ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 47-2016837 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
330 Madison Avenue, New York, New York | 10017 | |
(Address of principal executive offices) | (Zip Code) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||
None | N/A | N/A |
Large accelerated filer | ¨ | Accelerated filer | ¨ | |
Non-accelerated filer | ý | Smaller reporting company | ¨ | |
Emerging growth company | ¨ |
PAGE | ||
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 5. | ||
Item 6. | ||
June 30, 2020 | December 31, 2019 | ||||||
Assets | |||||||
Investment in Guggenheim Credit Income Fund ("GCIF") (17,653,449 shares purchased at a cost of $146,809 and 18,122,416 shares purchased at a cost of $150,509, respectively) | $ | 124,266 | $ | 140,933 | |||
Cash | 1,423 | 802 | |||||
Principal receivable | 6 | 6 | |||||
Receivable from related parties | 44 | — | |||||
Dividends receivable | 781 | — | |||||
Total assets | 126,520 | 141,741 | |||||
Liabilities | |||||||
Due to Dealer Manager | 1,432 | 1,853 | |||||
Accounts payable, accrued expenses and other liabilities | 54 | 32 | |||||
Accrued professional services fees | 73 | 60 | |||||
Distributions payable | 540 | — | |||||
Payable to related parties | — | 108 | |||||
Total liabilities | 2,099 | 2,053 | |||||
Commitments and contingencies (Note 4. Related Party Agreements and Transactions) | |||||||
Net Assets | $ | 124,421 | $ | 139,688 | |||
Components of Net Assets: | |||||||
Common Shares, $0.001 par value, 1,000,000,000 Common Shares authorized, 16,728,449 and 16,961,080 Common Shares issued and outstanding at June 30, 2020 and December 31, 2019, respectively | $ | 17 | $ | 17 | |||
Paid-in-capital in excess of par value | 147,300 | 149,220 | |||||
Accumulated loss, net of distributions | (22,896 | ) | (9,549 | ) | |||
Total net assets | $ | 124,421 | $ | 139,688 | |||
Net asset value per Common Share | $ | 7.44 | $ | 8.24 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Investment Income | |||||||||||||||
Dividends from investment in GCIF | $ | 2,384 | $ | 3,312 | $ | 5,061 | $ | 5,508 | |||||||
Total investment income | 2,384 | 3,312 | 5,061 | 5,508 | |||||||||||
Operating Expenses (1) | |||||||||||||||
Administrative services | 3 | 4 | 7 | 8 | |||||||||||
Related party reimbursements | 48 | 52 | 101 | 104 | |||||||||||
Professional services fees | 33 | 31 | 64 | 69 | |||||||||||
Shareholder servicing expenses | 78 | 86 | 158 | 173 | |||||||||||
Transfer agent expense | 71 | 70 | 153 | 155 | |||||||||||
Other expenses | 32 | 33 | 41 | 56 | |||||||||||
Total operating expenses | 265 | 276 | 524 | 565 | |||||||||||
Reimbursement of expense support | — | 65 | 27 | 122 | |||||||||||
Less: Expense support from related parties (See Note 4. Related Party Agreements and Transactions) | (216 | ) | — | (471 | ) | — | |||||||||
Net expenses | 49 | 341 | 80 | 687 | |||||||||||
Net investment income | 2,335 | 2,971 | 4,981 | 4,821 | |||||||||||
Realized and unrealized gains (losses): | |||||||||||||||
Net realized gain (loss) from redemption of investment in GCIF | (171 | ) | 45 | (243 | ) | 45 | |||||||||
Long term gain distributions from investment in GCIF | — | — | — | 849 | |||||||||||
Net realized gains (losses) from investment in GCIF | (171 | ) | 45 | (243 | ) | 894 | |||||||||
Net change in unrealized appreciation (depreciation) from investment in GCIF | 9,205 | (623 | ) | (12,967 | ) | (1,030 | ) | ||||||||
Net realized and unrealized gains (losses) | 9,034 | (578 | ) | (13,210 | ) | (136 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,369 | $ | 2,393 | $ | (8,229 | ) | $ | 4,685 | ||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.14 | $ | 0.17 | $ | 0.29 | $ | 0.27 | |||||||
Earnings (losses) per Common Share - basic and diluted | $ | 0.68 | $ | 0.14 | $ | (0.49 | ) | $ | 0.27 | ||||||
Weighted average Common Shares outstanding - basic and diluted | 16,840,422 | 17,554,932 | 16,911,131 | 17,592,536 | |||||||||||
Distributions per Common Share | $ | 0.14 | $ | 0.16 | $ | 0.30 | $ | 0.31 |
(1) | Operating expenses solely represent the Company's operating expenses and do not include the Company's proportionate share of the Master Fund's operating expenses. |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | ||||||||||||||||
Shares | Amount | Total | ||||||||||||||||
Balance at December 31, 2019 | 16,961,080 | $ | 17 | $ | 149,220 | $ | (9,549 | ) | $ | 139,688 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 2,646 | 2,646 | |||||||||||||
Net realized losses from investment in GCIF | — | — | — | (72 | ) | (72 | ) | |||||||||||
Net change in unrealized depreciation from investment in GCIF | — | — | — | (22,172 | ) | (22,172 | ) | |||||||||||
Net decrease in net assets resulting from operations | — | — | — | (19,598 | ) | (19,598 | ) | |||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (2,777 | ) | (2,777 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (2,777 | ) | (2,777 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Common Shares issued from reinvestment of distributions | 87,105 | — | (1) | 721 | — | 721 | ||||||||||||
Common Shares repurchased | (298,522 | ) | — | (1) | (2,469 | ) | — | (2,469 | ) | |||||||||
Distribution services charge | — | — | 19 | — | 19 | |||||||||||||
Net decrease in net assets resulting from capital share transactions | (211,417 | ) | — | (1,729 | ) | — | (1,729 | ) | ||||||||||
Net decrease for the period | (211,417 | ) | — | (1,729 | ) | (22,375 | ) | (24,104 | ) | |||||||||
Balance at March 31, 2020 | 16,749,663 | $ | 17 | $ | 147,491 | $ | (31,924 | ) | $ | 115,584 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 2,335 | 2,335 | |||||||||||||
Net realized losses from investment in GCIF | — | — | — | (171 | ) | (171 | ) | |||||||||||
Net change in unrealized appreciation from investment in GCIF | — | — | — | 9,205 | 9,205 | |||||||||||||
Net increase in net assets resulting from operations | — | — | — | 11,369 | 11,369 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (2,341 | ) | (2,341 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (2,341 | ) | (2,341 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Common Shares issued from reinvestment of distributions | 166,265 | — | (1) | 1,181 | — | 1,181 | ||||||||||||
Common Shares repurchased | (187,479 | ) | — | (1) | (1,361 | ) | — | (1,361 | ) | |||||||||
Distribution services charge | — | — | (11 | ) | — | (11 | ) | |||||||||||
Net decrease in net assets resulting from capital share transactions | (21,214 | ) | — | (191 | ) | — | (191 | ) | ||||||||||
Net increase (decrease) for the period | (21,214 | ) | — | (191 | ) | 9,028 | 8,837 | |||||||||||
Balance at June 30, 2020 | 16,728,449 | $ | 17 | $ | 147,300 | $ | (22,896 | ) | $ | 124,421 |
(1) | Amount is less than $1,000. |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | ||||||||||||||||
Shares | Amount | Total | ||||||||||||||||
Balance at December 31, 2018 | 17,534,522 | $ | 18 | $ | 153,899 | $ | (2,208 | ) | $ | 151,709 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 1,850 | 1,850 | |||||||||||||
Net realized gains from investment in GCIF | — | — | — | 849 | 849 | |||||||||||||
Net change in unrealized depreciation from investment in GCIF | — | — | — | (407 | ) | (407 | ) | |||||||||||
Net increase in net assets resulting from operations | — | — | — | 2,292 | 2,292 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (2,661 | ) | (2,661 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (2,661 | ) | (2,661 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Common Shares issued from reinvestment of distributions | 211,933 | — | (1) | 1,831 | — | 1,831 | ||||||||||||
Common Shares repurchased | (207,679 | ) | — | (1) | (1,797 | ) | — | (1,797 | ) | |||||||||
Distribution services charge | — | — | 7 | — | 7 | |||||||||||||
Net increase in net assets resulting from capital share transactions | 4,254 | — | 41 | — | 41 | |||||||||||||
Net increase (decrease) for the period | 4,254 | — | 41 | (369 | ) | (328 | ) | |||||||||||
Balance at March 31, 2019 | 17,538,776 | $ | 18 | $ | 153,940 | $ | (2,577 | ) | $ | 151,381 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 2,971 | 2,971 | |||||||||||||
Net realized gains from investment in GCIF | — | — | — | 45 | 45 | |||||||||||||
Net change in unrealized depreciation from investment in GCIF | — | — | — | (623 | ) | (623 | ) | |||||||||||
Net increase in net assets resulting from operations | — | — | — | 2,393 | 2,393 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (2,872 | ) | (2,872 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (2,872 | ) | (2,872 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Common Shares issued from reinvestment of distributions | 142,234 | — | (1) | 1,229 | — | 1,229 | ||||||||||||
Common Shares repurchased | (323,596 | ) | (1 | ) | (2,792 | ) | — | (2,793 | ) | |||||||||
Distribution services charge | — | — | 103 | — | 103 | |||||||||||||
Net decrease in net assets resulting from capital share transactions | (181,362 | ) | (1 | ) | (1,460 | ) | — | (1,461 | ) | |||||||||
Net decrease for the period | (181,362 | ) | (1 | ) | (1,460 | ) | (479 | ) | (1,940 | ) | ||||||||
Balance at June 30, 2019 | 17,357,414 | $ | 17 | $ | 152,480 | $ | (3,056 | ) | $ | 149,441 |
(1) | Amount is less than $1,000. |
Six Months Ended June 30, | |||||||
2020 | 2019 | ||||||
Operating activities | |||||||
Net increase (decrease) in net assets resulting from operations | $ | (8,229 | ) | $ | 4,685 | ||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities: | |||||||
Purchase of investment in GCIF | — | (1,000 | ) | ||||
Sale of investment in GCIF through GCIF's share repurchase program | 3,457 | 1,700 | |||||
Net realized (gain) loss from investment in GCIF | 243 | (45 | ) | ||||
Net change in unrealized depreciation from investment in GCIF | 12,967 | 1,030 | |||||
(Increase) decrease in operating assets: | |||||||
Receivable from related parties | (44 | ) | 31 | ||||
Dividends receivable | (781 | ) | 2,189 | ||||
Increase (decrease) in operating liabilities: | |||||||
Due to Dealer Manager | (7 | ) | (4 | ) | |||
Accounts payable, accrued expenses and other liabilities | 22 | (51 | ) | ||||
Accrued professional services fees | 13 | 5 | |||||
Payable to related parties | (108 | ) | 63 | ||||
Net cash provided by operating activities | 7,533 | 8,603 | |||||
Financing activities | |||||||
Repurchase of Common Shares | (3,830 | ) | (4,589 | ) | |||
Distributions paid | (2,676 | ) | (3,994 | ) | |||
Payment of DSS Fees | (406 | ) | (433 | ) | |||
Net cash used in financing activities | (6,912 | ) | (9,016 | ) | |||
Net increase (decrease) in cash | 621 | (413 | ) | ||||
Cash, beginning of period | 802 | 1,698 | |||||
Cash, end of period | $ | 1,423 | $ | 1,285 | |||
Supplemental information and non-cash financing activities: | |||||||
Distributions reinvested | $ | 1,902 | $ | 3,060 | |||
Due to Dealer Manager | $ | (8 | ) | $ | (110 | ) |
End of Period | Weighted Average Shares Owned | % of Net | ||||||||||||||||||
Period Ended | No. of Shares | Quarter to Date | Year to Date | Cost | Fair Value | Assets | ||||||||||||||
June 30, 2020 | 17,653,449 | 17,798,309 | 17,938,937 | $ | 146,809 | $ | 124,266 | 99.9 | % | |||||||||||
December 31, 2019 | 18,122,416 | 18,445,894 | 18,742,374 | $ | 150,509 | $ | 140,933 | 100.9 | % |
June 30, 2020 | ||||||||||||||||||||
Total | ≤ 1 year | > 1 - 3 years | 3 - 5 years | 5 years | ||||||||||||||||
DSS Fee: Distribution Services Component | $ | 1,169 | $ | 790 | $ | 379 | $ | — | $ | — |
Month Ended | Expense Support from CCA and Guggenheim | CCA Waiver of Expense Support Reimburse-ment | Expense Support Reimburse-ment | Expired Expense Support | Unreimbursed Expense Support | Minimum of 1.75% and Annualized Fiscal Year to Date Other Operating Expense Ratio (1) | Annualized Regular Cash Distribution Rate/Share, Declared (2) | Eligible for Reimbursement through | |||||||
April 2017 | 179 | (89 | ) | (90 | ) | — | — | 0.64% | 0.63700 | April 30, 2020 | |||||
May 2017 | 254 | (127 | ) | (12 | ) | (115 | ) | — | 0.64% | 0.63076 | May 31, 2020 | ||||
June 2017 | 315 | (157 | ) | — | (158 | ) | — | 0.64% | 0.63076 | June 30, 2020 | |||||
April 2018 | 57 | — | — | 57 | 0.43% | 0.67571 | April 30, 2021 | ||||||||
March 2020 | 255 | — | — | — | 255 | 0.51% | 0.67397 | March 31, 2023 | |||||||
April 2020 | 97 | — | — | — | 97 | 0.54% | 0.57463 | April 30, 2023 | |||||||
May 2020 | 98 | — | — | — | 98 | 0.55% | 0.57526 | May 30, 2023 | |||||||
June 2020 | 21 | — | — | — | 21 | 0.54% | 0.57364 | June 30, 2023 | |||||||
Total | $ | 528 |
(1) | Other operating expenses include all expenses borne by the Company excluding organization and offering costs, a management fee, a performance-based incentive fee, financing fees and costs and interest expense. |
(2) | "Annualized Regular Cash Distribution Rate/Share, Declared" equals the annualized rate of average weekly or monthly distributions per Share that were declared with record dates in the subject month immediately prior to the date the expense support payment obligation was incurred by CCA and Guggenheim. Regular cash distributions do not include declared special cash or share distributions, if any. Regular distributions are grossed up to disregard the expense impact of the DSS Fees on the statement of operations. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Related Party (1) | Source Agreement & Description | 2020 | 2019 | 2020 | 2019 | |||||||||||
Related Party Expenses: | ||||||||||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | $ | 48 | $ | 52 | 101 | $ | 104 | ||||||||
Guggenheim | Expense Support Agreement - expense support reimbursement | — | 65 | 27 | 122 | |||||||||||
Related Party Income: | ||||||||||||||||
Guggenheim | Expense Support Agreement - expense support received from related party | 216 | — | 471 | — |
(1) | Not included in the table above is the Company's change in "Due to Dealer Manager" which represents the payable balances associated with the DSS Fee. For a breakdown of the Company's "Due to Dealer Manger" balance see Management's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies. |
Six Months Ended | Inception through | ||||||||||||
June 30, 2020 | June 30, 2020 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Gross proceeds from Public Offering | — | $ | — | 16,970,408 | $ | 164,194 | |||||||
Commissions paid outside escrow | — | — | — | (1,924 | ) | ||||||||
Dealer Manager fees and commissions | — | — | — | (7,462 | ) | ||||||||
Net proceeds to the Company from Public Offering | — | — | 16,970,408 | 154,808 | |||||||||
Reinvestment of shareholders' distributions | 253,370 | 1,902 | 2,219,972 | 19,434 | |||||||||
Net proceeds from all issuance of Common Shares | 253,370 | $ | 1,902 | 19,190,380 | $ | 174,242 | |||||||
Average net proceeds per Common Share | $7.51 | $9.08 |
Tender Offer Termination Date | Total Number of Shares Offered to Repurchase | Total Number of Shares Repurchased | Total Consideration | Price Paid per Share | No. of Shares Repurchased / Total Shares Offered | No. of Shares Repurchased / Weighted Average Shares (1) | ||||||||||||||
2020: | ||||||||||||||||||||
March 9, 2020 | 436,352 | 298,522 | $ | 2,469 | $ | 8.27 | 68.4 | % | 1.71 | % | ||||||||||
June 8, 2020 (2) | 160,035 | 187,479 | 1,361 | 7.26 | 117.1 | % | 1.08 | % | ||||||||||||
Total | 596,387 | 486,001 | $ | 3,830 | 81.5 | % | ||||||||||||||
2019: | ||||||||||||||||||||
March 8, 2019 | 438,164 | 207,679 | $ | 1,797 | $ | 8.65 | 47.4 | % | 1.18 | % | ||||||||||
June 5, 2019 | 439,278 | 323,596 | 2,792 | 8.63 | 73.7 | % | 1.84 | % | ||||||||||||
October 11, 2019 | 439,656 | 396,895 | 3,322 | 8.37 | 90.3 | % | 2.26 | % | ||||||||||||
December 6, 2019 | 438,630 | 293,787 | 2,442 | 8.31 | 67.0 | % | 1.67 | % | ||||||||||||
Total | 1,755,728 | 1,221,957 | $ | 10,353 | 69.6 | % | ||||||||||||||
2018: | ||||||||||||||||||||
September 5, 2018 | 436,451 | 129,420 | $ | 1,174 | $ | 9.07 | 29.7 | % | 0.74 | % | ||||||||||
December 6, 2018 | 437,336 | 159,421 | 1,438 | 9.02 | 36.5 | % | 0.91 | % | ||||||||||||
Total | 873,787 | 288,841 | $ | 2,612 | 33.1 | % |
(1) | Weighted average shares is based on the weighted average number of common shares outstanding in the prior four calendar quarters. |
(2) | The Company filed a tender offer to purchase up to 160,035 Shares on May 1, 2020. In accordance with Rule 13e-4(f), the Company determined to accept for purchase up to an additional 0.2% of our then outstanding Shares, increasing the offer to 187,479 Shares. The Company repurchased 187,479 Shares which represents approximately 100% of all Shares that were validly tendered. |
Record Date | Payment Date | Distribution Per Common Share at Record Date | Distribution Per Common Share at Payment Date | Distribution Amount | ||||||||||
For Fiscal Year 2020 | ||||||||||||||
January 6, 13, 20, 27 | January 29 | $ | 0.01258 | $ | 0.05032 | $ | 853 | |||||||
February 3, 10, 17, 24 | February 26 | 0.01258 | 0.05032 | 856 | ||||||||||
March 2, 9, 16, 23, 30 | April 1 | 0.01258 | 0.06290 | 1,068 | ||||||||||
April 6, 13, 20, 27 | April 29 | 0.01069 | 0.04276 | 719 | ||||||||||
May 4, 11, 18, 25, June 1, 8 | June 9 | 0.01069 | 0.06414 | 1,081 | ||||||||||
