250,579
Dryden 49 Senior Loan Fund	Multi-Sector Holdings	Preferred Shares^{(4) (6)}		—	14,500,000	14,500,000	1.9%
				—	14,500,000	14,500,000
Dynamic Energy Services International LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loan 13.500% PIK + LIBOR^{(4) (8)}	3/6/2018	8,662,161	8,662,161	7,373,318	1.0%
				8,662,161	8,662,161	7,373,318
EarthLink, Inc.	Telecommunications	Senior Secured First Lien Note 7.375%^{(6) (9) (13)}	6/1/2020	2,450,000	2,442,601	2,575,563	0.3%
				2,450,000	2,442,601	2,575,563
Elite Comfort Solutions LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (5)}	1/15/2021	8,858,643	8,858,643	8,966,622	1.2%
				8,858,643	8,858,643	8,966,622
First Boston Construction Holdings, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Note 12.000%^{(4) (5)}	12/31/2020	6,105,000	6,105,000	6,105,000	0.8%
		Preferred Equity ^{(4) (7)}		—	1,526,250	1,526,250	0.2%
				6,105,000	7,631,250	7,631,250
FKI Security Group, LLC	Capital Equipment	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor^{(3) (4)}	3/30/2020	11,937,500	11,937,500	12,088,629	1.6%
				11,937,500	11,937,500	12,088,629
Frontier Communications Corp.	Telecommunications	Senior Secured First Lien Note 10.500%^{(6) (9) (13)}	9/15/2022	2,000,000	2,000,000	2,107,500	0.3%
				2,000,000	2,000,000	2,107,500
Gastar Exploration Inc.	Energy: Oil & Gas	Senior Secured First Lien Note 8.625%^{(9) (13)}	5/15/2018	5,400,000	5,405,735	5,325,750	0.7%
				5,400,000	5,405,735	5,325,750
Genex Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor^(3)(11)	5/30/2022	9,500,000	9,525,097	9,500,000	1.2%
				9,500,000	9,525,097	9,500,000
GK Holdings, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 9.500%, 1.000% Floor⁽³⁾	1/30/2022	10,000,000	10,000,000	10,200,000	1.3%
				10,000,000	10,000,000	10,200,000
Green Field Energy Services, Inc.	Energy: Oil & Gas	Senior Secured First Lien Note 13.000%^{(4) (9) (12)}	11/15/2016	766,615	754,615	157,156	0.0%

F-15

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
		Warrants ^{(4) (7)}		—	29,000	—	0.0%
				766,615	783,615	157,156
HBC Holdings LLC	Wholesale	Senior Secured First Lien Term Loan LIBOR + 5.750%, 1.000% Floor^{(3) (4)}	3/30/2020	13,162,500	13,162,500	12,461,860	1.6%
				13,162,500	13,162,500	12,461,860
Heligear Acquisition Co.	Aerospace & Defense	Senior Secured First Lien Note 10.250%^{(4) (9)}	10/15/2019	15,000,000	15,000,000	15,785,550	2.0%
				15,000,000	15,000,000	15,785,550
Hill International, Inc.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 6.750%, 1.000% Floor^{(3) (4) (17)}	9/28/2020	16,617,500	16,617,500	16,617,500	2.2%
				16,617,500	16,617,500	16,617,500
Holland Acquisition Corp.	Energy: Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor⁽³⁾	5/29/2018	4,515,605	4,482,170	2,791,682	0.4%
				4,515,605	4,482,170	2,791,682
Hylan Datacom & Electrical LLC	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor^{(3) (4)}	7/25/2021	15,799,862	15,799,862	15,799,862	2.0%
				15,799,862	15,799,862	15,799,862
Ignite Restaurant Group, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor⁽³⁾	2/13/2019	8,385,496	8,316,629	8,009,658	1.0%
				8,385,496	8,316,629	8,009,658
IHS Intermediate, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	7/20/2022	25,000,000	25,000,000	25,163,250	3.3%
				25,000,000	25,000,000	25,163,250
Impact Sales, LLC	Services: Business	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor^{(3) (4) (5)}	12/30/2021	4,687,500	4,687,500	4,687,500	0.6%
				4,687,500	4,687,500	4,687,500
Interface Security Systems Holdings, Inc.	Services: Consumer	Senior Secured First Lien Note 9.250%⁽⁹⁾	1/15/2018	3,417,000	3,434,380	3,404,186	0.4%
				3,417,000	3,434,380	3,404,186
Invision Diversified, LLC	Services: Business	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4) (17)}	6/30/2020	24,491,435	24,491,435	24,807,130	3.2%
				24,491,435	24,491,435	24,807,130
IronGate Energy Services, LLC	Energy: Oil & Gas	Senior Secured First Lien Note 11.000%^{(9) (12)}	7/1/2018	3,000,000	2,973,811	975,000	0.1%
				3,000,000	2,973,811	975,000
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 8.250%, 1.000% Floor^(3)(11)	11/29/2018	5,493,504	5,551,082	5,113,299	0.7%
				5,493,504	5,551,082	5,113,299
Jordan Reses Supply Company, LLC	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 11.000%, 1.000% Floor^{(3) (4)}	4/24/2020	5,000,000	5,000,000	5,050,000	0.7%
				5,000,000	5,000,000	5,050,000
Liquidnet Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 6.750%, 1.000% Floor⁽³⁾	5/22/2019	6,125,000	6,075,286	6,160,586	0.8%
				6,125,000	6,075,286	6,160,586
Livingston International Inc.	Transportation: Cargo	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.250% Floor^{(3) (6) (11)}	4/17/2020	2,658,504	2,655,528	2,532,757	0.3%
				2,658,504	2,655,528	2,532,757
Loar Group Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 9.250%, 1.000% Floor⁽⁸⁾	7/12/2022	15,000,000	15,000,000	15,450,000	2.0%
				15,000,000	15,000,000	15,450,000

F-16

Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
LSF9 Atlantis Holdings, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor^{(3) (4)}	1/15/2021	9,625,000	9,546,319	9,739,634	1.3%
				9,625,000	9,546,319	9,739,634
LTCG Holdings Corp.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor⁽³⁾	6/6/2020	2,838,571	2,829,766	2,664,170	0.3%
				2,838,571	2,829,766	2,664,170
Miller Heiman, Inc.	Services: Business	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor^{(3) (12)}	9/30/2019	23,593,750	23,593,750	12,976,563	1.7%
				23,593,750	23,593,750	12,976,563
Nathan's Famous, Inc.	Beverage & Food	Senior Secured First Lien Note 10.000%⁽¹³⁾	3/15/2020	7,000,000	7,000,000	7,612,500	1.0%
				7,000,000	7,000,000	7,612,500
Nation Safe Drivers Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.000%, 2.000% Floor^{(3) (4)}	9/29/2020	20,676,479	20,676,479	20,883,243	2.7%
				20,676,479	20,676,479	20,883,243
New Media Holdings II LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loan LIBOR + 6.250%, 1.000% Floor⁽³⁾	6/4/2020	18,043,921	18,029,645	18,043,921	2.3%
				18,043,921	18,029,645	18,043,921
Novetta Solutions, LLC	High Tech Industries	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor⁽³⁾	10/16/2023	11,000,000	10,905,938	10,499,170	1.4%
				11,000,000	10,905,938	10,499,170
Nuspire, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4) (5)}	11/8/2021	—	—	—	0.0%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4)}	11/8/2022	6,310,000	6,310,000	6,310,000	0.8%
				6,310,000	6,310,000	6,310,000
Omnitracs, Inc.	Telecommunications	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor⁽³⁾	5/25/2021	7,000,000	7,010,819	6,763,750	0.9%
				7,000,000	7,010,819	6,763,750
Oxford Mining Company, LLC	Metals & Mining	Senior Secured First Lien Term Loan LIBOR + 8.500%, 0.750% Floor, 3.000% PIK^{(3) (4)}	12/31/2018	20,756,843	20,756,842	20,518,139	2.7%
				20,756,843	20,756,842	20,518,139
Path Medical, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor^{(4) (8)}	10/11/2021	16,195,000	15,560,824	15,542,666	2.0%
		Warrants ^{(4) (7)}		—	669,709	669,709	0.1%
				16,195,000	16,230,533	16,212,375
Payless Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor⁽³⁾	3/11/2022	6,000,000	6,014,579	900,000	0.1%
				6,000,000	6,014,579	900,000
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 5.750%, 1.000% Floor^(3)(11)	7/27/2020	3,979,645	2,738,781	3,357,825	0.4%
				3,979,645	2,738,781	3,357,825
Press Ganey Holding, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor^(3)(11)	10/21/2024	6,500,000	6,473,059	6,472,505	0.8%
				6,500,000	6,473,059	6,472,505
PT Network, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(3) (4) (5)}	11/30/2021	4,833,334	4,833,334	4,833,334	0.6%
				4,833,334	4,833,334	4,833,334
Reddy Ice Corporation	Beverage & Food	Senior Secured Second Lien Term Loan LIBOR + 9.500%, 1.250% Floor^{(4) (8)}	11/1/2019	2,000,000	2,000,000	1,720,000	0.2%

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Table of Contents



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets⁽²⁾
				2,000,000	2,000,000	1,720,000
Research Now Group, Inc.	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor⁽³⁾	3/18/2022	15,000,000	15,000,000	14,983,200	1.9%
				15,000,000	15,000,000	14,983,200
Response Team Holdings, LLC	Construction & Building	Preferred Equity 12% PIK^{(4) (6) (12)}		—	3,384,734	967,238	0.1%
		Warrants ^{(4) (6) (7)}		—	257,407	—	0.0%
				—	3,642,141	967,238
Rhombus Cinema Holdings, LP	Media: Diversified & Production	Preferred Equity 10.000% PIK^{(4) (6)}		—	4,584,207	5,051,193	0.7%
		Equity ^{(4) (6) (7)}		—	3,162,793	3,162,793	0.4%
				—	7,747,000	8,213,986
School Specialty, Inc.	Wholesale	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor⁽³⁾	6/11/2019	9,198,434	9,169,670	9,198,434	1.2%
				9,198,434	9,169,670	9,198,434
Ship Supply Acquisition Corporation	Services: Business	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor^{(3) (4)}	7/31/2020	23,437,500	23,437,500	22,970,391	3.0%
				23,437,500	23,437,500	22,970,391
Sizzling Platter, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor⁽³⁾	4/28/2020	15,000,000	15,000,000	15,091,200	2.0%
				15,000,000	15,000,000	15,091,200
SMART Financial Operations, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 10.000%, 1.000% Floor^{(3) (4) (5)}	11/22/2021	3,700,000	3,700,000	3,700,000	0.5%
		Equity ^{(4) (7)}		—	1,000,000	1,000,000	0.1%
				3,700,000	4,700,000	4,700,000
Southwest Dealer Services, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor^{(3) (4) (17)}	3/16/2020	2,538,823	2,538,823	2,535,878	0.3%
				2,538,823	2,538,823	2,535,878
Survey Sampling International, LLC	Services: Business	Senior Secured Second Lien Term Loan LIBOR + 9.000%, 1.000% Floor⁽³⁾	12/16/2021	24,000,000	24,000,000	24,000,000	3.1%
				24,000,000	24,000,000	24,000,000
Techniplas, LLC	Automotive	Senior Secured First Lien Note 10.000%⁽⁹⁾	5/1/2020	6,000,000	6,000,000	5,218,500	0.7%
				6,000,000	6,000,000	5,218,500
The Garretson Resolution Group, Inc.	Services: Business	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor⁽³⁾	5/22/2021	9,625,000	9,587,577	9,663,115	1.2%
				9,625,000	9,587,577	9,663,115
Touchtunes Interactive Networks, Inc.	Media: Diversified & Production	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor⁽³⁾	5/27/2022	7,500,000	7,500,000	7,519,800	1.0%
				7,500,000	7,500,000	7,519,800
Transocean Phoenix 2 Ltd.	Energy: Oil & Gas	Senior Secured First Lien Note 7.750%^{(4) (9) (13)}	10/15/2024	7,500,000	7,387,506	7,919,325	1.0%
				7,500,000	7,387,506	7,919,325
TravelCLICK, Inc.	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor^(3)(11)	11/6/2021	6,000,000	5,935,400	5,899,740	0.8%
				6,000,000	5,935,400	5,899,740
Truco Enterprises, LP	Beverage & Food	Senior Secured First Lien Term Loan 8.240% Fixed^{(4) (8)}	4/26/2021	9,949,580	9,949,580	9,949,580	1.3%
				9,949,580	9,949,580	9,949,580
True Religion Apparel, Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 10.000%, 1.000% Floor⁽³⁾	1/30/2020	4,000,000	3,899,083	—	0.0%
				4,000,000	3,899,083	—

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Cost		Fair Value			% of Net Assets⁽²⁾
U.S. Auto Sales, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 11.750%, 1.000% Floor^{(4) (8) (17)}	6/5/2020	5,500,000	5,500,000		5,452,095			0.7%
				5,500,000	5,500,000		5,452,095
U.S. Well Services, LLC	Energy: Oil & Gas	Warrants ⁽⁷⁾		—	173		—			0.0%
				—	173		—
Valence Surface Technologies, Inc.	Aerospace & Defense	Senior Secured First Lien Term Loan LIBOR + 5.500%, 1.000% Floor^{(4) (8)}	6/13/2019	3,499,128	3,486,054		3,388,590			0.4%
				3,499,128	3,486,054		3,388,590
Velocity Pooling Vehicle, LLC	Automotive	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor^{(3) (4)}	5/13/2022	20,625,000	18,591,706		10,996,425			1.4%
				20,625,000	18,591,706		10,996,425
Verso Corporation	Media: Advertising, Printing & Publishing	Common Stock ^{(7) (15)}		—	2,238,108		1,262,666			0.2%
				—	2,238,108		1,262,666
VOYA CLO 2016-2, LTD.	Multi-Sector Holdings	Subordinated Note 16.185% effective yield^{(6) (9) (10)}	7/19/2028	22,842,661	19,918,800		20,551,542			2.7%
				22,842,661	19,918,800		20,551,542
Watermill-QMC Midco, Inc.	Automotive	Partnership Interest ^{(4) (6) (7)}		—	850,136		1,102,626			0.1%
				—	850,136		1,102,626
Z Gallerie, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor^{(4) (8)}	10/8/2020	4,682,646	4,645,211		4,682,647			0.6%
				4,682,646	4,645,211		4,682,647

Total non-controlled/non-affiliated investments					$	921,626,572	$	885,400,856		114.5%
Controlled/affiliated investments– 9.5%⁽¹⁶⁾
Capstone Nutrition	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 12.500%, 1.000% Floor, PIK^{(4) (8) (12)}	4/28/2019	25,327,876	22,770,855		16,246,819			2.1%
		Common Stock ^{(4) (7)}		—	300,002		—			0.0%
		Common Stock, Class B ^{(4) (7)}		—	9		—			0.0%
		Common Stock, Class C ^{(4) (7)}		—	—		—			0.0%
				25,327,876	23,070,866		16,246,819
MCM Capital Office Park Holdings LLC	Banking, Finance, Insurance & Real Estate	Equity ^{(6) (7)}		—	7,500,000		7,500,000			1.0%
				—	7,500,000		7,500,000
Nomida LLC	Construction & Building	Equity ^{(6) (7)}		—	5,400,000		5,400,000			0.7%
		Senior Secured First Lien Term Loan 10.000%⁽⁶⁾	12/1/2020	8,100,000	8,100,000		8,100,000			1.0%
				8,100,000	13,500,000		13,500,000
Sierra Senior Loan Strategy JV I LLC	Multi-Sector Holdings	Equity⁽⁵⁾⁽⁶⁾		60,785,000	60,785,000		60,496,647			7.8%
				60,785,000	60,785,000		60,496,647
Total controlled/affiliated investments					$	104,855,866	$	97,743,466		12.6%
Money market fund– 3.0%
Federated Institutional Prime Obligations Fund		Money Market 0.49%⁽¹⁵⁾		22,966,981	22,966,981		22,966,981			3.0%
Total money market fund					$	22,966,981	$	22,966,981		3.0%
Derivative Instrument - Long Exposure					Notional Amount		Unrealized Appreciation (Depreciation)
Total return swap with Citibank, N.A. (Note 5)		Total Return Swap			227,513,679		(13,647,330)
					$	227,513,679	$	(13,647,330	)

___________________________________

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(1)	All of the Company's investments are domiciled in the United States except for Livingston International Inc., which is domiciled in Canada and AMMC CLO 17, Limited Series 2015-17A, Apidos CLO XXIV, Series 2016-24A, Dryden 38 Senior Loan Fund, Series 2015-38A, Dryden 43 Senior Loan Fund, Series 2016-43A, Dryden 49 Senior Loan Fund and VOYA CLO 2016-2, LTD. which are all domiciled in the Cayman Islands. All foreign investments were denominated in US Dollars.
(2)	Percentage is based on net assets of $773,113,087 as of December 31, 2016.
(3)	The interest rate on these loans is subject to a base rate plus 3 Month “3M” LIBOR, which at December 31, 2016 was 1.00%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(4)	An affiliated Company that is managed by an affiliate of SIC Advisors LLC also holds an investment in this security.
(5)	The investment has an unfunded commitment as of December 31, 2016. For further details (see Note 11). Fair value includes an analysis of the unfunded commitment.
(6)	The investment is not a qualifying asset under Section 55 of the Investment Company Act of 1940, as amended, (the "1940 Act"). Non-qualifying assets represent 22.4% of the Company's portfolio at fair value.
(7)	Security is non-income producing.
(8)	The interest rate on these loans is subject to a base rate plus 1 Month "1M" LIBOR, which at December 31, 2016 was 0.77%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(9)	Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities represent a fair value of $113,438,688 or 14.7% of net assets as of December 31, 2016 and are considered restricted.
(10)	This investment is in the equity class of a collateralized loan obligation ("CLO") security. The CLO equity investments are entitled to recurring distributions, which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions that have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
(11)	Security is also held in the underlying portfolio of the total return swap with Citibank, N.A. (see Note 5) or the Sierra Senior Loan Strategy JV I LLC portfolio (see Note 3). The Company's total exposure to Astro AB Borrower, APCO Holdings, Inc., Inc., Asurion LLC, ConvergeOne Holdings Corp., Genex Holdings, Inc., Isola USA Corp., Livingston International, Inc., Preferred Sands Holding Company, LLC, Press Ganey Holdings, and TravelCLICK, Inc. is $7,020,932 or 0.9%, 9,123,869 or 1.2%, $8,082,500 or 1.0%, $14,962,500 or 1.9%, $12,427,662 or 1.6%, $8,708,549 or 1.1%, $4,502,200 or 0.6%, $6,199,301 or 0.8%, $15,930,005 or 2.1%, and $10,585,217 or 1.4%, respectively, of Net Assets as of December 31, 2016.
(12)	The investment was on non-accrual status as of December 31, 2016.
(13)	Represents securities in Level 2 in the ASC 820 table (see Note 4).
(14)	The interest rate on these loans is subject to a base rate plus 6 month "6M" LIBOR, which at December 31, 2016 was 1.32%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 6M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(15)	Represents securities in Level 1 in the ASC 820 table (see Note 4).
(16)	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.
(17)	A portion of this investment was sold via a participation agreement

See accompanying notes to consolidated financial statements.

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SIERRA INCOME CORPORATION

Notes to Consolidated Financial Statements

March 31, 2017

(unaudited)

Note 1. Organization

Sierra Income Corporation (the “Company”) was incorporated under the general corporation laws of the State of Maryland on June 13, 2011 and formally commenced operations on April 17, 2012. The Company is an externally managed, non-diversified closed-end management investment company that has elected to be treated as a business development company (“BDC”) under the Investment Company Act of 1940 (the "1940 Act"). The Company is externally managed by SIC Advisors LLC (“SIC Advisors”), a registered investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). SIC Advisors is a majority owned subsidiary of Medley LLC, which is controlled by Medley Management Inc., a publicly traded asset management firm (NYSE: MDLY), which in turn is controlled by Medley Group LLC, an entity wholly-owned by the senior professionals of Medley LLC. The term “Medley” refers to the collective activities of Medley Capital LLC, Medley LLC, Medley Management Inc., Medley Group LLC, SIC Advisors, associated investment funds and their respective affiliates. The Company has elected and intends to continue to qualify to be treated for U.S. federal income tax purposes as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s fiscal year-end is December 31^st.

On April 17, 2012, the Company successfully reached its minimum escrow requirement and officially commenced operations by issuing 1,108,033 shares of common stock to SIC Advisors for gross proceeds of $10,000,000. The Company’s offering period is currently scheduled to terminate on April 17, 2018, unless further extended. As of March 31, 2017, the Company has sold a total of 96,265,797 shares of common stock, which includes shares issued as part of the distribution reinvestment plan (see Note 13), for total proceeds of $986 million, which includes the shares sold to SIC Advisors. The proceeds from the issuance of common stock are presented in the Company’s consolidated statements of changes in net assets and consolidated statements of cash flows and are presented net of selling commissions and dealer manager fees.

On August 15, 2013, the Company formed Arbor Funding LLC ("Arbor"), a wholly-owned financing subsidiary (see Note 5).

On June 18, 2014, the Company formed Alpine Funding LLC ("Alpine"), a wholly-owned financing subsidiary (see Note 6).

The Company has formed and expects to continue to form certain taxable subsidiaries (the “Taxable Subsidiaries”), which are taxed as corporations for U.S. federal income tax purposes. Taxable Subsidiaries allow the Company to hold equity securities of portfolio companies organized as pass-through entities while continuing to satisfy the requirements of a RIC under the Code.

The Company’s investment objective is to generate current income, and to a lesser extent, long-term capital appreciation. The Company intends to meet its investment objective by investing primarily in the debt of privately owned U.S. companies with a focus on senior secured debt, second lien debt and, to a lesser extent, subordinated debt. The Company will originate transactions sourced through SIC Advisors’ direct origination network, and also expects to acquire debt securities through the secondary market. The Company may make equity investments in companies that it believes will generate appropriate risk adjusted returns, although it does not expect such investments to be a substantial portion of the portfolio.

Note 2. Significant Accounting Policies

Basis of Presentation

The Company follows the accounting and reporting guidance in the Financial Accounting Standards Board Accounting Standards Codification ("ASC") Topic 946 - Financial Services, Investment Companies ("ASC 946"). The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles ("GAAP") and include the accounts of the Company and its wholly-owned subsidiaries, Alpine, Arbor, and the Taxable Subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. All references made to the "Company," "we," and "us" herein include Sierra Income Corporation and its consolidated subsidiaries, except as stated otherwise. Additionally, the accompanying consolidated financial statements of the Company and related financial information have been prepared pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. Accordingly, certain disclosures accompanying annual financial statements prepared in accordance with GAAP are omitted. In the opinion of management, the unaudited interim financial results contain all adjustments and reclassifications, which are of a normal recurring nature, that are necessary for the fair presentation of financial statements for the periods presented. Therefore, this Form 10-Q should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2016, which was filed with the U.S. Securities and Exchange Commission ("SEC") on March 7, 2017. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the fiscal year ending December 31, 2017.

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Cash and Cash Equivalents

The Company considers cash equivalents to be highly liquid investments or investments with original maturities of three months or less. Cash and cash equivalents include deposits in a money market account. The Company deposits its cash in major United States financial institutions which, at times, may be in excess of the Federal Deposit Insurance Corporation insurance limits.

Offering Costs

Offering costs incurred directly by the Company are expensed in the period incurred.

Use of Estimates in the Preparation of Financial Statements

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Deferred Financing Costs

Financing costs, incurred in connection with the Company’s credit facilities (see Note 6), are deferred and amortized over the life of each facility, respectively.

Indemnification

In the normal course of business, the Company enters into contractual agreements that provide general indemnifications against losses, costs, claims and liabilities arising from the performance of individual obligations under such agreements. The Company has had no claims or payments pursuant to such agreements. The Company’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred. However, based on management’s experience, the Company expects the risk of loss to be remote.

Revenue Recognition

Interest income, adjusted for amortization of premiums and accretion of discounts, is recorded on an accrual basis. The Company records amortized or accreted discounts or premiums as interest income using the effective interest method. Dividend income, which represents dividends from equity investments and distributions from subsidiaries, if any, is recognized on an accrual basis to the extent that the Company expects to collect such amount.

Fee income associated with investments in portfolio companies is recognized as income in the period that the Company becomes entitled to such fees. Other fees related to loan administration requirements are capitalized as deferred revenue and recorded into income over the respective period.

Prepayment penalties received by the Company for debt instruments paid back to the Company prior to the maturity date are recorded as income upon receipt.

The Company holds debt investments that contain a payment-in-kind ("PIK") interest provision. PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is recorded on an accrual basis to the extent such amounts are expected to be collected. PIK interest is not accrued if the Company does not expect the issuer to be able to pay all principal and interest when due. For the three months ended March 31, 2017 and 2016, the Company earned $1,879,647 and $1,572,630 in PIK interest, respectively.

Investment transactions are accounted for on a trade-date basis. Realized gains or losses on investments are measured by the difference between the net proceeds from the disposition and the amortized cost basis of investment, without regard to unrealized gains or losses previously recognized. During the three months ended March 31, 2017 and 2016, the Company recognized $11,371,334 and $0, respectively, in realized losses related to certain non-cash restructuring transactions, which is recorded on the consolidated statements of operations as a component of net realized gain/(loss) from non-controlled/non-affiliated investments. The Company reports changes in fair value of investments that are measured at fair value as a component of the net change in unrealized appreciation/(depreciation) on investments in the consolidated statements of operations. For total return swap transactions (see Note 5), periodic payments are received or made at the end of each settlement period, but prior to settlement are recorded as realized gains or losses on total return swap in the consolidated statements of operations.

Management reviews all loans that become 90 days or more past due on principal and interest or when there is reasonable doubt that principal or interest will be collected for possible placement on management's designation of non-accrual status. Accrued

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interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although the Company may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. As of March 31, 2017, eight portfolio investments were on non-accrual status with a cost of $43,557,842 and a fair value of $23,128,702, or 2.24% of the fair value of the Company's portfolio. As of December 31, 2016, seven portfolio investments were on non-accrual status with a cost of $57,135,673 and a fair value of $35,022,807, or 3.56% of the fair value of the Company's portfolio.

Interest income from investments in the “equity” class of a collateralized loan obligation ("CLO") security (typically subordinated notes) is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows in accordance with ASC 325-40, Beneficial Interests in Securitized Financial Assets. The Company monitors the expected cash flows from these investments, including the expected residual payments, and the effective yield is determined and updated periodically. Any difference between the cash distribution received and the amount calculated pursuant to the effective interest method is recorded as an adjustment to the cost basis of such investments.

Investment Classification

The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, the Company would be deemed to “control” a portfolio company if it owns more than 25% of its outstanding voting securities and/or had the power to exercise control over the management or policies of such portfolio company. The Company refers to such investments in portfolio companies that it “controls” as “Controlled Investments.” Under the 1940 Act, the Company would be deemed to be an “Affiliated Person” of a portfolio company if it owns at least 5%, but no more than 25%, of the portfolio company’s outstanding voting securities or if it is under common control with such portfolio company. The Company refers to such investments in Affiliated Persons as “Affiliated Investments.”

Valuation of Investments

The Company applies fair value accounting to all of its financial instruments in accordance with the 1940 Act and ASC Topic 820 - Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework used to measure fair value and requires disclosures for fair value measurements. In accordance with ASC 820, the Company has categorized its financial instruments carried at fair value, based on the priority of the valuation technique, into a three-level fair value hierarchy as discussed in Note 4. Fair value is a market-based measure considered from the perspective of the market participant who holds the financial instrument rather than an entity specific measure. Therefore, when market assumptions are not readily available, the Company’s own assumptions are set to reflect those that management believes market participants would use in pricing the financial instrument at the measurement date.

