Corporate Capital Trust, Inc. - FORM 10-Q

Corporate Capital Trust, Inc. - FORM 10-Q - May 12, 2017

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EX-32.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER AND CHIEF FINANCIAL OFFICER - Corporate Capital Trust, Inc.	d361426dex321.htm
EX-31.2 - CERTIFICATION OF CHIEF FINANCIAL OFFICER - Corporate Capital Trust, Inc.	d361426dex312.htm
EX-31.1 - CERTIFICATION OF CHIEF EXECUTIVE OFFICER - Corporate Capital Trust, Inc.	d361426dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2017

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

Commission file number: 814-00827

CORPORATE CAPITAL TRUST, INC.

(Exact name of registrant as specified in its charter)

Maryland

27-2857503

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)


CNL Center at City Commons
450 South Orange Avenue
Orlando, Florida		32801
(Address of principal executive offices)		(Zip Code)

Registrant’s telephone number, including area code (866) 745-3797

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 ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes ☐ No ☐

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

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. ☐

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

The number of shares of common stock of the registrant outstanding as of May 10, 2017 was 309,773,886.

CORPORATE CAPITAL TRUST, INC.

INDEX


		PAGE

PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Condensed Consolidated Statements of Assets and Liabilities as of March 31, 2017 (unaudited) and December 31, 2016		2

	Condensed Consolidated Statements of Operations for the three months ended March 31, 2017 and 2016 (unaudited)		3

	Condensed Consolidated Statements of Changes in Net Assets for the three months ended March 31, 2017 and 2016 (unaudited)		4

	Condensed Consolidated Statements of Cash Flows for the three months ended March 31, 2017 and 2016 (unaudited)		5

	Condensed Consolidated Schedules of Investments as of March 31, 2017 (unaudited) and December 31, 2016		6

	Notes to Condensed Consolidated Financial Statements (unaudited)		41

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		82

Item 3.	Quantitative and Qualitative Disclosures about Market Risk		106

Item 4.	Controls and Procedures		108

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		109

Item 1A.	Risk Factors		109

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		109

Item 3.	Defaults Upon Senior Securities		109

Item 4.	Mine Safety Disclosures		109

Item 5.	Other Information		109

Item 6.	Exhibits		109

Signatures			110

Exhibit Index			111

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Assets and Liabilities

(in thousands, except share and per share amounts)


	March 31, 2017			December 31, 2016
	(unaudited)
Assets
Investments at fair value:
Non-controlled, non-affiliated investments (amortized cost of $3,676,118 and $3,797,345, respectively) - including $166,003 and $345,774, respectively, of investments pledged to creditors (Note 10)	$	3,512,555		$	3,622,442
Non-controlled, affiliated investments (amortized cost of $195,254 and $187,703, respectively)		152,577			142,855
Controlled, affiliated investments (amortized cost of $346,088 and $341,875, respectively)		269,897			259,996

Total investments, at fair value (amortized cost of $4,217,460 and $4,326,923, respectively)		3,935,029			4,025,293
Cash		49,037			127,031
Cash denominated in foreign currency (cost of $3,423 and $5,314, respectively)		3,440			5,229
Restricted cash		266			14,353
Collateral on deposit with custodian		105,000			95,000
Dividends and interest receivable		48,681			53,484
Receivable for investments sold		7,362			49,324
Principal receivable		4,996			2,942
Unrealized appreciation on derivative instruments		40,436			42,511
Receivable from advisors		—			2,040
Deferred offering expense		194			402
Prepaid and other deferred expenses		12,248			13,087

Total assets		4,206,689			4,430,696

Liabilities
Revolving credit facilities		998,500			1,219,000
Term loan payable, net		384,584			385,203
Repurchase agreement payable		23,769			23,454
Payable for investments purchased		2,449			22,205
Unrealized depreciation on derivative instruments		2,440			251
Accrued performance-based incentive fees		927			4,905
Accrued investment advisory fees		7,052			7,332
Accrued directors’ fees		4			—
Deferred tax liability		2,446			1,991
Other accrued expenses and liabilities		5,274			7,023

Total liabilities		1,427,445			1,671,364
Commitments and contingencies (Note 11)

Net Assets	$	2,779,244		$	2,759,332


Components of Net Assets
Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 308,731,826 and 309,041,547 shares issued and outstanding at March 31, 2017 and December 31, 2016, respectively	$	309		$	309
Paid-in capital in excess of par value		3,009,513			3,012,062
Undistributed net investment income		39,566			39,566
Accumulated net realized losses		(24,059	)		(32,331	)
Accumulated net unrealized depreciation on investments, derivative instruments and foreign currency translation (net of provision for taxes of $2,446 and $1,991, respectively)		(246,085	)		(260,274	)

Net assets	$	2,779,244		$	2,759,332

Net asset value per share	$	9.00		$	8.93

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Operations (unaudited)

(in thousands, except share and per share amounts)


	Three Months Ended March 31,
	2017			2016
Investment income
Interest income:
Non-controlled, non-affiliated investments (net of tax withholding, $273 and $339, respectively)	$	83,735		$	77,594
Controlled, affiliated investments		—			—

Total interest income		83,735			77,594

Payment-in-kind interest income:
Non-controlled, non-affiliated investments		1,027			4,462
Non-controlled, affiliated investments		—			3,902
Controlled, affiliated investments		2,463			—

Total payment-in-kind interest income		3,490			8,364

Fee income:
Non-controlled, non-affiliated investments		2,605			665

Total fee income		2,605			665

Dividend and other income:
Non-controlled, non-affiliated investments		296			135
Non-controlled, affiliated investments		—			569
Controlled, affiliated investments		2,722			1,524

Total dividend and other income		3,018			2,228

Total investment income		92,848			88,851

Operating expenses
Investment advisory fees		20,771			19,676
Interest expense		14,148			11,467
Performance-based incentive fees		927			2,650
Administrative services		840			846
Professional services		1,046			634
Offering expenses		205			812
Custodian and accounting fees		437			414
Director fees and expenses		133			112
Other		1,675			905

Total operating expenses		40,182			37,516

Net investment income before taxes		52,666			51,335
Income tax expense, including excise tax		123			—

Net investment income		52,543			51,335

Net realized and unrealized gains (losses)
Net realized gains (losses) on:
Non-controlled, non-affiliated investments		15,478			(12,149	)
Controlled, affiliated investments		154			—
Derivative instruments		2,871			9,269
Foreign currency transactions		(515	)		3,190

Net realized gains		17,988			310

Net change in unrealized appreciation (depreciation) on:
Non-controlled, non-affiliated investments		11,340			(38,447	)
Non-controlled, affiliated investments		2,171			(14,160	)
Controlled, affiliated investments		5,688			1,498
Derivative instruments		(4,264	)		(32,401	)
Foreign currency translation		(332	)		(3,420	)
Provision for taxes		(414	)		—

Net change in unrealized appreciation (depreciation)		14,189			(86,930	)

Net realized and unrealized gains (losses)		32,177			(86,620	)

Net increase (decrease) in net assets resulting from operations	$	84,720		$	(35,285	)

Net investment income per share	$	0.17		$	0.17

Diluted and basic earnings per share	$	0.27		$	(0.12	)

Weighted average number of shares of common stock outstanding (basic and diluted)		309,348,988			298,079,111

Distributions declared per share	$	0.20		$	0.20

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Changes in Net Assets (unaudited)

(in thousands, except share amounts)


	Three Months Ended March 31,
	2017			2016
Operations
Net investment income	$	52,543		$	51,335
Net realized gains on investments, derivative instruments and foreign currency transactions		17,988			310
Net change in unrealized appreciation (depreciation) on investments, derivative instruments and foreign currency translation		14,189			(86,930	)

Net increase in net assets resulting from operations		84,720			(35,285	)

Distributions to shareholders from
Net investment income		(52,543	)		(51,335	)
Net realized gains		(9,716	)		(310	)
Distributions in excess of net investment income (Note 8)		—			(8,295	)

Net decrease in net assets resulting from shareholders’ distributions		(62,259	)		(59,940	)

Capital share transactions
Issuance of shares of common stock		—			101,336
Reinvestment of shareholders’ distributions		30,820			30,679
Repurchase of shares of common stock		(33,369	)		(16,297	)

Net increase/(decrease) in net assets resulting from capital share transactions		(2,549	)		115,718

Total increase in net assets		19,912			20,493
Net assets at beginning of period		2,759,332			2,594,022

Net assets at end of period	$	2,779,244		$	2,614,515

Capital share activity
Shares issued from subscriptions		—			11,392,899
Shares issued from reinvestment of distributions		3,397,965			3,457,351
Shares repurchased		(3,707,686	)		(1,827,053	)

Net increase (decrease) in shares outstanding		(309,721	)		13,023,197

Undistributed net investment income at end of period	$	39,566		$	58,953

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Cash Flows (unaudited)

(in thousands)


	Three Months Ended March 31,
	2017			2016
Operating Activities:
Net increase (decrease) in net assets resulting from operations	$	84,720		$	(35,285	)
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities:
Purchases of investments		(254,878	)		(131,229	)
(Decrease) increase in payable for investments purchased		(19,884	)		18,149
Payment-in-kind interest capitalized		(1,038	)		(6,062	)
Proceeds from sales of investments		201,198			58,801
Proceeds from principal payments		187,445			133,264
Net realized (gain) loss on investments		(15,632	)		12,149
Net change in unrealized (appreciation) depreciation on investments		(19,199	)		51,109
Net change in unrealized depreciation on derivative instruments		4,264			32,401
Net change in unrealized depreciation on foreign currency translation		332			3,420
Amortization of premium/discount, net		(6,136	)		(1,944	)
Amortization of deferred financing costs		1,012			960
Accretion of discount on term loan payable		99			98
Increase in short-term investments, net		(1,496	)		(23,817	)
Increase (decrease) in collateral on deposit with custodian		(10,000	)		22,640
Decrease (increase) in dividends and interest receivable		4,803			(2,416	)
Decrease in receivable for investments sold		41,976			17,396
Increase in principal receivable		(2,054	)		(4,362	)
Decrease in receivable from advisors		2,040			156
Decrease in other assets		386			309
Decrease in accrued investment advisory fees		(280	)		(149	)
(Decrease) increase in accrued performance-based incentive fees		(3,978	)		1,901
Increase in deferred tax liability		414			—
Decrease in other accrued expenses and liabilities		(1,745	)		(2,814	)

Net cash provided by operating activities		192,369			144,675

Financing Activities:
Proceeds from issuance of shares of common stock		—			101,336
Payments on repurchases of shares of common stock		(33,369	)		(16,297	)
Distributions paid		(31,439	)		(29,261	)
Repayments under term loan payable		(1,000	)		(1,000	)
Borrowings under revolving credit facilities		107,500			—
Repayments of revolving credit facilities		(328,000	)		(169,587	)
Deferred financing costs paid		(33	)		(130	)

Net cash used in financing activities		(286,341	)		(114,939	)

Effect of exchange rate changes on cash		102			135

Net (decrease) increase in cash		(93,870	)		29,871
Cash, cash denominated in foreign currency and restricted cash, beginning of period		146,613			69,204

Cash, cash denominated in foreign currency and restricted cash, end of period	$	52,743		$	99,075


Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest	$	12,499		$	10,596

Taxes paid, including excise tax	$	3,500		$	2,791

Distributions reinvested	$	30,820		$	30,679

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Senior Secured Loans - First Lien—58.3%
A10 Capital, LLC	^(f)(g)(3)	Real Estate		L + 800		1.00	%	10/15/2021	$	32,688	$	32,383	$	33,015
Abaco Systems, Inc.	^(f)(h)(2)	Capital Goods		L + 600		1.00	%	12/7/2021		65,512		63,081		65,272
ABILITY Network, Inc.	⁽³⁾	Health Care Equipment & Services		L + 500		1.00	%	5/14/2021		632		624		635
Accuride Corp.	⁽²⁾	Capital Goods		L + 700		1.00	%	11/17/2023		10,976		10,658		10,990
Agro Merchants NAI Holdings, LLC	^(f)(h)(2)	Transportation		L + 700		1.00	%	10/1/2020		73,262		72,652		70,982
Algeco/Scotsman Holdings SARL (LUX)	^{(f)(g)(i)(j)(k)}	Consumer Durables & Apparel		15.75% PIK (15.75 Max PIK)				5/1/2018		41,958		32,642		9,320
AltEn, LLC	^{(f)(j)(k)(l)(5)}	Energy		L + 900 PIK (L + 900 Max PIK)		1.00	%	9/12/2018		37,499		29,836		6,232
AM General, LLC	^(f)(h)(3)	Automobiles & Components		L + 725		1.00	%	12/28/2021		95,530		94,156		96,885
American Freight, Inc.	^(f)(3)	Retailing		L + 625		1.00	%	10/31/2020		31,954		31,849		31,954
Amtek Global Technology Pte. Ltd. (SGP)	^{(f)(g)(i)(6)(EUR)}	Automobiles & Components		E + 900		1.00	%	11/10/2019	€	7,633		8,345		8,032
	^{(f)(g)(i)(6)(EUR)}			E + 900		1.00	%	11/10/2019		56,564		58,136		59,516
	^{(f)(g)(i)(6)(EUR)}			E + 900		1.00	%	11/10/2019		58,055		59,668		61,085
	^{(f)(g)(i)(6)(EUR)}			E + 900		1.00	%	11/10/2019		8,078		8,303		8,500
	^{(f)(g)(i)(6)(EUR)}			E + 900		1.00	%	11/10/2019		6,940		7,341		7,303
BeyondTrust Software, Inc.	^(f)(2)	Software & Services		L + 700		1.00	%	9/25/2019	$	11,906		11,830		11,675

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Casual Dining Group, Ltd. (GBR)	^{(f)(g)(i)(2)(GBP)}	Consumer Services		L + 825					12/11/2020	£	40,546	$	60,392	$	48,917
Charlotte Russe, Inc.	⁽²⁾	Retailing		L + 550			1.25	%	5/22/2019	$	4,478		4,464		2,851
	⁽²⁾			L + 550			1.25	%	5/22/2019		18,291		18,200		11,645
Dentix (SPN)	^{(f)(g)(i)(6)(EUR)}	Health Care Equipment & Services		E + 825					12/14/2021	€	21,000		21,193		23,344
Distribution International, Inc.	⁽²⁾	Retailing		L + 500			1.00	%	12/15/2021	$	4,138		3,512		3,559
DJO Finance, LLC		Health Care Equipment & Services		8.13	%		1.00	%	6/8/2020		675		586		582
EagleView Technology Corp.	⁽²⁾	Software & Services		L + 425			1.00	%	7/15/2022		6,895		6,841		6,924
FleetPride Corp.	⁽²⁾	Capital Goods		L + 400			1.25	%	11/19/2019		885		792		838
Greystone & Co., Inc.	^(f)(7)	Diversified Financials		L + 800			1.00	%	3/26/2021		32,997		32,623		32,965
Hunt Mortgage	^(f)(h)(2)	Diversified Financials		L + 750			1.00	%	2/14/2023		43,824		43,176		42,930
Imagine! Print Solutions, Inc.	^(f)(2)	Media		L + 625			1.00	%	3/31/2023		14,850		14,327		14,850
iPayment Investors, Inc.	⁽³⁾	Software & Services		L + 525			1.50	%	5/8/2017		11,885		11,877		11,825
Jacuzzi Brands, Inc.	^(f)(h)(2)	Capital Goods		L + 650			1.25	%	7/3/2019		15,000		14,749		14,919
	^(f)(2)			L + 650			1.25	%	7/3/2019		15,240		15,099		15,158
Jacuzzi Brands, Inc. (LUX)	^(f)(i)(2)	Capital Goods		L + 650			1.25	%	7/3/2019		20,118		19,932		20,010
JHT Holdings, Inc.	^(f)(h)(2)	Capital Goods		L + 850			1.00	%	5/4/2022		34,231		33,631		35,011
KeyPoint Government Solutions, Inc.	^(f)(2)	Capital Goods		L + 650			1.25	%	11/13/2017		26,823		26,729		26,823

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Keystone Australia Holdings, Pty. Ltd. (AUS)	^{(f)(g)(i)(k)(m)(AUD)}	Consumer Services		15.00	%				8/7/2019	A$	31,021	$	27,501	$	13,916
Koosharem, LLC	^(h)(2)	Commercial & Professional Services		L + 650			1.00	%	5/15/2020	$	18,957		18,843		17,725
Marshall Retail Group, LLC	^(f)(2)	Retailing		L + 600			1.00	%	8/25/2020		16,426		16,319		15,156
MCS AMS Sub-Holdings, LLC	^(h)(2)	Commercial & Professional Services		L + 650			1.00	%	10/15/2019		24,403		24,035		23,671
NEP Group, Inc.	⁽³⁾	Media		L + 325			1.00	%	1/22/2020		496		489		498
New Enterprise Stone & Lime Co., Inc.	^(f)(h)(2)	Capital Goods		L + 800			1.00	%	3/19/2021		102,461		101,561		108,410
	^(f)(h)(2)			L + 800			1.00	%	3/19/2021		51,745		51,290		54,749
Nine West Holdings, Inc.	⁽²⁾	Consumer Durables & Apparel		L + 375			1.00	%	10/8/2019		13,247		13,076		9,563
NMI Holdings, Inc.	^(f)(g)(2)	Insurance		L + 675			1.00	%	11/15/2019		37,431		37,071		37,317
P & L Development, LLC	^(f)(h)(j)(3)	Pharmaceuticals, Biotechnology & Life Sciences		L + 750 (1.00% Max PIK)					5/1/2020		56,175		55,806		56,456
Pacific Union Financial, LLC	^(f)(3)	Diversified Financials		L + 800			1.00	%	5/31/2019		58,062		57,430		58,933
Paradigm Acquisition Corp.	⁽²⁾	Health Care Equipment & Services		L + 500			1.00	%	6/2/2022		10,897		10,769		10,924
Petroplex Acidizing, Inc.	^(f)(j)(2)	Energy		L+900, 1.75% PIK (1.75% Max PIK)			1.00	%	12/5/2019		22,367		22,367		20,756
	^(f)(j)(k)			15.00% PIK (15.00% Max PIK)					12/5/2019		18,420		13,809		1,557

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Proserv Acquisition, LLC	^(f)(g)(2)	Energy		L + 537.5		1.00	%		12/22/2021	$	26,964	$	21,302	$	16,465
Proserv Acquisition, LLC (GBR)	^(f)(g)(i)(2)	Energy		L + 537.5		1.00	%		12/22/2021		15,827		12,503		9,664
Raley’s	⁽³⁾	Food & Staples Retailing		L + 625		1.00	%		5/18/2022		11,288		10,975		11,387
Safety Technology Holdings, Inc.	^(f)(2)	Technology Hardware & Equipment		L + 600		1.00	%		7/29/2022		1,200		1,168		1,201
	^(f)(3)			L + 600		1.00	%		7/29/2022		7,462		7,275		7,493
	^(f)(3)			L + 600		1.00	%		7/29/2022		169		158		109
Sears Canada, Inc. (CAN)	^(f)(g)(i)(2)	Retailing		L + 950		1.00	%		5/28/2019		20,833		20,314		20,313
Sequa Corp.	⁽²⁾	Capital Goods		L + 400		1.25	%		6/19/2017		7,333		7,048		7,260
SIRVA Worldwide, Inc.	⁽²⁾	Commercial & Professional Services		L + 650		1.00	%		11/22/2022		22,716		22,166		22,603
Smile Brands Group, Inc.	^(f)(2)	Health Care Equipment & Services		L + 625		1.00	%		8/16/2022		12,438		12,295		12,363
SouthernCarlson	^(f)(2)	Capital Goods		L + 700		1.00	%		6/30/2022		1,244		1,177		474
	^(f)(2)			L + 700		1.00	%		6/30/2022		38,349		37,911		38,924
	^(f)(2)			L + 700		1.00	%		6/30/2022		5,182		5,125		5,260
ThreeSixty Group	^(f)(h)(2)	Retailing		L + 700		1.00	%		1/31/2024		52,314		52,314		52,306
Traverse Midstream Partners, LLC	^(f)(2)	Energy		L + 1000		1.00	%		11/10/2020		2,348		2,312		2,328
	^(f)(2)			L + 1000		1.00	%		11/10/2020		15,263		15,024		15,131
	^(f)(2)			L + 1000		1.00	%		11/10/2020		7,044		6,934		6,984
	^(f)(2)			L + 1000		1.00	%		11/10/2020		11,741		11,555		11,639

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
TTM Technologies, Inc.	^(g)(3)	Technology Hardware & Equipment		L + 425			1.00	%		7/31/2021	$	8,827	$	8,597	$	8,982
Vee Pak, LLC	^(f)(h)(3)	Materials		L + 675			1.00	%		2/1/2023		50,774		50,018		50,012
Waste Pro USA, Inc.	^(f)(h)(3)	Transportation		L + 750			1.00	%		10/15/2020		35,856		35,856		36,035
Willbros Group, Inc.	^(f)(h)(2)	Energy		L + 975			1.25	%		12/15/2019		25,599		25,599		25,951
Z Gallerie, Inc.	^(f)(2)	Retailing		L + 650			1.00	%		10/8/2020		31,867		31,626		31,728


Total Senior Secured Loans - First Lien													$	1,699,245	$	1,618,790


Senior Secured Loans - Second Lien—38.5%
Abaco Systems, Inc.	^(f)(h)(2)	Capital Goods		L + 1050			1.00	%		6/7/2022	$	63,371	$	62,280	$	63,879
Angelica Corp.	^(f)(j)(k)(5)	Health Care Equipment & Services		L + 875 PIK (L+875 Max PIK)			1.25	%		8/20/2019		53,609		50,869		9,495
Applied Systems, Inc.	⁽²⁾	Software & Services		L + 650			1.00	%		1/24/2022		21,242		21,289		21,466
Belk, Inc.	^(f)(h)	Retailing		10.50	%					6/12/2023		99,615		97,860		92,059
Bon-Ton Department Stores, Inc.	^(f)(g)(2)	Retailing		L + 950			1.00	%		3/18/2021		13,529		13,285		13,091
CTI Foods Holding Co., LLC	⁽²⁾	Food, Beverage & Tobacco		L + 725			1.00	%		6/28/2021		23,219		23,004		21,129
Culligan International Co.	^(f)(3)	Household & Personal Products		L + 850			1.00	%		11/15/2024		37,500		36,769		37,056
EagleView Technology Corp.	⁽²⁾	Software & Services		L + 825			1.00	%		7/14/2023		33,000		32,577		32,948

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Excelitas Technologies Corp.	^(f)(j)(2)	Technology Hardware & Equipment		L+975, 1.50% PIK (3.00% Max PIK)		1.00	%		4/29/2021	$	114,554	$	114,554	$	113,983
Genoa, a QoL Healthcare Co., LLC	⁽²⁾	Health Care Equipment & Services		L + 800		1.00	%		10/28/2024		10,828		10,671		10,937
Grocery Outlet, Inc.	⁽²⁾	Food & Staples Retailing		L + 825		1.00	%		10/21/2022		40,346		39,286		40,565
iParadigms Holdings, LLC	⁽²⁾	Software & Services		L + 725		1.00	%		7/29/2022		22,595		22,460		21,879
MedAssets, Inc.	^(f)(h)(3)	Health Care Equipment & Services		L + 975		1.00	%		4/20/2023		63,000		61,279		63,000
NEP Group, Inc.	⁽²⁾	Media		L + 875		1.25	%		7/22/2020		641		626		650
NewWave Communications, Inc.	⁽²⁾	Media		L + 800		1.00	%		10/30/2020		13,712		13,685		13,798
P2 Energy Solutions, Inc.	⁽²⁾	Software & Services		L + 800		1.00	%		4/30/2021		445		442		429
	⁽²⁾			L + 800		1.00	%		4/30/2021		74,312		72,861		71,587
Petrochoice Holdings, Inc.	^(f)(h)(3)	Capital Goods		L + 875		1.00	%		8/21/2023		65,000		63,316		64,661
Plaskolite, LLC	^(f)(2)	Materials		L + 825		1.00	%		11/3/2023		33,543		32,629		33,879
Polyconcept North America, Inc.	^(f)(3)	Consumer Durables & Apparel		L + 1000		1.00	%		12/31/2023		29,376		28,698		28,898
Press Ganey Holdings, Inc.	⁽³⁾	Health Care Equipment & Services		L + 800		1.00	%		10/21/2024		6,703		6,638		6,862
SquareTwo Financial Corp.	^(f)(j)(k)(5)	Diversified Financials		L+1000 PIK (L+1000 Max PIK)		1.00	%		5/24/2019		11,343		11,151		4,562
	^(f)(j)(2)			L+950 PIK (L+950 Max PIK)		1.00	%		5/24/2019		2,939		2,899		2,939

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Sungard Public Sector LLC	^(f)(h)(2)	Software & Services		L + 850			1.00	%		1/30/2025	$	24,346	$	24,106	$	24,065
Valeo Foods Group Ltd. (IRL)	^{(f)(g)(i)(2)(GBP)}	Food, Beverage & Tobacco		L + 800			1.00	%		5/8/2023	£	29,125		43,778		36,491
Vencore, Inc.	⁽²⁾	Capital Goods		L + 875			1.00	%		5/23/2020	$	87,673		86,794		88,495
Vertafore, Inc.	^(f)(3)	Software & Services		L + 900			1.00	%		6/30/2024		81,500		79,242		82,722
Vestcom International, Inc.	^(f)(3)	Consumer Services		L + 850			1.00	%		4/28/2024		58,000		57,164		58,364
WireCo WorldGroup, Inc.	⁽³⁾	Capital Goods		L + 950			1.00	%		9/30/2024		11,226		11,153		11,345


Total Senior Secured Loans - Second Lien													$	1,121,365	$	1,071,234


Senior Secured Bonds—3.0%
Artesyn Technologies, Inc.	^(n)(o)	Technology Hardware & Equipment		9.75	%					10/15/2020	$	13,253	$	12,845	$	12,955
Direct ChassisLink, Inc.	^(n)(o)	Transportation		10.00	%					6/15/2023		5,726		5,818		6,127
Louisiana Public Facilities Authority	^(f)(k)(2)	Energy		L + 1000			1.50	%		1/1/2020		34,330		32,599		9,384
	^(f)(k)(o)(2)			L + 1000			1.50	%		1/1/2020		10,650		10,344		2,911
Maxim Crane, LP	^(n)(o)	Capital Goods		10.13%						8/1/2024		3,821		3,821		4,079
NESCO, LLC	^(n)(o)	Capital Goods		6.88	%					2/15/2021		10,015		6,591		8,262
OAG Holdings, LLC	^(f)(j)(k)	Energy		10.00%, 2.00% PIK (2.00% Max PIK)						12/20/2020		21,367		18,266		1,332
PQ Corp.	^(n)(o)	Materials		6.75	%					11/15/2022		1,052		1,052		1,120

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes		Industry	Interest Rate			Base Rate Floor		Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
RedPrairie Corp.		^(n)(o)	Software & Services		7.38	%				10/15/2024	$	13,805	$	13,805	$	14,392
Rockport Group, LLC		^(f)	Consumer Durables & Apparel		9.50	%				7/31/2022		28,516		27,934		22,670
Sentry Holdings, Ltd. (GBR)		^{(g)(i)(n)(o)(GBP)}	Insurance		8.75	%				4/2/2020	£	936		1,421		1,109


Total Senior Secured Bonds													$	134,496	$	84,341


Total Senior Debt													$	2,955,106	$	2,774,365


Subordinated Debt—18.3%
Alion Science & Technology Corp.		^(f)(h)(o)	Capital Goods		11.00	%				8/19/2022	$	68,603	$	67,735	$	67,899
Cemex Materials, LLC		^(n)(o)	Materials		7.70	%				7/21/2025		58,454		61,901		64,007
ClubCorp Club Operations, Inc.		^(n)(o)	Consumer Services		8.25	%				12/15/2023		693		662		754
Exemplis Corp.		^(f)(j)(2)	Commercial & Professional Services		L + 700, 4.00% PIK (4.00% Max PIK)					3/23/2020		19,539		19,539		19,832
Hilding Anders (SWE)		^{(f)(g)(i)(j)(p)(EUR)}	Consumer Durables & Apparel					13.00% PIK (13.00% Max PIK)		6/30/2021	€	112,535		130,162		78,658
		^{(f)(g)(i)(j)(k)(p)(EUR)}						12.00% PIK (12.00% Max PIK)		12/31/2022		2,733		507		745
		^{(f)(g)(i)(j)(k)(p)(EUR)}						12.00% PIK (12.00% Max PIK)		12/31/2023		22,230		939		5
		^{(f)(g)(i)(j)(k)(p)(EUR)}						18.00% PIK (18.00% Max PIK)		12/31/2024		35,185		12,851		9,588

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Hillman Group, Inc.	^(n)(o)	Consumer Durables & Apparel		6.38	%					7/15/2022	$	559	$	542	$	533
Home Partners of America	^(f)(3)	Real Estate		L + 700			1.00	%		6/8/2023		75,000		73,589		75,750
Kenan Advantage Group, Inc.	^(n)(o)	Transportation		7.88	%					7/31/2023		2,758		2,637		2,820
Lightower Fiber, LLC	^(f)	Telecommunication Services		10.00	%					2/12/2022		11,555		11,365		11,854
	^(f)(j)			12.00% PIK (12.00% Max PIK)						8/12/2025		10,299		10,143		10,603
Platform Specialty Products Corp.	^(g)(n)(o)	Materials		10.38	%					5/1/2021		2,747		2,747		3,056
PQ Corp.	^(f)(o)⁽²⁾	Materials		L + 1075			1.00	%		5/1/2022		133,488		131,063		138,649
Vertiv Group Corp.	^(n)(o)	Technology Hardware & Equipment		9.25	%					10/15/2024		22,713		22,947		24,303


Total Subordinated Debt													$	549,329	$	509,056


Structured Products—7.6%
Central Park Leasing SARL (LUX), Partnership Interest	^(f)(g)(i)*	Capital Goods									$	N/A	$	64,367	$	64,387
Comet Aircraft SARL (LUX), Common Shares	^(f)(g)(i)(p)	Capital Goods										49,618		49,618		50,471
Guardian Investors, LLC, Membership Interest	^(f)(g)(p)*	Diversified Financials										N/A		8,433		3,213
Innovating Partners, LLC, Membership Interest	^(f)(g)(p)*	Diversified Financials										N/A		10,841		3,675
KKR BPT Holdings Aggregator, LLC, Membership Interest	^(f)(g)(p)*	Diversified Financials										N/A		12,000		8,790

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
LSF IX Java Investments, Ltd (IRL)	^{(f)(g)(i)(q)(8)(EUR)}	Diversified Financials		E + 315				12/3/2019	€	56,406	$	52,025	$	53,950
Trade Finance Funding I, Ltd. 2013 - 1A Class B (CYM)	^(f)(g)(i)(o)	Diversified Financials		10.75	%			11/13/2018	$	28,221		28,221		25,625


Total Structured Products											$	225,505	$	210,111


Equity/Other—15.8%
Alion Science & Technology Corp., Class A Membership Interest	^(f)*	Capital Goods							$	N/A	$	7,350	$	6,648
AltEn, LLC, Membership Units	^(f)*	Energy								2,384		2,955		—
Amtek Global Technology Pte. Ltd. (SGP), Warrants	^{(f)(g)(i)*(EUR)}	Automobiles & Components						12/31/2017		9,991		4,635		3,236
	^{(f)(g)(i)*(EUR)}							12/31/2018		9,991		4,785		3,249
Belk, Inc., Units	^(f)	Retailing								1,642		7,845		2,251
Cengage Learning Holdings II, LP, Common Stock	^(f)	Media								227,802		7,529		4,484
Education Management Corp., Common Stock	^(f)*	Consumer Services								3,779,591		1,046		—
Education Management Corp., Warrants	^(f)*							1/5/2022		2,320,791		371		—
Excelitas Technologies Corp., Class A Membership Interest	^(f)*	Technology Hardware & Equipment								N/A		5,636		5,681
GA Capital Specialty Lending Fund, Limited Partnership Interest	^(f)(g)	Diversified Financials								N/A		70,825		70,826

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Genesys Telecommunications Laboratories, Inc., Class A Shares	^(f)*	Technology Hardware & Equipment				$	40,529	$	—	$	—
Genesys Telecommunications Laboratories, Inc., Class A1-A5 Shares	^(f)*						3,463,150		120		651
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*						2,768,806		—		—
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*						41,339		—		—
Genesys Telecommunications Laboratories, Inc., Preferred Shares	^(f)*						1,050,465		—		—
Hilding Anders (SWE), Arle PIK Interest	^{(f)(g)(i)(p)*}	Consumer Durables & Apparel					N/A		—		—
Hilding Anders (SWE), Class A Common Stock	^{(f)(g)(i)(p)*(SEK)}						4,503,408		132		—
Hilding Anders (SWE), Class B Common Stock	^{(f)(g)(i)(p)*(SEK)}						574,791		25		—
Hilding Anders (SWE), Class C Common Stock	^{(f)(g)(i)(p)*(SEK)}						213,201		—		—
Hilding Anders (SWE), Equity Options	^{(f)(g)(i)(p)*(SEK)}				12/31/2020		236,160,807		14,988		3,294
Home Partners of America, Inc., Common Stock	^(f)(l)*	Real Estate					100,044		101,876		127,116
Home Partners of America, Inc., Warrants	^(f)(l)*				8/7/2024		2,674		292		872
iPayment Investors, LP, Common Stock	^(f)*	Software & Services					538,143		1,988		850
Jacuzzi Brands, Inc., Warrants	^(f)*	Capital Goods			7/3/2019		49,888		—		1,924
Jones Apparel Group Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel					5,451		872		2,181

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Keystone Australia Holdings, Pty. Ltd. (AUS), Warrants	^{(f)(g)(i)(r)*(AUD)}	Consumer Services								1,588,469		1,019		—
Nine West Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel							$	5,451	$	6,541	$	—
OAG Holdings, LLC, Overriding Royalty Interest	^(f)	Energy								N/A		2,354		—
Orchard Marine, Ltd. (VGB), Class B Common Stock	^{(f)(g)(i)(l)*}	Transportation								1,964		3,069		—
Orchard Marine, Ltd. (VGB), Series A Preferred Stock	^{(f)(g)(i)(l)(s)}			9.00	%					58,184		57,226		18,357
Petroplex Acidizing Inc., Warrants	^(f)*	Energy						12/29/2026		8		—		—
Polyconcept North America, Inc., Class A-1 Units	^(f)*	Consumer Durables & Apparel								29,376		2,938		2,592
PQ Corp., Class B Common Stock	^(f)*	Materials								18,059		3,337		3,550
Sentry Holdings, Ltd. (JEY), Common Shares A	^{(f)(g)(i)*(GBP)}	Insurance								16,450		—		—
Sentry Holdings, Ltd. (JEY), Preferred B Shares	^{(f)(g)(i)*(GBP)}									6,113,719		9,065		7,660
SquareTwo Financial Corp., Series A Preferred Stock	^(f)(j)(k)*	Diversified Financials		12.50	%					16,044		5,457		—
Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest	^(f)(g)	Diversified Financials								N/A		48,217		53,889
Strategic Credit Opportunities Partners, LLC, Units	^(f)(g)(p)	Diversified Financials								92,400		92,400		98,266
Stuart Weitzman, Inc., Common Stock, Common Stock	^(f)*	Consumer Durables & Apparel								5,451		—		1,377
Toorak Capital Partners, LLC, Membership Interest	^(f)(g)(p)*	Diversified Financials								N/A		13,192		13,192

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry		Interest Rate			Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Towergate (GBR), Ordinary Shares	^(f)(g)(i)*^(GBP)		Insurance							£	116,814		173		146
Willbros Group, Inc., Common Stock	*		Energy								2,810,814	$	7,760	$	7,702

Total Equity/Other												$	486,018	$	439,995

Total Investments, excluding Short Term Investments — 141.5%												$	4,215,958	$	3,933,527

Short Term Investments—0.1%
Goldman Sachs Financial Square Funds – Treasury Instruments Fund	^(t)				0.46	%					1,502,317	$	1,502	$	1,502

Total Short Term Investments												$	1,502	$	1,502

TOTAL INVESTMENTS — 141.6% ^(u)												$	4,217,460	$	3,935,029

LIABILITIES IN EXCESS OF OTHER ASSETS—(41.6%)															(1,155,785	)
NET ASSETS—100.0%														$	2,779,244

Collateral on Deposit with Custodian—3.8%
Bank of Nova Scotia Certificate of Deposit									6/30/2017		105,000	$	105,000		105,000

Total Collateral on Deposit with Custodian												$	105,000	$	105,000


Derivative Instruments (Note 4)—1.4%
Cross currency swaps	^(f)											$	—		22,461
Foreign currency forward contracts	^(f)											$	—		868
Interest rate swaps	^(f)											$	—		9,914
Total return swaps	^(f)(g)											$	—	$	4,753

Total Derivative Instruments												$	—	$	37,996

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)

(a)	Security may be an obligation of one or more entities affiliated with the named company.

(b)	Non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940, as amended (“1940 Act”), unless otherwise indicated. Non-controlled/non-affiliated investments are investments that are neither controlled investments nor affiliated investments.

(c)	Represents maturity of debt securities and expiration of applicable equity investments.

(d)	Denominated in U.S. dollars unless otherwise noted.

(e)	Represents amortized cost for debt securities and cost for equity investments translated to U.S. dollars.

(f)	Investments classified as Level 3 whereby fair value was determined by the Company’s Board of Directors. (see Note 2).

(g)

The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets. The Company calculates its compliance with the qualifying assets test on a “look through” basis by disregarding the value of the Company’s total return swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 74.3% of the Company’s total assets represented qualifying assets as of March 31, 2017.