June 15, 22, 29 | July 9 | 0.01069 | 0.03207 | 541 | ||||||||||
$ | 0.30251 | $ | 5,118 | |||||||||||
For Fiscal Year 2019 | ||||||||||||||
January 7, 14, 21, 28 | January 30 | $ | 0.01258 | $ | 0.05032 | $ | 883 | |||||||
February 4, 11, 18, 25 | February 27 | 0.01258 | 0.05032 | 889 | ||||||||||
March 4, 11, 18, 25 | March 27 | 0.01258 | 0.05032 | 889 | ||||||||||
April 1, 8, 15, 22, 29 | May 1 | 0.01258 | 0.06290 | 1,103 | ||||||||||
May 6, 13, 20, 27 | May 29 | 0.01258 | 0.05032 | 885 | ||||||||||
June 3, 10, 17, 24 | June 26 | 0.01258 | 0.05032 | 884 | ||||||||||
$ | 0.31450 | $ | 5,533 |
Six Months Ended June 30, | |||||||
2020 | 2019 | ||||||
PER COMMON SHARE OPERATING PERFORMANCE | |||||||
Net asset value, beginning of period | $ | 8.24 | $ | 8.65 | |||
Net investment income (1) | 0.29 | 0.27 | |||||
Net realized gains (losses) from investment in GCIF (1) | (0.01 | ) | 0.05 | ||||
Net unrealized depreciation from investment in GCIF (2) | (0.78 | ) | (0.05 | ) | |||
Net increase (decrease) resulting from operations | (0.50 | ) | 0.27 | ||||
Distributions to common shareholders | |||||||
Distributions from net investment income (3) | (0.29 | ) | (0.27 | ) | |||
Distributions from realized gains on investment (3) | — | (0.04 | ) | ||||
Distributions in excess of net investment income (3) | (0.01 | ) | — | ||||
Distributions from earnings (3) | (0.30 | ) | (0.31 | ) | |||
Capital Share Transactions | |||||||
Common Shares issued from reinvestment of distributions | — | — | |||||
Common Shares repurchased | — | — | |||||
Distribution services charge (7) | — | — | |||||
Net increase in net assets resulting from Capital Share transactions | — | — | |||||
Net asset value, end of period | $ | 7.44 | $ | 8.61 | |||
INVESTMENT RETURNS | |||||||
Total investment return-net asset value (4) | (5.99 | )% | 3.19 | % | |||
RATIOS/SUPPLEMENTAL DATA | |||||||
Net assets, end of period | $ | 124,421 | $ | 149,441 | |||
Average net assets (5) | $ | 129,093 | $ | 151,775 | |||
Common Shares outstanding, end of period | 16,728,449 | 17,357,414 | |||||
Weighted average Common Shares outstanding | 16,911,131 | 17,592,536 | |||||
Ratios-to-average net assets: (5) (6) | |||||||
Total expenses | 0.40 | % | 0.37 | % | |||
Effect of expense support reimbursement to (received from) the Advisor | (0.34 | )% | 0.08 | % | |||
Net expenses | 0.06 | % | 0.45 | % | |||
Net investment income | 3.86 | % | 3.18 | % |
(1) | The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented. |
(2) | The amounts shown at this caption are the balancing figures derived from the other figures in the schedule. The amounts shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate gains and losses in portfolio securities for the period because of the timing of sales of the Company’s Common Shares in relation to fluctuating market values for the portfolio. |
(3) | The per Common Share data for distributions is the actual amount of distributions paid or payable per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof. The tax character of distribution is determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. The tax character of distribution shown above is an estimate since the exact amount cannot be determined at this point. As of June 30, 2020, the Company estimated distributions to be composed of either ordinary income or capital gains. The final determination of the tax character of distributions will not be made until we file our tax return. |
(4) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s Common Shares 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, plus any shares issued in connection with the reinvestment of monthly distributions and (iii) distributions payable relating to the ownership of shares, if any, on the last day of the period. The total investment return-net asset value calculation assumes that distributions are reinvested in accordance with the Company’s distribution reinvestment plan. Because there is no public market for the Company’s shares, terminal market value per share is assumed to be equal to the net asset value per share on the last day of the period presented. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s Common Shares. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Total investment return-net asset value is not annualized. |
(5) | The computation of average net assets during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios-to-average net assets, expressed as a percentage, are not annualized. |
(6) | The ratios-to-average net assets do not include any proportionate allocation of income and expenses incurred at the Master Fund. The Master Fund's total expenses-to-average net assets for the six months ended June 30, 2020 and June 30, 2019, were 3.91% and 3.84%, respectively. |
(7) | The per share impact of the distribution services component of the DSS Fee is calculated as the amount of the adjustment to distribution services component of the DSS Fee charged to “Paid-in-capital in excess of par value” divided by common shares outstanding at the end of the period. For the six months ended June 30, 2020 and June 30, 2019, the per share impact of the distribution services component of the DSS Fee is less than 0.01. |
• | Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. These senior debt classifications include senior secured first lien loans, senior secured second lien loans, senior secured bonds and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt creditors. |
• | Subordinated Debt. Subordinated debt investments are generally subordinated to senior debt investments 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. |
• | Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or sporadic dividends and realized gains on dispositions of such investments. |
• | Direct Originations: This channel consists of investments that are directly originated through Guggenheim's relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components. |
• | Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Total investment income | $ | 2,384 | $ | 3,312 | $ | 5,061 | $ | 5,508 | |||||||
Net expenses | 49 | 341 | 80 | 687 | |||||||||||
Net investment income | 2,335 | 2,971 | 4,981 | 4,821 | |||||||||||
Net realized gain (loss) from redemption of investment in GCIF | (171 | ) | 45 | (243 | ) | 45 | |||||||||
Long term gain distributions from investment in GCIF | — | — | — | 849 | |||||||||||
Net change in unrealized appreciation (depreciation) from investment in GCIF | 9,205 | (623 | ) | (12,967 | ) | (1,030 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,369 | $ | 2,393 | $ | (8,229 | ) | $ | 4,685 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Administrative services | $ | 3 | $ | 4 | $ | 7 | $ | 8 | |||||||
Related party reimbursements | 48 | 52 | 101 | 104 | |||||||||||
Professional services fees | 33 | 31 | 64 | 69 | |||||||||||
Shareholder servicing expenses | 78 | 86 | 158 | 173 | |||||||||||
Transfer agent expense | 71 | 70 | 153 | 155 | |||||||||||
Other expenses | 32 | 33 | 41 | 56 | |||||||||||
Total operating expenses | 265 | 276 | 524 | 565 | |||||||||||
Reimbursement of expense support | — | 65 | 27 | 122 | |||||||||||
Less: Expense support from related parties | (216 | ) | — | (471 | ) | — | |||||||||
Net expenses | $ | 49 | $ | 341 | $ | 80 | $ | 687 |
2020 | 2019 | ||||||
Balance as of January 1, | $ | 1,853 | $ | 2,907 | |||
Accretion of discount (1) | 15 | 29 | |||||
Incremental charge (reduction) to paid-in-capital (2) | (8 | ) | (110 | ) | |||
Shareholder services component | 158 | 173 | |||||
DSS fee payments | (586 | ) | (638 | ) | |||
Balance as of June 30, | $ | 1,432 | $ | 2,361 |
(1) | As the present value discount of the Distribution Services Component is accreted, it is recorded as interest expense and included in other expenses on the statements of operations. |
(2) | Incremental charge or reduction to paid-in-capital is the result of incremental equity share sales and/or changes in assumptions employed in estimating future cash payments. |
2020 Record Dates | 2020 Payment Dates | Distribution per Share per Record Date | Distribution per Share per Payment Date | |||||||
July 13, 20, 27 & Aug. 3, 10, 2020 | Aug. 11, 2020 | $ | 0.01069 | $ | 0.05345 | |||||
Aug. 17, 24, 31 & Sep. 7, 2020 | Sep. 9, 2020 | 0.01069 | 0.04276 |
June 30, 2020 | ||||||||||||||||||||
Total | ≤ 1 year | > 1 - 3 years | 3 - 5 years | 5 years | ||||||||||||||||
DSS Fee: Distribution Services Component | $ | 1,169 | $ | 790 | $ | 379 | $ | — | $ | — |
Basis Points (bps) Increase (Decrease) | Net Increase (Decrease) per Share | |||
-50 bps | $ | 0.01 | ||
+50 bps | (0.01 | ) | ||
+100 bps | — | |||
+150 bps | 0.03 | |||
+200 bps | 0.07 |
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs | |||||||||
April 1, 2020 to April 30, 2020 | — | — | — | — | |||||||||
May 1, 2020 to May 31, 2020 | — | — | — | — | |||||||||
June 1, 2020 to June 30, 2020 | (1 | ) | 187,479 | 7.26 | 187,479 | — | |||||||
Total | 187,479 | 187,479 | — |
GUGGENHEIM CREDIT INCOME FUND 2016 T | |||
Date: | August 13, 2020 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
Chief Executive Officer | |||
(Principal Executive Officer) | |||
Date: | August 13, 2020 | By: | /s/ Cielo M. Ordonez |
CIELO M. ORDONEZ | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
3.1 | |||
3.2 | |||
3.3 | |||
3.4 | |||
4.1 | |||
10.1 | |||
10.2 | |||
10.3 | |||
10.4 | |||
10.5 | |||
10.6 | |||
10.7 | |||
10.8 | |||
10.9 | |||
10.10 | |||
10.11 | |||
14.1 | |||
31.1 | |||
31.2 | |||
32 | |||
99 |
1. | I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2016 T; |
2. | Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and |
d. | disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an Quarterly Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | August 13, 2020 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
Chief Executive Officer | |||
(Principal Executive Officer) |
1. | I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2016 T; |
2. | Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and |
d. | disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an Quarterly Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | August 13, 2020 | By: | /s/ Cielo M. Ordonez |
CIELO M. ORDONEZ | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
1. | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Guggenheim Credit Income Fund 2016 T. |
Date: | August 13, 2020 |
/s/ Matthew S. Bloom | |
MATTHEW S. BLOOM | |
Chief Executive Officer | |
Date: | August 13, 2020 |
/s/ Cielo M. Ordonez | |
CIELO M. ORDONEZ | |
Chief Financial Officer |
ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 47-2039472 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
330 Madison Avenue, New York, New York | 10017 | |
(Address of principal executive offices) | (Zip Code) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||
None | N/A | N/A |
Large accelerated filer | ¨ | Accelerated filer | ¨ | |
Non-accelerated filer | ý | Smaller reporting company | ¨ | |
Emerging growth company | ¨ |
Page | ||
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 5. | ||
Item 6. | ||
June 30, 2020 | December 31, 2019 | ||||||
Assets | |||||||
Investments at fair value (amortized cost of $358,628 and $385,802, respectively) | $ | 323,891 | $ | 372,193 | |||
Cash | 6,893 | 1,454 | |||||
Restricted cash | 11,765 | 7,512 | |||||
Interest and dividend income receivable | 2,243 | 2,622 | |||||
Principal receivable | 3,656 | — | |||||
Receivable from related parties | 20 | 35 | |||||
Unrealized appreciation of foreign currency forward contracts | 408 | — | |||||
Prepaid expenses and other assets | 159 | 284 | |||||
Total assets | $ | 349,035 | $ | 384,100 | |||
Liabilities | |||||||
Credit facility payable, net of financing costs | $ | 156,052 | $ | 170,862 | |||
Unrealized depreciation on foreign currency forward contracts | — | 87 | |||||
Payable for investments purchased | 1,359 | — | |||||
Accrued management fee | 507 | 576 | |||||
Payable to related parties | 155 | 195 | |||||
Distributions payable | 1,186 | — | |||||
Collateral payable for foreign currency forward contracts | 360 | 320 | |||||
Accounts payable, accrued expenses and other liabilities | 685 | 863 | |||||
Total liabilities | 160,304 | 172,903 | |||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | |||||||
Net Assets | $ | 188,731 | $ | 211,197 | |||
Components of Net Assets: | |||||||
Common shares, $0.001 par value, 1,000,000,000 shares authorized, 26,811,629 and 27,157,534 shares issued and outstanding at June 30, 2020 and December 31, 2019, respectively | $ | 27 | $ | 27 | |||
Paid-in-capital in excess of par value | 227,663 | 229,996 | |||||
Accumulated loss, net of distributions | (38,959 | ) | (18,826 | ) | |||
Net assets | $ | 188,731 | $ | 211,197 | |||
Net asset value per Common Share | $ | 7.04 | $ | 7.78 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Investment Income | |||||||||||||||
Interest income | $ | 6,959 | $ | 8,697 | $ | 14,621 | $ | 17,231 | |||||||
Dividend income | 203 | 278 | 456 | 539 | |||||||||||
Fee income | 34 | 139 | 232 | 267 | |||||||||||
Total investment income | 7,196 | 9,114 | 15,309 | 18,037 | |||||||||||
Operating Expenses | |||||||||||||||
Interest expense | 1,447 | 2,139 | 3,304 | 4,269 | |||||||||||
Management fee | 1,524 | 1,718 | 3,161 | 3,412 | |||||||||||
Performance-based incentive fee | — | — | — | 11 | |||||||||||
Administrative services | 44 | 50 | 93 | 101 | |||||||||||
Custody services | 24 | 25 | 49 | 49 | |||||||||||
Trustees fees | 80 | 80 | 174 | 160 | |||||||||||
Related party reimbursements | 154 | 201 | 348 | 420 | |||||||||||
Professional services fees | 217 | 239 | 433 | 489 | |||||||||||
Other expenses | 91 | 59 | 133 | 125 | |||||||||||
Total expenses | 3,581 | 4,511 | 7,695 | 9,036 | |||||||||||
Net investment income | 3,615 | 4,603 | 7,614 | 9,001 | |||||||||||
Realized and unrealized gains (losses): | |||||||||||||||
Net realized gains (losses) on: | |||||||||||||||
Investments | (2,339 | ) | (6,838 | ) | (635 | ) | (6,805 | ) | |||||||
Foreign currency forward contracts | 42 | 861 | 1,051 | (126 | ) | ||||||||||
Foreign currency transactions | 4 | (2 | ) | 161 | 86 | ||||||||||
Net realized gains (losses) | (2,293 | ) | (5,979 | ) | 577 | (6,845 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | 16,008 | 5,736 | (21,128 | ) | 5,785 | ||||||||||
Foreign currency forward contracts | 17 | (144 | ) | 495 | 379 | ||||||||||
Foreign currency transactions | — | — | (1 | ) | (17 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 16,025 | 5,592 | (20,634 | ) | 6,147 | ||||||||||
Net realized and unrealized gains (losses) | 13,732 | (387 | ) | (20,057 | ) | (698 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | 17,347 | $ | 4,216 | $ | (12,443 | ) | $ | 8,303 | ||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.13 | $ | 0.16 | $ | 0.28 | $ | 0.31 | |||||||
Earnings (loss) per Common Share - basic and diluted | $ | 0.64 | $ | 0.14 | $ | (0.46 | ) | $ | 0.28 | ||||||
Weighted average Common Shares outstanding - basic and diluted | 27,040,652 | 29,178,344 | 27,274,171 | 29,192,124 | |||||||||||
Distribution per Common Share | $ | 0.13 | $ | 0.17 | $ | 0.28 | $ | 0.34 |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | ||||||||||||||||
Shares | Amount | Total | ||||||||||||||||
Balance at December 31, 2019 | 27,157,534 | $ | 27 | $ | 229,996 | $ | (18,826 | ) | $ | 211,197 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 3,999 | 3,999 | |||||||||||||
Net realized gains | — | — | — | 2,870 | 2,870 | |||||||||||||
Net change in unrealized depreciation | — | — | — | (36,659 | ) | (36,659 | ) | |||||||||||
Net decrease in net assets resulting from operations | — | — | — | (29,790 | ) | (29,790 | ) | |||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (4,066 | ) | (4,066 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (4,066 | ) | (4,066 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Issuance of Common Shares | 639,552 | 1 | 4,999 | — | 5,000 | |||||||||||||
Repurchase of Common Shares | (718,264 | ) | (1 | ) | (5,494 | ) | — | (5,495 | ) | |||||||||
Net decrease in net assets resulting from capital share transactions | (78,712 | ) | — | (495 | ) | — | (495 | ) | ||||||||||
Net decrease for the period | (78,712 | ) | — | (495 | ) | (33,856 | ) | (34,351 | ) | |||||||||
Balance at March 31, 2020 | 27,078,822 | $ | 27 | $ | 229,501 | $ | (52,682 | ) | $ | 176,846 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 3,615 | 3,615 | |||||||||||||
Net realized losses | — | — | — | (2,293 | ) | (2,293 | ) | |||||||||||
Net change in unrealized appreciation | — | — | — | 16,025 | 16,025 | |||||||||||||
Net increase in net assets resulting from operations | — | — | — | 17,347 | 17,347 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (3,624 | ) | (3,624 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (3,624 | ) | (3,624 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Repurchase of Common Shares | (267,193 | ) | — | (1) | (1,838 | ) | — | (1,838 | ) | |||||||||
Net decrease in net assets resulting from capital share transactions | (267,193 | ) | — | (1,838 | ) | — | (1,838 | ) | ||||||||||