Investments for which market quotations are readily available are valued at such market quotations, which are generally obtained from an independent pricing service or multiple broker-dealers or market makers. The Company weighs the use of third-party broker quotations, if any, in determining fair value based on management's understanding of the level of actual transactions used by the broker to develop the quote and whether the quote was an indicative price or binding offer. However, debt investments with remaining maturities within 60 days that are not credit impaired are valued at cost plus accreted discount, or minus amortized premium, which approximates fair value. Investments for which market quotations are not readily available are valued at fair value as determined by the Company’s board of directors based upon input from management and third party valuation firms. Because these investments are illiquid and because there may not be any directly comparable companies whose financial instruments have observable market values, these loans are valued using a fundamental valuation methodology, consistent with traditional asset pricing standards, that is objective and consistently applied across all loans and through time.

Investments in investment companies are valued at fair value. Fair values are generally determined utilizing the net asset value ("NAV") supplied by, or on behalf of, management of each investment company, which is net of management and incentive fees or allocations charged by the investment company and is in accordance with the "practical expedient", as defined by ASC 820. NAVs received by, or on behalf of, management of each investment company are based on the fair value of the investment company's underlying investments in accordance with policies established by management of each investment company, as described in each of their financial statements and offering memorandum.

The methodologies utilized by the Company in estimating the fair value of its investments categorized as Level 3 generally fall into the following two categories:


•	The “Market Approach” uses prices and other relevant information generated by market transactions involving identical or comparable assets, liabilities, or a group of assets and liabilities, such as a business.

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•	The “Income Approach” converts future amounts (for example, cash flows or income and expenses) to a single current (that is, discounted) amount. When the Income Approach is used, the fair value measurement reflects current market expectations about those future amounts.

The Company uses third-party valuation firms to assist the board of directors in the valuation of its portfolio investments. The valuation reports generated by the third-party valuation firms consider the evaluation of financing and sale transactions with third parties, expected cash flows and market based information, including comparable transactions, performance multiples, and movement in yields of debt instruments, among other factors. Based on market data obtained from the third-party valuation firms, the Company uses a combined market yield analysis and an enterprise model of valuation. In applying the market yield analysis, the value of the Company’s loans is determined based upon inputs such as the coupon rate, current market yield, interest rate spreads of similar securities, the stated value of the loan, and the length to maturity. In applying the enterprise model, the Company uses a waterfall analysis which takes into account the specific capital structure of the borrower and the related seniority of the instruments within the borrower’s capital structure into consideration. To estimate the enterprise value of the portfolio company, the Company weighs some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, the Company may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities using an expected recovery model. The Company may estimate the fair value of warrants based on a model such as the Black-Scholes model or simulation models or a combination thereof.

The methodologies and information that the Company utilizes when applying the Market Approach for performing investments includes, among other things:


•	valuations of comparable public companies (“Guideline Comparable Approach”);


•	recent sales of private and public comparable companies (“Guideline Comparable Approach”);


•	recent acquisition prices of the company, debt securities or equity securities (“Acquisition Price Approach”);


•	external valuations of the portfolio company, offers from third parties to buy the company (“Estimated Sales Proceeds Approach”);


•	subsequent sales made by the company of its investments (“Expected Sales Proceeds Approach”); and


•	estimating the value to potential buyers.

The methodologies and information that the Company utilizes when applying the Income Approach for performing investments includes:


•	discounting the forecasted cash flows of the portfolio company or securities (“Discounted Cash Flow” or “DCF” Approach”); and


•	Black-Scholes model or simulation models or a combination thereof (Income Approach – Option Model) with respect to the valuation of warrants.

Over-the-counter derivative contracts, such as total return swaps (see Note 5) are fair valued using models that measure the change in fair value of reference assets underlying the swaps offset against any fees payable to the swap counterparty. The fair values of the reference assets underlying the swaps are determined using similar methods as described above for debt and equity investments where the Company also invests directly in such assets.

The Company undertakes a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:


•	the Company’s quarterly valuation process begins with each portfolio investment being initially valued by the valuation professionals;


•	conclusions are then documented and discussed with senior management; and

•

an independent valuation firm engaged by the Company’s board of directors prepares an independent valuation report for approximately one-third of the portfolio investments each quarter on a rotating quarterly basis on non-fiscal year-end quarters, such that each of these investments will be valued by an independent valuation firm at least twice per annum when combined with the fiscal year-end review of all the investments by independent valuation firms.

In addition, all of the Company’s investments are subject to the following valuation process:

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•	management reviews preliminary valuations and its own independent assessment;


•	the independent audit committee of the Company’s board of directors reviews the preliminary valuations of senior management and independent valuation firms; and


•	the Company’s board of directors discusses valuations and determines the fair value of each investment in the Company’s portfolio in good faith based on the input of SIC Advisors, the respective independent valuation firms and the audit committee.

The Company’s investments in subordinated notes are carried at fair value, which is based on a discounted cash flow model. The discounted cash flow model models both the underlying collateral (assets) and the liabilities of the CLO capital structure. The discounted cash flow model uses a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated cash flows of the assets. The discounted cash flow model distributes the asset cash flows to the liability structure based on the payment priorities and discounts them back using appropriate market discount rates based on discount rates for comparable CLOs. The assumptions are based on available market data as well as management estimates. Additional data is used to validate the results from the discounted cash flow method, such as analysis of relevant data observed in the CLO market, review of quotes, where available, recent acquisitions and observable transactions in the subordinated notes, among other factors.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company’s investments may differ significantly from the values that would have been used had a readily available market value existed for such investments, and the differences could be material.

Fair Value of Financial Instruments

The carrying amounts of certain of the Company’s financial instruments, including cash and accounts payable and accrued expenses, approximate fair value due to their short-term nature. The carrying amounts and fair values of the Company’s long-term obligations are discussed in Note 4.

U.S. Federal Income Taxes

The Company has elected to be treated as a RIC under Subchapter M of the Code and operate in a manner so as to qualify for the tax treatment applicable to RICs. In order to qualify as a RIC, among other things, the Company is required to meet certain source of income and asset diversification requirements and timely distribute to its stockholders at least 90% of the sum of its investment company taxable income ("ICTI") including PIK, as defined by the Code, and net tax-exempt interest income (which is the excess of the Company’s gross tax-exempt interest income over certain disallowed deductions) for each taxable year in order to be eligible for tax treatment under subchapter M of the Code. Depending on the level of ICTI earned in a tax year, the Company may choose to carry forward ICTI in excess of current year dividend distributions into the next tax year. Any such carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the final tax return related to the year which generated such ICTI.

The Company will be subject to a nondeductible U.S. federal excise tax of 4% on undistributed income if it does not distribute at least 98% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each one-year period ending on October 31 of such calendar year. To the extent the Company determines that its estimated current year annual taxable income will be in excess of estimated current year dividend distributions for U.S. federal excise tax purposes, the Company accrues U.S. federal excise tax, if any, on estimated excess taxable income as taxable income is earned.

The Company’s Taxable Subsidiaries accrue income taxes payable based on the applicable corporate rates on the unrealized gains generated by the investments held by the Taxable Subsidiaries. As of March 31, 2017 and December 31, 2016, the Company recorded a deferred tax liability of $542,194 and $244,622, respectively, on the consolidated statements of assets and liabilities. The change in deferred tax liabilities is included as a component of net gain/(loss) on investments and total return swap on investments in the consolidated statements of operations.

ICTI generally differs from net investment income for financial reporting purposes due to temporary and permanent differences in the recognition of income and expenses. The Company may be required to recognize ICTI in certain circumstances in which it does not receive cash. For example, if the Company holds debt obligations that are treated under applicable tax rules as having original issue discount, the Company must include in ICTI each year a portion of the original issue discount that accrues over the life of the obligation, regardless of whether cash representing such income is received by the Company in the same taxable year. The Company may also have to include in ICTI other amounts that it has not yet received in cash, such as PIK interest income and interest income from investments that have been classified as non-accrual for financial reporting purposes. Interest income on non-accrual investments is not recognized for financial reporting purposes, but generally is recognized in ICTI. Because any original issue discount or other amounts accrued will be included in the Company’s ICTI for the year of accrual, the Company may be required to make a distribution to its stockholders in order to satisfy the minimum distribution requirements, even though the Company will not have

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received and may not ever receive any corresponding cash amount. ICTI also excludes net unrealized appreciation or depreciation, as investment gains or losses are not included in taxable income until they are realized.

Although the Company files federal and state tax returns, the Company's major tax jurisdiction is the United States federal jurisdiction. The Company’s federal tax returns from inception-to-date remain subject to examination by the Internal Revenue Service.

The Company accounts for income taxes in conformity with ASC Topic 740 - Income Taxes (“ASC 740”). ASC 740 provides guidelines for how uncertain tax positions should be recognized, measured, presented and disclosed in financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the consolidated statements of operations. There were no interest or penalties due to material uncertain income tax positions at March 31, 2017 and 2016.

The following table reflects, for U.S. federal income tax purposes, the sources of the cash distributions that the Company has paid on its common stock during three months ended March 31, 2017 and 2016 :



	2017				2016
Source of Distribution	Distribution Amount		Percentage		Distribution Amount		Percentage
Ordinary income	$	15,267,181	100.0	%	$	17,021,554	100.0	%
Net realized gain	—		—		—		—
Return of capital (other)	—		—		—		—
Distributions on a tax basis:	$	15,267,181	100.0	%	$	17,021,554	100.0	%

(1) For the three months ended March 31, 2016, if expense support payments of $5,204,896 were not made by SIC Advisors, approximately 31% of the distributions would have been a return of capital for GAAP purposes.

Segments

The Company invests in various industries. The Company separately evaluates the performance of each of its investment relationships. However, because each of these investment relationships has similar business and economic characteristics, they have been aggregated into a single investment segment. All applicable segment disclosures are included in or can be derived from the Company’s consolidated financial statements. See Note 3 for more information.

Company Investment Risk, Concentration of Credit Risk, and Liquidity Risk

SIC Advisors has broad discretion in making investments for the Company. Investments generally consist of debt instruments that may be affected by business, financial market or legal uncertainties. Prices of investments may be volatile, and a variety of factors that are inherently difficult to predict, such as domestic or international economic and political developments, may significantly affect the results of the Company’s activities and the value of its investments. In addition, the value of the Company’s portfolio may fluctuate as the general level of interest rates fluctuates.

The value of the Company’s investments in loans and bonds may be detrimentally affected to the extent, among other things, that a borrower defaults on its obligations, there is insufficient collateral and/or there are extensive legal and other costs incurred in collecting on a defaulted loan, observable secondary or primary market yields for similar instruments issued by comparable companies increase materially or risk premiums required in the market between smaller companies, such as the Company’s borrowers, and those for which market yields are observable, increase materially.

The Company’s assets may, at any time, include securities and other financial instruments or obligations that are illiquid or thinly traded, making purchase or sale of such securities and financial instruments at desired prices or in desired quantities difficult. Furthermore, the sale of any such investments may be possible only at substantial discounts, and it may be extremely difficult to value any such investments accurately.

Recent Accounting Pronouncements

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606), which provides that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for such goods or services. To achieve this core principle, an entity should apply the following steps: (1) identify the contracts with a customer, (2) identify the performance obligations in the contracts, (3) determine the transaction prices, (4) allocate the transaction prices to the performance obligations in the contracts, and

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(5) recognize revenue when, or as, the entity satisfies a performance obligation. The guidance also requires advanced disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from an entity's contracts with customers.

In March 2016, the FASB issued ASU 2016-08, Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net), which clarified the implementation guidance on principal versus agent considerations. In April 2016, the FASB issued ASU 2016-10, Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, which clarified the implementation guidance regarding performance obligations and licensing arrangements. The new standard will become effective for the Company on January 1, 2018, with early application permitted to the effective date of January 1, 2017. The Company is evaluating the effect that ASU 2014-09 will have on its consolidated financial statements and related disclosures. The Company has not yet selected a transition method nor has it determined the effect of the standard on its ongoing financial reporting. The guidance does not apply to revenue associated with financial instruments, including loans and notes that are accounted for under other U.S. GAAP. As a result, the Company does not expect the new revenue recognition guidance to have a material impact on the elements of its consolidated statements of operations, most closely associated with financial instruments, including realized gains, fees, interest and dividend income. The Company plans to adopt the revenue recognition guidance in the first quarter of 2018. The Company’s implementation efforts include the identification of revenue within the scope of the guidance, as well as the evaluation of revenue contracts and related accounting policies. While the Company has not yet identified any material changes in the timing of revenue recognition, the Company's review is ongoing, and it continues to evaluate the presentation of certain contract costs.

Note 3. Investments

The following table summarizes the amortized cost and the fair value of the Company’s portfolio investments as of March 31, 2017:



	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	550,810,012	51.5	%	$	534,275,047	51.8	%
Senior secured second lien term loans	287,289,368		26.9		270,939,205		26.3
Senior secured first lien notes	63,173,911		5.9		64,853,852		6.3
Subordinated notes	48,603,325		4.5		47,353,946		4.6
Sierra Senior Loan Strategy JV I LLC	63,628,750		5.9		63,513,166		6.2
Warrants/Equity	56,282,582		5.3		51,114,740		5.0
Total	$	1,069,787,948	100.0	%	$	1,032,049,956	100.0	%

The following table summarizes the amortized cost and the fair value of the Company’s portfolio investments as of December 31, 2016:



	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	515,753,491	50.2	%	$	493,340,277	50.2	%
Senior secured second lien term loans	275,915,932		26.9		260,008,735		26.4
Senior secured first lien notes	72,767,547		7.1		71,970,598		7.3
Sierra Senior Loan Strategy JV I LLC	60,785,000		5.9		60,496,647		6.2
Subordinated Debt	53,041,209		5.2		55,185,590		5.6
Warrants/Equity	48,219,259		4.7		42,142,475		4.3
Total	$	1,026,482,438	100.0	%	$	983,144,322	100.0	%

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The following table shows the composition of the Company’s portfolio investments by industry classification at amortized cost and fair value at March 31, 2017:



	Amortized Cost		Percentage		Fair Value		Percentage
Services: Business	$	157,642,755	14.7	%	$	157,300,872	15.2	%
Multi-Sector Holdings	134,898,742		12.6		133,734,604		13.0
Construction & Building	85,883,271		8.0		84,432,140		8.2
Healthcare & Pharmaceuticals	78,348,836		7.3		72,665,680		7.0
Banking, Finance, Insurance & Real Estate	72,353,994		6.8		72,626,372		7.0
Aerospace & Defense	69,171,220		6.5		70,521,240		6.8
Hotel, Gaming & Leisure	71,435,477		6.7		62,753,358		6.1
Retail	68,177,914		6.4		58,038,805		5.6
High Tech Industries	42,733,861		4.0		42,096,853		4.1
Telecommunications	34,883,571		3.3		35,058,982		3.4
Energy: Oil & Gas	30,612,733		2.9		28,753,797		2.8
Transportation: Cargo	28,588,435		2.7		28,501,997		2.8
Automotive	32,192,747		3.0		24,636,827		2.4
Chemicals, Plastics & Rubber	22,696,006		2.1		22,772,721		2.2
Metals & Mining	21,889,280		2.0		21,837,058		2.1
Wholesale	21,700,077		2.0		21,114,886		2.0
Beverage & Food	18,924,370		1.8		19,211,870		1.9
Media: Advertising, Printing & Publishing	20,222,667		1.9		19,116,944		1.9
Media: Diversified & Production	15,247,000		1.4		16,664,198		1.6
Media: Broadcasting & Subscription	15,773,597		1.5		13,787,824		1.3
Capital Equipment	11,843,750		1.1		11,843,750		1.1
Transportation: Consumer	7,332,535		0.7		7,332,535		0.7
Services: Consumer	5,235,110		0.5		5,246,643		0.5
Consumer Goods: Non-Durable	2,000,000		0.2		2,000,000		0.2
Total	$	1,069,787,948	100.0	%	$	1,032,049,956	100.0	%

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The following table shows the composition of the Company’s portfolio investments by industry classification at amortized cost and fair value at December 31, 2016:



	Amortized Cost		Percentage		Fair Value		Percentage
Services: Business	$	159,797,762	15.6	%	$	149,451,149	15.2	%
Multi-Sector Holdings	128,326,209		12.5		130,182,237		13.3
Banking, Finance, Insurance & Real Estate	72,588,294		7.1		72,938,844		7.4
Aerospace & Defense	68,415,721		6.7		70,126,640		7.1
Hotel, Gaming & Leisure	71,197,643		6.9		69,640,838		7.1
Healthcare & Pharmaceuticals	75,853,228		7.4		69,382,894		7.1
Retail	71,315,882		6.9		61,292,231		6.2
Construction & Building	59,905,702		5.8		58,267,425		5.9
Telecommunications	37,511,289		3.7		37,580,414		3.8
Energy: Oil & Gas	38,245,386		3.7		33,048,939		3.4
Transportation: Cargo	28,797,584		2.8		28,493,057		2.9
High Tech Industries	26,733,476		2.6		25,888,925		2.6
Automotive	32,217,128		3.1		24,222,630		2.5
Wholesale	22,332,170		2.2		21,660,294		2.2
Metals & Mining	20,756,842		2.0		20,518,139		2.1
Media: Advertising, Printing & Publishing	20,267,753		2.0		19,306,587		2.0
Beverage & Food	18,949,580		1.8		19,282,080		2.0
Media: Broadcasting & Subscription	18,085,575		1.8		15,830,498		1.6
Media: Diversified & Production	15,247,000		1.5		15,733,786		1.6
Chemicals, Plastics & Rubber	15,515,124		1.5		15,726,190		1.6
Capital Equipment	11,937,500		1.2		12,088,629		1.2
Transportation: Consumer	7,280,374		0.7		7,280,374		0.7
Services: Consumer	5,205,216		0.5		5,201,522		0.5
Total	$	1,026,482,438	100.0	%	$	983,144,322	100.0	%

See Note 5 for industry classifications of the underlying TRS reference assets as of March 31, 2017 and December 31, 2016.

The following table shows the composition of the Company’s portfolio investments by geography classification at fair value as of March 31, 2017 and December 31, 2016:



	March 31, 2017				December 31, 2016
Geography	Fair Value		Percentage		Fair Value		Percentage
United States	$	959,265,746	93.0	%	$	905,925,975	92.1	%
Canada	2,562,772		0.2		7,532,757		0.8
Cayman Islands	70,221,438		6.8		69,685,590		7.1
Total	$	1,032,049,956	100.0	%	$	983,144,322	100.0	%

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Transactions With Affiliated Companies

During the three months ended March 31, 2017 and 2016, the Company had investments in portfolio companies designated as controlled/affiliated investments under the 1940 Act. Transactions with controlled/affiliated investments were as follows:



Name of Investment	Fair Value at December 31, 2016		Purchases/ (Sales) of Investments			Transfers In/(Out) of Investments		Net change in unrealized appreciation/ (depreciation)			Realized Gain/(Loss)		Fair Value at March 31, 2017		Income Earned
Access Media Holdings, LLC	$	—	$	140,691		$	6,868,420	$	105,094		$	—	$	7,114,205	$	264,393
Capstone Nutrition	16,246,819		(281,769		)	—		836,275			—		16,801,325		—
MCM Capital Office Park Holdings LLC	7,500,000		(155,844		)	—		—			—		7,344,156		—
Nomida LLC⁽¹⁾	13,500,000		—			—		—			—		13,500,000		202,500
Sierra Senior Loan Strategy JV I LLC⁽²⁾	60,496,647		2,843,750			—		172,769			—		63,513,166		1,837,500
TwentyEighty, Inc.	—		14,421,126			—		(25,119		)	—		14,396,007		193,006
Total	$	97,743,466	$	16,967,954		$	6,868,420	$	1,089,019		$	—	$	122,668,859	$	2,497,399



Name of Investment	Fair Value at December 31, 2015		Purchases/ (Sales) of Investments		Transfers In/(Out) of Investments		Net change in unrealized appreciation/ (depreciation)			Realized Gain/(Loss)		Fair Value at March 31, 2016		Income Earned
Nomida LLC⁽¹⁾	$	13,500,042	$	—	$	—	$	39		$	—	$	13,500,081	$	204,750
Sierra Senior Loan Strategy JV I LLC⁽²⁾	34,362,191		262,500		—		(27,137		)	—		34,597,554		726,250
Total	$	47,862,233	$	262,500	$	—	$	(27,098	)	$	—	$	48,097,635	$	931,000

_______________________________

(1)

Nomida, LLC ("Nomida") is a non-public real estate investment formed by the Company to purchase and develop a residential property. The Company is the sole equity shareholder of Nomida and has provided 100% of the debt financing to the entity. The Company acts as Nomida’s sole member responsible for Nomida’s daily operations. In addition, the Chief Financial Officer and Secretary of the Company also serves as President of Nomida. The assets of Nomida are comprised of a residential development property in the city of Chicago, IL and the proceeds of the loan from the Company; the liabilities of Nomida consist of the loan payable to the Company.

(2)

The Company and Great American Life Insurance Company ("GALIC") are the members of Sierra Senior Loan Strategy JV I LLC ("Sierra JV"), a joint venture formed as a Delaware limited liability company that is not consolidated by either member for financial reporting purposes. The members of Sierra JV make capital contributions as investments by Sierra JV are completed, and all portfolio and other material decisions regarding Sierra JV must be submitted to Sierra JV’s board of managers, which is comprised of an equal number of members appointed by each of the Company and GALIC. Approval of Sierra JV’s board of managers requires the unanimous approval of a quorum of the board of managers, with a quorum consisting of equal representation of members appointed by each of the Company and GALIC. Because management of Sierra JV is shared equally between the Company and GALIC, the Company does not have operational control over the Sierra JV for purposes of the 1940 Act or otherwise.

Purchases/(sales) of investments in controlled affiliates are included in the purchases and sales presented on the consolidated statements of cash flows for the three months ended March 31, 2017 and 2016. Transfers in/(out) of affiliates represents the fair value for the month an investment became or was removed as an affiliated investment. Income received from controlled affiliates is included in total investment income on the consolidated statements of operations for the three months ended March 31, 2017 and 2016.

In connection with certain of the Company’s investments, the Company receives warrants which are obtained for the objective of increasing the total investment returns and are not held for hedging purposes. As of March 31, 2017 and December 31, 2016, the total fair value of warrants were $8,836,376 and $16,466,519, respectively, and were included in investments at fair value on the consolidated statements of assets and liabilities. Total realized and change in unrealized gains (losses) related to warrants for the three months ended March 31, 2017 and 2016 were $(286,580) and $(765,614), respectively, and were recorded on the consolidated statements of operations in those accounts. The warrants are received in connection with individual investments and are not subject to master netting arrangements.

As of March 31, 2017, the Company held loans it has made directly to 69 investee companies with aggregate principal amounts of $941.0 million. As of December 31, 2016, the Company held loans it has made directly to 71 investee companies with aggregate principal amounts of $885.4 million. During the three months ended March 31, 2017 and 2016, the Company made 16 and 18 loans to investee companies, respectively, with aggregate principal amounts of $97.8 million and $89.3 million, respectively. The details of the Company’s loans have been disclosed on the consolidated schedule of investments as well as in Note 4.

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In addition to the loans that the Company has provided, the Company has unfunded commitments to provide additional financings through undrawn term loans or revolving lines of credit. The details of such arrangements are disclosed in Note 11.

Sierra Senior Loan Strategy JV I LLC

On March 27, 2015, the Company and GALIC entered into a limited liability company operating agreement to co-manage Sierra JV. All portfolio and other material decisions regarding Sierra JV must be submitted to Sierra JV's board of managers, which is comprised of four members, two of whom are selected by the Company and the other two are selected by GALIC. The Company has concluded that it does not operationally control Sierra JV. As the Company does not operationally control Sierra JV, it does not consolidate the operations of Sierra JV within the consolidated financial statements. As a practical expedient, the Company uses NAV to determine the fair value of its investment in Sierra JV; therefore, this investment has been presented as a reconciling item within the fair value hierarchy (see Note 4).

As of March 31, 2017 and December 31, 2016, Sierra JV had total capital commitments of $100 million, with the Company providing $87.5 million and GALIC providing $12.5 million. Approximately $72.7 million and $69.5 million was funded as of March 31, 2017 and December 31, 2016, relating to these commitments, of which $63.6 million and $60.9 million were from the Company, respectively. The Company does not have the right to withdraw any of their respective capital commitment, unless in connection with a transfer of its membership interests. The Company may transfer full membership interests as long as it is approved by all members and transferred in a transaction exempt from the registration requirements of the Securities Act of 1933, as amended, or applicable state securities laws.

On August 4, 2015, Sierra JV entered into a senior secured revolving credit facility the ("JV Facility") led by Credit Suisse, AG ("CS") with commitments of $100 million subject to certain leverage and borrowing base restrictions. On December 29, 2015, the JV Facility was amended and the total commitments were increased to $135 million. On March 31, 2017, the Company amended the JV Facility previously administered by CS and facilitated the assignment of all rights and obligations of CS under the JV Facility to Deutsche Bank AG, New York Branch, ("DB") and increased the total loan commitments to $240 million. The JV Facility bears interest at a rate of LIBOR (with no minimum) + 2.50% per annum. The JV Facility reinvestment period ends on March 30, 2019 and the stated maturity date is March 30, 2022. As of March 31, 2017 and December 31, 2016, there were $143.5 million and $123.9 million outstanding under the JV Facility, respectively.

The following table shows a summary of Sierra JV's portfolio as of March 31, 2017 and December 31, 2016:



	March 31, 2017			December 31, 2016
Senior secured loans⁽¹⁾	$	208,041,257		$	187,314,127
Weighted average current interest rate on senior secured loans⁽²⁾	6.80		%	6.73		%
Number of borrowers in the Sierra JV	44			40
Investments at fair value	$	204,428,398		$	183,657,487
Largest loan to a single borrower⁽¹⁾	$	11,462,500		$	10,000,000
Total of five largest loans to borrowers⁽¹⁾	$	42,663,118		$	39,387,481

______________________________


(1)	At par value.


(2)	Computed as the (a) annual stated interest rate on accruing senior secured loans, divided by (b) total senior secured loans at principal amount.

The following is a listing of the individual investments in Sierra JV's portfolio as of March 31, 2017:

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

4 Over International, LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

6/7/2022

11,462,500

AccentCare, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁵⁾

LIBOR + 5.750%, 1.000% Floor

9/3/2021

4,618,029

4,584,215

4,606,484

Amplify Snack Brands, Inc.

Beverage & Food

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

9/2/2023

5,970,000

5,915,141

5,815,855

APCO Holdings, Inc.

Automotive

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

1/31/2022

4,740,202

4,625,360

4,740,203

API Technologies Corp.

Aerospace & Defense

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

4/22/2022

5,955,000

5,853,946

5,976,676

Avantor Performance Materials Holdings, LLC

Chemicals, Plastics & Rubber

Senior Secured First Lien Term Loans⁽²⁾

LIBOR + 4.000%, 1.000% Floor

3/17/2024

2,878,788

2,871,332

2,903,977

Blount International, Inc.

Capital Equipment

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

4/12/2023

1,990,000

1,955,918

2,005,621

F-31

Table of Contents

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

Cardenas Markets LLC

Retail

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.750%, 1.000% Floor

4/12/2023

6,483,750

6,422,008

6,418,912

CD&R TZ Purchaser, Inc.