(h)	Security or portion thereof was held within CCT SE I LLC and was pledged as collateral supporting the amounts outstanding under the revolving credit facility with JPMorgan Chase Bank as of March 31, 2017.

(i)	A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.

(j)

The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments.

(k)	Investment was on non-accrual status as of March 31, 2017.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)

(l)

Affiliated investment as defined by the 1940 Act, whereby the Company owns between 5% and 25% of the portfolio company’s outstanding voting securities and the investments are not classified as controlled investments. The aggregate fair value of non-controlled, affiliated investments at March 31, 2017 represented 5.5% of the Company’s net assets. Fair value as of March 31, 2017 along with transactions during the three months ended March 31, 2017 in these affiliated investments were as follows (amounts in thousands):


			Three Months Ended March 31, 2017									Three Months Ended March 31, 2017
Non-Controlled, Affiliated Investments	Fair Value at December 31, 2016		Gross Additions (Cost)*		Gross Reductions (Cost)**		Net Unrealized Gain (Loss)			Fair Value at March 31, 2017		Net Realized Gain (Loss)		Interest Income***		Fee Income		Dividend Income
AltEn, LLC
Membership Units	$	—	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	—
Term Loan		8,733		—		—		(2,501	)		6,232		—		—		—		—
Home Partners of America, Inc.
Common Stock		113,013		2,150		—		11,953			127,116		—		—		—		—
Warrants		607		—		—		265			872		—		—		—		—
Orchard Marine, Ltd.
Class B Common Stock		—		—		—		—			—		—		—		—		—
Series A Preferred Stock		20,502		5,401		—		(7,546	)		18,357		—		—		—		—

Totals	$	142,855	$	7,551	$	—	$	2,171		$	152,577	$	—	$	—	$	—	$	—

Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.

Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.

***	Includes payment-in-kind interest income.

(m)	The interest rate on this investment is comprised of a 7.00% cash payment plus an 8.00% redemption premium, to be paid upon redemption of the notes.

(n)

Security or portion thereof is held within Paris Funding, LLC and is pledged as collateral supporting the amounts outstanding under the committed facility agreement with BNP Paribas Prime Brokerage, Inc. and eligible to be hypothecated as allowed under Rule 15c2-1(a)(1) of the Securities Exchange Act of 1934 (“Exchange Act”) subject to the limits of the Rehypothecation Agreement. See Note 10 “Borrowings” for additional information.

(o)

This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act, normally to qualified institutional buyers.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)

(p)

Controlled investment as defined by the 1940 Act, whereby the Company owns more than 25% of the portfolio company’s outstanding voting securities or maintains the ability to nominate greater than 50% of the board representation. The aggregate fair value of controlled at March 31, 2017 represented 9.7% of the Company’s net assets. Fair value as of March 31, 2017 along with transactions during the year ended March 31, 2017 in these controlled investments were as follows (amounts in thousands):


			Three Months Ended March 31, 2017										Three Months Ended March 31, 2017
Controlled Investments	Fair Value at December 31, 2016		Gross Additions (Cost)*		Gross Reductions (Cost)**			Net Unrealized Gain (Loss)			Fair Value at March 31, 2017		Net Realized Gain (Loss)		Interest Income		Fee Income		Dividend Income
Comet Aircraft S.A.R.L	$	49,157	$	—	$	—		$	1,314		$	50,471	$	—	$	—	$	—	$	—
Guardian Investors, LLC		3,704		—		(427	)		(64	)		3,213		—		—		—		—
Hilding Anders
Subordinated Debt		84,693		154		—			4,149			88,996		154		2,463
Class A Common Stock		—		—		—			—			—		—		—		—		—
Class B Common Stock		—		—		—			—			—		—		—		—		—
Class C Common Stock				—		—			—			—		—		—		—		—
Equity Options		2,253		—		—			1,041			3,294		—		—		—		—
Innovating Partners, LLC		4,372		—		(522	)		(175	)		3,675		—		—		—		—
KKR BPT Holdings Aggregator, LLC		9,835		—		(1,200	)		155			8,790		—		—		—		—
Strategic Credit Opportunities Partners, LLC		98,998		—		—			(732	)		98,266		—		—		—		2,722
Toorak Capital Partners, LLC		6,984		6,208		—			—			13,192		—		—		—		—


Totals	$	259,996	$	6,362	$	(2,149	)	$	5,688		$	269,897	$	154	$	2,463	$	—	$	2,722

(q)	Security is pledged as collateral supporting the amounts outstanding under the repurchase agreement with Credit Suisse Securities (Europe) Limited. See Note 10. “Borrowings” for additional information.

(r)	Expiration date contingent on certain events pursuant to underlying agreements.

(s)	The issuer of this investment has elected to pay the stated dividend rate upon liquidation of the investment.

(t)	7-day effective yield as of March 31, 2017.

(u)

As of March 31, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $110,154; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $392,585; the net unrealized depreciation was $282,431; the aggregate cost of securities for Federal income tax purposes was $4,217,460.

*	Non-income producing security.

(1)

Not used.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of March 31, 2017

(in thousands, except share amounts)

(2)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at March 31, 2017 was 1.15%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(3)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at March 31, 2017 was 0.98%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(4)	The interest rate on these investments is subject to a base rate of 6-Month LIBOR, which at March 31, 2017 was 1.42%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(5)	The interest rate on these investments is subject to a base rate of 12-Month LIBOR, which at March 31, 2017 was 1.80%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(6)	The interest rate on these investments is subject to the base rate of 3-month EURIBOR, which at March 31, 2017 was (0.33%). The current base rate for each investment may be different from the reference rate on March 31, 2017.

(7)	The interest rate on these investments is subject to the base rate of 2-Month LIBOR, which at March 31, 2017 was 1.03%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(8)	The interest rate on these investments is subject to the base rate of 1-month EURIBOR, which at March 31, 2017 was (0.37%). The current base rate for each investment may be different from the reference rate on March 31, 2017.

Abbreviations:

AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.764 as of March 31, 2017.

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.249 as of March 31, 2017.

EUR - Euro; local currency investment amount is denominated in Euros. €1 / US $1.068 as of March 31, 2017.

SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronor. SEK1 / US $0.112 as of March 31, 2017.

AUS - Australia

CAN - Canada

CYM - Cayman Islands

GBR - United Kingdom

IRL - Ireland

JEY - Jersey

LUX - Luxembourg

SGP - Singapore

SPN - Spain

SWE - Sweden

VGB - British Virgin Islands

E = EURIBOR - Euro Interbank Offered Rate

L = LIBOR - London Interbank Offered Rate, typically 3-Month

PIK - Payment-in-kind; the issuance of additional securities by the borrower to settle interest payment obligations.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Senior Secured Loans - First Lien—56.1%
A10 Capital, LLC	^(f)(g)(3)	Real Estate		L + 700		1.00	%		10/15/2021	$	27,659	$	27,339	$	27,936
Abaco Systems, Inc.	^(f)(h)(2)	Capital Goods		L + 600		1.00	%		12/7/2021		65,678		63,136		64,364
ABILITY Network, Inc.	⁽²⁾	Health Care Equipment & Services		L + 500		1.00	%		5/14/2021		634		625		637
Accuride Corp.	⁽²⁾	Capital Goods		L + 700		1.00	%		11/3/2023		11,004		10,676		10,784
Agro Merchants NAI Holdings, LLC	^(f)(h)(2)	Transportation		L + 700		1.00	%		10/1/2020		73,448		72,814		72,826
Algeco/Scotsman (LUX)	^{(f)(g)(i)(j)(k)}	Consumer Durables & Apparel		15.75% PIK (15.75% Max PIK)					5/1/2018		41,958		32,642		8,024
AltEn, LLC	^{(f)(j)(k)(l)(3)}	Energy		L + 900 (L + 900 Max PIK)					9/12/2018		36,567		29,836		8,733
AM General LLC	^(f)(h)(2)	Automobiles & Components		L + 725		1.00	%		12/28/2021		97,338		95,880		95,878
American Freight, Inc.	^(f)(2)	Retailing		L + 625		1.00	%		10/31/2020		32,036		31,925		32,036
Amtek Global Technology Pte. Ltd. (SGP)	^{(f)(g)(i)(5)(EUR)}	Automobiles & Components		E + 900		1.00	%		11/10/2019	€	7,633		8,338		7,876
	^{(f)(g)(i)(5)(EUR)}			E + 900		1.00	%		11/10/2019		56,564		57,986		58,366
	^{(f)(g)(i)(5)(EUR)}			E + 900		1.00	%		11/10/2019		58,055		59,514		59,905
	^{(f)(g)(i)(5)(EUR)}			E + 900		1.00	%		11/10/2019		8,078		8,281		8,336

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor		Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
BeyondTrust Software, Inc.	^(f)(2)	Software & Services		L + 700		1.00%		9/25/2019	$	11,926	$	11,841	$	11,548
Casual Dining BidCo, Ltd. (GBR)	^{(f)(g)(i)(2)(GBP)}	Consumer Services		L + 825				12/11/2020	£	40,546		60,338		49,635
Centric Group, LLC	^(f)(7)	Retailing		P + 575				10/14/2021	$	652		526		127
	^(f)(3)			L + 675		1.00%		10/14/2022		75,000		73,540		74,691
Charlotte Russe, Inc.	⁽²⁾	Retailing		L + 550		1.25%		5/22/2019		4,478		4,463		2,723
	⁽²⁾			L + 550		1.25%		5/22/2019		18,291		18,190		11,123
Dentix (SPN)	^{(f)(g)(i)(5)(EUR)}	Health Care Equipment & Services		E + 825				12/14/2021	€	21,000		21,161		21,159
Distribution International, Inc.	⁽²⁾	Retailing		L + 500		1.00%		12/15/2021	$	4,148		3,494		3,588
EagleView Technology Corp.	⁽²⁾	Software & Services		L + 425		1.00%		7/15/2022		6,913		6,856		6,941
FleetPride Corp.	⁽²⁾	Capital Goods		L + 400		1.25%		11/19/2019		888		786		844
Greystone & Co., Inc.	^(f)(2)	Diversified Financials		L + 800		1.00%		3/26/2021		33,080		32,685		32,746
Gymboree Corp.	⁽²⁾	Retailing		L + 350		1.50%		2/23/2018		10		8		5
Imagine! Print Solutions, Inc.	^(f)(2)	Media		L + 625		1.00%		3/31/2023		14,888		14,345		14,888
iPayment, Inc.	⁽²⁾	Software & Services		L + 525		1.50%		5/8/2017		11,885		11,871		11,469
Jacuzzi Brands, Inc.	^(f)(2)	Capital Goods		L + 650		1.25%		7/3/2019		16,132		15,970		15,909
	^(f)(2)			L + 650		1.25%		7/3/2019		15,000		14,700		14,792

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Jacuzzi Brands, Inc. (LUX)	^(f)(i)(2)	Capital Goods		L + 650		1.25	%		7/3/2019	$	20,118	$	19,916	$	19,840
JHT Holdings, Inc.	^(f)(h)(2)	Capital Goods		L + 850		1.00	%		5/4/2022		36,025		35,366		36,613
KeyPoint Government Solutions, Inc.	^(f)(2)	Capital Goods		L + 650		1.25	%		11/13/2017		27,902		27,774		27,902
Keystone Australia Holdings, Pty. Ltd. (AUS)	^{(f)(g)(i)(k)(m)(AUD)}	Consumer Services		15.00%					8/7/2019	A$	31,021		27,501		11,813
Koosharem, LLC	^(h)(2)	Commercial & Professional Services		L + 650		1.00	%		5/15/2020	$	19,006		18,882		17,224
Marshall Retail Group, LLC	^(f)(2)	Retailing		L + 600		1.00	%		8/25/2020		16,468		16,354		14,825
MCS AMS Sub-Holdings, LLC	^(h)(2)	Commercial & Professional Services		L + 650		1.00	%		10/15/2019		24,994		24,557		23,369
NEP Group, Inc.	⁽²⁾	Media		L + 325		1.00	%		1/22/2020		497		490		501
New Enterprise Stone & Lime Co., Inc.	^(f)(h)(2)	Capital Goods		L + 850		1.00	%		3/19/2021		102,461		101,519		104,833
	^(f)(h)(2)			L + 850		1.00	%		3/19/2021		51,745		51,269		52,943
Nine West Holdings, Inc.	⁽²⁾	Consumer Durables & Apparel		L + 375		1.00	%		10/8/2019		13,281		13,110		8,325
NMI Holdings, Inc.	^(f)(g)(2)	Insurance		L + 750		1.00	%		11/15/2018		37,431		37,071		37,398
P & L Development, LLC	^(f)(h)(j)(3)	Pharmaceuticals, Biotechnology & Life Sciences		L + 750, 1.00% PIK (1.00% Max PIK)		1.00	%		5/1/2020		56,312		55,918		56,892
Pacific Union Financial, LLC	^(f)(3)	Diversified Financials		L + 800		1.00	%		5/31/2019		58,062		57,359		58,933

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Paradigm Acquisition Corp.	⁽²⁾	Health Care Equipment & Services		L + 500		1.00	%		6/2/2022	$	10,925	$	10,791	$	10,875
Petroplex Acidizing, Inc., 1.00%	^(f)(j)(k)	Energy		15.00% PIK (15.00% Max PIK)					12/5/2019		17,740		13,809		1,012
	^(f)(j)(2)			L + 725, 1.75% PIK (1.75% Max PIK)		1.00	%		12/5/2019		22,268		22,268		20,866
Plaskolite, LLC	⁽²⁾	Materials		L + 475		1.00	%		11/3/2022		8		8		8
Proserv Acquisition, LLC	^(f)(g)(2)	Energy		L + 537.5		1.00	%		12/22/2021		27,033		21,357		17,266
Proserv Acquisition, LLC (GBR)	^(f)(g)(i)(2)	Energy		L + 537.5		1.00	%		12/22/2021		15,867		12,535		10,134
Raley’s	⁽²⁾	Food & Staples Retailing		L + 625		1.00	%		5/18/2022		11,383		11,055		11,511
Safety Technology Holdings, Inc.	^(f)(2)	Technology Hardware & Equipment		L + 600		1.00	%		7/7/2022		7,481		7,275		7,428
SARquavitae Servicios a la Dependencia, S.L. (LUX)	^{(f)(g)(i)(j)(5)(EUR)}	Health Care Equipment & Services		E + 800 (2.00% Max PIK)		1.00	%		9/30/2022	€	28,297		29,240		29,965
	^{(f)(g)(i)(j)(5)(EUR)}			E + 800 (2.00% Max PIK)		1.00	%		9/30/2022		14,306		14,782		15,149
	^{(f)(g)(i)(j)(5)(EUR)}			E + 800 (2.00% Max PIK)		1.00	%		9/30/2022		3,131		3,235		3,316
Sequa Corp.	⁽²⁾	Capital Goods		L + 400		1.25	%		6/19/2017	$	7,352		6,763		6,983
SIRVA Worldwide, Inc.	⁽ⁿ⁾⁽²⁾	Commercial & Professional Services		L + 650		1.00	%		11/18/2022		22,773		22,204		22,375

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Smile Brands Group, Inc.	^(f)(2)	Health Care Equipment & Services		L + 625		1.00	%		8/15/2018	$	12,469	$		12,320	$		12,709
SouthernCarlson	^(f)(2)	Capital Goods		L + 700		1.00	%		6/30/2022		38,349			37,764			38,402
Tibco Software, Inc.	⁽³⁾	Software & Services		L + 550		1.00	%		12/4/2020		1,923			1,881			1,935
Traverse Midstream Partners, LLC	^(f)(2)	Energy		L + 1000		1.00	%		11/10/2020		2,348			2,310			2,312
	^(f)(2)			L + 1000		1.00	%		11/10/2020		15,263			15,012			15,027
	^(f)(2)			L + 1000		1.00	%		11/10/2020		7,044			6,928			6,936
	^(f)(2)			L + 1000		1.00	%		11/10/2020		11,741			11,545			11,559
TTM Technologies, Inc.	^(g)(2)	Technology Hardware & Equipment		L + 425		1.00	%		5/31/2021		8,827			8,585			8,960
Waste Pro USA, Inc.	^(f)(h)(2)	Transportation		L + 750		1.00	%		10/15/2020		35,948			35,948			36,127
Willbros Group, Inc.	^(f)(h)(2)	Energy		L + 975		1.25	%		12/15/2019		25,599			25,599			25,078
Z Gallerie, Inc.	^(f)(2)	Retailing		L + 650		1.00	%		10/8/2020		31,948			31,693			31,867
Total Senior Secured Loans—First Lien												$		1,641,759	$		1,547,100

Senior Secured Loans—Second Lien—38.9%
Abaco Systems, Inc.	^(f)(h)(2)	Capital Goods		L + 1050		1.00	%		6/7/2022	$	63,371	$		62,243	$		63,400
Angelica Corporation	^(f)(k)(4)	Health Care Equipment & Services		L + 875		1.25	%		8/20/2019		52,169			50,869			9,201
Applied Systems, Inc.	⁽²⁾	Software & Services		L + 650		1.00	%		1/24/2022		21,242			21,293			21,513

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount ^(d)			Cost^(e)			Fair Value
Belk, Inc.	^(f)(h)(2)	Retailing		10.50%					6/12/2023	$	99,615	$		97,813	$		94,154
Bon-Ton Department Stores, Inc.	^(f)(g)(2)	Retailing		L + 950		1.00	%		3/18/2021		13,529			13,272			13,036
CPI International, Inc.	^(f)(3)	Capital Goods		L + 700		1.00	%		9/16/2017		28,000			27,741			28,000
CTI Foods Holding Co., LLC	⁽²⁾	Food, Beverage & Tobacco		L + 725		1.00	%		6/28/2021		23,219			22,994			21,129
Culligan International Co	^(f)(2)	Household & Personal Products		L + 850		1.00	%		11/15/2024		37,500			36,753			36,750
EagleView Technology Corp.	⁽²⁾	Software & Services		L + 825		1.00	%		7/14/2023		33,000			32,565			32,949
Excelitas Technologies Corp.	^(f)(j)(2)	Technology Hardware & Equipment		L + 975, 3.00% PIK (3.00% Max PIK)		1.00	%		4/29/2021		114,273			114,273			109,883
Genoa (QoL)	⁽²⁾	Health Care Equipment & Services		L + 800		1.00	%		10/28/2024		10,828			10,668			10,828
Greenway Medical Technologies	⁽²⁾	Health Care Equipment & Services		L + 825		1.00	%		11/4/2021		4,066			4,024			3,964
Grocery Outlet, Inc.	⁽²⁾	Food & Staples Retailing		L + 825		1.00	%		10/21/2022		40,346			39,268			40,459
iParadigms Holdings, LLC	⁽²⁾	Software & Services		L + 725		1.00	%		7/29/2022		22,595			22,456			21,804
MedAssets, Inc.	^(f)(h)(3)	Health Care Equipment & Services		L + 975		1.00	%		4/19/2023		63,000			61,232			62,856
NEP Group, Inc.	⁽²⁾	Media		L + 875		1.25	%		7/22/2020		641			625			647
NewWave Communications, Inc.	⁽²⁾	Media		L + 800		1.00	%		10/30/2020		13,712			13,684			13,352
P2 Energy Solutions, Inc.	⁽²⁾	Software & Services		L + 800		1.00	%		4/30/2021		3,538			3,513			3,241
	⁽²⁾			L + 800		1.00	%		4/30/2021		74,312			72,776			68,088

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Petrochoice Holdings, Inc.	^(f)(h)(2)	Capital Goods		L + 875		1.00	%		8/21/2023	$	65,000	$		63,272	$		64,541
Plaskolite, LLC	^(f)(2)	Materials		L + 825		1.00	%		11/3/2023		33,543			32,605			33,879
Polyconcept North America, Inc.	^(f)(3)	Consumer Durables & Apparel		L + 1000		1.00	%		12/31/2023		29,376			28,675			28,970
Press Ganey Holdings, Inc.	⁽³⁾	Health Care Equipment & Services		L + 800		1.00	%		10/21/2024		6,703			6,636			6,837
SI Organization, Inc.	⁽²⁾	Capital Goods		L + 875		1.00	%		5/23/2020		87,673			86,737			88,623
SquareTwo Financial Corp.	^(f)(j)(2)	Diversified Financials		L + 1000 PIK (L + 1000 Max PIK)		1.00	%		5/24/2019		11,026			11,026			5,977
	^(f)(j)(2)			L + 950 PIK (L + 950 Max PIK)		1.00	%		5/24/2019		2,852			2,807			2,852
Valeo Foods Group Ltd. (IRL)	^{(f)(g)(i)(3)(GBP)}	Food, Beverage & Tobacco		L + 800		1.00	%		5/8/2023	£	29,125			43,749			36,074
Vertafore, Inc.	^(f)(2)	Software & Services		L + 900		1.00	%		6/30/2024	$	81,500			79,179			82,722
Vestcom International, Inc.	^(f)(2)	Consumer Services		L + 850		1.00	%		4/28/2024		58,000			57,135			57,130
WireCo WorldGroup, Inc.	⁽²⁾	Capital Goods		L + 950		1.00	%		7/12/2024		11,226			11,152			11,324
Total Senior Secured Loans—Second Lien												$		1,131,035	$		1,074,183

Senior Secured Bonds—4.9%
Artesyn Technologies, Inc.	^(o)(p)	Technology Hardware & Equipment		9.75%					10/15/2020	$	16,059	$		15,625	$		14,694
Calumet Specialty Products Partners, LP	^(g)(o)(p)	Energy		11.50%					1/15/2021		13,398			13,199			15,307

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Direct ChassisLink, Inc.	^(o)(p)	Transportation		10.00%					6/15/2023	$	5,726	$		5,821	$		5,912
Guitar Center, Inc.	^(o)(p)	Retailing		6.50%					4/15/2019		19,256			19,003			17,475
iPayment, Inc.	^(f)(o)(p)	Software & Services		9.50%					12/15/2019		4,611			4,611			4,217
Louisiana Public Facilities Authority	^(f)(k)(2)	Energy		L + 1000		1.50	%		1/1/2020		34,330			33,586			13,026
	^(f)(k)(p)(2)			L + 1000					1/1/2020		10,650			10,650			4,041
Maxim Crane, LP	^(o)(p)	Capital Goods		10.13%					8/1/2024		3,821			3,821			4,088
NESCO, LLC	^(o)(p)	Capital Goods		6.88%					2/15/2021		12,885			8,624			10,566
OAG Holdings, LLC	^(f)(j)(k)	Energy		8.00%, 2.00% PIK (2.00% Max PIK)					12/20/2020		21,260			18,694			1,546
PQ Corp.	^(o)(p)	Materials		6.75%					11/15/2022		1,052			1,052			1,126
RedPrairie Corp.	^(o)(p)	Software & Services		7.38%					10/15/2024		13,805			13,805			14,305
Rockport Group, LLC	^(f)	Consumer Durables & Apparel		9.50%					7/31/2022		28,516			27,913			27,422
Towergate (GBR)	^{(g)(i)(o)(p)(GBP)}	Insurance		8.75%					4/2/2020	£	936			1,422			1,061
Total Senior Secured Bonds												$		177,826	$		134,786

Total Senior Debt												$		2,950,620	$		2,756,069

Subordinated Debt—23.3%
Alion Science & Technology Corp.	^(f)(h)(p)	Capital Goods		11.00%					8/19/2022	$	68,603	$		67,706	$		65,471

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Block Communications, Inc.	^(o)(p)	Media		7.25%			2/1/2020	$	845	$		849	$		856
Builders FirstSource, Inc.	^(g)(o)(p)	Capital Goods		10.75%			8/15/2023		1,431			1,431			1,642
Cemex Materials, LLC	^(o)(p)	Materials		7.70%			7/21/2025		58,454			61,983			61,669
ClubCorp Club Operations, Inc.	^(o)(p)	Consumer Services		8.25%			12/15/2023		693			661			735
Datatel, Inc.	^(o)(p)	Software & Services		9.00%			9/30/2023		3,320			3,212			3,519
Exemplis Corp.	^(f)(j)(2)	Commercial & Professional Services		L + 700, 4.00% PIK (4.00% Max PIK)			3/23/2020		19,398			19,398			19,689
GCI, Inc.	^(o)	Telecommunication Services		6.75%			6/1/2021		890			885			912
	^(o)			6.88%			4/15/2025		13,693			13,620			13,898
GCP Applied Technologies, Inc.	^(g)(o)(p)	Materials		9.50%			2/1/2023		911			911			1,045
Genesys Telecommunications Laboratories Inc.	^(o)(p)	Software & Services		10.00%			11/30/2024		17,516			17,516			18,611
Hilding Anders (SWE)	^{(f)(g)(i)(j)(q)(EUR)}	Consumer Durables & Apparel		13.00% PIK (13.00% Max PIK)			6/30/2021	€	112,535			130,162			77,837
	^{(f)(g)(i)(j)(k)(q)(EUR)}			12.00% PIK (12.00% Max PIK)			12/31/2022		2,733			507			505
	^{(f)(g)(i)(j)(k)(q)(EUR)}			12.00% PIK (12.00% Max PIK)			12/31/2023		22,230			939			2
	^{(f)(g)(i)(j)(k)(q)(EUR)}			18.00% PIK (18.00% Max PIK)			12/31/2024		34,358			12,697			6,349

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Hillman Group, Inc.	^(o)(p)	Consumer Durables & Apparel		6.38%					7/15/2022	$	559	$		540	$		525
Home Partners of America	^(f)(3)	Real Estate		L + 700		1.00	%		6/8/2023		75,000			73,540			74,815
JC Penney Corp., Inc.	^(g)(o)	Retailing		5.65%					6/1/2020		8,354			6,003			8,239
Jo-Ann Stores, Inc.	^(o)(p)	Retailing		8.13%					3/15/2019		10,186			10,136			10,135
Kenan Advantage Group, Inc.	^(o)(p)	Transportation		7.88%					7/31/2023		25,773			25,624			26,031
Lightower Fiber, LLC	^(f)	Telecommunication Services		10.00%					2/12/2022		11,555			11,350			11,752
	^(f)(j)			12.00% PIK (12.00% Max PIK)					8/12/2025		9,999			9,840			10,219
MultiPlan, Inc.	^(o)(p)	Health Care Equipment & Services		7.13%					6/1/2024		2,336			2,336			2,459
Platform Specialty Products Corp.	^(g)(o)(p)	Materials		10.38%					5/1/2021		2,747			2,747			3,042
PQ Corp.	^(f)(p)(2)	Materials		L + 1075		1.00	%		5/1/2022		133,488			130,981			138,564
Riverbed Technology, Inc.	^(o)(p)	Technology Hardware & Equipment		8.88%					3/1/2023		10,662			10,763			11,302
Solera Holdings, Inc.	^(o)(p)	Software & Services		10.50%					3/1/2024		20,864			20,141			23,472
Surgery Center Holdings, Inc.	^(g)(o)(p)	Health Care Equipment & Services		8.88%					4/15/2021		5,972			6,021			6,360
TIBCO Software, Inc.	^(o)(p)	Software & Services		11.38%					12/1/2021		22,443			21,963			22,443

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Vertiv Co.	^(o)(p)	Technology Hardware & Equipment		9.25%			10/15/2024	$	19,178	$		19,178	$		20,329
Total Subordinated Debt										$		683,640	$		642,427

Structured Products—7.6%
Central Park Leasing SARL (LUX), Partnership Interest	^(f)(g)(i)*	Capital Goods							N/A	$		64,367	$		64,509
Comet Aircraft SARL (LUX), Common Shares	^(f)(g)(i)(q)	Capital Goods							549,451			49,618			49,157
Guardian Investors, LLC, Membership Interest	^(f)(g)(q)	Diversified Financials							N/A			8,860			3,704
Innovating Partners, LLC, Membership Interest	^(f)(g)(q)	Diversified Financials							N/A			11,363			4,372
KKR BPT Holdings Aggregator, LLC, Membership Interest	^(f)(g)(q)*	Diversified Financials							N/A			13,200			9,835
LSF IX Java Investments, Ltd (IRL), Facility B	^{(f)(g)(i)(r)(6)(EUR)}	Diversified Financials		E + 315			12/3/2019	€	56,406			51,178			51,073
Trade Finance Funding I, Ltd. 2013—1A Class B (CYM)	^(f)(g)(i)(p)	Diversified Financials		10.75%			11/13/2018	$	28,221			28,221			28,221
Total Structured Products										$		226,807	$		210,871

Equity/Other—15.1%
Alion Science & Technology Corp., Class A Membership Interest	^(f)*	Capital Goods							N/A	$		7,350	$		6,685
AltEn, LLC, Membership Units	^(f)*	Energy							2,384			2,955			—
Amtek Global Technology Pte. Ltd. (SGP), Warrants	^{(f)(g)(i)*(EUR)}	Automobiles & Components					12/31/2017		9,991			4,636			3,379
	^{(f)(g)(i)*(EUR)}						12/31/2018		9,991			4,785			3,413

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)			Fair Value
Belk, Inc., Units	^(f)	Retailing						1,642	$	7,846	$		4,600
Cengage Learning Holdings II, LP, Common Stock	^(f)	Media						227,802		7,529			4,985
Education Management Corp., Common Stock	^(f)*	Consumer Services						3,779,591		1,047			—
Education Management Corp., Warrants	^{(f) *}					1/5/2022		2,320,791		371			—
Excelitas Technologies Corp., Class A Membership Interest	^(f)*	Technology Hardware & Equipment						N/A		5,636			5,421
GA Capital Specialty Lending Fund, Limited Partnership Interest	^(f)(g)	Diversified Financials						N/A		65,145			65,145
Genesys Telecommunications Laboratories, Inc., Preferred Shares	^(f)*	Software Services						1,050,465		—			—
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*							2,768,806		—			—
Genesys Telecommunications Laboratories, Inc., Class A Shares	^(f)*							40,529		—			—
Genesys Telecommunications Laboratories, Inc., Class A1 – A5 Shares	^(f)							3,463,150		120			686
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*							41,339		—			—
Hilding Anders (SWE), Arle PIK Interest	^{(f)(g)(i)(l)*(EUR)}	Consumer Durables & Apparel						N/A		—			—
Hilding Anders (SWE), Class A Common Stock	^{(f)(g)(i)(q)*(SEK)}							4,503,408		132			—
Hilding Anders (SWE), Class B Common Stock	^{(f)(g)(i)(q)*(SEK)}							574,791		25			—
Hilding Anders (SWE), Class C Common Stock	^{(f)(g)(i)(q)*(SEK)}							213,201		—			—
Hilding Anders (SWE), Equity Options	^{(f)(g)(i)(q)*(SEK)}					12/31/2020		236,160,807		14,988			2,253

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Home Partners of America, Inc., Common Stock	^(f)(l)*	Real Estate								98,053	$		99,725	$		113,013
Home Partners of America, Inc., Warrants	^(f)(l)*							8/7/2024		2,674			292			607
iPayment, Inc., Common Stock	^(f)*	Software & Services								538,143			1,988			950
Jacuzzi Brands, Inc., Warrants	^(f)*	Capital Goods						7/3/2019		49,888			—			1,400
Jones Apparel Group Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel								5,451			872			3,025
Keystone Australia Holdings, Pty. Ltd. (AUS), Warrants	^{(f)(g)(i)(s)*(AUD)}	Consumer Services								1,588,469			1,019			—
Nine West Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel								5,451			6,541			—
OAG Holdings, LLC, Overriding Royalty Interest	^(f)	Energy								N/A			2,354			—
Orchard Marine, Ltd. (VGB), Class B Common Stock	^{(f)(g)(i)(l)*}	Transportation								1,964			3,069			—
Orchard Marine, Ltd. (VGB), Series A Preferred Stock	^{(f)(g)(i)(j)(l)(t)}			9.00	%					52,782			51,825			20,502
Petroplex Acidizing, Inc., Warrants	^(f)*	Energy						12/29/2026		8			—			—
Polyconcept North America Holdings, Inc., Class A-1 Units	^(f)*	Consumer Durables & Apparel								29,376			2,938			2,708
PQ Corp., Class B Common Stock	^(f)*	Materials								18,059			3,337			3,077
Sentry Holdings, Ltd. (JEY), Common Shares A	^{(f)(g)(i)*(GBP)}	Insurance								16,450			—			—
Sentry Holdings, Ltd. (JEY), Preferred B Shares	^{(f)(g)(i)*(GBP)}									6,113,719			9,064			6,962

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor	Maturity Date^(c)	No. Shares/ Principal Amount^(d)	Cost^(e)			Fair Value
SquareTwo Financial Corp., Series A Preferred Stock	(f)(k)	Diversified Financials		12.50%			16,044	$	5,457	$		—
Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest	^(f)(g)	Diversified Financials					N/A		47,487			50,638
Strategic Credit Opportunities Partners, LLC, Units	^(f)(g)(q)*	Diversified Financials					92,400		92,400			98,998
Stuart Weitzman, Inc., Common Stock	^(f)*	Consumer Durables & Apparel					5,451		—			1,249
Toorak Capital Partners, LLC, Membership Interest	^(f)(g)(q)*	Diversified Financials					N/A		6,984			6,984
Towergate (GBR), Ordinary Shares	^{(f)(g)(i)*(GBP)}	Insurance					116,814		173			133
Willbros Group, Inc., Common Stock	^*	Energy					2,810,814		7,760			9,107
Total Equity/Other								$	465,850	$		415,920

Total Investments, excluding Short Term Investments — 145.9%								$	4,326,917	$		4,025,287

Short Term Investments—0.0%
Goldman Sachs Financial Square Funds—Prime Obligations Fund FST Preferred Shares	^(u)			0.74%			5,522	$	6	$		6
Total Short Term Investments								$	6	$		6

TOTAL INVESTMENTS — 145.9%^(v)								$	4,326,923	$		4,025,293

LIABILITIES IN EXCESS OF OTHER ASSETS—(45.8%)												(1,265,961	)

NET ASSETS—100.0%										$		2,759,332

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)			Cost^(e)			Fair Value
Collateral on Deposit with Custodian—3.4%
Bank of Nova Scotia—Certificate of Deposit						3/31/2017	$	95,000	$		95,000	$		95,000
Total Collateral on Deposit with Custodian									$		95,000	$		95,000

Derivative Instruments (Note 4)—1.5%
Cross currency swaps	^(f)								$		—			26,497
Foreign currency forward contracts	^(f)								$		—			3,504
Interest rate swaps	^(f)								$		—			8,862
Total return swaps	^(f)(g)								$		—			3,397
Total Derivative Instruments									$		—	$		42,260

(a)	Security may be an obligation of one or more entities affiliated with the named company.

(b)	Non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940, as amended (“1940 Act”), unless otherwise indicated. Non-controlled/non-affiliated investments are investments that are neither controlled investments nor affiliated investments.

(c)	Represents maturity of debt securities and expiration of applicable equity investments.

(d)	Denominated in U.S. dollars unless otherwise noted.

(e)	Represents amortized cost for debt securities and cost for equity investments translated to U.S. dollars.

(f)	Investments classified as Level 3 whereby fair value was determined by the Company’s Board of Directors (see Note 2).

(g)

The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets. The Company calculates its compliance with the qualifying assets test on a “look through” basis by disregarding the value of the Company’s total return swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 74.7% of the Company’s total assets represented qualifying assets as of December 31, 2016.

(h)	Security or portion thereof was held within CCT SE I LLC and was pledged as collateral supporting the amounts outstanding under the revolving credit facility with JPMorgan Chase Bank as of December 31, 2016.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

(i)	A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.

(j)

(k)	Investment was on non-accrual status as of December 31, 2016.

(l)

Affiliated investment as defined by the 1940 Act, whereby the Company owns between 5% and 25% of the portfolio company’s outstanding voting securities and the investments are not classified as controlled investments. The aggregate fair value of non-controlled, affiliated investments at December 31, 2016 represented 8.3% of the Company’s net assets. Fair value as of December 31, 2015 and December 31, 2016 along with transactions during the year ended December 31, 2016 in these affiliated investments were as follows (amounts in thousands):


			Year Ended December 31, 2016										Year Ended December 31, 2016
Non-Controlled, Affiliated Investments	Fair Value at December 31, 2015		Gross Additions (Cost)*		Gross Reductions (Cost)**			Net Unrealized Gain (Loss)			Fair Value at December 31, 2016		Net Realized Gain (Loss)			Interest Income***		Fee Income		Dividend Income
AltEn, LLC
Membership Units	$	-	$	-	$	-		$	-		$	-	$	-		$	-	$	-	$	-
Term Loan		9,353		-		-			(620	)		8,733		-			-		-		-
Hilding Anders⁽¹⁾
Subordinated Debt		94,473		13,976		(149,132	)		40,683			-		(4,827	)		12,798		-		-
Class A Common Stock		-		-		(132	)		132			-		-			-		-		-
Class B Common Stock		-		-		(25	)		25			-		-			-		-		-
Equity Options		213		-		(14,988	)		14,775			-		-			-		-		-
Home Partners of America, Inc.
Common Stock		76,608		26,518		-			9,887			113,013		-			-		-		-
Warrants		370		-		-			237			607		-			-		-		-
Orchard Marine, Ltd.
Class B Common Stock		-		-		-			-			-		-			-		-		-
Series A Preferred Stock		38,082		8,838		-			(26,418	)		20,502		-			-		-		1,810

Totals	$	219,099	$	49,332	$	(164,277	)	$	38,701		$	142,855	$	(4,827	)	$	12,798	$	-	$	1,810

***	Includes payment-in-kind interest income.

⁽¹⁾	The company acquired additional shares of the outstanding voting securities of this portfolio company on December 31, 2016, resulting in the investments being classified as controlled investments as of December 31, 2016.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

(m)	The interest rate on this investment is comprised of a 7.00% cash payment plus an 8.00% redemption premium, to be paid upon redemption of the notes.

(n)	Position or portion thereof unsettled as of December 31, 2016.