Net increase (decrease) for the period | (267,193 | ) | — | (1,838 | ) | 13,723 | 11,885 | |||||||||||
Balance at June 30, 2020 | 26,811,629 | $ | 27 | $ | 227,663 | $ | (38,959 | ) | $ | 188,731 |
Common Shares | Paid-in-Capital in Excess of Par Value | Accumulated Earnings (Loss), net of Distributions | ||||||||||||||||
Shares | Amount | Total | ||||||||||||||||
Balance at December 31, 2018 | 29,195,002 | $ | 29 | $ | 246,083 | $ | (9,880 | ) | $ | 236,232 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 4,398 | 4,398 | |||||||||||||
Net realized losses | — | — | — | (866 | ) | (866 | ) | |||||||||||
Net change in unrealized appreciation | — | — | — | 555 | 555 | |||||||||||||
Net increase in net assets resulting from operations | — | — | — | 4,087 | 4,087 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (4,717 | ) | (4,717 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (4,717 | ) | (4,717 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Issuance of Common Shares | 124,070 | — | (1) | 1,000 | — | 1,000 | ||||||||||||
Repurchase of Common Shares | (38,000 | ) | — | (1) | (307 | ) | — | (307 | ) | |||||||||
Net increase in net assets resulting from capital share transactions | 86,070 | — | 693 | — | 693 | |||||||||||||
Net increase (decrease) for the period | 86,070 | — | 693 | (630 | ) | 63 | ||||||||||||
Balance at March 31, 2019 | 29,281,072 | $ | 29 | $ | 246,776 | $ | (10,510 | ) | $ | 236,295 | ||||||||
Operations: | ||||||||||||||||||
Net investment income | — | — | — | 4,603 | 4,603 | |||||||||||||
Net realized losses | — | — | — | (5,979 | ) | (5,979 | ) | |||||||||||
Net change in unrealized appreciation | — | — | — | 5,592 | 5,592 | |||||||||||||
Net increase in net assets resulting from operations | — | — | — | 4,216 | 4,216 | |||||||||||||
Shareholder distributions: | ||||||||||||||||||
Distributions from earnings | — | — | — | (5,106 | ) | (5,106 | ) | |||||||||||
Net decrease in net assets resulting from shareholder distributions | — | — | — | (5,106 | ) | (5,106 | ) | |||||||||||
Capital share transactions: | ||||||||||||||||||
Repurchase of Common Shares | (667,727 | ) | — | (1) | (5,375 | ) | — | (5,375 | ) | |||||||||
Net decrease in net assets resulting from capital share transactions | (667,727 | ) | — | (5,375 | ) | — | (5,375 | ) | ||||||||||
Net decrease for the period | (667,727 | ) | — | (5,375 | ) | (890 | ) | (6,265 | ) | |||||||||
Balance at June 30, 2019 | 28,613,345 | $ | 29 | $ | 241,401 | $ | (11,400 | ) | $ | 230,030 |
(1) | Amount is less than $1,000. |
For the Six Months Ended June 30, | |||||||
2020 | 2019 | ||||||
Operating activities | |||||||
Net increase (decrease) in net assets resulting from operations | $ | (12,443 | ) | $ | 8,303 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | |||||||
Capitalized paid-in-kind income | (459 | ) | (535 | ) | |||
Amortization of premium/accretion of discount, net | (682 | ) | (707 | ) | |||
Proceeds from sales of investments | 13,011 | 23,376 | |||||
Proceeds from paydowns on investments | 68,731 | 13,958 | |||||
Net receipt of settlement of derivatives | 3,308 | 1,731 | |||||
Net payment of settlement of derivatives | (2,257 | ) | (1,605 | ) | |||
Net realized gains on derivatives | (1,051 | ) | (126 | ) | |||
Purchases of investments | (54,062 | ) | (39,170 | ) | |||
Net realized losses on investments | 635 | 6,805 | |||||
Net change in unrealized (appreciation) depreciation on investments | 21,128 | (5,785 | ) | ||||
Net change in unrealized appreciation on foreign currency forward contracts | (495 | ) | (379 | ) | |||
Amortization of deferred financing costs | 190 | 188 | |||||
(Increase) decrease in operating assets: | |||||||
Interest and dividend income receivable | 379 | (274 | ) | ||||
Principal receivable | (3,656 | ) | 2,581 | ||||
Receivable from related parties | 15 | 16 | |||||
Prepaid expenses and other assets | 125 | 106 | |||||
Increase (decrease) in operating liabilities: | |||||||
Payable for investments purchased | 1,359 | (2,670 | ) | ||||
Accrued management fee | (69 | ) | 563 | ||||
Payable to related parties | (40 | ) | 24 | ||||
Collateral payable for foreign currency forward contracts | 40 | — | |||||
Accounts payable, accrued expenses and other liabilities | (178 | ) | (12 | ) | |||
Net cash provided by operating activities | 33,529 | 6,388 | |||||
Financing activities | |||||||
Issuance of Common Shares | 5,000 | 1,000 | |||||
Repurchase of Common Shares | (7,333 | ) | (5,682 | ) | |||
Credit facility borrowings | — | 12,000 | |||||
Credit facility repayments | (15,000 | ) | — | ||||
Distributions paid | (6,504 | ) | (13,217 | ) | |||
Net cash used in financing activities | (23,837 | ) | (5,899 | ) | |||
Net increase in restricted and unrestricted cash | 9,692 | 489 | |||||
Restricted and unrestricted cash, beginning of period | 8,966 | 10,302 | |||||
Restricted and unrestricted cash, end of period | $ | 18,658 | $ | 10,791 | |||
Reconciliation of restricted and unrestricted cash | |||||||
Cash | 6,893 | 2,702 | |||||
Restricted cash | 11,765 | 8,089 | |||||
Total restricted and unrestricted cash | $ | 18,658 | $ | 10,791 | |||
Supplemental disclosure of cash flow information and non-cash financing activities: | |||||||
Cash paid for interest | $ | 3,179 | $ | 4,003 |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
INVESTMENTS | |||||||||||||||||||||||||
Debt investments - 167.6% | |||||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||||
Arcline FM Holdings LLC | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.11% | 1/21/2025 | 4,353 | $ | 4,263 | $ | 4,272 | 2.3 | % | |||||||||||||
Arcline FM Holdings LLC | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.00% | 6.61% | 1/21/2025 | 145 | 91 | 96 | 0.1 | % | |||||||||||||||
4,354 | 4,368 | 2.4 | % | ||||||||||||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.43% | 6/12/2021 | 3,397 | 3,388 | 3,295 | 1.7 | % | |||||||||||||||
Total Aerospace & Defense | 7,742 | 7,663 | 4.1 | % | |||||||||||||||||||||
Automotive | |||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 11/17/2023 | 11,580 | 11,339 | 7,404 | 3.9 | % | ||||||||||||||||
American Tire Distributors Inc. | Senior Secured Loans - First Lien | L+7.50% | 8.50% | 8/30/2024 | 2,955 | 2,684 | 1,976 | 1.0 | % | ||||||||||||||||
BBB Industries | Senior Secured Loans - First Lien | L+4.50% | 5.58% | 8/1/2025 | 1,965 | 1,950 | 1,694 | 0.9 | % | ||||||||||||||||
EnTrans International, LLC | (13) | Senior Secured Loans - First Lien | L+6.00% | 6.17% | 11/1/2024 | 7,545 | 6,315 | 6,049 | 3.2 | % | |||||||||||||||
Mavis Tire Express Services Corp. (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+3.25% | 4.39% | 3/20/2023 | 130 | 115 | 110 | 0.1 | % | |||||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | Senior Secured Loans - First Lien | L+3.25% | 3.56% | 3/20/2025 | 3,624 | 3,610 | 3,281 | 1.8 | % | ||||||||||||||||
3,725 | 3,391 | 1.9 | % | ||||||||||||||||||||||
Wesco Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.33% | 6/14/2024 | 1,241 | 1,229 | 1,216 | 0.6 | % | |||||||||||||||
Total Automotive | 27,242 | 21,730 | 11.5 | % | |||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | |||||||||||||||||||||||||
Gladman Developments Ltd. | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 9.77% | 8/16/2024 | £ | 2,405 | 3,011 | 2,882 | 1.5 | % | ||||||||||||||
Gladman Developments Ltd. (Delayed Draw) | UK(9)(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 9.93% | 8/16/2024 | £ | 740 | 946 | 864 | 0.4 | % | ||||||||||||||
3,957 | 3,746 | 1.9 | % | ||||||||||||||||||||||
Hunt Companies, Inc. | (11) | Senior Secured Bonds | N/A | 6.25% | 2/15/2026 | 2,000 | 2,000 | 1,820 | 1.0 | % | |||||||||||||||
JZ Capital Partners Ltd. | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 6/14/2021 | 375 | 372 | 367 | 0.2 | % | |||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 6,329 | 5,933 | 3.1 | % | |||||||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+8.00% | 9.00% | 4/19/2024 | £ | 9,995 | 12,250 | 12,047 | 6.4 | % | ||||||||||||||
Blue Ribbon LLC | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 11/15/2021 | 2,762 | 2,364 | 2,379 | 1.3 | % | ||||||||||||||||
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
CTI Foods Holdings Co., LLC (First Out) | (14)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.77% | 5/3/2024 | 1,967 | 1,967 | 1,849 | 1.0 | % | |||||||||||||||
CTI Foods Holdings Co., LLC (Last Out) | (13)(14)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.77% | 5/3/2024 | 778 | 778 | 708 | 0.3 | % | |||||||||||||||
2,745 | 2,557 | 1.3 | % | ||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 3/31/2023 | 874 | 870 | 868 | 0.5 | % | |||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.50% | 3/31/2023 | 814 | 809 | 808 | 0.4 | % | |||||||||||||||
1,679 | 1,676 | 0.9 | % | ||||||||||||||||||||||
Topps Company | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.50% | 10/2/2022 | 4,962 | 4,938 | 4,944 | 2.6 | % | |||||||||||||||
US Foods Inc. | (11)(13)(15) | Senior Secured Loans - First Lien | L+3.25% | 4.25% | 4/24/2025 | 2,981 | 2,773 | 2,892 | 1.5 | % | |||||||||||||||
Total Beverage, Food & Tobacco | 26,749 | 26,495 | 14.0 | % | |||||||||||||||||||||
Capital Equipment | |||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 1,695 | 0.9 | % | ||||||||||||||||
Total Capital Equipment | 2,000 | 1,695 | 0.9 | % | |||||||||||||||||||||
Chemicals, Plastics & Rubber | |||||||||||||||||||||||||
Aceto Chemicals | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 4/29/2025 | 5,148 | 5,118 | 5,121 | 2.7 | % | |||||||||||||||
Aceto Chemicals (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.50% | 4/29/2025 | 533 | 451 | 453 | 0.3 | % | |||||||||||||||
5,569 | 5,574 | 3.0 | % | ||||||||||||||||||||||
Drew Marine Group Inc. | (15) | Senior Secured Loans - First Lien | L+4.00% | 4.43% | 6/26/2026 | 990 | 977 | 977 | 0.5 | % | |||||||||||||||
Ilpea Parent, Inc. | IT(10)(11)(15) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 3/2/2023 | 5,373 | 5,332 | 5,051 | 2.7 | % | |||||||||||||||
Neon Holdings Inc | Senior Secured Bonds | N/A | 10.13% | 4/1/2026 | 1,065 | 1,048 | 1,057 | 0.6 | % | ||||||||||||||||
Seal For Life Industries US LLC (Revolver) | (11)(13)(15) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 7/24/2024 | 650 | 582 | 584 | 0.3 | % | |||||||||||||||
Seal For Life Industries US LLC | (11)(15) | Senior Secured Loans - First Lien | L+6.00% | 7.04% | 7/23/2025 | 6,956 | 6,836 | 6,863 | 3.6 | % | |||||||||||||||
7,418 | 7,447 | 3.9 | % | ||||||||||||||||||||||
Total Chemicals, Plastics & Rubber | 20,344 | 20,106 | 10.7 | % | |||||||||||||||||||||
Construction & Building | |||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.32% | 6/26/2023 | 5,400 | 5,347 | 5,373 | 2.8 | % | |||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - Second Lien | L+8.25% | 9.32% | 6/26/2024 | 6,000 | 5,919 | 5,866 | 3.1 | % | |||||||||||||||
GAL Manufacturing (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+4.25% | 4.43% | 6/24/2022 | 173 | 151 | 152 | 0.1 | % | |||||||||||||||
11,417 | 11,391 | 6.0 | % | ||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - First Lien | L+4.25% | 6.05% | 6/15/2025 | 875 | 868 | 820 | 0.5 | % |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - Second Lien | L+8.50% | 9.57% | 6/15/2026 | 1,588 | 1,523 | 1,346 | 0.7 | % | ||||||||||||||||
2,391 | 2,166 | 1.2 | % | ||||||||||||||||||||||
Total Construction & Building | 13,808 | 13,557 | 7.2 | % | |||||||||||||||||||||
Consumer Goods: Non-Durable | |||||||||||||||||||||||||
Diamond (BC) B.V. | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 9/6/2024 | 4,000 | 3,900 | 3,925 | 2.1 | % | ||||||||||||||||
Galls LLC | (14)(15) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 1/31/2025 | 3,681 | 3,654 | 3,616 | 1.9 | % | |||||||||||||||
Galls LLC (Delayed Draw B) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.06% | 1/31/2025 | 540 | 536 | 531 | 0.3 | % | |||||||||||||||
Galls LLC (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 1/31/2024 | 490 | 435 | 440 | 0.2 | % | |||||||||||||||
4,625 | 4,587 | 2.4 | % | ||||||||||||||||||||||
Pure Fishing, Inc. | (12)(13)(15) | Senior Secured Loans - First Lien | L+4.50% | 4.68% | 12/19/2025 | 3,333 | 2,980 | 2,799 | 1.5 | % | |||||||||||||||
Safariland | (15) | Senior Secured Loans - First Lien | L+7.55% | 8.55% | 11/17/2023 | 123 | 109 | 111 | 0.1 | % | |||||||||||||||
Safariland | (15) | Senior Secured Loans - First Lien | L+7.55% | 8.55% | 11/17/2023 | 5,877 | 5,351 | 5,299 | 2.8 | % | |||||||||||||||
5,460 | 5,410 | 2.9 | % | ||||||||||||||||||||||
Total Consumer Goods: Non-Durable | 16,965 | 16,721 | 8.9 | % | |||||||||||||||||||||
Consumer Goods: Durable | |||||||||||||||||||||||||
PlayPower, Inc. | Senior Secured Loans - First Lien | L+5.50% | 5.68% | 4/29/2026 | 1,268 | 1,257 | 1,125 | 0.6 | % | ||||||||||||||||
Total Consumer Goods: Durable | 1,257 | 1,125 | 0.6 | % | |||||||||||||||||||||
Containers, Packaging & Glass | |||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 5.82% | 9/23/2021 | 4,901 | 4,749 | 2,775 | 1.4 | % | ||||||||||||||||
Husky Injection Molding Systems Ltd. | CN(10)(11) | Senior Secured Loans - First Lien | L+3.00% | 4.45% | 3/28/2025 | 1,962 | 1,848 | 1,803 | 1.0 | % | |||||||||||||||
Pelican Products Inc | (12) | Senior Secured Loans - First Lien | L+3.50% | 4.50% | 5/31/2025 | 3,989 | 3,495 | 3,683 | 2.0 | % | |||||||||||||||
Resource Label Group LLC | Senior Secured Loans - First Lien | L+4.50% | 5.95% | 5/26/2023 | 3,403 | 3,383 | 3,147 | 1.7 | % | ||||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.95% | 11/26/2023 | 3,000 | 2,972 | 2,535 | 1.3 | % | |||||||||||||||
6,355 | 5,682 | 3.0 | % | ||||||||||||||||||||||
Total Containers, Packaging & Glass | 16,447 | 13,943 | 7.4 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Basic Energy Services Inc | (13) | Senior Secured Bonds | N/A | 10.75% | 10/15/2023 | 2,000 | 1,986 | 805 | 0.4 | % | |||||||||||||||
Navajo Nation Oil and Gas | (15) | Senior Secured Loans - First Lien | L+7.50% | 9.00% | 6/14/2022 | 3,063 | 3,046 | 2,956 | 1.6 | % | |||||||||||||||
Penn Virginia | (11)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.00% | 9/29/2022 | 3,000 | 2,967 | 1,950 | 1.0 | % | |||||||||||||||
Permian Production Partners | (13)(15)(18) | Senior Secured Loans - First Lien | N/A | N/A | 5/20/2024 | 3,800 | 3,693 | 285 | 0.1 | % | |||||||||||||||
Total Energy: Oil & Gas | 11,692 | 5,996 | 3.1 | % | |||||||||||||||||||||
Healthcare & Pharmaceuticals |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Alegeus Technologies LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 9/5/2024 | 8,000 | 7,960 | 7,902 | 4.2 | % | |||||||||||||||
Cambrex Corporation | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.00% | 11/20/2026 | 2,488 | 2,438 | 2,450 | 1.3 | % | |||||||||||||||
Total Healthcare & Pharmaceuticals | 10,398 | 10,352 | 5.5 | % | |||||||||||||||||||||
Hotel, Gaming & Leisure | |||||||||||||||||||||||||
ASM Global | Senior Secured Loans - First Lien | L+2.50% | 2.67% | 1/23/2025 | 2,346 | 2,343 | 2,083 | 1.1 | % | ||||||||||||||||
Golden Nugget | (13)(15) | Senior Secured Loans - First Lien | L+12.00% | 13.00% | 10/4/2023 | 11 | 11 | 12 | — | % | |||||||||||||||
Golden Nugget | (13)(15) | Senior Secured Loans - First Lien | L+12.00% | 13.00% | 10/4/2023 | 139 | 133 | 161 | 0.1 | % | |||||||||||||||
144 | 173 | 0.1 | % | ||||||||||||||||||||||
Playtika Holding | (11) | Senior Secured Loans - First Lien | L+6.00% | 7.07% | 12/31/2024 | 1,950 | 1,915 | 1,953 | 1.0 | % | |||||||||||||||
Total Hotel, Gaming & Leisure | 4,402 | 4,209 | 2.2 | % | |||||||||||||||||||||
Media: Advertising, Printing & Publishing | |||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 5/17/2024 | 5,693 | 5,639 | 5,552 | 2.9 | % | |||||||||||||||
Boats Group (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+4.25% | N/A | 9/12/2022 | — | (48 | ) | (33 | ) | — | % | |||||||||||||
5,591 | 5,519 | 2.9 | % | ||||||||||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc. | (11) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 11/19/2024 | 2,438 | 2,340 | 2,306 | 1.2 | % | |||||||||||||||
McGraw-Hill Global Education Holdings | Senior Secured Loans - First Lien | L+4.00% | 5.45% | 5/4/2022 | 1,880 | 1,870 | 1,602 | 0.9 | % | ||||||||||||||||
McGraw-Hill Global Education Holdings | (14)(15) | Senior Unsecured Debt | N/A | 11.00% | 4/20/2022 | 2,000 | 1,974 | 1,498 | 0.8 | % | |||||||||||||||
McGraw-Hill Global Education Holdings | (13) | Senior Unsecured Debt | N/A | 7.88% | 5/15/2024 | 1,259 | 1,227 | 837 | 0.4 | % | |||||||||||||||
5,071 | 3,937 | 2.1 | % | ||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.50% | 7.57% | 6/15/2024 | 8,071 | 8,033 | 7,602 | 4.0 | % | |||||||||||||||
Trader Interactive (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 6/15/2023 | — | (26 | ) | (26 | ) | — | % | |||||||||||||
8,007 | 7,576 | 4.0 | % | ||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 21,009 | 19,338 | 10.2 | % | |||||||||||||||||||||
Metals & Mining | |||||||||||||||||||||||||
Polyvision Corp. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.20% | 2/21/2026 | 3,585 | 3,550 | 3,424 | 1.8 | % | |||||||||||||||