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

7/21/2023

6,467,500

6,379,505

6,376,890

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.500%, 1.000% Floor

3/31/2019

856,863

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁶⁾

LIBOR + 4.500%, 1.000% Floor

3/31/2019

357,026

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁶⁾

LIBOR + 6.000%, 1.000% Floor

3/31/2019

2,544,016

1,195,026

1,272,008

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁶⁾

LIBOR + 6.000%, 1.000% Floor

3/31/2019

1,558,081

—

CP OpCo, LLC

Services: Consumer

Common Stock

—

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.500%, 1.000% Floor

10/31/2021

564,956

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 9.500%, 1.000% Floor, PIK

10/31/2021

34,144

CRGT

High Tech Industries

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

2/28/2022

5,000,000

4,900,883

4,925,000

CSP Technologies North America, LLC

Containers, Packaging & Glass

Senior Secured First Lien Term Loans⁽⁷⁾

LIBOR + 6.000%, 1.000% Floor

1/0/1900

4,755,882

Elite Comfort Solutions LLC

Chemicals, Plastics & Rubber

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

1/15/2021

9,936,872

EVO Payments International, LLC

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term Loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

12/22/2023

3,500,000

3,466,117

3,526,250

Explorer Holdings, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

5/2/2023

1,240,625

1,229,811

1,253,031

GK Holdings, Inc.

Services: Business

Senior Secured First Lien Term Loan⁽¹⁾

LIBOR + 5.500%, 1.000% Floor

1/20/2021

4,019,019

4,000,641

3,998,924

Global Eagle Entertainment Inc.

Telecommunications

Senior Secured First Lien Term Loans⁽⁵⁾

LIBOR + 6.000%, 1.000% Floor

1/6/2023

4,200,000

4,124,802

4,122,006

GTCR Valor Companies, Inc.

Media: Diversified & Production

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.250%, 1.000% Floor

6/16/2023

7,436,271

7,169,728

7,436,271

Harbortouch Payments, LLC

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

5/31/2022

2,992,500

2,964,954

2,962,575

High Ridge Brands Co.

Consumer Goods: Non-Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

6/30/2022

3,101,562

3,059,233

3,101,563

Highline Aftermarket

Automotive

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.250%, 1.000% Floor

3/17/2024

3,250,000

3,233,769

3,241,875

Imagine! Print Solutions, LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

3/30/2022

5,946,824

5,900,446

5,946,823

Keystone Peer Review Organization Holdings, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term Loan⁽⁴⁾

ABR + 4.00%, 3.75% ABR Floor

12/28/2022

5,985,000

5,925,150

Kraton Polymers LLC

Chemicals, Plastics & Rubber

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

1/6/2022

2,166,471

2,095,720

2,166,471

MB Aerospace ACP Holdings II Corp.

Aerospace and Defense

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.750%, 1.000% Floor

12/15/2022

6,914,975

6,857,810

6,914,975

MWI Holdings, Inc.

Capital Equipment

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

6/29/2020

3,970,000

3,937,438

3,966,745

New Media Holdings II LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

6/4/2020

5,894,475

5,875,013

5,894,476

O2 Partners, LLC

Consumer Goods: Non-Durable

Senior Secured First Lien Term Loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

10/7/2022

6,467,500

6,407,745

6,402,825

PetroChoice Holdings, Inc.

Chemicals, Plastics & Rubber

Senior Secured First Lien Term Loans⁽³⁾

LIBOR + 5.000%, 1.000% Floor

9/3/2022

4,987,342

Pomeroy Group LLC

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

11/30/2021

5,157,554

5,022,144

5,072,661

PT Network, LLC

Healthcare & Pharmaceuticals

Senior Secured First Lien Term Loans⁽⁴⁾

LIBOR + 7.500%, 1.000% Floor

11/30/2021

2,992,500

F-32

Table of Contents

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

Quorum Health Corporation

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

4/29/2022

2,493,184

2,450,755

2,427,838

SCS Holdings I Inc.

Wholesale

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

10/30/2022

3,923,877

3,860,879

3,958,211

Southwest Dealer Services, Inc.

Automotive

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

3/16/2020

4,557,468

4,557,467

4,557,468

Sundial Group Holdings LLC

Consumer Goods: Non-Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

10/19/2021

5,700,000

5,613,288

5,700,000

Survey Sampling International, LLC

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

12/16/2020

2,969,687

2,946,138

2,969,686

TaxAct, Inc.

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

1/3/2023

718,287

709,317

718,286

The Garretson Resolution Group, Inc.

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

5/22/2021

4,781,250

4,811,372

TrialCard Incorporated

Services: Consumer

Senior Secured First Lien Term Loan⁽⁴⁾

LIBOR + 5.250%, 1.000% Floor

10/26/2021

6,912,500

6,849,315

6,912,500

Valence Surface Technologies, Inc.

Aerospace and Defense

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

6/13/2019

4,480,061

4,458,983

4,368,956

VIP Cinema

Consumer Goods: Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

3/1/2023

1,000,000

995,041

995,000

VCVH Holding Corp.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

6/1/2023

5,955,000

5,901,611

5,904,740

Victory Capital Operating, LLC

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 7.500%, 1.000% Floor

10/29/2021

3,241,367

3,220,246

3,269,728

Z Gallerie, LLC

Retail

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

10/8/2020

4,912,281

4,912,282

4,912,281

Total

208,041,189

203,238,362

204,428,398

___________________________


(1)	Represents the fair value in accordance with ASC 820 as determined by the board of managers of Sierra JV. The approval of the fair value of the portfolio investments held by Sierra JV is not included in the valuation process of the Board of Directors of the Company described elsewhere herein.


(2)	The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at March 31, 2017 was 0.98%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.


(3)	The interest rate on these loans is subject to a base rate plus 2 Month (“2M”) LIBOR, which at March 31, 2017 was 1.03%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 2M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.


(4)	The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at March 31, 2017 was 1.15%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 the base rate plus the LIBOR floor.


(5)	The interest rate on these loans is subject to a base rate plus 6 Month (“6M”) LIBOR, which at March 31, 2017 was 1.42%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 6M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 the base rate plus the LIBOR floor.


(6)	The investment was on non-accrual status as of March 31, 2017.

The following is a listing of the individual investments in Sierra JV's portfolio as of December 31, 2016:

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

4 Over International, LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

6/7/2022

2,475,000

AccentCare, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.750%, 1.000% Floor

9/3/2021

4,582,500

4,546,589

4,582,500

Amplify Snack Brands, Inc.

Beverage & Food

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

9/2/2023

5,985,000

5,927,893

5,810,418

APCO Holdings, Inc.

Automotive

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

1/31/2022

4,834,797

4,711,696

4,854,668

API Technologies Corp.

Aerospace & Defense

Senior Secured First Lien Term loans⁽²⁾⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

4/22/2022

5,970,000

5,863,757

5,915,434

Blount International, Inc.

Capital Equipment

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

4/12/2023

1,995,000

1,959,438

1,981,634

Cardenas Markets LLC

Retail

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.750%, 1.000% Floor

11/29/2023

6,500,000

6,435,814

6,435,000

CD&R TZ Purchaser, Inc.

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

7/21/2023

6,483,750

6,392,086

6,289,238

F-33

Table of Contents

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽³⁾⁽⁴⁾

LIBOR + 4.500%, 1.000% Floor

3/31/2019

564,956

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.500%, 1.000% Floor

3/31/2019

840,996

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁵⁾

LIBOR + 4.500%, 1.000% Floor

3/31/2019

350,415

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁵⁾

LIBOR + 6.000%, 1.000% Floor

3/31/2019

2,478,388

1,195,026

1,239,194

CP OpCo, LLC

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾⁽⁵⁾

LIBOR + 6.000%, 1.000% Floor

3/31/2019

1,558,081

—

CP OpCo, LLC

Services: Consumer

Common Units

—

CRGT Inc.

High Tech Industries

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

12/19/2020

4,068,160

4,060,486

4,068,160

Elite Comfort Solutions LLC

Chemicals, Plastics & Rubber

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

1/15/2021

10,000,000

10,100,000

Explorer Holdings, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

5/2/2023

1,243,750

1,232,468

1,252,208

GK Holdings, Inc.

Services: Business

Senior Secured First Lien Term loan⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

1/20/2021

4,029,298

4,009,681

4,109,884

GTCR Valor Companies, Inc.

Media: Diversified & Production

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

6/16/2023

8,955,000

8,621,284

8,843,063

Harbortouch Payments, LLC

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.750%, 1.000% Floor

10/31/2023

3,000,000

2,971,068

2,970,000

High Ridge Brands Co.

Consumer Goods: Non-Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.250%, 1.000% Floor

6/30/2022

3,109,375

3,064,948

3,062,734

HNC Holdings, Inc.

Construction & Building

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.500%, 1.000% Floor

10/5/2023

165,000

164,199

166,650

Imagine! Print Solutions, LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

3/30/2022

5,961,841

5,913,053

6,021,459

Keurig Green Mountain, Inc.

Beverage & Food

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

3/3/2023

3,100,783

3,063,634

3,100,783

Keystone Peer Review Organization Holdings, Inc.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

ABR + 4.00%, 3.75% ABR Floor

12/28/2022

6,000,000

5,940,000

Kraton Polymers LLC

Chemicals, Plastics & Rubber

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

1/6/2022

5,000,000

4,828,278

5,050,000

MB Aerospace ACP Holdings II Corp.

Aerospace and Defense

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

12/15/2022

6,932,481

6,872,697

6,932,481

MWI Holdings, Inc.

Capital Equipment

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

6/29/2020

3,980,000

3,944,879

3,970,050

New Media Holdings II LLC

Media: Advertising, Printing & Publishing

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

6/4/2020

5,909,552

5,888,526

5,909,552

O2 Partners, LLC

Consumer Goods: Non-Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

10/7/2022

6,483,750

6,421,171

6,418,913

Pomeroy Group LLC

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

11/30/2021

5,170,611

5,027,692

5,015,493

PT Network, LLC

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

11/30/2021

3,000,000

Quorum Health Corporation

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.750%, 1.000% Floor

4/29/2022

4,440,779

4,361,538

4,340,862

SCS Holdings I Inc.

Wholesale

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 4.250%, 1.000% Floor

10/30/2022

3,933,849

3,867,902

3,924,014

Southwest Dealer Services, Inc.

Automotive

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

3/16/2020

4,620,675

4,615,315

Sundial Group Holdings LLC

Consumer Goods: Non-Durable

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.250%, 1.000% Floor

10/19/2021

5,775,000

5,682,389

5,775,000

Survey Sampling International, LLC

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

12/16/2020

2,977,265

2,952,089

2,996,349

TaxAct, Inc.

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.000%, 1.000% Floor

1/3/2023

3,009,259

2,938,091

3,009,259

F-34

Table of Contents

Company

Industry

Type of Investment

Coupon Rate

Maturity

Par Amount

Cost

Fair Value⁽¹⁾

The Garretson Resolution Group, Inc.

Services: Business

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

5/22/2021

4,843,750

4,862,931

TrialCard Incorporated

Services: Consumer

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.250%, 1.000% Floor

10/26/2021

7,000,000

6,932,567

7,000,000

Valence Surface Technologies, Inc.

Aerospace and Defense

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.500%, 1.000% Floor

6/13/2019

3,688,249

3,664,493

3,571,737

VCVH Holding Corp.

Healthcare & Pharmaceuticals

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 5.000%, 1.000% Floor

6/1/2023

5,970,000

5,914,339

5,910,300

Victory Capital Operating, LLC

Banking, Finance, Insurance & Real Estate

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 7.500%, 1.000% Floor

10/29/2021

1,621,005

1,598,430

1,637,215

Western Digital Corporation

High Tech Industries

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 3.750%, 0.750% Floor

4/29/2023

3,781,000

3,707,843

3,818,810

Z Gallerie, LLC

Retail

Senior Secured First Lien Term loans⁽⁴⁾

LIBOR + 6.500%, 1.000% Floor

10/8/2020

4,924,812

Total

187,314,127

182,356,648

183,657,487

___________________________


(1)	Represents the fair value in accordance with ASC 820 as determined by the board of managers of Sierra JV. The approval of the fair value of the portfolio investments held by Sierra JV is not included in the valuation process of the Board of Directors of the Company described elsewhere herein.


(2)	The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at December 31, 2016 was 0.77%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.


(3)	The interest rate on a portion of these loans is subject to a base rate plus Alternate Base Rate ("ABR"). As the interest rate is subject to a minimum ABR Floor which was greater than the ABR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the ABR Floor.


(4)	The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at December 31, 2016 was 1.00%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 the base rate plus the LIBOR floor.


(5)	The investment was on non-accrual status as of December 31, 2016.

Below is certain summarized financial Information for the Sierra JV as of March 31, 2017 and December 31, 2016 and for the three months ended March 31, 2017 and 2016.



	March 31, 2017		December 31, 2016
Selected Consolidated Statement of Assets and Liabilities Information:
Investments in loans at fair value (cost: $203,238,362 and 182,356,648, respectively)	$	204,428,398	$	183,657,487
Cash and cash equivalents	11,371,006		8,222,344
Other Assets	3,357,386		700,901
Total Assets	$	219,156,790	$	192,580,732
Senior credit facility payable (net of deferred financing costs of $2,405,661 and $1,286,453, respectively)	141,094,339		122,624,547
Other liabilities	5,067,809		442,541
Interest payable	408,172		369,942
Total liabilities	$	146,570,320	$	123,437,030
Members’ capital	72,586,470		69,143,702
Total liabilities and members' capital	$	219,156,790	$	192,580,732



	Three months ended March 31, 2017			Three months ended March 31, 2016
Selected Consolidated Statement of Operations Information:
Total investment income	$	3,386,077		$	1,876,987
Total expenses	(1,494,332		)	(941,768		)
Net unrealized appreciation/(depreciation) of investments	79,886			(237,638		)
Net realized gain/(loss) of investments	421,869			19,394
Net income/(loss)	$	2,393,500		$	716,975

Note 4. Fair Value Measurements

The Company follows ASC 820 for measuring the fair value of portfolio investments. Fair value is the price that would be received in the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Where available, fair value is based on observable market prices or parameters, or derived from such prices or parameters. Where observable prices or inputs are not available, valuation models are applied. These valuation models involve some level of

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management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or market and the instruments’ complexity. The Company’s fair value analysis includes an analysis of the value of any unfunded loan commitments. Financial investments recorded at fair value in the consolidated financial statements are categorized for disclosure purposes based upon the level of judgment associated with the inputs used to measure their value. The valuation hierarchical levels are based upon the transparency of the inputs to the valuation of the investment as of the measurement date. The three levels are defined as follows. Investments which are valued using NAV as a practical expedient are excluded from this hierarchy:


•	Level 1 — Valuations based on quoted prices in active markets for identical assets or liabilities at the measurement date.

•

Level 2 — Valuations based on inputs other than quoted prices in active markets included in Level 1, which are either directly or indirectly observable at the measurement date. This category includes quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in non-active markets including actionable bids from third parties for privately held assets or liabilities, and observable inputs other than quoted prices such as yield curves and forward currency rates that are entered directly into valuation models to determine the value of derivatives or other assets or liabilities.

•

Level 3 — Valuations based on inputs that are unobservable and where there is little, if any, market activity at the measurement date. The inputs for the determination of fair value may require significant management judgment or estimation and is based upon management’s assessment of the assumptions that market participants would use in pricing the assets or liabilities. These investments include debt and equity investments in private companies or assets valued using the Market or Income Approach and may involve pricing models whose inputs require significant judgment or estimation because of the absence of any meaningful current market data for identical or similar investments. The inputs in these valuations may include, but are not limited to, capitalization and discount rates, beta and Earnings Before Interest, Taxes, Depreciation and Amortization ("EBITDA") multiples. The information may also include pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. The non-binding nature of consensus pricing and/or quotes accompanied by disclaimer would result in classification as Level 3 information, assuming no additional corroborating evidence.

In addition to using the above inputs in investment valuations, the Company employs the valuation policy approved by the board of directors that is consistent with ASC 820 (see Note 2). Consistent with the Company’s valuation policy, the Company evaluates the source of inputs, including any markets in which the Company’s investments are trading, in determining fair value.

The following table presents the fair value measurements of the Company’s total investments, by major class according to the fair value hierarchy, as of March 31, 2017:



Type of Investment ⁽¹⁾	Level 1		Level 2		Level 3		Total
Asset
Senior secured first lien term loans	$	—	$	—	$	534,275,047	$	534,275,047
Senior secured first lien notes	—		27,319,950		37,533,902		64,853,852
Senior secured second lien term loans	—		—		270,939,205		270,939,205
Subordinated notes	—		—		47,353,946		47,353,946
Warrants/Equity	1,119,054		—		49,995,686		51,114,740
Money market fund	10,514,676		—		—		10,514,676
Total	$	11,633,730	$	27,319,950	$	940,097,786	$	979,051,466
Sierra Senior Loan Strategy JV I LLC							$	63,513,166
Total Investments, at fair value							$	1,042,564,632

________________________________


(1)	Certain investments that are measured at fair value using NAV have not been categorized in the fair value hierarchy. The fair value amounts presented in

the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Consolidated Statements of Assets and Liabilities.



Derivative Instrument-Long Exposure	Level 1		Level 2		Level 3		Total
Liability
Total return swap with Citibank, N.A.	$	—	$	—	$	13,751,686	$	13,751,686

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The following table presents the fair value measurements of the Company’s total investments, by major class according to the fair value hierarchy, as of December 31, 2016:



Type of Investment⁽¹⁾	Level 1		Level 2		Level 3		Total
Asset
Senior secured first lien term loans	$	—	$	—	$	493,340,277	$	493,340,277
Senior secured first lien notes	—		25,540,638		46,429,960		71,970,598
Senior secured second lien term loans	—		—		260,008,735		260,008,735
Subordinated Notes	—		—		55,185,590
Warrants/equity	1,262,666		—		40,879,809		55,185,590
Money market fund	22,966,981		—		—		42,142,475
Total	$	24,229,647	$	25,540,638	$	895,844,371	$	945,614,656
Sierra Senior Loan Strategy JV I LLC							$	60,496,647
Total Investments, at fair value							$	1,006,111,303

________________________________


(1)	Certain investments that are measured at fair value using NAV have not been categorized in the fair value hierarchy. The fair value amounts presented in

the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Consolidated Statements of Assets and Liabilities.



Derivative Instrument-Long Exposure	Level 1		Level 2		Level 3		Total
Liability
Total return swap with Citibank, N.A.	$	—	$	—	$	13,647,330	$	13,647,330

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the three months ended March 31, 2017 based on the fair value hierarchy at March 31, 2017:



	Senior Secured First Lien Notes			Senior Secured First Lien Term Loans			Senior Secured Second Lien Term Loans			Subordinated Notes			Warrants/ Equity			Total Return Swap			Total
Balance, December 31, 2016	$	46,429,960		$	493,340,277		$	260,008,735		$	55,185,590		$	40,879,809		$	(13,647,330	)	$	882,197,041
Purchases	2,000,000			58,986,201			16,250,000			—			8,219,168			—			85,455,369
Sales	(2,890,699		)	(14,554,582		)	(5,000,000		)	(4,437,884		)	(498,723		)	—			(27,381,888		)
Transfers in	2,107,500			—			—			—			—			—			2,107,500
Transfers out	(10,182,288		)	—			—			—			—			—			(10,182,288		)
Amortization of discount/(premium)	4,850			182,844			106,663			(6,812		)	—			—			287,545
Paid-in-kind interest income	—			1,879,647			—			—			—			—			1,879,647
Net realized gains (losses)	(1,878,557		)	(11,094,711		)	16,773			6,812			—			—			(12,949,683		)
Net change in unrealized appreciation/ (depreciation)	1,943,136			5,878,249			(442,966		)	(3,393,760		)	1,052,554			(104,356		)	4,932,857
Balance, March 31, 2017	$	37,533,902		$	534,617,925		$	270,939,205		$	47,353,946		$	49,652,808		$	(13,751,686	)	$	926,346,100
Change in net unrealized appreciation (depreciation) in investments held as of March 31, 2017⁽¹⁾	$	493,907		$	(1,879,240	)	$	(225,795	)	$	(3,342,586	)	$	1,279,364		$	(104,356	)	$	(3,778,706	)

__________________________

(1) Amount is included in the related amount on investments and derivative instruments in the condensed consolidated statements of operations.

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the three months ended March 31, 2017, the Company recorded $10,182,288 in transfers from Level 3 to Level 2 and $2,107,500 in transfers from Level 2 to Level 3 due to availability of market data and observable valuation inputs to support the valuation. The Company recorded no other transfers between levels.

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the three months ended March 31, 2016 based on the fair value hierarchy at March 31, 2016:

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	Senior Secured First Lien Notes⁽¹⁾			Senior Secured Second Lien Notes			Senior Secured First Lien Term Loans			Warrants/ Equity			Total Return Swap			Total
Balance, December 31, 2015	$	47,477,500		$	514,638,093		$	278,645,462		$	13,243,836		$	(27,365,819	)	$	826,639,072
Purchases	450,000			40,823,374			21,288,751			15,047,498			—			77,609,623
Sales	—			(41,770,750		)	(7,000,000		)	—			—			(48,770,750		)
Transfers in	—			—			—			—			—			—
Transfers out	(9,068,366		)	—			—			—			—			(9,068,366		)
Amortization of discount/(premium)	(220		)	67,870			106,267			—			—			173,917
Paid-in-kind interest income	—			1,468,561			—			104,069			—			1,572,630
Net realized gains (losses)	—			44,543			—			—			—			44,543
Net change in unrealized appreciation/ (depreciation)	42,557			(5,917,958		)	(667,970		)	(1,290,637		)	(2,675,311		)	(10,509,319		)
Balance, March 31, 2016	$	38,901,471		$	509,353,733		$	292,372,510		$	27,104,766		$	(30,041,130	)	$	837,691,350
Change in net unrealized appreciation (depreciation) in investments held as of March 31, 2016⁽¹⁾	$	(788,661	)	$	(5,217,447	)	$	(667,970	)	$	(1,290,637	)	$	(2,675,311	)	$	(10,640,026	)

_____________________

(1)Amount is included in the related amount on investments and derivative instruments in the condensed consolidated statements of operations.

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the three months ended March 31, 2016, the Company recorded $9,068,366 in transfers from Level 3 to Level 2 due to availability of market data and observable valuation inputs to support the valuation. The Company recorded no other transfers between levels.

The following table presents the quantitative information about Level 3 fair value measurements of the Company’s total investments, as of March 31, 2017:



Type of Investment	Fair Value		Valuation techniques	Unobservable input⁽¹⁾	Range (weighted average)
Sr. Secured First Lien Term Loan	$	364,640,570	Income Approach (DCF)	Market yield	7.22% - 18.50% (9.66%)
Sr. Secured First Lien Term Loan	10,976,934		Market Approach (Guideline Comparable)	LTM and NTM Revenue Multiple	0.63x - 1.25x (0.82x) / 0.63x - 1.25x (0.82x)
Sr. Secured First Lien Term Loan	7,114,205		Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue, 2017 Revenue, Discount Rate	1.20x - 1.40x (1.30x) / 1.20x - 1.40x (1.30x) /15.50% - 17.50% (16.50%)
Sr. Secured First Lien Term Loan	1,850,998		Enterprise Value Analysis	Expected Proceeds	$1.0M - $2.0M ($1.9M)
Sr. Secured First Lien Term Loan	38,890,798		Market Approach (Guideline Comparable)/Income Approach (DCF)	2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	1.13x - 3.00x (1.89x) / 6.50x - 9.25x (7.19x) /15.50% - 21.50% (18.22%)
Sr. Secured First Lien Term Loan	16,801,325		Market Approach (Guideline Comparable)/Income Approach (DCF)	Run-Rate Revenue Multiple, 2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	0.50x - 1.00x (0.75x)/0.50x - 1.00x(0.75x)/5.50x - 6.50x (6.00x)/16.50% -20.50% (18.50%)
Sr. Secured First Lien Term Loan	3,216,510		Market Approach (Guideline Company)	LTM Revenue Multiple, 2017 Revenue Multiple, LTM EBITDA Multiple, 2017 EBITDA Multiple	0.5x - 1.00x (0.75x) / 0.5x - 1.00x (0.75x)/4.00x-5.00x (4.50x) /4.00x-5.00x (4.50x)
Sr. Secured First Lien Term Loan	100,845,307		Recent Arms-length transaction	Recent Arms-length transaction	N/A
Sr. Secured First Lien Notes	27,349,644		Income Approach (DCF)	Market Yield	7.82% - 12.00% (9.20%)
Sr. Secured First Lien Notes	122,658		Enterprise Valuation Analysis	Expected Proceeds	$0.1M - $0.2M ($0.1M)
Sr. Secured Second Lien Term Loan	237,220,275		Income Approach (DCF)	Market yield	8.67% - 89.12% (9.82%)
Sr. Secured Second Lien Term Loan	22,722,505		Recent Arms-length transaction	Recent Arms-length transaction	N/A
Sr. Secured Second Lien Term Loan	—		Market Approach (Guideline Comparable)	LTM Revenue Multiple, LTM EBITDA Multiple	0.50x - 1.00x (0.75x) / 6.00x - 7.00x (6.50x)

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Sr. Secured Second Lien Term Loan	10,996,425			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue Multiple, 2017 Revenue Multiple, LTM EBITDA Multiple, 2017 EBITDA Multiple, Discount Rate	0.40x-0.60x (0.50x)/0.40x-0.60x (0.50x)/8.75x-9.75x (9.25x) / 8.25x-9.25x (8.75x) /17.50% - 21.50% (19.50%)
Equity/Warrants	—			Enterprise Valuation Analysis	Expected Proceeds	$0.0M - $0.0M ($0.0M)
Equity/Warrants	996,255			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM EBITDA, Run-Rate Multiple, Discount rate	7.00x - 8.00x (7.50x)/7.00x - 8.00x (7.50x) /16.00%-18.00% (17.00%)
Preferred Equity	5,253,658			Income Approach (DCF)	Market Yield	17.01%-17.01% (17.01%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	1.13x - 3.00x (1.89x) / 6.50x - 9.25x (7.19x) /15.50% - 21.50% (18.22%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	Run-Rate Revenue Multiple, 2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	0.50x - 1.00x (0.75x)/0.50x - 1.00x(0.75x)/5.50x - 6.50x (6.00x)/16.50% -20.50% (18.50%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue, 2017 Revenue, Discount Rate	1.20x - 1.40x (1.30x) / 1.20x - 1.40x (1.30x) /15.50% - 17.50% (16.50%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	LTM EBITDA Multiple	12.50x - 13.50x (12.50x)
Equity/Warrants	3,835,540			Market Approach (Guideline Comparable)	LTM and NTM EBITDA Multiple	8.00x-9.00x (8.50x) /7.50x-8.50x (8.00x)
Equity/Warrants	1,102,626			Market Approach (Guideline Comparable) / Income Approach (DCF)	LTM and 2017 EBITDA Multiple, Discount Rate	4.50x-5.50x (5.00x) /4.50x-5.50x (5.00x) /14.00% - 16.00% (15.00%)
Equity/Warrants	9,013,865			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Preferred Equity	1,526,250			Market Approach (Guideline Comparable)	Book Value Multiple	1.00x-1.50x (1.25x)
Preferred Equity	5,400,000			Income Approach (DCF)	Discount Rate	20.00% - 28.00% (24.00%)
Subordinated Notes	47,353,946			Income Approach (DCF)	Discount Rate	10.50% - 14.50% (12.11%)
Subordinated Notes	22,867,492			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Total	$	940,097,786
Total Return Swap	(13,751,686		)	Income Approach (DCF)	Market yield	4.74% - 28.23% (8.63%)
Total	$	926,346,100

_________________________________


(1)	Represents amounts used when the Company has determined that market participants would use such multiples when measuring the fair value of these investments.