(o)

(p)

(q)

Controlled investment as defined by the 1940 Act, whereby the Company owns more than 25% of the portfolio company’s outstanding voting securities or maintains the ability to nominate greater than 50% of the board representation. The aggregate fair value of controlled at December 31, 2016 represented 6.3% of the Company’s net assets. Fair value as of December 31, 2015 and December 31, 2016 along with transactions during the year ended December 31, 2016 in these controlled investments were as follows (amounts in thousands):


		Year Ended December 31, 2016										Year Ended December 31, 2016
Controlled Investments	Fair Value at December 31, 2015	Gross Additions (Cost)*		Gross Reductions (Cost)**			Net Unrealized Gain (Loss)			Fair Value at December 31, 2016		Net Realized Gain (Loss)		Interest Income		Fee Income		Dividend Income
Comet Aircraft S.A.R.L	$52,126	$	—	$	—		$	(2,969	)	$	49,157	$	—	$	—	$	—	$	4,001
Guardian Investors, LLC	11,821		—		(1,569	)		(6,548	)		3,704		—		—		—		894
Hilding Anders
Subordinated Debt	—		144,305		—			(59,612	)		84,693		—		—		—		—
Arle PIK Interest	—		—		—			—			—		—		—		—		—
Class A Common Stock	—		132		—			(132	)		—		—		—		—		—
Class B Common Stock	—		25		—			(25	)		—		—		—		—		—
Class C Common Stock	—		—		—			—			—		—		—		—		—
Equity Options	—		14,988		—			(12,735	)		2,253		—		—		—		—
Innovating Partners, LLC	16,826		—		(2,509	)		(9,945	)		4,372		—		—		—		1,182
KKR BPT Holdings
Aggregator, LLC	7,125		3,700		—			(990	)		9,835		—		—		—		—
Strategic Credit
Opportunities Partners, LLC	—		92,400		—			6,598			98,998		—		—		—		—
Toorak Capital Partners, LLC	—		6,984		—			—			6,984		—		—		—		—

Totals	$87,898	$	262,534	$	(4,078	)	$	(86,358	)	$	259,996	$	—	$	—	$	—	$	6,077

(r)	Security is pledged as collateral supporting the amounts outstanding under the repurchase agreement with Credit Suisse Securities (Europe) Limited. See Note 10. “Borrowings” for additional information.

(s)	Expiration date contingent on certain events pursuant to underlying agreements.

(t)	The issuer of this investment has elected to pay the stated dividend rate upon liquidation of the investment.

(u)	7-day effective yield as of December 31, 2016.

(v)

As of December 31, 2016, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $90,073; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $388,565; the net unrealized depreciation was $298,492; the aggregate cost of securities for Federal income tax purposes was $4,323,785.

*	Non-income producing security.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

(1)

Not used.

(2)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at December 31, 2016 was 1.00%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

(3)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at December 31, 2016 was 0.77%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

(4)	The interest rate on these investments is subject to a base rate of 12-Month LIBOR, which at December 31, 2016 was 1.69%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

(5)	The interest rate on these investments is subject to the base rate of 3-month EURIBOR, which at December 31, 2016 was (0.32%). The current base rate for each investment may be different from the reference rate on December 31, 2016.

(6)	The interest rate on these investments is subject to the base rate of 1-month EURIBOR, which at December 31, 2016 was (0.37%). The current base rate for each investment may be different from the reference rate on December 31, 2016.

(7)	The interest rate on these investments is subject to the base rate of PRIME, which at December 31, 2016 was 3.75%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

Abbreviations:

AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.720 as of December 31, 2016.

EUR - Euro; local currency investment amount is denominated in Euros. €1 / US $1.052 as of December 31, 2016.

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.234 as of December 31, 2016.

SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronor. SEK1 / US $0.109 as of December 31, 2016.

AUS - Australia

CAN - Canada

CYM - Cayman Islands

FRA - France

GBR - United Kingdom

IRL - Ireland

JEY - Jersey

LUX - Luxembourg

NLD - The Netherlands

SGP - Singapore

SPN - Spain

SWE - Sweden

VGB - British Virgin Islands

E = EURIBOR - Euro Interbank Offered Rate

L = LIBOR - London Interbank Offered Rate

P = PRIME – U.S. Prime Rate

PIK - Payment-in-kind; the issuance of additional securities by the borrower to settle interest payment obligations.

See notes to condensed consolidated financial statements.

CORPORATE CAPITAL TRUST, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements (unaudited)

1.	Principal Business and Organization

Corporate Capital Trust, Inc. (the “Company”) was incorporated under the general corporation laws of the State of Maryland on June 9, 2010. The Company is a non-diversified closed-end management investment company and regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company’s investment objective is to provide its shareholders with current income and, to a lesser extent, long-term capital appreciation, by investing primarily in the debt of privately owned U.S. companies with a focus on originated transactions sourced through the networks of its advisors. The Company commenced business operations on June 17, 2011 and investment operations on July 1, 2011. The Company has elected to be treated as a regulated investment company (“RIC”) under the Internal Revenue Code of 1986, as amended (the “Code”) and operates in a manner so as to qualify for the tax treatment applicable to RICs.

The Company is externally managed by CNL Fund Advisors Company (“CNL”) and KKR Credit Advisors (US) LLC (“KKR”) (collectively, the “Advisors”), which are responsible for sourcing potential investments, analyzing and conducting due diligence on prospective investment opportunities, structuring investments and ongoing monitoring of the Company’s investment portfolio. Both Advisors are registered as investment advisers with the Securities and Exchange Commission (“SEC”). CNL also provides the administrative services necessary for the Company to operate.

The Company sold approximately 141 million shares of common stock through its initial continuous public offering (the “Initial Offering”) and approximately 181 million shares of common stock through its follow-on continuous public offering (the “Follow-On Offering”). The Initial Offering and Follow-On Offering are collectively referred to as the “Offerings.” In February 2016, the Company closed the Follow-On Offering to investors who purchased shares through the independent broker-dealer channel. The Follow-On Offering remained open to investors who purchased through the registered investment advisor channel. In October 2016, the Company closed the Follow-On Offering to new investors.

In January 2015, the Company filed a shelf registration statement with the SEC on Form N-2 (the “Shelf Registration Statement”) to provide for the Company the ability to offer, from time to time, in one or more offerings or series up to $750 million of its securities, on terms to be determined at the time of each such offering. The Shelf Registration Statement was declared effective by the SEC in January 2015. As of March 31, 2017, the Company has not yet offered any securities pursuant to the Shelf Registration Statement.

As of March 31, 2017, the Company had various wholly owned subsidiaries including, among others, (i) Paris Funding LLC (“Paris Funding”), CCT Tokyo Funding LLC (“CCT Tokyo Funding”) and CCT SE I LLC (“CCT SE”), special purpose financing subsidiaries organized for the purpose of arranging secured debt financing with banks and borrowing money to invest in portfolio companies, (ii) Halifax Funding LLC (“Halifax Funding”), a special purpose financing subsidiary organized to enter into total return swaps (“TRS”) and (iii) FCF LLC and CCT Holdings LLC, taxable subsidiaries (the “Taxable Subsidiaries”), which are taxed as corporations for federal income tax purposes and were organized to hold certain equity securities of portfolio companies organized as pass-through entities for U.S. tax purposes.

2.	Significant Accounting Policies

Basis of Presentation – The accompanying condensed consolidated financial statements of the Company are prepared in accordance with the instructions to Form 10-Q. The Company is an investment company following accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies (“ASC Topic 946” ). The unaudited condensed consolidated financial statements reflect all normal recurring adjustments, which are, in the opinion of management, necessary for the fair presentation of the Company’s results for the interim periods presented. The results of operations for interim periods are not indicative of results to be expected for the full year.

Certain financial information that is normally included in annual financial statements, including certain financial statement footnotes, prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), is not required for interim reporting purposes and has been condensed or omitted herein. These financial statements should be read in conjunction with the Company’s financial statements and notes related thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2016, which was filed with the SEC on March 17, 2017. The condensed consolidated financial statements include the accounts of the Company and its wholly owned subsidiaries.

2.	Significant Accounting Policies *(continued)*

Principles of Consolidation – Under ASC Topic 946, the Company is precluded from consolidating any entity other than another investment company or an operating company which provides substantially all of its services to benefit the Company. In accordance therewith, the Company has consolidated the results of its wholly owned subsidiaries in its condensed consolidated financial statements. All intercompany account balances and transactions have been eliminated in consolidation.

In accordance with the guidance for the consolidation of variable interest entities (“VIE”s), the Company analyzes its variable interests, including its equity investments, to determine if the entity in which it has a variable interest is a variable interest entity. The Company’s analysis includes both quantitative and qualitative reviews. The Company bases its quantitative analysis on the forecasted cash flows of the entity, and its qualitative analysis on its review of the design of the entity, its organizational structure including decision-making ability and financial agreements. The Company also uses its quantitative and qualitative analyses to determine if it is the primary beneficiary of the VIE, and if such determination is made, it will include the accounts of the VIE in its condensed consolidated financial statements.

The Company does not consolidate its equity interest in Strategic Credit Opportunities Partners, LLC (“SCJV”). For further description of the Company’s investment in SCJV, see Note 3. “Investments”.

Use of Estimates – The preparation of the condensed consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities at the date of the condensed consolidated financial statements, (ii) the reported amounts of income and expenses during the reporting periods presented and (iii) disclosure of contingent assets and liabilities at the date of the condensed consolidated financial statements. Actual results could differ from those estimates.

Cash – Cash consists of demand deposits and foreign currency.

Restricted Cash – Amounts included in restricted cash represent collections of principal and interest on investments held in a segregated custody account as collateral for one of the Company’s credit facilities. The cash is released to the Company quarterly.

Valuation of Investments – The Company measures the value of its investments in accordance with ASC Topic 820, Fair Value Measurements and Disclosure (“ASC Topic 820”), issued by FASB. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable, and willing and able to transact. In accordance with ASC Topic 820, the Company considers its principal market to be the market that has the greatest volume and level of activity.

ASC Topic 820 defines hierarchical levels directly related to the amount of subjectivity associated with the inputs used to determine fair values of assets and liabilities. The hierarchical levels and types of inputs used to measure fair value for each level are described as follows:

Level 1 – Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and debt securities, publicly listed derivatives, money market/short-term investment funds and foreign currency are generally included in Level 1. The Company does not adjust the quoted price for these investments.

Level 2 – Valuation 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 orderly transactions for similar investments in active markets between market participants and provided by reputable dealers or independent pricing services. In determining the value of a particular investment, independent 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 generally included in this category are corporate bonds and loans, convertible debt indexed to publicly listed securities, foreign currency forward contracts, cross currency and interest rate swaps and certain over-the-counter derivatives.

Level 3 – Valuation 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 generally included in this category are TRS agreements, illiquid corporate bonds and loans, unlisted common and preferred stock investments, and equity options that lack observable market pricing.

2.	Significant Accounting Policies *(continued)*

In certain cases, the inputs used to measure fair value may fall within different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative liquidity in the markets for certain investments, the Company may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are not available or reliable. The Company’s assessment of the significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.

Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to the Company’s portfolio investments for which market quotations are not readily available, the Company’s board of directors is responsible for determining in good faith the fair value of the Company’s portfolio investments in accordance with the valuation policy and procedures approved by the board of directors, based on, among other things, the input of the Company’s Advisors and management, its audit committee, and independent third-party valuation firms.

The Company and the board of directors conduct its fair value determination process on a quarterly basis and any other time when a decision regarding the fair value of the portfolio investments is required. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of the investments may differ significantly from the values that would have been determined had a readily available market value existed for such investments, and the differences could be material. Further, such investments are generally less liquid than publicly traded securities. If the Company was required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, the Company could realize significantly less than the value recorded by the Company.

The Company and its Advisors undertake a multi-step valuation process each quarter for determining the fair value of the Company’s investments the market prices of which are not readily available, as described below:

•

Each portfolio company or investment is initially valued by KKR (internal valuation) and/or the Company’s independent third party valuation firm (external valuation), which provides a valuation range.

•

Valuation recommendations are formulated and documented by KKR and reviewed by KKR’s valuation committee. The KKR valuation committee then provides its valuation recommendation for each portfolio investment, along with supporting documentation, to CNL and the Company.

•

After the Company’s management has substantially completed its review, it forwards the valuation recommendations and supporting documentation for audit committee review.

•

The Company’s board of directors then discusses the investment valuation recommendations with the Advisors and management and, based on those discussions and the related review process conducted by the Company’s audit committee, determines the fair value of the investments in good faith.

The valuation techniques used by the Company for the assets and liabilities that are classified as Level 3 in the fair value hierarchy are described below.

Senior Debt and Subordinated Debt: Senior debt and subordinated debt investments are initially valued at transaction price and are subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), (ii) comparisons to benchmark derivative indices or (iii) valuation models. Valuation models are generally based on yield analysis and discounted cash flow techniques, where the key inputs are based on relative value analyses and the assignment of risk-adjusted discounted rates, based on the analysis of similar instruments from similar issuers. In addition, an illiquidity discount is applied where appropriate.

2.	Significant Accounting Policies *(continued)*

Equity/Other Investments: Equity/other investments are initially valued at transaction price and are subsequently valued using valuation models in the absence of readily observable market prices. Valuation models are generally based on (i) market and income (discounted cash flow) approaches, in which various internal and external factors are considered, and (ii) earnings before interest, taxes, depreciation and amortization (“EBITDA”) valuation multiples analysis. Factors include key financial inputs and recent public and private transactions for comparable investments. Key inputs used for the discounted cash flow approach include the weighted average cost of capital and assumed inputs used to calculate terminal values, such as EBITDA exit multiples. The fair value for a particular investment will generally be within the value range conclusions derived by the two approaches. Upon completion of the valuations conducted, an illiquidity discount is applied where appropriate.

The Company relies primarily on information provided by managers of private investment funds in valuing the Company’s investments in such funds. The Advisors monitor the valuation methodology used by the asset manager and/or issuer of the private investment fund. Following procedures adopted by the Company’s board of directors, in the absence of specific transaction activity in a particular private investment fund, the Company’s board of directors considers whether it is appropriate, in light of all relevant circumstances, to value the Company’s investment at the net asset value reported by the private investment fund at the time of valuation or to adjust the value to reflect a premium or discount.

Total Return Swaps: The Company values its TRS in accordance with the TRS agreements between its wholly owned subsidiary and the TRS counterparty, which collectively established the TRS. Pursuant to the TRS agreements, the value of the TRS is based on (i) the increase or decrease in the value of the TRS assets relative to the notional amounts, (ii) collected and accrued interest income and fee income related to the TRS assets, (iii) TRS financing costs on the TRS settled notional amounts, and (iv) certain other expenses incurred under the TRS. The TRS assets are valued pursuant to the valuation algorithm specified in the TRS agreements, including reliance on indicative bid prices provided by independent third-party pricing services. Bid prices reflect the highest price that market participants may be willing to pay. On a quarterly basis, the Company’s Advisors review, test and compare (i) the indicative bid prices assigned to each TRS asset by the TRS counterparty with (ii) pricing inputs that are independently sourced by the Company’s management and/or its Advisors from third-party pricing services. Additionally, the Company’s Advisors review the calculations of (i) collected and accrued interest, (ii) TRS financing costs, and (iii) realized gains and losses as included components of the TRS fair value. For additional disclosures on the Company’s TRS, including quantitative disclosures of the current period fair value components, see Note 4. “Derivative Instruments.”

The Company utilizes several valuation techniques that use unobservable pricing inputs and assumptions in determining the fair value of its Level 3 investments. The valuation techniques, as well as the key unobservable inputs that have a significant impact on the Company’s Level 3 valuations, are described in Note 5. “Fair Value of Financial Instruments.” The unobservable pricing inputs and assumptions may differ by asset and in the application of the Company’s valuation methodologies. The reported fair value estimates could vary materially if the Company had chosen to incorporate different unobservable pricing inputs and other assumptions.

Security Transactions, Realized/Unrealized Gains or Losses, and Income Recognition – Investments purchased on a secondary basis are recorded on the trade date. Loan originations are recorded on the funding date. The Company measures realized gains or losses from the sale of investments using the specific identification method. Realized gains or losses are measured by the difference between the net proceeds from the sale and the amortized cost basis of the investment without regard to unrealized gains or losses previously recognized, and include investments charged off during the period, net of recoveries. Unrealized gains or losses primarily reflect the change in investment values, including the reversal of previously recorded unrealized gains or losses when gains or losses are realized. The amortized cost basis of investments includes (i) the original cost and (ii) adjustments for the accretion/amortization of market discounts and premiums, original issue discount and loan origination fees. The Company reports changes in fair value of investments as a component of net change in unrealized appreciation (depreciation) on investments in the condensed consolidated statements of operations.

Interest Income – Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method. Generally, loan origination, closing, commitment and other fees received by the Company directly or indirectly from borrowers in connection with the closing of investments are accreted over the contractual life of the debt investment as interest income based on the effective interest method. Upon prepayment of a debt investment, any prepayment penalties and unamortized loan fees and discounts are recorded as interest income.

2.	Significant Accounting Policies *(continued)*

Certain of the Company’s investments in debt securities contain a contractual payment-in-kind (“PIK”) interest provision. The PIK provisions generally feature the obligation or the option at each interest payment date of making interest payments in (i) cash, (ii) additional debt securities or (iii) a combination of cash and additional debt securities. PIK interest, computed at the contractual rate specified in the investment’s credit agreement, is accrued as interest income and recorded as interest receivable up to the interest payment date. On the interest payment dates, the Company will capitalize the accrued interest receivable attributable to PIK as additional principal due from the borrower. When additional PIK securities are received on the interest payment date, they typically have the same terms, including maturity dates and interest rates as the original securities issued. PIK interest generally becomes due at maturity of the investment or upon the investment being called by the issuer.

If the portfolio company valuation indicates the value of the PIK investment is not sufficient to cover the contractual PIK interest, the Company will not accrue additional PIK interest income and will record an allowance for any accrued PIK interest receivable as a reduction of interest income in the period the Company determines it is not collectible.

Debt securities are placed on nonaccrual status when principal or interest payments are at least 90 days past due or when there is reasonable doubt that principal or interest will be collected. Generally, accrued interest is reversed against interest income when a debt security is placed on nonaccrual status. Interest payments received on debt securities on nonaccrual status may be recognized as interest income or applied to principal based on management’s judgment. Debt securities on nonaccrual status are restored to accrual status when past due principal and interest are paid and, in management’s judgment, such investments are likely to remain current on interest payment obligations. The Company may make exceptions to this treatment if the debt security has sufficient collateral value and is in the process of collection.

Fee Income – In its role as the Company’s investment sub-advisor, KKR or its affiliates may provide financial advisory services to portfolio companies and in return may receive fees for capital structuring services. KKR is obligated to remit to the Company any earned capital structuring fees based on the pro-rata portion of the Company’s investment in co-investment transactions and originated investments. These fees are generally nonrecurring and are recognized as fee income by the Company upon the investment closing date.

The Company may also receive fees for commitments, amendments and other services rendered to portfolio companies. Such fees are recognized as fee income when earned or the services are rendered.

Dividend Income – Dividend income on preferred equity securities is recorded as dividend income on an accrual basis to the extent such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly traded portfolio companies. Each distribution received from limited liability company (“LLC”) and limited partnership (“LP”) investments are evaluated to determine if the distribution should be recorded as dividend income or a return of capital. Generally, the Company will not record distributions from equity investments in LLCs and LPs as dividend income unless there are sufficient accumulated earnings in the LLC or LP prior to the distribution. Distributions that are classified as a return of capital are recorded as a reduction in the cost basis of the investment.

Derivative Instruments – The Company’s derivative instruments include foreign currency forward contracts, cross currency swaps, interest rate swaps and the TRS. The Company recognizes all derivative instruments as assets or liabilities at fair value in its condensed consolidated financial statements. Derivative contracts entered into by the Company are not designated as hedging instruments, and as a result, the Company presents changes in fair value through net change in unrealized appreciation (depreciation) on derivative instruments in the condensed consolidated statements of operations. TRS unrealized appreciation (depreciation) is composed of accrued interest income, net of accrued TRS financing charges owed, and the overall change in fair value of the TRS assets. Realized gains and losses that occur upon the cash settlement of the derivative instruments are included in net realized gains (losses) on derivative instruments in the condensed consolidated statements of operations. TRS realized gains and losses are composed of realized gains or losses on the TRS assets and the net interest and fees received or paid on the quarterly TRS settlement date.

Deferred Financing Costs – Financing costs, including upfront fees, commitment fees and legal fees related to the Company’s credit facilities, term loan and the TRS are deferred and amortized over the life of the related financing instrument using either the effective interest method or straight-line method. The amortization of deferred financing costs is included in interest expense in the condensed consolidated statements of operations.

2.	Significant Accounting Policies *(continued)*

Paid In Capital – The Company records the proceeds from the sale of its common stock on a net basis to (i) capital stock and (ii) paid-in capital in excess of par value, excluding selling commissions and marketing support fees.

Foreign Currency Translation, Transactions and Gains/Losses – Foreign currency amounts are translated into U.S. dollars on the following basis: (i) at the exchange rate on the last business day of the reporting period for the fair value of investment securities, other assets and liabilities; and (ii) at the prevailing exchange rate on the respective recording dates for the purchase and sale of investment securities, income, expenses, gains and losses.

Net assets and fair values are presented based on the applicable foreign exchange rates described above and the Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included with the net realized gains (losses) and unrealized appreciation (depreciation) on investments.

Net realized gains or losses on foreign currency transactions arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded by the Company and the U.S. dollar equivalent of the amounts actually received or paid by the Company.

Unrealized appreciation (depreciation) from foreign currency translation for foreign currency forward contracts and cross currency swaps is included in net change in unrealized appreciation (depreciation) in derivative instruments in the condensed consolidated statements of operations and is included with unrealized appreciation (depreciation) on derivative instruments in the condensed consolidated statements of assets and liabilities. Unrealized appreciation (depreciation) from foreign currency translation for other receivables or payables is presented as net change in unrealized appreciation (depreciation) in foreign currency translation in the condensed consolidated statements of operations.

Management Fees – The Company incurs a base management fee (recorded as investment advisory fees) and performance-based incentive fees, including (i) a subordinated incentive fee on income and (ii) an incentive fee on capital gains, due to its Advisors pursuant to an investment advisory agreement described in Note 6. “Related Party Transactions.” The two components of performance-based incentive fees are combined and expensed in the condensed consolidated statements of operations and accrued in the condensed consolidated statements of assets and liabilities as accrued performance-based incentive fees. Pursuant to the terms of the investment advisory agreement, the incentive fee on capital gains is determined and payable in arrears as of the end of each calendar year (or upon termination of the investment advisory agreement) based on the Company’s realized capitalized gains on a cumulative basis from inception, net of all realized capital losses on a cumulative basis and unrealized depreciation at year end, less the aggregate amount of any previously paid capital gains incentive fees. Although the terms of the investment advisory agreement do not provide for the inclusion of unrealized gains in the calculation of the incentive fee on capital gains, pursuant to an interpretation of an American Institute of Certified Public Accountants Technical Practice Aid for investment companies, for GAAP purposes, the Company includes unrealized gains in the calculation of the incentive fee on capital gains expense and related accrued incentive fee on capital gains. This accrual reflects the incentive fees that would be payable to the Advisors if the Company’s entire portfolio was liquidated at its fair value as of the balance sheet date even though the Advisors are not entitled to an incentive fee with respect to unrealized gains unless and until such gains are actually realized.

Offering Expenses – Offering expenses incurred in connection with the Company’s Offerings, including reimbursement payments to the Advisors, but excluding selling commissions and marketing support fees, were accumulated monthly during the offerings and capitalized as deferred offering expenses and then subsequently expensed over a 12-month period.

Earnings per Share – Earnings per share is calculated based upon the weighted average number of shares of common stock outstanding during the reporting period.

Distributions – Weekly distributions are generally declared monthly by the Company’s board of directors and recognized as a liability on the applicable record date. Distributions are paid monthly. The Company has adopted a distribution reinvestment plan that provides for reinvestment of distributions on behalf of shareholders. Shareholders who have elected to participate in the distribution reinvestment plan will have their cash distribution automatically reinvested in additional shares of common stock at a purchase price determined by our board of directors, or a committee thereof, in its sole discretion, that is (i) not less than the net asset value per share of our common stock as determined in good faith by our board of directors or a committee thereof, in its sole discretion, immediately prior to the payment of the distribution and (ii) not more than 2.5% greater than the net asset value per share of our common stock as of such date.

2.	Significant Accounting Policies *(continued)*

Federal Income Taxes – The Company has elected to be treated for federal income tax purposes, and intends to maintain its qualification, as a RIC under Subchapter M of the Code. Generally, a RIC is not subject to federal income taxes on distributed income and gains if it distributes at least 90% of its “Investment Company Taxable Income,” as defined in the Code. The Company intends to distribute sufficient dividends to maintain its RIC status each year.

The Company is generally subject to nondeductible federal excise taxes if it does not distribute to its shareholders an amount at least equal to the sum of (i) 98% of its net ordinary income for the calendar year, (ii) 98.2% of its capital gains in excess of capital losses for the one-year period generally ending on October 31 of the calendar year and (iii) any ordinary income and net capital gains for preceding years that were not distributed during such years and on which the Company paid no federal income tax. The Company may pay a 4% nondeductible federal excise tax on under-distribution of capital gains and taxable income.

The Taxable Subsidiaries hold certain of the Company’s portfolio investments. The Taxable Subsidiaries are consolidated for GAAP reporting purposes, and the portfolio investments held by such entities are included in the condensed consolidated financial statements. The Taxable Subsidiaries may generate income tax expense, or benefit, and related tax assets and liabilities. As a result, any such income tax expense, or benefit and the related tax assets and liabilities are recorded in the Company’s condensed consolidated financial statements. Deferred tax assets and liabilities are recorded for temporary differences between the tax basis of assets and liabilities and their reported amounts in the financial statements, using statutory tax rates in effect for the year in which the temporary differences are expected to reverse. Valuation allowances are established when necessary to reduce deferred tax assets to the amount expected to be realized. Similarly, certain foreign investments, which may be held outside of the Taxable Subsidiaries, might incur foreign income taxes and have deferred tax assets and liabilities.

The Company recognizes in its condensed consolidated financial statements the effect of a tax position when it is deemed more likely than not, based on the technical merits, that the position will be sustained upon examination. Tax benefits of positions not deemed to meet the more-likely-than-not threshold are recorded as a tax expense in the current year. The Company did not have any uncertain tax positions that met the recognition or measurement criteria of ASC 740-10-25, Income Taxes – Overall –Recognition, nor did it have any unrecognized tax benefits for the periods presented herein. Although the Company and the Taxable Subsidiaries file federal and state tax returns, their major tax jurisdiction is federal.

Permanent book and tax basis differences are reclassified among the Company’s capital accounts, as appropriate on an annual basis. Additionally, the tax character and amount of distributions is determined in accordance with the Code which differs from GAAP.

Recent Accounting Pronouncements – In August 2016, the FASB issued ASU 2016-15, “Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments,” which will make eight targeted changes to how cash receipts and cash payments are presented and classified in the statement of cash flows. The ASU further clarifies how the predominance principle should be applied to cash receipts and payments relating to more than one class of cash flows. The ASU is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. The ASU is to be applied retrospectively for each period presented. The Company is currently evaluating the impact this ASU will have on the Company’s consolidated statement of cash flows.

In November 2016, the FASB issued ASU 2016-18, “Statement of Cash Flows (Topic 230): Restricted Cash,” which modifies the presentation of the statement of cash flows and requires reconciliation to the overall change in the total of cash, cash equivalents, restricted cash and restricted cash equivalents. As a result, the statement of cash flows will no longer present transfers between cash and cash equivalents and restricted cash and restricted cash equivalents. The ASU is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The ASU is to be applied retrospectively for each period presented. The Company adopted this ASU on December 31, 2016 and the adoption has not materially impacted the presentation of the Company’s consolidated cash flows.

3.	Investments

The Company is engaged in a strategy to invest primarily in the debt of privately owned and thinly traded U.S. companies. The primary investment concentrations include (i) senior debt securities and (ii) subordinated debt securities. The Company’s investments may, in some cases, be accompanied by warrants, options or other forms of equity participation. The Company may separately purchase common or preferred equity interests in transactions, including non-controlling equity investments. Additionally, the Company may invest in convertible securities, derivatives and private investment funds. The Company may also co-invest with third parties through partnerships, joint ventures or other entities, thereby acquiring jointly controlled or non-controlling interests in certain investments in conjunction with participation by one or more third parties in such investment. The fair value of the Company’s investments will generally fluctuate with, among other things, changes in prevailing interest rates, the general supply of, and demand for, debt capital among private and public companies, general domestic and global economic conditions, the condition of certain financial markets, developments or trends in any particular industry and changes in the financial condition and credit quality of each security’s issuer.

As of March 31, 2017 and December 31, 2016, the Company’s investment portfolio consisted of the following (in thousands):


	As of March 31, 2017
Asset Category	Amortized Cost		Fair Value		Percentage of Investment Portfolio			Percentage of Net Assets
Senior debt
Senior secured loans – first lien	$	1,699,245	$	1,618,790		41.2	%		58.2	%
Senior secured loans – second lien		1,121,365		1,071,234		27.2			38.5
Senior secured bonds		134,496		84,341		2.2			3.0

Total senior debt		2,955,106		2,774,365		70.6			99.7
Subordinated debt		549,329		509,056		12.9			18.3
Structured products		225,505		210,111		5.3			7.6
Equity/Other ⁽¹⁾		486,018		439,995		11.2			15.8

Subtotal		4,215,958		3,933,527		100.0	%		141.4	%

Short-term investments		1,502		1,502					0.1

Total investments	$	4,217,460	$	3,935,029					141.5	%


	As of December 31, 2016
Asset Category	Amortized Cost		Fair Value		Percentage of Investment Portfolio			Percentage of Net Assets
Senior debt
Senior secured loans – first lien	$	1,641,759	$	1,547,100		38.4	%		56.1	%
Senior secured loans – second lien		1,131,035		1,074,183		26.7			38.9
Senior secured bonds		177,826		134,786		3.4			4.9

Total senior debt		2,950,620		2,756,069		68.5			99.9
Subordinated debt		683,640		642,427		16.0			23.3
Structured products		226,807		210,871		5.2			7.6
Equity/Other ⁽¹⁾		465,850		415,920		10.3			15.1

Subtotal		4,326,917		4,025,287		100.0	%		145.9	%

Short-term investments		6		6					—

Total investments	$	4,326,923	$	4,025,293					145.9	%

⁽¹⁾	Includes the Company’s investment in Strategic Credit Opportunities Partners, LLC.

As of March 31, 2017, debt investments on non-accrual status represented 5.9% and 1.8% of total investments on an amortized cost basis and fair value basis, respectively. As of December 31, 2016, debt investments on non-accrual status represented 5.5% and 1.6% of total investments on an amortized cost basis and fair value basis, respectively.

3.	Investments *(continued)*

The industry composition, geographic dispersion, and local currencies of the Company’s investment portfolio as a percentage of total fair value of the Company’s investments, excluding short term investments and derivative instruments, as of March 31, 2017 and December 31, 2016 were as follows:


Industry Composition	March 31, 2017			December 31, 2016
Capital Goods		21.3	%		21.2	%
Diversified Financials		12.0			10.4
Software & Services		7.6			8.7
Materials		7.5			6.0
Retailing		7.0			7.9
Automobiles & Components		6.3			5.9
Real Estate		6.0			5.4
Technology Hardware & Equipment		4.5			4.4
Consumer Durables & Apparel		4.3			4.2
Health Care Equipment & Services		3.5			4.9
Energy		3.5			4.0
Transportation		3.4			4.0
Consumer Services		3.1			3.0
Commercial & Professional Services		2.1			2.1
Food, Beverage & Tobacco		1.5			1.4
Pharmaceuticals, Biotechnology & Life Sciences		1.4			1.4
Food & Staples Retailing		1.3			1.3
Insurance		1.2			1.1
Household & Personal Products		1.0			0.9
Media		0.9			0.9
Remaining Industries		0.6			0.9

Total		100.0	%		100.0	%


Industry Composition	March 31, 2017			December 31, 2016
Geographic Dispersion ⁽¹⁾
United States		83.6	%		83.7	%
Singapore		3.8			3.5
Luxembourg		3.7			4.7
Sweden		2.3			2.2
Ireland		2.3			2.2
United Kingdom		1.5			1.5
Cayman Islands		0.7			0.7
Spain		0.6			0.5
Canada		0.5			—
British Virgin Islands		0.5			0.5
Australia		0.3			0.3
Remaining Countries		0.2			0.2

Total		100.0	%		100.0	%


Local Currency
U.S. Dollar		89.1	%		88.7	%
Euro		8.1			8.6
British Pound Sterling		2.4			2.3
Australian Dollar		0.3			0.3
Swedish Krona		0.1			0.1

Total		100.0	%		100.0	%

⁽¹⁾	The geographic dispersion is determined by the portfolio company’s country of domicile or the jurisdiction of the security’s issuer.

3.	Investments *(continued)*

Strategic Credit Opportunities Partners, LLC

In May 2016, SCJV, a joint venture between the Company and Conway Capital, LLC (“Conway”), an affiliate of Guggenheim Life and Annuity Company and Delaware Life Insurance Company, was formed pursuant to the terms of a limited liability company agreement between the Company and Conway. Pursuant to the terms of the agreement, the Company and Conway each have 50% voting control of SCJV and together will agree on all investment decisions as well as all other significant actions for SCJV. SCJV was formed to invest its capital in a range of investments, including senior secured loans (both first lien and second lien) to middle market companies, broadly syndicated loans, equity, warrants and other investments. The Company and Conway have agreed to provide capital to SCJV of up to $500 million in the aggregate. The Company and Conway will provide 87.5% and 12.5%, respectively, of the committed capital. As administrative agent of SCJV, the Company will perform certain day-to-day management responsibilities on behalf of SCJV.

In August 2016, the Company and Conway completed the initial funding of SCJV. As part of the initial funding, the Company sold investments with a fair value of $247.24 million to SCJV, in exchange for cash and a $92.40 million equity interest in SCJV. The Company recognized a net realized loss of $0.95 million in connection with the transaction. Conway completed its initial funding of SCJV with a cash contribution of $13.20 million. In December 2016, the Company sold investments with a fair value of $45.88 million to SCJV. The Company recognized a net realized gain of $1.03 million in connection with the transaction.

On August 15, 2016, CSCOP SE I LLC (“Borrower SPV”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “Credit Agreement”), with Bank of America Merrill Lynch. The Credit Agreement provides for a revolving credit facility which provides for up to $165.00 million in total commitments to Borrower SPV (the “BAML Credit Facility”), and is secured by substantially all of the assets of Borrower SPV. The stated borrowing rate under the BAML Credit Facility may take the form of either base rate loans or Eurocurrency rate loans and may be converted to either or during the term of the loan by delivering a notice to the Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the Credit Agreement. Base rate loans shall bear interest at a rate per annum equal to the sum of (a) the fluctuating rate per annum equal to the highest of (i) the federal funds rate plus ¹⁄₂ of 1%, (ii) the prime rate set by Bank of America for such day and (iii) the 1-month LIBOR plus (b) 1.85%. Eurocurrency rate loans shall bear interest at the rate per annum equal to the sum of (a) LIBOR (or a comparable or successor rate approved by the Credit Agreement administrative agent) plus (b) 1.85%. Borrower SPV also pays a commitment fee for undrawn commitment in the amount between 0.75% to 1.75%. The BAML Credit Facility matures on August 15, 2018. As of March 31, 2017 and December 31, 2016, total outstanding borrowings under the BAML Credit Facility were $143.00 million and $152.00 million, respectively.

Below is a summary of SCJV’s portfolio, followed by a listing of the individual loans in SCJV’s portfolio as of March 31, 2017 and December 31, 2016:


	March 31, 2017			December 31, 2016
Total debt investments ⁽¹⁾	$	238,908		$	250,320
Weighted average current interest rate on debt investments ⁽²⁾		6.94	%		7.08	%
Number of borrowers in SCJV		34			36
Largest loan to a single borrower ⁽¹⁾	$	21,160		$	21,214

⁽¹⁾	At par amount.

⁽²⁾	Computed as the (a) annual stated interest rate on accruing debt, divided by (b) total debt at par amount.