Polyvision Corp. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.20% | 2/21/2026 | 1,010 | 1,000 | 964 | 0.5 | % | |||||||||||||||
Polyvision Corp. | (9)(15) | Senior Secured Loans - First Lien | L+6.50% | 7.52% | 2/21/2026 | 139 | 139 | 118 | 0.1 | % |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Polyvision Corp. | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 8/21/2025 | 279 | 209 | 214 | 0.1 | % | |||||||||||||||
Total Metals & Mining | 4,898 | 4,720 | 2.5 | % | |||||||||||||||||||||
Retail | |||||||||||||||||||||||||
At Home Group | (11) | Senior Secured Loans - First Lien | L+3.50% | 4.50% | 6/3/2022 | 316 | 294 | 229 | 0.1 | % | |||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 7/31/2025 | 1,126 | 1,073 | 412 | 0.2 | % | ||||||||||||||||
Beverages and More, Inc. | (13) | Senior Secured Bonds | N/A | 11.50% | 6/15/2022 | 900 | 782 | 747 | 0.4 | % | |||||||||||||||
Blue Nile, Inc. | Senior Secured Loans - First Lien | L+6.50% | 7.50% | 2/17/2023 | 10,200 | 10,046 | 6,153 | 3.3 | % | ||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.93% | 7/5/2022 | 4,318 | 4,290 | 3,584 | 1.9 | % | |||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.93% | 7/5/2022 | 487 | 487 | 404 | 0.2 | % | |||||||||||||||
4,777 | 3,988 | 2.1 | % | ||||||||||||||||||||||
Save-a-Lot | (13)(14)(15) | Senior Secured Loans - First Lien | L+7.00% | 7.00% | 3/12/2024 | 875 | 789 | 793 | 0.4 | % | |||||||||||||||
Save-a-Lot | (13)(14)(15) | Senior Secured Loans - Second Lien | L+11.75% | 11.75% | 10/1/2024 | 1,044 | 2,104 | 936 | 0.5 | % | |||||||||||||||
2,893 | 1,729 | 0.9 | % | ||||||||||||||||||||||
Smart & Final Stores LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 6.92% | 6/20/2025 | 3,960 | 3,611 | 3,891 | 2.1 | % | |||||||||||||||
Total Retail | 23,476 | 17,149 | 9.1 | % | |||||||||||||||||||||
Services: Business | |||||||||||||||||||||||||
24-7 Intouch | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+4.75% | 4.92% | 8/25/2025 | 3,930 | 3,713 | 3,636 | 1.9 | % | |||||||||||||||
Alexander Mann Solutions (GBP Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | G+5.00% | 5.73% | 6/16/2025 | £ | 2,060 | 2,554 | 2,021 | 1.0 | % | ||||||||||||||
Alexander Mann Solutions (USD Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.50% | 6.65% | 6/16/2025 | 890 | 853 | 701 | 0.4 | % | |||||||||||||||
Alexander Mann Solutions (Revolver) | UK(9)(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+3.75% | 4.43% | 12/16/2024 | 324 | 339 | 312 | 0.2 | % | |||||||||||||||
3,746 | 3,034 | 1.6 | % | ||||||||||||||||||||||
Capstone Logistics, LLC | Senior Secured Loans - First Lien | L+4.50% | 5.57% | 10/7/2021 | 4,755 | 4,737 | 4,616 | 2.4 | % | ||||||||||||||||
Cast & Crew Payroll | Senior Secured Loans - First Lien | L+3.75% | 3.93% | 1/16/2026 | 2,905 | 2,538 | 2,677 | 1.4 | % | ||||||||||||||||
HealthChannels, Inc. | (15) | Senior Secured Loans - First Lien | L+4.50% | 4.67% | 4/3/2025 | 2,842 | 2,794 | 2,373 | 1.3 | % | |||||||||||||||
Hersha Hospitality Management | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.45% | 3/2/2026 | 4,275 | 4,189 | 3,847 | 2.0 | % | |||||||||||||||
Hersha Hospitality Management (Delayed Draw) | (9)(15)(17) | Senior Secured Loans - First Lien | L+5.00% | 6.22% | 3/2/2026 | 43 | 8 | (129 | ) | — | % | ||||||||||||||
4,197 | 3,718 | 2.0 | % |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Park Place Technologies | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 3/29/2025 | 2,658 | 2,649 | 2,549 | 1.4 | % | ||||||||||||||||
Park Place Technologies | (15) | Senior Secured Loans - Second Lien | L+8.00% | 9.00% | 3/29/2026 | 3,404 | 3,384 | 3,216 | 1.7 | % | |||||||||||||||
6,033 | 5,765 | 3.1 | % | ||||||||||||||||||||||
PSI Services LLC | (9)(13)(15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/4/2025 | 104 | 104 | 71 | — | % | |||||||||||||||
PSI Services LLC | (9)(15)(17) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/4/2026 | — | — | (9 | ) | — | % | ||||||||||||||
PSI Services LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/4/2026 | 427 | 427 | 412 | 0.2 | % | |||||||||||||||
PSI Services LLC | (15) | Senior Secured Loans - First Lien | L+5.75% | 6.75% | 10/16/2026 | 2,851 | 2,817 | 2,749 | 1.5 | % | |||||||||||||||
3,348 | 3,223 | 1.7 | % | ||||||||||||||||||||||
SLR Consulting | (11)(15) | Senior Secured Loans - First Lien | L+4.00% | 4.98% | 6/23/2025 | 1,588 | 1,556 | 1,536 | 0.8 | % | |||||||||||||||
SLR Consulting (Delayed Draw) | (11)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.50% | 5/23/2025 | 494 | 512 | 496 | 0.3 | % | |||||||||||||||
2,068 | 2,032 | 1.1 | % | ||||||||||||||||||||||
Teneo Holdings LLC | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 7/12/2025 | 3,970 | 3,797 | 3,786 | 2.0 | % | ||||||||||||||||
YAK Access, LLC | Senior Secured Loans - Second Lien | L+10.00% | 10.30% | 7/10/2026 | 5,000 | 4,705 | 3,575 | 1.9 | % | ||||||||||||||||
Total Services: Business | 41,676 | 38,435 | 20.4 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Acquia Inc. | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 10/31/2025 | 1,789 | 1,754 | 1,757 | 0.9 | % | |||||||||||||||
Acquia Inc. | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+7.00% | N/A | 10/31/2025 | — | (4 | ) | (23 | ) | — | % | |||||||||||||
1,750 | 1,734 | 0.9 | % | ||||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 9.71% | 2/28/2022 | 6,945 | 6,884 | 4,852 | 2.6 | % | |||||||||||||||
Advicent Solutions | (9)(13)(15) | Senior Secured Loans - First Lien | P+4.50% | 7.75% | 2/28/2022 | 14 | 14 | 12 | — | % | |||||||||||||||
Advicent Solutions | (14)(15) | Senior Secured Loans - First Lien | L+3.5% | 4.50% | 2/28/2022 | 1,643 | 1,636 | 1,635 | 0.9 | % | |||||||||||||||
8,534 | 6,499 | 3.5 | % | ||||||||||||||||||||||
Alfresco Software | (15) | Senior Secured Loans - First Lien | L+8.50% | 9.50% | 9/9/2024 | 3,270 | 3,213 | 3,219 | 1.7 | % | |||||||||||||||
Allvue Systems (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+4.25% | N/A | 9/6/2024 | — | (13 | ) | (11 | ) | — | % | |||||||||||||
Allvue Systems (Term Loan) | (15) | Senior Secured Loans - First Lien | L+4.25% | 4.25% | 9/4/2026 | 864 | 862 | 853 | 0.5 | % | |||||||||||||||
849 | 842 | 0.5 | % | ||||||||||||||||||||||
Apptio, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+7.25% | N/A | 12/3/2024 | — | (31 | ) | (30 | ) | — | % | |||||||||||||
Apptio, Inc. | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.25% | 1/10/2025 | 4,900 | 4,845 | 4,816 | 2.5 | % |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
4,814 | 4,786 | 2.5 | % | ||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 6.76% | 6/8/2024 | £ | 2,638 | 3,350 | 3,232 | 1.7 | % | ||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+7.00% | 7.68% | 6/8/2024 | £ | 338 | 426 | 418 | 0.2 | % | ||||||||||||||
3,776 | 3,650 | 1.9 | % | ||||||||||||||||||||||
Cologix Holdings | Senior Secured Loans - First Lien | L+3.75% | 4.75% | 3/20/2024 | 2,000 | 1,938 | 1,926 | 1.0 | % | ||||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+3.75% | 3.92% | 11/29/2024 | 1,745 | 1,727 | 1,514 | 0.8 | % | ||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.36% | 4/28/2025 | 1,931 | 1,903 | 1,917 | 1.0 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 8.61% | 4/27/2026 | 462 | 454 | 458 | 0.2 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 4.68% | 4/28/2025 | 3,048 | 3,011 | 3,027 | 1.6 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 7.68% | 4/27/2026 | 4,696 | 4,636 | 4,659 | 2.5 | % | |||||||||||||||
10,004 | 10,061 | 5.3 | % | ||||||||||||||||||||||
Kerridge Commercial Systems (USD Term Loan) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.32% | 1/22/2024 | 637 | 626 | 633 | 0.3 | % | |||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.04% | 1/22/2024 | £ | 530 | 732 | 653 | 0.3 | % | ||||||||||||||
Kerridge Commercial Systems (Euro Delayed Draw) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | E+6.25% | 6.75% | 1/22/2024 | € | 97 | 118 | 109 | 0.1 | % | ||||||||||||||
Kerridge Commercial Systems (GBP Delayed Draw) | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.04% | 1/22/2024 | £ | 326 | 423 | 402 | 0.2 | % | ||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | (11)(14)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.32% | 1/22/2024 | 2,211 | 2,178 | 2,198 | 1.2 | % | |||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | E+6.25% | 6.75% | 1/25/2024 | 289 | 317 | 323 | 0.2 | % | |||||||||||||||
4,394 | 4,318 | 2.3 | % | ||||||||||||||||||||||
Lytx, Inc. | (9)(15)(16) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 2/28/2026 | 512 | 491 | 483 | 0.3 | % | |||||||||||||||
Lytx, Inc. | (15)(16) | Senior Secured Loans - First Lien | L+6.00% | 7.00% | 2/27/2026 | 5,888 | 5,791 | 5,805 | 3.1 | % | |||||||||||||||
6,282 | 6,288 | 3.4 | % | ||||||||||||||||||||||
Ministry Brands | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 949 | 944 | 877 | 0.5 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 504 | 503 | 467 | 0.2 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.00% | 12/2/2022 | 183 | 183 | 169 | 0.1 | % | |||||||||||||||
1,630 | 1,513 | 0.8 | % | ||||||||||||||||||||||
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 12/20/2021 | 6,616 | 6,606 | 6,169 | 3.2 | % | |||||||||||||||
Onyx CenterSource (Revolver) | (13)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.25% | 12/20/2021 | 329 | 317 | 307 | 0.2 | % | |||||||||||||||
6,923 | 6,476 | 3.4 | % | ||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 1/27/2023 | 6,121 | 6,088 | 6,094 | 3.2 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.25% | 1/27/2023 | 389 | 389 | 387 | 0.2 | % | |||||||||||||||
6,477 | 6,481 | 3.4 | % | ||||||||||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 12/12/2023 | 5,400 | 5,322 | 5,323 | 2.8 | % | |||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.00% | 12/12/2023 | 1,139 | 1,113 | 1,123 | 0.6 | % | |||||||||||||||
Velocity Holdings US (Revolver) | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.05% | 12/12/2022 | 462 | 430 | 433 | 0.2 | % | |||||||||||||||
6,865 | 6,879 | 3.6 | % | ||||||||||||||||||||||
Wind River Systems | (15) | Senior Secured Loans - First Lien | L+6.75% | 7.75% | 6/24/2024 | 5,449 | 5,360 | 5,390 | 2.9 | % | |||||||||||||||
Total Technology | 74,536 | 71,576 | 37.9 | % | |||||||||||||||||||||
Telecommunications | |||||||||||||||||||||||||
Firstlight Fiber | Senior Secured Loans - First Lien | L+3.50% | 3.67% | 7/23/2025 | 2,220 | 2,210 | 2,121 | 1.1 | % | ||||||||||||||||
Firstlight Fiber | (15) | Senior Secured Loans - Second Lien | L+7.50% | 7.67% | 7/23/2026 | 2,500 | 2,477 | 2,188 | 1.2 | % | |||||||||||||||
4,687 | 4,309 | 2.3 | % | ||||||||||||||||||||||
Total Telecommunications | 4,687 | 4,309 | 2.3 | % | |||||||||||||||||||||
Transportation: Consumer | |||||||||||||||||||||||||
Delta Airlines | (11) | Senior Secured Loans - First Lien | L+4.75% | 5.75% | 5/1/2023 | 100 | 97 | 98 | 0.1 | % | |||||||||||||||
Total Transportation: Consumer | 97 | 98 | 0.1 | % | |||||||||||||||||||||
Utilities: Electric | |||||||||||||||||||||||||
BHI Energy | (15) | Senior Secured Loans - Second Lien | L+8.75% | 9.75% | 2/28/2025 | 6,000 | 5,915 | 5,790 | 3.1 | % | |||||||||||||||
Total Utilities: Electric | 5,915 | 5,790 | 3.1 | % | |||||||||||||||||||||
Utilities: Oil & Gas | |||||||||||||||||||||||||
SeaPort | (15) | Senior Secured Loans - First Lien | L+5.50% | 5.68% | 10/31/2025 | 5,892 | 5,748 | 5,303 | 2.8 | % | |||||||||||||||
Total Utilities: Oil & Gas | 5,748 | 5,303 | 2.8 | % | |||||||||||||||||||||
Total Debt Investments | $ | 347,417 | $ | 316,243 | 167.6 | % | |||||||||||||||||||
Equity investments - 4.0% | |||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | |||||||||||||||||||||||||
Four Springs Capital Trust (Preferred Equity) | (11)(13)(14)(15) | Equity and Other | N/A | 16.50% | 257,464 | $ | 5,101 | $ | 5,149 | 2.7 | % | ||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 5,101 | 5,149 | 2.7 | % |
June 30, 2020 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Chef's Holdings Inc. | (13)(15)(16) | Equity and Other | N/A | N/A | 19,540 | 2,459 | 1,594 | 0.8 | % | ||||||||||||||||
Total Beverage, Food & Tobacco | 2,459 | 1,594 | 0.8 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Maverick Natural Resources, LLC (Common Equity) | (15)(16) | Equity and Other | N/A | N/A | 4,625 | 2,777 | 347 | 0.2 | % | ||||||||||||||||
SandRidge Energy, Inc. (Common Equity) | (11)(13)(16) | Equity and Other | N/A | N/A | 21,224 | 448 | 27 | — | % | ||||||||||||||||
Total Energy: Oil & Gas | 3,225 | 374 | 0.2 | % | |||||||||||||||||||||
Retail | |||||||||||||||||||||||||
Save-a-Lot | (13)(15) | Equity and Other | N/A | N/A | 53,097 | — | — | — | % | ||||||||||||||||
Total Retail | — | — | — | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Alfresco Software (Common Equity) | (13)(15)(16) | Equity and Other | N/A | N/A | 66,230 | 166 | 205 | 0.1 | % | ||||||||||||||||
Velocity Holdings US (Class A Units) | (13)(15)(16) | Equity and Other | N/A | N/A | 231 | 230 | 296 | 0.2 | % | ||||||||||||||||
Wolfhound Parent Inc. (Warrants) | (13)(15)(16) | Equity and Other | N/A | N/A | 1,975 | 30 | 30 | — | % | ||||||||||||||||
Total Technology | 426 | 531 | 0.3 | % | |||||||||||||||||||||
Total Equity Investments | $ | 11,211 | $ | 7,648 | 4.0 | % | |||||||||||||||||||
Total Investments - 171.6% | $ | 358,628 | $ | 323,891 | 171.6 | % |
June 30, 2020 (in thousands) | ||||||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||
Foreign Currency Forward Contracts | ||||||||||||||||||||
JPMorgan Chase Bank | 7/17/2020 | $ | 440 | € | 387 | — | $ | 5 | — | % | ||||||||||
JPMorgan Chase Bank | 7/17/2020 | $ | 23,614 | £ | 18,730 | — | $ | 403 | 0.2 | % | ||||||||||
$ | 408 | 0.2 | % |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities. |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of June 30, 2020, LIBO rates ranged between 0.16% for 1-month LIBOR to 0.30% for 3-month LIBOR. |
(5) | For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at June 30, 2020. |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. |
(7) | Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock. |
(8) | As of June 30, 2020, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $3.7 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $36.0 million; the net unrealized depreciation was $32.3 million; the aggregate cost of securities for Federal income tax purposes was $356.2 million. |
(9) | The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of June 30, 2020 (see Note 8. Commitments and Contingencies). |
(10) | A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. |
(11) | The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of June 30, 2020, qualifying assets represented 81% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. |
(12) | Investment position or portion thereof unsettled as of June 30, 2020. |
(13) | The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of June 30, 2020; (see Note 7. Borrowings). |
(14) | The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. |
Coupon Rate | PIK Component | Cash Component | PIK Option | ||||
Addo Foods Group | G+ 8.00% | 0.75 | % | G+7.25% | The Portfolio Company may elect PIK up to 0.75%. | ||
Advicent Solutions | L+3.5% | 0.75 | % | L+2.75% | The Portfolio Company may elect PIK up to 0.75%. | ||
CTI Foods Holdings Co., LLC (First Out) | L+7.00% | 3.00 | % | L+4.00% | The Portfolio Company may elect PIK up to 3.00%. | ||
CTI Foods Holdings Co., LLC (Last Out) | L+9.00% | 6.00 | % | L+3.00% | The Portfolio Company may elect PIK up to 6.00%. | ||
Four Springs Capital Trust | 16.50 | % | 16.50 | % | — | % | The Portfolio Company may elect PIK up to 16.50%. |
Galls LLC | L+6.75% | 0.50 | % | L+6.25% | The Portfolio Company may elect PIK up to 6.75%. | ||
Gladman Developments Ltd. | G+9.50% | 2.75 | % | G+6.75% | The Portfolio Company may elect PIK up to 2.75%. | ||
Gladman Developments Ltd. (Delayed Draw) | G+9.50% | 2.75 | % | G+6.75% | The Portfolio Company may elect PIK up to 2.75%. | ||
Kerridge Commercial Systems (GBP Term Loan) | G+6.25% | 1.74 | % | G+4.51% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
Kerridge Commercial Systems (USD Term Loan) | L+6.25% | 1.83 | % | L+4.42% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
Kerridge Commercial Systems (GBP Delayed Draw) | G+6.25% | 1.74 | % | G+4.25% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
Kerridge Commercial Systems (Euro Delayed Draw) | E+6.25% | 1.69 | % | E+4.56% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
Kerridge Commercial Systems (Bidco) Limited | L+6.25% | 1.83 | % | L+4.42% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
Kerridge Commercial Systems (Bidco) Limited | E+6.25% | 1.69 | % | E+4.56% | The Portfolio Company has elected to exercise PIK Toggle option of 25% of applicable all-in rate. | ||
McGraw-Hill Global Education Holdings | 11.00 | % | 11.00 | % | — | % | The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75%. |
Save-a-Lot | L+7.00% | 6.00 | % | L+1.00% | The Portfolio Company may elect to PIK up to 6.00%. | ||
Save-a-Lot | L+11.75% | 10.75 | % | L+1.00% | The Portfolio Company may elect to PIK up to 10.75%. |