The following table presents the quantitative information about Level 3 fair value measurements of the Company’s total investments, as of December 31, 2016:



Type of Investment	Fair Value		Valuation techniques	Unobservable input⁽¹⁾	Range (weighted average)
Senior Secured First Lien Term Loan	$	339,728,530	Income Approach (DCF)	Market yield	7.44% - 18.50% (9.65%)
Senior Secured First Lien Term Loan	7,373,318		Market Approach (Guideline Comparable)	2016 and NTM Revenue Multiple	0.50x - 0.75x (0.63x)/0.50x - 0.75x (0.63x)
Senior Secured First Lien Term Loan	6,868,420		Market Approach (Guideline Comparable)	Revenue Generating Units	$393.75 - $525.00 ($459.38)
Senior Secured First Lien Term Loan	23,280,607		Market Approach (Guideline Comparable)/Income Approach (DCF)	NTM Revenue Multiple, NTM EBITDA Multiple Discount Rate	0.40x - 1.25x (1.09x) / 5.00x - 7.00x (6.57x) / 17.50% - 20.00% (18.93%)
Senior Secured First Lien Term Loan	20,885,087		Market Approach (Guideline Comparable)	NTM Revenue Multiple, Discount Rate	2.75x-3.25x (3.00x) /14.00%-16.00% (15.00%)
Senior Secured First Lien Term Loan	16,246,819		Market Approach (Guideline Comparable)/Income Approach (DCF)	Run-Rate Revenue Multiple, Run-Rate EBITDA Multiple, Discount Rate	0.50x - 1.00x (0.75x)/5.50x - 6.50x (6.00x)/18.50% - 21.50% (20.00%)
Senior Secured First Lien Term Loan	2,791,682		Market Approach (Guideline Comparable)	NTM Revenue Multiple, NTM EBITDA Multiple	0.5x - 1.00x (0.75x) /4.00x-5.00x (4.50x)
Senior Secured First Lien Term Loan	84,190,814		Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured First Lien Notes	32,142,804		Income Approach (DCF)	Market yield	7.57% - 115.94% (12.85%)
Senior Secured First Lien Notes	6,105,000		Recent Arms-length transaction	Recent Arms-length transaction	N/A

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Type of Investment	Fair Value			Valuation techniques	Unobservable input⁽¹⁾	Range (weighted average)
Senior Secured First Lien Notes	157,156			Enterprise Valuation Analysis	Estimated Liquidation Proceeds	$45.9M - $73.2M ($59.7M)
Senior Secured Second Lien Term Loan	242,539,805			Income Approach (DCF)	Market yield	8.29% - 10.05% (73.13%)
Senior Secured Second Lien Term Loan	6,472,505			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured Second Lien Term Loan	—			Market Approach (Guideline Comparable)	LTM Revenue Multiple, LTM EBITDA Multiple	0.5 - 1.0x (0.75x) / 6.0x - 7.0x (6.5x)
Senior Secured Second Lien Term Loan	10,996,425			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue Multiple, NTM Revenue Multiple, LTM EBITDA Multiple, NTM EBITDA Multiple, Discount Rate	0.40x-0.60x(0.50x) /0.40x-0.60x(0.50x) / 8.25x-9.25x (8.75x)/ 7.50x-8.50x (8.00x)/17.50%-21.50% (19.50%)
Equity/Warrants	—			Enterprise Valuation Analysis	Estimated Liquidation Proceeds	$45.9M - $73.2M ($59.7M)
Equity/Warrants	967,238			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM EBITDA, Run-Rate Multiple, Discount rate	7.00x - 8.00x (7.50x)/7.00x - 8.00x (7.50x) / 16.00%-18.00% (17.00%)
Equity/Warrants	5,051,193			Income Approach (DCF)	Market Yield	17.45%-17.45% (17.45%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	NTM Revenue Multiple, NTM EBITDA Multiple, Discount Rate	0.40x - 1.00x (0.90x)/5.00x - 7.00x (6.65x)/17.50% - 18.00% (17.59%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	Run-Rate Revenue Multiple, Run-Rate EBITDA Multiple, Discount Rate	0.50x - 1.00x (0.75x)/5.50x - 6.50x (6.00x)/18.50% - 21.50% (20.00%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	Revenue Generating Units	$393.75 - $525.00 ($459.38)
Equity/Warrants	—			Market Approach (Guideline Comparable)	NTM Revenue Multiple, Discount Rate	2.75x-3.25x (3.00x) /14.00%-16.00% (15.00%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	LTM EBITDA Multiple	12.5x - 13.5x (0.0x)
Equity/Warrants	4,265,419			Market Approach (Guideline Comparable) / Precedent Transaction	LTM and NTM EBITDA Multiple	4.50x-8.00x (7.10x) /4.50x-7.50x (6.72x)
Equity/Warrants	16,095,959			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Subordinated Notes	55,185,590			Income Approach (DCF)	Discount Rate	11.50% - 15.00% (13.21%)
Subordinated Notes	14,500,000			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Total	$	895,844,371
Total Return Swap	(13,647,330		)	Income Approach (DCF)	Market yield	4.43% - 73.13% (9.56%)
Total	$	882,197,041

________________________________


(1)	Represents amounts used when the Company has determined that market participants would use such multiples when measuring the fair value of these investments.

The significant unobservable inputs used in the fair value measurement of the Company’s debt and derivative investments are market yields. Increases in market yields would result in lower fair value measurements.

The significant unobservable inputs used in the fair value measurement of the Company’s warrants/equity investments are comparable company multiples of revenue or EBITDA for the latest twelve months (“LTM”), next twelve months (“NTM”) or a reasonable period a market participant would consider. Increases in EBITDA multiples in isolation would result in higher fair value measurement.

Note 5. Total Return Swap

On August 27, 2013, the Company, through its wholly-owned financing subsidiary, Arbor, entered into a total return swap (“TRS”) with Citibank, N.A. (“Citibank”) that is indexed to a basket of loans.

The TRS with Citibank enables Arbor, to obtain the economic benefit of the loans underlying the TRS, despite the fact that such loans will not be directly held or otherwise owned by Arbor, in return for an interest-type payment to Citibank.

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and are collectively referred to herein as the “TRS Agreement”. On March 21, 2014, Arbor amended and restated its Confirmation Letter Agreement (the “Amended Confirmation Agreement”) with Citibank. The Amended Confirmation Agreement increased the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $100 million to $200 million, and increased the interest rate payable to Citibank from LIBOR plus 1.30% per annum to LIBOR plus 1.35% per annum. On July 23, 2014, Arbor entered into the Second Amended and Restated Confirmation Letter Agreement with CitiBank to increase the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $200 million to $350 million. On June 8, 2015, Arbor entered into the Third Amended and Restated Confirmation Letter Agreement with CitiBank to decrease the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $350 million to $300 million. On March 21, 2016, Arbor entered into the Fourth Amended and Restated Confirmation Letter Agreement (the “Fourth Amended Confirmation Agreement”) with Citibank to extended the term of the TRS from March 21, 2016 through March 21, 2019 and increased the interest rate payable to Citi from LIBOR plus 1.35% per annum to LIBOR plus 1.65% per annum.

Pursuant to the terms of the TRS Agreement, as amended and subject to conditions customary for transactions of this nature, Arbor may select a portfolio of loans with a maximum market value (determined at the time each such loan becomes subject to the TRS) of $300 million, which is also referred to as the maximum notional amount of the TRS. Arbor receives from Citibank a periodic payment on set dates that is based upon any coupons, both earned and accrued, generated by the loans underlying the TRS, subject to limitations described in the Amended TRS Agreement as well as any fees associated with the loans included in the portfolio. Arbor pays to Citibank interest at a rate equal to one-month LIBOR plus 1.65% per annum. In addition, upon the termination or repayment of any loan subject to the TRS, Arbor either receives from Citibank the appreciation in the value of such loan, or pays to Citibank any depreciation in the value of such loan.

Citibank may terminate the TRS on or after the second anniversary of the effectiveness of the TRS. SIC Advisors may terminate the TRS on behalf of Arbor at any time upon providing 10 days prior notice to Citibank.

Arbor is required to pay a minimum usage fee in connection with the TRS of 1.65% on the amount equal to 85% of the average daily unused portion of the maximum amount permitted under the TRS. Such minimum usage fee will not apply during the first 365 days and last 60 days of the term of the TRS. Arbor will also pay Citibank customary fees in connection with the establishment and maintenance of the TRS. During the three months ended March 31, 2017 and 2016, Arbor paid $46,837 and $162,167 in minimum usage fees, respectively.

Arbor is required to initially cash collateralize a specified percentage of each loan (generally 25% to 35% of the market value of such loan) included under the TRS in accordance with margin requirements described in the Amended TRS Agreement. As of March 31, 2017 and December 31, 2016, Arbor has posted $88,800,000 and $79,620,942, respectively, in collateral to Citibank in relation to the TRS which is recorded on the consolidated statements of assets and liabilities as cash collateral on total return swap. Arbor may be required to post additional collateral from time to time as a result of a decline in the mark-to-market value of the portfolio of loans subject to the TRS. The obligations of Arbor under the Amended TRS Agreement are non-recourse to the Company and the Company’s exposure under the Amended TRS Agreement is limited to the value of the Company’s investment in Arbor, which generally equals the value of cash collateral provided by Arbor under the Amended TRS Agreement.

In connection with the TRS, Arbor has made customary representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar transactions. In addition to customary events of default and termination events included in the form ISDA 2002 Master Agreement, the Amended TRS Agreement contains the following termination events: (a) a failure to satisfy the portfolio criteria for at least 30 days; (b) a failure to post initial cash collateral or additional collateral as required by the Amended TRS Agreement; (c) a default by Arbor or the Company with respect to indebtedness in an amount equal to or greater than the lesser of $10,000,000 and 2% of the Company’s NAV at such time; (d) a merger of Arbor or the Company meeting certain criteria; (e) the Company or Arbor amending their respective constituent documents to alter their investment strategy in a manner that has or could reasonably be expected to have a material adverse effect; and (f) SIC Advisors ceasing to be the investment manager of Arbor or to have authority to enter into transactions under the Amended TRS Agreement on behalf of Arbor, and not being replaced by an entity reasonably acceptable to Citibank. As of March 31, 2017 and December 31, 2016, the Company did not have any derivatives with contingent features in net liability positions; therefore, if a trigger event had occurred, no amount would have been required to be posted by the Company.

The Company’s maximum credit risk exposure as of March 31, 2017 and December 31, 2016 is $89,967,521 and $80,910,105, respectively, which is recorded on the consolidated statements of assets and liabilities as cash collateral on total return swap and receivable due on total return swap.

The Company’s receivable from Citibank represents realized amounts from payments on underlying loans in the total return swap portfolio which as of March 31, 2017 and December 31, 2016 was $1,167,521 and $1,289,163, respectively, which is recorded on the consolidated statements of assets and liabilities as receivable due on total return swap. The Company does not offset collateral

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posted in relation to the TRS with any unrealized appreciation or depreciation outstanding in the consolidated statements of assets and liabilities as of March 31, 2017 or December 31, 2016.

Transactions in total return swap contracts during the three months ended March 31, 2017 and 2016 were as follows:



	2017			2016
Interest income and settlement from TRS portfolio	$	2,175,003		$	2,428,294
Traded gains on TRS loan sales	544,348			1,618
Total realized gains	$	2,719,351		$	2,429,912

Total change in unrealized gain/(loss)	$	(104,356	)	$	(2,675,311	)

The Company held only one derivative position as of the three months ended March 31, 2017 and December 31, 2016 which is and was subject to a Master Agreement (“MA”). The following table represents the Company’s gross and net amounts after offset under MA of the derivative assets and liabilities presented by derivative type net of the related collateral pledged by the Company as of March 31, 2017 and December 31, 2016:



	Gross Derivative Assets/ (Liabilities) Subject to MA			Derivative Amount Available for Offset		Net Amount Presented in the Consolidated Statements of Assets and Liabilities			Cash Collateral (received)/pledged ⁽¹⁾		Net Amount of Derivative Assets/(Liabilities)
March 31, 2017
Total Return Swap⁽¹⁾	$	(13,751,686	)	$	—	$	(13,751,686	)	$	13,751,686	$	—
December 31, 2016
Total Return Swap⁽¹⁾	$	(13,647,330	)	$	—	$	(13,647,330	)	$	13,647,330	$	—

______________________________


(1)	As of March 31, 2017 and December 31, 2016, $88,800,000 and $79,620,942, respectively, of cash was posted for intial margin requirements for the total return swap as reported on the consolidated statements of assets and liabilities as cash collateral on total return swap.

The following table shows the volume of the Company’s derivative transactions during the three months ended March 31, 2017 and 2016:



	2017		2016
Average notional par amount of contracts	$	247,066,820	$	209,255,183

The following is a summary of the TRS reference assets as of March 31, 2017:



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾		Fair Value		Unrealized Appreciation/ (Depreciation)
Acrisure, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.750%, 1.000% Floor	11/22/2023	2,500,000	$	2,475,000	$	2,537,500	$	62,500
AMC Entertainment Holdings, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 2.750%, 0.750% Floor	12/15/2023	1,000,000	997,500		1,008,130		10,630
AMF Bowling Centers, Inc	Services: Consumer	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.000%, 1.000% Floor	9/19/2023	6,825,394	6,723,013		6,859,521		136,508
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.500%, 1.000% Floor	9/2/2023	2,992,500	2,962,575		2,915,234		(47,341		)
AmWINS Group, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loans LIBOR + 6.750%, 1.000% Floor	1/25/2025	4,000,000	3,970,000		4,073,320		103,320
Answers Corporation	High Tech Industries	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 5.250%, 1.000% Floor	10/1/2021	14,775,000	14,257,875		6,611,813		(7,646,062		)
ANVC Merger Corp.	Aerospace & Defense	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.500%, 1.000% Floor	2/18/2021	4,679,780	4,632,982		4,650,531		17,549
AP Gaming I, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 8.250%, 1.000% Floor	12/21/2020	9,253,789	9,126,866		9,300,058		173,192

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾	Fair Value	Unrealized Appreciation/ (Depreciation)
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans LIBOR + 3.250%, 1.000% Floor	8/4/2022	2,000,000	2,000,000	2,008,500	8,500
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 3.750%, 1.000% Floor	11/3/2023	997,500	992,512	1,004,981	12,469
Atrium Innovations, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans LIBOR + 3.500%, 1.000% Floor	2/15/2021	5,000,000	4,993,750	5,037,500	43,750
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans LIBOR + 4.000%, 1.000% Floor	3/10/2024	161,616	161,212	163,030	1,818
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans LIBOR + 4.000%, 1.000% Floor	3/10/2024	3,838,384	3,828,788	3,871,970	43,182
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured Second Lien Term Loans LIBOR + 8.250%, 1.000% Floor	3/10/2025	42,105	41,684	42,158	474
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured Second Lien Term Loans LIBOR + 8.250%, 1.000% Floor	3/10/2025	957,895	948,316	959,092	10,776
BCPE Eagle Buyer LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans LIBOR + 4.250%, 1.000% Floor	3/16/2024	7,000,000	6,930,000	6,991,250	61,250
Comfort Holding, LLC	Consumer Goods: Durable	Senior Secured First Lien Term Loans LIBOR + 4.750%, 1.000% Floor	2/5/2024	7,000,000	6,930,000	7,030,660	100,660
Comfort Holding, LLC	Consumer Goods: Durable	Senior Secured Second Lien Term Loans LIBOR + 10.000%, 1.000% Floor	2/3/2025	1,500,000	1,440,000	1,440,000	—
ConvergeOne Holdings Corp.	Telecommunications	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.375%, 1.000% Floor	6/17/2020	2,493,606	2,456,202	2,484,255	28,053
CPI Holdco, LLC	Capital Equipment	Senior Secured First Lien Term Loans LIBOR + 4.000%, 1.000% Floor	3/21/2024	10,000,000	9,950,000	10,050,000	100,000
CSP Technologies North America, LLC	Containers, Packaging & Glass	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 6.000%, 1.000% Floor	1/29/2022	5,000,000	4,900,000	5,000,000	100,000
Encompass Digital Media, Inc	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.500%, 1.000% Floor	6/6/2021	4,875,000	4,850,625	4,612,969	(237,656	)
EVO Payments International, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans LIBOR + 5.000%, 1.000% Floor	12/22/2023	3,000,000	2,970,000	3,022,500	52,500
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 7.000%, 1.000% Floor	8/31/2020	1,222,222	1,100,000	1,151,187	51,187
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 7.125%, 1.250% Floor	9/30/2020	1,650,000	1,641,125	1,419,000	(222,125	)
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured Second Lien Term Loans⁽⁶⁾ LIBOR + 7.125%, 1.250% Floor	9/30/2020	2,596,305	2,676,375	1,849,868	(826,507	)
First Data Corporation	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 3.000%, 0.000% Floor	7/8/2022	1,000,000	1,000,000	1,007,290	7,290
Genex Services, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 4.250%, 1.000% Floor	5/28/2021	4,184,849	4,163,924	4,205,772	41,848
Global Eagle Entertainment Inc.	Telecommunications	Senior Secured First Lien Term Loans LIBOR + 6.000%, 1.000% Floor	1/6/2023	4,200,000	4,122,000	4,122,006	6
GTCR Valor Companies, Inc.	Media: Diversified & Production	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 6.000%, 1.000% Floor	6/16/2023	4,141,667	3,976,000	4,141,667	165,667

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾	Fair Value	Unrealized Appreciation/ (Depreciation)
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.750%, 1.000% Floor	10/13/2023	5,000,000	4,950,000	4,950,000	—
Hudson Products Holdings Inc	Capital Equipment	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.000%, 1.000% Floor	3/15/2019	1,710,904	1,702,350	1,591,141	(111,209	)
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 6.000%, 1.000% Floor	3/30/2022	4,964,677	4,903,914	4,964,677	60,763
Iqor US Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.000%, 1.000% Floor	4/1/2021	7,571,746	7,420,311	7,354,058	(66,253	)
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 8.250%, 1.000% Floor	11/29/2018	3,647,045	3,546,000	3,398,973	(147,027	)
Kraton Polymers LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans LIBOR + 4.000%, 1.000% Floor	1/6/2022	693,271	693,271	693,271	—
Kronos Incorporated	Services: Business	Senior Secured First Lien Term Loans⁽⁶⁾LIBOR + 4.000%, 1.000% Floor	11/1/2023	3,000,000	2,985,000	3,015,330	30,330
Kronos Incorporated	Services: Business	Senior Secured Second Lien Term Loans⁽⁶⁾ LIBOR + 8.250%, 1.000% Floor	11/1/2024	2,000,000	1,980,000	2,061,260	81,260
Leslie’s Poolmart, Inc.	Retail	Senior Secured First Lien Term Loans LIBOR + 3.750%, 1.000% Floor	8/16/2023	2,000,000	1,995,000	2,006,000	11,000
Lightstone HoldCo LLC	Utilities: Electric	Senior Secured First Lien Term Loans LIBOR + 5.500%, 1.000% Floor	1/30/2024	2,826,087	2,769,565	2,840,924	71,359
Lightstone HoldCo LLC	Utilities: Electric	Senior Secured First Lien Term Loans LIBOR + 5.500%, 1.000% Floor	1/30/2024	173,913	170,435	174,826	4,391
Livingston International, Inc.	Transportation: Cargo	Senior Secured Second Lien Term Loans⁽³⁾⁽⁶⁾ LIBOR + 8.250%, 1.250% Floor	4/17/2020	1,954,783	1,969,443	1,884,391	(85,052	)
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.000%, 1.000% Floor	6/7/2023	2,762,248	2,748,437	2,795,782	47,345
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,980,000	3,940,200	3,976,736	36,536
Neustar, Inc.	High Tech Industries	Senior Secured First Lien Term Loans LIBOR + 3.750%, 1.000% Floor	3/1/2024	2,000,000	1,990,000	2,022,500	32,500
Neustar, Inc.	High Tech Industries	Senior Secured Second Lien Term Loans LIBOR + 8.000%, 1.000% Floor	3/1/2025	1,000,000	985,000	1,008,750	23,750
Nine West Holdings, Inc.	Consumer goods: Non-durable	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 3.750%, 1.000% Floor	10/8/2019	5,850,000	5,835,375	4,109,625	(1,725,750	)
O2 Partners, LLC	Consumer goods: Non-durable	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 5.000%, 1.000% Floor	10/7/2022	1,496,250	1,481,288	1,481,288	—
Payless Inc.	Retail	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.000%, 1.000% Floor	3/11/2021	5,835,000	5,813,119	2,822,681	(2,990,438	)
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 3.250%, 1.000% Floor	1/26/2023	8,922,569	8,784,067	8,208,763	(575,304	)
PetroChoice Holdings, Inc.	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans LIBOR + 5.000%, 1.000% Floor	8/19/2022	5,000,000	5,000,000	5,000,000	—
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.750%, 1.000% Floor	7/27/2020	2,862,856	2,834,228	2,415,535	(418,693	)

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾		Fair Value		Unrealized Appreciation/ (Depreciation)
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loans⁽⁴⁾ LIBOR + 7.250%, 1.000% Floor	10/21/2024	6,500,000	6,472,500		6,472,505		5
Prime Security Services Borrower, LLC	Services: Consumer	Senior Secured First Lien Term Loans LIBOR + 3.250%, 1.000% Floor	5/2/2022	3,000,000	3,000,000		3,028,740		28,740
Rackspace Hosting, Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.000%, 1.000% Floor	11/3/2023	3,500,000	3,487,500		3,521,385		33,885
Resolute Investment Managers, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.500%, 1.000% Floor	4/30/2022	963,261	958,444		965,264		6,820
SCS Holdings I Inc.	High Tech Industries	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 4.250%, 1.000% Floor	10/30/2022	1,496,207	1,492,467		1,509,299		16,832
SESAC Holdco II LLC	Media: Broadcasting & Subscription	Senior Secured Second Lien Term Loans LIBOR + 7.250%, 1.000% Floor	2/24/2025	2,000,000	1,980,000		2,000,000		20,000
Silversea Cruise Finance	Hotel, Gaming & Leisure	Senior Secured First Lien Notes 0.0725	2/1/2025	1,000,000	1,000,000		1,045,000		45,000
Sungard Availability Services Capital Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 5.000%, 1.000% Floor	4/1/2019	7,989,438	7,956,046		7,719,794		(236,252		)
TaxACT Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 6.000%, 1.000% Floor	1/3/2023	672,328	661,047		672,328		11,281
Tensar Corporation	Capital Equipment	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.750%, 1.000% Floor	7/9/2021	11,574,536	11,458,790		10,600,307		(858,483		)
Travelclick, Inc	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 4.500%, 1.250% Floor	5/6/2021	4,721,014	4,673,804		4,768,224		94,420
tronc, Inc.	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans⁽³⁾⁽⁴⁾ LIBOR + 4.750%, 1.000% Floor	8/4/2021	6,902,778	6,833,750		6,902,778		69,028
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 4.000%, 1.000% Floor	8/18/2023	997,500	992,513		1,001,949		9,436
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loans⁽⁶⁾ LIBOR + 7.500%, 1.000% Floor	8/18/2024	500,000	495,000		508,750		13,750
US Shipping Partners LP	Transportation: Cargo	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 4.250%, 1.000% Floor	6/26/2021	1,688,831	1,676,165		1,587,501		(88,664		)
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.000%, 1.000% Floor	6/1/2023	995,000	985,050		986,602		1,552
Veresen Midstream Limited Partnership	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 3.250%, 1.000% Floor	3/31/2022	2,984,810	2,948,694		3,010,927		62,233
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 7.500%, 1.000% Floor	10/29/2021	3,287,671	3,263,355		3,316,438		53,083
Western Digital Corporation	High Tech Industries	Senior Secured First Lien Term Loans⁽⁴⁾ LIBOR + 2.750%, 0.750% Floor	4/29/2023	3,184,000	3,140,220		3,199,474		59,254
YRC Worldwide Inc.	Transportation: Cargo	Senior Secured First Lien Term Loans⁽³⁾⁽⁶⁾ LIBOR + 7.000%, 1.000% Floor	2/13/2019	9,360,646	$9,349,049		$9,215,182		$(133,866)
Total				267,456,979	$	264,359,721	$	250,380,720	$	(14,159,001	)
Total accrued interest income, net of expenses									407,315
Total unrealized depreciation on total return swap									$	(13,751,686	)

_____________________________


(1)	All investments are domiciled in the United States except for Livingston International, Inc., which is domiciled in Canada.


(2)	Represents the initial amount of par of an investment in which the TRS is referenced.


(3)	The investment is not a qualifying asset under the 1940 Act.

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(4)	The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at March 31, 2017 was 0.98%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.


(5)	The interest rate on these loans is subject to a base rate plus 2 Month (“2M”) LIBOR, which at March 31, 2017 was 1.03%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 2M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.


(6)	The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at March 31, 2017 was 1.15%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at March 31, 2017, the prevailing rate in effect at March 31, 2017 was the base rate plus the LIBOR floor.