3.	Investments *(continued)*

Strategic Credit Opportunities Partners, LLC Portfolio

As of March 31, 2017 (in thousands)


Company^(a)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date		Principal Amount^(b)		Cost		Fair Value
Senior Secured Loans - First Lien—128.5%
ABILITY Network, Inc.	^(1)(e)	Health Care Equipment & Services		L + 500			1.00	%		5/14/2021	$	8,789	$	8,695	$	8,828
Bay Club, Co.	⁽¹⁾	Consumer Services		L + 650			1.00	%		8/31/2022		8,955		9,030		9,056
Belk, Inc.	⁽²⁾	Retailing		L + 475			1.00	%		12/12/2022		4,188		3,724		3,555
CityCenter Holdings, LLC	⁽¹⁾	Consumer Services		L + 325			1.00	%		10/16/2020		4,755		4,780		4,809
Commercial Barge Line, Co.	⁽²⁾	Transportation		L + 875			1.00	%		11/12/2020		7,321		6,977		6,790
David’s Bridal, Inc.	⁽²⁾	Retailing		L + 400			1.25	%		10/11/2019		6,781		6,388		5,592
Grocery Outlet, Inc.	⁽²⁾	Food & Staples Retailing		L + 375			1.00	%		10/21/2021		2,915		2,885		2,925
Harbor Freight Tools USA, Inc.	⁽¹⁾	Retailing		L + 325			0.75	%		8/18/2023		2,670		2,681		2,670
inVentive Health, Inc.	⁽²⁾	Health Care Equipment & Services		L + 375			1.00	%		11/9/2023		8,728		8,807		8,775
Koosharem, LLC	^(2)(e)	Commercial & Professional Services		L + 650			1.00	%		5/15/2020		21,160		18,948		19,784
MedAssets, Inc.	⁽¹⁾	Health Care Equipment & Services		L + 550			1.00	%		10/20/2022		7,055		7,116		7,103
Neiman Marcus Group, LLC	⁽¹⁾	Retailing		L + 325			1.00	%		10/25/2020		4,863		4,540		3,923
Netsmart Technologies, Inc.	⁽²⁾	Health Care Equipment & Services		L + 450			1.00	%		4/19/2023		1,971		1,983		1,988
RedPrairie Corp.	⁽¹⁾	Software & Services		L + 350			1.00	%		10/12/2023		11,260		11,207		11,353
Riverbed Technology, Inc.	⁽¹⁾	Technology Hardware & Equipment		L + 400			1.00	%		4/25/2022		7,894		7,962		7,897
Savers, Inc., Common Shares A	⁽²⁾	Retailing		L + 375			1.25	%		7/9/2019		9,922		8,901		8,793
Standard Aero, Ltd.	⁽¹⁾	Capital Goods		L + 425			1.00	%		7/7/2022		992		999		999
TIBCO Software, Inc.	⁽¹⁾	Software & Services		L + 450			1.00	%		12/4/2020		19,232		18,682		19,474
TruGreen, LP	⁽¹⁾	Consumer Services		L + 550			1.00	%		4/13/2023		9,925		10,081		10,062

Total Senior Secured Loans - First Lien													$	144,386	$	144,376


Senior Secured Loans - Second Lien—11.3%
Applied Systems, Inc.	^(2)(e)	Software & Services		L + 650			1.00	%		1/24/2022	$	7,461	$	7,497	$	7,539
Misys, Ltd. (GBR)	^(c)	Software & Services		12.00	%					6/12/2019		4,866		5,047		5,116

Total Senior Secured Loans - Second Lien													$	12,544	$	12,655


Senior Secured Bonds—14.1%
Artesyn Technologies, Inc.	^(d)(e)	Technology Hardware & Equipment		9.75	%					10/15/2020	$	8,900	$	7,641	$	8,700
Guitar Center, Inc.	^(d)	Retailing		6.50	%					4/15/2019		8,523		7,766		7,159

Total Senior Secured Bonds													$	15,407	$	15,859


Total Senior Debt													$	172,337	$	172,890


Subordinated Debt—57.9%
Builders FirstSource, Inc.	^(d)	Capital Goods		10.75	%					8/15/2023	$	6,564	$	7,435	$	7,631
Cequel Communications Holdings, LLC	^(d)	Media		5.13	%					12/15/2021		7,426		7,492		7,528
ClubCorp Club Operations, Inc.	^(d)(e)	Consumer Services		8.25	%					12/15/2023		2,773		2,896		3,016
GCI, Inc.		Telecommunication Services		6.88	%					4/15/2025		7,211		7,484		7,554
GCP Applied Technologies, Inc.	^(d)	Materials		9.50	%					2/1/2023		4,796		5,435		5,443
Hillman Group, Inc.	^(d)(e)	Consumer Durables & Apparel		6.38	%					7/15/2022		2,238		2,064		2,135
Jo-Ann Stores, Inc.	^(d)	Retailing		8.13	%					3/15/2019		829		816		827

3.	Investments *(continued)*


Company^(a)	Footnotes	Industry	Interest Rate			Base Rate Floor	Maturity Date		Principal Amount^(b)		Cost		Fair Value

Kenan Advantage Group, Inc.	^(d)(e)	Transportation		7.88	%			7/31/2023	$	7,692	$	7,510	$	7,865
Manitowoc Foodservice, Inc.		Capital Goods		9.50	%			2/15/2024		6,622		7,442		7,632
Platform Specialty Products Corp.	^(d)(e)	Materials		10.38	%			5/1/2021		6,813		7,109		7,579
Solera Holdings, Inc.	^(d)	Software & Services		10.50	%			3/1/2024		6,818		7,457		7,787


Total Subordinated Debt											$	63,140	$	64,997


TOTAL INVESTMENTS — 211.8%											$	235,477	$	237,887

(a)	Security may be an obligation of one or more entities affiliated with the named company.

(b)	Denominated in U.S. dollars unless otherwise noted.

(c)	A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.

(d)

This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act of 1933 pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act, normally to qualified institutional buyers.

(e)	This investment is held by both the Company and SCJV as of March 31, 2017.

(1)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at March 31, 2017 was 0.98%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

(2)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at March 31, 2017 was 1.15%. The current base rate for each investment may be different from the reference rate on March 31, 2017.

Abbreviations:

GBR - United Kingdom

L - London Interbank Offered Rate, typically 3-Month

Strategic Credit Opportunities Partners, LLC Portfolio

As of December 31, 2016 (in thousands)


Company^(a)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date		Principal Amount^(b)		Cost		Fair Value
Senior Secured Loans - First Lien—130.9%
ABILITY Network, Inc.	^(e)(1)	Health Care Equipment & Services		L + 500		1.00	%		5/14/2021	$	8,812	$	8,713	$	8,856
Bay Club, Co.	⁽¹⁾	Consumer Services		L + 650		1.00	%		8/31/2022		8,977		9,056		9,056
Belk, Inc.	⁽¹⁾	Retailing		L + 475		1.00	%		12/12/2022		4,198		3,718		3,635
CityCenter Holdings, LLC	⁽²⁾	Real Estate		L + 325		1.00	%		10/16/2020		4,755		4,781		4,818
Commercial Barge Line, Co.	⁽¹⁾	Transportation		L + 875		1.00	%		11/12/2020		7,417		7,050		7,021
David’s Bridal, Inc.	⁽¹⁾	Retailing		L + 400		1.25	%		10/11/2019		6,792		6,367		6,025
Grocery Outlet, Inc.	⁽¹⁾	Food & Staples Retailing		L + 400		1.00	%		10/21/2021		2,923		2,891		2,927
Gymboree Corp.	^(e)(1)	Retailing		L + 350		1.50	%		2/23/2018		4,385		3,376		2,344
Harbor Freight Tools USA, Inc.	⁽¹⁾	Retailing		L + 300		0.75	%		8/18/2023		2,677		2,688		2,719
inVentive Health, Inc.	⁽¹⁾	Health Care Equipment & Services		L + 375		1.00	%		11/9/2023		8,750		8,833		8,842
Koosharem, LLC	^(e)(1)	Commercial & Professional Services		L + 650		1.00	%		5/15/2020		21,214		18,858		19,225
MedAssets, Inc.	⁽³⁾	Health Care Equipment & Services		L + 550		1.00	%		10/19/2022		7,073		7,136		7,179
Neiman Marcus Group, LLC	⁽³⁾	Retailing		L + 325		1.00	%		10/25/2020		4,876		4,532		4,253
Netsmart Technologies, Inc.	⁽¹⁾	Health Care Equipment & Services		L + 450		1.00	%		4/19/2023		1,976		1,988		1,987
RedPrairie Corp.	⁽³⁾	Software & Services		L + 350		1.00	%		10/12/2023		11,288		11,233		11,431
Riverbed Technology, Inc.	⁽³⁾	Technology Hardware & Equipment		L + 325		1.00	%		4/25/2022		7,971		8,042		8,040
Savers, Inc., Common Shares A	⁽¹⁾	Retailing		L + 375		1.25	%		7/9/2019		9,948		8,835		9,258

3.	Investments *(continued)*


Company^(a)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date		Principal Amount^(b)		Cost		Fair Value
Standard Aero, Ltd.	⁽¹⁾	Capital Goods		L + 425			1.00	%		7/7/2022	$	995	$	1,002	$	1,004
TIBCO Software, Inc.	^(e)(3)	Software & Services		L + 550			1.00	%		12/4/2020		19,232		18,698		19,347
TruGreen, LP	⁽³⁾	Consumer Services		L + 550			1.00	%		4/13/2023		9,950		10,111		10,112

Total Senior Secured Loans - First Lien													$	147,908	$	148,079


Senior Secured Loans - Second Lien—11.2%
Applied Systems, Inc.	^(e)(1)	Software & Services		L + 650			1.00	%		1/24/2022	$	7,461	$	7,499	$	7,556
Misys, Ltd. (GBR)	^(c)(e)	Software & Services		12.00	%					6/12/2019		4,866		5,064		5,177

Total Senior Secured Loans - Second Lien													$	12,563	$	12,733


Senior Secured Bonds—20.7%
Artesyn Technologies, Inc.	^(d)(e)	Technology Hardware & Equipment		9.75	%					10/15/2020	$	8,900	$	7,572	$	8,143
Calumet Specialty Products Partners, LP	^(d)(e)	Energy		11.50	%					1/15/2021		6,579		7,433		7,517
Guitar Center, Inc.	^(d)(e)	Retailing		6.50	%					4/15/2019		8,523		7,626		7,735

Total Senior Secured Bonds													$	22,631	$	23,395


Total Senior Debt													$	183,102	$	184,207


Subordinated Debt—56.9%
Builders FirstSource, Inc.	^(d)(e)	Capital Goods		10.75	%					8/15/2023	$	6,564	$	7,460	$	7,533
Cequel Communications Holdings, LLC	^(d)	Media		5.13	%					12/15/2021		7,426		7,496		7,556
ClubCorp Club Operations, Inc.	^(d)(e)	Consumer Services		8.25	%					12/15/2023		2,773		2,900		2,939
GCI, Inc.	^(e)	Telecommunication Services		6.88	%					4/15/2025		7,211		7,490		7,319
GCP Applied Technologies, Inc.	^(d)(e)	Materials		9.50	%					2/1/2023		4,796		5,458		5,503
Hillman Group, Inc.	^(d)(e)	Consumer Durables & Apparel		6.38	%					7/15/2022		2,238		2,057		2,104
Jo-Ann Stores, Inc.	^(d)(e)	Retailing		8.13	%					3/15/2019		829		815		825
Kenan Advantage Group, Inc.	^(d)(e)	Transportation		7.88	%					7/31/2023		7,692		7,507		7,769
Manitowoc Foodservice, Inc.		Capital Goods		9.50	%					2/15/2024		6,622		7,465		7,632
Platform Specialty Products Corp.	^(d)(e)	Materials		10.38	%					5/1/2021		6,813		7,123		7,545
Solera Holdings, Inc.	^(d)(e)	Software & Services		10.50	%					3/1/2024		6,818		7,474		7,670


Total Subordinated Debt													$	63,245	$	64,395


TOTAL INVESTMENTS — 219.7%													$	246,347	$	248,602

(a)	Security may be an obligation of one or more entities affiliated with the named company.

(b)	Denominated in U.S. dollars unless otherwise noted.

(c)	A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.

(d)

(e)	This investment is held by both the Company and SCJV as of December 31, 2016.

(1)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at December 31, 2016 was 1.00%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

(2)	The interest rate on these investments is subject to a base rate of 2-Month LIBOR, which at December 31, 2016 was 0.82%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

(3)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at December 31, 2016 was 0.77%. The current base rate for each investment may be different from the reference rate on December 31, 2016.

Abbreviations:

GBR - United Kingdom

L - LIBOR - London Interbank Offered Rate, typically 3-Month

3.	Investments *(continued)*

Below is selected balance sheet information for SCJV as of March 31, 2017 and December 31, 2016 (in thousands):


	March 31, 2017		December 31, 2016
Selected Balance Sheet Information
Total investments, at fair value	$	237,887	$	248,602
Cash and other assets		17,820		16,876

Total assets	$	255,707	$	265,478

Debt	$	143,000	$	152,000
Other liabilities		403		338

Total liabilities	$	143,403	$	152,338

Member’s equity	$	112,304	$	113,140

Below is selected statement of operations information for SCJV for the three months ended March 31, 2017 (in thousands):


	Three Months Ended March 31, 2017
Selected Statement of Operation Information
Total Investment Income	$	4,761

Expenses
Interest expense		1,161
Custodian and accounting fees		53
Professional services		17
Administrative services		14
Director fees and expenses		2

Total expenses		1,247

Net Investment income		3,514
Net realized and unrealized losses		(1,240	)

Net increase in net assets resulting from operations	$	2,274

4.	Derivative Instruments

The following is a summary of the fair value and location of the Company’s derivative instruments in the condensed consolidated statements of assets and liabilities held as of March 31, 2017 and December 2016 (in thousands):


		Fair Value
Derivative Instrument	Statement Location	March 31, 2017			December 31, 2016
Cross currency swaps	Unrealized appreciation on derivative instruments	$	24,086		$	26,748
Cross currency swaps	Unrealized depreciation on derivative instruments		(1,625	)		(251	)
Foreign currency forward contracts	Unrealized appreciation on derivative instruments		1,683			3,504
Foreign currency forward contracts	Unrealized depreciation on derivative instruments		(815	)		—
Interest rate swaps	Unrealized appreciation on derivative instruments		9,914			8,862
TRS	Unrealized appreciation on derivative instruments		4,753			3,397

Total		$	37,996		$	42,260

4.	Derivative Instruments *(continued)*

Net realized and unrealized gains and losses on derivative instruments recorded by the Company for the three months ended March 31, 2017 and 2016 are in the following locations in the condensed consolidated statements of operations (in thousands):


		Net Realized Gains (Losses)
		Three Months Ended March 31,
Derivative Instrument	Statement Location	2017			2016
Cross currency swaps	Net realized gains on derivative instruments	$	283		$	4,144
Foreign currency forward contracts	Net realized gains on derivative instruments		555			2,134
Interest rate swaps	Net realized losses on derivative instruments		(487	)		—
TRS	Net realized gains on derivative instruments		2,520			2,991

Total		$	2,871		$	9,269


		Net Unrealized Gains (Losses)
		Three Months Ended March 31,
Derivative Instrument	Statement Location	2017			2016
Cross currency swaps	Net change in unrealized depreciation on derivative instruments	$	(4,036	)	$	(13,703	)
Foreign currency forward contracts	Net change in unrealized depreciation on derivative instruments		(2,636	)		(4,995	)
Interest rate swaps	Net change in unrealized appreciation (depreciation) on derivative instruments		1,052			(14,543	)
TRS	Net change in unrealized appreciation on derivative instruments		1,356			840

Total		$	(4,264	)	$	(32,401	)

Offsetting of Derivative Instruments

The Company has derivative instruments that are subject to master netting agreements. These agreements include provisions to offset positions with the same counterparty in the event of default by one of the parties. The Company’s unrealized appreciation and depreciation on derivative instruments are reported as gross assets and liabilities, respectively, in the condensed consolidated statements of assets and liabilities. The following tables present the Company’s assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master netting arrangement and net of any collateral received or pledged by the Company for such assets and liabilities as of March 31, 2017 and December 31, 2016 (in thousands).


	As of March 31, 2017
Counterparty	Derivative Assets Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Received ⁽¹⁾		Cash Collateral Received ⁽¹⁾		Net Amount of Derivative Assets ⁽²⁾
Bank of Nova Scotia	$	4,753	$	—	$	—	$	—	$	4,753
J.P. Morgan Chase Bank		35,683		—		—		—		35,683

Total	$	40,436	$	—	$	—	$	—	$	40,436


Counterparty	Derivative Liabilities Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged ⁽¹⁾		Cash Collateral Pledged⁽¹⁾		Net Amount of Derivative Liabilities ⁽³⁾
J.P. Morgan Chase Bank	$	2,440	$	—	$	—	$	—	$	2,440

Total	$	2,440	$	—	$	—	$	—	$	2,440

4.	Derivative Instruments *(continued)*


	As of December 31, 2016
Counterparty	Derivative Assets Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Received ⁽¹⁾		Cash Collateral Received ⁽¹⁾		Net Amount of Derivative Assets ⁽²⁾
Bank of Nova Scotia	$	3,397	$	—	$	—	$	—	$	3,397
J.P. Morgan Chase Bank		39,114		—		—		—		39,114

Total	$	42,511	$	—	$	—	$	—	$	42,511


Counterparty	Derivative Liabilities Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged ⁽¹⁾		Cash Collateral Pledged⁽¹⁾		Net Amount of Derivative Liabilities ⁽³⁾
J.P. Morgan Chase Bank	$	251	$	—	$	—	$	—	$	251

Total	$	251	$	—	$	—	$	—	$	251

(1)	In some instances, the actual amount of the collateral received and/or pledged may be more than the amount shown due to overcollateralization.

(2)	Net amount of derivative assets represents the net amount due from the counterparty to the Company in the event of default.

(3)	Net amount of derivative liabilities represents the net amount due from the Company to the counterparty in the event of default.

Foreign Currency Forward Contracts and Cross Currency Swaps:

The Company may enter into foreign currency forward contracts and cross currency swaps from time to time to facilitate settlement of purchases and sales of investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Company’s investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the counterparties to meet the terms of their contracts. The Company attempts to limit counterparty risk by only dealing with well-known counterparties.

Cross currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. These swaps are marked-to-market by recognizing the difference between the present value of cash flows of each leg of the swaps as unrealized appreciation or depreciation. Realized gain or loss is recognized when periodic payments are received or paid and the swaps are terminated. The entire notional value of a cross currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations. The Company attempts to limit counterparty risk by only dealing with well-known counterparties.

The foreign currency forward contracts and cross currency swaps open at the end of the period are generally indicative of the volume of activity during the period.

4.	Derivative Instruments *(continued)*

As of March 31, 2017 and December 31, 2016, the Company’s open foreign currency forward contracts were as follows ($ in thousands):


As of March 31, 2017
Foreign Currency	Settlement Date		Counterparty		Amount and Transaction		US$ Value at Settlement Date			US$ Value at March 31, 2017			Unrealized Appreciation

AUD		Apr 7, 2017		JP Morgan Chase Bank	A$	14,071 Sold	$	10,554		$	10,750		$	(196	)
AUD		Apr 7, 2017		JP Morgan Chase Bank	A$	3,655 Sold		2,689			2,792			(103	)
AUD		Apr 7, 2017		JP Morgan Chase Bank	A$	6,100 Bought		(4,655	)		(4,660	)		5
EUR		Apr 7, 2017		JP Morgan Chase Bank	€	6,300 Sold		6,677			6,721			(44	)
EUR		Apr 7, 2017		JP Morgan Chase Bank	€	6,941 Sold		7,492			7,406			86
EUR		Apr 7, 2017		JP Morgan Chase Bank	€	91,500 Sold		97,153			97,625			(472	)
EUR		Jul 7, 2017		JP Morgan Chase Bank	€	27,300 Sold		30,813			29,256			1,557
EUR		Jul 8, 2019		JP Morgan Chase Bank	€	5,641 Sold		6,357			6,322			35

Total							$	157,080		$	156,212		$	868


As of December 31, 2016
Foreign Currency	Settlement Date		Counterparty		Amount and Transaction		US$ Value at Settlement Date			US$ Value at December 31, 2016			Unrealized Appreciation

AUD		Jan 12, 2017		JP Morgan Chase Bank	A$	3,655 Sold	$	2,720		$	2,637		$	83
AUD		Apr 7, 2017		JP Morgan Chase Bank	A$	14,071 Sold		10,554			10,131			423
EUR		Jan 12, 2017		JP Morgan Chase Bank	€	8,800 Sold		9,871			9,269			602
EUR		Apr 7, 2017		JP Morgan Chase Bank	€	141,500 Sold		150,242			149,673			569
EUR		Jul 7, 2017		JP Morgan Chase Bank	€	27,300 Sold		30,812			29,009			1,803
EUR		Jan 14, 2020		JP Morgan Chase Bank	€	21,000 Sold		23,747			23,723			24

Total							$	227,946		$	224,442		$	3,504

As of March 31, 2017 and December 31, 2016, the Company’s open cross currency swaps were as follows ($ in thousands).

As of March 31, 2017

Counterparty

Company Receives

Fixed Rate

Company Pays

Fixed Rate

Termination
Date

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank, N.A

0.300% on USD notional amount of $9,342

1.975% on AUD notional amount of A$13,161

6/30/2017

(746

)

JPMorgan Chase Bank, N.A

0.759% on USD notional amount of $175,018

0.026% on EUR notional amount of €156,546

12/31/2017

6,607

JPMorgan Chase Bank, N.A

0.590% on USD notional amount of $57,684

1.006% on GBP notional amount of £37,537

12/31/2017

10,384

JPMorgan Chase Bank, N.A

0.913% on USD notional amount of $56,506

0.750% on GBP notional amount of £39,349

6/30/2017

7,095

JPMorgan Chase Bank, N.A

2.200% on USD notional amount of $22,249

0.000% on EUR notional amount of €21,000

12/31/2019

(500

)

JPMorgan Chase Bank, N.A

1.960% on USD notional amount of $36,092

0.500% on GBP notional amount of £29,125

6/30/2018

(379

)

22,461

4.	Derivative Instruments *(continued)*

As of December 31, 2016

Counterparty

Company Receives

Fixed Rate

Company Pays

Fixed Rate

Termination
Date

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank, N.A

0.300% on USD notional amount of $9,342

1.975% on AUD notional amount of A$13,161

6/30/2017

(251

)

JPMorgan Chase Bank, N.A

0.759% on USD notional

amount of $175,018

0.026% on EUR notional amount of €156,546

12/31/2017

8,040

JPMorgan Chase Bank, N.A

0.590% on USD notional

amount of $57,684

1.006% on GBP notional amount of £37,537

12/31/2017

10,946

JPMorgan Chase Bank, N.A

0.913% on USD notional

amount of $56,506

0.750% on GBP notional amount of £39,349

6/30/2017

7,762

26,497

As of March 31, 2017 and December 31, 2016, the combined contractual notional balance of the Company’s foreign currency forward contracts and cross currency swaps totaled $513.97 million and $526.50 million, respectively, all of which related to economic hedging of the Company’s foreign currency denominated debt investments. The tables below display the Company’s foreign currency denominated debt investments and foreign currency forward contracts, summarized by foreign currency type as of March 31, 2017 and December 31, 2016 (in thousands).


	Debt Investments Denominated in Foreign Currencies						Hedges
	As of March 31, 2017						As of March 31, 2017
(in thousands)	Par Value in Local Currency		Par Value in US$		Fair Value		Net Foreign Currency Hedge Amount in Local Currency		Net Foreign Currency Hedge Amount in U.S. Dollars
Euros	€	387,359	$	412,743	$	310,726	€	315,228	$	345,759
British Pound Sterling	£	70,607		88,613		86,517	£	106,011		150,282
Australian Dollars	A$	31,021		23,666		13,916	A$	24,787		17,930

Total			$	525,022	$	411,159			$	513,971


	Debt Investments Denominated in Foreign Currencies						Hedges
	As of December 31, 2016						As of December 31, 2016
(in thousands)	Par Value in Local Currency		Par Value in US$		Fair Value		Net Foreign Currency Hedge Amount in Local Currency		Net Foreign Currency Hedge Amount in U.S. Dollars
Euros	€	425,326	$	447,315	$	339,838	€	355,146	$	389,690
British Pound Sterling	£	70,607		87,136		86,770	£	76,886		114,190
Australian Dollars	A$	31,021		22,360		11,813	A$	30,887		22,616

Total			$	556,811	$	438,421			$	526,496

Interest Rate Swaps:

Interest rate swap contracts are privately negotiated agreements between the Company and a counterparty. Pursuant to interest rate swap agreements, the Company makes fixed-rate payments to a counterparty in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Company is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates. The Company attempts to limit counterparty risk by only dealing with well-known counterparties.

The interest rate swaps open at the end of the period are generally indicative of the volume of activity during the period.

4.	Derivative Instruments *(continued)*

As of March 31, 2017 and December 31, 2016, the Company’s open interest rate swaps were as follows ($ in thousands).


As of March 31, 2017
Counterparty	Notional Amount		Company Receives Floating Rate		Company Pays Fixed Rate			Termination Date		Unrealized Depreciation
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		1.36	%		12/31/2020	$	1,875
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		0.84	%		3/31/2019		1,492
JPMorgan Chase Bank, N.A	$	400,000		3-Month LIBOR		1.43	%		12/31/2020		6,547

										$	9,914


As of December 31, 2016
Counterparty	Notional Amount		Company Receives Floating Rate		Company Pays Fixed Rate			Termination Date		Unrealized Appreciation
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		1.36	%		12/31/2020	$	1,687
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		0.84	%		3/31/2019		1,443
JPMorgan Chase Bank, N.A	$	400,000		3-Month LIBOR		1.43	%		12/31/2020		5,732

										$	8,862

Equity Options and Warrants:

The Company holds equity options and warrants in certain portfolio companies in an effort to achieve additional investment returns. In holding equity options and warrants, the Company bears the risk of an unfavorable change in the value of the underlying equity interests. Equity options and warrants are recorded as investments at fair value in the condensed consolidated statements of assets and liabilities. The aggregate fair value of equity options and warrants included in investments at fair value in the Company’s condensed consolidated statements of assets and liabilities represented 0.5% and 0.4% of the Company’s net assets as of each of March 31, 2017 and December 31, 2016, respectively.

Below is a summary of the Company’s investments in equity options and warrants as of March 31, 2017 and December 31, 2016 (in thousands, except share amounts):


				As of March 31, 2017
Company	Expiration Date	No. Shares		Cost		Fair Value
Amtek Global Technology Pte. Ltd. (SGP), Warrants	12/31/2017		9,991	$	4,636	$	3,236
Amtek Global Technology Pte. Ltd. (SGP), Warrants	12/31/2018		9,991		4,785		3,249
Education Management Corp., Warrants	1/5/2022		2,320,791		371		—
Hilding Anders, Equity Options	12/31/2020		236,160,807		14,988		3,294
Home Partners of America, Inc., Warrants	8/7/2024		2,675		292		872
Jacuzzi Brands, Inc., Warrants	7/3/2019		49,888		—		1,924
Keystone Australia Holdings, Pty. Ltd., Warrants	(1)		1,588,469		1,019		—
Petroplex Acidizing, Inc., Warrants	12/29/2026		8		—		—

Total				$	26,091	$	12,575

⁽¹⁾	Expiration date contingent on certain events pursuant to underlying agreements.

4.	Derivative Instruments *(continued)*


				As of December 31, 2016
Company	Expiration Date	No. Shares		Cost		Fair Value
Amtek Global Technology Pte. Ltd. (SGP), Warrants	12/31/2017		9,991	$	4,636	$	3,379
Amtek Global Technology Pte. Ltd. (SGP), Warrants	12/31/2018		9,991		4,785		3,413
Education Management Corp., Warrants	1/5/2022		2,320,791		371		—
Hilding Anders, Equity Options	12/31/2020		236,160,807		14,988		2,253
Home Partners of America, Inc., Warrants	8/7/2024		2,674		292		607
Jacuzzi Brands, Inc., Warrants	7/3/2019		49,888		—		1,400
Keystone Australia Holdings, Pty. Ltd., Warrants	(1)		1,588,469		1,019		—
Petroplex Acidizing, Inc., Warrants	12/29/2026		8		—		—

Total				$	26,091	$	11,052

⁽¹⁾	Expiration date contingent on certain events pursuant to underlying agreements.

The Company may enter into other derivative instruments and incur other exposures with other counterparties in the future. The derivative instruments held as of March 31, 2017 and December 31, 2016 generally reflect the volume of derivative activity throughout the periods presented.

Total Return Swaps:

On November 15, 2012, Halifax Funding entered into the TRS with the Bank of Nova Scotia (“BNS” or the “Counterparty”). The TRS arrangement with BNS consists of a set of TRS agreements. On October 22, 2015, Halifax Funding amended the TRS agreements. Pursuant to the amended TRS agreements, Halifax Funding may select a portfolio of single-name corporate loans and/or bonds (each, a “TRS asset” and together, the “TRS assets”) with a maximum aggregate notional amount of $500 million. Under the terms of the TRS agreements, each TRS asset included in the TRS portfolio constitutes a separate total return swap transaction, although all calculations, payments and transfers required to be made under the TRS agreements are calculated and treated on an aggregate basis, based upon all such transactions.

Halifax Funding receives quarterly from BNS (i) all collected interest and fees generated by the TRS assets and (ii) realized gains from the sale or principal payments/paydowns of TRS assets, if any. Halifax Funding pays to BNS (i) a financing charge on the TRS settled notional amount at a rate equal to the three-month LIBOR plus 1.40% per annum and (ii) realized losses, if any, related to the TRS assets. In addition, upon the termination of the TRS arrangement, Halifax Funding will either receive from BNS any net realized gain, or pay to BNS any net realized loss, on the liquidation of TRS assets.

Halifax Funding posts collateral in the form of certificates of deposit held by a custodian. Generally, the required collateral amount is at least 33.3% of the notional amount of each TRS asset at the time that such TRS asset is confirmed for acquisition by the Counterparty. Halifax Funding may be required to post additional collateral in the event the value of the TRS assets decreases below a specified amount. Halifax Funding is required to post additional collateral to ensure that the collateral’s market value, as solely determined by BNS, is at least equal to 25% of the value of the TRS portfolio.

The obligations of Halifax Funding under the TRS agreements are nonrecourse to the Company and the Company’s exposure to the TRS is limited to its equity in Halifax Funding, which is generally equal to the collateral posted by Halifax Funding. The Company has no contractual obligation to post any collateral or to pay any financing charges to BNS. The Company may, but is not obligated to, increase its equity investment in Halifax Funding for the purpose of funding additional collateral or payment obligations for which Halifax Funding may become obligated during the term of the TRS agreements. If the Company does not make any such additional equity investment in Halifax Funding and Halifax Funding fails to meet its obligations under the TRS agreements, then BNS will have the right to terminate the TRS agreements and use the collateral posted by Halifax Funding with the custodian to offset any amount owed to BNS. Halifax Funding may terminate the TRS agreements at any time upon providing at least 30 days’ notice prior to the proposed settlement date of the TRS assets related to such termination. In the absence of an early termination, the TRS will terminate on January 15, 2019. In the event of an early termination of the TRS, Halifax Funding may be required to pay a make-whole fee based on a minimum spread amount to be earned by BNS over the life of the amended TRS agreements. Halifax Funding would have been required to pay a make whole fee of $8.17 million if the TRS had been terminated as of March 31, 2017.

4.	Derivative Instruments *(continued)*

As of March 31, 2017 and December 31, 2016, Halifax Funding had selected 46 and 47 underlying debt investment positions, respectively, and had posted $105.0 million and $95.0 million, respectively, in collateral, which are recorded as collateral on deposit with custodian in the condensed consolidated statements of assets and liabilities. The following table reconciles the TRS settled notional amount, upon which the financing charge to BNS is based, to the total, or trade basis, notional amount as of March 31, 2017 and December 31, 2016 (in thousands).


	March 31, 2017			December 31, 2016
Settled notional amount	$	248,357		$	225,919
Unsettled additions		1,223			37,737
Unsettled deletions		(12,334	)		(4,967	)

Total notional amount	$	237,246		$	258,689

The following table summarizes the fair value components of the TRS portfolio (in thousands):


	March 31, 2017			December 31, 2016
Interest and fee income	$	4,456		$	4,215
Financing charge		(1,015	)		(869	)
Net realized gains		143			441
Net unrealized appreciation (depreciation) of TRS assets		1,169			(390	)

TRS total fair value	$	4,753		$	3,397

The following table summarizes the components of the net realized gains on derivative instruments relating to the TRS (in thousands):


	Three Months Ended March 31,
	2017			2016
Interest and fee income	$	4,033		$	4,885
Financing charge		(1,362	)		(1,341	)
Net realized gains (losses)		(151	)		(553	)

Net realized gains on derivative instruments related to the TRS	$	2,520		$	2,991

The following is a summary of the TRS assets as of March 31, 2017 (in thousands):


Company (a)	Industry	Interest Rate		LIBOR Floor			Maturity Date		Notional Amount		Fair Value		Unrealized Appreciation (Depreciation)
Senior Secured Loans - First Lien
ABB CONCISE Optical Group, LLC	Retailing		L + 500		1.00	%		06/15/2023	$	6,778	$	6,889	$	111
ABILITY Network, Inc.(e)	Health Care Equipment & Services		L + 500		1.00	%		05/14/2021		11,340		11,436		96
Alion Science & Technology Corp.	Capital Goods		L + 450		1.00	%		08/19/2021		2,822		2,817		(5	)
Applied Systems, Inc.	Software & Services		L + 300		1.00	%		01/25/2021		646		641		(5	)
Aspen Dental Management, Inc.	Health Care Equipment & Services		L + 450		1.00	%		04/29/2022		2,509		2,542		33
Bay Club, Co.(e)	Consumer Services		L + 650		1.00	%		08/31/2022		4,360		4,360		—
Caesars Entertainment Operating Co., Inc. (b)(d)	Consumer Services		L + 725					03/01/2017		27		33		6
CityCenter Holdings, LLC.	Consumer Services		L + 325		1.00	%		10/16/2020		10,252		10,356		104
Commercial Barge Line, Co.	Transportation		L + 875		1.00	%		11/12/2020		11,303		11,129		(174	)
CSM Bakery Products	Food, Beverage & Tobacco		L + 400		1.00	%		07/03/2020		4,825		4,599		(226	)
CTI Foods Holding Co., LLC	Food, Beverage & Tobacco		L + 350		1.00	%		06/29/2020		3,776		3,714		(62	)
Distribution International, Inc.(c)(e)	Retailing		L + 500		1.00	%		12/15/2021		10,558		9,643		(915	)
DJO Finance, LLC (e)	Health Care Equipment & Services		L + 325		1.00	%		06/08/2020		8,713		8,357		(356	)
Emerald Expositions Holding, Inc.	Media		L + 375		1.00	%		06/17/2020		4,278		4,270		(8	)
Emerald Performance Materials, LLC	Materials		L + 350		1.00	%		07/30/2021		556		553		(3	)
Genesys Telecommunications Laboratories, Inc.	Technology Hardware & Equipment		L + 525		1.00	%		12/01/2023		842		850		8
Grocery Outlet, Inc.	Food & Staples Retailing		L + 375		1.00	%		10/21/2021		4,915		4,825		(90	)
Gypsum Management & Supply, Inc.	Capital Goods		L + 350		1.00	%		04/01/2021		8,248		8,358		110
Heartland Dental Care, Inc.	Pharmaceuticals, Biotechnology & Life Sciences		L + 450		1.00	%		12/21/2018		1,029		1,026		(3	)
Hillman Group, Inc.	Consumer Durables & Apparel		L + 350		1.00	%		06/30/2021		9,754		9,789		35
HUB International, Ltd.	Insurance		L + 300		1.00	%		10/02/2020		5,968		6,086		118

4.	Derivative Instruments *(continued)*


Company (a)	Industry	Interest Rate			LIBOR Floor			Maturity Date		Notional Amount		Fair Value		Unrealized Appreciation (Depreciation)
inVentiv Health, Inc.(e)	Health Care Equipment & Services		L + 375			1.00	%		11/09/2023		5,527		5,484		(43	)
iPayment Investors, LP.(e)	Software & Services		L + 525			1.50	%		05/08/2017		13,563		13,498		(65	)
Koosharem, LLC. (e)	Commercial & Professional Services		L + 650			1.00	%		05/15/2020		1,797		1,849		52
MCS AMS Sub-Holdings, LLC.(e)	Commercial & Professional Services		L + 650			1.00	%		10/15/2019		10,568		12,526		1,958
Neiman Marcus Group, LLC.	Retailing		L + 325			1.00	%		10/25/2020		8,685		7,032		(1,653	)
P2 Energy Solutions, Inc.(e)	Software & Services		L + 400			1.00	%		10/30/2020		4,626		4,484		(142	)
Plaskolite, LLC	Materials		L + 475			1.00	%		11/03/2022		3,232		3,238		6
PQ Corp.	Materials		L + 425			1.00	%		11/04/2022		694		691		(3	)
Riverbed Technology, Inc.	Technology Hardware & Equipment		L + 400			1.00	%		04/25/2022		4,806		4,853		47
Savers, Inc.	Retailing		L + 375			1.25	%		07/09/2019		6,686		6,207		(479	)
Sequa Corp.(e)	Capital Goods		L + 400			1.25	%		06/19/2017		675		663		(12	)
TruGreen, LP.	Consumer Services		L + 550			1.00	%		04/13/2023		4,881		4,998		117
Vertafore, Inc.	Software & Services		L + 325			1.00	%		06/30/2023		1,034		1,031		(3	)

Total Senior Secured Loans - First Lien											180,273		178,827		(1,446	)

Senior Secured Loans - Second Lien
Applied Systems, Inc.(e)	Software & Services		L + 650			1.00	%		01/24/2022		7,706		7,674		(32	)
Emerald Performance Materials, LLC	Materials		L + 675			1.00	%		08/01/2022		2,043		2,035		(8	)
Grocery Outlet, Inc.(e)	Food & Staples Retailing		L + 825			1.00	%		10/21/2022		5,011		4,997		(14	)
Misys, Ltd. (b)(e)	Software & Services		12.00	%					06/12/2019		980		1,005		25
NEP Group, Inc.(e)	Media		L + 875			1.25	%		07/22/2020		8,166		8,339		173
P2 Energy Solutions, Inc.	Software & Services		L + 800			1.00	%		04/30/2021		3,038		3,202		164
Talbots, Inc.	Retailing		L + 850			1.00	%		03/19/2021		3,013		2,799		(214	)

Total Senior Secured Loans - Second Lien											29,957		30,051		94

Senior Secured Bonds
Artesyn Technologies, Inc.(e)	Technology Hardware & Equipment		9.75	%					10/15/2020		3,640		3,382		(258	)
Direct ChassisLink, Inc.(e)	Transportation		10.00	%					06/15/2023		12,084		12,892		808
DJO Finance, LLC.(c)	Health Care Equipment & Services		8.50	%					06/15/2021		825		825		—

Total Senior Secured Bonds											16,549		17,099		550

Subordinated Debt
GCI, Inc.	Telecommunication Services		6.75	%					06/01/2021		967		991		24
Solera Holdings, Inc.	Software & Services		10.50	%					03/01/2024		9,500		11,447		1,947

Total Subordinated Debt											10,467		12,438		1,971


TOTAL										$	237,246	$	238,415	$	1,169

^(a)	Security may be an obligation of one or more entities affiliated with the named company.