(15) | Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
(16) | Non-income producing security. |
(17) | The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. |
(18) | Investment was on non-accrual status as of June 30, 2020, meaning that the Master Fund has ceased recognizing interest income on these investments. As of June 30, 2020, debt investments on non-accrual status represented 1.0% and 0.1% of total investments on an amortized cost basis and fair value basis, respectively. |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
INVESTMENTS | |||||||||||||||||||||||||
Debt investments - 170.0% | |||||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.94% | 6/12/2021 | 3,434 | $ | 3,420 | $ | 3,365 | 1.6 | % | |||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.66% | 9/8/2023 | 3,880 | 3,854 | 3,512 | 1.7 | % | |||||||||||||||
Total Aerospace & Defense | 7,274 | 6,877 | 3.3 | % | |||||||||||||||||||||
Automotive | |||||||||||||||||||||||||
Accuride Corporation | Senior Secured Loans - First Lien | L+5.25% | 7.35% | 11/17/2023 | 11,640 | 11,366 | 9,254 | 4.4 | % | ||||||||||||||||
American Tire Distributors Inc. | Senior Secured Loans - First Lien | L+7.50% | 9.30% | 8/30/2024 | 2,970 | 2,674 | 2,666 | 1.3 | % | ||||||||||||||||
BBB Industries | Senior Secured Loans - First Lien | L+4.50% | 6.30% | 8/1/2025 | 1,975 | 1,958 | 1,928 | 0.9 | % | ||||||||||||||||
EnTrans International, LLC | Senior Secured Loans - First Lien | L+6.00% | 7.80% | 11/1/2024 | 3,700 | 3,543 | 3,588 | 1.7 | % | ||||||||||||||||
Mavis Tire Express Services Corp. | Senior Secured Loans - First Lien | L+3.25% | 5.05% | 3/20/2025 | 3,231 | 3,218 | 3,158 | 1.5 | % | ||||||||||||||||
Mavis Tire Express Services Corp. (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+3.25% | 5.04% | 3/20/2023 | 28 | 10 | 11 | — | % | |||||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | (9) | Senior Secured Loans - First Lien | L+3.25% | 5.05% | 3/20/2025 | 92 | 92 | 90 | — | % | |||||||||||||||
3,320 | 3,259 | 1.5 | % | ||||||||||||||||||||||
Wesco Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.36% | 6/14/2024 | 1,247 | 1,234 | 1,243 | 0.6 | % | |||||||||||||||
Total Automotive | 24,095 | 21,938 | 10.4 | % | |||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | |||||||||||||||||||||||||
Gladman Developments Ltd. | UK(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 10.30% | 8/16/2024 | £ | 2,405 | 3,007 | 3,137 | 1.5 | % | ||||||||||||||
Gladman Developments Ltd. (Delayed Draw) | UK(9)(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 10.30% | 8/16/2024 | £ | 740 | 944 | 954 | 0.5 | % | ||||||||||||||
3,951 | 4,091 | 2.0 | % | ||||||||||||||||||||||
Hunt Companies, Inc. | (11) | Senior Secured Bonds | N/A | 6.25% | 2/15/2026 | 2,000 | 2,000 | 1,974 | 0.9 | % | |||||||||||||||
JZ Capital Partners Ltd. | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+5.75% | 7.88% | 6/14/2021 | 375 | 370 | 374 | 0.2 | % | |||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 6,321 | 6,439 | 3.1 | % | |||||||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(14)(15) | Senior Secured Loans - First Lien | G+8.00% | 9.00% | 4/19/2024 | £ | 9,995 | 12,232 | 12,879 | 6.1 | % | ||||||||||||||
CTI Foods Holdings Co., LLC (First Out) | (14)(15) | Senior Secured Loans - First Lien | L+7.00% | 9.26% | 5/3/2024 | 1,962 | 1,962 | 1,962 | 0.9 | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
CTI Foods Holdings Co., LLC (Last Out) | (13)(14)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.91% | 5/3/2024 | 770 | 770 | 731 | 0.3 | % | |||||||||||||||
2,732 | 2,693 | 1.2 | % | ||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.20% | 3/31/2023 | 897 | 891 | 891 | 0.4 | % | |||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.20% | 3/31/2023 | 833 | 827 | 827 | 0.4 | % | |||||||||||||||
1,718 | 1,718 | 0.8 | % | ||||||||||||||||||||||
Topps Company | (15) | Senior Secured Loans - First Lien | L+5.25% | 7.19% | 10/2/2022 | 4,988 | 4,963 | 4,981 | 2.4 | % | |||||||||||||||
Total Beverage, Food & Tobacco | 21,645 | 22,271 | 10.5 | % | |||||||||||||||||||||
Capital Equipment | |||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 1,995 | 0.9 | % | ||||||||||||||||
Total Capital Equipment | 2,000 | 1,995 | 0.9 | % | |||||||||||||||||||||
Chemicals, Plastics & Rubber | |||||||||||||||||||||||||
Aceto Chemicals | (15) | Senior Secured Loans - First Lien | L+5.50% | 7.62% | 4/29/2025 | 5,174 | 5,142 | 5,144 | 2.4 | % | |||||||||||||||
Aceto Chemicals (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 4/29/2025 | — | (90 | ) | (89 | ) | — | % | |||||||||||||
5,052 | 5,055 | 2.4 | % | ||||||||||||||||||||||
Drew Marine Group Inc. | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.19% | 6/26/2026 | 995 | 981 | 981 | 0.5 | % | |||||||||||||||
Ilpea Parent, Inc. | IT(10)(11) | Senior Secured Loans - First Lien | L+4.75% | 6.46% | 3/2/2023 | 5,496 | 5,447 | 5,468 | 2.6 | % | |||||||||||||||
Neon Holdings Inc | Senior Secured Bonds | N/A | 10.13% | 4/1/2026 | 1,500 | 1,475 | 1,493 | 0.7 | % | ||||||||||||||||
Seal For Life Industries US LLC (Revolver) | (9)(11)(13)(15) | Senior Secured Loans - First Lien | L+6.00% | 8.20% | 7/24/2024 | 260 | 185 | 186 | 0.1 | % | |||||||||||||||
Seal For Life Industries US LLC | (11)(15) | Senior Secured Loans - First Lien | E+6.00% | 8.26% | 7/23/2025 | 6,991 | 6,870 | 6,889 | 3.2 | % | |||||||||||||||
7,055 | 7,075 | 3.3 | % | ||||||||||||||||||||||
Total Chemicals, Plastics & Rubber | 20,010 | 20,072 | 9.5 | % | |||||||||||||||||||||
Construction & Building | |||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - First Lien | L+4.00% | 6.20% | 6/26/2023 | 5,428 | 5,368 | 5,396 | 2.5 | % | |||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - Second Lien | L+8.25% | 10.45% | 6/26/2024 | 6,000 | 5,910 | 5,865 | 2.8 | % | |||||||||||||||
GAL Manufacturing (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.09% | 6/24/2022 | 173 | 145 | 146 | 0.1 | % | |||||||||||||||
11,423 | 11,407 | 5.4 | % | ||||||||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 6/15/2025 | 1,744 | 1,730 | 1,743 | 0.8 | % | ||||||||||||||||
Springs Window Fashions, LLC | Senior Secured Loans - Second Lien | L+8.50% | 10.20% | 6/15/2026 | 1,756 | 1,679 | 1,668 | 0.8 | % | ||||||||||||||||
3,409 | 3,411 | 1.6 | % | ||||||||||||||||||||||
Total Construction & Building | 14,832 | 14,818 | 7.0 | % | |||||||||||||||||||||
Consumer Goods: Non-Durable | |||||||||||||||||||||||||
Galls LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.37% | 1/31/2025 | 3,620 | 3,590 | 3,591 | 1.7 | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Galls LLC (Delayed Draw B) | (9)(15) | Senior Secured Loans - First Lien | L+6.25% | 8.25% | 1/31/2025 | 533 | 528 | 528 | 0.3 | % | |||||||||||||||
Galls LLC (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | P+5.25% | 10.00% | 1/31/2024 | 487 | 430 | 434 | 0.2 | % | |||||||||||||||
Total Consumer Goods: Non-Durable | 4,548 | 4,553 | 2.2 | % | |||||||||||||||||||||
Consumer Goods: Durable | |||||||||||||||||||||||||
PlayPower, Inc. | Senior Secured Loans - First Lien | L+5.50% | 7.30% | 4/29/2026 | 1,294 | 1,281 | 1,284 | 0.6 | % | ||||||||||||||||
Total Consumer Goods: Durable | 1,281 | 1,284 | 0.6 | % | |||||||||||||||||||||
Containers, Packaging & Glass | |||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.45% | 9/23/2021 | 5,239 | 5,010 | 4,610 | 2.2 | % | ||||||||||||||||
Husky Injection Molding Systems Ltd. | CN(10)(11) | Senior Secured Loans - First Lien | L+3.00% | 4.70% | 3/28/2025 | 1,980 | 1,854 | 1,952 | 0.9 | % | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.60% | 5/26/2023 | 3,449 | 3,426 | 3,121 | 1.5 | % | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 10.60% | 11/26/2023 | 3,000 | 2,969 | 2,550 | 1.2 | % | |||||||||||||||
6,395 | 5,671 | 2.7 | % | ||||||||||||||||||||||
Total Containers, Packaging & Glass | 13,259 | 12,233 | 5.8 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Basic Energy Services Inc | (13) | Senior Secured Bonds | N/A | 10.75% | 10/15/2023 | 2,000 | 1,985 | 1,430 | 0.7 | % | |||||||||||||||
Navajo Nation Oil and Gas | (15) | Senior Secured Loans - First Lien | L+7.50% | 9.60% | 6/14/2022 | 3,438 | 3,415 | 3,417 | 1.6 | % | |||||||||||||||
Penn Virginia | (11)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.71% | 9/29/2022 | 3,000 | 2,961 | 2,955 | 1.4 | % | |||||||||||||||
Permian Production Partners | (15)(18) | Senior Secured Loans - First Lien | N/A | N/A | 5/20/2024 | 3,800 | 3,680 | 1,805 | 0.8 | % | |||||||||||||||
Total Energy: Oil & Gas | 12,041 | 9,607 | 4.5 | % | |||||||||||||||||||||
Healthcare & Pharmaceuticals | |||||||||||||||||||||||||
Alegeus Technologies LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.28% | 9/5/2024 | 8,000 | 7,938 | 7,969 | 3.8 | % | |||||||||||||||
Alltech | (13)(15) | Senior Unsecured Debt | L+10.25% | 11.95% | 7/21/2023 | 14,375 | 14,257 | 14,258 | 6.8 | % | |||||||||||||||
Alltech | (13)(15) | Senior Unsecured Debt | E+10.25% | 11.25% | 7/21/2023 | € | 601 | 622 | 669 | 0.3 | % | ||||||||||||||
14,879 | 14,927 | 7.1 | % | ||||||||||||||||||||||
Cambrex Corporation | Senior Secured Loans - First Lien | L+5.00% | 6.70% | 11/20/2026 | 2,500 | 2,450 | 2,498 | 1.2 | % | ||||||||||||||||
Endo Pharmaceuticals Finance Co. | IR(10)(11)(13) | Senior Unsecured Debt | N/A | 6.00% | 7/15/2023 | 4,965 | 4,104 | 3,587 | 1.7 | % | |||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+8.25% | 9.87% | 8/15/2023 | 12,000 | 11,823 | 12,120 | 5.7 | % | |||||||||||||||
Total Healthcare & Pharmaceuticals | 41,194 | 41,101 | 19.5 | % | |||||||||||||||||||||
Hotel, Gaming & Leisure | |||||||||||||||||||||||||
ASM Global | Senior Secured Loans - First Lien | L+3.00% | 4.70% | 1/23/2025 | 2,358 | 2,356 | 2,371 | 1.1 | % | ||||||||||||||||
ASM Global | Senior Secured Loans - Second Lien | L+7.00% | 8.70% | 1/23/2026 | 2,400 | 2,395 | 2,428 | 1.1 | % | ||||||||||||||||
4,751 | 4,799 | 2.2 | % | ||||||||||||||||||||||
Playtika Holding | (11) | Senior Secured Loans - First Lien | L+6.00% | 7.80% | 12/31/2024 | 2,000 | 1,960 | 2,025 | 1.0 | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Total Hotel, Gaming & Leisure | 6,711 | 6,824 | 3.2 | % | |||||||||||||||||||||
Media: Advertising, Printing & Publishing | |||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 5/17/2024 | 5,722 | 5,665 | 5,722 | 2.7 | % | |||||||||||||||
Boats Group | (15) | Senior Secured Loans - Second Lien | L+8.00% | 9.80% | 11/18/2024 | 3,338 | 3,306 | 3,372 | 1.6 | % | |||||||||||||||
Boats Group (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/12/2022 | — | (44 | ) | (41 | ) | — | % | |||||||||||||
8,927 | 9,053 | 4.3 | % | ||||||||||||||||||||||
Houghton Mifflin Harcourt Publishers, Inc. | (11) | Senior Secured Loans - First Lien | L+6.25% | 8.04% | 11/19/2024 | 2,500 | 2,400 | 2,500 | 1.2 | % | |||||||||||||||
McGraw-Hill Global Education Holdings | Senior Secured Loans - First Lien | L+4.00% | 5.70% | 5/4/2022 | 1,943 | 1,930 | 1,863 | 0.9 | % | ||||||||||||||||
McGraw-Hill Global Education Holdings | (13)(14)(15) | Senior Unsecured Debt | N/A | 11.00% | 4/20/2022 | 2,000 | 1,968 | 1,871 | 0.9 | % | |||||||||||||||
McGraw-Hill Global Education Holdings | (13) | Senior Unsecured Debt | N/A | 7.88% | 5/15/2024 | 1,340 | 1,302 | 1,152 | 0.5 | % | |||||||||||||||
5,200 | 4,886 | 2.3 | % | ||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.30% | 6/15/2024 | 8,113 | 8,070 | 8,023 | 3.8 | % | |||||||||||||||
Trader Interactive (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 6/15/2023 | — | (31 | ) | (30 | ) | — | % | |||||||||||||
8,039 | 7,993 | 3.8 | % | ||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 24,566 | 24,432 | 11.6 | % | |||||||||||||||||||||
Retail | |||||||||||||||||||||||||
At Home Group | (11)(15) | Senior Secured Loans - First Lien | L+3.50% | 5.43% | 6/3/2022 | 318 | 291 | 278 | 0.1 | % | |||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+6.75% | 8.80% | 12/12/2022 | 1,146 | 1,083 | 807 | 0.4 | % | ||||||||||||||||
Beverages and More, Inc. | (13) | Senior Secured Bonds | N/A | 11.50% | 6/15/2022 | 900 | 758 | 617 | 0.3 | % | |||||||||||||||
Blue Nile, Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.41% | 2/17/2023 | 10,500 | 10,316 | 4,568 | 2.2 | % | |||||||||||||||
Buddys Newco, LLC | (13)(15) | Senior Secured Loans - First Lien | L+8.00% | 10.21% | 7/10/2024 | 3,900 | 3,827 | 4,088 | 1.9 | % | |||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.60% | 7/5/2022 | 4,340 | 4,306 | 4,080 | 1.9 | % | |||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.60% | 7/5/2022 | 489 | 489 | 460 | 0.2 | % | |||||||||||||||
4,795 | 4,540 | 2.1 | % | ||||||||||||||||||||||
Save-a-Lot | (13) | Senior Secured Loans - First Lien | L+6.00% | 8.10% | 12/5/2023 | 4,064 | 2,261 | 1,488 | 0.7 | % | |||||||||||||||
Sears Outlet | (11)(13)(15) | Senior Secured Loans - First Lien | L+6.50% | 8.43% | 10/23/2023 | 2,625 | 2,575 | 2,644 | 1.3 | % | |||||||||||||||
Smart & Final Stores LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.55% | 6/20/2025 | 3,980 | 3,605 | 3,850 | 1.8 | % | |||||||||||||||
Total Retail | 29,511 | 22,880 | 10.8 | % | |||||||||||||||||||||
Services: Business | |||||||||||||||||||||||||
24-7 Intouch | CN(10)(11) | Senior Secured Loans - First Lien | L+4.25% | 5.95% | 8/25/2025 | 3,950 | 3,715 | 3,851 | 1.8 | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Alexander Mann Solutions (GBP Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | G+5.00% | 5.71% | 6/16/2025 | £ | 2,060 | 2,546 | 2,603 | 1.2 | % | ||||||||||||||
Alexander Mann Solutions (USD Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.80% | 6/16/2025 | 890 | 850 | 863 | 0.4 | % | |||||||||||||||
Alexander Mann Solutions (Revolver) | UK(9)(10)(11)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/16/2024 | — | (45 | ) | (45 | ) | — | % | |||||||||||||
3,351 | 3,421 | 1.6 | % | ||||||||||||||||||||||
Capstone Logistics, LLC | Senior Secured Loans - First Lien | L+4.50% | 6.21% | 10/7/2021 | 4,755 | 4,730 | 4,687 | 2.2 | % | ||||||||||||||||
Clarion (Comet Bidco) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.00% | 7.12% | 9/30/2024 | 5,881 | 5,790 | 5,779 | 2.7 | % | |||||||||||||||
HealthChannels, Inc. | Senior Secured Loans - First Lien | L+4.50% | 6.24% | 4/3/2025 | 2,857 | 2,805 | 2,810 | 1.3 | % | ||||||||||||||||
Lifelong Learner Holdings T/L | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.49% | 10/16/2026 | 2,866 | 2,831 | 2,834 | 1.4 | % | |||||||||||||||
Park Place Technologies | Senior Secured Loans - First Lien | L+4.00% | 5.80% | 3/29/2025 | 2,672 | 2,662 | 2,663 | 1.3 | % | ||||||||||||||||
Park Place Technologies | Senior Secured Loans - Second Lien | L+8.00% | 9.80% | 3/29/2026 | 3,404 | 3,383 | 3,378 | 1.6 | % | ||||||||||||||||
6,045 | 6,041 | 2.9 | % | ||||||||||||||||||||||
PSI Services LLC | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+5.75% | 7.69% | 10/4/2025 | 30 | 30 | (6 | ) | — | % | ||||||||||||||
PSI Services LLC | (9)(15) | Senior Secured Loans - First Lien | N/A | N/A | 10/4/2026 | — | — | — | — | % | |||||||||||||||
PSI Services LLC | (9)(15) | Senior Secured Loans - First Lien | L+5.75% | 7.63% | 10/4/2026 | 429 | 429 | 422 | 0.2 | % | |||||||||||||||
459 | 416 | 0.2 | % | ||||||||||||||||||||||
SLR Consulting | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.79% | 6/23/2025 | 1,588 | 1,551 | 1,554 | 0.7 | % | |||||||||||||||
SLR Consulting (Delayed Draw) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | 5.18% | 5/23/2025 | 494 | 512 | 508 | 0.3 | % | |||||||||||||||
2,063 | 2,062 | 1.0 | % | ||||||||||||||||||||||
Teneo Holdings LLC | Senior Secured Loans - First Lien | L+5.25% | 6.99% | 7/12/2025 | 3,990 | 3,802 | 3,805 | 1.8 | % | ||||||||||||||||
YAK Access, LLC | Senior Secured Loans - Second Lien | L+10.00% | 11.79% | 7/10/2026 | 5,000 | 4,688 | 4,409 | 2.1 | % | ||||||||||||||||
Total Services: Business | 40,279 | 40,115 | 19.0 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 10.35% | 2/28/2022 | 6,983 | 6,904 | 5,795 | 2.7 | % | |||||||||||||||
Alfresco Software | (15) | Senior Secured Loans - First Lien | L+8.50% | 10.64% | 9/9/2024 | 3,287 | 3,223 | 3,229 | 1.5 | % | |||||||||||||||
Acquia Inc. | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.91% | 10/31/2025 | 1,789 | 1,754 | 1,776 | 0.8 | % | |||||||||||||||
Acquia Inc. | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 10/31/2025 | — | (4 | ) | (26 | ) | — | % | |||||||||||||
1,750 | 1,750 | 0.8 | % | ||||||||||||||||||||||
Allvue Systems (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 9/6/2024 | — | (13 | ) | (12 | ) | — | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Allvue Systems (Term Loan) | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.36% | 9/4/2026 | 868 | 866 | 860 | 0.4 | % | |||||||||||||||
853 | 848 | 0.4 | % | ||||||||||||||||||||||
Apptio, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/3/2024 | — | (35 | ) | (34 | ) | — | % | |||||||||||||
Apptio, Inc. | (15) | Senior Secured Loans - First Lien | L+7.25% | 8.96% | 1/10/2025 | 4,900 | 4,841 | 4,855 | 2.3 | % | |||||||||||||||