The following is a summary of the TRS reference assets as of December 31, 2016:



Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾		Fair Value		Unrealized Appreciation/(Depreciation)
Acrisure, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.750%, 1.000% Floor	11/22/2023	2,500,000	$	2,475,000	$	2,527,350	$	52,350
Albertson's LLC	Retail	Senior Secured First Lien Term Loans⁽³⁾⁽⁵⁾LIBOR + 3.000%, 0.750% Floor	8/25/2021	2,000,000	2,000,000		2,022,080		22,080
AMC Entertainment Holdings, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 2.750%, 0.750% Floor	12/15/2023	2,000,000	1,995,000		2,018,500		23,500
AMF Bowling Centers, Inc	Services: Consumer	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.000%, 1.000% Floor	9/19/2023	6,842,500	6,739,863		6,821,151		81,288
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.500%, 1.000% Floor	9/2/2023	3,000,000	2,970,000		2,912,490		(57,510		)
Answsers Corporation	High Tech Industries	Senior Secured First Lien Term Loans⁽⁵⁾LIBOR + 5.250%, 1.000% Floor	10/1/2021	14,775,000	14,257,875		7,313,625		(6,944,250		)
ANVC Merger Corp.	Aerospace & Defense	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.500%, 1.000% Floor	2/18/2021	4,691,841	4,644,923		4,656,653		11,730
AP Gaming I, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 8.250%, 1.000% Floor	12/21/2020	10,645,102	10,476,828		10,574,099		97,271
Astro AB Borrower, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.500%, 1.000% Floor	4/30/2022	965,761	960,932		974,211		13,279
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 3.750%, 1.000% Floor	11/3/2023	1,000,000	995,000		1,013,750		18,750
Atkore International, Inc	Wholesale	Senior Secured First Lien Term Loans⁽³⁾⁽⁷⁾ LIBOR + 3.000%, 1.000% Floor	12/22/2023	3,000,000	2,992,500		3,022,500		30,000
ConvergeOne Holdings Corp.	Telecommunications	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.375%, 1.000% Floor	6/17/2020	2,500,000	2,462,500		2,487,500		25,000
CSP Technologies North America, LLC	Containers, Packaging & Glass	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 6.000%, 1.000% Floor	1/29/2022	9,780,882	9,585,265		9,634,169		48,904
Encompass Digital Media, Inc	Media: Broadcasting & Subscription	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.500%, 1.000% Floor	6/6/2021	4,887,500	4,863,063		4,618,688		(244,375		)
EVO Payments International, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽³⁾ LIBOR + 5.000%, 1.000% Floor	12/22/2023	3,000,000	2,970,000		2,970,000		—
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 7.000%, 1.000% Floor	8/31/2020	1,222,222	1,100,000		1,155,000		55,000
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 7.125%, 1.250% Floor	9/30/2020	1,650,000	1,641,125		1,431,375		(209,750		)
Fieldwood Energy LLC	Energy: Oil & Gas	Senior Secured Second Lien Term Loans⁽⁷⁾ LIBOR + 7.125%, 1.250% Floor	9/30/2020	2,596,305	2,676,375		1,817,414		(858,961		)
First Data Corporation	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(⁵⁾LIBOR + 3.000%, 0.000% Floor	7/8/2022	1,000,000	1,000,000		1,010,210		10,210

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾	Fair Value	Unrealized Appreciation/(Depreciation)
Flex Acquisition Company, Inc.	Containers, Packaging & Glass	Senior Secured First Lien Term Loans⁽³⁾⁽⁷⁾ LIBOR + 3.250%, 1.000% Floor	12/29/2023	1,000,000	995,000	1,008,330	13,330
Four Seasons Holdings Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 3.000%, 0.750% Floor	11/30/2023	1,000,000	995,000	1,011,250	16,250
Genex Services, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 4.250%, 1.000% Floor	5/28/2021	2,942,374	2,927,662	2,920,306	(7,356	)
GTCR Valor Companies, Inc.	Media: Diversified & Production	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 6.000%, 1.000% Floor	6/16/2023	4,987,500	4,788,000	4,925,156	137,156
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.750%, 1.000% Floor	10/13/2023	5,000,000	4,950,000	4,950,000	—
HNC Holdings, Inc.	Construction & Building	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.500%, 1.000% Floor	10/5/2023	572,000	569,140	577,720	8,580
Hudson Products Holdings Inc	Capital Equipment	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	3/15/2019	1,862,892	1,853,578	1,632,360	(221,218	)
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 6.000%, 1.000% Floor	3/30/2022	4,977,182	4,916,266	5,026,954	110,688
Iqor US Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.000%, 1.000% Floor	4/1/2021	7,591,111	7,439,289	7,230,533	(208,756	)
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 8.250%, 1.000% Floor	11/29/2018	3,697,045	3,595,250	3,441,172	(154,078	)
J.D. Power and Associates	Services: Consumer	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.250%, 1.000% Floor	9/7/2023	2,000,000	1,990,000	2,017,500	27,500
Kronos Incorporated	Services: Business	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	11/1/2023	3,000,000	2,985,000	3,035,160	50,160
Kronos Incorporated	Services: Business	Senior Secured Second Lien Term Loans⁽⁷⁾ LIBOR + 8.250%, 1.000% Floor	11/1/2024	2,000,000	1,980,000	2,058,760	78,760
Lightstone HoldCo LLC	Utilities: Electric	Senior Secured First Lien Term Loans⁽³⁾ LIBOR + 5.500%, 1.000% Floor	1/30/2024	2,739,130	2,684,348	2,769,946	85,598
Lightstone HoldCo LLC	Utilities: Electric	Senior Secured First Lien Term Loans⁽³⁾ LIBOR + 5.500%, 1.000% Floor	1/30/2024	260,870	255,652	263,804	8,152
Livingston International, Inc.	Transportation: Cargo	Senior Secured Second Lien Term Loans⁽⁴⁾⁽⁷⁾ LIBOR + 8.250%, 1.250% Floor	4/17/2020	1,954,783	1,969,443	1,862,321	(107,122	)
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	6/7/2023	2,870,317	2,855,965	2,917,993	62,028
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,990,000	3,950,100	3,980,025	29,925
Nine West Holdings, Inc.	Consumer goods: Non-durable	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 3.750%, 1.000% Floor	10/8/2019	5,865,000	5,850,338	3,606,975	(2,243,363	)
O2 Partners, LLC	Consumer goods: Non-durable	Senior Secured First Lien Term Loans⁽⁶⁾ LIBOR + 5.000%, 1.000% Floor	10/7/2022	1,500,000	1,485,000	1,485,000	—
Payless Inc.	Retail	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	3/11/2021	5,850,000	5,828,063	3,017,606	(2,810,457	)
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	1/26/2023	5,940,050	5,821,249	5,965,533	144,284

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾	Fair Value	Unrealized Appreciation/(Depreciation)
Polycom, Inc.	Wholesale	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 6.500%, 1.000% Floor	9/27/2023	1,946,667	1,868,800	1,953,967	85,167
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.750%, 1.000% Floor	7/27/2020	2,870,178	2,841,476	2,421,713	(419,763	)
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 3.250%, 1.000% Floor	10/23/2023	3,000,000	2,985,000	3,015,000	30,000
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loans⁽⁵⁾ LIBOR + 7.250%, 1.000% Floor	10/21/2024	6,500,000	6,472,500	6,472,505	5
Rackspace Hosting, Inc.	Services: Business	Senior Secured First Lien Term Loans⁽³⁾ LIBOR + 3.500%, 1.000% Floor	11/3/2023	1,000,000	1,000,000	1,000,000	—
Rackspace Hosting, Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	11/3/2023	2,500,000	2,487,500	2,530,200	42,700
SCS Holdings I Inc.	High Tech Industries	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 4.250%, 1.000% Floor	10/30/2022	1,500,000	1,496,250	1,496,250	—
Sungard Availability Services Capital Inc.	Services: Business	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 5.000%, 1.000% Floor	4/1/2019	7,989,438	7,956,046	7,716,439	(239,607	)
TaxACT Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 6.000%, 1.000% Floor	1/3/2023	2,705,882	2,634,706	2,705,882	71,176
Tensar Corporation	Capital Equipment	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.750%, 1.000% Floor	7/9/2021	11,574,536	11,458,791	10,417,083	(1,041,708	)
TravelCLICK, Inc	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 4.500%, 1.250% Floor	5/6/2021	4,732,805	4,685,477	4,738,721	53,244
tronc, Inc.	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans⁽⁴⁾⁽⁵⁾ LIBOR + 4.750%, 1.000% Floor	8/4/2021	7,000,000	6,930,000	6,973,750	43,750
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	8/18/2023	1,000,000	995,000	1,012,000	17,000
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loans⁽⁷⁾ LIBOR + 7.500%, 1.000% Floor	8/18/2024	500,000	495,000	513,125	18,125
US Shipping Partners LP	Transportation: Cargo	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 4.250%, 1.000% Floor	6/26/2021	1,856,284	1,842,362	1,786,673	(55,689	)
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 5.000%, 1.000% Floor	6/1/2023	997,500	987,525	987,525	—
Veresen Midstream Limited Partnership	Energy: Oil & Gas	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.250%, 1.000% Floor	3/31/2022	2,992,405	2,956,197	3,009,851	53,654
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 7.500%, 1.000% Floor	10/29/2021	1,625,357	1,600,977	1,641,611	40,634
Vistra Operations Company LLC	Energy: Electricity	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	8/4/2023	3,257,143	3,224,571	3,294,307	69,736
Vistra Operations Company LLC	Energy: Electricity	Senior Secured First Lien Term Loans⁽⁷⁾ LIBOR + 4.000%, 1.000% Floor	8/4/2023	742,857	735,429	751,334	15,905
Vistra Operations Company LLC	Energy: Electricity	Senior Secured First Lien Term Loans⁽³⁾⁽⁵⁾ LIBOR + 3.250%, 0.750% Floor	12/14/2023	1,500,000	1,496,250	1,518,750	22,500
Western Digital Corporation	High Tech Industries	Senior Secured First Lien Term Loans⁽⁵⁾ LIBOR + 3.750%, 0.750% Floor	4/29/2023	3,192,000	3,148,110	3,223,920	75,810

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Company⁽¹⁾	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost⁽²⁾		Fair Value		Unrealized Appreciation/(Depreciation)
YRC Worldwide Inc.	Transportation: Cargo	Senior Secured First Lien Term loans⁽⁴⁾⁽⁷⁾ LIBOR + 7.000%, 1.000% Floor	2/13/2019	9,737,187	9,725,122		9,627,643		(97,479		)
Total				230,377,606	$	227,513,681	$	213,493,418	$	(14,020,263	)
Total accrued interest income, net of expenses									372,934
Total unrealized depreciation on total return swap									$	(13,647,330	)

_____________________________


(1)	All investments are domiciled in the United States except for Livingston International, Inc., which is domiciled in Canada.


(2)	Represents the initial amount of par of an investment in which the TRS is referenced.


(3)	The referenced asset or portion thereof is unsettled as of December 31, 2016.


(4)	The investment is not a qualifying asset under the 1940 Act.


(5)	The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at December 31, 2016 was 0.77%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.


(6)	The interest rate on these loans is subject to a base rate plus 2 Month (“2M”) LIBOR, which at December 31, 2016 was 0.82%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 2M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.


(7)	The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at December 31, 2016 was 1.00%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.

Note 6. Borrowings

The following table shows the Company's outstanding debt as of March 31, 2017 and December 31, 2016:



	March 31, 2017							December 31, 2016
	Total Commitment		Balance Outstanding			Unused Commitment		Total Commitment		Balance Outstanding			Unused Commitment
ING Credit Facility	$	175,000,000	$	145,000,000		$	30,000,000	$	175,000,000	$	150,000,000		$	25,000,000
Alpine Credit Facility	300,000,000		255,000,000			45,000,000		300,000,000		240,000,000			60,000,000
Total before deferred financing costs	475,000,000		400,000,000			75,000,000		475,000,000		390,000,000			85,000,000
Unamortized deferred financing costs	—		(4,012,063		)	—		—		(4,340,533		)	—
Total borrowings outstanding, net	$	475,000,000	$	395,987,937		$	75,000,000	$	475,000,000	$	385,659,467		$	85,000,000

As a BDC, the Company is only allowed to employ leverage to the extent that its asset coverage, as defined in the 1940 Act, equals at least 200% after giving effect to such leverage. The amount of leverage that the Company employs at any time depends on its assessment of the market and other factors at the time of any proposed borrowing.

The fair value of the Company’s debt obligation is determined in accordance with ASC 820, which defines fair value in terms of the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value of the Company’s margin borrowings are estimated based upon market interest rates for its own borrowings or entities with similar credit risk, adjusted for nonperformance risk, if any. The Company’s debt obligation is recorded at its carrying value, which approximates fair value.

ING Credit Facility

On August 12, 2016, the Company amended its existing senior secured syndicated revolving credit facility (the “ING Credit Facility”) pursuant to a Senior Secured Revolving Credit Agreement (the “Revolving Credit Agreement”) with certain lenders party thereto from time to time and ING Capital LLC, as administrative agent. The ING Credit Facility matures on August 12, 2020 and is secured by substantially all of the Company’s assets, subject to certain exclusions as further set forth in an Amended and Restated Guarantee, Pledge and Security Agreement (the “Security Agreement”) entered into in connection with the Revolving Credit Agreement, among the Company, the subsidiary guarantors party thereto, ING Capital LLC, as Administrative Agent, each Financial Agent and Designated Indebtedness Holder party thereto and ING Capital LLC, as Collateral Agent. The ING Credit Facility also includes usual and customary representations, covenants and events of default for senior secured revolving credit facilities of this nature. On February 13, 2015, commitments to the ING credit facility were expanded from $150,000,000 to $170,000.000. On August 12, 2016, commitments to the ING credit facility were expanded from $170,000,000 to $175,000,000.

The ING Credit Facility allows for the Company, at its option, to borrow money at a rate of either (i) an alternate base rate plus 1.50% per annum or (ii) LIBOR plus 2.50% per annum. The interest rate margins are subject to certain step-downs upon the satisfaction of certain conditions described in the Revolving Credit Agreement. The alternate base rate will be the greatest of (i) the U.S. Prime Rate set forth in the Wall Street Journal, (ii) the federal funds effective rate plus 1/2 of 1%, and (iii) three month LIBOR plus 1.00%. As of March 31, 2017 and December 31, 2016, the commitment under the ING Credit Facility was $175,000,000, and the ING Credit Facility includes an accordion feature that allows for potential future expansion of the ING Credit Facility up to a

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total of $500,000,000. Availability of loans under the ING Credit Facility is linked to the valuation of the collateral pursuant to a borrowing base mechanism.

The Company is also required to pay a commitment fee to the lenders based on the daily unused portion of the aggregate commitments under the ING Credit Facility. The commitment fee is (i) 1.50% if the used portion of the aggregate commitments is less than or equal to 40%, (ii) 0.75% if the used portion of the aggregate commitments is greater than 40% and less than or equal to 65% or (iii) 0.50% if the used portion of the aggregate commitments is greater than 65%. The ING Credit Facility provides that the Company may use the proceeds of the facility for general corporate purposes, including making investments in accordance with the Company’s investment objective and strategy.

Borrowings under the Revolving Credit Agreement are subject to, among other things, a minimum borrowing base. Substantially all of the Company’s assets are pledged as collateral under the Revolving Credit Agreement. The ING Credit Facility requires the Company to, among other things (i) make representations and warranties regarding the collateral as well the Company’s business and operations, (ii) agree to certain indemnification obligations, and (iii) agree to comply with various affirmative and negative covenants. The documents for the Revolving Credit Agreement also include default provisions, such as the failure to make timely payments under the Revolving Credit Agreement, the occurrence of a change in control, and the failure by the Company to materially perform under the operative agreements governing the Revolving Credit Agreement, which, if not complied with, could accelerate repayment under the Revolving Credit Agreement, thereby materially and adversely affecting the Company’s liquidity, financial condition and results of operations.

In connection with the security interest established under the Security Agreement, the Company, ING Capital LLC, in its capacity as collateral agent, and State Street Bank and Trust Company, in its capacity as the Company’s custodian, entered into a control agreement dated as of December 4, 2013, in order to, among other things, perfect the security interest granted pursuant to the Security Agreement in, and provide for control over, the related collateral.

As of March 31, 2017 and December 31, 2016, the carrying amount of the Company’s borrowings under the ING Credit Facility approximated their fair value. The fair value of the Company’s debt obligation is determined in accordance with ASC 820, which defines fair value in terms of the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value of the Company’s borrowing under the ING Credit Facility is estimated based upon market interest rates of the Company’s borrowing or entities with similar credit risk, adjusted for nonperformance risk, if any. As of March 31, 2017 and December 31, 2016, the ING Credit Facility would be deemed to be Level 3, as defined in Note 4.

As of March 31, 2017 and December 31, 2016, $2,561,913 and $2,746,766, respectively, of financing costs related to the ING Credit Facility have been capitalized and are being amortized over the respective terms. The following table shows additional information about the interest and financing costs related to the ING Credit Facility for the three months ended March 31, 2017 and 2016:



	2017			2016
Interest expense related to the ING Credit Facility	$	1,045,123		$	1,142,397
Financing expenses related to the ING Credit Facility	203,603			168,257
Total Interest and financing expenses related to the ING Credit Facility	$	1,248,726		$	1,310,654

Weighted average outstanding debt balance of the ING Credit Facility	$	113,388,889		$	127,417,582
Weighted average interest rate of the ING Credit Facility	3.7		%	3.6		%

Alpine Credit Facility

On July 23, 2014, the Company’s wholly-owned, special purpose financing subsidiary, Alpine, entered into a revolving credit facility (the “Alpine Credit Facility”) pursuant to a Loan Agreement with JPMorgan Chase Bank, National Association (“JPMorgan”), as administrative agent and lender, the Financing Providers from time to time party thereto, SIC Advisors, as the portfolio manager, and the Collateral Administrator, Collateral Agent and Securities Intermediary party thereto (the “Loan Agreement”). Alpine’s obligations to JPMorgan under the Alpine Credit Facility are secured by a first priority security interest in substantially all of the assets of Alpine, including its portfolio of loans. The obligations of Alpine under the Alpine Credit Facility are non-recourse to the Company.

The Alpine Credit Facility provides for borrowings in an aggregate principal amount up to $300,000,000 on a committed basis. Borrowings under the Alpine Credit Facility are subject to compliance with a NAV coverage ratio with respect to the current value of Alpine’s portfolio and various eligibility criteria must be satisfied with respect to the initial acquisition of each loan in Alpine’s portfolio. Any amounts borrowed under the Alpine Credit Facility will mature, and all accrued and unpaid interest thereunder will be due and payable, on July 23, 2019.

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Pricing under the Alpine Credit Facility for each one month calculation period is based on LIBOR for an interest period of one month, plus a spread of 3.25% per annum. If LIBOR is unavailable, pricing will be determined at the prime rate offered by JPMorgan or the federal funds effective rate, plus a spread of 3.25% per annum. Interest is payable monthly in arrears. Since February 23, 2015, Alpine has been required to pay a commitment fee equal to 0.50% on the average daily unused amount of the financing commitments to the extent $150,000,000 has not been borrowed. The first amendment to the Alpine Credit Facility increased the aggregate principal amount from $150,000,000 to $300,000,000 on February 6, 2015.

Borrowings of Alpine are considered borrowings of the Company for purposes of complying with the asset coverage requirements under the 1940 Act, applicable to business development companies.

Pursuant to a Sale and Contribution Agreement entered into between the Company and Alpine (the “Sale Agreement”) in connection with the Alpine Credit Facility, the Company may sell loans or contribute cash or loans to Alpine from time to time and will retain a residual interest in any assets contributed through its ownership of Alpine or will receive fair market value for any assets sold to Alpine. In certain circumstances the Company may be required to repurchase certain loans sold to Alpine. In addition to the acquisition of loans pursuant to the Sale Agreement, Alpine may purchase additional assets from various sources. Alpine has appointed SIC Advisors to manage its portfolio of assets pursuant to the terms of a Portfolio Management Agreement between SIC Advisors and Alpine.

As of March 31, 2017 and December 31, 2016, the carrying amount of the Company’s borrowings under the Alpine Credit Facility approximated the fair value of the Company’s debt obligation. The fair value of the Company’s debt obligation is determined in accordance with ASC 820, which defines fair value in terms of the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value of the Company’s borrowings under the Alpine Credit Facility is estimated based upon market interest rates of the Company’s borrowings or entities with similar credit risk, adjusted for nonperformance risk, if any. At March 31, 2017, the Alpine Credit Facility would be deemed to be Level 3, as defined in Note 4.

As of March 31, 2017 and December 31, 2016, $1,450,150 and $1,593,767, respectively, of financing costs related to the Alpine Credit Facility has been capitalized and is being amortized over the respective terms. The following table shows additional information about the interest and financing costs related to the Alpine Credit Facility for the three months ended March 31, 2017 and 2016:



	2017			2016
Interest expense related to the Alpine Credit Facility	$	2,551,741		$	2,298,320
Financing expenses related to the Alpine Credit Facility	143,617			145,213
Total Interest and financing expenses related to the Alpine Credit Facility	$	2,695,358		$	2,443,533

Weighted average outstanding debt balance of the Alpine Credit Facility	$	247,500,000		$	240,000,000
Weighted average interest rate of the Alpine Credit Facility	4.1		%	3.7		%

Note 7. Agreements

Investment Advisory Agreement

On April 5, 2012, the Company entered into an investment advisory agreement (the “Investment Advisory Agreement”) with SIC Advisors to manage the Company’s investment activities. The Investment Advisory Agreement became effective as of April 17, 2012, the date that the Company met its minimum offering requirement. Pursuant to the 1940 Act, the initial term of the Investment Advisory Agreement was for two years from its effective date, with one-year renewals subject to approval by the Company’s board of directors, a majority of whom must be independent directors. On March 1, 2017, the Company’s board of directors approved the renewal of the Investment Advisory Agreement for an additional one-year term at an in-person meeting. Pursuant to the Investment Advisory Agreement, SIC Advisors implements the Company’s business strategy on a day-to-day basis and performs certain services for the Company, subject to oversight by the Company’s board of directors. SIC Advisors is responsible for, among other duties, determining investment criteria, sourcing, analyzing and executing investment transactions, asset sales, financings and performing asset management duties. Under the Investment Advisory Agreement, the Company has agreed to pay SIC Advisors a management fee for investment advisory and management services consisting of a base management fee and an incentive fee.

The base management fee is calculated at an annual rate of 1.75% of the Company’s gross assets payable quarterly in arrears. For purposes of calculating the base management fee, the term “gross assets” includes any assets acquired with the proceeds of leverage. "Gross assets" also includes any cash collateral posted with respect to the TRS, adjusted for realized and unrealized appreciation. For the first quarter of the Company’s operations, the base management fee was calculated based on the initial value of the Company’s gross assets. Subsequently, the base management fee is calculated based on the gross assets at the end of each completed calendar quarter. Base management fees for any partial quarter are appropriately prorated. For the three months ended

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March 31, 2017 and 2016, the Company recorded an expense for base management fees of $5,208,569 and $4,797,629, respectively, of which $5,208,569 and $5,138,107 were payable at March 31, 2017 and December 31, 2016, respectively.

The incentive fee consists of the following two parts:

An incentive fee on net investment income (“Subordinated Incentive Fee on Income”) is calculated and payable quarterly in arrears and is based upon pre-incentive fee net investment income for the immediately preceding quarter. No Subordinated Incentive Fee on Income is payable in any calendar quarter in which pre-incentive fee net investment income does not exceed a quarterly return to stockholders of 1.75% per quarter on the Company’s net assets at the end of the immediately preceding fiscal quarter (the “Preferred Quarterly Return”). All pre-incentive fee net investment income, if any, that exceeds the Preferred Quarterly Return, but is less than or equal to 2.1875% of net assets at the end of the immediately preceding fiscal quarter in any quarter, will be payable to SIC Advisors. The Company refers to this portion of its Subordinated Incentive Fee on Income as the “Catch Up”. It is intended to provide an incentive fee of 20% on pre-incentive fee net investment income when pre-incentive fee net investment income exceeds 2.1875% of net assets at the end of the immediately preceding quarter in any quarter. For any quarter in which the Company’s pre-incentive fee net investment income exceeds 2.1875% of net assets at the end of the immediately preceding quarter, the Subordinated Incentive Fee on Income shall equal 20% of the amount of pre-incentive fee net investment income, because the Preferred Quarterly Return and Catch Up will have been achieved. There is no incentive fee on net investment income earned on the TRS.

For the three months ended March 31, 2017 and 2016, the Company recorded a Subordinated Incentive Fee on Income of $548,805 and $2,271,763, respectively. As of March 31, 2017 and December 31, 2016, the Company recorded incentive fees payable of $548,805 and $1,405,419, respectively.

A capital gains incentive fee will be earned on realized investments and shall be payable in arrears as of the end of each calendar year during which the Investment Advisory Agreement is in effect. If the Investment Advisory Agreement is terminated, the fee will also become payable as of the effective date of such termination. The fee equals 20% of the realized capital gains, less the aggregate amount of any previously paid capital gains incentive fees. The incentive fee on capital gains is equal to realized capital gains on a cumulative basis from inception, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis.

Under GAAP, the Company calculates capital gains incentive fees as if the Company had realized all assets at their fair values and liabilities at their settlement amounts as of the reporting date. GAAP requires that the capital gains incentive fee accrual assume the cumulative aggregate unrealized capital appreciation is realized, even though such unrealized capital appreciation is not payable under the Investment Advisory Agreement. Accordingly, the Company accrues a provisional capital gains incentive fee taking into account any unrealized gains or losses. There can be no assurance that such unrealized capital appreciation will be realized in the future and that the provisional capital gains incentive fee will become payable.

For the three months ended March 31, 2017 and 2016, the Company recorded no capital gains incentive fee. As of March 31, 2017 and December 31, 2016, the Company recorded no capital gains incentive fee payable.

In the event that other organizational and offering expenses exceed 5.25% of the gross proceeds from the sale of shares of the Company’s common stock pursuant to its public offering or one or more private offerings at the time of the completion of the offering or other organizational and offering expenses, together with selling commissions, dealer manager fees and any discounts paid to members of the Financial Industry Regulatory Authority, exceed 15% of the gross proceeds from the sale of shares of the Company’s common stock pursuant to its public offering or one or more private offerings at the time of the completion of the offering, then SIC Advisors shall be required to pay without reimbursement from the Company, or, if already paid by the Company, reimburse the Company, for amounts exceeding such 5.25% and 15% limit, as appropriate.

Administration Agreement

On April 5, 2012, the Company entered into an administration agreement (the “Administration Agreement”) with Medley Capital LLC, pursuant to which Medley Capital LLC furnishes the Company with administrative services necessary to conduct its day-to-day operations. On February 28, 2013, Medley Capital LLC entered into a Sub-Administration Agreement with State Street Bank Global Fund Accounting and Custody to perform certain financial, accounting, administrative and other services on behalf of the Company. On March 1, 2017, the Company’s board of directors approved the renewal of the Administration Agreement for an additional one-year term at an in-person meeting. Medley Capital LLC is reimbursed for administrative expenses it incurs on the Company’s behalf in performing its obligations. Such costs are reasonably allocated to the Company on the basis of assets, revenues, time records or other reasonable methods. The Company does not reimburse Medley Capital LLC for any services for which it receives a separate fee or for rent, depreciation, utilities, capital equipment or other administrative items allocated to a controlling person of Medley Capital LLC. For the three months ended March 31, 2017 and 2016, the Company recorded administrator expenses of $793,529 and $583,206, respectively. As of March 31, 2017 and December 31, 2016, the Company had $793,529 and $850,678, respectively, in administrator expenses payable.

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Expense Support and Reimbursement Agreement

From June 29, 2012 through December 31, 2016, the Company was party to an Expense Support and Reimbursement Agreement with SIC Advisors (the “Expense Support Agreement”). During the term of the Expense Support Agreement, SIC Advisors reimbursed the Company for operating expenses in an amount equal to the difference between the Company’s distributions paid to its stockholders in each month, less the sum of the Company’s net investment income, net realized capital gains and dividends paid to the Company from its portfolio companies, not included in net income and net realized capital gains, during such period (“Expense Support Reimbursement”). To the extent that no dividends or other distributions were paid to the Company’s stockholders in any given month, then the Expense Support Reimbursement for such month was equal to such amount necessary in order for available operating funds for the month to equal zero. From April 1, 2016 until the expiration of the Expense Support Agreement on December 31, 2016, SIC Advisors made expense support payments on a discretionary basis by making an election on the last day of each month to fund an expense support payment in an amount equal to the difference between the Company’s distributions paid to stockholders during such month less the sum of the Company’s net investment income, net realized capital gains and dividends paid to the Company from its portfolio companies, not included in net income and net realized capital gains during such period.

The purpose of the Expense Support Agreement was to cover distributions to stockholders so as to ensure that the distributions did not constitute a return of capital for GAAP purposes and to reduce operating expenses until the Company had raised sufficient capital to be able to absorb such expenses. The Expense Support Agreement expired on December 31, 2016.

Pursuant to the Expense Support Agreement, the Company will reimburse SIC Advisors for expense support payments it previously made following any calendar quarter for which the Company received net investment income, net realized capital gains and dividends from its portfolio companies (not included in net income and net realized capital gains) in excess of the distributions paid to the Company’s stockholders during such calendar quarter (the “Excess Operating Funds”). Any such reimbursement will be made within three years of the date that the expense support payment obligation was incurred by SIC Advisors, subject to the conditions described below. The amount of the reimbursement during any calendar quarter will equal the lesser of (i) the Excess Operating Funds received during the quarter and (ii) the aggregate amount of all expense payments made by SIC Advisors that have not yet been reimbursed. In addition, the Company will only make reimbursement payments to the extent its current annualized “operating expense ratio” (as described in footnote 1 to the table below) is equal to or less than its operating expense ratio for the quarter during which the corresponding expense obligation was incurred and to the extent the annualized rate of its regular cash dividends to the Company’s stockholders for the month is equal to or greater than the annualized rate of the Company’s regular cash distributions to stockholders for the month during which the corresponding expense payment was incurred.

For the three months ended March 31, 2017 and 2016, the Company recorded net Expense Support Reimbursements of $0 and $5,204,896, respectively, on the consolidated statements of operations. Repayments of amounts paid by SIC Advisors to the Company under the Expense Support Agreement will be accrued as they become probable and estimable. As of March 31, 2017 and December 31, 2016, the Company recorded $6,642,273 and $7,892,273, respectively, in its consolidated statements of assets and liabilities as due from affiliate relating to the Expense Support Agreement. The Company refers to Expense Support Reimbursements that are eligible for reimbursement to SIC Advisors by virtue of having satisfied the conditions described above as a “Crystalized Reimbursement.” As of March 31, 2017 and December 31, 2016, the Company recorded $0 and $135,784, respectively, of Crystalized Reimbursements, and $0 and $135,784 was included in Due to Affiliate on the respective consolidated statements of assets and liabilities. As of March 31, 2017 and December 31, 2016, the total amounts eligible for reimbursement of the Company to SIC Advisors net of Crystalized Reimbursements was $30,160,861 and $31,474,331, respectively.