^(b)	The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act.

^(c)	TRS asset position or portion thereof unsettled as of March 31, 2017.

^(d)	Investment was on non-accrual status as of March 31, 2017.

^(e)	This investment is held both by the Company and within the TRS as of March 31, 2017.

4.	Derivative Instruments *(continued)*

The following is a summary of the TRS assets as of December 31, 2016 (in thousands):


Company (a)	Industry	Interest Rate			LIBOR Floor			Maturity Date		Notional Amount		Fair Value		Unrealized Appreciation (Depreciation)
Senior Secured Loans - First Lien
ABB CONCISE Optical Group, LLC	Retailing		L + 500			1.00	%		06/15/2023	$	6,795	$	6,928	$	133
ABILITY Network, Inc. (d)	Health Care Equipment & Services		L + 500			1.00	%		5/14/2021		11,370		11,402		32
Alion Science & Technology Corp.	Capital Goods		L + 450			1.00	%		08/19/2021		2,829		2,780		(49	)
Applied Systems, Inc. (c) (d)	Software & Services		L + 300			1.00	%		1/25/2021		648		646		(2	)
Aspen Dental Management, Inc.	Health Care Equipment & Services		L + 425			1.00	%		4/29/2022		2,515		2,544		29
Bay Club Co. (c)	Consumer Services		L + 650			1.00	%		8/31/2022		4,371		4,333		(38	)
CityCenter Holdings, LLC	Real Estate		L + 325			1.00	%		10/16/2020		10,252		10,360		108
Commercial Barge Line, Co.	Transportation		L + 875			1.00	%		11/12/2020		11,452		11,194		(258	)
CPI International, Inc.	Capital Goods		L + 325			1.00	%		11/17/2017		4,569		4,512		(57	)
CSM Bakery Products	Food, Beverage & Tobacco		L + 400			1.00	%		7/3/2020		4,838		4,403		(435	)
CTI Foods Holding Co., LLC	Food, Beverage & Tobacco		L + 350			1.00	%		6/29/2020		3,776		3,678		(98	)
Distribution International, Inc. (c) (d)	Retailing		L + 500			1.00	%		12/15/2021		9,783		9,013		(770	)
DJO Finance, LLC	Health Care Equipment & Services		L + 325			1.00	%		6/8/2020		8,735		8,303		(432	)
Emerald Expositions Holding, Inc. (c)	Media		L + 375			1.00	%		6/17/2020		4,291		4,290		(1	)
Emerald Performance Materials, LLC (c)	Materials		L + 350			1.00	%		7/30/2021		634		633		(1	)
Grocery Outlet, Inc.	Food & Staples Retailing		L + 400			1.00	%		10/21/2021		4,927		4,842		(85	)
Gymboree Corp. (d)	Retailing		L + 350			1.50	%		2/23/2018		918		534		(384	)
Heartland Dental Care, LLC (c)	Pharmaceuticals, Biotechnology & Life Sciences		L + 450			1.00	%		12/21/2018		1,034		1,027		(7	)
Hillman Group, Inc.	Consumer Durables & Apparel		L + 350			1.00	%		6/30/2021		9,779		9,786		7
HUB International, Ltd.	Insurance		L + 300			1.00	%		10/2/2020		5,981		6,121		140
inVentiv Health, Inc. (c)	Health Care Equipment & Services		L + 375			1.00	%		11/9/2023		5,541		5,493		(48	)
iPayment, Inc. (d)	Software & Services		L + 525			1.50	%		5/8/2017		13,563		13,170		(393	)
Koosharem, LLC (c) (d)	Commercial & Professional Services		L + 650			1.00	%		5/15/2020		1,802		1,800		(2	)
MCS AMS Sub-Holdings, LLC (d)	Commercial & Professional Services		L + 650			1.00	%		10/15/2019		10,824		12,428		1,604
Neiman Marcus Group, LLC	Retailing		L + 325			1.00	%		10/25/2020		8,707		7,637		(1,070	)
P2 Energy Solutions, Inc. (c)	Software & Services		L + 400			1.00	%		10/30/2020		4,638		4,386		(252	)
Plaskolite, LLC (c) (d)	Materials		L + 475			1.00	%		11/3/2022		3,232		3,205		(27	)
PQ Corp. (c)	Materials		L + 425			1.00	%		11/4/2022		696		694		(2	)
Riverbed Technology, Inc.	Technology Hardware & Equipment		L + 325			1.00	%		4/25/2022		4,853		4,902		49
Savers, Inc.	Retailing		L + 375			1.25	%		7/9/2019		6,704		6,598		(106	)
Sequa Corp. (c) (d)	Capital Goods		L + 400			1.25	%		6/19/2017		677		668		(9	)
TIBCO Software, Inc. (d)	Software & Services		L + 550			1.00	%		12/4/2020		10,700		10,946		246
Triple Point Technology, Inc.	Software & Services		L + 425			1.00	%		7/10/2020		6,871		6,631		(240	)
TRUGREEN LIMITED PARTNERSHIP	Consumer Services		L + 550			1.00	%		4/13/2023		4,894		5,023		129
Vertafore Inc (c)	Software & Services		L + 325			1.00	%		6/30/2023		1,039		1,034		(5	)
GYP Holdings III Corp.	Capital Goods		L + 375			1.00	%		4/1/2021		8,268		8,382		114

Total Senior Secured Loans - First Lien											202,506		200,326		(2,180	)

Senior Secured Loans - Second Lien
Applied Systems, Inc. (d)	Software & Services		L + 650			1.00	%		1/24/2022		7,706		7,698		(8	)
Emerald Performance Materials, LLC	Materials		L + 775			1.00	%		8/1/2022		2,043		2,035		(8	)
Grocery Outlet, Inc. (c) (d)	Food & Staples Retailing		L + 825			1.00	%		10/21/2022		5,011		4,996		(15	)
Misys, Ltd. (b)	Software & Services		12.00	%					6/12/2019		980		1,011		31
NEP Group, Inc. (d)	Media		L + 875			1.25	%		7/22/2020		8,166		8,260		94
P2 Energy Solutions, Inc. (c) (d)	Software & Services		L + 800			1.00	%		4/30/2021		3,038		3,038		—
Talbots, Inc. (c)	Retailing		L + 850			1.00	%		3/19/2021		3,013		2,988		(25	)

Total Senior Secured Loans - Second Lien											29,957		30,026		69

Senior Secured Bonds
Artesyn Technologies, Inc. (d)	Technology Hardware & Equipment		9.75	%					10/15/2020		3,640		3,185		(455	)
Direct ChassisLink, Inc. (d)	Transportation		10.00	%					6/15/2023		12,084		12,447		363

Total Senior Secured Bonds											15,724		15,632		(92	)

Subordinated Debt
GCI, Inc. (d)	Telecommunication Services		6.75	%					6/1/2021		1,002		1,027		25
Solera Holdings, Inc. (d)	Software & Services		10.50	%					3/1/2024		9,500		11,288		1,788

Total Subordinated Debt											10,502		12,315		1,813


TOTAL										$	258,689	$	258,299	$	(390	)

^(a)	Security may be an obligation of one or more entities affiliated with the named company.

^(b)	The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act.

^(c)	TRS asset position or portion thereof unsettled as of December 31, 2016.

^(d)	This investment is held both by the Company and within the TRS as of December 31, 2016.

5.	Fair Value of Financial Instruments

The Company’s investments were categorized in the fair value hierarchy described in Note 2. “Significant Accounting Policies”, as follows as of March 31, 2017 and December 31, 2016 (in thousands):


	March 31, 2017
Description	Level 1		Level 2			Level 3		Total
Senior debt	$	—	$	552,596		$	2,221,769	$	2,774,365
Subordinated debt		—		95,473			413,583		509,056
Structured products		—		—			210,111		210,111
Equity/Other		—		7,702			432,293		439,995

Subtotal		—		655,771			3,277,756		3,933,527
Short term investments		1,502		—			—		1,502

Total investments	$	1,502	$	655,771		$	3,277,756	$	3,935,029


Derivative Instruments	Level 1		Level 2			Level 3		Total
Assets
Cross currency swaps	$	—	$	24,086		$	—	$	24,086
Foreign currency forward contracts		—		1,683			—		1,683
Interest rate swaps		—		9,914			—		9,914
TRS		—		—			4,753		4,753
Liabilities
Cross currency swaps		—		(1,625	)		—		(1,625	)
Foreign currency forward contracts		—		(815	)		—		(815	)
Interest rate swaps		—		—			—		—
TRS		—		—			—		—

Total	$	—	$	33,243		$	4,753	$	37,996


	December 31, 2016
Description	Level 1		Level 2			Level 3		Total
Senior debt	$	—	$	589,472		$	2,166,597	$	2,756,069
Subordinated debt		—		237,224			405,203		642,427
Structured products		—		—			210,871		210,871
Equity/Other		—		9,107			406,813		415,920

Subtotal		—		835,803			3,189,484		4,025,287
Short term investments		6		—			—		6

Total investments	$	6	$	835,803		$	3,189,484	$	4,025,293


Derivative Instruments	Level 1		Level 2			Level 3		Total
Assets
Cross currency swaps	$	—	$	26,748		$	—	$	26,748
Foreign currency forward contracts		—		3,504			—		3,504
Interest rate swaps		—		8,862			—		8,862
TRS		—		—			3,397		3,397
Liabilities
Cross currency swaps		—		(251	)		—		(251	)
Foreign currency forward contracts		—		—			—		—
Interest rate swaps		—		—			—		—
TRS		—		—			—		—

Total	$	—	$	38,863		$	3,397	$	42,260

There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2017 and year ended December 31, 2016.

5.	Fair Value of Financial Instruments *(continued)*

The carrying value of cash and foreign currency is classified as Level 1 with respect to the fair value hierarchy. The carrying values of the Company’s collateral on deposit with custodian, term loan and revolving credit facilities approximate their fair value and are classified as Level 2 with regards to the fair value hierarchy.

At March 31, 2017, the Company held 129 distinct investment positions classified as Level 3, representing an aggregate fair value of $3.28 billion and 83.3% of the total investment portfolio. At December 31, 2016, the Company held 126 distinct investment positions classified as Level 3, representing an aggregate fair value of $3.19 billion and 79.2% of the total investment portfolio. The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of March 31, 2017 and December 31, 2016 were as follows ($ in thousands):

As of March 31, 2017

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation

Techniques⁽³⁾

Unobservable Inputs

Range (Weighted

Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

Senior Debt

1,968,800

Discounted Cash Flow

Discount Rate

5.22% - 22.26% (10.73%)

Decrease

EBITDA Multiple

4.70x – 28.47x (9.16x)

Increase

Book Value Multiple

1.28x – 1.85x (1.57x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

144,436

Discounted Cash Flow/

Price Given Sale

Discount Rate

11.21% (11.21%)

Decrease

Price Given Sale of Issuer

101.00% (101.00%)

Increase

6,232

Option Pricing Model/

Liquidation Analysis

EBITDA Multiple

3.51x (3.51x)

Increase

Implied Volatility

30.00% (30.00%)

Increase

Risk Free Rate

0.53% (0.53%)

Increase

Term

0.38 years (0.38 years)

Increase

Expected Recovery Given Liquidation

16.45% (16.45%)

Increase

9,320

Option Pricing Model/

Quote/Liquidation Analysis

EBITDA Multiple

7.76x (7.76x)

Increase

Implied Volatility

25.00% (25.00%)

Increase

Risk Free Rate

1.05% (1.05%)

Increase

Term

1.10 years (1.10 years)

Increase

Quote

20.00% (20.00%)

Increase

Expected Recovery Given Liquidation

0.00% (0.00%)

Increase

1,332

Liquidation Analysis

Expected Recovery Given Liquidation

6.23% (6.23%)

Increase

22,313

Waterfall

EBITDA Multiple

10.87x (10.87x)

Increase

43,207

Waterfall

Expected Recovery Upon Sale of Issuer

17.70% - 100.00% (41.63%)

Increase

26,129

Discounted Cash Flow/

Waterfall

Discount Rate

22.26% (22.26%)

Decrease

EBITDA Multiple

23.96x (23.96x)

Increase

Subordinated Debt

324,587

Discounted Cash Flow

Discount Rate

9.24% - 13.36% (11.46%)

Decrease

EBITDA Multiple

3.96x - 13.32x (10.02x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

78,658

Waterfall

EBITDA Multiple

8.58x (8.58x)

Increase

10,338

Option Pricing Model

EBITDA Multiple

8.58x (8.58x)

Increase

Implied Volatility

27.50% (27.50%)

Increase

Risk Free Rate

1.53% (1.53%)

Increase

Term

3.25 years (3.25 years)

Increase

Structured Products

175,696

Discounted Cash Flow

Discounted Rate

8.22% - 14.45% (9.00%)

Decrease

8,790

Book Value

Book Value Multiple

1.00x (1.00x)

Increase

25,625

Waterfall

Expected Recovery

90.80% (90.80%)

Increase

5.	Fair Value of Financial Instruments *(continued)*

As of March 31, 2017

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation

Techniques⁽³⁾

Unobservable Inputs

Range (Weighted

Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

Equity/Other

18,357

Waterfall

Asset Appraisals

N/A

Increase

1,377

Discounted Cash Flow

Discount Rate

12.60% - 13.30% (13.30%)

Decrease

236,172

Net Asset Value

N/A

Increase

41,914

Market Comparables

EBITDA Multiple

6.22x - 11.43x (9.72x)

Increase

Revenue Multiple

0.13x - 2.86x (2.26x)

Increase

Additional Discounts

0.00% - 15.00% (10.50%)

Decrease

127,988

Option Pricing Model

EBITDA Multiple

8.58x (8.58x)

Increase

Implied Volatility

20.30% - 35.00% (20.30%)

Increase

Risk Free Rate

0.88% - 1.53% (1.22%)

Increase

Term

1.00 years - 3.25 years (2.00 years)

Increase

Additional Discounts

0.00% - 20.00% (10.00%)

Decrease

6,485

Option Pricing Model/

Quote

OPM EBITDA Multiple

4.70x (4.70x)

Increase

Implied Volatility

32.50% (32.50%)

Increase

Risk Free Rate

0.79% (0.79%)

Increase

Term

0.75 years (0.75 years)

Increase

Additional Discounts

10.00% (10.00%)

Decrease

Quote EBITDA Multiple

3.00x (3.00x)

Increase

—

Option Pricing Model/

Liquidation

EBITDA Multiple

3.51x (3.51x)

Increase

Implied Volatility

30.00% (30.00%)

Increase

Risk Free Rate

0.53% (0.53%)

Increase

Term

0.38 years (0.38 years)

Increase

Additional Discounts

15.00% (15.00%)

Decrease

Expected Recovery Given Liquidation

0.00% (0.00%)

Increase

Total

3,277,756

As of December 31, 2016

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation

Techniques⁽³⁾

Unobservable Inputs

Range (Weighted

Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

Senior Debt

1,945,023

Discounted Cash Flow

Discount Rate

4.16% - 20.38% (10.71%)

Decrease

EBITDA Multiple

4.22x - 16.24x (9.12x)

Increase

Book Value Multiple

1.29x - 1.62x (1.45x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

134,483

Discounted Cash Flow/

Price Given Sale

Discount Rate

11.47% (11.47%)

Decrease

Price Given Sale of Issuer

101.00% (101.00%)

Increase

8,733

Option Pricing Model/

Liquidation Analysis

EBITDA Multiple

4.22x (4.22x)

Increase

Implied Volatility

30.00% (30.00%)

Increase

Risk Free Rate

0.54% (0.54%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

0.38 years (0.38 years)

Increase

Expected Recovery Given Liquidation

13.35% (13.35%)

Increase

8,024

Option Pricing Model/

Quote/Liquidation Analysis

EBITDA Multiple

7.25x (7.25x)

Increase

Implied Volatility

26.80% (26.80%)

Increase

Risk Free Rate

0.97% (0.97%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

1.30 years (1.30 years)

Increase

Quote

5.85% (5.85%)

Increase

Expected Recovery Given Liquidation

0.00% (0.00%)

Increase

5.	Fair Value of Financial Instruments *(continued)*

As of December 31, 2016

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation

Techniques⁽³⁾

Unobservable Inputs

Range (Weighted

Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

1,546

Liquidation Analysis

Expected Recovery Given Liquidation

7.30% (7.30%)

Increase

21,878

Waterfall

EBITDA Multiple

11.13x (11.13x)

Increase

46,910

Waterfall

Expected Recovery Upon Sale of Issuer

16.80% - 100.00% (32.85%)

Increase

Subordinated Debt

320,510

Discounted Cash Flow

Discount Rate

9.57% - 13.43% (11.85%)

Decrease

EBITDA Multiple

4.40x - 12.02x (9.04x)

Increase

Book Value Multiple

1.10x (1.10x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

77,837

Waterfall

EBITDA Multiple

8.48x (8.48x)

Increase

6,856

Option Pricing Model

EBITDA Multiple

8.48x (8.48x)

Increase

Implied Volatility

25.00% (25.00%)

Increase

Risk Free Rate

1.50% (1.50%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

3.50 years (3.50 years)

Increase

Structured Products

201,036

Discounted Cash Flow

Discounted Rate

9.39% - 14.51% (11.58%)

Decrease

9,835

Book Value

Book Value Multiple

0.95x (0.95x)

Increase

Equity/Other

20,502

Waterfall

Asset Appraisals

N/A

Increase

1,249

Discounted Cash Flow

Discount Rate

12.30% - 13.00% (13.00%)

Decrease

221,765

Net Asset Value

N/A

Increase

42,886

Market Comparables

EBITDA Multiple

6.59x - 12.02x (9.94x)

Increase

Revenue Multiple

0.27x - 2.56x (1.87x)

Increase

Additional Discounts

0.00% - 15.00% (9.51%)

Decrease

120,411

Option Pricing Model

EBITDA Multiple

4.22x - 8.48x (5.46x)

Increase

Implied Volatility

20.20% - 42.50% (21.17%)

Increase

Risk Free Rate

0.54% - 1.50% (1.10%)

Increase

Yield

0.00% - 0.00% (0.00%)

Decrease

Term

0.38 years - 3.50 years (1.97 years)

Increase

Additional Discounts

0.00% - 20.00% (10.00%)

Decrease

Total

3,189,484

(1)	The TRS was valued in accordance with the TRS agreements as discussed in Note 2 “Significant Accounting Policies.” See Note 4 “Derivative Instruments” for quantitative disclosures of the fair value of the TRS.

(2)	Certain investments may be valued at cost for a period of time after an acquisition as the best indicator of fair value.

(3)

For the assets and investments that have more than one valuation technique, the Company may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0 – 100%. Indicative broker quotes obtained for valuation purposes are reviewed by the Company relative to other valuation techniques.

(4)	Weighted average amounts are based on the estimated fair values.

(5)

This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.

The above tables represent the significant unobservable inputs as they relate to the Company’s determination of fair values for the majority of its investments categorized within Level 3 as of March 31, 2017 and December 31, 2016. In addition to the techniques and inputs noted in the tables above, according to the Company’s valuation policy, it may also use other valuation techniques and methodologies when determining the fair value estimates for the Company’s investments. Any significant increases or decreases in the unobservable inputs would result in significant increases or decreases in the fair value of the Company’s investments.

5.	Fair Value of Financial Instruments *(continued)*

Investments that do not have a readily available market value are valued utilizing a market approach, an income approach (i.e. discounted cash flow approach), or both approaches, as appropriate. The market comparables approach uses prices, including third-party indicative broker quotes, and other relevant information generated by market transactions involving identical or comparable assets or liabilities (including a business). The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) that are discounted based on a required or expected discount rate to derive a single present value amount. The measurement is based on the value indicated by current market expectations about those future amounts. In following these approaches, the types of factors the Company may take into account to determine the fair value of its investments include, as relevant: available current market data, including an assessment of the credit quality of the security’s issuer, relevant and applicable market trading and transaction comparables, applicable market yields and multiples, illiquidity discounts, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio company’s ability to make payments, its earnings and cash flows, the markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, data derived from merger and acquisition activities for comparable companies, and enterprise values, among other factors.

The following tables provide reconciliations for the three months ended March 31, 2017 and 2016 of investments for which Level 3 inputs were used in determining fair value (in thousands):


	Three Months Ended March 31, 2017
	Senior			Subordinated			Structured			Equity/			Total Return
	Debt			Debt			Products			Other			Swaps			Total
Fair value balance as of December 31, 2016	$	2,166,597		$	405,203		$	210,871		$	406,813		$	3,397		$	3,192,881
Additions ⁽¹⁾		209,973			595			—			36,148			—			246,716
Net realized gains (losses) ⁽²⁾		3,684			154			—			—			2,520			6,358
Net change in unrealized appreciation (depreciation) ⁽³⁾		5,025			7,607			542			5,312			1,356			19,842
Sales or repayments ⁽⁴⁾		(165,092	)		(154	)		(2,149	)		(15,980	)		(2,520	)		(185,895	)
Net discount accretion		1,582			178			847			—			—			2,607
Transfers into Level 3		—			—			—			—			—			—

Fair value balance as of March 31, 2017	$	2,221,769		$	413,583		$	210,111		$	432,293		$	4,753		$	3,282,509


Change in net unrealized appreciation (depreciation) in investments still held as of March 31, 2017 ⁽³⁾	$	6,959		$	7,607		$	(333	)	$	5,362		$	1,356		$	20,951

(1)	Includes increases in the cost basis of investments resulting from new and add-on portfolio investments, the capitalization of PIK interest or the exchange of one or more existing securities for one or more new securities.

(2)	Included in net realized gains (losses) in the condensed consolidated statements of operations.

(3)	Included in net change in unrealized appreciation (depreciation) in the condensed consolidated statements of operations.

(4)

Includes principal payments/paydowns on debt investments, collection of PIK interest, TRS settlement payments, proceeds from sales of investments, distributions received on equity investments classified as return of capital or the exchange of one or more existing securities for one or more new securities.

5.	Fair Value of Financial Instruments *(continued)*


	Three Months Ended March 31, 2016
	Senior			Subordinated			Structured			Equity/			Total Return
	Debt			Debt			Products			Other			Swaps			Total
Fair value balance as of December 31, 2015	$	1,814,254		$	229,065		$	116,208		$	257,008		$	(13,562	)	$	2,402,973
Additions ⁽¹⁾		72,734			766			—			17,829			—			91,329
Net realized gains (losses) ⁽²⁾		(10,232	)		(3,794	)		—			4,158			2,991			(6,877	)
Net change in unrealized appreciation (depreciation) ⁽³⁾		(6,439	)		1,211			1,462			(22,757	)		840			(25,683	)
Sales or repayments ⁽⁴⁾		(112,760	)		(27,530	)		(1,142	)		(21,080	)		(2,991	)		(165,503	)
Net discount accretion		1,259			335			—			—			—			1,594
Transfers into Level 3		30,698			—			—			—			—			30,698

Fair value balance as of March 31, 2016	$	1,789,514		$	200,053		$	116,528		$	235,158		$	(12,722	)	$	2,328,531


Change in net unrealized appreciation (depreciation) in investments still held as of March 31, 2016 ⁽³⁾	$	(18,472	)	$	(2,155	)	$	1,670		$	(11,559	)	$	840		$	(29,676	)

(1)	Includes increases in the cost basis of investments resulting from new and add-on portfolio investments, the capitalization of PIK interest or the exchange of one or more existing securities for one or more new securities.

(2)	Included in net realized gains (losses) in the condensed consolidated statements of operations.

(3)	Included in net change in unrealized appreciation (depreciation) in the condensed consolidated statements of operations.

(4)

Includes principal payments/paydowns on debt investments, collection of PIK interest, TRS settlement payments, proceeds from sales of investments, distributions received on equity investments classified as return of capital or the exchange of one or more new existing securities for one or more new securities.

No securities were transferred into the Level 3 hierarchy and no securities were transferred out of the Level 3 hierarchy during the three months ended March 31, 2017. Two securities were transferred into the Level 3 hierarchy and no securities were transferred out of the Level 3 heirarchy during the three months ended March 31, 2016. These investments were transferred at fair value as of the beginning of the quarter in which they were transferred. The classification transfers between Level 3 and Level 2 were based on the observed changes in liquidity based on information supplied by a third party pricing source, whereby such liquidity information is routinely reviewed no less frequently than monthly. All realized and unrealized gains and losses are included in earnings and are reported as separate line items within the Company’s condensed consolidated statements of operations.

6.	Related Party Transactions

CNL, certain CNL affiliates, and KKR receive compensation or reimbursement for advisory services and other services in connection with (i) the performance and supervision of administrative services (ii) investment advisory activities and (iii) prior to the conclusion of the Follow On Offering, the Company’s Offerings.

The Company is a party to an investment advisory agreement with CNL, as amended (the “Investment Advisory Agreement”) for the overall management of the Company’s investment activities. The Company and CNL have entered into a sub-advisory agreement with KKR (the “Sub-Advisory Agreement”), under which KKR is responsible for the day-to-day management of the Company’s investment portfolio. CNL compensates KKR for advisory services that it provides to the Company with 50% of the base management fees and performance-based incentive fees that CNL receives under the Investment Advisory Agreement. CNL earns a base management fee (referred to as an investment advisory fee) equal to an annual rate of 2% of the Company’s average gross assets as of the end of the two most recently completed months, computed and paid monthly. The computation of gross assets includes unrealized depreciation, appreciation and collateral posted with the custodian in connection with the TRS, and excludes deferred offering expenses. From and after April 1, 2016, the computation of gross assets also excludes cash and short-term investments.

CNL also earns performance-based incentive fees comprised of a subordinated incentive fee on income and an incentive fee on capital gains. The subordinated incentive fee on pre-incentive fee net investment income (as defined in the Investment Advisory Agreement) is paid quarterly if earned, and is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.75% of average adjusted capital up to a limit of 0.4375% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.1875% of average adjusted capital.

6.	Related Party Transactions *(continued)*

Beginning January 1, 2017, the subordinated incentive fee on income is subject to a total return requirement, which provides generally that no incentive fee will be payable except to the extent that 20.0% of the cumulative net increase in net assets resulting from operations over the then-current and three preceding calendar quarters (or, if four calendar quarters have not passed, then the time period since January 1, 2017) exceeds the cumulative incentive fees accrued and/or paid for the same period. Accordingly, any subordinated incentive fee on income that is payable in a calendar quarter will be limited to the lesser of (i) 20.0% of pre-incentive fee net investment income when pre-incentive fee net investment income exceeds the applicable quarterly hurdle rate for such calendar quarter, subject to the catch-up provision, and (ii) (x) 20.0% of the cumulative net increase in net assets resulting from operations for the then-current and three preceding calendar quarters minus (y) the cumulative incentive fees accrued and/or paid for the three preceding calendar quarters or period since January 1, 2017, whichever period is shorter. For the foregoing purpose, the “cumulative net increase in net assets resulting from operations” is the sum of pre-incentive fee net investment income, base management fees, realized gains and losses and unrealized appreciation and depreciation for the then-current and three preceding calendar quarters. There will be no accumulation of amounts on the hurdle rate from quarter to quarter and, accordingly, there will be no clawback of amounts previously paid if subsequent quarters are below the applicable quarterly hurdle rate and there will be no delay of payment if prior quarters are below the applicable quarterly hurdle rate.

The incentive fee on capital gains is paid annually if earned, and is equal to (A) 20% of all realized gains on a cumulative basis from inception, net of (1) all realized losses on a cumulative basis, (2) unrealized depreciation at year end and (3) disregarding any net realized gains associated with the TRS interest spread (which represents the difference between (a) the interest and fees received on the TRS, and (b) the financing fees paid to the TRS Counterparty), less (B) the aggregate amount of any previously paid incentive fee on capital gains.

The terms of the Investment Advisory Agreement entitled CNL (and indirectly KKR) to receive up to 5% of gross proceeds in connection with the Offerings as reimbursement for organization and offering expenses incurred by the Advisors on behalf of the Company. The Company did not record any deferred offering expenses during the three months ended March 31, 2017. During the three months ended March 31, 2016, the Company recorded $0.43 million in deferred offering expenses related to the Follow-On Offering, or 0.4% of gross offering proceeds of the Follow-On Offering for the same period.

In addition, under the terms of the Investment Advisory Agreement, the Advisors are entitled to reimbursement of certain expenses incurred on behalf of the Company including expenses incurred in connection with its investment operations and investment transactions.

The Company is a party to an administrative services agreement with CNL (the “Administrative Services Agreement”) whereby CNL performs, and oversees the performance of, various administrative services on behalf of the Company. Administrative services may include transfer agency oversight and supervisory services, shareholder communication services, general ledger accounting services, calculating the Company’s net asset value, maintaining required corporate and financial records, financial reporting for the Company and its subsidiaries, internal audit services, reporting to the Company’s board of directors and lenders, preparing and filing income tax returns, preparing and filing SEC reports, preparing, printing and disseminating shareholder reports, overseeing the payment of the Company’s expenses and shareholder distributions, administering the Company’s share repurchase program, and management and oversight of service providers in their performance of administrative and professional services rendered for the Company. CNL may also enter into agreements with its affiliates for the performance of select administrative services. The Company reimburses CNL for the professional services and expenses it incurs in performing its administrative obligations on behalf of the Company.

CNL Securities Corp., an affiliate of CNL, served as the managing dealer of the Company’s Offerings and in connection therewith received selling commissions and marketing support fees. Prior to the closing of the Company’s Follow-On Offering to investors investing through the independent broker-dealer channel, sales of shares were subject to a sales load of up to 10% of the offering price, which included up to 7% of the offering price for sales commissions, and up to 3% of the offering price for marketing support fees. After the closing of the Company’s Follow-On Offering to investors investing through the independent broker-dealer channel, no sales commissions or marketing support fees were charged on purchases of shares of its common stock.

6.	Related Party Transactions *(continued)*

Related party fees, expenses and expenses incurred on behalf of the Company during the three months ended March 31, 2017 and 2016 are summarized below (in thousands):


		Three Months Ended March 31,
Related Party	Source Agreement & Description	2017		2016
CNL Securities Corp.	Managing Dealer Agreement: Selling commissions and marketing support fees	$	—	$	9,649
CNL and KKR	Investment Advisory Agreement: Base management fees (investment advisory fees)		20,771		19,676
CNL and KKR	Investment Advisory Agreement: Subordinated incentive fee on income⁽¹⁾		927		2,650
CNL and KKR	Investment Advisory Agreement: Offering expenses reimbursement		—		432
KKR	Investment Sub-Advisory Agreement: Investment expenses reimbursement		896		219
CNL	Administrative Services Agreement: Administrative and compliance services		535		530

⁽¹⁾

Subordinated incentive fees on income are included in performance-based incentive fees in the condensed consolidated statements of operations. During the three months ended March 31, 2017 and 2016, $4.91 million and $0.75 million, respectively, of subordinated incentive fees on income were paid to the Advisors. As of March 31, 2017 and December 31, 2016, a subordinated incentive fee on income of $0.93 million and $4.91 million, respectively, was payable to the Advisors.

KKR is obligated to remit to the Company any earned capital structuring fees based on the Company’s pro-rata portion of the co-investment transactions or originated investments in which the Company participates. As a result, the Company earned capital structuring fees of $1.72 million and $0.03 million during the three months ended March 31, 2017 and 2016, respectively. As of March 31, 2017 and December 31, 2016, $— and $2.04 million, respectively, of capital structuring fees were receivable from the Advisors.

Indemnification – The Investment Advisory Agreement and the Sub-Advisory Agreement provide certain indemnification in favor of the Advisors, their directors, officers, persons associated with the Advisors, and their affiliates. The managing dealer agreement contains certain indemnification provisions in favor of the managing dealer and each participating broker and their respective officers, directors, partners, employees, associated persons, agents and control persons. In addition, the Company’s articles of incorporation contains certain indemnification in favor of the Company’s officers, directors, agents, and certain other persons. As of March 31, 2017, management believed that the risk of incurring any losses for such indemnification was remote.

7.	Fee Income

Fee income, which is nonrecurring, consisted of the following (in thousands):


	Three Months Ended March 31,
Fee Income	2017		2016
Capital structuring fees	$	1,716	$	25
Amendment fees		889		640

Total	$	2,605	$	665

8.	Distributions

The Company’s board of directors declared distributions for 13 record dates in each of the three months ended March 31, 2017 and 2016. Declared distributions are paid monthly. The total and the sources of declared distributions on a GAAP basis for the three months ended March 31, 2017 and 2016 are presented in the tables below (in thousands, except per share amounts).


	Three Months Ended March 31,
	2017							2016
	Per Share		Amount		Allocation			Per Share			Amount		Allocation
Total Declared Distributions	$	0.20	$	62,259		100.0	%	$	0.20		$	59,940		100.0	%

From net investment income		0.17		52,543		84.4			0.17			51,335		85.7
From net realized gains		0.03		9,716		15.6			—	⁽¹⁾		310		0.5
Distributions in excess of net investment income		—		—		—			0.03			8,295		13.8

⁽¹⁾	Amount rounds to less than 0.005.

Sources of distributions, other than net investment income and realized gains on a GAAP basis, include (i) the ordinary income component of prior year tax basis undistributed earnings and (ii) required adjustments to GAAP net investment income and realized gains in the current period to determine taxable income available for distributions. The following table summarizes the primary sources of differences between (i) GAAP net investment income and realized gains and (ii) taxable income available for distributions that contribute to tax-related distributions in excess of net investment income for the three months ended March 31, 2017 and 2016 (in thousands).


Three Months Ended March 31,	2017			2016
Ordinary income component of tax basis undistributed earnings	$	98,473		$	69,853
Offering expenses		205			812
Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		(2,636	)		(4,995	)
Net change in unrealized appreciation on total return swaps		1,356			840

Total ⁽¹⁾	$	97,398		$	66,510

⁽¹⁾	The above table does not present all adjustments to calculate taxable income available for distributions.

For the three months ended March 31, 2017, there were no distributions in excess of net investment income. For the three months ended March 31, 2016, the tax-related sources of income of $66.51 million were greater than the distributions in excess of net investment income of $8.30 million. As a result, management estimates that none of the distributions declared during the three months ended March 31, 2017 would be classified as a tax basis return of capital. None of the distributions declared during the year ended December 31, 2016 were classified as a tax basis return of capital.

On March 16, 2017, the Company’s board of directors declared distributions of $0.015483 per share for four record dates beginning on April 4, 2017 through and including April 25, 2017.

9.	Share Transactions

The following table summarizes the total shares issued and proceeds received in connection with the Company’s Offerings for the three months ended March 31, 2017 and 2016 ($ in thousands except share and per share amounts).


	Three Months Ended March 31,
	2017				2016
	Shares		Amount		Shares		Amount
Gross proceeds from offering⁽¹⁾		—	$	—		11,392,899	$	110,985
Commissions and marketing support fees		—		—		—		(9,649	)

Net proceeds to company		—		—		11,392,899		101,336
Reinvestment of distributions		3,397,965		30,820		3,457,351		30,679

Net proceeds from offering		3,397,965	$	30,820		14,850,250	$	132,015

Average net proceeds per share		$9.07				$8.89

⁽¹⁾	Following the close of its continuous public offering in October 2016, the Company has continued to offer shares only pursuant to its distribution reinvestment plan.

In October 2016, the Company closed its Follow-On Offering to new investors. As of March 31, 2017, the Company has sold or issued 327.73 million shares of common stock, including reinvestment of distributions, for total gross proceeds of $3.50 billion.

The Company conducts quarterly tender offers pursuant to its share repurchase program. The Company currently limits the number of shares to be repurchased during any calendar year to the number of shares it can repurchase with the proceeds it receives from the issuance of shares of its common stock under its distribution reinvestment plan. At the discretion of the Company’s board of directors, the Company may also use cash on hand, cash available from borrowings and cash from the sale of investments as of the end of the applicable period to repurchase shares. The Company limits repurchases in each quarter to 2.5% of the weighted average number of shares of common stock outstanding in the prior four calendar quarters. The Company’s board of directors may amend, suspend or terminate the share repurchase program upon 30 days’ notice.

The following table is a summary of the share repurchases completed during the three months ended March 31, 2017 and 2016 ($ in thousands, except share and per share amounts):


	Total Number of		Total Number of				No. of Shares
Repurchase Date	Shares Offered to Repurchase		Shares Repurchased		Total Consideration		Repurchased/ Total Offer			Price Paid Per Share
2017:
January 17, 2017		7,612,326		3,707,686	$	33,369		49	%	$	9.00

	Total Number of		Total Number of				No. of Shares
Repurchase Date	Shares Offered to Repurchase		Shares Repurchased		Total Consideration		Repurchased/ Total Offer			Price Paid Per Share
2016:
January 13, 2016		6,371,100		1,827,053	$	16,297		29	%	$	8.92

10.

Borrowings

The Company’s outstanding borrowings as of March 31, 2017 and December 31, 2016 were as follows (in thousands):


	As of March 31, 2017								As of December 31, 2016
	Total Aggregate Principal Amount Committed			Principal Amount Outstanding		Carrying Value			Total Aggregate Principal Amount Committed			Principal Amount Outstanding		Carrying Value
Senior Secured Revolving Credit Facility⁽¹⁾	$	928,000	⁽²⁾	$	664,000	$	664,000		$	928,000	⁽²⁾	$	799,000	$	799,000
BNP Credit Facility⁽¹⁾		200,000			50,000		50,000			200,000			183,000		183,000
SMBC Credit Facility⁽¹⁾		200,000			110,500		110,500			200,000			102,000		102,000
JPM Credit Facility⁽¹⁾		300,000			174,000		174,000			300,000			135,000		135,000

Total credit facilities		1,628,000			998,500		998,500			1,628,000			1,219,000		1,219,000
2014 Senior Secured Term Loan		388,000			388,000		384,584	⁽³⁾		389,000			389,000		385,203	⁽³⁾
CS Facility⁽⁴⁾		23,769			23,769		23,769			23,454			23,454		23,454

Total borrowings	$	2,039,769		$	1,410,269	$	1,406,853		$	2,040,454		$	1,631,454	$	1,627,657

⁽¹⁾	Subject to borrowing base and leverage restrictions.