4,806 | 4,821 | 2.3 | % | ||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.03% | 6/8/2024 | £ | 2,638 | 3,346 | 3,450 | 1.7 | % | ||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+6.25% | 7.01% | 6/8/2024 | £ | 338 | 426 | 447 | 0.2 | % | ||||||||||||||
3,772 | 3,897 | 1.9 | % | ||||||||||||||||||||||
Cologix Holdings | Senior Secured Loans - First Lien | L+3.75% | 5.45% | 3/20/2024 | 2,000 | 1,931 | 1,990 | 0.9 | % | ||||||||||||||||
Cvent, Inc. | Senior Secured Loans - First Lien | L+3.75% | 5.55% | 11/29/2024 | 1,975 | 1,952 | 1,976 | 0.9 | % | ||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.76% | 4/28/2025 | 1,931 | 1,900 | 1,916 | 0.9 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 9.68% | 4/27/2026 | 462 | 454 | 458 | 0.2 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.76% | 4/28/2025 | 3,048 | 3,006 | 3,025 | 1.5 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 9.68% | 4/27/2026 | 4,696 | 4,631 | 4,656 | 2.2 | % | |||||||||||||||
9,991 | 10,055 | 4.8 | % | ||||||||||||||||||||||
Kerridge Commercial Systems (USD Term Loan) | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+4.25% | 6.35% | 1/22/2024 | 634 | 625 | 630 | 0.3 | % | |||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+4.25% | 5.01% | 1/22/2024 | £ | 528 | 729 | 695 | 0.3 | % | ||||||||||||||
Kerridge Commercial Systems (Euro Delayed Draw) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | E+4.75% | 4.75% | 1/22/2024 | € | 97 | 118 | 108 | 0.1 | % | ||||||||||||||
Kerridge Commercial Systems (GBP Delayed Draw) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+4.25% | 5.01% | 1/22/2024 | £ | 325 | 421 | 427 | 0.2 | % | ||||||||||||||
Kerridge Commercial Systems (Bidco) Limited | (11)(13)(15) | Senior Secured Loans - First Lien | L+6.25% | 8.19% | 1/22/2024 | 2,200 | 2,167 | 2,184 | 1.0 | % | |||||||||||||||
4,060 | 4,044 | 1.9 | % | ||||||||||||||||||||||
Lytx, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.45% | 8/31/2023 | 6,482 | 6,379 | 6,473 | 3.1 | % | |||||||||||||||
Lytx, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.45% | 8/31/2023 | 1,453 | 1,422 | 1,451 | 0.7 | % | |||||||||||||||
Lytx, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 8/31/2022 | — | (25 | ) | (25 | ) | — | % | |||||||||||||
7,776 | 7,899 | 3.8 | % | ||||||||||||||||||||||
Ministry Brands | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.86% | 12/2/2022 | 953 | 948 | 953 | 0.5 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.86% | 12/2/2022 | 507 | 505 | 507 | 0.2 | % |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Ministry Brands (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+4.00% | 5.86% | 12/2/2022 | 184 | 184 | 184 | 0.1 | % | |||||||||||||||
1,637 | 1,644 | 0.8 | % | ||||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.36% | 12/20/2021 | 6,652 | 6,639 | 6,640 | 3.1 | % | |||||||||||||||
Onyx CenterSource (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | N/A | N/A | 12/20/2021 | — | (16 | ) | (16 | ) | — | % | |||||||||||||
6,623 | 6,624 | 3.1 | % | ||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.95% | 1/27/2023 | 6,152 | 6,114 | 6,121 | 2.9 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.95% | 1/27/2023 | 391 | 391 | 389 | 0.2 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - Second Lien | L+9.75% | 11.45% | 7/27/2023 | 4,388 | 4,330 | 4,386 | 2.1 | % | |||||||||||||||
10,835 | 10,896 | 5.2 | % | ||||||||||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.90% | 12/12/2023 | 5,428 | 5,335 | 5,339 | 2.5 | % | |||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.90% | 12/12/2023 | 1,145 | 1,115 | 1,127 | 0.6 | % | |||||||||||||||
Velocity Holdings US (Revolver) | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 9.05% | 12/12/2022 | 462 | 424 | 428 | 0.2 | % | |||||||||||||||
6,874 | 6,894 | 3.3 | % | ||||||||||||||||||||||
Wind River Systems | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.45% | 6/24/2024 | 5,534 | 5,435 | 5,467 | 2.6 | % | |||||||||||||||
Total Technology | 78,422 | 77,829 | 36.9 | % | |||||||||||||||||||||
Telecommunications | |||||||||||||||||||||||||
Firstlight Fiber | Senior Secured Loans - First Lien | L+3.50% | 5.20% | 7/23/2025 | 2,231 | 2,221 | 2,237 | 1.0 | % | ||||||||||||||||
Firstlight Fiber | Senior Secured Loans - Second Lien | L+7.50% | 9.30% | 7/23/2026 | 2,500 | 2,476 | 2,481 | 1.2 | % | ||||||||||||||||
4,697 | 4,718 | 2.2 | % | ||||||||||||||||||||||
Total Telecommunications | 4,697 | 4,718 | 2.2 | % | |||||||||||||||||||||
Transportation: Cargo | |||||||||||||||||||||||||
Flexi-Van Leasing Corp | Senior Secured Bonds | N/A | 10.00% | 2/15/2023 | 4,975 | 4,778 | 4,714 | 2.2 | % | ||||||||||||||||
Total Transportation: Cargo | 4,778 | 4,714 | 2.2 | % | |||||||||||||||||||||
Utilities: Electric | |||||||||||||||||||||||||
BHI Energy | (15) | Senior Secured Loans - Second Lien | L+8.75% | 10.95% | 2/28/2025 | 6,000 | 5,908 | 5,925 | 2.8 | % | |||||||||||||||
Moxie Liberty, LLC | Senior Secured Loans - First Lien | L+6.50% | 8.60% | 8/21/2020 | 2,892 | 2,878 | 2,583 | 1.2 | % | ||||||||||||||||
Total Utilities: Electric | 8,786 | 8,508 | 4.0 | % | |||||||||||||||||||||
Utilities: Oil & Gas | |||||||||||||||||||||||||
SeaPort | (15) | Senior Secured Loans - First Lien | L+5.50% | 7.21% | 10/31/2025 | 5,940 | 5,784 | 5,881 | 2.8 | % | |||||||||||||||
Total Utilities: Oil & Gas | 5,784 | 5,881 | 2.8 | % | |||||||||||||||||||||
Total Debt Investments | $ | 372,034 | $ | 359,089 | 170.0 | % | |||||||||||||||||||
Equity investments - 6.2% | |||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate |
December 31, 2019 (in thousands) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Four Springs Capital Trust (Preferred Equity) | (11)(13)(14)(15) | Equity and Other | N/A | 16.75% | 237,576 | $ | 4,700 | $ | 4,752 | 2.3 | % | ||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 4,700 | 4,752 | 2.3 | % | |||||||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Chef's Holdings Inc. | (13)(15)(16) | Equity and Other | N/A | N/A | 19,540 | 2,459 | 2,284 | 1.1 | % | ||||||||||||||||
Total Beverage, Food & Tobacco | 2,459 | 2,284 | 1.1 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Maverick Natural Resources, LLC (Common Equity) | (15)(16) | Equity and Other | N/A | N/A | 4,625 | 2,777 | 2,081 | 1.0 | % | ||||||||||||||||
SandRidge Energy, Inc. (Common Equity) | (11)(13)(16) | Equity and Other | N/A | N/A | 21,224 | 448 | 90 | — | % | ||||||||||||||||
Total Energy: Oil & Gas | 3,225 | 2,171 | 1.0 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Alfresco Software (Common Equity) | (13)(15)(16) | Equity and Other | N/A | N/A | 66,230 | 166 | 203 | 0.1 | % | ||||||||||||||||
Lytx, Inc. (Preferred Equity) | (13)(14)(15) | Equity and Other | N/A | 14.75% | 2,958 | 2,957 | 3,303 | 1.6 | % | ||||||||||||||||
Lytx, Inc. (Warrants) | (13)(15)(16) | Equity and Other | N/A | N/A | 130 | — | 81 | — | % | ||||||||||||||||
Velocity Holdings US (Class A Units) | (13)(15)(16) | Equity and Other | N/A | N/A | 231 | 231 | 280 | 0.1 | % | ||||||||||||||||
Wolfhound Parent Inc. (Warrants) | (13)(15)(16) | Equity and Other | N/A | N/A | 1,975 | 30 | 30 | — | % | ||||||||||||||||
Total Technology | 3,384 | 3,897 | 1.8 | % | |||||||||||||||||||||
Total Equity Investments | $ | 13,768 | $ | 13,104 | 6.2 | % | |||||||||||||||||||
Total Investments - 176.2% | $ | 385,802 | $ | 372,193 | 176.2 | % |
December 31, 2019 (in thousands) | ||||||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||
Foreign Currency Forward Contracts | ||||||||||||||||||||
JPMorgan Chase Bank | 1/14/2020 | € | 772 | $ | 694 | — | $ | (7 | ) | — | % | |||||||||
JPMorgan Chase Bank | 1/14/2020 | £ | 24,936 | $ | 18,878 | — | $ | (80 | ) | — | % | |||||||||
$ | (87 | ) | — | % |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940 (the "1940 Act"). The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities. |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G") or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR or Prime based on each respective credit agreement. As of December 31, 2019, LIBO rates ranged between 1.76% for 1-month LIBOR to 1.91% for 3-month LIBOR. |
(5) | For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at December 31, 2019. |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. |
(7) | Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock. |
(8) | As of December 31, 2019, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $4.8 million; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $17.6 million; the net unrealized depreciation was $12.8 million; the aggregate cost of securities for Federal income tax purposes was $384.9 million. |
(9) | The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2019 (see Note 8. Commitments and Contingencies). |
(10) | A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. |
(11) | The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2019, qualifying assets represented 79% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. |
(12) | Investment position or portion thereof unsettled as of December 31, 2019. |
(13) | The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of December 31, 2019; (see Note 7. Borrowings). |
(14) | The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. |
Coupon Rate | PIK Component | Cash Component | PIK Option | ||||
Addo Foods Group | G+ 8.00% | 0.75 | % | G+7.25% | The Portfolio Company may elect PIK up to 0.75% | ||
CTI Foods Holdings Co., LLC (First Out) | L+7.00% | 3.00 | % | L+4.00% | The Portfolio Company may elect PIK up to 3.00% | ||
CTI Foods Holdings Co., LLC (Last Out) | L+9.00% | 6.00 | % | L+3.00% | The Portfolio Company may elect PIK up to 6.00% | ||
Four Springs Capital Trust | 16.75 | % | 16.75 | % | — | % | The Portfolio Company may elect PIK up to 16.75% |
Gladman Developments Ltd. | G+9.50% | 2.75 | % | G+6.75% | The Portfolio Company may elect PIK up to 2.75% | ||
Gladman Developments Ltd. (Delayed Draw) | G+9.50% | 2.75 | % | G+6.75% | The Portfolio Company may elect PIK up to 2.75% | ||
Lytx, Inc. | 14.75 | % | 14.75 | % | — | % | The Portfolio Company may elect PIK up to 14.75% |
McGraw-Hill Global Education Holdings | 11.00 | % | 11.75 | % | — | % | The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75% |
(15) | Investments value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
(16) | Non-income producing security. |
(17) | The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. |
(18) | Investment was on non-accrual status as of December 31, 2019, meaning that the Master Fund has ceased recognizing interest income on these investments. As of December 31, 2019, debt investments on non-accrual status represented 1.0% and 0.5% of total investments on an amortized cost basis and fair value basis, respectively. |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||
Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||||||||||
Senior secured loans - first lien | $ | 299,344 | $ | 275,265 | 85.0 | % | $ | 279,872 | $ | 268,678 | 72.2 | % | |||||||||
Senior secured loans - second lien | 37,056 | 32,519 | 10.0 | 56,913 | 56,651 | 15.2 | |||||||||||||||
Senior secured bonds | 7,816 | 6,124 | 1.9 | 12,996 | 12,223 | 3.3 | |||||||||||||||
Senior unsecured debt | 3,201 | 2,335 | 0.7 | 22,253 | 21,537 | 5.8 | |||||||||||||||
Total senior debt | $ | 347,417 | $ | 316,243 | 97.6 | % | $ | 372,034 | $ | 359,089 | 96.5 | % | |||||||||
Equity and other | 11,211 | 7,648 | 2.4 | 13,768 | 13,104 | 3.5 | |||||||||||||||
Total investments | $ | 358,628 | $ | 323,891 | 100.0 | % | $ | 385,802 | $ | 372,193 | 100.0 | % |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||
Industry Classification | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||||||||||
Technology | $ | 74,962 | $ | 72,107 | 22.2 | % | $ | 81,806 | $ | 81,726 | 22.0 | % | ||||||||||
Services: Business | 41,676 | 38,435 | 11.9 | 40,279 | 40,115 | 10.8 | ||||||||||||||||
Beverage, Food & Tobacco | 29,208 | 28,089 | 8.7 | 24,104 | 24,555 | 6.6 | ||||||||||||||||
Automotive | 27,242 | 21,730 | 6.7 | 24,095 | 21,938 | 5.9 | ||||||||||||||||
Chemicals, Plastics & Rubber | 20,344 | 20,106 | 6.2 | 20,010 | 20,072 | 5.4 | ||||||||||||||||
Media: Advertising, Printing & Publishing | 21,009 | 19,338 | 6.0 | 24,566 | 24,432 | 6.6 | ||||||||||||||||
Retail | 23,476 | 17,149 | 5.3 | 29,511 | 22,880 | 6.1 | ||||||||||||||||
Consumer goods: Non-durable | 16,965 | 16,721 | 5.2 | 4,548 | 4,553 | 1.2 | ||||||||||||||||
Containers, Packaging & Glass | 16,447 | 13,943 | 4.3 | 13,259 | 12,233 | 3.3 | ||||||||||||||||
Construction & Building | 13,808 | 13,557 | 4.2 | 14,832 | 14,818 | 4.0 | ||||||||||||||||
Banking, Finance, Insurance & Real Estate (1) | 11,430 | 11,082 | 3.4 | 11,021 | 11,191 | 3.0 | ||||||||||||||||
Healthcare & Pharmaceuticals | 10,398 | 10,352 | 3.2 | 41,194 | 41,101 | 11.0 | ||||||||||||||||
Aerospace & Defense | 7,742 | 7,663 | 2.4 | 7,274 | 6,877 | 1.8 | ||||||||||||||||
Energy: Oil & Gas | 14,917 | 6,370 | 2.0 | 15,266 | 11,778 | 3.2 | ||||||||||||||||
Utilities: Electric | 5,915 | 5,790 | 1.8 | 8,786 | 8,508 | 2.3 | ||||||||||||||||
Utilities: Oil & Gas | 5,748 | 5,303 | 1.6 | 5,784 | 5,881 | 1.6 | ||||||||||||||||
Metals & Mining | 4,898 | 4,720 | 1.5 | — | — | — | ||||||||||||||||
Telecommunications | 4,687 | 4,309 | 1.3 | 4,697 | 4,718 | 1.3 | ||||||||||||||||
Hotel, Gaming & Leisure | 4,402 | 4,209 | 1.3 | 6,711 | 6,824 | 1.8 | ||||||||||||||||
Capital Equipment | 2,000 | 1,695 | 0.5 | 2,000 | 1,995 | 0.5 | ||||||||||||||||
Consumer Goods: Durable | 1,257 | 1,125 | 0.3 | 1,281 | 1,284 | 0.3 | ||||||||||||||||
Transportation: Consumer | 97 | 98 | — | — | — | — | ||||||||||||||||
Transportation: Cargo | — | — | — | 4,778 | 4,714 | 1.3 | ||||||||||||||||
Total investments | $ | 358,628 | $ | 323,891 | 100.0 | % | $ | 385,802 | $ | 372,193 | 100.0 | % |
(1) | Portfolio companies included in this classification may include insurance brokers that are not classified as insurance companies. |
Geographic Dispersion | June 30, 2020 | December 31, 2019 | ||||
United States of America | 87.8 | % | 85.5 | % | ||
United Kingdom | 7.7 | 9.2 | ||||
Canada | 2.9 | 2.8 | ||||
Italy | 1.6 | 1.5 | ||||
Ireland | — | 1.0 | ||||
Total investments | 100.0 | % | 100.0 | % |
June 30, 2020 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | July 17, 2020 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 387 | $ | 440 | $ | 435 | $ | 5 | |||||||||||
GBP | July 17, 2020 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,730 | 23,614 | 23,211 | 403 | ||||||||||||||
Total | $ | 24,054 | $ | 23,646 | $ | 408 |
December 31, 2019 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | January 14, 2020 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 694 | $ | 772 | $ | 779 | $ | (7 | ) | ||||||||||
GBP | January 14, 2020 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,878 | 24,936 | 25,016 | (80 | ) | |||||||||||||
Total | $ | 25,708 | $ | 25,795 | $ | (87 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||||
Statement Location | 2020 | 2019 | 2020 | 2019 | ||||||||||||||
Net realized gains (losses) | ||||||||||||||||||
Foreign currency forward contracts | Net realized gains (losses) on foreign currency forward contracts | $ | 42 | $ | 861 | $ | 1,051 | $ | (126 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | ||||||||||||||||||
Foreign currency forward contracts | Net change in unrealized appreciation (depreciation) on foreign currency forward contracts | 17 | (144 | ) | 495 | 379 | ||||||||||||
Net realized and unrealized gains on foreign currency forward contracts | $ | 59 | $ | 717 | $ | 1,546 | $ | 253 |
As of | Counterparty | Gross Derivative Assets in Statement of Assets and Liabilities | Gross Derivative Liabilities in Statement of Assets and Liabilities | Collateral Pledged | Net position of Derivative Assets, Liabilities and Pledged Collateral | |||||||||||||
June 30, 2020 | JP Morgan Chase Bank, N.A. | $ | 408 | $ | — | $ | (360 | ) | $ | 48 | ||||||||
December 31, 2019 | JP Morgan Chase Bank, N.A. | $ | — | $ | (87 | ) | $ | (320 | ) | $ | (407 | ) |
June 30, 2020 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 76,808 | $ | 198,457 | $ | 275,265 | |||||||
Senior secured loans - second lien | — | 4,921 | 27,598 | 32,519 | |||||||||||
Senior secured bonds | — | 6,124 | — | 6,124 | |||||||||||
Senior unsecured debt | — | 837 | 1,498 | 2,335 | |||||||||||
Total senior debt | $ | — | $ | 88,690 | $ | 227,553 | $ | 316,243 | |||||||
Equity and other | 27 | — | 7,621 | 7,648 | |||||||||||
Total investments | $ | 27 | $ | 88,690 | $ | 235,174 | $ | 323,891 | |||||||
Percentage | 0.0 | % | 27.4 | % | 72.6 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | 408 | $ | — | $ | 408 |
December 31, 2019 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 80,704 | $ | 187,974 | $ | 268,678 | |||||||
Senior secured loans - second lien | — | 14,364 | 42,287 | 56,651 | |||||||||||
Senior secured bonds | — | 12,223 | — | 12,223 | |||||||||||
Senior unsecured debt | — | 4,739 | 16,798 | 21,537 | |||||||||||
Total senior debt | $ | — | $ | 112,030 | $ | 247,059 | $ | 359,089 | |||||||
Equity and other | 90 | — | 13,014 | 13,104 | |||||||||||
Total investments | $ | 90 | $ | 112,030 | $ | 260,073 | $ | 372,193 | |||||||