The following table provides information regarding liabilities incurred by SIC Advisors pursuant to the Expense Support Agreement as well as other information relating to the Company’s ability to reimburse SIC Advisors for such payments:



Quarter Ended	Amount of Expense Payment Obligation		Amount Repaid to SIC Advisors		Operating Expense Ratio⁽¹⁾		Annualized Distribution Rate⁽²⁾		Eligible to be Repaid Through
June 30, 2012	$	454,874	$	454,874	6.13	%	8.00	%	June 30, 2015
September 30, 2012	437,303		437,303		4.05	%	8.00	%	September 30, 2015
December 31, 2012	573,733		573,733		3.91	%	8.00	%	December 31, 2015
March 31, 2013	685,404		685,404		1.71	%	8.00	%	March 31, 2016
June 30, 2013	732,425		732,425		1.00	%	7.84	%	June 30, 2016
September 30, 2013⁽³⁾	1,262,848		1,078,500		0.83	%	7.84	%	September 30, 2016
December 31, 2013⁽³⁾	1,258,575		—		0.45	%	7.84	%	December 31, 2016
March 31, 2014⁽³⁾	1,177,686		135,784		0.45	%	7.80	%	March 31, 2017
June 30, 2014	2,143,066		—		0.38	%	7.80	%	June 30, 2017
September 30, 2014	1,717,593		123,025		0.38	%	7.77	%	September 30, 2017
December 31, 2014	1,585,471		—		0.47	%	8.00	%	December 31, 2017

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March 31, 2015	1,993,518	—	0.43	%	8.00	%	March 31, 2018
June 30, 2015	2,148,462	—	0.31	%	8.00	%	June 30, 2018
September 30, 2015	627,752	—	0.32	%	8.25	%	September 30, 2018
December 31, 2015	3,974,895	—	0.40	%	8.65	%	December 31, 2018
March 31, 2016	5,204,896	—	0.37	%	8.89	%	March 31, 2019
June 30, 2016	5,634,390	—	0.29	%	8.89	%	June 30, 2019
September 30, 2016	5,389,627	—	0.45	%	8.84	%	September 30, 2019
December 31, 2016	—	—	0.32	%	7.07	%	—
March 31, 2017	—	—	0.33	%	7.07	%	—

_____________________________


(1)	“Operating Expense Ratio” is as of the date the expense support payment obligation was incurred by the Company’s Advisor and includes all expenses borne by the Company, except for organizational and offering expenses, base management and incentive fees owed to SIC Advisors, and interest expense, as a percentage of net assets.


(2)	“Annualized Distribution Rate” equals the annualized rate of distributions paid to stockholders based on the amount of the regular cash distribution paid immediately prior to the date the expense support payment obligation was incurred by SIC Advisors. “Annualized Distribution Rate” does not include special cash or stock distributions paid to stockholders.


(3)	The unreimbursed part of the expense payment obligation has expired as of March 31, 2017.

Note 8. Related Party Transactions

On October 19, 2011, SIC Advisors entered into a subscription agreement to purchase 110.80 shares of common stock for cash consideration of $1,000. The consideration represents $9.025 per share.

On March 31, 2012, SIC Advisors entered into a subscription agreement to purchase 1,108,033.24 shares of common stock for cash consideration of $10,000,000. The purchase was made on April 17, 2012. The consideration represents $9.025 per share.

Due from affiliate relates to amounts due from SIC Advisors pursuant to the Expense Support Agreement as discussed in Note 7.

Due to affiliate relates to reimbursements of organizational and offering expenses and expense support reimbursement pursuant to the Investment Advisory Agreement paid to/from SIC Advisors as discussed in Note 7.

An affiliate of the Company’s dealer manager has an ownership interest in SIC Advisors.

Opportunities for coinvestments may arise when SIC Advisors or an affiliated adviser becomes aware of investment opportunities that may be appropriate for the Company and other clients or affiliated funds. The Company obtained an exemptive order from the SEC on November 25, 2013 (the “Exemptive Order”). The Exemptive Order permits the Company to participate in negotiated co-investment transactions with certain affiliates, each of whose investment adviser is Medley LLC, the parent company of SIC Advisors, or an investment adviser controlled by Medley LLC, in a manner consistent with its investment objective, strategies and restrictions, as well as regulatory requirements and other pertinent factors. Co-investment under the Exemptive Order is subject to certain conditions therein, including the condition that, in the case of each co-investment transaction subject to the Exemptive Order, the Company’s board of directors determines that it would be advantageous for the Company to co-invest in a manner described in the Exemptive Order. Before receiving the Exemptive Order, the Company only participated in co-investments that were allowed under existing regulatory guidance, such as syndicated loan transactions where price was the only negotiated term, which limited the types of investments that the Company could make. On March 29, 2017, the Company, SIC Advisors and certain other affiliated funds and investment advisers received a co-investment order superseding the Exemptive Order and allowing affiliated registered investment companies to participate in coinvestment transactions with us that would otherwise have been prohibited under Section 17(d) and 57(a)(4) and Rule 17d-1. The terms of the revised exemptive order are substantially similar to the prior Exemptive Order.

Please see footnote 4 to the consolidated schedule of investments as of March 31, 2017 and December 31, 2016 for disclosures regarding securities also held by affiliated funds.

Note 9. Directors Fees

Effective January 1, 2017, each independent director receives an annual retainer of $85,000, and further receives a fee of $3,000 ($1,000 for telephonic attendance) for each regularly scheduled board meeting attended, a fee of $2,500 ($1,000 for telephonic attendance) for each regularly scheduled audit committee meeting attended and a fee of $2,000 ($1,000 for telephonic attendance) for each special board meeting attended, as well as reimbursement for reasonable and documented out-of-pocket expenses incurred in connection with attending each board or committee meeting. In addition, the Chair of the audit committee receives an annual retainer of $15,000, while the Chair of any other committee receives an annual retainer of $5,000. The Lead Independent Director receives an annual retainer of $10,000.

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Prior to January 1, 2017, each independent director received an annual retainer fee of $50,000, and further received a fee of $4,000 ($2,000 for telephonic attendance) for each regularly scheduled board meeting attended, a fee of $2,000 for each special board meeting and all committee meetings attended, as well as reimbursement of reasonable and documented out-of-pocket expenses incurred in connection with attending each board or committee meeting. For the three months ended March 31, 2017 and 2016, the Company recorded directors' fees expenses in General and Administrative expenses on the consolidated statements of operations of $110,250 and $85,472, respectively, of which no amount was payable at March 31, 2017 and December 31, 2016.

Note 10. Earnings Per Share

In accordance with the provisions of ASC Topic 260 - Earnings per Share, basic earnings per share is computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, and the related impact to earnings, are considered when calculating earnings per share on a diluted basis.

The following table sets forth the computation of the weighted average basic and diluted net increase in net assets per share from operations for the three months ended March 31, 2017 and 2016:



	2017		2016
Net increase in net assets from operations	$	8,468,966	$	6,274,720
Weighted average common stock outstanding	95,382,267		84,845,431
Weighted average basic and diluted net increase in net assets per share from operations	$	0.09	$	0.07

Note 11. Commitments

As of March 31, 2017 and December 31, 2016, the Company had $35,704,253 and $26,944,304, respectively, of unfunded commitments under loan and financing agreements. These amounts are primarily composed of commitments for senior secured term loans, revolvers, and additional capital contributions for the Sierra JV. The unrealized gain or loss associated with unfunded commitments is recorded in the financial statements and reflected as an adjustment to the valuation of the related security in the Consolidated Schedule of Investments. The par amount of the unfunded commitments are not recognized by the Company until the commitment is funded.



	As of
	March 31, 2017		December 31, 2016
AAAHI Acquisition Corporation	$	2,121,963	$	2,219,626
AAR Intermediate Holdings, LLC	377,338		477,961
Answers Corporation	822,022		—
Black Angus Steakhouses LLC	3,794,643		3,794,643
CP Opco, LLC	9,291		9,291
Elite Comfort Solutions LLC	4,438,616		4,438,616
First Boston Construction Holdings, LLC	600,000		600,000
Impact Sales, LLC	1,347,656		1,562,500
Magnetite XIX, Limited	4,083,333		—
Nuspire, LLC	2,500,000		2,500,000
PT Network, LLC	3,182,083		4,166,667
Sierra Senior Loan Strategy JV I LLC	656,250		875,000
SMART Financial Operations, LLC	6,300,000		6,300,000
SRS Software, LLC	5,000,000		—
TwentyEighty, Inc.	471,058		—
Total Commitments	$	35,704,253	$	26,944,304

Note 12. Fee Income

Fee income consists of origination fees, amendment fees, prepayment fees, administrative agent fees, transaction break-up fees and other miscellaneous fees. Origination fees, prepayment fees, amendment fees, and other similar fees are non-recurring fee sources. Such fees are received on a transaction by transaction basis and do not constitute a regular stream of income. The following table shows the Company’s fee income for the three months ended March 31, 2017 and 2016:



	2017		2016
Origination fee	$	1,683,791	$	802,222
Prepayment fee	251,934		572,043
Amendment fee	218,999		—
Administrative agent fee	35,476		—
Other fees	—		20,947
Fee income	$	2,190,200	$	1,395,212

Note 13. Distributions and Share Repurchase Plan Distributions

Distributions to common stockholders are recorded on the ex-dividend date. The amount to be paid out as a distribution is determined by the Company’s board of directors.

The Company has adopted an “opt in” distribution reinvestment plan (“DRIP”) pursuant to which the Company’s common stockholders may elect to have the full amount of any cash distributions reinvested in additional shares of the Company’s common stock. As a result, if the Company declares a cash dividend or other distribution, each stockholder that has “opted in” to the Company’s reinvestment plan will have their distributions automatically reinvested in additional shares of the Company’s common stock rather than receiving cash distributions. Stockholders who receive distributions in the form of shares of common stock will be subject to the same federal, state and local tax consequences as if they received cash distributions. For the three months ended March 31, 2017, the Company distributed a total of $15,267,181, of which $8,181,210 was in cash and $7,085,971 was in the form of common shares associated with the DRIP. For the three months ended March 31, 2016, the Company distributed a total of $17,021,554, of which $8,937,757 was in cash and $8,083,797 was in the form of common shares associated with the DRIP.

The following table reflects the cash distributions per share that the Company has declared or paid to its stockholders for the current and prior fiscal years. Stockholders of record as of each respective record date were entitled to receive the distribution.



Record Date	Payment Date	Amount per share
January 15 and 29, 2016	January 29, 2016	$	0.03333
February 12 and 29, 2016	February 29, 2016	0.03333
March 15 and 31, 2016	March 31, 2016	0.03333
April 15 and 29, 2016	April 29, 2016	0.03333
May 13 and 31, 2016	May 31, 2016	0.03333
June 15 and 30, 2016	June 30, 2016	0.03333
July 15 and 29, 2016	July 29, 2016	0.03333
August 15 and 31, 2016	August 31, 2016	0.03333
September 15 and 30, 2016	September 30, 2016	0.03333
October 14 and 31, 2016	October 31, 2016	0.02667
November 15 and 30, 2016	November 30, 2016	0.02667
December 15 and 30, 2016	December 31, 2016	0.02667
January 13 and 31, 2017	January 31, 2017	0.02667
February 15 and 28, 2017	February 28, 2017	0.02667
March 15 and 31, 2017	March 31, 2017	0.02667

The Company’s distributions may be funded from offering proceeds or borrowings, which may constitute a return of capital and reduce the amount of capital available to the Company for investment. Any capital returned to stockholders through distributions will be distributed after payment of fees and expenses.

The Company’s previous distributions to stockholders may have been funded from temporary Expense Support Reimbursements that may be subject to repayment to SIC Advisors, See Note 7. The portion of these distributions derived from temporary Expense Support Reimbursements were not based on the Company's investment performance and may not continue in the future. If SIC Advisors had not agreed to make Expense Support Reimbursements, these distributions would have come from paid-in-capital. The reimbursement of these payments owed to SIC Advisors will reduce the future distributions to which stockholders would otherwise be entitled. The Expense Support Agreement expired on December 31, 2016. See Note 7 for more information.

The determination of the tax attributes (i.e., paid from ordinary income, paid from net capital gains on the sale of securities, and/or a return of paid-in-capital surplus which is a nontaxable distribution) of distributions is made annually as of the end of the Company’s fiscal year based upon its taxable income earned and distributions paid during the fiscal year.

Share Repurchase Program

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In June 2013, the Company commenced a share repurchase program pursuant to which it intends to conduct quarterly share repurchases of up to 2.5% of the weighted average number of outstanding shares of its common stock in the prior four calendar quarters or 10% of the weighted average number of outstanding shares in the prior 12-month period. The purpose of the share repurchase program is to allow stockholders to sell their shares back to the Company at a price equal to the most recently disclosed NAV per share of the Company's common stock immediately prior to the date of repurchase. Shares will be purchased from stockholders participating in the program on a pro rata basis. Unless the Company's board of directors determines otherwise, the number of shares to be repurchased during any calendar year will be limited to the proceeds received in association with the sale of shares of common stock under the distribution reinvestment plan.

The following table reflects activity under the Company’s Share Repurchase Plan:



Offer Date	Quantity Offered	Price per Share		Repurchase Date	Repurchase Quantity
6/4/2013	16,652	$	9.18	—	—
8/8/2013	32,627	9.13		9/27/2013	3,642
11/7/2013	60,966	9.14		12/19/2013	5,826
3/12/2014	120,816	9.18		4/25/2014	9,835
5/6/2014	199,476	9.20		6/13/2014	17,777
8/5/2014	294,068	9.25		9/12/2014	35,887
11/5/2014	411,894	9.22		12/24/2014	411,894
3/4/2015	535,571	8.97		4/24/2015	68,472
5/6/2015	620,420	8.98		6/24/2015	90,916
8/5/2015	727,654	8.96		9/29/2015	328,353
11/3/2015	853,688	8.56		12/23/2015	285,559
3/2/2016	959,436	8.16		4/29/2016	959,436
5/5/2016	1,005,447	8.04		6/30/2016	855,215
8/4/2016	1,048,412	8.11		9/28/2016	1,048,407
11/25/2016	1,077,370	8.14		12/27/2016	1,077,352

In the event of the death or disability of a stockholder, the Company will repurchase the shares held by such stockholder at a price equal to the NAV per share of our shares as disclosed in the periodic report the Company files with the SEC immediately following the date of the death or disability of such stockholder. During the three months ended March 31, 2017 and 2016, the Company repurchased 15,755 and 0 shares, respectively, of certain shareholders due to death.

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Note 14. Financial Highlights

The following is a schedule of financial highlights of the Company for the three months ended March 31, 2017 and 2016:



	2017			2016
Per Share Data:⁽¹⁾
Net asset value at beginning of period	$	8.17		$	8.16
Net investment income	0.14			0.17
Net realized gains/(losses) on investments and total return swap	(0.11		)	0.03
Net unrealized appreciation/(depreciation) on investments and total return swap	0.06			(0.13		)
Net increase in net assets	$	0.09		$	0.07
Distributions from return of capital	—			—
Distributions declared from net investment income⁽²⁾	(0.16		)	(0.20		)
Distributions from net realized capital gains	—			—
Total distributions to shareholders	$	(0.16	)	$	(0.20	)
Issuance of common shares above net asset value⁽³⁾	—			0.01
Net asset value at end of period	$	8.10		$	8.04
Total return based on net asset value⁽⁴⁾⁽⁵⁾	1.09		%	0.71		%
Portfolio turnover rate	5.01		%	5.26		%
Shares outstanding at end of period	96,265,797			87,481,561
Net assets at end of period	$	779,343,254		$	703,058,122
Ratio/Supplemental Data (annualized):
Ratio of net investment income to average net assets⁽⁵⁾	7.40		%	9.48		%
Ratio of net expenses (including incentive fees) to average net assets⁽⁵⁾	6.31		%	4.09		%
Ratio of incentive fees to average net assets (non-annualized)	0.07		%	0.33		%
Supplemental Data (annualized):
Asset coverage ratio per unit⁽⁷⁾	$	2,388		$	2,542
Percentage of non-recurring fee income⁽⁸⁾	8.21		%	5.96		%
Ratio of net expenses (excluding incentive fees) to average net assets	6.24		%	3.76		%
Ratio of interest and financing related expenses to average net assets	1.88		%	2.01		%

________________________________


(1)	The per share data was derived by using the weighted average shares outstanding during the three months ended March 31, 2017 and 2016, which were 95,382,267 and 84,845,431, respectively.


(2)	The per share data for distributions is the actual amount of paid distributions per share during the period.


(3)	Shares issued under the DRIP (see Note 13) as well as the continuous issuance of common shares may cause on incremental increase/decrease in NAV per share due to the effect of issuing shares at amounts that differ from the prevailing NAV at each issuance.


(4)	Total annual returns are historical and assume reinvestments of all dividends and distributions at prices obtained under the Company’s dividend reinvestment plan, and no sales charge.


(5)	Total returns, ratios of net investment income, and ratios of gross expenses to average net assets for the three months ended March 31, 2016 prior to the effect of the Expense Support and Reimbursement Agreement were as follows: total return (0.04)%, ratio of net investment income: 6.49% and ratio of gross expenses to average net assets: 7.19%


(6)	Not annualized.

(7)

Asset coverage per unit is the ratio of the carrying value of the Company's total consolidated assets for regulatory purposes, which includes the underlying fair value of net TRS, less all liabilities and indebtedness not represented by senior securities to the aggregate amount of Senior Securities representing indebtedness and the implied leverage on the TRS. Asset coverage per unit is expressed in terms of dollars per $1,000 of indebtedness. For the three months ended March 31, 2017 and 2016 the Company's Asset Coverage Per Unit including unfunded commitments was $2,245 and $2,422, respectively.


(8)	Represents the impact of non-recurring fees over total investment income.

Note 15. Subsequent Events

Management has evaluated subsequent events through the date of issuance of the consolidated financial statements included herein. There have been no subsequent events that occurred during such period that would require disclosure in this Form 10-Q or would be required to be recognized in the consolidated financial statements as of and for the three months ended March 31, 2017, except as disclosed below.

On April 13, 2017, the Company’s board of directors declared a series of semi-monthly distributions for April, May and June 2017, in the amount of $0.02667 per share. These distributions represent an annualized yield of 7.07% based on the Company’s then-current offering price of $9.05 per share. Stockholders of record as of each respective record date will be entitled to receive the distribution. Below are the details for each respective distribution:

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Record Date	Payment Date	Amount per share
April 14 and 28, 2017	April 28, 2017	$	0.02667
May 15 and 31, 2017	May 31, 2017	0.02667
June 15 and 30, 2017	June 30, 2017	0.02667

On April 20, 2017, commitments to the ING Credit Facility were expanded from $175,000,000 to $220,000,000.

The Company issued common shares and received gross proceeds of approximately $2.9 million subsequent to March 31, 2017 through May 8, 2017.

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

The following discussion and analysis should be read in conjunction with our financial statements and related notes and other financial information appearing elsewhere in this quarterly report on Form 10-Q.

Except as otherwise specified, references to “we,” “us,” “our,” or the “Company,” refers to Sierra Income Corporation. “SIC Advisors” or “Adviser” refers to SIC Advisors LLC, our investment adviser. SIC Advisors is a majority owned subsidiary of Medley LLC, which is controlled by Medley Management Inc., a publicly traded asset management firm, which in turn is controlled by Medley Group LLC, an entity wholly-owned by the senior professionals of Medley LLC. “Medley” refers, collectively, to the activities and operations of Medley Capital LLC, Medley LLC, Medley Management Inc., Medley Group LLC, SIC Advisors, associated investment funds and their respective affiliates.

Some of the statements in this quarterly report on Form 10-Q constitute forward-looking statements, which relate to future events or our performance or financial condition. The forward-looking statements contained in this quarterly report on Form 10-Q involve risks and uncertainties, including, but not limited to, statements as to:


•	our future operating results;


•	our business prospects and the prospects of our portfolio companies;


•	changes in the economy;


•	risks associated with possible disruptions in our operations or the economy generally;


•	the effect of investments that we expect to make;


•	our contractual arrangements and relationships with third parties;


•	actual and potential conflicts of interest with SIC Advisors and its affiliates;


•	the dependence of our future success on the general economy and its effect on the industries in which we invest;


•	the ability of our portfolio companies to achieve their objectives;


•	the use of borrowed money to finance a portion of our investments;


•	the adequacy of our financing sources and working capital;


•	the timing of cash flows, if any, from the operations of our portfolio companies;


•	the ability of SIC Advisors to locate suitable investments for us and to monitor and administer our investments;


•	the ability of SIC Advisors and its affiliates to attract and retain highly talented professionals;


•	our ability to maintain our qualification as a RIC and as a BDC; and


•	the effect of changes in laws or regulations affecting our operations.

Such forward-looking statements may include statements preceded by, followed by or that otherwise include the words “trend,” “opportunity,” “pipeline,” “believe,” “comfortable,” “expect,” “anticipate,” “current,” “intention,” “estimate,” “position,” “assume,” “potential,” “outlook,” “continue,” “remain,” “maintain,” “sustain,” “seek,” “achieve,” and similar expressions, or future or conditional verbs such as “will,” “would,” “should,” “could,” “may,” or similar expressions. The forward-looking statements contained in this quarterly report involve risks and uncertainties. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason, including due to the factors set forth as “Risk Factors” in this quarterly report on Form 10-Q and in Item 1A “Risk Factors” in Part 1 of our Annual Report on Form 10-K for the fiscal year ended December 31, 2016.

We have based the forward-looking statements included in this report on information available to us on the date of this report, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we have filed or in the future may file with the SEC, including quarterly reports on Form 10-Q, annual reports on Form 10-K, and current reports on Form 8-K.

Overview

We are an externally managed non-diversified closed-end management investment company that has elected to be treated as a BDC under the 1940 Act. We are externally managed by SIC Advisors, which is a registered investment adviser under the Advisers Act. SIC Advisors is responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments and monitoring our portfolio on an ongoing basis. In addition, we have qualified and intend to continue to qualify to be treated, for U.S. federal income tax purposes, as a RIC under subchapter M of the Code.

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On April 17, 2012, we successfully reached the minimum escrow requirement and officially commenced operations by receiving gross proceeds of $10 million in exchange for 1,108,033.24 shares of our common stock sold to SIC Advisors.

Under our Investment Advisory Agreement, we pay SIC Advisors a base management fee as well as an incentive fee based on our investment performance. Also, under the Administration Agreement, we reimburse Medley for the allocable portion of overhead and other expenses incurred by Medley Capital LLC in performing its obligations under the Administration Agreement, including our allocable portion of the costs of compensation and related expenses of our chief compliance officer, chief financial officer and their respective staffs.

We intend to meet our investment objective by primarily lending to, and investing in, the debt of privately owned U.S. middle market companies, which we define as companies with annual revenue between $50 million and $1 billion. We intend to focus primarily on making investments in first lien senior secured debt, second lien secured debt, and to a lesser extent, subordinated debt, of middle market companies in a broad range of industries. We expect that the majority of our debt investments will bear interest at floating interest rates, but our portfolio may also include fixed-rate investments. We will originate transactions sourced through SIC Advisors’ existing network, and, to a lesser extent, expect to acquire debt securities through the secondary market. We may make equity investments in companies that we believe will generate appropriate risk adjusted returns, although we do not expect such investments to be a substantial portion of our portfolio.

The level of our investment activity depends on many factors, including the amount of debt and equity capital available to prospective portfolio companies, the level of merger, acquisition and refinancing activity for such companies, the availability of credit to finance transactions, the general economic environment and the competitive environment for the types of investments we make. Based on prevailing market conditions, we anticipate that we will invest the proceeds from each subscription closing generally within 30-90 days. The precise timing will depend on the availability of investment opportunities that are consistent with our investment objectives and strategies.

As a BDC, we are required to comply with certain regulatory requirements. For instance, we generally have to invest at least 70% of our total assets in “qualifying assets,” including securities of private or thinly traded public U.S. companies, cash, cash equivalents, U.S. government securities and high-quality debt investments that mature in one year or less. In addition, we are only allowed to borrow money such that our asset coverage, as defined in the 1940 Act, equals at least 200% after such borrowing, with certain limited exceptions. To obtain and maintain our RIC status, we must meet specified source-of-income and asset diversification requirements. To be eligible for tax treatment under Subchapter M for U.S. federal income tax purposes, we must distribute at least 90% of our net ordinary income and realized net short-term capital gains in excess of realized net long-term capital losses, if any, for the taxable year.

Revenues

We generate revenue in the form of interest on the debt securities that we hold and distributions and capital gains on other interests that we acquire in our portfolio companies. We expect that the senior debt we invest in will generally have stated terms of three to ten years and that the subordinated debt we invest in will generally have stated terms of five to ten years. Our senior and subordinated debt investments bear interest at a fixed or floating rate. Interest on debt securities is generally payable monthly, quarterly or semiannually. In addition, some of our investments provide for deferred interest payments or PIK interest. The principal amount of the debt securities and any accrued but unpaid interest generally will become due at the maturity date. In addition, we may generate revenue in the form of commitment and other fees in connection with transactions. Original issue discounts and market discounts or premiums will be capitalized, and we will accrete or amortize such amounts as interest income. We will record prepayment premiums on loans and debt securities as fee income. Dividend income, if any, will be recognized on an accrual basis to the extent that we expect to collect such amounts.

Expenses

Our primary annual operating expenses consist of the payment of advisory fees and the reimbursement of expenses under our Investment Advisory Agreement with SIC Advisors and our Administration Agreement with Medley Capital LLC. We bear other expenses, which include, among other things:


•	corporate, organizational and offering expenses relating to offerings of our common stock, subject to limitations included in our Investment Advisory Agreement;


•	the cost of calculating our NAV, including the related fees and cost of any third-party valuation services;


•	the cost of effecting sales and repurchases of shares of our common stock and other securities;


•	fees payable to third parties relating to, or associated with, monitoring our financial and legal affairs, making investments, and valuing investments, including fees and expenses associated with performing due diligence reviews of prospective investments;

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•	interest payable on debt, if any, incurred to finance our investments;


•	transfer agent and custodial fees;


•	fees and expenses associated with marketing efforts subject to limitations included in the Investment Advisory Agreement;


•	federal and state registration fees and any stock exchange listing fees;


•	federal, state and local taxes;


•	independent directors’ fees and expenses, including travel expenses;


•	costs of director and stockholder meetings, proxy statements, stockholders’ reports and notices;


•	costs of fidelity bonds, directors and officers/errors and omissions liability insurance and other types of insurance;


•	direct costs, including those relating to printing of stockholder reports and advertising or sales materials, mailing, long distance telephone and staff subject to limitations included in the Investment Advisory Agreement;


•	fees and expenses associated with independent audits and outside legal costs, including compliance with the Sarbanes-Oxley Act of 2002, the 1940 Act and applicable federal and state securities laws;


•	brokerage commissions for our investments;


•	all other expenses incurred by us or SIC Advisors in connection with administering our investment portfolio, including expenses incurred by SIC Advisors in performing certain of its obligations under the Investment Advisory Agreement; and


•	the reimbursement of the compensation of our chief financial officer and chief compliance officer, whose compensation is paid by Medley, to the extent that each such reimbursement amount is annually approved by our independent director committee and subject to the limitations included in our Administration Agreement.

Administrative Services

We reimburse Medley Capital LLC for the administrative expenses necessary for its performance of services to us. However, such reimbursement is made at an amount equal to the lower of Medley Capital LLC’s actual costs or the amount that we would be required to pay for comparable administrative services in the same geographic location. Also, such costs will be reasonably allocated to us on the basis of assets, revenues, time records or other reasonable methods. We will not reimburse Medley Capital LLC for any services for which it receives a separate fee or for rent, depreciation, utilities, capital equipment or other administrative items allocated to a controlling person of Medley Capital LLC.