⁽²⁾	Provides a feature that allows the Company, under certain circumstances, to increase the size of the Senior Secured Revolving Credit Facility to a maximum of $1.34 billion.

⁽³⁾	Comprised of outstanding principal less the unaccreted original issue discount of $0.89 million and $0.99 million and deferring financing costs of $2.53 million and $2.81 million as of March 31, 2017 and December 31, 2016, respectively.

⁽⁴⁾	Borrowings denominated in Euros.

The weighted average stated interest rate and weighted average remaining years to maturity of the Company’s outstanding borrowings as of March 31, 2017 were 3.56% and 3.3 years, respectively, and as of December 31, 2016 were 3.22% and 3.4 years, respectively.

Senior Secured Revolving Credit Facility

In September 2013, the Company entered into a revolving credit facility (the “Senior Secured Revolving Credit Facility”) with certain lenders and JPMorgan Chase Bank, N.A., acting as administrative agent. On April 15, 2016, the Company amended and restated its Senior Secured Revolving Credit Facility (the “Amendment”) increasing loans to be made in U.S. dollars and other foreign currencies to an aggregate amount of $893 million, with an “accordion” feature that allows the Company, under circumstances, to increase the size of the facility to a maximum of $1.34 billion. On April 28, 2016, the aggregate loan commitment under the Senior Secured Revolving Credit Facility was increased to $928 million. Availability under the Senior Secured Revolving Credit Facility, as amended, will terminate on April 15, 2020 (the “Termination Date”) and the outstanding loans will mature on April 15, 2021. In addition, the Senior Secured Revolving Credit Facility, as amended, requires mandatory prepayment of interest and principal upon certain events during the term-out period commencing on the Termination Date. The Senior Secured Revolving Credit Facility is secured by substantially all of the Company’s portfolio investments and its cash and securities accounts, excluding those held by CCT Funding, Paris Funding, Halifax Funding, CCT Tokyo Funding and CCT SE, and provides for a guaranty by certain other subsidiaries of the Company

The stated borrowing rate under the Amendment is generally based on LIBOR plus an applicable spread of 2.00% or 2.25%, depending on collateral levels, or with respect to borrowings in foreign currencies, on a base rate applicable to such currency borrowing plus an applicable spread of 2.00% to 2.25%, depending on collateral levels. The Company also pays an annual commitment fee on any unused commitment amounts between 0.375% and 1.50%, depending on utilization levels.

10.

Borrowings (continued)

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Senior Secured Revolving Credit Facility for the three months ended March 31, 2017 and 2016 were as follows (in thousands):


	Three Months Ended March 31,
	2017			2016
Stated interest expense	$	5,363		$	4,145
Unused commitment fees		214			138
Amortization of deferred financing costs		482			450

Total interest expense	$	6,059		$	4,733

Weighted average interest rate		3.15	%		3.0	%
Average borrowings	$	698,389		$	561,939

Deutsche Bank Credit Facility

CCT Funding was party to a revolving credit facility (as amended, the “Deutsche Bank Credit Facility”) with Deutsche Bank AG, New York Branch (“Deutsche Bank”), as the administrative agent and lender, which allowed CCT Funding to borrow up to $250 million. The Deutsche Bank Credit Facility was secured by the portfolio investments held in CCT Funding. The Deutsche Bank Credit Facility consisted of a Tranche E loan commitment (the “Tranche E Loans”) of $75 million and a Tranche F loan commitment (the “Tranche F Loans”) of $100 million. On September 8, 2016, the Tranche E loan commitment was reduced from $150 million to $75 million. The Company paid a make-whole fee of $0.24 million in connection with the commitment reduction. On December 28, 2016, the company terminated the Deutsche Bank Credit Facility with Deutsche Bank and paid a make-whole fee of $0.61 million.

Interest on the Tranche E Loans was charged at the rate of three-month LIBOR plus 1.85%. Interest on the Tranche F Loans was charged at the rate of three-month LIBOR plus 1.95%. CCT Funding also paid an annual commitment fee on any unused commitment amounts of 0.50%, plus an additional annual commitment fee of 1.95% on the excess, if any, of (i) 80% of the total commitment less (ii) the aggregate principal amount outstanding. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Deutsche Bank Credit Facility for the three months ended March 31, 2016 were as follows (in thousands):


	Three Months Ended March 31, 2016
Stated interest expense	$	1,323
Unused commitment fees		149
Amortization of deferred financing costs		90

Total interest expense	$	1,562

Weighted average interest rate		2.6	%
Average borrowings	$	210,000

BNP Credit Facility

Paris Funding is party to a revolving credit facility with BNP Paribas Prime Brokerage, Inc. (“BNP”) under which it may borrow up to $200 million (as amended, the “BNP Credit Facility”). Paris Funding has the right to prepay loans under the BNP Credit Facility in whole or in part at any time. Paris Funding may terminate the BNP Credit Facility with 180 days’ notice. If certain margin and collateral requirements, minimum net assets or other covenants are not met, the BNP Credit Facility could be deemed in default and result in termination. BNP has the option to terminate the BNP Credit Facility with 29 days’ notice if BNP’s long-term credit rating has declined to a level three or more notches below its highest rating by S&P, Moody’s or Fitch (a “Funding Event”). Absent a default, facility termination event or Funding Event, BNP is required to provide Paris Funding with 364 days’ notice prior to terminating the BNP Credit Facility. On February 28, 2017, Paris Funding notified BNP of its intent to terminate the BNP Credit Facility on August 27, 2017.

10.

Borrowings (continued)

Interest on the BNP Credit Facility is charged at the rate of one month LIBOR plus 1.10% and is payable monthly. Paris Funding also pays an annual commitment fee on any unused commitment amounts of 0.40% or 0.50%, depending on utilization levels. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the BNP Credit Facility for the three months ended March 31, 2017 and 2016 were as follows (in thousands):


	Three Months Ended March 31,
	2017			2016
Stated interest expense	$	668		$	646
Unused commitment fees		68			34
Amortization of deferred financing costs		—			—

Total interest expense	$	736		$	680

Weighted average interest rate		1.94	%		1.6	%
Average borrowings	$	140,811		$	166,846

Paris Funding pledges certain of its assets as collateral to secure borrowings under the BNP Credit Facility. As of March 31, 2017 and December 31, 2016, Paris Funding had investments with a fair value of $112.05 million and $294.70 million, respectively, pledged as collateral under the BNP Credit Facility. Under the terms of the BNP Credit Facility, BNP has the ability to borrow a portion of the pledged collateral (“Rehypothecated Securities”), provided that, among other things, the fair value of the borrowed collateral does not exceed the value of the loan against which the collateral was pledged and any single borrowed security does not represent the entire position of such security held by Paris Funding. Paris Funding may designate any security within the pledged collateral as ineligible to be a Rehypothecated Security, provided there are eligible securities within the segregated custody account in an amount equal to the outstanding borrowings owed by Paris Funding to BNP. Paris Funding may recall any Rehypothecated Security at any time and BNP must, to the extent commercially reasonable, return such security or equivalent security within a commercially reasonable period. In the event BNP does not return the security, Paris Funding will have the right to, among other things, apply and set off an amount equal to 100% of the then-current fair market value of such Rehypothecated Securities against any outstanding borrowings owed to BNP under the BNP Credit Facility. Rehypothecated Securities are marked-to-market daily and if the value of all Rehypothecated Securities exceeds 100% of the outstanding borrowings owed by Paris Funding under the BNP Credit Facility, BNP may either reduce the amount of Rehypothecated Securities to eliminate such excess or deposit into the segregated custody account an amount of cash equal to such excess. Paris Funding will continue to receive interest and the scheduled repayment of principal balances on Rehypothecated Securities. Paris Funding may receive a fee from BNP in connection with Rehypothecated Securities meeting certain criteria. Paris Funding did not recognize any fees on Rehypothecated Securities during the three months ended March 31, 2017 and 2016. As of March 31, 2017, there were no securities rehypothecated by BNP.

SMBC Credit Facility

CCT Tokyo Funding is party to a revolving credit facility (the “SMBC Credit Facility”) with Sumitomo Mitsui Banking Corporation (“SMBC”), as the administrative agent, collateral agent, and lender, which allows CCT Tokyo Funding to borrow up to $200 million. The SMBC Credit Facility is secured by all of the assets held by CCT Tokyo Funding, including its portfolio of assets. Such pledged assets are held in a segregated custody account with Wells Fargo Bank, National Association (“Wells Fargo”). The end of the reinvestment period and the stated maturity date for the SMBC Credit Facility are December 2, 2017 and December 2, 2020, respectively. The reinvestment period and the stated maturity date are both subject to two one-year extensions by mutual agreement.

Amounts available to borrow under the SMBC Funding Facility are subject to a borrowing base that applies an advance rate to assets held by CCT Tokyo Funding. At the option of CCT Tokyo Funding, interest is charged at either the rate of three month LIBOR plus 1.75%, if the average advances outstanding are greater than $100,000,000, otherwise plus 2.00%, or the higher of the Prime Rate (as defined in the Loan and Servicing Agreement) or the Federal Funds rate plus 0.50%, plus 0.75% if the average advances outstanding are greater than $100,000,000, otherwise plus 1.00%. Interest is payable quarterly. Effective June 2, 2016, CCT Tokyo Funding began paying a quarterly non-usage fee of 0.35% on any unused commitment amounts if the average daily amount of the advances outstanding during a remittance period is equal to or greater than the lesser of (i) 50% of the borrowing base during the remittance period and (ii) $100,000,000 (such lesser amount, the “Later Period Threshold Amount”). If the average daily amount of the advances outstanding during a remittance period is less than the Later Period Threshold Amount, CCT Tokyo Funding will pay a fee of 0.875% for any unused portion up to or equal to the difference of the Later Period Threshold Amount less the amount of advances outstanding in addition to the non-usage fee of 0.35% on any remaining unused portion.

10.

Borrowings (continued)

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the SMBC Credit Facility for the three months ended March 31, 2017 and 2016 were as follows (in thousands):


	Three Months Ended March 31,
	2017			2016
Stated interest expense	$	716		$	—
Unused commitment fees		85			—
Amortization of deferred financing costs		140			170

Total interest expense	$	941		$	170

Weighted average interest rate		2.81	%		—	%
Average borrowings	$	104,172		$	—

JPM Credit Facility

On November 29, 2016, CCT SE entered into a revolving credit facility (the “JPM Credit Facility”) pursuant to a Loan and Security Agreement with the Company, as the portfolio manager, JPMorgan Chase Bank, National Association (“JPMorgan”), as administrative agent and lender, together with any additional lenders from time to time party thereto, and the collateral administrator, collateral agent and securities intermediary party thereto (the “Loan Agreement”). CCT SE’s obligations to JPMorgan under the JPM Credit Facility are secured by a first priority security interest in substantially all of the assets of CCT SE, including its portfolio of loans. The obligations of CCT SE under the JPM Credit Facility are non-recourse to the Company.

The JPM Credit Facility provides for borrowings in an aggregate principal amount up to $300 million with an accordion feature which allows for the expansion of the borrowing limit up to $400 million, subject to consent from the lender and other customary conditions. Borrowings under the JPM Credit Facility are subject to compliance with a net asset value coverage ratio with respect to the value of CCT SE’s portfolio and various eligibility criteria must be satisfied with respect to the acquisition of each loan in CCT SE’s portfolio. Any amounts borrowed under the JPM Credit Facility will mature, and all accrued and unpaid interest thereunder will be due and payable, on November 29, 2020.

Interest on the JPM Credit Facility is charged at the rate of three month LIBOR plus 3.00% and is payable quarterly. CCT SE also pays an annual commitment fee on any unused commitment amounts of 0.50% through May 29, 2017, and 1.00% thereafter. CCT SE also paid an upfront fee and incurred certain other customary costs and expenses in connection with obtaining the JPM Credit Facility. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the JPM Credit Facility for the three months ended March 31, 2017 were as follows (in thousands):


	Three Months Ended March 31, 2017
Stated interest expense	$	1,509
Unused commitment fees		187
Amortization of deferred financing costs		108

Total interest expense	$	1,804

Weighted average interest rate		4.12	%
Average borrowings	$	150,878

2014 Senior Secured Term Loan

The Company is party to a senior secured term loan credit facility (the “2014 Senior Secured Term Loan”) with certain lenders and JPMorgan Chase Bank, N.A., as administrative agent. The 2014 Senior Secured Term Loan initially provided the Company with $398 million in gross proceeds. The 2014 Senior Secured Term Loan matures in May 2019, and generally bears interest at LIBOR plus 3.25% (with a LIBOR floor of 0.75%). The 2014 Senior Secured Term Loan includes an accordion feature permitting the Company to expand the facility if certain conditions are satisfied; provided, however, that the aggregate amount of the 2014 Senior Secured Term Loan is limited to the amount as determined from time to time which would not cause the covered debt amount (i.e., the Company’s aggregate debt under both the 2014 Senior Secured Term Loan and the Senior Secured Revolving Credit Facility, other permitted debt and certain other unsecured debt) to exceed the borrowing/collateral base. The 2014 Senior Secured Term Loan is secured by substantially all of the Company’s portfolio investments and its cash and securities accounts, excluding those held by CCT Funding, Paris Funding, Halifax Funding, CCT Tokyo Funding and CCT SE.

10.

Borrowings (continued)

Maturities of the 2014 Senior Secured Term Loan for the remainder of 2017 and each of the next three years, in aggregate, as of March 31, 2017 were as follows (in thousands):


2017	$	3,000
2018		4,000
2019		381,000

	$	388,000

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the 2014 Senior Secured Term Loan for the three months ended March 31, 2017 and 2016 were as follows (in thousands):


	Three Months Ended March 31,
	2017			2016
Stated interest expense	$	4,138		$	3,974
Accretion of original issue discount		99			98
Amortization of deferred financing costs		282			277

Total interest expense	$	4,519		$	4,349

Weighted average interest rate		4.50	%		4.3	%
Average borrowings	$	388,989		$	392,989

In connection with each of the credit facilities and 2014 Senior Secured Term Loan, the Company has made customary representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. As of March 31, 2017 and December 31, 2016, the Company believes it was in compliance with the covenant requirements for all of its credit facilities and 2014 Senior Secured Term Loan.

CS Facility

On June 30, 2016, the Company entered into a debt financing arrangement with Credit Suisse Securities (Europe) Limited (“CS”). The Company elected to structure the financing in the manner described more fully below in order to, among other things, obtain such financing at a lower cost than would be available through alternate arrangements.

On June 30, 2016, the Company purchased a portion of a Tranche B term loan issued by LSF IX Java Investments, Ltd (the “Tranche B Loan”) with a par value of €56.41 million from Credit Suisse AG. The company financed a portion of the purchase by entering into a repurchase transaction with CS effective as of June 30, 2016 (the “CS Facility”). Under the terms of the CS Facility, CS purchased the Tranche B Loan from the Company for a purchase price of €22.28 million. The Company will, on a monthly basis, repurchase the Tranche B Loan from CS and subsequently resell the Tranche B Loan to CS. The final repurchase transaction must occur no later than June 29, 2017. The repurchase price paid to CS for each repurchase of the Tranche B Loan will be equal to the purchase price paid by CS for the Tranche B Loan plus interest thereon accrued at EURIBOR plus a spread of 0.75% for the term of the first repurchase transaction and 1.50% for each subsequent repurchase transaction. The company recorded interest expense of $0.09 million for the CS Facility for the three months ended March 31, 2017.

The CS Facility is secured by substantially all of the Company’s portfolio investments.

11.

Commitments and Contingencies

Unfunded commitments to provide funds to portfolio companies are not recorded in the Company’s condensed consolidated statements of assets and liabilities. Since these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. The Company has sufficient liquidity to fund these commitments. As of March 31, 2017, the Company’s unfunded commitments consisted of the following (in thousands):


Category / Company ⁽¹⁾
Unfunded revolvers/delayed draw loan commitments:
A10 Capital, LLC	$	5,029
BeyondTrust Software, Inc.		1,090
Dentix Health Corporation, S.L.U.		9,473
Safety Technology Holdings, Inc.		253
Sears Canada Inc		29,167
Smile Brands, Inc.		3,589
SouthernCarlson		4,975
SquareTwo Financial Corp.		2,704

Total unfunded revolvers/delayed draw loan commitments	$	56,280

Unfunded term loan commitments:
KeyPoint Government Solutions, Inc.	$	36,462
NBG Acquisition Inc.		34,205
Pacific Union Financial, LLC		14,342

Total unfunded term loan commitments	$	85,009


Unfunded equity commitments:
Central Park Leasing SARL	$	1,292
GA Capital Specialty Lending Fund		29,175
KKR BPT Holdings Aggregator, LLC		8,000
NBG Acquisition Inc.		2,565
Orchard Marine, Ltd.		737
Polyconcept North America Holdings, Inc.		1,211
Star Mountain SMB Multi-Manager Credit Platform, LP		26,816
Toorak Capital		16,808

Total unfunded equity commitments	$	86,604

⁽¹⁾	May be commitments to one or more entities affiliated with the named company.

As of March 31, 2017, the Company also has an unfunded commitment to provide $345.10 million of capital to SCJV. The capital commitment can be satisfied with contributions of cash and/or investments. The capital commitments cannot be drawn without an affirmative vote by both the Company’s and Conway’s representatives on SCJV’s board of managers.

As of March 31, 2017, the Company’s unfunded debt commitments have a fair value of $(0.70) million. The Company funds its equity investments as it receives funding notices from the portfolio companies. As of March 31, 2017, the Company’s unfunded equity commitments have a fair value of zero.

In the normal course of business, the Company may enter into guarantees on behalf of portfolio companies. Under such arrangements, the Company would be required to make payments to third parties if the portfolio companies were to default on their related payment obligations. The Company has no such guarantees outstanding at March 31, 2017 and December 31, 2016.

12. Income Taxes

The Company is subject to Federal, State, foreign income, and foreign withholding taxes. For the three months ended March 31, 2017 and 2016, the Company recorded tax expense of $0.81 million and $0.34 million, respectively, and had an effective tax expense rate of 0.95% and 0.98%, respectively.

As of March 31, 2017 and December 31, 2016, the Company had a net deferred tax liability of $2.45 million and $1.99 million, respectively, which was primarily comprised of basis differences in liabilities, net operating losses, unrealized depreciation in investments, and valuation allowances of $0.87 million and $1.17 million, respectively.

13.

Financial Highlights

The following is a schedule of financial highlights for one share of common stock during the three months ended March 31 2017 and 2016.


	Three Months Ended March 31,
	2017			2016
OPERATING PERFORMANCE PER SHARE
Net asset value, beginning of Period	$	8.93		$	8.93

Net investment income⁽¹⁾		0.17			0.17
Net realized and unrealized gain (loss)⁽¹⁾⁽²⁾		0.10			(0.29	)

Net increase (decrease) resulting from investment operations		0.27			(0.12	)


Distributions from net investment income⁽³⁾		(0.17	)		(0.17	)
Distributions from realized gains⁽³⁾		(0.03	)		—
Distributions in excess of net investment income⁽³⁾⁽⁴⁾		—			(0.03	)

Net increase (decrease) resulting from distributions to common shareholders		(0.20	)		(0.20	)


Issuance of common stock above net asset value⁽⁵⁾		—			0.01

Net increase resulting from capital share transactions		—			0.01

Net asset value, end of period	$	9.00		$	8.62


OPERATING PERFORMANCE PER SHARE
Total investment return-net price⁽⁶⁾		1.4	%		(2.0	)%
Total investment return-net asset value⁽⁷⁾		3.0	%		(1.3	)%

RATIOS/SUPPLEMENTAL DATA (all amounts in thousands except ratios)
Net assets, end of period	$	2,779,244		$	2,614,515
Average net assets⁽⁸⁾	$	2,788,271		$	2,596,283
Average borrowings⁽⁸⁾	$	1,507,012		$	1,331,774
Shares outstanding, end of period		308,732			303,454
Weighted average shares outstanding		309,349			298,079

Ratios to Average Net Assets:⁽⁸⁾
Total operating expenses		1.45	%		1.44	%
Net investment income		1.88	%		1.98	%
Portfolio turnover rate		6	%		4	%
Asset coverage ratio⁽⁹⁾		2.80			2.79

⁽¹⁾	The per share data was derived by using the weighted average shares outstanding during the period.

⁽²⁾

The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a share outstanding throughout the year may not agree with the change in the aggregate gains and losses in portfolio securities for the year because of the timing of sales of the Company’s shares in relation to fluctuating market values for the portfolio.

⁽³⁾	The per share data for distributions is the actual amount of distributions paid or payable per share of common stock outstanding during the entire period; distributions per share are rounded to the nearest $0.01.

⁽⁴⁾	See Note 8. “Distributions” for further information on the source of distributions from other than net investment income and realized gains.

⁽⁵⁾

The continuous issuance of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date times (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding at the end of the period.

⁽⁶⁾

Total investment return-net price is a measure of total return for shareholders who purchased the Company’s common stock at the beginning of the period, including distributions declared during the period. Total investment return-net price is based on (i) the purchase of one share at the public offering price, net of sales load, on the first day of the period, (ii) the sale at the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) distributions payable relating to one share, if any, on the last day of the period. The total investment return-net price calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then current public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Company’s shares, the terminal sales price per share is assumed to be equal to the net asset value per share on the last day of the period presented. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s shares of common stock. Total investment return is not annualized.

13.

Financial Highlights (continued)

⁽⁷⁾

Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including distributions declared during the period. Total investment return-net asset value is based on (i) net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) distributions payable relating to one share, if any, on the last day of the period. The total investment return-net asset value calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then current public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Company’s shares, terminal market value per share is assumed to be equal to net asset value per share on the last day of the period presented. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s shares of common stock. Total investment return is not annualized.

⁽⁸⁾	The computation of average net assets and average borrowings during the period is based on the daily value of net assets and borrowing balances, respectively.

⁽⁹⁾

Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) debt outstanding at the end of the period, divided by (ii) total debt outstanding at the end of the period. For purposes of the asset coverage ratio test applicable to the Company as a business development company, the Company regards the TRS total notional amount at the end of the period, less the total amount of cash collateral posted by Halifax Funding under the TRS, as a senior security. These data are presented in Note 4. “Derivative Instruments” of the condensed consolidated financial statements. Ratios are not annualized.

14.

Subsequent Events

On April 3, 2017, the Company’s board of directors (the “Board”) unanimously approved a number of steps in connection with the commencement of plans to pursue a potential listing of the Company’s shares of common stock on a national securities exchange (the “Listing”). The Company currently expects that the potential Listing could occur within the next 12 months or such earlier or later time as the Board may determine, taking into consideration market conditions and other factors. However, there can be no assurance that the Company will be able to complete the potential Listing within this timeframe or at all. The Company expects to disclose further details about its plans for the potential Listing during the next 12 months. The Board also unanimously approved a new investment advisory agreement (the “Proposed Advisory Agreement”) with KKR.

In connection with the potential Listing, the Board also approved a new investment advisory agreement (the “Proposed Advisory Agreement”) with KKR, which will become effective following the satisfaction of certain conditions, including the Listing and stockholder approval of the Proposed Advisory Agreement as described below. Concurrent with the Listing, KKR will acquire certain of CNL’s assets primarily used in its current role as investment advisor to the Company, and in connection with that transaction, CNL and KKR agreed to recommend to the Board that KKR become the sole investment advisor, effective upon the Listing and stockholder approval of the Proposed Advisory Agreement. Additionally, a special advisory committee will be created following the Listing for Board consultation to which a CNL representative will be appointed. The Company expects to disclose further details about the Proposed Advisory Agreement over the next few months.

On April 19, 2017, the Company filed a tender offer statement with the SEC on Schedule TO. The Company offered to repurchase up to 7,682,237 shares of common stock at a cash price of $9.02 per share. The tender offer will expire on May 22, 2017 at 5:00 pm central time.

On April 26, 2017, the Company’s board of directors declared distributions of $0.015483 per share five record dates beginning on May 2, 2017 through and including May 30, 2017.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following discussion is based on the unaudited condensed consolidated financial statements as of March 31, 2017 and December 31, 2016, and for the three months ended March 31, 2017 and 2015. Amounts as of December 31, 2016 included in the unaudited condensed consolidated financial statements have been derived from the audited consolidated financial statements as of that date. This information should be read in conjunction with the accompanying unaudited condensed consolidated financial statements and the notes thereto, as well as the audited consolidated financial statements, notes and management’s discussion and analysis of financial condition and results of operations included in our Annual Report on Form 10-K for the year ended December 31, 2016. Capitalized terms used in this Item 2 have the same meaning as in the accompanying unaudited condensed consolidated financial statements in Item 1 unless otherwise defined herein.

Statement Regarding Forward-Looking Information

The following information contains statements that constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). These statements generally are characterized by the use of terms such as “may,” “should,” “plan,” “anticipate,” “estimate,” “intend,” “predict,” “believe” and “expect” or the negative of these terms or other comparable terminology. Although we believe that the expectations reflected in such forward-looking statements are based upon reasonable assumptions, our actual results could differ materially from those set forth in the forward-looking statements. Some factors that might cause such a difference include the following: persistent economic weakness at the global or national level, increased direct competition, changes in government regulations or accounting rules, changes in local, national and global capital market conditions, our ability to obtain or maintain credit lines or credit facilities on satisfactory terms, changes in interest rates, availability of proceeds from our offering of shares, our ability to identify suitable investments, our ability to close on identified investments, our ability to maintain our qualification as a regulated investment company and as a business development company, the ability of our Advisors (defined below) and their affiliates to attract and retain highly talented professionals, inaccuracies of our accounting estimates, the ability of our Advisors to locate suitable borrowers for our loans and the ability of such borrowers to make payments under their respective loans. Given these uncertainties, we caution you not to place undue reliance on such statements, which apply only as of the date hereof. We undertake no obligation to publicly release the results of any revisions to these forward-looking statements that may be made to reflect future events or circumstances or to reflect the occurrence of unanticipated events. The forward-looking statements should be read in light of the risk factors identified in the “Risk Factors” section of our Annual Report on Form 10-K filing for the year ended December 31, 2016 and Item 1A in Part II of this Quarterly Report.

The forward-looking statements and projections contained in this report are excluded from the safe harbor protection provided by Section 27A of the Securities Act and Section 21E of the Exchange Act.

Overview

We are a non-diversified closed-end management investment company that has elected to be treated as a business development company under the 1940 Act. Formed as a Maryland corporation on June 9, 2010, we are externally managed by CNL Fund Advisors Company (“CNL”) and KKR Credit Advisors (US) LLC (“KKR”), collectively, the “Advisors,” which are responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments, determining the securities and other assets that we will purchase, retain or sell, and monitoring our portfolio on an ongoing basis. Both Advisors are registered as investment advisers with the Securities and Exchange Commission (the “SEC”). CNL also provides the administrative services necessary for us to operate.

Investment Objective, Investment Program and Primary Investment Types

Our investment objective is to provide our shareholders with current income and, to a lesser extent, long-term capital appreciation. We pursue our investment objective by investing primarily in the debt of privately owned and thinly traded U.S. companies (also referred to as “portfolio companies”) with a focus on originated transactions sourced through the networks of our Advisors. We define originated transactions as any negotiated investment where we, through our Advisors’ direct efforts, provide funds directly to a portfolio company. We also have the ability, as granted through our SEC Exemptive Order, to co-invest in privately negotiated transactions alongside other investment funds managed by or affiliated with KKR (the “Co-Investment Transactions”). We anticipate that a substantial portion of our investment portfolio will consist of senior and subordinated debt, which we believe offer potential opportunities for superior risk-adjusted returns and income generation. Our debt investments may take the form of corporate loans or bonds, may be secured or unsecured and may, in some cases, be accompanied by warrants, options or other forms of equity participation. We may separately purchase common or preferred equity interests in transactions. We may also invest in structured products, such as collateralized loan obligations, and loan participations and assignments.

As of March 31, 2017, our investment program consisted of two main components. First, since the inception of our investment activities, we have been engaged in the direct purchase of debt and equity securities, primarily issued by portfolio companies, through both secondary market and direct lending transactions. We refer to this investment program component as our “Investment Portfolio” in this report. Second, beginning in November 2012, we supplemented our economic exposure to portfolio companies by entering into total return swap arrangements (the “TRS”) with a commercial bank counterparty and directing the creation of a portfolio of debt investments that serve as reference assets under the TRS. We refer to this investment program component as our portfolio of TRS assets or our “TRS Portfolio” in this report. In the case of our TRS Portfolio, we receive all (i) realized income and fees and (ii) realized capital gains generated by the TRS assets. In return, we must pay quarterly to the TRS counterparty a payment consisting of (i) realized capital losses generated by the TRS assets and (ii) financing costs that are based on (a) a floating financing rate and (b) the settled notional amount of TRS assets.

References in this report to the term “settled notional amount” in association with the TRS mean the aggregate cost of the TRS assets underlying the TRS that are settled and owned by the counterparty. In addition, this aggregate cost serves as the basis for our payments of financing charges to the counterparty under the TRS. References to the term “total notional amount” mean the settled notional amount plus the effect of the purchase and sale cost of all TRS assets where trade settlement is pending. We will receive additional economic benefit if the value of the underlying TRS asset appreciates relative to the total notional amount through the final settlement date following termination of the agreement. Conversely, we will be required to pay the counterparty the amount, if any, by which the value of the underlying TRS asset declines relative to the total notional amount through such final settlement date. We do not own, or have physical custody of, the TRS assets and the TRS assets are not direct investments by us. Our subsidiary is required to post collateral with a custodian of at least 33.3% of the notional amount of each TRS asset and may be required to post additional collateral in the event the value of the TRS assets decreases below a specified amount.

Our investment strategy is focused on creating and growing an Investment Portfolio that generates superior risk-adjusted returns by carefully selecting investments through rigorous due diligence and actively managing and monitoring our Investment Portfolio. When evaluating an investment and the related portfolio company, we use the resources of our Advisors to develop an investment thesis and a proprietary view of a potential portfolio company’s intrinsic value. We believe our flexible approach to investing allows us to take advantage of opportunities that offer favorable risk/reward characteristics.

We primarily focus on the following investment types:

•

Senior Debt. We invest in senior debt, in which we generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. These investments generally take the form of senior secured first lien loans, senior secured second lien loans or senior secured bonds. In some circumstances, our lien could be subordinated to claims of other creditors.

•

Subordinated Debt. Our subordinated debt investments are generally subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the life of the security, with the principal due at maturity.

•

Structured Products. We also invest in structured products, which may include collateralized debt obligations (“CDOs”), collateralized bond obligations (“CBOs”), collateralized loan obligations (“CLOs”), structured notes and credit-linked notes. The issuers of such investment products may be structured as trusts or other types of pooled investment vehicles. Such products may also involve the deposit with or purchase by an entity of the underlying investments and the issuance by that entity of one or more classes of securities backed by, or representing interests in, the underlying investments or referencing an indicator related to such investments.

•

Equity Investments. We also make selected equity investments. In addition, when we invest in senior and subordinated debt, we may acquire warrants or options to purchase equity securities or benefit from other types of equity participation. Our goal is ultimately to dispose of these equity interests and realize gains upon our disposition of such interests.

We and Conway Capital, LLC (“Conway”), an affiliate of Guggenheim Life and Annuity Company and Delaware Life Insurance Company, also co-invest through an unconsolidated, limited liability company, Strategic Credit Opportunities Partners (“SCJV”). SCJV was formed in May 2016 to invest its capital in a range of investments, including senior secured loans (both first lien and second lien) to middle market companies, broadly syndicated loans, equity, warrants and other investments. We and Conway each have 50% voting control of SCJV and together will agree on all investment decisions as well as all other significant actions for SCJV. As of December 31, 2016, SCJV had total capital commitments of $500 million, $437.50 million of which was from us and the remaining $62.50 million from Conway. As of March 31, 2017, we had funded approximately $92.40 million of our commitment. Additionally, SCJV had $165 million of borrowing capacity through a revolving credit facility with Bank of America Merrill Lynch (“BAML Credit Facility”) with a stated maturity date of August 15, 2018. As of March 31, 2017, our investment in SCJV was approximately $98.27 million at fair value. We do not consolidate SCJV in our consolidated financial statements.

The level of our investment activity can and does vary substantially from period to period depending on many factors, including: the demand for debt from creditworthy privately owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance transactions, the general economic environment, the competitive investment environment for the types of investments we currently seek and intend to seek in the future, the amount of capital we may borrow and the amount of equity capital proceeds from our Follow-On Offering through the registered investment advisor channel.

As a business development company, we are required to comply with certain regulatory requirements. For instance, we may not acquire any assets other than “qualifying assets” as specified in the 1940 Act unless, at the time the acquisition is made, at least 70% of our total assets are qualifying assets as determined at the end of the prior quarter (with certain limited exceptions). Qualifying assets include investments in “eligible portfolio companies.” Under the relevant SEC rules, the term “eligible portfolio company” includes all private companies, companies whose securities are not listed on a national securities exchange and certain public companies that have listed their securities on a national securities exchange and have a market capitalization of less than $250 million. These rules also permit us to include as qualifying assets certain follow-on investments in companies that were eligible portfolio companies at the time of our initial investment but no longer meet the definition of eligible portfolio company at the time of the follow-on investment.

Revenues

We generate revenues primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have an expected maturity of three to ten years, although we have no lower or upper constraint on maturity, and typically earn interest at fixed or floating rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. Some of our investments in debt securities contain payment-in-kind (“PIK”) interest provisions. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of dividends from equity investments, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance. While the TRS assets also generate interest income and fees, such amounts, net of the financing expenses, are recognized as (i) realized gains pursuant to generally accepted accounting principles (“GAAP”) when payable to us quarterly and (ii) unrealized gains for any accrued but unpaid amounts.

Operating Expenses

Our primary operating expenses include an investment advisory fee and, depending on our operating results, performance-based incentive fees, interest expense, administrative expenses, custodian and accounting fees, other third-party professional services and expenses and amortization of deferred offering expenses. The investment advisory fee and performance-based incentive fees compensate the Advisors for their services in identifying, evaluating, negotiating, closing and monitoring our investments.

Financial and Operating Highlights

The following table presents financial and operating highlights as of March 31, 2017 and December 31, 2016, and for the three months ended March 31, 2017 and 2016:


	March 31,			December 31,
As of *(in thousands, except ratios and per share amounts)*	2017			2016
Total assets	$	4,206,689		$	4,430,696
Adjusted total assets (Total assets, net of payable for investments purchased)	$	4,204,240		$	4,408,491
Investments in portfolio companies	$	3,933,527		$	4,025,287
Borrowings	$	1,410,269		$	1,631,454
Deemed borrowings (TRS implied leverage classified as senior securities)	$	132,246		$	163,689
Net assets	$	2,779,244		$	2,759,332
Net asset value per share	$	9.00		$	8.93
Leverage ratio (Borrowings + Deemed borrowings)/Adjusted total assets)		37	%		41	%

Activity for the Three Months Ended	March 31,
*(in thousands, except per share amounts)*	2017			2016
Average net assets	$	2,788,271		$	2,596,283
Average borrowings under credit facilities and term loan	$	1,507,012		$	1,331,774
Purchases of investments	$	254,878		$	131,229
Sales, principal payments and other exits	$	388,643		$	192,065
Net investment income	$	52,543		$	51,335
Net realized gains on investments, derivative instruments and foreign currency transactions	$	17,988		$	310
Net change in unrealized depreciation on investments, derivative instruments and foreign currency translation	$	14,189		$	(86,930	)
Net increase (decrease) in net assets resulting from operations	$	84,720		$	(35,285	)
Total distributions declared	$	62,259		$	59,940
Net investment income per share	$	0.17		$	0.17
Earnings (losses) per share	$	0.27		$	(0.12	)
Distributions declared per share outstanding for the entire period	$	0.20		$	0.20

Summary of Common Stock Offerings for the Three Months Ended	March 31,
*(in thousands, except share and per share amounts)*	2017			2016
Gross proceeds, excluding reinvestment of distributions	$	—		$	110,985
Net proceeds to Company, excluding reinvestment of distributions	$	—		$	101,336
Reinvestment of distributions	$	30,820		$	30,679
Average net proceeds per share	$	9.07		$	8.89
Shares issued in connection with Offerings, excluding reinvestment of distributions		—			11,392,899
Shares issued in connection with reinvestment of distributions		3,397,965			3,457,351

Business Environment

The opportunity set in credit is still dominated by the search for yield as central banks in Japan, Europe and the UK continue their asset purchase programs. Total net issuance by the G4 central banks continues to be negative. This glut of capital is resulting in significant inflows into sub-investment grade credit from investors seeking higher spreads as investment grade and highly rated sub-investment grade credit trade at close-to-historically tight levels.

Despite the influx of capital, the propensity for market volatility in traded credit remains high. We believe this is being caused by the growth of mutual funds and other vehicles offering daily liquidity to investors. These offerings are being made despite overall market liquidity remaining fragile due to low levels of inventory at investment bank dealing desks. In effect, there is a mismatch between the liquidity of debt investments and demand for investment vehicles with daily liquidity. This market dynamic is resulting in traded credit prices being determined more by market sentiment (i.e. inflows and outflows of daily liquidity funds) than by credit quality.