Percentage | 0.0 | % | 30.1 | % | 69.9 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (87 | ) | $ | — | $ | (87 | ) |
June 30, 2020 | ||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | $ | 157,616 | Yield analysis | Yield | 7.55% | 4.33% - 17.81% | Decrease | |
$ | 1,635 | Transacted value | Cost | 99.50 | 99.50 | Increase | ||
$ | 2,799 | Transacted value | Price | 84.00 | 84.00 | Increase | ||
$ | 4,852 | Transacted value | Bid | 42.30 | 42.30 | Increase | ||
Discounted cash flow | Discount Rate | 18.00% | 18.00% | Decrease | ||||
Discounted cash flow | Perpetuity Growth Rate | (10.00)% | (10.00)% | Increase | ||||
Discounted cash flow | Terminal EBITDA Multiple | 7.2x | 7.2x | Increase | ||||
Senior secured loans - second lien | $ | 17,709 | Yield analysis | Yield | 10.08% | 8.29% - 25.73% | Decrease | |
Senior unsecured debt | $ | 1,498 | Yield analysis | Yield | 29.40% | 29.40% | Decrease | |
Equity and other | $ | 30 | Transacted value | Cost(5) | 15.36 | 15.36 | Increase | |
$ | 5,149 | Market comparable | Capitalization Rate | 7.00% | 7.00% | Increase | ||
$ | 347 | Market comparable | Cash Flow Multiple | 1.6x | 1.6x | Increase | ||
Market comparable | Oil production multiple (6) | 7121x | 7121x | Increase | ||||
Market comparable | Oil reserve multiple (7) | 2.7x | 2.7x | Increase | ||||
$ | 2,095 | Discounted cash flow | Discount Rate | 17.00% | 13.27% - 17.5% | Decrease | ||
Discounted cash flow | EBITDA multiple | 15.1x | 14.2x - 15.8x | Increase | ||||
Discounted cash flow | Perpetuity Growth Rate | 6.77% | 5% - 8% | Increase | ||||
Discounted cash flow | Terminal EBITDA Multiple | 8x | 7x - 13x | Increase | ||||
Total | $ | 193,730 |
(1) | For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%. |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of June 30, 2020, the Master Fund had investments of this nature measured at fair value totaling $41.4 million. |
(3) | A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values. |
(4) | 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 unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) | Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value. |
(6) | Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d). |
(7) | Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE). |
December 31, 2019 | ||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | $ | 121,594 | Yield analysis | Yield | 8.44% | 4.64% - 12.05% | Decrease | |
$ | 5,722 | Transacted value | Potential transaction | 100.00 | 100.00 | Increase | ||
$ | 14,656 | Yield analysis | Yield | 7.88% | 6.47% - 8.5% | Decrease | ||
Transacted value | Potential transaction | 101.73 | 100 - 105.57 | Increase | ||||
$ | 5,795 | Yield analysis | Yield | 20.23% | 20.23% | Decrease | ||
Transacted value | Bid | 61.27 | 61.27 | Increase | ||||
Discounted cash flow | Discount Rate | 17.50% | 17.50% | Decrease | ||||
Discounted cash flow | Perpetuity Growth Rate | (10.00)% | (10.00)% | Increase | ||||
Discounted cash flow | Terminal EBITDA Multiple | 5.9x | 5.9x | Increase | ||||
Senior secured loans - second lien | $ | 16,904 | Yield analysis | Yield | 9.91% | 7.67% - 11.27% | Decrease | |
$ | 15,492 | Transacted value | Potential transaction | 101.00 | 101.00 | Increase | ||
$ | 4,386 | Yield analysis | Yield | 11.46% | 11.46% | Decrease | ||
Transacted value | Potential transaction | 100.00 | 100.00 | Increase | ||||
Senior unsecured debt | $ | 16,798 | Yield analysis | Yield | 12.44% | 11.53% - 14.33% | Decrease | |
Equity and other | $ | 30 | Transacted value | Cost (5) | 15.36 | 15.36 | Increase | |
$ | 3,303 | Transacted value | Potential transaction | 1,116.45 | 1,116.45 | Increase | ||
$ | 4,752 | Market comparable | Capitalization Rate | 7.00% | 7.00% | Increase | ||
$ | 81 | Discounted cash flow | EBITDA multiple | 16.7x | 16.7x | Increase | ||
$ | 2,081 | Market comparable | Cash Flow Multiple | 3.6x | 3.6x | Increase | ||
Market comparable | Oil production multiple (6) | 19,650x | 19,650x | Increase | ||||
Market comparable | Oil reserve multiple (7) | 6.6x | 6.6x | Increase | ||||
$ | 2,767 | Discounted cash flow | Discount Rate | 20.01% | 14.08% - 15% | Decrease | ||
Discounted cash flow | EBITDA multiple | 14.5x | 13.2x - 15.4x | Increase | ||||
Discounted cash flow | Perpetuity Growth Rate | 6.74% | 5% - 8% | Increase | ||||
Discounted cash flow | Terminal EBITDA Multiple | 8.2x | 7.5x - 13x | Increase | ||||
Total | $ | 214,361 |
(1) | For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%. |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2019, the Master Fund had investments of this nature measured at fair value totaling $45.7 million. |
(3) | A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values. |
(4) | 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 unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) | Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value. |
(6) | Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d). |
(7) | Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE). |
For the Three Months Ended June 30, 2020 | |||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||
Balance as of April 1, 2020 | $ | 196,161 | $ | 27,177 | $ | 16,858 | $ | 7,599 | $ | 247,795 | |||||||||
Additions (1) | 5,502 | 2,166 | — | 203 | 7,871 | ||||||||||||||
Sales and repayments (2) | (6,320 | ) | — | (15,354 | ) | — | (21,674 | ) | |||||||||||
Net realized gains (losses) (3) | (770 | ) | — | 465 | — | (305 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | 6,926 | (1,089 | ) | (478 | ) | (181 | ) | 5,178 | |||||||||||
Net discount accretion | 171 | (46 | ) | 7 | — | 132 | |||||||||||||
Transfers into Level 3 (5) | 9,609 | 3,340 | — | — | 12,949 | ||||||||||||||
Transfers out of Level 3 (6) | (12,822 | ) | (3,950 | ) | — | — | (16,772 | ) | |||||||||||
Fair value balance as of June 30, 2020 | $ | 198,457 | $ | 27,598 | $ | 1,498 | $ | 7,621 | $ | 235,174 | |||||||||
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2020 | $ | 6,176 | $ | (1,090 | ) | $ | (219 | ) | $ | (181 | ) | $ | 4,686 |
For the Six Months Ended June 30, 2020 | |||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||
Balance as of January 1, 2020 | $ | 187,974 | $ | 42,287 | $ | 16,798 | $ | 13,014 | $ | 260,073 | |||||||||
Additions (1) | 36,506 | 2,166 | — | 401 | 39,073 | ||||||||||||||
Sales and repayments (2) | (21,937 | ) | (19,881 | ) | (15,354 | ) | (3,375 | ) | (60,547 | ) | |||||||||
Net realized gains (losses) (3) | (379 | ) | 425 | 465 | 417 | 928 | |||||||||||||
Net change in unrealized depreciation on investments (4) | (9,789 | ) | (3,650 | ) | (427 | ) | (2,836 | ) | (16,702 | ) | |||||||||
Net discount accretion | 335 | (29 | ) | 16 | — | 322 | |||||||||||||
Transfers into Level 3 (5) | 30,108 | 10,230 | — | — | 40,338 | ||||||||||||||
Transfers out of Level 3 (6) | (24,361 | ) | (3,950 | ) | — | — | (28,311 | ) | |||||||||||
Fair value balance as of June 30, 2020 | $ | 198,457 | $ | 27,598 | $ | 1,498 | $ | 7,621 | $ | 235,174 | |||||||||
Change in net unrealized depreciation on investments held as of June 30, 2020 | $ | (8,703 | ) | $ | (1,639 | ) | $ | (379 | ) | $ | (2,410 | ) | $ | (13,131 | ) |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income. |
(2) | Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(3) | Included in net realized gains (losses) on investments on the consolidated statements of operations. |
(4) | Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations. |
(5) | For the three and six months ended June 30, 2020, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade or another broker quotation. |
(6) | For the three and six months ended June 30, 2020, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by more than one independent pricing services or by one independent pricing service with a corroborating recent trade or another broker quotation. |
For the Three Months Ended June 30, 2019 | |||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||
Balance as of April 1, 2019 | $ | 195,804 | $ | 42,611 | $ | 16,696 | $ | 10,624 | $ | 265,735 | |||||||||
Additions (1) | 9,818 | 4,469 | — | 2,825 | 17,112 | ||||||||||||||
Sales and repayments (2) | (11,739 | ) | (267 | ) | — | (116 | ) | (12,122 | ) | ||||||||||
Net realized gains (losses) (3) | 106 | (4,614 | ) | — | — | (4,508 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (2,080 | ) | 4,230 | 161 | (15 | ) | 2,296 | ||||||||||||
Net discount accretion | 168 | 23 | 10 | — | 201 | ||||||||||||||
Transfers into Level 3 (5) | 4,704 | — | — | — | 4,704 | ||||||||||||||
Transfers out of Level 3 (6) | (20,260 | ) | — | — | — | (20,260 | ) | ||||||||||||
Fair value balance as of June 30, 2019 | $ | 176,521 | $ | 46,452 | $ | 16,867 | $ | 13,318 | $ | 253,158 | |||||||||
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2019 | $ | (2,070 | ) | $ | (169 | ) | $ | 161 | $ | (15 | ) | $ | (2,093 | ) |
For the Six Months Ended June 30, 2019 | |||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Unsecured Debt | Equity and Other | Total | |||||||||||||||
Balance as of January 1, 2019 | $ | 204,558 | $ | 51,898 | $ | 16,666 | $ | 10,325 | $ | 283,447 | |||||||||
Additions (1) | 13,851 | 4,469 | — | 3,023 | 21,343 | ||||||||||||||
Sales and repayments (2) | (14,382 | ) | (2,674 | ) | — | (116 | ) | (17,172 | ) | ||||||||||
Net realized gains (losses) (3) | 143 | (4,501 | ) | — | — | (4,358 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (1,032 | ) | 4,118 | 181 | 86 | 3,353 | |||||||||||||
Net discount accretion | 328 | 46 | 20 | — | 394 | ||||||||||||||
Transfers into Level 3 (5) | 15,090 | 533 | — | — | 15,623 | ||||||||||||||
Transfers out of Level 3 (6) | (42,035 | ) | (7,437 | ) | — | — | (49,472 | ) | |||||||||||
Fair value balance as of June 30, 2019 | $ | 176,521 | $ | 46,452 | $ | 16,867 | $ | 13,318 | $ | 253,158 | |||||||||
Change in net unrealized appreciation (depreciation) on investments held as of June 30, 2019 | $ | (1,100 | ) | $ | (81 | ) | $ | 181 | $ | 86 | $ | (914 | ) |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income. |
(2) | Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(3) | Included in net realized gains (losses) on investments on the consolidated statements of operations. |
(4) | Included in net change in unrealized appreciation (depreciation) on investments on the consolidated statements of operations. |
(5) | For the three and six months ended June 30, 2019, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced to one independent pricing service without any corroborating recent trade. |
(6) | For the three and six months ended June 30, 2019, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by one or more independent pricing services or by one independent pricing service with a corroborating recent trade. |
(i) | The incentive fee on income is paid quarterly, if earned; it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.875% of average adjusted capital up to a limit of 2.344% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.344% of average adjusted capital. |
(ii) | The incentive fee on capital gains is paid annually, if earned; it is equal to 20% of realized capital gains on a cumulative basis from inception, net of (A) all realized capital losses and unrealized depreciation on a cumulative basis from inception, and (B) the aggregate amount, if any, of previously paid incentive fees on capital gains. |
Related Party (1) (2) | For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||||
Source Agreement & Description | 2020 | 2019 | 2020 | 2019 | ||||||||||||||
Expenses: | ||||||||||||||||||
Guggenheim | Investment Advisory Agreement - management fee | $ | 1,524 | $ | 1,718 | $ | 3,161 | $ | 3,412 | |||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 154 | 201 | 348 | 420 | |||||||||||||
Income: | ||||||||||||||||||
Guggenheim | Share on capital structuring fees and administrative agency fees | 9 | 92 | 16 | 152 |
(1) | Related party transactions not included in the table above consist of Independent Trustees fees and expenses and sales and repurchase of the Master Fund Shares to/from affiliated Feeder Funds as disclosed in the Master Fund's consolidated statements of operations and consolidated statements of changes in net assets, respectively. |
(2) | As of June 30, 2020 and June 30, 2019, the Master Fund had accumulated net realized capital losses and net unrealized depreciation and therefore, Guggenheim did not earn any performance-based incentive fee during the period. |
Hamilton Credit Facility - Borrowing Summary | ||||||||||||||||||||
As of | Principal Amount Committed | Principal Amount Outstanding | Carrying Value (1) | Interest Rate (2) | Maturity Date | Maturity Term | ||||||||||||||
June 30, 2020 | $ | 175,000 | $ | 157,000 | $ | 156,052 | 2.80 | % | 12/29/22 | 2.5 | years | |||||||||
December 31, 2019 | $ | 175,000 | $ | 172,000 | $ | 170,862 | 4.40 | % | 12/29/22 | 3.0 | years |
(1) | Carrying value is equal to outstanding principal amount net of unamortized financing costs. |
(2) | Interest rate as of the end of the reporting period (3-month LIBOR +2.50% as of June 30, 2020 and December 31, 2019) is subject to quarterly reset. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility. |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Stated interest expense | $ | 1,312 | $ | 1,995 | $ | 3,040 | $ | 3,969 | ||||||||
Unused/undrawn fees | 40 | 50 | 74 | 112 | ||||||||||||
Amortization of deferred financing costs | 95 | 94 | 190 | 188 | ||||||||||||
Total interest expense | $ | 1,447 | $ | 2,139 | $ | 3,304 | $ | 4,269 | ||||||||
Average borrowings | $ | 159,242 | $ | 155,396 | $ | 160,478 | $ | 152,851 | ||||||||
Weighted average interest rate (1) | 3.36 | % | 5.21 | % | 3.84 | % | 5.31 | % | ||||||||
Amortized financing costs | 0.24 | % | 0.24 | % | 0.23 | % | 0.25 | % | ||||||||
Total borrowing cost | 3.60 | % | 5.45 | % | 4.07 | % | 5.56 | % |
(1) | Calculated as the amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period. |
Total Unfunded Commitments | ||||||||
Category / Portfolio Company (1) | June 30, 2020 | December 31, 2019 | ||||||
Aceto Chemical (Revolver) | $ | 267 | $ | 800 | ||||
Acquia Inc. (Revolver) | 211 | 211 | ||||||
Advicent Solutions (Revolver) | 339 | — | ||||||
Alexander Mann Solutions (Revolver) (2) | 28 | 446 | ||||||
Allvue Systems (Revolver) | 132 | 132 | ||||||
Apptio, Inc. (Revolver) | 326 | 326 | ||||||
Arcline FM Holdings LLC (Revolver) | 291 | — | ||||||
Boats Group (Revolver) | 1,000 | 1,000 | ||||||
GAL Manufacturing (Revolver) | 260 | 260 | ||||||
Galls LLC (Delayed Draw) | — | 1,518 | ||||||
Galls LLC (Revolver) | 113 | 113 | ||||||
Gladman Developments Ltd. (Delayed Draw) (2) | 706 | 706 | ||||||
Hersha Hospitality Management (Delayed Draw) | 1,671 | — | ||||||
Lytx, Inc. (Revolver) | 1,540 | 368 | ||||||
Mavis Tire Express Services Corp. (Delayed Draw) | — | 319 | ||||||
Mavis Tire Express Services Corp. (Revolver) | 87 | 189 | ||||||
Onyx CenterSource (Revolver) | — | 329 | ||||||
Polyvision Corp. (Delayed Draw) | 325 | — | ||||||
Polyvision Corp. (Revolver) | 650 | — | ||||||
PSI Services LLC (Delayed Draw) | 239 | 239 | ||||||
PSI Services LLC (Delayed Draw) | — | 168 | ||||||
PSI Services LLC (Revolver) | 195 | 269 | ||||||
Seal For Life Industries US LLC (Revolver) | — | 390 | ||||||
Trader Interactive (Revolver) | 346 | 346 | ||||||
Total Unfunded Commitments | $ | 8,726 | $ | 8,129 |
(1) | May pertain to commitments to one or more entities affiliated with the named portfolio company. |
(2) | This commitment is in foreign currency and has been converted to USD using the June 30, 2020 and December 31, 2019 exchange rates, respectively. |
For the Six Months Ended June 30, | |||||||
2020 | 2019 | ||||||
PER COMMON SHARE OPERATING PERFORMANCE | |||||||
Net asset value, beginning of period | $ | 7.78 | $ | 8.09 | |||
Net investment income (1) | 0.28 | 0.31 | |||||
Net realized gains (losses) (1) | 0.02 | (0.23 | ) | ||||
Net change in unrealized appreciation (depreciation) (2) | (0.76 | ) | 0.21 | ||||
Net increase (decrease) resulting from operations | (0.46 | ) | 0.29 | ||||
Distributions to Common Shareholders (3) | |||||||
Distributions from net investment income | (0.28 | ) | (0.31 | ) | |||
Distributions from realized gains | — | (0.01 | ) | ||||
Distributions in excess of net investment income | — | (0.02 | ) | ||||
Net decrease resulting from distributions | (0.28 | ) | (0.34 | ) | |||
Net asset value, end of period | $ | 7.04 | $ | 8.04 | |||
INVESTMENT RETURNS | |||||||
Total investment return (4) | (5.83 | )% | 3.56 | % | |||
RATIOS/SUPPLEMENTAL DATA | |||||||
Net assets, end of period | $ | 188,731 | $ | 230,030 | |||
Average net assets (5) | $ | 196,940 | $ | 235,428 | |||
Common Shares outstanding, end of period | 26,811,629 | 28,613,345 | |||||
Weighted average Common Shares outstanding | 27,274,171 | 29,192,124 | |||||
Ratios-to-average net assets: (5) | |||||||
Total expenses | 3.91 | % | 3.84 | % | |||
Net investment income | 3.87 | % | 3.82 | % | |||
Average outstanding borrowings (5) | $ | 160,478 | $ | 152,851 | |||
Portfolio turnover rate (5) (6) | 16 | % | 10 | % | |||
Asset coverage ratio (7) | 2.20 | 2.42 |