Portfolio and Investment Activity

The following table shows the amortized cost and the fair value of our investment portfolio as of March 31, 2017:



	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	550,810,012	51.5	%	$	534,275,048	51.8	%
Senior secured first lien notes	63,173,911		5.9		64,853,852		6.3
Senior secured second lien term loans	287,289,367		26.9		270,939,205		26.3
Subordinated notes	63,628,750		5.9		63,513,166		6.2
Sierra Senior Loan Strategy JV I LLC	48,603,326		4.5		47,353,946		4.6
Warrants/equity	56,282,582		5.3		51,114,739		5.0
Total investments	$	1,069,787,948	100.0	%	$	1,032,049,956	100.0	%

As of March 31, 2017, our income-bearing investment portfolio, which represented 95.7% of our total portfolio, had a weighted average yield based upon the cost of our investment portfolio of approximately 9.5%, and 9.8% of our income-bearing portfolio bore interest based on fixed rates while 90.2% of our income-bearing portfolio bore interest at floating rates, such as LIBOR.

For the three months ended March 31, 2017, we invested $97.8 million of principal in directly originated transactions across 16 portfolio companies and $6.5 million of principal in syndicated transactions across 5 portfolio companies. As of March 31, 2017, the investment portfolio was comprised of $941.0 million of principal in directly originated transactions across 76 portfolio companies and $139.7 million of principal in syndicated transactions across 28 portfolio companies.

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The following table shows the amortized cost and the fair value of our investment portfolio as of December 31, 2016:



	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	515,753,491	50.2	%	$	493,340,277	50.2	%
Senior secured first lien notes	72,767,547		7.1		71,970,598		7.3
Senior secured second lien term loans	275,915,932		26.9		260,008,735		26.4
Subordinated notes	53,041,209		5.2		55,185,590		5.6
Sierra Senior Loan Strategy JV I LLC	60,785,000		5.9		60,496,647		6.2
Warrants/equity	48,219,259		4.7		42,142,475		4.3
Total	$	1,026,482,438	100.0	%	$	983,144,322	100.0	%

As of December 31, 2016, our income-bearing investment portfolio, which represented 97.8% of our total portfolio, had a weighted average yield based upon the cost of our investment portfolio of approximately 9.3%, and 11.0% of our income-bearing portfolio bore interest based on fixed rates while 89.0% of our income-bearing portfolio bore interest at floating rates, such as LIBOR.

The following table shows weighted average current yield to maturity, including the yield of cash collateral on total return swap, based on fair value as of March 31, 2017 and December 31, 2016:



	March 31, 2017				December 31, 2016
	Percentage of Total Investments		Weighted Average Current Yield for Total Investments		Percentage of Total Investments		Weighted Average Current Yield for Total Investments
Senior secured first lien term loans	48.7	%	9.7	%	48.1	%	9.5	%
Senior secured first lien notes	5.9		8.5		7.0		8.8
Senior secured second lien term loans	24.7		10.2		25.3		10.7
Subordinated notes	4.3		14.4		5.4		17.0
Sierra Senior Loan Strategy JV I LLC	5.8		11.2		5.9		10.3
Warrants/Equity	10.6		11.3		8.3		12.5
Total	100.0	%	10.2	%	100.0	%	10.4	%

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The following table shows the portfolio composition by industry grouping, including the TRS underlying loans, based on fair value at March 31, 2017:



	Investments at Fair Value⁽¹⁾		Percentage of Total Portfolio⁽¹⁾		Value of TRS Underlying Loans		Percentage of TRS Underlying Loans		Total Investments at Fair Value including the value of TRS Underlying Loans		Percentage of Total Portfolio Including the value of TRS Underlying Loans
Services: Business	$	157,300,871	15.2	%	$	23,671,827	9.5	%	$	180,972,698	14.1	%
Multi-Sector Holdings	133,734,603		13.0		—		—		133,734,603		10.4
Banking, Finance, Insurance & Real Estate	72,626,372		7.0		27,763,894		11.1		100,390,266		7.8
Healthcare & Pharmaceuticals	72,665,681		7.0		22,283,639		8.9		94,949,320		7.4
Construction & Building	84,432,139		8.2		2,415,535		1.0		86,847,674		6.8
Hotel, Gaming & Leisure	62,753,359		6.1		17,632,111		7.0		80,385,470		6.3
Aerospace & Defense	70,521,240		6.8		4,650,531		1.9		75,171,771		5.9
Retail	58,038,806		5.6		13,037,445		5.2		71,076,251		5.5
High Tech Industries	42,096,853		4.1		17,750,809		7.1		59,847,662		4.7
Telecommunications	35,058,982		3.4		6,606,261		2.6		41,665,243		3.2
Transportation: Cargo	28,501,997		2.8		12,687,074		5.1		41,189,071		3.2
Capital Equipment	11,843,750		1.1		26,218,185		10.5		38,061,935		3.0
Energy: Oil & Gas	28,753,798		2.8		7,430,981		3.0		36,184,779		2.8
Chemicals, Plastics & Rubber	22,772,721		2.2		10,729,521		4.3		33,502,242		2.6
Media: Advertising, Printing & Publishing	19,116,945		1.9		11,867,454		4.7		30,984,399		2.4
Automotive	24,636,827		2.4		—		—		24,636,827		1.9
Beverage & Food	19,211,870		1.9		2,915,234		1.2		22,127,104		1.7
Metals & Mining	21,837,057		2.1		—		—		21,837,057		1.7
Wholesale	21,114,886		2.0		—		—		21,114,886		1.6
Media: Diversified & Production	16,664,197		1.6		4,141,667		1.7		20,805,864		1.6
Media: Broadcasting & Subscription	13,787,824		1.3		6,612,969		2.6		20,400,793		1.6
Services: Consumer	5,246,642		0.5		9,888,261		3.9		15,134,903		1.2
Consumer Goods: Durable	—		—		8,470,660		3.4		8,470,660		0.7
Consumer Goods: Non-Durable	2,000,000		0.2		5,590,913		2.2		7,590,913		0.6
Transportation: Consumer	7,332,535		0.7		—		—		7,332,535		0.6
Containers, Packaging & Glass	—		—		5,000,000		2.0		5,000,000		0.4
Utilities: Electric	—		—		3,015,750		1.2		3,015,750		0.2
Total	$	1,032,049,955	100.0	%	$	250,380,721	100.0	%	$	1,282,430,676	100.0	%

_______________________


(1)	Does not include TRS underlying loans

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The following table shows the portfolio composition by industry grouping, including the TRS underlying loans, based on fair value at December 31, 2016:



	Investments at Fair Value⁽¹⁾		Percentage of Total Portfolio⁽¹⁾		Value of TRS Underlying Loans		Percentage of TRS Underlying Loans		Total Investments at Fair Value including the value of TRS Underlying Loans		Percentage of Total Portfolio Including the value of TRS Underlying Loans
Services: Business	$	149,451,149	15.2	%	$	23,571,092	11.0	%	$	173,022,241	14.5	%
Multi-Sector Holdings	130,182,237		13.3		—		—		130,182,237		10.9
Banking, Finance, Insurance & Real Estate	72,938,844		7.4		20,713,321.0		9.7		93,652,165		7.8
Hotel, Gaming & Leisure	69,640,838		7.1		19,867,696		9.3		89,508,534		7.5
Healthcare & Pharmaceuticals	69,382,893		7.1		13,393,023		6.3		82,775,916		6.9
Aerospace & Defense	70,126,640		7.1		4,656,652		2.2		74,783,292		6.2
Retail	61,292,231		6.2		11,005,219		5.2		72,297,450		6.0
Construction & Building	58,267,425		5.9		2,999,433		1.4		61,266,858		5.1
Transportation: Cargo	28,493,057		2.9		13,276,638.0		6.2		41,769,695		3.5
High Tech Industries	25,888,925		2.6		15,474,967		7.2		41,363,892		3.5
Energy: Oil & Gas	33,048,939		3.4		7,413,640		3.5		40,462,579		3.4
Telecommunications	37,580,414		3.8		2,487,500.0		1.2		40,067,914		3.3
Media: Advertising, Printing & Publishing	19,306,587		2.0		12,000,704.0		5.6		31,307,291		2.6
Capital Equipment	12,088,629		1.2		16,029,467		7.5		28,118,096		2.4
Wholesale	21,660,294		2.2		4,976,467		2.3		26,636,761		2.2
Automotive	24,222,630		2.5		—		—		24,222,630		2.0
Beverage & Food	19,282,080		2.0		2,912,490		1.4		22,194,570		1.9
Media: Diversified & Production	15,733,786		1.6		4,925,156.0		2.3		20,658,942		1.7
Metals & Mining	20,518,139		2.1		—		—		20,518,139		1.7
Media: Broadcasting & Subscription	15,830,499		1.6		4,618,688		2.2		20,449,187		1.7
Chemicals, Plastics & Rubber	15,726,190		1.6		—		—		15,726,190		1.3
Services: Consumer	5,201,522		0.5		8,838,651.0		4.1		14,040,173		1.2
Containers, Packaging & Glass	—		—		10,642,499.0		5.0		10,642,499		0.9
Transportation: Consumer	7,280,374		0.7		—		—		7,280,374		0.6
Energy: Electricity	—		—		5,564,390.0		2.6		5,564,390		0.5
Consumer goods: Non-Durable	—		—		5,091,975.0		2.4		5,091,975		0.4
Utilities: Electric	—		—		3,033,750.0		1.4		3,033,750		0.3
Total	$	983,144,322	100.0	%	$	213,493,418	100.0	%	$	1,196,637,740	100.0	%

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(1)	Does not include TRS underlying loans

SIC Advisors regularly assesses the risk profile of our portfolio investments and rates each of them based on the categories set forth below, which we refer to as SIC Advisors’ investment credit rating. Credit Ratings are assigned to each of the investments in our portfolio that are directly held by the Company, but exclude any off-balance sheet interests of the Company, such as the loans underlying the TRS.:



Investment Credit Rating	Definition
1	Investments that are performing above expectations.

2	Investments that are performing within expectations, with risks that are neutral or favorable compared to risks at the time of origination or purchase. All new loans are rated ‘2’.

3	Investments that are performing below expectations and that require closer monitoring, but where no loss of interest, dividend or principal is expected. Companies rated ‘3’ may be out of compliance with financial covenants, however, loan payments are generally not past due.

4	Investments that are performing below expectations and for which risk has increased materially since origination or purchase. Some loss of interest or dividend is expected, but no loss of principal. In addition to the borrower being generally out of compliance with debt covenants, loan payments may be past due (but generally not more than 180 days past due).

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5	Investments that are performing substantially below expectations and whose risks have increased substantially since origination or purchase. Most or all of the debt covenants are out of compliance and payments are substantially delinquent. Some loss of principal is expected.

The following table shows the distribution of our investment portfolio, not including cash and cash equivalents, on the 1 to 5 investment credit rating scale at fair value as of March 31, 2017 and December 31, 2016:



		March 31, 2017					December 31, 2016
Investment Credit Rating	Number of Investments	Investments at Fair Value		Percentage		Number of Investments	Investments at Fair Value		Percentage
1	5	$	57,328,843	5.6	%	5	$	57,356,293	5.8	%
2	79	839,785,902		81.4		74	798,629,992		81.3
3	11	92,006,445		8.9		10	77,762,796		7.9
4	2	23,915,530		2.3		6	35,294,284		3.6
5	7	19,013,236		1.8		4	14,100,957		1.4
Total	104	$	1,032,049,956	100.0	%	99	$	983,144,322	100.0	%

As of March 31, 2017, there were 5 investments with an investment credit rating of 1, with a cost of $55.3 million and a fair value of $57.3 million. As of December 31, 2016, there were 5 investments with an investment credit rating of 1, with a cost of $55.3 million and a fair value of $57.4 million. As of March 31, 2017, there were 7 investments with an investment credit rating of 5, with a cost of $38.7 million and a fair value of $19.0 million. As of December 31, 2016, there were 4 investments with an investment credit rating of 5, with a cost of $55.3 million and a fair value of $14.1 million.

Results of Operations

The following table shows operating results for the three months ended March 31, 2017 and 2016:



	2017			2016
Total investment income	$	26,230,591		$	23,226,505
Total expenses, net	12,484,844			8,704,801
Net investment income	13,745,747			14,521,704
Net realized gain/(loss) from investments and total return swap	(10,474,977		)	2,499,850
Net change in unrealized appreciation/(depreciation) on investments and total return swap	5,495,768			(10,674,249		)
Change in provision for deferred taxes on unrealized gain on investments	(297,572		)	(72,585		)
Net increase in net assets resulting from operations	$	8,468,966		$	6,274,720

Investment Income

Total investment income increased $3,004,086, or 12.9%, to $26,230,591 for the three months ended March 31, 2017, compared to $23,226,505 for the three months ended March 31, 2016. Total investment income consisted primarily of portfolio interest, which increased $2,203,786, or 10.1%, to $24,027,737 for the three months ended March 31, 2017, compared to $21,823,951 for the three months ended March 31, 2016. This increase was primarily due to a $87,926,144, or 9.6%, increase in our average investment portfolio. Fee income increased $794,988, or 57%, to $2,190,200 for the three months ended March 31, 2017, compared to $1,395,212 for the three months ended March 31, 2016, primarily due to a decrease in fees associated with loan originations and loan prepayments.

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Operating Expenses

The following table shows operating expenses for the three months ended March 31, 2017 and 2016 :



	2017		2016
Base management fees	$	5,208,569	$	4,797,629
Interest and financing expenses	3,596,864		3,440,717
Incentive fees	548,806		2,271,763
General and administrative expenses	1,229,349		1,489,963
Administrator expenses	793,529		583,206
Offering costs	521,684		763,199
Professional fees	586,043		563,220
Total expenses	12,484,844		13,909,697
Net expense support reimbursement	—		(5,204,896		)
Net expenses	$	12,484,844	$	8,704,801

Total expenses decreased $1,424,853, or 10.2%, to $12,484,844 for the three months ended March 31, 2017, as compared to $13,909,697 for the three months ended March 31, 2016. The primary contributors to the decrease in expenses was lower incentive fees.

Base management fees increased $410,940, or 8.6%, to $5,208,569 for the three months ended March 31, 2017, as compared to $4,797,629 for the three months ended March 31, 2016, primarily due to an increase in our average gross assets of $97,561,333, or 9.6%.

Interest and financing expenses increased $156,147, or 4.5%, to $3,596,864 for the three months ended March 31, 2017, as compared to $3,440,717 for the three months ended March 31, 2016, primarily due to an increase in the weighted average interest rate on our credit facilities of 0.24%, or a 6.4% increase.

Expense Support and Reimbursement Agreement

From June 29, 2012 through December 31, 2016, we were party to an Expense Support and Reimbursement Agreement with SIC Advisors (the “Expense Support Agreement”). During the term of the Expense Support Agreement, SIC Advisors reimbursed us for operating expenses in an amount equal to the difference between our distributions paid to stockholders in each month, less the sum of our net investment income, net realized capital gains and dividends paid to us from our portfolio companies, not included in net income and net realized capital gains, during such period (“Expense Support Reimbursement”). To the extent that no dividends or other distributions were paid to our stockholders in any given month, then the Expense Support Reimbursement for such month was equal to such amount necessary in order for available operating funds for the month to equal zero. From April 1, 2016 until the expiration of the Expense Support Agreement on December 31, 2016, SIC Advisors made expense support payments on a discretionary basis by making an election on the last day of each month to fund an expense support payment in an amount equal to the difference between our distributions paid to stockholders during such month less the sum of our net investment income, net realized capital gains and dividends paid to us from our portfolio companies, not included in net income and net realized capital gains during such period.

The purpose of the Expense Support Agreement was to cover distributions to stockholders so as to ensure that the distributions did not constitute a return of capital for GAAP purposes and to reduce operating expenses until we had raised sufficient capital to be able to absorb such expenses. The Expense Support Agreement expired on December 31, 2016.

Pursuant to the Expense Support Agreement, we will reimburse SIC Advisors for expense support payments it previously made following any calendar quarter for which we received net investment income, net realized capital gains and dividends from our portfolio companies (not included in net income and net realized capital gains) in excess of the distributions paid to our stockholders during such calendar quarter (the “Excess Operating Funds”). Any such reimbursement will be made within three years of the date that the expense support payment obligation was incurred by SIC Advisors, subject to the conditions described below. The amount of the reimbursement during any calendar quarter will equal the lesser of (i) the Excess Operating Funds received during the quarter and (ii) the aggregate amount of all expense payments made by SIC Advisors that have not yet been reimbursed. In addition, we will only make reimbursement payments to the extent our current annualized “operating expense ratio” is equal to or less than our operating expense ratio for the quarter during which the corresponding expense obligation was incurred and to the extent the annualized rate of its regular cash dividends to our stockholders for the month is equal to or greater than the annualized rate of our regular cash distributions to stockholders for the month during which the corresponding expense payment was incurred.

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As of March 31, 2017 and December 31, 2016, we recorded $6,642,273 and $7,892,273, respectively, in our consolidated statement of assets and liabilities as due from affiliate relating to the Expense Support Agreement.

Net Realized Gains/Losses from Investments

We measure realized gains or losses by the difference between the net proceeds from the disposition and the amortized cost basis of an investment, without regard to unrealized gains or losses previously recognized.

For the three months ended March 31, 2017 and 2016, we recognized net realized losses of $10,474,977 and net realized gains of $2,499,850, respectively.

Net Unrealized Appreciation/Depreciation on Investments

Net change in unrealized appreciation/depreciation on investments reflects the net change in the fair value of our total investments. For the three months ended March 31, 2017 and 2016, we recorded a net change in unrealized appreciation of $5,198,196 and unrealized depreciation of $10,746,834, respectively.

Changes in Net Assets from Operations

For the three months ended March 31, 2017 and 2016, we recorded a net increase in net assets resulting from operations of $8,468,966 and $6,274,720, respectively. Based on 95,382,267 and 84,845,431 weighted average common shares outstanding for the three months ended March 31, 2017 and 2016, respectively, our per share net increase in net assets resulting from operations was $0.09 and $0.07 for the three months ended March 31, 2017 and 2016, respectively.

Financial Condition, Liquidity and Capital Resources

As a BDC, we distribute substantially all of our net income to our stockholders and have an ongoing need to raise additional capital for investment purposes. To fund growth, we have a number of alternatives available to increase capital; including raising equity, increasing debt, and funding from operational cash flow.

Our liquidity and capital resources have been generated primarily from the net proceeds of our public offering of common stock, use of our credit facilities and our TRS.

As of March 31, 2017 and December 31, 2016, we had $52,449,388 and $99,400,794, respectively, in cash and cash equivalents. In the future, we may generate cash from future offerings of securities, future borrowings and cash flows from operations, including interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less. Our primary use of funds is investments in our targeted asset classes, cash distributions to our stockholders, and other general corporate purposes.

In order to satisfy the Code requirements applicable to a RIC, we intend to distribute to our stockholders substantially all of our taxable income, but we may also elect to periodically spillover certain excess undistributed taxable income from one tax year into the next tax year. In addition, as a BDC, we generally are required to meet a coverage ratio of total assets to total senior securities, which include borrowings and any preferred stock we may issue in the future, of at least 200%. This requirement limits the amount that we may borrow.

The following table shows our net borrowings as of March 31, 2017 and December 31, 2016:



	March 31, 2017							December 31, 2016
	Total Commitment		Balance Outstanding			Unused Commitment		Total Commitment		Balance Outstanding			Unused Commitment
ING Credit Facility	$	175,000,000	$	145,000,000		$	30,000,000	$	175,000,000	$	150,000,000		$	25,000,000
Alpine Credit Facility	300,000,000		255,000,000			45,000,000		300,000,000		240,000,000			60,000,000
Total before deferred financing costs	475,000,000		400,000,000			75,000,000		475,000,000		390,000,000			85,000,000
Unamortized deferred financing costs	—		(4,012,063		)	—		—		(4,340,533		)	—
Total borrowings outstanding, net	$	475,000,000	$	395,987,937		$	75,000,000	$	475,000,000	$	385,659,467		$	85,000,000

On August 12, 2016, we amended our ING Credit Facility pursuant to the Revolving Credit Agreement with certain lenders party thereto from time to time and ING Capital LLC, as administrative agent. The ING Credit Facility matures on August 12, 2020 and is secured by substantially all of our assets, subject to certain exclusions as further set forth in the Security Agreement entered into in connection with the Revolving Credit Agreement, among us, the Subsidiary Guarantors party thereto, ING Capital

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LLC, as Administrative Agent, each Financial Agent and Designated Indebtedness Holder party thereto and ING Capital LLC, as Collateral Agent. The ING Credit Facility also includes usual and customary representations, covenants and events of default for senior secured revolving credit facilities of this nature. On February 13, 2015, commitments to the ING credit facility were expanded from $150 million to $170 million. On August 12, 2016, commitments to the ING credit facility were expanded from $170 million to $175 million.

The ING Credit Facility allows for us, at our option, to borrow money at a rate of either (i) an alternate base rate plus 1.50% per annum or (ii) LIBOR plus 2.50% per annum. The interest rate margins are subject to certain step-downs upon the satisfaction of certain conditions described in the Revolving Credit Agreement. The alternate base rate will be the greatest of (i) the U.S. Prime Rate set forth in the Wall Street Journal, (ii) the federal funds effective rate plus 1/2 of 1%, and (iii) three month LIBOR plus 1%. As of March 31, 2017 and December 31, 2016, the commitment under the ING Credit Facility was $175 million and the ING Credit Facility includes an accordion feature that allows for potential future expansion of the ING Credit Facility up to a total of $500 million. Availability of loans under the ING Credit Facility is linked to the valuation of the collateral pursuant to a borrowing base mechanism.

We are also required to pay a commitment fee to the lenders based on the daily unused portion of the aggregate commitments under the ING Credit Facility. The commitment fee is (i) 1.50% if the used portion of the aggregate commitments is less than or equal to 40%, (ii) 0.75% if the used portion of the aggregate commitments is greater than 40% and less than or equal to 65% or (iii) 0.50% if the used portion of the aggregate commitments is greater than 65%. The ING Credit Facility provides that we may use the proceeds of the facility for general corporate purposes, including making investments in accordance with our investment objective and strategy. As of March 31, 2017, our borrowings under the ING Facility totaled $145,000,000 and were recorded as part of revolving credit facility payable on our consolidated statements of assets and liabilities.

On July 23, 2014, our wholly-owned, special purpose financing subsidiary, Alpine, entered into the Alpine Credit Facility pursuant to the Loan Agreement with JPMorgan, as administrative agent and lender, the Financing Providers from time to time party thereto, SIC Advisors LLC, as the portfolio manager, and the Collateral Administrator, Collateral Agent and Securities Intermediary party thereto. Alpine’s obligations to JPMorgan under the Alpine Credit Facility are secured by a first priority security interest in substantially all of the assets of Alpine, including its portfolio of loans. The obligations of Alpine under the Alpine Credit Facility are non-recourse to the Company.

Borrowings under the Alpine Credit Facility are subject to compliance with a NAV coverage ratio with respect to the current value of Alpine’s portfolio and various eligibility criteria must be satisfied with respect to the initial acquisition of each loan in Alpine’s portfolio. Any amounts borrowed under the Alpine Credit Facility will mature, and all accrued and unpaid interest thereunder will be due and payable, on July 23, 2019. As of March 31, 2017, Alpine’s borrowings under the Alpine Credit Facility totaled $255 million and were recorded as part of revolving credit facility payable on our consolidated statements of assets and liabilities.

See Note 6 to our consolidated financial statements as of March 31, 2017 for more information about our credit facilities.

Contractual Obligations

The following table shows our payment obligations for repayment of debt, which total our contractual obligations at March 31, 2017:



	Payment Due By Period
	Total		Less than 1 Year		1 - 3 Years		3 - 5 Years		More than 5 Years
ING Credit Facility	$	145,000,000	$	—	$	—	$	145,000,000	$	—
Alpine Credit Facility	255,000,000		—		255,000,000		—		—
Total Contractual Obligations	$	400,000,000	$	—	$	255,000,000	$	145,000,000	$	—

We have entered into certain contracts under which we have material future commitments. On April 5, 2012, we entered into the Investment Advisory Agreement with SIC Advisors in accordance with the 1940 Act. The Investment Advisory Agreement became effective as of April 17, 2012, the date that we met the minimum offering requirement. Pursuant to the 1940 Act, the initial term of the Investment Advisory Agreement was for two years from its effective date, with one-year renewals subject to approval by our board of directors, a majority of whom must be independent directors. On March 1, 2017, the board of directors approved the renewal of the Investment Advisory Agreement for an additional one-year term at an in-person meeting. SIC Advisors serves as our investment advisor in accordance with the terms of the Investment Advisory Agreement. Payments under our Investment Advisory Agreement in each reporting period consist of (i) a management fee equal to a percentage of the value of our gross assets and (ii) an incentive fee based on our performance.

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On April 5, 2012, we entered into the Administration Agreement with Medley Capital LLC with an initial term of two years, pursuant to which Medley Capital LLC furnishes us with administrative services necessary to conduct our day-to-day operations. On March 1, 2017, the board of directors approved the renewal of the Administration Agreement for an additional one-year term at an in-person meeting. Medley Capital LLC is reimbursed for administrative expenses it incurs on our behalf in performing its obligations. Such costs are reasonably allocated to us on the basis of assets, revenues, time records or other reasonable methods. We do not reimburse Medley Capital LLC for any services for which it receives a separate fee or for rent, depreciation, utilities, capital equipment or other administrative items allocated to a controlling person of Medley Capital LLC.

If any of our contractual obligations discussed above are terminated, our costs may increase under any new agreements that we enter into as replacements. We would also likely incur expenses in locating alternative parties to provide the services we expect to receive under the investment advisory agreement and administration agreement. Any new investment advisory agreement would also be subject to approval by our stockholders.

Off-Balance Sheet Arrangements

On August 27, 2013, Arbor, a wholly-owned financing subsidiary of the Company, entered into a TRS with Citibank.

On March 21, 2016, Arbor entered into the Fourth Amended Confirmation Letter Agreement with Citibank. The Fourth Amended Confirmation Agreement extended the term of the TRS from March 21, 2016 through March 21, 2019 and increased the interest rate payable to Citi from LIBOR plus 1.35% per annum to LIBOR plus 1.65% per annum. Other than the foregoing, the Fourth Amended Confirmation Agreement did not change any of the other terms of the TRS.

The TRS with Citibank enables Arbor to obtain the economic benefit of the loans underlying the TRS, despite the fact that such loans will not be directly held or otherwise owned by Arbor, in return for an interest-type payment to Citibank. Accordingly, the TRS is analogous to Arbor utilizing leverage to acquire loans and incurring an interest expense to a lender.

SIC Advisors acts as the investment manager of Arbor and has discretion over the composition of the basket of loans underlying the TRS. The terms of the TRS are governed by an ISDA 2002 Master Agreement, the Schedule thereto and Credit Support Annex to such Schedule, and the Confirmation exchanged thereunder, between Arbor and Citibank, which collectively establish the TRS, and are collectively referred to herein as the “TRS Agreement”. See Note 5 to our consolidated financial statements as of March 31, 2017 for more information about the TRS.

Transactions in total return swap contracts during the three months ended March 31, 2017 were $2.7 million in realized gains and $0.1 million in unrealized losses, which are recorded on the consolidated statements of operations.

Transactions in total return swap contracts during the three months ended March 31, 2016 were $2.4 million in realized gains and $2.7 million in unrealized losses, which are recorded on the consolidated statements of operations.

Our derivative asset from Citibank, net of amounts available for offset under a master netting agreement as of March 31, 2017, was $1.2 million, which are recorded on the consolidated statements of assets and liabilities as a receivable due on total return swap.

For the three months ended March 31, 2017 and 2016, the average notional amount of total return swap contracts was $247.1 million and $209.3 million, respectively.