We have also noted that current high yield bonds spreads are trading between 20% and 35% tighter than long term median spread levels for securities with a duration of between three and six years. We believe duration risk is largely being discounted by investors in favor of higher yields.

In this environment, we believe attractive risk-adjusted returns are available from investments that are (i) isolated from the spread compression in traded markets (i.e. originated credit); (ii) accessible through a vehicle that is immune from pressure to sell assets as market sentiment changes (i.e. closed-end); and (iii) predominantly floating rate. Against this backdrop, we believe that the

Company meets these three criteria and is well placed to generate attractive returns for investors. In addition, we believe the Company is well-placed to benefit from the attractive illiquidity premium available to investors that can source and underwrite credit opportunities that cannot (or will not) seek access to broadly syndicated markets.

Portfolio and Investment Activity

Portfolio Investment Activity for the Three Months ended March 31, 2017 and 2016

The following table summarizes our investment activity as of March 31, 2017 and December 31, 2016 and for the three months ended March 31, 2017 and 2016, excluding our short term investments:


	Investment Activity Summary as of *($ in thousands)*
	March 31, 2017						December 31, 2016
	Investment Portfolio			TRS Portfolio			Investment Portfolio			TRS Portfolio
Total fair value	$	3,933,527		$	238,415		$	4,025,287		$	258,299
No. portfolio companies		114			41			129			43
No. debt investments		125			46			141			47
No. structured product investments		7			—			7			—
No. equity/other investments		42			—			42			—

	Investment Portfolio Activity Summary *($ in thousands)*						TRS Portfolio Activity Summary *($ in thousands)*
	Three Months Ended March 31,						Three Months Ended March 31,
	2017			2016			2017			2016
Purchases of investments:
Senior secured loans – first lien	$	186,513		$	55,608		$	12,336		$	1,402
Senior secured loans – second lien		24,102			4,116			748			—
Senior secured bonds		2,319			250			—			—
Subordinated debt		5,794			53,425			—			9,500
Equity/other		36,150			17,830			—			—

Total	$	254,878		$	131,229		$	13,084		$	10,902

Sales, principal payments and other exits:
Senior secured loans – first lien	$	134,066		$	75,738		$	34,039		$	7,084
Senior secured loans – second lien		35,103			62,559			—			4,000
Senior secured bonds		46,858			3,618			—			—
Subordinated debt		154,488			27,929			36			—
Structured products		2,149			1,142			—			—
Equity/other		15,979			21,079			—			—

Total	$	388,643		$	192,065		$	34,075		$	11,084

Portfolio Company Additions		7			8			2			1
Portfolio Company Exits		(22	)		(5	)		(4	)		(3	)
Debt Investment Additions		13			15			9			1
Debt Investment Exits		(29	)		(15	)		(10	)		(3	)

While the Investment Portfolio and the TRS Portfolio are accounted for and presented as two distinct portfolios, the two portfolios had 13 and 17 debt investment positions and 19 and 24 portfolio companies in common, as of March 31, 2017 and December 31, 2016, respectively. The changes in the fair value of our Investment Portfolio and our TRS Portfolio are directly related to (i) the changes in their cost basis and notional amounts, respectively, as a result of incremental purchases, sales and principal payments as described in the table above, and (ii) the changes in fair value for assets held at the beginning and end of the period. The net change in unrealized appreciation (depreciation) for the three months ended March 31, 2017 and 2016 were $19.20 million and ($51.11) million, respectively, for our Investment Portfolio, and $1.56 million and $0.85 million, respectively, for our TRS Portfolio. See “Results of Operations – Net Change in Unrealized Appreciation or Depreciation” below for further details relating to the changes.

As discussed above under “— Overview,” since receiving our SEC Exemptive Order, we have increased our focus on originated investments, including Co-Investment Transactions, as a main element of our investment strategy. Co-Investment Transactions give us the opportunity to participate in those investments alongside KKR’s institutional clients and proprietary funds. Our total origination activity in Co-Investment Transactions, at par, plus future expected fundings related to such investments, totaled approximately $205.07 million and $36.39 million for the three months ended March 31, 2017 and 2016, respectively, representing 48.0% and 37.2% of approximately $427.48 million and $97.74 million in total originations by KKR in Co-Investment Transactions for each respective period.

The following summarizes our investment activity associated with our investment focus on new originated debt investments during the three months ended March 31, 2017 and 2016 and the status of originated investments held in the Investment Portfolio as of March 31, 2017 and December 31, 2016:


	March 31,
Originated Investment Activity for the Three Months Ended *($ in thousands)*	2017			2016
Number of originated investments, by issuer		5			3
Total amount of originated investments, at cost ⁽¹⁾	$	220,741		$	72,658
Originated investments as a percentage of total investment activity		86.6	%		55.4	%
Fee income recognized in connection with originated investments	$	1,716		$	25

Originated Investments Summary as of *($ in thousands)*	March 31, 2017			December 31, 2016
Total originated investments, at fair value	$	2,842,580		$	2,778,713
Total originated investments as a percentage of total Investment Portfolio, at fair value		72.7	%		69.0	%
Weighted average annual yield of originated debt investments ⁽²⁾⁽³⁾		10.2	%		10.0	%

⁽¹⁾	The total amount of originated investments, at cost, includes new issuers during the reporting periods and any follow-on originated investments from existing issuers.

⁽²⁾

The weighted average annual yield on debt investments is based on amortized cost as of the end of the applicable period. The weighted average annual yield for our debt investments is computed as (i) the sum of (a) the annual interest rate of each accruing debt investment multiplied by its par amount as of the end of the applicable reporting period, plus (b) the annual amortization of the purchase or original issue discount or premium of accruing each debt investment, if any; divided by (ii) the total amortized cost of all accruing debt investments included in the calculated group as of the end of the applicable reporting period.

⁽³⁾

The weighted average annual yield of originated debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total investment return – net price and total investment return – net asset value were 1.4% and 3.0%, respectively, for the three months ended March 31, 2017. See Note 13. “Financial Highlights” in our unaudited condensed consolidated financial statements for information on how such returns were calculated.

The following information presents additional analysis of our Investment Portfolio and TRS Portfolio as of March 31, 2017 and December 31, 2016, excluding our short-term investments. Our investment program is not managed with any specific asset category target goals. The primary investment type concentrations include (i) senior debt, and (ii) subordinated debt securities.


	Investment Portfolio as of *(in thousands)*
	March 31, 2017				December 31, 2016
Asset Category	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Senior debt
Senior secured loans - first lien	$	1,699,245	$	1,618,790	$	1,641,759	$	1,547,100
Senior secured loans - second lien		1,121,365		1,071,234		1,131,035		1,074,183
Senior secured bonds		134,496		84,341		177,826		134,786

Total senior debt		2,955,106		2,774,365		2,950,620		2,756,069
Subordinated debt		549,329		509,056		683,640		642,427
Structured products		225,505		210,111		226,807		210,871
Equity/Other ⁽¹⁾		486,018		439,995		465,850		415,920

Total	$	4,215,958	$	3,933,527	$	4,326,917	$	4,025,287

⁽¹⁾	Includes our investment in Strategic Credit Opportunities Partners, LLC.


	TRS Portfolio as of *(in thousands)*
	March 31, 2017				December 31, 2016
Asset Category	Notional Amount		Fair Value		Notional Amount		Fair Value
Senior debt
Senior secured loans - first lien	$	180,273	$	178,827	$	202,506	$	200,326
Senior secured loans - second lien		29,957		30,051		29,957		30,026
Senior secured bonds		16,549		17,099		15,724		15,632

Total senior debt		226,779		225,977		248,187		245,984
Subordinated debt		10,467		12,438		10,502		12,315

Total	$	237,246	$	238,415	$	258,689	$	258,299

The weighted average yield on debt investments at amortized cost and fair value held in our Investment Portfolio as of March 31, 2017 and December 31, 2016 were as follows:


	March 31, 2017						December 31, 2016
Asset Category	Investment Portfolio at Amortized Cost			TRS Portfolio at Notional Amount			Investment Portfolio at Amortized Cost			TRS Portfolio at Notional Amount
Senior debt ⁽¹⁾⁽²⁾
Senior secured loans - first lien		9.4	%		6.7	%		9.2	%		7.9	%
Senior secured loans - second lien		10.4	%		9.5	%		10.0	%		9.8	%
Senior secured bonds		10.4	%		10.0	%		10.5	%		12.3	%
Subordinated debt ⁽¹⁾⁽²⁾		10.8	%		11.3	%		10.5	%		10.9	%
Structured products ⁽¹⁾⁽²⁾		10.5	%		—	%		10.6	%		—	%

⁽¹⁾

The weighted average yield on debt investments is based on amortized cost as of the end of the applicable period. The weighted average yield for our debt investments is computed as, (i) the sum of (a) the annual interest rate of each accruing debt investment multiplied by its par amount as of the end of the applicable reporting period, plus (b) the annual amortization of the purchase or original issue discount or premium of each accruing debt investment, if any; divided by (ii) the total amortized cost of all accruing debt investments included in the calculated group as of the end of the applicable reporting period.

⁽²⁾

The weighted average annual yield of originated debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total investment return – net price and total investment return – net asset value were 1.4% and 3.0%, respectively, for the three months ended of March 31, 2017. See Note 13. “Financial Highlights” in our unaudited condensed consolidated financial statements for information on how such returns were calculated.

The following table presents a summary of interest rate and maturity statistics for the debt investments, based on par value, in our Investment Portfolio and the TRS Portfolio as of March 31, 2017 and December 31, 2016:


	Investment Portfolio as of						TRS Portfolio as of
Floating interest rate debt investments:	March 31, 2017			December 31, 2016			March 31, 2017			December 31, 2016
Percent of debt portfolio		81.8	%		77.8	%		88.3	%		89.6	%
Percent of floating rate debt investments with interest rate floors		93.1	%		92.6	%		100.0	%		100.0	%
Weighted average interest rate floor		1.0	%		1.0	%		1.1	%		1.0	%
Weighted average coupon spread to base rate		805 bps			806 bps			529 bps			505 bps
Weighted average years to maturity		4.4			4.5			3.9			3.8

Fixed interest rate debt investments:
Percent of debt portfolio		18.2	%		22.2	%		11.7	%		10.4	%
Weighted average coupon rate		7.0	%		10.2	%		9.9	%		10.1	%
Weighted average years to maturity		5.2			5.4			5.8			6.2

All of our floating interest rate debt investments have base rate reset frequencies of less than twelve months with the majority resetting at least quarterly. The three-month LIBOR, the most prevalent index employed among our floating interest rate debt investments, ranged between 1.00% and 1.16%, and 0.61% and 0.64% during the three months ended March 31, 2017 and 2016, respectively, and was 1.15% and 1.00% on March 31, 2017 and December 31, 2016, respectively. Base rate resets for floating interest rate investments will only result in interest income increases when the reset base interest rate exceeds the associated interest rate floor.

Our weighted average annual yield on debt investments was 10.0% as of March 31, 2017, compared to 9.7% as of December 31, 2016. The weighted average annual yield on debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total investment return - net price and total investment return – net asset value were 1.4% and 3.0%, respectively, for the three months ended March 31, 2017. See Note 13. “Financial Highlights” in our unaudited condensed consolidated financial statements.

The following table shows the credit ratings of the investments in our Investment Portfolio and TRS Portfolio, based upon the rating scale of Standard & Poor’s Ratings Services, as of March 31, 2017 and December 31, 2016:


	Investment Portfolio as of *(in thousands)*										TRS Portfolio as of *(in thousands)*
	March 31, 2017					December 31, 2016					March 31, 2017					December 31, 2016
Standard & Poor’s rating	Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio
BB	$	—		—	%	$	—		—	%	$	10,356		4.3	%	$	10,360		4.0	%
BB-		90,503		2.3			41,193		1.0			18,153		7.6			17,764		6.9
B+		55,168		1.4			156,336		3.9			58,334		24.5			39,868		15.4
B		137,374		3.5			191,565		4.8			55,128		23.1			103,907		40.2
B-		79,786		2.0			145,753		3.6			28,743		12.1			54,433		21.1
CCC+		597,572		15.2			612,476		15.2			40,574		17.0			20,277		7.8
CCC		138,280		3.5			203,931		5.1			26,431		11.1			11,022		4.3
CCC-		15,522		0.4			17,549		0.4			663		0.3			668		0.3
CC		—		—			4,217		0.1			—		—			—		—
Not rated		2,819,322		71.7			2,652,267		65.9			33		—	⁽¹⁾		—		—

Total	$	3,933,527		100.0	%	$	4,025,287		100.0	%	$	238,415		100.0	%	$	258,299		100.0	%

⁽¹⁾	Amount rounds to less than 0.005.

The table below presents a summary of our debt investment positions held in our Investment Portfolio that feature PIK interest provisions for some or all of the portfolio companies’ interest payment obligations.


PIK Summary as of *($ in thousands)*	March 31, 2017			December 31, 2016

Total number of all investments with PIK feature		16			18
Par value of all investments with PIK feature	$	594,068		$	582,492

Total number of all investments that have active PIK election		15			15
Par value of all investments that have active PIK election	$	537,893		$	534,394
Percent of debt investment portfolio with active PIK election, at par value		14.6	%		14.0	%

Number of originated investments with PIK feature and active PIK election		8			9
Par value of originated investments with PIK feature and active PIK election	$	407,264		$	409,045

	March 31,
PIK Interest Income Activity for the Three Months Ended *(in thousands)*	2017			2016
PIK interest income	$	3,490		$	8,364
PIK interest income as a percentage of interest income and PIK interest income		4.0	%		9.7	%
PIK interest income as a percentage of total investment income		3.8	%		9.4	%

As of March 31, 2017, our Investment Portfolio consisted of 114 portfolio companies, diversified across 21 industry classifications, as compared to our Investment Portfolio as of December 31, 2016 that consisted of 129 portfolio companies, diversified across 21 distinct industry classifications. As of March 31, 2017, the TRS Portfolio consisted of 41 portfolio companies, diversified across 16 distinct industry classifications, as compared to our TRS Portfolio as of December 31, 2016 that consisted of 43 portfolio companies, diversified across 16 distinct industry classifications. The following table presents a summary of our Investment Portfolio and TRS Portfolio arranged by industry classifications of the portfolio companies as of March 31, 2017 and December 31, 2016:


	Investment Portfolio as of *(in thousands)*										TRS Portfolio as of *(in thousands)*
	March 31, 2017					December 31, 2016					March 31, 2017					December 31, 2016
Industry Classification	Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio
Capital Goods	$	836,148		21.3	%	$	853,615		21.2	%	$	11,838		5.0	%	$	15,674		6.1	%
Diversified Financials		473,755		12.0			419,478		10.4			—		—			—		—
Software & Services		300,762		7.6			350,413		8.7			42,982		18.0			59,848		23.2
Materials		294,273		7.5			242,410		6.0			6,517		2.7			7,235		2.8
Retailing		276,913		7.0			318,624		7.9			32,570		13.7			33,698		13.0
Automobiles & Components		247,806		6.3			237,152		5.9			—		—			—		—
Real Estate		236,753		6.0			216,371		5.4			—		—			—		—
Technology Hardware & Equipment		175,358		4.5			178,017		4.4			9,085		3.8			8,087		3.1
Consumer Durables & Apparel		169,425		4.3			167,194		4.2			9,789		4.1			9,786		3.8
Health Care Equipment & Services		138,142		3.5			196,315		4.9			28,644		12.0			27,742		10.7
Energy		138,036		3.5			161,950		4.0			—		—			—		—
Transportation		134,321		3.4			161,398		4.0			24,021		10.1			23,641		9.2
Consumer Services		121,951		3.1			119,313		3.0			19,747		8.3			19,716		7.6
Commercial & Professional Services		83,831		2.1			82,657		2.1			14,375		6.0			14,228		5.5
Food & Beverage & Tobacco		57,620		1.5			57,203		1.4			8,313		3.5			8,081		3.1
Pharmaceuticals, Biotechnology & Life Science		56,456		1.4			56,892		1.4			1,026		0.4			1,027		0.4
Food & Staples Retailing		51,952		1.3			51,970		1.3			9,822		4.1			9,838		3.8
Insurance		46,232		1.2			45,554		1.1			6,086		2.6			6,121		2.4
Media		34,280		0.9			35,229		0.9			12,609		5.3			12,550		4.9
Remaining Industries		59,513		1.6			73,532		1.8			991		0.4			1,027		0.4

Total	$	3,933,527		100.0	%	$	4,025,287		100.0	%	$	238,415		100.0	%	$	258,299		100.0	%

Portfolio Developments

In May 2017, Amtek Global Technology Pte. Ltd. (“Amtek”), one of our portfolio companies in which we have invested a total of $150.92 million as of March 31, 2017, was placed into receivership. As of the date of this filing, our Advisors are evaluating strategic options in order to maximize the recovery of our investment. As a result of a change in valuation methodology due to the change in the status of Amtek, the aggregate fair value of our investments in Amtek has declined by approximately $24 million during the second quarter of 2017.

Strategic Credit Opportunities Partners, LLC

In May 2016, Strategic Credit Opportunities Partners, LLC (“SCJV”), a joint venture between our company and Conway Capital, LLC (“Conway”), an affiliate of Guggenheim Life and Annuity Company and Delaware Life Insurance Company, was formed pursuant to the terms of a limited liability company agreement between our company and Conway. Pursuant to the terms of the agreement, we, along with Conway each have 50% voting control of SCJV and together are required to agree on all investment decisions as well as all other significant actions for SCJV. SCJV was formed to invest its capital in a range of investments, including senior secured loans (both first lien and second lien) to middle market companies, broadly syndicated loans, equity, warrants and other investments. We, along with Conway have agreed to provide capital to SCJV of up to $500 million in the aggregate. We will provide 87.5% and 12.5%, respectively, of the committed capital. As administrative agent of SCJV, we will perform certain day-to-day management responsibilities on behalf of SCJV.

In August 2016, we, along with Conway completed the initial funding of SCJV. As part of the initial funding, we sold investments with a fair value of $247.24 million to SCJV, in exchange for cash and a $92.40 million equity interest in SCJV. We recognized a net realized loss of $0.95 million in connection with the transaction. Conway completed its initial funding of SCJV with a cash contribution of $13.20 million. In December 2016, we sold investments with a fair value of $45.88 million to SCJV. We recognized a net realized gain of $1.03 million in connection with the transaction.

On August 15, 2016, CSCOP SE I LLC (“Borrower SPV”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “Credit Agreement”), with Bank of America Merrill Lynch. The Credit Agreement provides for a revolving credit facility which provides for up to $165.00 million in total commitments to Borrower SPV (the “BAML Credit Facility”), and is secured by substantially all of the assets of Borrower SPV. The stated borrowing rate under the BAML Credit Facility may take the form of either base rate loans or Eurocurrency rate loans and may be converted to either or during the term of the loan by delivering a notice to the Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the Credit Agreement. Base rate loans shall bear interest at a rate per annum equal to the sum of (a) the fluctuating rate per annum equal to the highest of (i) the federal funds rate plus ¹⁄₂ of 1%, (ii) the prime rate set by Bank of America for such day and (iii) the 1-month LIBOR plus (b) 1.85%. Eurocurrency rate loans shall bear interest at the rate per annum equal to the sum of (a) LIBOR (or a comparable or successor rate approved by the Credit Agreement administrative agent) plus (b) 1.85%. Borrower SPV shall also pay a commitment fee for undrawn commitment in the amount between 0.75% to 1.75%. The BAML Credit Facility matures on August 15, 2018. As of March 31, 2017 and December 31, 2016, total outstanding borrowings under the BAML Credit Facility were $143.00 million and $152.00 million, respectively.

As of March 31, 2017 and December 31, 2016, SCJV had total investments with a fair value of $237.89 million and $248.60 million, respectively. As of March 31, 2017 and December 31, 2016, SCJV had no investments on non-accrual status. The investment portfolio and SCJV’s portfolio had eight and 17 debt investment positions and 12 and 22 portfolio companies in common as of March 31, 2017 and December 31, 2016, respectively.

See Note 3. “Investments” in our unaudited condensed consolidated financial statements for more details on SCJV’s portfolio and summary balance sheet information as of March 31, 2017 and December 31, 2016, and summary statement of operations information for the three months ended March 31, 2017.

Capital Resources and Liquidity

Sources and Uses of Capital

Our capital resources and liquidity are derived primarily from (i) cash flows from operations, including investment sales and repayments, (ii) our distribution reinvestment plan, and (iii) borrowings. Our primary uses of funds include (i) investments in debt of portfolio companies, (ii) distributions to our shareholders, (iii) advisory fees, (iv) interest expense and other financing fees, (v) periodic reductions in the outstanding principal amounts on our borrowings, and (vi) operating expenses. We have used, and expect to continue to use, proceeds from the turnover of our Investment Portfolio, and borrowings under our credit facilities to finance our investment activities primarily focused on directly originated investments in portfolio companies. In addition, in January 2015, we filed our Shelf Registration Statement with the SEC that was declared effective on January 16, 2015, under which we may offer, from time to time, up to $750 million of our debt and/or equity securities, on terms to be determined at the time of each such offering.

Liquidity

As of March 31, 2017, we had the following sources of immediate liquidity available to us:


*(in thousands)*	Amount
Cash and Foreign Currency	$	52,477
Short Term Investments		1,502
Credit Facilities-Effective Borrowing Capacity ⁽¹⁾		357,050
Less: Payable for Investments Purchased		(2,449	)

Total	$	408,580

⁽¹⁾	Effective borrowing capacity represents additional amounts that we could borrow from our credit facilities based on collateral in place as of March 31, 2017.

Borrowings-Credit Facilities and Term Loan

Our outstanding borrowings as of March 31, 2017 and December 31, 2016 were as follows:


	As of March 31, 2017								As of December 31, 2016
*(in thousands)*	Total Aggregate Principal Amount Committed		Principal Amount Outstanding			Carrying Value			Total Aggregate Principal Amount Committed		Principal Amount Outstanding		Carrying Value
Senior Secured Revolving Credit Facility ⁽¹⁾⁽²⁾	$	928,000	$	664,000	⁽³⁾	$	664,000		$	928,000	$	799,000	$	799,000
BNP Credit Facility ⁽¹⁾		200,000		50,000			50,000			200,000		183,000		183,000
SMBC Credit Facility ⁽¹⁾		200,000		110,500			110,500			200,000		102,000		102,000
JPM Credit Facility		300,000		174,000			174,000			300,000		135,000		135,000

Total credit facilities		1,628,000		998,500			998,500			1,628,000		1,219,000		1,219,000
2014 Senior Secured Term Loan		388,000		388,000			384,584	⁽³⁾		389,000		389,000		385,203	⁽³⁾
CS Facility ⁽⁴⁾		23,769		23,769			23,769			23,454		23,454		23,454

Total	$	2,039,769	$	1,410,269		$	1,406,853		$	2,040,454	$	1,631,454	$	1,627,657

⁽¹⁾	Subject to borrowing base and leverage restrictions.

⁽²⁾	Senior Secured Revolving Credit Facility includes a provision that allows us, under certain circumstances, to increase the size of the Senior Secured Revolving Credit Facility to a maximum of $1.34 billion.

⁽³⁾	Comprised of outstanding principal less unaccreted original issue discount of $0.89 million and $0.99 million and deferred financing costs of $2.53 million and $2.81 million as of March 31, 2017 and December 31, 2016, respectively.

⁽⁴⁾	Borrowings denominated in Euros.

For the three months ended March 31, 2017 and 2016, our total all-in cost of financing, including fees and expenses, was 3.86% and 3.5%, respectively. We expect to continue to draw on the revolving credit facilities to finance our acquisition of investment positions in portfolio companies. We may further increase our aggregate borrowing capacity in the future beyond the current combined commitment amount of $2.04 billion that is available to us from our existing financing arrangements.

See Note 10. “Borrowings” in our unaudited condensed consolidated financial statements for additional disclosures regarding our borrowings.

Total Return Swaps

In 2012, Halifax Funding LLC (“Halifax Funding”), our wholly owned, special purpose financing subsidiary, entered into a TRS arrangement with The Bank of Nova Scotia (“BNS”).

The obligations of Halifax Funding under the TRS Agreements are non-recourse to us and our exposure under the TRS Agreements is limited to the amount of collateral that is posted by Halifax Funding pursuant to the terms of the TRS Agreements. As of March 31, 2017, the posted collateral of $105 million equaled 44.3% of the total notional amount, as compared to $95 million, or 36.7% of the total notional amount as of December 31, 2016. The minimum required collateral amount (33.3% of the total notional amount, plus additional required collateral due to concentration limits in the TRS Portfolio) was $99 million as of March 31, 2017.

Halifax Funding may terminate the TRS Agreements at any time upon providing at least 30 days’ notice prior to the proposed settlement date of the TRS assets related to such termination. In the absence of early termination, the TRS Agreements will terminate on January 15, 2019. In the event of early termination of the TRS Agreements, Halifax Funding may be required to pay an early termination fee.

See Note 4. “Derivative Instruments” in our unaudited condensed consolidated financial statements for additional disclosures on the TRS.

Commitments and Contingencies

See Note 11. “Commitments and Contingencies” in our unaudited condensed consolidated financial statements for information on our commitments and contingencies as of March 31, 2017.

Distributions to Shareholders

We pay monthly distributions to our shareholders in the form of cash. Shareholders may elect to reinvest their distributions as additional shares of our common stock under our distribution reinvestment plan. Dividends are taxable to our shareholders even if they are reinvested in additional shares of our common stock. The following table reflects the cash distributions per share and the total amount of distributions that we have declared on our common stock during the three months ended March 31, 2017 and 2016:


	Three Months Ended
*(in thousands, except per share amounts)*	Per Share		Amount
March 31, 2017 (13 record dates)	$	0.20	$	62,259
March 31, 2016 (13 record dates)	$	0.20	$	59,940

Approximately 50% of the distributions we declared in each of the three months ended March 31, 2017 and 2016 were reinvested in shares of our common stock by participants in our distribution reinvestment plan and the reinvested distributions represent an additional source of capital to us. Net investment income and realized capital gains represent the primary sources for us to pay distributions. See Note 8. “Distributions” in our unaudited condensed consolidated financial statements for additional disclosures on distributions.

We estimate we had sufficient taxable income to support 100% of our declared distributions for the three months ended March 31, 2017. We do not expect to use equity capital or borrowed funds to pay distributions to shareholders nor do we expect any portion of our distributions paid in 2017 to be treated as a return of capital for tax purposes. We routinely disclose the sources of funds used to pay distributions to our shareholders in periodic reports that accompany (i) quarterly account statements and (ii) monthly distribution checks that are prepared and sent directly by our transfer agent to our shareholders. See Note 8. “Distributions” in our unaudited condensed consolidated financial statements for a discussion of the sources of funds used to pay distributions on a GAAP basis for the periods presented.

Results of Operations

As of March 31, 2017, the fair value of our investments totaled $3.94 billion for our Investment Portfolio and $238.42 million for our TRS Portfolio. The majority of our investments at March 31, 2017 consisted of debt investments. See the section entitled “Portfolio and Investment Activity” above for a discussion of the general terms and characteristics of our investments, and for information regarding investment activities during the three months ended March 31, 2017 and 2016. The growth of our Investment Portfolio was the primary contributing factor to the significant increases in investment income, operating expenses, investment advisory fees, net investment income and net assets between the comparative periods, as discussed below.

The following is a summary of our operating results for the three months ended March 31, 2017 and 2016:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Total investment income	$	92,848		$	88,851
Net operating expense		(40,182	)		(37,516	)
Income tax expense, including excise tax		(123	)		—

Net investment income		52,543			51,335
Net realized gains		17,988			310
Net change in unrealized depreciation		14,189			(86,930	)

Net increase (decrease) in net assets resulting from operations	$	84,720		$	(35,285	)

Investment income

Investment income consisted of the following for the three months March 31, 2017 and 2016:


	Three Months Ended March 31,
*(in thousands)*	2017		2016
Interest income	$	83,735	$	77,594
Payment-in-kind interest income		3,490		8,364

Subtotal		87,225		85,958
Fee income		2,605		665
Dividend and other income		3,018		2,228

Total investment income	$	92,848	$	88,851

The increase in interest income was due primarily to the growth of our portfolio of debt investments. Our average debt investment balance was $3.76 billion and $3.68 billion for the three months ended March 31, 2017 and 2016, respectively, based on par value. Variations in interest income are also partly due to nonrecurring recognition of prepayment penalties and unamortized loan fees, discounts and premiums upon the prepayment of debt investments. We recorded interest income from these sources in the combined amount of $6.44 million and $4.27 million for the three months ended March 31, 2017 and 2016, respectively. For the three months ended March 31, 2017, 4.0% of our total interest income including PIK interest income was attributable to PIK interest income as compared to 9.7% for the same period in 2016. The decrease in PIK interest income during the three months ended March 31, 2017 is primarily due to investments that were sold or repaid and investments that have been placed on non-accrual status. As of March 31, 2017, our weighted average annual yield on our accruing debt investments was 10.0% based on amortized cost, as defined above in “Portfolio and Investment Activity.” As of March 31, 2017, approximately 81.8% of our debt investments had floating rate interest; therefore, changes in interest rates could have a material impact on our interest income in the future. See Item 7A. “Quantitative and Qualitative Disclosures About Market Risk” for further information on the impact interest rate changes could have on our results of operations.

Interest income earned on TRS assets is not included in investment income in the unaudited condensed consolidated statements of operations, but rather is recorded as part of (i) realized gains or losses on derivative instruments in connection with quarterly TRS settlement payments and (ii) unrealized appreciation (depreciation) on derivatives for amounts not yet received from the counterparty as of period end.

Our fee income consists of transaction-based fees and is nonrecurring. The increase in fee income was primarily due to an increase in capital structuring fees earned during the three months ended March 31, 2017 as compared to the same period in 2016. Going forward, we expect to earn additional structuring services fees on Co-Investment Transactions as a result of our persistent focus on direct lending activities. See Note 7. “Fee Income” in our unaudited condensed consolidated financial statements for additional information on fee income.

Operating expenses

Our operating expenses for the three months ended March 31, 2017 and 2016 were as follows:


	Three Months Ended March 31,
*(in thousands)*	2017		2016
Investment advisory fees	$	20,771	$	19,676
Interest expense		14,148		11,467
Performance-based incentive fees		927		2,650
Administrative services		840		846
Professional services		1,046		634
Offering expense		205		812
Custodian and accounting fees		437		414
Director fees and expenses		133		112
Other		1,675		905

Total operating expenses	$	40,182	$	37,516

Investment advisory fees and performance-based incentive fees - Our investment advisory fees are calculated at an annual rate of 2% of our average gross assets; therefore, the increase in these fees for the three months ended March 31, 2017 was primarily attributable to the net increase in our gross assets.

Our Advisors are also eligible to receive incentive fees based on our performance. Our performance-based incentive fees, which are comprised of two parts, consisted of the following for the three months ended March 31, 2017 and 2016:


	Three Months Ended March 31,
*(in thousands)*	2017		2016
Subordinated Incentive fee on income	$	927	$	2,650
Incentive fee on capital gains		—		—

Total performance-based incentive fees	$	927	$	2,650

Subordinated incentive fee on income is payable to our Advisors each calendar quarter if our pre-incentive fee net investment fee income (as defined in the Investment Advisory Agreement and approved by our board of directors) exceeds the 1.75% quarterly preference return to our shareholders (the ratio of pre-incentive fee net investment income divided by average adjusted capital). Effective January 1, 2017, the subordinated incentive fee on income is subject to a total return requirement, which provides generally that no incentive fee will be payable except to the extent that 20.0% of the cumulative net increase in net assets resulting from operations over the then-current and three preceding calendar quarters (or, if four calendar quarters have not passed, then the time period since January 1, 2017) exceeds the cumulative incentive fees accrued and/or paid for the same period. Accordingly, any subordinated incentive fee on income that is payable in a calendar quarter will be limited to the lesser of (i) 20.0% of all of our pre-incentive fee net investment income when our pre-incentive fee net investment income exceeds the applicable quarterly hurdle rate for such calendar quarter, subject to the catch-up provision, and (ii) (x) 20.0% of the cumulative net increase in net assets resulting from operations for the then-current and three preceding calendar quarters minus (y) the cumulative incentive fees accrued and/or paid for the three preceding calendar quarters or period since January 1, 2017, whichever period is shorter. For the foregoing purpose, the “cumulative net increase in net assets resulting from operations” is the sum of our pre-incentive fee net investment income, base management fees, realized gains and losses and unrealized appreciation and depreciation for the then-current and three preceding calendar quarters. There will be no accumulation of amounts on the hurdle rate from quarter to quarter and, accordingly, there will be no clawback of amounts previously paid if subsequent quarters are below the applicable quarterly hurdle rate and there will be no delay of payment if prior quarters are below the applicable quarterly hurdle rate. The total return requirement did not result in a reduction of the amount of incentive fee payable to the advisors for the three months ended March 31, 2017.

The annual incentive fees on capital gains recorded for GAAP purposes is equal to (i) 20% of our realized and unrealized capital gains on a cumulative basis since inception, net of all realized capital losses and unrealized depreciation on a cumulative basis from inception, less (ii) the aggregate amount of any previously paid incentive fees on capital gains. As discussed in Note 6. “Related Party Transactions” in our unaudited condensed consolidated financial statements, the calculation of performance-based incentive fees disregards any net realized and unrealized gains associated with the TRS interest spread. In addition, for financial reporting purposes, in accordance with GAAP, we include unrealized appreciation on our Investment Portfolio and derivative instruments in the calculation of incentive fees on capital gains; however, such amounts are not payable by us unless and until the net unrealized appreciation is actually realized. The actual amount of incentive fees on capital gains that are due and payable to the Advisors is determined at the end of the calendar year.

We did not record any incentive fee on capital gains for the three months ended March 31, 2017 and 2016. As of March 31, 2017, we had unrealized losses of $324.65 million in excess of our cumulative realized net capital gains since inception. The Advisors earned incentive fees on capital gains of $2.32 million during the year ended December 31, 2013, at which time we had cumulative net realized capital gains of $11.61 million in excess of our unrealized losses. Due to the cumulative nature of the incentive fee on capital gains, we will not owe the Advisors any incentive fees on capital gains for future years until such time, if any, that our cumulative realized net capital gains since inception exceed our unrealized losses as of a particular measurement date by more than $11.61 million.

See “—Contractual Obligations —Investment Advisory Agreements,” below for further details about the performance-based incentive fees.

Interest expense - The components of interest expense for the three months ended March 31, 2017 and 2016 were as follows:


	Three Months Ended March 31,
*(in thousands)*	2017		2016
Stated interest expense	$	12,483	$	10,088
Unused commitment fees		554		321
Amortization of deferred financing costs		1,012		960
Accretion of discount on term loan		99		98

Total interest expense	$	14,148	$	11,467

The increase in interest expense during the three months ended March 31, 2017 was primarily attributable to the increase in our weighted average debt outstanding to $1.51 billion, as compared to $1.33 billion during the three months ended March 31, 2016.

Our performance-based incentive fees and interest expense, among other things, may increase or decrease our overall operating expenses and expense ratios relative to comparative periods depending on portfolio performance, an increase or reduction in borrowed funds and borrowing commitments, and changes in benchmark interest rates, such as LIBOR, among other factors.

All other operating expenses – In general, our other operating expenses increased period over period due to increased administrative and professional services associated with our owning a larger portfolio of investments. Our offering expenses are capitalized as deferred offering expenses and then subsequently expensed over a 12-month period. As a result of the closing of our Follow-On Offering in October 2016, we did not record any deferred offering expenses during the three months ended March 31, 2017, as compared to $0.43 million for the same period in 2016. The $0.19 million of deferred offering expenses recorded in the unaudited condensed consolidated statements of assets and liabilities as of March 31, 2017 represents the amount that will be recorded as offering expenses in the consolidated statements of operations during the remainder of the year.

During the three months ended March 31, 2017 and 2016, the ratio of core operating expenses (excluding investment advisory fees, performance-based incentive fees, interest expense and organization and offering expenses, and including net expense support) to average net assets was 0.60% and 0.45%, respectively.

Net realized gain and losses - Net realized gains and losses for the three months ended March 31, 2017 and 2016 were as follows:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net realized gains (losses) on investments	$	15,632		$	(12,149	)
Net realized gains on derivative instruments		2,871			9,269
Net realized gains (losses) on foreign currency transactions		(515	)		3,190

Net realized gains	$	17,988		$	310

As the result of our investment sales and principal payments, as described above in “Portfolio and Investment Activity,” we realized net losses on investments for each of the periods presented. The net realized loss on investments for the three months ended March 31, 2017 consisted of a $15.09 million gain on the disposition of investments and a $0.54 million currency gain on those investments that were denominated in foreign currencies. The net realized loss on investments for the three months ended March 31, 2016 consisted of an $8.91 million gain on the disposition of investments, offset by a $21.06 million currency loss on those investments that were denominated in foreign currencies.

Our net realized gains (losses) on derivative instruments for the three months ended March 31, 2017 and 2016 consisted of the following:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net realized gains (losses) on:
Cross currency swaps	$	283		$	4,144
Foreign currency forward contracts		555			2,134
Interest rate swaps		(487	)		—
TRS		2,520			2,991

	$	2,871		$	9,269

See Note 4. “Derivative Instruments” in our unaudited condensed consolidated financial statements for more information about the components of the realized gain on TRS recorded during each period.

As described in Note 4. “Derivative Instruments” in our unaudited condensed consolidated financial statements, we utilize foreign currency forward contracts and cross currency swaps to economically hedge the impact that changes in foreign exchange rates have on the value of our investments denominated in foreign currencies. We record realized gains on these derivative instruments upon periodic settlement dates and upon maturity or termination. Although both types of instruments serve as an economic hedge against changes in foreign exchange rates, the unrealized gains and losses may have differing tax treatments. By hedging our foreign investments with a combination of foreign currency forward contracts and cross currency swaps, we expect to reduce potential volatility in our taxable income while maintaining some flexibility to increase or decrease the overall notional balance of our hedges when deemed necessary. The cross currency swaps generate realized gains or losses upon each quarterly settlement payment. The realized gains on foreign currency forward contracts and cross currency swaps help offset realized and unrealized losses in investments denominated in foreign currencies as a result of foreign currency movements, as described further below.

Net change in unrealized appreciation or depreciation

For the three months ended March 31, 2017 and 2016, net unrealized appreciation and depreciation consisted of the following:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net change in unrealized appreciation (depreciation) on:
Investments	$	19,199		$	(51,109	)
Derivative instruments		(4,264	)		(32,401	)
Foreign currency translation		(332	)		(3,420	)
Provision for taxes		(414	)		—

Net change in unrealized depreciation	$	14,189		$	(86,930	)

The net change in unrealized appreciation (depreciation) on investments consisted of the following:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net change in unrealized appreciation (depreciation) on investments:
Unrealized appreciation	$	69,186		$	63,292
Unrealized depreciation		(37,978	)		(137,810	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses ⁽¹⁾		(12,009	)		23,409


Total net unrealized appreciation (depreciation)	$	19,199		$	(51,109	)

⁽¹⁾	Represents the unrealized appreciation or depreciation recorded on the related asset at the end of prior period.

Approximately 10.9% of our Investment Portfolio, measured at fair value, is denominated in foreign currencies. Those investments expose our portfolio to the risk that the value of the investments will be affected by changes in exchange rates between the currency in which the investments are denominated and the currency in which the investments are made. Our practice is to minimize these risks in certain cases by employing hedging techniques, including using foreign currency options and foreign exchange forward contracts, to reduce exposure to changes in exchange rates when a meaningful amount of capital has been invested in foreign currencies. We do not, however, hedge our currency exposure in all currencies or all investments.

The success of our hedging transactions will depend on our ability to correctly predict movements in currencies and interest rates. Therefore, while we may enter into such transactions to seek to reduce currency exchange rate and interest rate risks, unanticipated changes in currency exchange rates or interest rates may result in poorer overall investment performance than if we had not engaged in any such hedging transactions. In addition, the degree of correlation between price movements of the instruments used in a hedging strategy and price movements in the portfolio positions being hedged may vary. Moreover, for a variety of reasons, we may not seek to (or be able to) establish a perfect correlation between such hedging instruments and the portfolio holdings being hedged. Any such imperfect correlation may prevent us from achieving the intended hedge and expose us to risk of loss. In addition, it may not be possible to hedge fully or perfectly against currency fluctuations affecting the value of securities denominated in non-U.S. currencies because the value of those securities is likely to fluctuate as a result of factors not related to currency fluctuations.

We do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included with unrealized appreciation (depreciation) on investments. The following table presents the combined realized and unrealized gains and losses on investments, including the impact of our hedges. Changes in foreign currency exchange rates could impact our earnings to the extent that our investments denominated in foreign currencies are not hedged or the hedges are not effective. See Item 3. “Quantitative and Qualitative Disclosures About Market Risk” for further discussion of the impact of foreign currency exchange rates on our earnings.


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net realized and unrealized losses on investments	$	34,831		$	(63,258	)
Net realized and unrealized gains (losses) on foreign currency forward contracts		(2,081	)		(2,861	)
Net realized and unrealized losses on cross currency swaps		(3,753	)		(9,559	)

	$	28,997		$	(75,678	)

The net realized and unrealized gains on investments during the three months ended March 31, 2017, after applying the net impacts of movements in valuation on the underlying foreign currency forward contracts and cross currency swaps put in place to mitigate currency risk, were attributable to a tightening of credit spreads and a general improvement in market conditions experienced during the three months ended March 31, 2017.

The net realized and unrealized losses on investments during the three months ended March 31, 2016, after applying the net impacts of movements in valuation on the underlying foreign currency forward contracts and cross currency swaps put in place to mitigate currency risk, were partly attributable to declines in the fair values of the Company’s investments in securities of portfolio companies directly or indirectly related to the energy sector. During the three months ended March 31, 2016, volatility in commodities, energy and equities continues to impact various credits contributing to increasing unrealized depreciation in the portfolio.

The net change in unrealized appreciation (depreciation) on derivative instruments consisted of the following:


	Three Months Ended March 31,
*(in thousands)*	2017			2016
Net change in unrealized appreciation (depreciation) on TRS:
Unsettled amounts at end of period:
Spread interest income	$	3,441		$	3,826
Realized gain (loss) on TRS assets		143			(641	)
Receipt of prior period unsettled amounts		(3,787	)		(3,191	)
Unrealized appreciation (depreciation) on TRS assets		1,559			846

		1,356			840

Net change in unrealized appreciation (depreciation) on foreign currency forward contracts:
Unrealized appreciation		126			474
Unrealized depreciation		(1,484	)		(3,332	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses ⁽¹⁾		(1,278	)		(2,137	)

		(2,636	)		(4,995	)

Net change in unrealized appreciation (depreciation) on cross currency swaps:
Unrealized appreciation		—			—
Unrealized depreciation		(4,036	)		(13,703	)

		(4,036	)		(13,703	)

Net change in unrealized appreciation (depreciation) on interest rate swaps:
Unrealized appreciation		1,052			193
Unrealized depreciation		—			(14,736	)

		1,052			(14,543	)

Total net change in unrealized (depreciation) appreciation on derivative instruments	$	(4,264	)	$	(32,401	)

⁽¹⁾	Represents the unrealized appreciation or depreciation recorded at the end of prior period.

We are not aware of any material trends or uncertainties, favorable or unfavorable, that may be reasonably anticipated to have a material impact on either capital resources or the revenues or income to be derived from our investments, other than those described above, risk factors, if any, identified in Part II, Item 1A of this report, and the “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and “Risk Factors” sections of our Annual Report on Form 10-K for the year ended December 31, 2016.

Adjusted net investment income

Our net investment income totaled $52.54 million ($0.17 per share) and $51.34 million ($0.17 per share) for the three months ended March 31, 2017 and 2016, respectively. As described above in “- Investment advisory fees and performance-based incentive fees,” we accrue estimated performance-based incentive fees with respect to any net realized and unrealized appreciation in our Investment Portfolio and derivative instruments. The performance-based incentive fees are treated as an operating expense and therefore are a deduction in calculating our net investment income on a GAAP basis. However, our net realized and unrealized appreciation on our Investment Portfolio and derivative instruments that partly determine these fees are not included in net investment income. Therefore, in order to evaluate our net investment income without regard to realized and unrealized appreciation in our Investment Portfolio, including the impact of related accrued performance-based fees, we have developed a supplemental, non-GAAP measure, which we refer to as “adjusted net investment income,” which presents net investment income before the effects of unearned performance-based incentive fees.

In addition, the relative utilization of the TRS can also cause variability in net investment income, because earnings on assets within the TRS Portfolio are not included in the calculation of net investment income in accordance with GAAP. The TRS Portfolio accrued interest income and financing charges are included in the fair value of the TRS and are not recorded as realized gain or loss on derivative instruments until quarterly TRS settlement payments are finalized. If the TRS assets had instead been included in our Investment Portfolio as owned assets, the interest income and financing charges, or TRS net interest spread, would have been included in net investment income. We include the TRS net interest spread in our calculation of adjusted net investment income.

We believe that adjusted net investment income is useful to assess the sustainability of our distributions and operating performance. Adjusted net investment income is not necessarily indicative of cash flows available to fund cash needs and should not be considered as an alternative to net investment income as an indication of our performance, as an alternative to cash flows from

operations as an indication of our liquidity, or indicative of funds available to fund our cash needs including our ability to make future distributions to our shareholders. Adjusted net investment income should not be construed as an historic performance measure or as more relevant or accurate than the current GAAP methodology in calculating net investment income and its applicability in evaluating our operating performance.

The following table shows the TRS interest income and financing charges for the three months ended March 31, 2017 and 2016.


	Three Months Ended March 31,
*(in thousands, except per share amounts)*	2017			2016
Interest and fee income included in TRS fair value	$	4,456		$	4,928
Financing charges included in TRS fair value		(1,015	)		(1,102	)

Subtotal		3,441			3,826
Interest and fee income included in TRS net realized gains		4,033			4,885
Financing charges included in TRS net realized gains		(1,362	)		(1,341	)
Less: amounts included in prior period fair value		(3,346	)		(3,761	)

TRS net interest spread	$	2,766		$	3,609

TRS net interest spread per share	$	0.01		$	0.01

The following table presents a reconciliation of our net investment income to adjusted net investment income for the three months ended March 31, 2017 and 2016; the increase in adjusted net investment income was primarily the result in the growth of our Investment Portfolio and earnings thereon.


	Three Months Ended March 31,
*(in thousands, except per share amounts)*	2017		2016
Net investment income (GAAP)	$	52,543	$	51,335
Add: Estimated unearned performance-based incentive fees		—		—
Add: TRS net interest spread		2,766		3,609


Adjusted net investment income (non-GAAP)	$	55,309	$	54,944


Net investment income per share (GAAP)	$	0.17	$	0.17


Adjusted net investment income per share (non-GAAP)	$	0.18	$	0.18

Net Assets, Net Asset Value per Share, Annual Investment Return and Total Return Since Inception

Net assets increased $19.91 million and $20.49 million during the three months ended March 31, 2017 and 2016, respectively. The most significant increase in net assets during the three months ended March 31, 2017 and 2016 was attributable to capital transactions including (i) the issuance of shares of common stock and (ii) reinvestment of distributions in the combined amount of $30.82 million and $132.02 million, respectively. Our operations resulted in net assets increasing (decreasing) $84.72 million and ($35.29) million during the three months ended March 31, 2017 and 2016, respectively. Our overall increase in net assets was partially offset by distributions to shareholders in the amount of $62.26 million and $59.94 million and the repurchase of shares of common stock in the amount of $33.37 million and $16.30 million during the three months ended March 31, 2017 and 2016, respectively.

Our net asset value per share was $9.00 and $8.62 on March 31, 2017 and 2016, respectively. After considering (i) the overall changes in net asset value per share, (ii) distributions paid of approximately $0.20 per share during each of the three months ended March 31, 2017 and 2016, respectively, and (iii) the assumed reinvestment of those distributions at 90% of the prevailing offering price per share, the total investment return was 3.0% and (1.3)% (not annualized) for shareholders who held our shares over the entire three-month period ending March 31, 2017 and 2016, respectively.

Initial shareholders who subscribed to the Initial Offering in June 2011 with an initial investment of $10,000 and an initial purchase price equal to $9.00 per share (public offering price net of sales load) have seen the value of their investment grow by 60.4% (see first chart below), or an annualized return of 8.5% (see second chart below). Initial shareholders who subscribed to the Initial Offering in June 2011 with an initial investment of $10,000 and an initial purchase price equal to $10.00 per share (the initial public offering price) have registered a total investment return of 44.4% (see first chart below), or an annualized return of 6.5% (see second chart below). The S&P/LSTA Leveraged Loan Index, a primary measure of senior debt covering the U.S. leveraged loan market, which currently consists of approximately 1,100 credit facilities throughout numerous industries, and the Merrill Lynch US High Yield Master II Index, a primary measure of subordinated debt consisting of approximately 2,000 high yield corporate bonds, registered cumulative total returns of approximately 28.5% and 46.2%, respectively, in the period from June 17, 2011 to March 31, 2017.

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LOGO

The calculations for the Growth of $10,000 Initial Investment in the shares of our common stock are based upon (i) an initial investment of $10,000 in our common stock at the beginning of the period at a share price of $10.00 per share (including sales load) and $9.00 per share (excluding sales load), (ii) assumed reinvestment of monthly distributions in accordance with our distribution reinvestment plan, (iii) the sale of the entire investment position at the net asset value per share on the last day of the period; and (iv) distributions payable, if any, on the last day of the period.

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LOGO


	Since Inception (June 17, 2011)		Trailing 24 Months		Trailing 12 Months
Public Offering Price/Share	$	10.00	$	11.00	$	9.80
Net Offering Price/Share	$	9.00	$	9.90	$	8.82
Distributions/Share	$	4.56	$	1.61	$	0.81
Terminal Value/Share (NAV)	$	9.00	$	9.00	$	9.00

In the chart above, we also present the average annual returns for the trailing 24 months and trailing 12 months, in each case assuming (i) the purchase of shares of common stock at the public offering price and net offering price (90% of public offering price) at the beginning of the period, (ii) reinvestment of distributions in the common stock, (iii) a terminal value at March 31, 2017 equal to net asset value of $9.00 per share and (iv) distributions payable to shareholders as of March 31, 2017.

Our shares are illiquid investments for which there is currently not a secondary market. You should not expect to be able to resell your shares regardless of how we perform. If you are able to sell your shares, you will likely receive less than your purchase price. Our net asset value and annualized returns — which are based in part upon determinations of fair value of Level 3 investments by our board of directors, not active market quotations — are inherently uncertain. Past performance is not a guarantee of future results.

Critical Accounting Policies and Estimates

Our discussion and analysis of our financial condition and results of operations are based upon our unaudited condensed consolidated financial statements which have been prepared in accordance with GAAP. The preparation of our unaudited condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses. Note 2. “Significant Accounting Policies” to our unaudited condensed consolidated financial statements describes the significant accounting policies and methods used in the preparation of our consolidated financial statements. We consider the accounting policies listed below to be critical because they involve management judgments and assumptions, require estimates about matters that are inherently uncertain and are important for understanding and evaluating our reported financial results. These judgments affect (i) the reported amounts of assets and liabilities, (ii) our disclosure of contingent assets and liabilities as of the dates of the financial statements and (iii) the reported amounts of revenue and expenses during the reporting periods. With different

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estimates or assumptions, materially different amounts could be reported in our financial statements. Changes in the economic environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ materially from the amounts reported based on these policies.

Valuation of Investments and Unrealized Gain (Loss) – Our investments consist primarily of investments in senior and subordinated debt of private U.S. companies and are presented in our consolidated financial statements at fair value. See Note 3. “Investments,” in our unaudited condensed consolidated financial statements for more information on our investments. As described more fully in Note 2. “Significant Accounting Policies” and Note 5. “Fair Value of Financial Instruments” in our unaudited condensed consolidated financial statements, a valuation hierarchy based on the level of independent, objective evidence available regarding value is used to measure the fair value of our investments. Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing services, broker-dealers or market makers. With respect to our portfolio investments for which market quotations are not readily available, our board of directors is responsible for determining in good faith the fair value of our portfolio investments in accordance with, and the consistent application of, the valuation policy and procedures approved by the board of directors, based on, among other things, the input of our Advisors, audit committee and independent third-party valuation firms.

We utilize several valuation techniques that use unobservable inputs and assumptions in determining the fair value of our Level 3 investments. For senior debt, subordinated debt and structured products categorized as Level 3 investments, we initially value the investment at its initial transaction price and subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), (ii) comparisons to benchmark derivative indices and/or (iii) valuation models. Valuation models are based on yield analysis and discounted cash flow techniques, where the key inputs are based on relative value analyses and the assignment of risk-adjusted discounted rates derived from the analysis of similar credit investments from similar issuers. In addition, an illiquidity discount is applied where appropriate. The valuation techniques used by us for other types of assets and liabilities that are classified as Level 3 investments are described in Note 2 to our unaudited condensed consolidated financial statements. The unobservable inputs and assumptions may differ by asset and in the application of our valuation methodologies. The reported fair value estimates could vary materially if we had chosen to incorporate different unobservable inputs and other assumptions.

We and our board of directors conduct our fair value determination process on a quarterly basis and any other time when a decision regarding the fair value of our portfolio investments is required. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio investments that do not have a readily available market value, the fair value of the our portfolio investments may differ significantly from the values that would have been determined had a readily available market value existed for such investments, and the differences could be material. Further, such investments are generally less liquid than publicly traded securities. If we were required to liquidate a portfolio investment that does not have a readily available market value in a forced or liquidation sale, we could realize significantly less than the fair value recorded by us.

The table below presents information on the investments classified as Level 3 as of March 31, 2017 and December 31, 2016:


*(in thousands)*	March 31, 2017			December 31, 2016
Fair value of investments classified as Level 3	$	3,277,756		$	3,189,484
Total fair value of investments	$	3,935,029		$	4,025,293
% of fair value classified as Level 3		83.3	%		79.2	%

Number of positions classified as Level 3		129			126
Total number of positions		175			191
% of positions classified as Level 3		73.7	%		65.6	%

Fair value of individual positions classified as Level 3:
Highest fair value	$	138,649		$	138,564
Lowest fair value	$	—		$	—
Average fair value	$	25,409		$	25,313

The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of March 31, 2017 and December 31, 2016 are described in Note 5. “Fair Value of Financial Instruments” in our unaudited condensed consolidated financial statements, as well as, the directional impact to the valuation from an increase in various unobservable inputs.

In addition to impacting the estimated fair value recorded for our investments in our statement of assets and liabilities, had we used different key unobservable inputs to determine the estimated fair value of our investments, amounts recorded in our statement of operations, including the net change in unrealized appreciation and depreciation on investments, investment advisory fees and

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performance-based incentive fees would also be impacted since such amounts are directly impacted by the estimated fair value of our assets. For instance, a 5% overstatement of the fair value of our Level 3 investments as of March 31, 2017, assuming all other estimates remain unchanged, would otherwise result in a $156.08 million overstatement of net change in unrealized appreciation on investments, a $0.27 million overstatement of our investment advisory fees payable to our Advisors, a $155.82 million overstatement of our net increase in net assets resulting from operations, a $0.50 overstatement in our earnings per share and a $0.50 overstatement of our net asset value per share.

Off-Balance Sheet Arrangements

We had no off-balance sheet arrangements as of March 31, 2017.

Contractual Obligations

Investment Advisory Agreements – We have entered into the Investment Advisory Agreement with CNL for the overall management of our investment activities. We and CNL have also entered into the Sub-Advisory Agreement with KKR, under which KKR is responsible for the day-to-day management of our Investment Portfolio and TRS Portfolio. CNL compensates KKR for advisory services that it provides to us with 50% of the base management fees and performance-based incentive fees that CNL receives under the Investment Advisory Agreement. Pursuant to the Investment Advisory Agreement, CNL earns a base management fee equal to an annual rate of 2% of our average gross assets (including unrealized appreciation or depreciation on the TRS and collateral posted with the custodian in connection with the TRS, but excluding deferred offering expenses), and an incentive fee based on our performance. The incentive fee is comprised of the following two parts:

(i)

a subordinated incentive fee on pre-incentive fee net investment income, paid quarterly, if earned, computed as the sum of (a) 100% of quarterly pre-incentive fee net investment income in excess of 1.75% of average adjusted capital up to a limit of 0.4375% of average adjusted capital, and (b) 20% of pre-incentive fee net investment income in excess of 2.1875% of average adjusted capital, and

(ii)

an incentive fee on capital gains paid annually, if earned, equal to (A) 20% of all realized gains on a cumulative basis from inception, net of (1) all realized losses on a cumulative basis, (2) unrealized depreciation at year-end and (3) disregarding any net realized gains associated with the TRS interest spread, which represents the difference between (a) the interest and fees received on total return swaps, and (b) the financing fees paid to the total return swaps counterparty, less (B) the aggregate amount of any previously paid incentive fee on capital gains.

Effective January 1, 2017, the subordinated incentive fee on income is subject to a total return requirement, which provides generally that no incentive fee will be payable except to the extent that 20.0% of the cumulative net increase in net assets resulting from operations over the then-current and three preceding calendar quarters (or, if four calendar quarters have not passed, then the time period since January 1, 2017) exceeds the cumulative incentive fees accrued and/or paid for the same period. Accordingly, any subordinated incentive fee on income that is payable in a calendar quarter will be limited to the lesser of (i) 20.0% of all of our pre-incentive fee net investment income when our pre-incentive fee net investment income exceeds the applicable quarterly hurdle rate for such calendar quarter, subject to the catch-up provision, and (ii) (x) 20.0% of the cumulative net increase in net assets resulting from operations for the then-current and three preceding calendar quarters minus (y) the cumulative incentive fees accrued and/or paid for the three preceding calendar quarters or period since January 1, 2017, whichever period is shorter. For the foregoing purpose, the “cumulative net increase in net assets resulting from operations” is the sum of our pre-incentive fee net investment income, base management fees, realized gains and losses and unrealized appreciation and depreciation for the then-current and three preceding calendar quarters. There will be no accumulation of amounts on the hurdle rate from quarter to quarter and, accordingly, there will be no clawback of amounts previously paid if subsequent quarters are below the applicable quarterly hurdle rate and there will be no delay of payment if prior quarters are below the applicable quarterly hurdle rate.

As of March 31, 2017, we had accrued a subordinated incentive fee on income of $0.93 million. See Note 6. “Related Party Transactions” in our unaudited condensed consolidated financial statements for expanded discussion of the Investment Advisory and Sub-Advisory Agreements.

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Unfunded Commitments - Unfunded commitments to provide funds to portfolio companies are not recorded on our consolidated statements of assets and liabilities. Because these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. We intend to use cash flow from scheduled and early principal repayments and proceeds from borrowings and securities offerings to fund these commitments. As of March 31, 2017, our unfunded investment commitments are as follows:


Category / Company ⁽¹⁾
Unfunded revolvers/delayed draw loan commitments:
A10 Capital, LLC	$	5,029
BeyondTrust Software, Inc.		1,090
Dentix Health Corporation, S.L.U.		9,473
Safety Technology Holdings, Inc.		253
Sears Canada Inc.		29,167
Smile Brands, Inc.		3,589
SouthernCarlson		4,975
SquareTwo Financial Corp.		2,704

Total unfunded revolvers/delayed draw loan commitments	$	56,280

Unfunded term loan commitments:
KeyPoint Government Solutions, Inc.	$	36,462
NBG Acquisition Inc.		34,205
Pacific Union Financial, LLC		14,342

Total unfunded term loan commitments	$	85,009


Unfunded equity commitments:
Central Park Leasing SARL	$	1,292
GA Capital Specialty Lending Fund		29,175
KKR BPT Holdings Aggregator, LLC		8,000
NBG Acquisition Inc.		2,565
Orchard Marine, Ltd.		737
Polyconcept North America Holdings, Inc.		1,211
Star Mountain SMB Multi-Manager Credit Platform, LP		26,816
Toorak Capital		16,808

Total unfunded equity commitments	$	86,604

⁽¹⁾	May be commitments to one or more entities affiliated with the named company.

We also have a commitment to provide up to $345.10 million of capital to SCJV. The capital commitment to SCJV can be satisfied with contributions of either cash or assets, and no capital commitment can be drawn without an affirmative vote by one of our representatives on SCJV’s board of managers.

We estimate we have sufficient liquidity in the form of cash on hand, borrowing capacity under our revolving credit facilities and scheduled and early principal repayments to fund such unfunded commitments when the need arises.

Borrowings - As discussed above under “Capital Resources and Liquidity – Borrowings – Credit Facilities and Term Loan,” we, either directly or through our wholly owned subsidiaries, have borrowing agreements with several lenders in connection with our revolving credit facilities and the 2014 Senior Secured Term Loan. As of March 31, 2017, the credit facilities provided for $357.05 million of additional borrowing capacity. (See — “Capital Resources and Liquidity — Borrowings — Credit Facilities and Term Loan” above and Note 10. “Borrowings” in our consolidated financial statements for expanded discussion of the revolving credit facilities and the 2014 Senior Secured Term Loan.)

A summary of our significant contractual payment obligations for the repayment of outstanding borrowings and interest expense and other fees related to the credit facilities and 2014 Senior Secured Term Loan at March 31, 2017 is as follows:


*(in thousands)*	Total		< 1 year		1-3 years		3-5 years		After 5 years
Senior Secured Revolving Credit Facility	$	664,000	$	—	$	—	$	664,000	$	—
BNP Credit Facility		50,000		50,000		—		—		—
SMBC Credit Facility		110,500		—		—		110,500		—
JPM Credit Facility		174,000		—		—		174,000		—
2014 Senior Secured Term Loan		388,000		4,000		384,000		—		—
CS Facility		23,769		23,769		—		—		—
Interest and Credit Facilities Fees Payable⁽¹⁾		169,427		50,992		86,800		31,635		—

Total	$	1,579,696	$	128,761	$	470,800	$	980,135	$	—

⁽¹⁾	Estimated interest payments have been calculated based on interest rates of our credit facilities and term loan payables as of March 31, 2017.

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Related Party Transactions

We have entered into agreements with our Advisors and certain of their affiliates, whereby, we agree to pay certain fees to, or reimburse certain expenses of, our Advisors and their affiliates for investment and advisory services, selling commissions and marketing support fees in connection with our Offerings, and reimbursement of offering and administrative and operating fees and costs. See Note 6. “Related Party Transactions” in our unaudited condensed consolidated financial statements and Part III - Item 13. “Certain Relationships and Related Transactions, and Director Independence” in our Form 10-K for the year ended December 31, 2016 for a discussion of the various related party transactions, agreements and fees.

Impact of Recent Accounting Pronouncements

See Item 1. “Financial Statements” for a summary of the impact of any recent accounting pronouncements, if any.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Interest Rate Risk

We are subject to financial market risks, in particular changes in interest rates. Future changes in interest rates will likely have effects on the interest income we earn on our portfolio investments, the fair value of our fixed income investments, the interest rates and interest expense associated with the money we borrow and the fair value of loan balances.

Subject to the requirements of the 1940 Act, we may hedge against interest rate fluctuations by using standard hedging instruments such as futures, options and forward contracts. Although hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower interest rates. As of March 31, 2017, we have three pay-fixed, receive-floating interest rate swaps which we pay an annual fixed rate of 0.84% to 1.43% and receive three-month LIBOR on an aggregate notional amount of $600 million. The interest rate swaps have quarterly settlement payments.

As of March 31, 2017, approximately 81.8% of our portfolio of debt investments (excluding TRS assets), or approximately $3.02 billion measured at par value, featured floating or variable interest rates. The variable interest rate debt investments usually provide for interest payments based on three-month LIBOR (the base rate) and typically have durations of three months after which the base rates are reset to then prevailing three-month LIBOR. As of March 31, 2017, approximately 93.1% of our portfolio of variable interest rate debt investments, or approximately $2.81 billion measured at par value, featured minimum base rates, or base rate floors, and the weighted average base rate floor for such investments was 1.0%. Variable interest rate investments that feature a base rate floor generally reset to the then prevailing three-month LIBOR only if the reset base rate exceeds the base rate floor on the applicable interest rate reset date, in which cases, we may benefit through an increase in interest income from such interest rate adjustments. At March 31, 2017, we held an aggregate investment position of $208.57 million at par value in variable interest rate debt investments that featured variable interest rates without any minimum base rates, or approximately 6.9% of our portfolio of variable interest rate debt investments. In the case of these “no base rate floor” variable interest debt investments held in our portfolio, we may benefit from increases in the base rates that may subsequently result in an increase in interest income from such interest rate adjustments.

Because we borrow money to make investments, our net investment income is partially dependent upon the difference between the interest rates at which we invest borrowed funds and the interest rates at which we borrow funds. In periods of rising interest rates, if we have borrowed capital with floating interest rates, our interest expense will increase, which will increase our financing costs and may reduce our net investment income, especially to the extent we continue to acquire and hold fixed-rate debt investments. As a result, there can be no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income.

Pursuant to the terms of our credit facilities and 2014 Senior Secured Term Loan, as discussed above (see “Capital Resources and Liquidity – Borrowings – Credit Facilities and Term Loan”), all of our borrowings as of March 31, 2017 provide for floating base rates based on short-term LIBOR. Therefore, if we were to completely draw down the unused commitments in each of our credit facilities, we expect that our weighted average direct interest rate would decrease by approximately 15 basis points (“bps”), as compared to our current weighted average direct interest cost for borrowed funds. We expect that any further expansion of our current revolving credit facilities, or any future credit facilities that we or any subsidiary may enter into, will also be based on a floating base rate. As a result, we are subject to continuous risks relating to changes in market interest rates.

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Under the terms of the TRS Agreements between Halifax Funding and BNS, Halifax Funding pays interest to BNS at a floating rate based on three-month LIBOR in exchange for the right to receive the economic benefits of a portfolio of TRS assets having a maximum aggregate notional amount of $500 million.

Based on our March 31, 2017 balance sheet, the following table shows the annual impact of base rate changes in interest rates (considering interest rate floors for variable rate instruments) assuming no changes in our investment and borrowing structure:


	As of March 31, 2017 *(in millions)*
Basis Point Change	Interest Income			Interest Expense			Net Investment Income ⁽¹⁾		TRS Portfolio ⁽²⁾			Interest Rate Swap ⁽³⁾
Down 50 basis points	$	(0.873	)	$	(5.954	)	$	5.081	$	1.186		$	(3.000	)
Up 50 basis points	$	12.358		$	6.964		$	5.394	$	(0.329	)	$	3.000
Up 100 basis points	$	25.460		$	14.015		$	11.445	$	(0.555	)	$	6.000
Up 150 basis points	$	38.562		$	21.067		$	17.495	$	(0.781	)	$	9.000
Up 200 basis points	$	51.665		$	28.118		$	23.547	$	(1.007	)	$	12.000

⁽¹⁾	Excludes the impact of performance-based incentive fees. See Note 6. “Related Party Transactions” in Item 8. “Financial Statements and Supplementary Data” for more information on the performance-based incentive fees.

⁽²⁾

Pursuant to the TRS Agreements, Halifax Funding receives from BNS all collected interest and fees derived from the TRS assets and pays to BNS interest at a rate equal to three-month LIBOR plus 140 bps per annum on the settled notional amount of TRS assets. As of March 31, 2017, 88.3% of the TRS assets, or approximately $215.03 million measured at par value, featured floating or variable interest rates. At March 31, 2017, 100% of the TRS assets with variable interest rates featured minimum base rate floors, or approximately $215.03 million measured at par value, and the weighted average base rate floor for such TRS assets was 1.1%. As of March 31, 2017, the total notional amount of the portfolio of TRS assets was $237.25 million, and the settled notional amount was $248.36 million. For the purpose of presenting the net interest sensitivity analysis above, we have assumed that all TRS assets are settled as of March 31, 2017 and that the TRS notional amount would equal $237.25 million upon which the financing payments to BNS are based.

⁽³⁾	Excludes the impact of quarterly fixed rate payments on interest rate swaps. See Note 4. “Derivative Instruments” in Item 8. “Financial Statements and Supplementary Data” for more information on our open interest rate swaps as of the end of the reporting period.

The interest rate sensitivity analysis presented above does not consider the potential impact of the changes in fair value of our debt investments and the net asset value of our common stock in the event of sudden increases in interest rates associated with high yield corporate bonds. Approximately 18.2% of our debt investment portfolio was invested in fixed interest rate, high yield corporate debt investments as of March 31, 2017. Rising market interest rates will most likely lead to fair value declines for high yield corporate bonds and a decline in the net asset value of our common stock, while declining market interest rates will most likely lead to an increase in bond values.

As of March 31, 2017, approximately 21.3% of our fixed interest rate debt investments, or approximately $143.52 million measured at fair value, had prices that are generally available from third party pricing services. We consider these debt investments to be one of the more liquid subsets of our Investment Portfolio since these types of assets are generally broadly syndicated and owned by a wide group of institutional investors, business development companies, mutual funds and other investment funds. Additionally, this group of assets is susceptible to revaluation, or changes in bid-ask values, in response to sudden changes in expected rates of return associated with these investments. We have other fixed interest rate investments in the less liquid subset of our Investment Portfolio that are not included in this analysis.

We have computed a duration of approximately 5.4 for this liquid/fixed subset of our total portfolio. This implies that a sudden increase in the market’s expected rate of return of 100 basis points for this subset of our Investment Portfolio may result in a reduction in fair value of approximately 5.4%, all other financial and market factors assuming to remain unchanged. A 5.4% decrease in the valuation of this Investment Portfolio subset equates to a decrease of $7.68 million, or a 0.3% decline in net assets relative to $9.02 net asset value per share as of March 31, 2017.

Foreign Currency Risk

From time to time, we may make investments that are denominated in a foreign currency that are subject to the effects of exchange rate movements between the foreign currency of each such investment and the U.S. dollar, which may affect future fair values and cash flows, as well as, amounts translated into U.S. dollars for inclusion in our consolidated financial statements.

The table below presents the effect that a 10% immediate, unfavorable change in the foreign currency exchange rates (i.e. strengthening of the U.S. Dollar) would have on the fair value of investments in our Investment Portfolio denominated in foreign currencies as of March 31, 2017, by foreign currency, all other valuation assumptions remaining constant. Our TRS Portfolio did not

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contain any investments denominated in foreign currencies as of March 31, 2017. In addition, the table below presents the par value of our investments denominated in foreign currencies and the notional amount of foreign currency forward contracts in local currency in place as of March 31, 2017, to hedge against foreign currency risks.


	Investments Denominated in Foreign Currencies								Hedges
	As of March 31, 2017						Reduction in Fair Value as of		As of March 31, 2017
*(in thousands)*	Par Value/ Cost in Local Currency⁽¹⁾		Par Value/ Cost in US$⁽¹⁾		Fair Value		March 31, 2017 if 10% Adverse Change in Exchange Rate⁽²⁾		Net Foreign Currency Hedge Amount in Local Currency		Net Foreign Currency Hedge Amount in U.S. Dollars
Euros	€	395,807	$	422,163	$	317,211	$	31,721	€	315,228	$	345,759
British Pound Sterling	£	76,838		97,851		94,323		9,432	£	106,011		150,282
Australian Dollar	A$	32,119		24,685		13,916		1,392	A$	24,787		17,930
Swedish Kronor	SEK	97,249		15,145		3,294		329	SEK	—		—

Total			$	559,844	$	428,744	$	42,874			$	513,971

⁽¹⁾	Amount represents the par value of debt investments and cost of equity investments denominated in foreign currencies.

⁽²⁾	Excludes effect, if any, of any foreign currency hedges.

As illustrated in the table above, we use derivative instruments from time to time, including foreign currency forward contracts and cross currency swaps, to manage the impact of fluctuations in foreign currency exchange rates. In addition, we have the ability to borrow in foreign currencies under our Senior Secured Revolving Credit Facility, which provides a natural hedge with regard to changes in exchange rates between the foreign currencies and U.S. dollar and reduces our exposure to foreign exchange rate differences. We are typically a net receiver of these foreign currencies as related for our international investment positions, and, as a result, our investments denominated in foreign currencies, to the extent not hedged, benefit from a weaker U.S. dollar and are adversely affected by a stronger U.S. dollar.

As of March 31, 2017, the net contractual amount of our foreign currency forward contracts and cross currency swaps totaled $513.97 million, all of which related to hedging of our foreign currency denominated debt investments. As of March 31, 2017, we did not have any outstanding borrowings denominated in foreign currencies on our Senior Secured Revolving Credit Facility.

During the three months ended March 31, 2017, our foreign currency transactions and foreign currency translation adjustment recorded in our condensed consolidated statements of operations resulted in net realized and unrealized losses of ($0.85) million. Our foreign currency forward contracts and cross currency swaps, employed for hedging purposes, generated net realized and unrealized loss of ($5.83) million during the three months ended March 31, 2017. We do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, the fluctuations related to foreign exchange rate conversion are included with the net realized gain (loss) and unrealized appreciation (depreciation) on investments. See “Results of Operations — Net Change in Unrealized Appreciation or Depreciation” for additional information on the foreign currency exchange changes.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Pursuant to Rule 13a-15(b) under the Exchange Act, under the supervision and with the participation of our management, including our principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of our disclosure controls and procedures (as defined under Rule 13a-15(e) under the Exchange Act) as of the end of the period covered by this report. Based upon that evaluation, our management, including our principal executive officer and principal financial officer, concluded that our disclosure controls and procedures are effective as of the end of the period covered by this report to provide reasonable assurance that material information required to be included in our periodic SEC reports is recorded, processed, summarized and reported within the time periods specified in the relevant SEC rules and forms.

Changes in Internal Control over Financial Reporting

During the most recent fiscal quarter, there was no change in our internal controls over financial reporting (as defined under Rule 13a-15(f) under the Exchange Act) that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.

108

PART II.

OTHER INFORMATION

Item 1.

Legal Proceedings - None

Item 1A.

Risk Factors – There have been no material changes to the risk factors previously disclosed in response to Item 1A. to Part I. of our Annual Report on Form 10-K for the year ended December 31, 2016.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

(a)

None.

(b)

None.

(c)

The information required by this Item 2(c) is set forth in Note 9 – “Share Transactions” to the unaudited condensed consolidated financial statements included in Item 1 of Part 1 of this Quarterly Report on Form 10-Q and is incorporated by reference herein.

Item 3.

Defaults Upon Senior Securities - None

Item 4.

Mine Safety Disclosures – Not applicable

Item 5.

Other Information - None

Item 6.

Exhibits

The exhibits required by this item are set forth in the Exhibit Index attached hereto and are filed or incorporated as part of this report.

109

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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, on the 12th day of May 2017.


CORPORATE CAPITAL TRUST, INC.

By:		/s/ Thomas K. Sittema
		THOMAS K. SITTEMA
		Chief Executive Officer
		(Principal Executive Officer)

By:		/s/ Chirag J. Bhavsar
		CHIRAG J. BHAVSAR
		Chief Financial Officer
		(Principal Financial and Accounting Officer)

110

EXHIBIT INDEX

The following exhibits are filed or incorporated as part of this report



31.1		Certification of Chief Executive Officer of Corporate Capital Trust, Inc., Pursuant to Rule 13a-14(a), as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)

31.2		Certification of Chief Financial Officer of Corporate Capital Trust, Inc., Pursuant to Rule 13a-14(a), as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)

32.1		Certification of Chief Executive Officer and Chief Financial Officer of Corporate Capital Trust, Inc., Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)

111

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