On March 27, 2015, Sierra Income Corporation and GALIC entered into a limited liability company operating agreement to co-manage Sierra JV. Sierra Income Corporation and GALIC have committed to provide $100 million of equity to Sierra JV, with Sierra Income Corporation providing $87.5 million and GALIC providing $12.5 million. Sierra JV commenced operations on July 15, 2015. On August 4, 2015, Sierra JV entered into the JV Facility led by Credit Suisse, AG with initial commitments of $100 million. On December 29, 2015, the JV Facility was amended and the commitment increased to $135 million. On March 31, 2017, Credit Suisse, AG assigned its commitment in the JV Facility to Deutsche Bank AG and the JV Facility was amended to increase commitments to $240 million and extend the maturity to March 30, 2022. As of March 31, 2017, there was $143.5 million outstanding under the JV Facility and the Sierra JV had total assets at fair value of $219.2 million. As of March 31, 2017, Sierra JV’s portfolio was comprised of 100.0% of senior secured first lien term loans to 44 different borrowers with one loan on non-accrual status.

We have determined that the Sierra JV is an investment company under ASC 946, however in accordance with such guidance, we will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary or a controlled operating company whose business consists of providing services to us. Accordingly, we do not consolidate our interest in the Sierra JV.

Distributions

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We have elected and intend to continue to qualify to be treated, for U.S. federal income tax purposes, as a RIC under subchapter M of the Code. To obtain and maintain RIC tax treatment, we must, among others things, distribute at least 90% of our net ordinary income and net short-term capital gains in excess of net long-term capital losses, if any, to our stockholders. In order to avoid certain U.S. federal excise taxes imposed on RICs, we must distribute during each calendar year an amount at least equal to the sum of: (i) 98% of our ordinary income for the calendar year, (ii) 98.2% of our capital gains in excess of capital losses for the one-year period generally ending on October 31 of the calendar year (unless an election is made by us to use our taxable year) and (iii) any ordinary income and net capital gains for preceding years that were not distributed during such years and on which we paid no U.S. federal income tax.

While we intend to distribute any income and capital gains in the manner necessary to minimize imposition of the 4% U.S. federal excise tax, sufficient amounts of our taxable income and capital gains may not be distributed to avoid entirely the imposition of the tax. In that event, we will be liable for the tax only on the amount by which we do not meet the foregoing distribution requirement.

We currently intend to distribute net capital gains (i.e., net long-term capital gains in excess of net short-term capital losses), if any, at least annually out of the assets legally available for such distributions. However, we may decide in the future to retain such capital gains for investment and elect to treat such gains as deemed distributions to you. If this happens, you will be treated for U.S. federal income tax purposes as if you had received an actual distribution of the capital gains that we retain and reinvested the net after tax proceeds in us. In this situation, you would be eligible to claim a tax credit (or, in certain circumstances, a tax refund) equal to your allocable share of the tax we paid on the capital gains deemed distributed to you. We can offer no assurance that we will continue to achieve results that will permit the payment of any cash distributions and, if we issue senior securities, we may be prohibited from making distributions if doing so causes us to fail to maintain the asset coverage ratios stipulated by the 1940 Act or if distributions are limited by the terms of any of our borrowings.

Subject to our board of directors’ discretion and applicable legal restrictions, we expect to authorize and pay monthly distributions to our stockholders. Any distributions to our stockholders will be declared out of assets legally available for distribution. We expect to continue making monthly distributions unless our results of operations, our general financial condition, general economic conditions, or other factors prohibit us from doing so. From time to time, but not less than quarterly, we will review our accounts to determine whether distributions to our stockholders are appropriate. We have not established limits on the amount of funds we may use from available sources to make distributions. From the commencement of our offering through September 30, 2016, a portion of our distributions were comprised in part of expense support payments made by SIC Advisors that may be subject to repayment by us within three years of the date of such support payment. The purpose of this arrangement was to cover distributions to stockholders so as to ensure that the distributions did not constitute a return of capital for GAAP purposes. In the future, we may have distributions which could be characterized as a return of capital. Such distributions are not based on our investment performance and can only be sustained if we achieve positive investment performance in future periods and/or SIC Advisors elects to make expense support payments under an expense support agreement. Any future reimbursements to SIC Advisors will reduce the net investment income that may otherwise be available for distribution to stockholders. There can be no assurance that we will achieve the performance necessary to sustain our distributions or that we will be able to pay distributions at all. SIC Advisors has no obligation to enter into a renewed expense support agreement. For the three months ended March 31, 2016, if net Expense Support Payments of $5,204,896 were not made by SIC Advisors, approximately 31% of the distributions would have been a return of capital for GAAP purposes.

Our distributions may exceed our earnings, which we refer to as a return of capital, especially during the period before we have invested substantially all of the proceeds of our offering. As a result, a portion of the distributions we make may represent a return of capital. Our use of the term “return of capital” merely means distributions in excess of our earnings and as such may constitute a return on your individual investments and does not mean a return on capital. Therefore stockholders are advised that they should be aware of the differences with our use of the term “return of capital” and “return on capital.”

The following table reflects the cash distributions per share that we have declared or paid to our stockholders for the current and prior fiscal years. Stockholders of record as of each respective record date were entitled to receive the distribution.



Record Date	Payment Date	Amount per share
January 15 and 29, 2016	January 29, 2016	$	0.03333
February 12 and 29, 2016	February 29, 2016	0.03333
March 15 and 31, 2016	March 31, 2016	0.03333
April 15 and 29, 2016	April 29, 2016	0.03333
May 13 and 31, 2016	May 31, 2016	0.03333
June 15 and 30, 2016	June 30, 2016	0.03333

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July 15 and 29, 2016	July 29, 2016	0.03333
August 15 and 31, 2016	August 31, 2016	0.03333
September 15 and 30, 2016	September 30, 2016	0.03333
October 14 and 31, 2016	October 31, 2016	0.02667
November 15 and 30, 2016	November 30, 2016	0.02667
December 15 and 31, 2016	December 31, 2016	0.02667
January 13 and 31, 2017	January 31, 2017	0.02667
February 15 and 28, 2017	February 28, 2017	0.02667
March 15 and 31, 2017	March 31, 2017	0.02667

We have adopted an “opt in” distribution reinvestment plan pursuant to which common stockholders may elect to have the full amount of any cash distributions reinvested in additional shares of our common stock. As a result, if we declare a cash distribution, stockholders that have “opted in” to our distribution reinvestment plan will have their distribution automatically reinvested in additional shares of our common stock rather than receiving cash dividends. Stockholders who receive distributions in the form of shares of common stock will be subject to the same federal, state and local tax consequences as if they received cash distributions.

Each year a statement on Internal Revenue Service Form 1099-DIV (or such successor form) identifying the source of the distribution (i.e., paid from ordinary income, paid from net capital gain on the sale of securities, or a return of capital) will be mailed to our stockholders. The tax basis of shares must be reduced by the amount of any return of capital distributions, which will result in an increase in the amount of any taxable gain (or a reduction in any deductible loss) on the sale of shares.

Related Party Transactions

On October 19, 2011, SIC Advisors entered into a subscription agreement to purchase 110.80 shares of common stock for cash consideration of $1,000. The consideration represents $9.025 per share.

On April 17, 2012, SIC Advisors purchased 1,108,033.24 shares of our common stock for aggregate gross proceeds of $10,000,000. The consideration represents $9.025 per share.

We have entered into an Investment Advisory Agreement with SIC Advisors in which our senior management holds an equity interest and were party to the Expense Support Agreement through December 31, 2016. Members of our senior management also serve as principals of other investment managers affiliated with SIC Advisors that do, and may in the future, manage investment funds, accounts or other investment vehicles with investment objectives similar to ours.

We have entered into an Administration Agreement with Medley Capital LLC, pursuant to which Medley Capital LLC furnishes us with administrative services necessary to conduct our day-to-day operations. Medley Capital LLC is reimbursed for administrative expenses it incurs on our behalf. We do not reimburse Medley Capital LLC for any services for which it receives a separate fee or for rent, depreciation, utilities, capital equipment or other administrative items allocated to a controlling person of Medley Capital LLC. Medley Capital LLC is an affiliate of SIC Advisors.

We have entered into a dealer manager agreement with SC Distributors, LLC who receives a dealer manager fee of up to 2.75% of gross proceeds raised in the offering. An affiliated entity of SC Distributors, LLC owns an equity interest in SIC Advisors, which provides the right to receive a fixed percentage of the management fees received by SIC Advisors.

On March 20, 2017, the Company, SIC Advisors LLC, and SC Distributors, LLC agreed to remove any dealer manager fee payable to SC Distributors, LLC by investors with respect to shares of common stock sold to investors under a placement agreement through a registered investment advisor. In connection with any such sales, SIC Advisors LLC has agreed to pay SC Distributors LLC a platform placement fee in an amount equal to 1.50% of the gross offering proceeds from such sales.

We have entered into a license agreement with SIC Advisors under which SIC Advisors has agreed to grant us a non-exclusive, royalty-free license to use the name “Sierra” for specified purposes in our business. Under this agreement, we will have a right to use the “Sierra” name, subject to certain conditions, for so long as SIC Advisors or one of its affiliates remains our investment advisor. Other than with respect to this limited license, we will have no legal right to the “Sierra” name.

Management Fee

We pay SIC Advisors a fee for its services under the Investment Advisory Agreement. The fee consists of two components: a base management fee and an incentive fee.

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The base management fee is calculated at an annual rate of 1.75% of our gross assets and is payable quarterly in arrears. The incentive fee consists of:

•

An incentive fee on net investment income (“subordinated incentive fee on income”) is calculated and payable quarterly in arrears and is based upon pre-incentive fee net investment income for the immediately preceding quarter. No subordinated incentive fee on income is payable in any calendar quarter in which pre-incentive fee net investment income does not exceed a quarterly return to stockholders of 1.75% per quarter on our net assets at the end of the immediately preceding fiscal quarter, or the preferred quarterly return. All pre-incentive fee net investment income, if any, that exceeds the quarterly preferred return, but is less than or equal to 2.1875% of net assets at the end of the immediately preceding fiscal quarter in any quarter, will be payable to SIC Advisors. We refer to this portion of our subordinated incentive fee on income as the catch up. It is intended to provide an incentive fee of 20% on pre-incentive fee net investment income when pre-incentive fee net investment income exceeds 2.1875% of net assets at the end of the immediately preceding quarter in any quarter. For any quarter in which our pre-incentive fee net investment income exceeds 2.1875% of net assets at the end of the immediately preceding quarter, the subordinated incentive fee on income shall equal 20% of the amount of pre-incentive fee net investment income, because the preferred return and catch up will have been achieved.

•

A capital gains incentive fee will be earned on realized investments and shall be payable in arrears as of the end of each calendar year during which the Investment Advisory Agreement is in effect. If the Investment Advisory Agreement is terminated, the fee will become payable as of the effective date of such termination. The capital gains incentive fee is based on our realized capital gains on a cumulative basis from inception, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis, which we refer to as “net realized capital gains.” The capital gains incentive fee equals’ 20% of net realized capital gains, less the aggregate amount of any previously paid capital gains incentive fee.

Under the terms of the investment advisory agreement, SIC Advisors bears all organization and offering expenses on our behalf. Since June 2, 2014, the date that we raised $300 million in gross proceeds in connection with the sale of shares of our common stock, SIC Advisors has no longer been obligated to bear, pay or otherwise be responsible for any ongoing organization and offering expenses on our behalf, and we have been responsible for paying or otherwise incurring all such organization and offering expenses. Pursuant to the terms of the Investment Advisory Agreement, we have agreed to reimburse SIC Advisors for any such organizational and offering expenses incurred by SIC Advisors not to exceed 1.25% of the gross subscriptions raised by us over the course of the offering period, which was initially scheduled to terminate two years from the initial offering date, unless extended. Most recently, at a meeting held on March 1, 2017, our board of directors approved another extension of our offering for an additional year, which will extend the offering through April 17, 2018, unless further extended. Notwithstanding the foregoing, in the event that organizational and offering expenses, together with sales commissions, the dealer manager fee and any discounts paid to members of the Financial Industry Regulatory Authority, exceed 15% of the gross proceeds from the sale of shares of our common stock pursuant to our registration statement or otherwise at the time of the completion of our offering, then SIC Advisors shall be required to pay or, if already paid by us, reimburse us for amounts exceeding such 15% limit.

Critical Accounting Policies

This discussion of our expected operating plans is based upon our expected consolidated financial statements, which will be prepared in accordance with accounting principles generally accepted in the United States, or GAAP. The preparation of these consolidated financial statements will require our management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses. Changes in the economic environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ. In addition to the discussion below, we will describe our critical accounting policies in the notes to our future consolidated financial statements.

Valuation of Investments

We apply fair value accounting to all of its financial instruments in accordance with the 1940 Act and ASC Topic 820 — Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework used to measure fair value and requires disclosures for fair value measurements. In accordance with ASC 820, we have categorized its financial instruments carried at fair value, based on the priority of the valuation technique, into a three-level fair value hierarchy as identified below and discussed in Note 4.

•

Level 1 — Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and publicly listed derivatives will be included in Level 1. In addition, securities sold, but not yet purchased and call options will be included in Level 1. We will not adjust the quoted price for these investments, even in situations where we hold a large position and a sale could reasonably affect the quoted price.

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•

Level 2 — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. In certain cases, debt and equity securities are valued on the basis of prices from an orderly transaction between market participants provided by reputable dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, and various relationships between investments. Investments which are generally expected to be included in this category include corporate bonds and loans, convertible debt indexed to publicly listed securities, and certain over-the-counter derivatives.


•	Level 3 — Pricing inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments that are expected to be included in this category are our private portfolio companies.

Fair value is a market-based measure considered from the perspective of the market participant who holds the financial instrument rather than an entity specific measure. Therefore, when market assumptions are not readily available, our own assumptions are set to reflect those that management believes market participants would use in pricing the financial instrument at the measurement date.

Investments for which market quotations are readily available are valued at such market quotations, which are generally obtained from an independent pricing service or multiple broker-dealers or market makers. We weight the use of third-party broker quotes, if any, in determining fair value based on our understanding of the level of actual transactions used by the broker to develop the quote and whether the quote was an indicative price or binding offer. However, debt investments with remaining maturities within 60 days that are not credit impaired are valued at cost plus accreted discount, or minus amortized premium, which approximates fair value. Investments for which market quotations are not readily available are valued at fair value as determined by our board of directors based upon input from management and third party valuation firms. Because these investments are illiquid and because there may not be any directly comparable companies whose financial instruments have observable market values, these loans are valued using a fundamental valuation methodology, consistent with traditional asset pricing standards, that is objective and consistently applied across all loans and through time.

We use third-party valuation firms to assist the board of directors in the valuation of its portfolio investments. The valuation reports generated by the third-party valuation firms consider the evaluation of financing and sale transactions with third parties, expected cash flows and market based information, including comparable transactions, performance multiples, and movement in yields of debt instruments, among other factors. Based on market data obtained from the third-party valuation firms, we use a combined market yield analysis and an enterprise model of valuation. In applying the market yield analysis, the value of our loans are determined based upon inputs such as the coupon rate, current market yield, interest rate spreads of similar securities, the stated value of the loan, and the length to maturity. In applying the enterprise model, we use a waterfall analysis which takes into account the specific capital structure of the borrower and the related seniority of the instruments within the borrower’s capital structure into consideration. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities using an expected recovery model. We may estimate the fair value of warrants based on a model such as the Black-Scholes model or simulation models or a combination thereof.

We undertake a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:


•	our quarterly valuation process begins with each portfolio investment being initially valued by the valuation professionals;


•	conclusions are then documented and discussed with senior management; and

•

an independent valuation firm engaged by our board of directors prepares an independent valuation report for approximately one third of the portfolio investments each quarter on a rotating quarterly basis on non fiscal year-end quarters, such that each of these investments will be valued by an independent valuation firm at least twice per annum when combined with the fiscal year-end review of all the investments by independent valuation firms, exclusive of the TRS underlying portfolio.

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In addition, all of our investments are subject to the following valuation process:


•	management reviews preliminary valuations and their own independent assessment;


•	the audit committee of our board of directors reviews the preliminary valuations of senior management and independent valuation firms; and


•	our board of directors discusses valuations and determines the fair value of each investment in our portfolio in good faith based on the input of SIC Advisors, the respective independent valuation firms and the audit committee.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of our investments may differ significantly from the values that would have been used had a readily available market value existed for such investments, and the differences could be material.

The valuation procedures described are generally applied to the loans underlying the TRS, except that such assets are not reviewed by independent third party valuation firms. We will value the TRS in accordance with the TRS Agreement. Pursuant to the TRS Agreement, the value of the TRS will be based on the increase or decrease in the value of the assets underlying the TRS, together with accrued interest income, interest expense and certain other expenses incurred under the TRS. The assets underlying the TRS will be valued by Citibank. Citibank will base its valuation on the indicative bid prices provided by an independent third-party pricing service. Bid prices reflect the highest price that market participants may be willing to pay. These valuations will be sent to us for review and testing. Our board of directors will review and approve the value of the TRS, as well as the value of the assets underlying the TRS, on a quarterly basis as part of their quarterly determination of NAV. To the extent our board of directors has any questions or concerns regarding the valuation of the assets underlying the TRS, such valuation will be discussed or challenged pursuant to the terms of the TRS. For additional disclosures on the TRS, see “Off-Balance Sheet Arrangements.”

Our investments in subordinated notes are carried at fair value, which is based on a discounted cash flow model. The discounted cash flow model models both the underlying collateral (“assets”) and the liabilities of the CLO capital structure. The discounted cash flow model uses a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated cash flows of the assets. The discounted cash flow model distributes the asset cash flows to the liability structure based on the payment priorities and discounts them back using appropriate market discount rates based on discount rates for comparable CLOs. The assumptions are based on available market data as well as management estimates. Additional data is used to validate the results from the discounted cash flow method, such as analysis of relevant data observed in the CLO market, review of quotes, where available, recent acquisitions and observable transactions in the subordinated notes, among other factors.

Revenue Recognition

We record interest income on an accrual basis to the extent that we expect to collect such amounts. For loans and debt securities with contractual PIK interest, which represents contractual interest accrued and added to the principal balance, we generally will not accrue PIK interest for accounting purposes if the portfolio company valuation indicates that such PIK interest is not collectible. We do not accrue as a receivable interest on loans and debt securities or accounting purposes if we have reason to doubt our ability to collect such interest. Original issue discounts, market discounts or premiums are accreted or amortized using the effective interest method as interest income. We record prepayment premiums on loans and debt securities as fee income. Dividend income, if any, is recognized on an accrual basis to the extent that we expect to collect such amount.

Net Realized Gains or Losses and Net Change in Unrealized Appreciation or Depreciation

We measure net realized gains or losses by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment, without regard to unrealized appreciation or depreciation previously recognized. Net change in unrealized appreciation or depreciation reflects the change in portfolio investment values during the reporting period, including any reversal of previously recorded unrealized appreciation or depreciation, when gains or losses are realized.

Payment-in-Kind Interest

We have investments in our portfolio that contain a PIK interest provision. Any PIK interest is added to the principal balance of such investments and is recorded as income, if the portfolio company valuation indicates that such PIK interest is collectible. In order to maintain our status as a RIC, substantially all of this income must be paid out to stockholders in the form of dividends, even if we have not collected any cash.

Organization and Offering Expenses

We have been responsible for all ongoing organization and offering expenses since June 2, 2014.

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U.S. Federal Income Taxes

We have elected to be treated for U.S. federal income tax purposes, and intend to qualify annually, as a RIC under Subchapter M of the Code. As a RIC, we generally will not have to pay corporate-level U.S. federal income taxes on any ordinary income or capital gains that we distribute to our stockholders from our tax earnings and profits. To obtain and maintain our RIC tax treatment, we must, among other things, meet specified source-of-income and asset diversification requirements and distribute annually at least 90% of our ordinary income and realized net short-term capital gains in excess of realized net long-term capital losses, if any.

Recent Developments

On April 13, 2017, our board of directors declared a series of semi-monthly distributions for April, May and June 2017 in the amount of $0.02667 per share. These distributions represent an annualized yield of 7.07% based on our then-current offering price of $9.05 per share. Stockholders of record as of each respective record date will be entitled to receive the distribution. Below are the details for each respective distribution:



Record Date	Payment Date	Amount per share
April 14 and 28, 2017	April 28, 2017	$	0.02667
May 15 and 31, 2017	May 31, 2017	0.02667
June 15 and 30, 2017	June 30, 2017	0.02667

On April 20, 2017, commitments to the ING Credit Facility were expanded from $175,000,000 to $220,000,000.

In addition, we have issued common shares and received gross proceeds of approximately $2.9 million subsequent to March 31, 2017 through May 8, 2017.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

We are subject to financial market risks, including changes in interest rates. As of March 31, 2017, 90.2% of our portfolio investments (based on fair value) paid variable interest rates, 9.8% paid fixed interest rates, 4.3% were non-income producing equity or other investments and the remaining 95.7% were income producing equity/other investments. A rise in the general level of interest rates can be expected to lead to higher interest rates applicable to any variable rate investments we hold and to declines in the value of any fixed rate investments we hold. However, many of our variable rate investments provide for an interest rate floor, which may prevent our interest income from increasing until benchmark interest rates increase beyond a threshold amount. To the extent that a substantial portion of our investments may be in variable rate investments, an increase in interest rates beyond this threshold would make it easier for us to meet or exceed the hurdle rate applicable to the subordinated incentive fee on income under the Investment Advisory Agreement we have entered into with SIC Advisors, and may result in a substantial increase in our net investment income and to the amount of incentive fees payable to SIC Advisors with respect to our increased pre-incentive fee net investment income.

Under the terms of the TRS between Arbor and Citibank, Arbor will pay fees to Citibank at a floating rate based on LIBOR in exchange for the right to receive the economic benefit of a portfolio of assets having a maximum notional amount of $300 million. Our interest expense will also be affected by changes in the published LIBOR rate in connection with our credit facilities. We expect any future credit facilities, total return swap agreements or other financing arrangements that we or any of our subsidiaries may enter into will also be based on a floating interest rate. As a result, we are subject to risks relating to changes in market interest rates. In periods of rising interest rates, when we or our subsidiaries have debt outstanding or financing arrangements in effect, our cost of funds would increase, which could reduce our net investment income, especially to the extent we hold fixed rate investments.

In addition, any investments we make that are denominated in a foreign currency will be subject to risks associated with changes in currency exchange rates. These risks include the possibility of significant fluctuations in the foreign currency markets, the imposition or modification of foreign exchange controls and potential illiquidity in the secondary market. These risks will vary depending upon the currency or currencies involved.

Based on our Consolidated Statement of Assets and Liabilities as of March 31, 2017, the following table shows the approximate annual impact on the change in net assets resulting from operations of hypothetical base rate changes in interest rates, assuming no changes in our investment portfolio and capital structure:

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	Change in
Basis point increase	Interest Income ⁽¹⁾		Interest Expense		Net Interest Income
100	$	9,939,821	$	4,000,000	$	5,939,821
200	18,882,104		8,000,000		10,882,104
300	27,860,534		12,000,000		15,860,534
400	36,838,964		16,000,000		20,838,964
500	45,817,395		20,000,000		25,817,395

(1) Assumes no defaults or prepayments by portfolio companies over the next twelve months.

We expect that our long-term investments will be financed primarily with equity and debt. If deemed prudent, we may use interest rate risk management techniques in an effort to minimize our exposure to interest rate fluctuations. These techniques may include various interest rate hedging activities to the extent permitted by the 1940 Act. Adverse developments resulting from changes in interest rates or hedging transactions could have a material adverse effect on our business, financial condition and results of operations. During the three months ended March 31, 2017, we did not engage in interest rate hedging activities.

In addition, we may have risk regarding portfolio valuation. See “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations-Critical Accounting Policies-Valuation of Investments” and “Item 1A. Risk Factors.”

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Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Our management, under the supervision and with the participation of our Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the effectiveness of our disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act. Based on that evaluation, as of the end of the period covered by this quarterly report on Form 10-Q, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures are effective to ensure that information required to be disclosed by us in reports that we file or submit under the Exchange Act is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, and that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There have been no changes in our internal control over financial reporting, as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act, that occurred during our most recently completed fiscal quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II. Other Information

Item 1. Legal Proceedings

There are no material pending legal proceedings to which we or any of our subsidiaries are a party or of which any of our property or any of our subsidiaries' property is the subject.

Item 1A. Risk Factors

In addition to other information set forth in this report, you should carefully consider the “Risk Factors” discussed in our annual report on Form 10-K for the fiscal year ended December 31, 2016, filed with the SEC on March 7, 2017, which could materially affect our business, financial condition and/or operating results. There have been no material changes during the three months ended March 31, 2017 to the risk factors discussed in “Item 1A. Risk Factors” of our annual report on Form 10-K. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial

condition and/or operating results.

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

In June 2013, we commenced a share repurchase program pursuant to which it intends to conduct quarterly share repurchases, of up to 2.5% of the weighted average number of outstanding shares in any 3-month period or 10% of the weighted average number of outstanding shares in any 12-month period. The purpose of the share repurchase program is to allow stockholders to sell their shares back to us at a price equal to the most recently disclosed NAV per share of our common stock immediately prior to the date of repurchase. Shares will be purchased from stockholders participating in the program on a pro rata basis. Unless our board of directors determines otherwise, the number of shares to be repurchased during any calendar year will be limited to the proceeds received in association with the sale of shares of common stock under the distribution reinvestment plan. See Note 13 to our consolidated financial statements for more information.

The following table provides information concerning our repurchases of shares of our common stock during the three months ended March 31, 2017 pursuant to our share repurchase program:



Period	Total Number of Shares Purchased	Average Price per Share	Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Plans or Programs
January 1, 2017 through March 31, 2017	15,755	$8.17	—	— ⁽¹⁾

(1) A description of the maximum number of shares that may be purchased under our share repurchase program is included in the narrative preceding this table.

Item 3. Defaults Upon Senior Securities.

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None.

Item 4. Mine Safety Disclosures.

Not Applicable.

Item 5. Other Information

None.

Item 6. Exhibits.

EXHIBIT INDEX



Number		Description
3.1		Articles of Incorporation of the Registrant⁽¹⁾

3.2		Articles of Amendment of the Registrant⁽¹⁾

3.3		Articles of Amendment and Restatement of the Registrant⁽²⁾

3.4		Second Articles of Amendment and Restatement of the Registrant⁽³⁾

3.5		Form of Articles Supplementary Electing to be Subject to Subtitle 8 of the Maryland General Corporation Law⁽⁴⁾

3.6		Form of Bylaws of the Registrant⁽¹⁾

11.1		Computation of Per Share Earnings (included in the notes to the financial statements contained in this report)*

31.1		Certification by Chief Executive Officer pursuant to Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002*

31.2		Certification by Chief Financial Officer pursuant to Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002*

32.1		Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002*

____________________________


*	Filed herewith.


(1)	Previously filed in connection with Pre-Effective Amendment No. 2 to the Registrant’s Registration Statement on Form N-2 (File No. 333-175624), filed on November 3, 2011, and incorporated by reference herein.


(2)	Previously filed in connection with Pre-Effective Amendment No. 4 to the Registrant’s Registration Statement on Form N-2 (File No. 333-175624), filed on March 12, 2012, and incorporated by reference herein.


(3)	Previously filed as Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed on June 14, 2012, and incorporated by reference herein.


(4)	Previously filed in connection with Registrant’s Pre-Effective Amendment No. 4 to its Registration Statement on Form N-2 (File No. 333-200595), filed on October 6, 2015, and incorporated by reference herein.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.



Dated: May 8, 2017	Sierra Income Corporation

	By	/s/ Seth Taube
		Seth Taube Chief Executive Officer (Principal Executive Officer)

	By	/s/ Christopher M. Mathieu
		Christopher M. Mathieu Chief Financial Officer (Principal Accounting and Financial Officer)

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