(1) | The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented. |
(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 Common Share outstanding throughout the period may not agree with the change in the aggregate appreciation and depreciation in portfolio securities for the period because of the timing of sales of the Master Fund’s Common Shares in relation to fluctuating market values for the portfolio. |
(3) | The per Common Share data for distributions is the actual amount of distributions declared per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital or a combination thereof, based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. As of June 30, 2020, the Master Fund estimated distributions to be composed of ordinary income. The final determination of the tax character of distributions will not be made until we file our tax return. |
(4) | Total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. |
(5) | The computation of average net assets, average outstanding borrowings and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios-to-average net assets are not annualized. |
(6) | Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period. |
(7) | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period. |
Record Date | Payment Date | Distribution Per Common Share at Record Date | Distribution Per Common Share at Payment Date | Cash Distribution | ||||||||||
For Calendar Year 2020 | ||||||||||||||
January 2, 6, 13, 20 | January 22 | $ | 0.01100 | $ | 0.04400 | $ | 1,195 | |||||||
January 27, February 3, 10, 17 | February 19 | 0.01100 | 0.04400 | 1,217 | ||||||||||
February 24, March 2, 9, 14, 23 | March 25 | 0.01000 | 0.05000 | 1,383 | ||||||||||
March 30, April 6, 13, 20 | April 22 | 0.01000 | 0.04000 | 1,084 | ||||||||||
April 27, May 4, 11, 18 ,25, June 1 | June 2 | 0.01000 | 0.06000 | 1,625 | ||||||||||
June 8, 15, 22, 29 | July 2 | 0.01100 | 0.04400 | 1,186 | ||||||||||
$ | 0.28200 | $ | 7,690 | |||||||||||
For Calendar Year 2019 | ||||||||||||||
January 7, 14, 21, 28 | January 30 | $ | 0.01346 | $ | 0.05384 | $ | 1,572 | |||||||
February 4, 11, 18, 25 | February 27 | 0.01346 | 0.05384 | 1,572 | ||||||||||
March 4, 11, 18, 25 | March 27 | 0.01346 | 0.05384 | 1,573 | ||||||||||
April 1, 8, 15, 22, 29 | May 1 | 0.01346 | 0.06730 | 1,971 | ||||||||||
May 6, 13, 20, 27 | May 29 | 0.01346 | 0.05384 | 1,576 | ||||||||||
June 3, 10, 17, 24 | June 26 | 0.01346 | 0.05384 | 1,559 | ||||||||||
$ | 0.33650 | $ | 9,823 |
• | Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. The senior debt classification includes first lien senior secured loans, second lien senior secured loans, senior secured bonds, and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. The first lien senior secured loans may include traditional first lien senior secured loans or unitranche loans. Unitranche loans combine characteristics of traditional first lien senior secured loans as well as second lien and/or mezzanine debt ("Junior Debt"). Unitranche loans will expose us to the risks associated with first lien loans and Junior Debt. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt investments. |
• | Subordinated Debt. Subordinated debt investments are 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. |
• | Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or inconstant dividends and realized gains on dispositions of such investments. |
• | Direct Originations: This channel consists of investments that are directly originated through Guggenheim's relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components. |
• | Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets. |
As of | |||||||
June 30, 2020 | December 31, 2019 | ||||||
Total assets | $ | 349,035 | $ | 384,100 | |||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 347,676 | $ | 384,100 | |||
Investments in portfolio companies, at fair value | $ | 323,891 | $ | 372,193 | |||
Borrowings | $ | 157,000 | $ | 172,000 | |||
Net assets | $ | 188,731 | $ | 211,197 | |||
Net asset value per Common Share | $ | 7.04 | $ | 7.78 | |||
Leverage ratio (borrowings/adjusted total assets) | 45.2 | % | 44.8 | % |
For the Six Months Ended June 30, | |||||||
2020 | 2019 | ||||||
Average net assets | $ | 196,940 | $ | 235,428 | |||
Average borrowings | $ | 160,478 | $ | 152,851 | |||
Cost of investments purchased | $ | 54,062 | $ | 39,170 | |||
Sales of investments | $ | 13,011 | $ | 23,376 | |||
Principal payments | $ | 68,731 | $ | 13,958 | |||
Net investment income | $ | 7,614 | $ | 9,001 | |||
Net realized gains (losses) | $ | 577 | $ | (6,845 | ) | ||
Net change in unrealized appreciation (depreciation) | $ | (20,634 | ) | $ | 6,147 | ||
Net increase (decrease) in net assets resulting from operations | $ | (12,443 | ) | $ | 8,303 | ||
Total distributions to shareholders | $ | 7,690 | $ | 9,823 | |||
Net investment income per Common Share - basic and diluted | $ | 0.28 | $ | 0.31 | |||
Earnings (loss) per Common Share - basic and diluted | $ | (0.46 | ) | $ | 0.28 | ||
Distributions per Common Share | $ | 0.28 | $ | 0.34 |
For the Three Months Ended June 30, 2020 | For the Six Months Ended June 30, 2020 | ||||||||||||
Investment activity segmented by access channel: | Amount | Percentage | Amount | Percentage | |||||||||
Direct originations | $ | 5,015 | 20.8 | % | $ | 26,284 | 58.0 | % | |||||
Syndicated transactions | 19,058 | 79.2 | % | 19,058 | 42.0 | % | |||||||
Total investment commitments entered during the period | $ | 24,073 | 100.0 | % | $ | 45,342 | 100.0 | % |
For the Three Months Ended June 30, 2020 | For the Six Months Ended June 30, 2020 | ||||
Portfolio companies at beginning of period | 86 | 86 | |||
Number of added portfolio companies | 7 | 12 | |||
Number of exited portfolio companies | (4 | ) | (9 | ) | |
Portfolio companies at period end | 89 | 89 | |||
Number of debt investments at period end | 140 | 140 | |||
Number of equity/other investments at period end | 8 | 8 |
Balance as of January 1, 2020 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of June 30, 2020 | |||||||||||||||
Senior secured loans - first lien | $ | 268,678 | $ | 51,897 | $ | (30,706 | ) | $ | (14,604 | ) | $ | 275,265 | |||||||
Senior secured loans - second lien | 56,651 | 2,165 | (22,440 | ) | (3,857 | ) | 32,519 | ||||||||||||
Senior secured bonds | 12,223 | — | (5,791 | ) | (308 | ) | 6,124 | ||||||||||||
Senior unsecured debt | 21,537 | — | (19,430 | ) | 228 | 2,335 | |||||||||||||
Total senior debt | $ | 359,089 | $ | 54,062 | $ | (78,367 | ) | $ | (18,541 | ) | $ | 316,243 | |||||||
Equity and other | 13,104 | — | (3,375 | ) | (2,081 | ) | 7,648 | ||||||||||||
Total | $ | 372,193 | $ | 54,062 | $ | (81,742 | ) | $ | (20,622 | ) | $ | 323,891 |
(1) | Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings. |
As of | |||||||||
June 30, 2020 | December 31, 2019 | ||||||||
Weighted average portfolio company EBITDA (1) | $ | 92,847 | $ | 100,514 | |||||
Median portfolio company EBITDA (1) | $ | 69,085 | $ | 71,592 | |||||
Weighted average purchase price of debt investments (2) | 96.9 | % | 96.7 | % | |||||
Weighted average duration of debt investments (3) | 1.6 | years | 0.3 | years | |||||
Debt investments on non-accrual status as a percentage of amortized cost of total debt investments | 1.0 | % | 1.0 | % | |||||
Debt investments on non-accrual status as a percentage of fair value of total debt investments | 0.1 | % | 0.5 | % | |||||
Number of debt investments on non-accrual status | 1 | 1 | |||||||
Floating interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 97.3 | % | 94.8 | % | |||||
Percent of floating rate debt investments with interest rate floors (4) | 72.0 | % | 74.3 | % | |||||
Weighted average interest rate floor | 1.0 | % | 1.0 | % | |||||
Weighted average coupon spread to base interest rate | 598 | bps | 637 | bps | |||||
3-month LIBOR | 30 | bps | 191 | bps | |||||
Fixed interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 2.7 | % | 5.2 | % | |||||
Weighted average coupon rate | 9.0 | % | 8.7 | % | |||||
Weighted average years to maturity | 3.7 | years | 3.8 | years | |||||
Weighted average effective yields | |||||||||
Senior secured loans - first lien (5) | 7.6 | % | 8.3 | % | |||||
Senior secured loans - second lien (5) | 8.6 | % | 10.5 | % | |||||
Senior secured bonds (5) | 9.8 | % | 10.4 | % | |||||
Senior unsecured debt (5) | 10.6 | % | 12.0 | % | |||||
Total debt investments (5) | 7.7 | % | 8.9 | % | |||||
Total investments (6) | 7.7 | % | 8.9 | % |
(1) | Based on trailing twelve months EBITDA as most recently reported by portfolio companies, but not as of June 30, 2020 or December 31, 2019. Weighted average portfolio company EBITDA is calculated using weights based on fair value. The inputs and computations of EBITDA are not consistent across all portfolio companies. EBITDA is a non-GAAP financial measure. For a particular portfolio company, EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization. EBITDA amounts are estimated from the most recent portfolio company's financial statements, have not been independently verified by the Master Fund or its Advisor, may reflect a normalized or adjusted amount, typically exclude expenses deemed unusual or non-recurring and typically include add backs for items deemed appropriate to present normalized earnings. Accordingly, neither the Master Fund nor its Advisor makes any representation or warranty in respect of this information. |
(2) | Percent is calculated as a percentage of the par value of debt investments. |
(3) | Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost. |
(4) | Percent is calculated as a percentage of the fair value of total debt investments. |
(5) | Weighted average effective yield by investment type is calculated as the effective yield of each investment and weighted by its amortized cost as compared to the aggregate amortized cost of all investments of that investment type. Effective yield is the return earned on an investment net of any discount, premium or issuance costs. The total debt portfolio yield is calculated before considering the impact of leverage or any operating expenses. |
(6) | The total investment portfolio yield is calculated before considering the impact of leverage or any operating expenses, and includes all income generating investments, non-income generating investments and investments on non-accrual status. |
June 30, 2020 | December 31, 2019 | |||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||
2020 | $ | — | — | % | $ | 2,892 | 0.8 | % | ||||||
2021 | 23,134 | 6.5 | 20,454 | 5.3 | ||||||||||
2022 | 31,801 | 8.9 | 31,823 | 8.3 | ||||||||||
2023 | 64,073 | 18.0 | 118,222 | 31.0 | ||||||||||
2024 | 96,298 | 27.1 | 99,195 | 26.0 | ||||||||||
2025 | 92,717 | 26.0 | 66,614 | 17.4 | ||||||||||
2026 | 47,959 | 13.5 | 42,707 | 11.2 | ||||||||||
Total | $ | 355,982 | 100.0 | % | $ | 381,907 | 100.0 | % |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Total investment income | $ | 7,196 | $ | 9,114 | $ | 15,309 | $ | 18,037 | |||||||
Total expenses | 3,581 | 4,511 | 7,695 | 9,036 | |||||||||||
Net investment income | 3,615 | 4,603 | 7,614 | 9,001 | |||||||||||
Net realized gains (losses) | (2,293 | ) | (5,979 | ) | 577 | (6,845 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 16,025 | 5,592 | (20,634 | ) | 6,147 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 17,347 | $ | 4,216 | $ | (12,443 | ) | $ | 8,303 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Interest income on debt securities: | |||||||||||||||
Cash interest | $ | 6,471 | $ | 8,306 | $ | 13,648 | $ | 16,471 | |||||||
PIK interest | 197 | 29 | 291 | 53 | |||||||||||
Net accretion/amortization of discounts/premiums | 291 | 362 | 682 | 707 | |||||||||||
Total interest on debt securities | 6,959 | 8,697 | 14,621 | 17,231 | |||||||||||
PIK dividend | 203 | 278 | 456 | 539 | |||||||||||
Total interest and dividend income | $ | 7,162 | $ | 8,975 | $ | 15,077 | $ | 17,770 | |||||||
Average Investments at cost | $ | 352,008 | $ | 398,844 | $ | 358,911 | $ | 392,580 | |||||||
Average Income Generating Investments at cost (1) | $ | 342,209 | $ | 388,791 | $ | 342,764 | $ | 382,896 | |||||||
Income return (2) | 2.1 | % | 2.3 | % | 4.4 | % | 4.6 | % |
(1) | Income Generating Investments pertains to investments with stated interest rate or preferred returns and includes investments on non-accrual. |
(2) | Income return is calculated using the total interest and dividend income over the average income generating investments at cost for the period presented. |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Capital structuring fees | $ | — | $ | 85 | $ | — | $ | 136 | |||||||
Administrative agency fees | 9 | 7 | 16 | 16 | |||||||||||
Amendment fees and other | 25 | 47 | 216 | 115 | |||||||||||
Total fee income | $ | 34 | $ | 139 | $ | 232 | $ | 267 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Fixed operating expenses: | |||||||||||||||
Related party reimbursements (1) | $ | 154 | $ | 201 | $ | 348 | $ | 420 | |||||||
Trustees fees | 80 | 80 | 174 | 160 | |||||||||||
Professional services fees (2) | 217 | 239 | 433 | 489 | |||||||||||
Other expenses | 91 | 59 | 133 | 125 | |||||||||||
Total fixed operating expenses | 542 | 579 | 1,088 | 1,194 | |||||||||||
Variable operating expenses: | |||||||||||||||
Interest expense (3) | 1,447 | 2,139 | 3,304 | 4,269 | |||||||||||
Administrative services (4) | 44 | 50 | 93 | 101 | |||||||||||
Management fee | 1,524 | 1,718 | 3,161 | 3,412 | |||||||||||
Custody services | 24 | 25 | 49 | 49 | |||||||||||
Total variable operating expenses | 3,039 | 3,932 | 6,607 | 7,831 | |||||||||||
Performance-dependent expenses: | |||||||||||||||
Performance-based incentive fee | — | — | — | 11 | |||||||||||
Total performance-dependent expenses | — | — | — | 11 | |||||||||||
Total expenses | $ | 3,581 | $ | 4,511 | $ | 7,695 | $ | 9,036 |
(1) | Related party reimbursements decreased to due to decrease in resource allocation to Master Fund. |
(2) | Professional services fees includes the expenses for third party service providers such as internal and independent auditors, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel. |
(3) | The composition of our interest expense for the three and six months ended June 30, 2020 and June 30, 2019 is reported in Note 7. Borrowings. The decrease in interest expense is primarily due to decrease in interest rates offset by slight increase in average borrowings. |
(4) | Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors. |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Investments | $ | (2,339 | ) | $ | (6,838 | ) | $ | (635 | ) | $ | (6,805 | ) | |||
Foreign currency forward contracts | 42 | 861 | 1,051 | (126 | ) | ||||||||||
Foreign currency transactions | 4 | (2 | ) | 161 | 86 | ||||||||||
Net realized gains (losses) | $ | (2,293 | ) | $ | (5,979 | ) | $ | 577 | $ | (6,845 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Investments (1) | $ | 16,008 | $ | 5,736 | $ | (21,128 | ) | $ | 5,785 | ||||||
Foreign currency forward contracts | 17 | (144 | ) | 495 | 379 | ||||||||||
Foreign currency transactions | — | — | (1 | ) | (17 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | $ | 16,025 | $ | 5,592 | $ | (20,634 | ) | $ | 6,147 |
(1) | The increase in net unrealized appreciation for the three months ended June 30, 2020 was primarily due to partial market recovery from the negative economic impact and the increased uncertainty caused by COVID-19 from the prior quarter. |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
Unrealized appreciation on all investments (1) | $ | 21,396 | $ | 9,498 | $ | 24,331 | $ | 13,701 | |||||||
Unrealized depreciation on all investments (1) | (5,388 | ) | (3,762 | ) | (45,459 | ) | (7,916 | ) | |||||||
Total net change in unrealized appreciation (depreciation) on all investments | $ | 16,008 | $ | 5,736 | $ | (21,128 | ) | $ | 5,785 | ||||||
Unrealized appreciation on Level 3 investments only (1) | $ | 8,993 | $ | 4,864 | $ | 9,440 | $ | 6,728 | |||||||
Unrealized depreciation on Level 3 investments only (1) | (3,815 | ) | (2,568 | ) | (26,142 | ) | (3,375 | ) | |||||||
Total net change in unrealized appreciation (depreciation) on Level 3 investments only | $ | 5,178 | $ | 2,296 | $ | (16,702 | ) | $ | 3,353 |
(1) | Amounts are net of any reclassification of realized gains or losses on investments. |
Total Investment Return-Net Asset Value(1) | |||||||||||||
For the Six Months Ended June 30, | Since Commencement | ||||||||||||
Company | Date Operations Commenced (2) | 2020 | 2019 | Cumulative | Annualized | ||||||||
Guggenheim Credit Income Fund | 12/19/2014 | (5.83 | )% | 3.56 | % | 10.79 | % | 1.87 | % |
(1) | Total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale of Common Shares at the net asset value per share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for our Common Shares, then the terminal sales price per common share is assumed to be equal to net asset value per common share on the last day of the period. |
(2) | Commencement of operations represents the date that we sold our initial Common Shares. |
As of | ||||||||
June 30, 2020 | December 31, 2019 | |||||||
Cash | $ | 6,893 | $ | 1,454 | ||||
Restricted cash (1) | 11,765 | 7,512 | ||||||
Unused borrowing capacity | 18,000 | 3,000 | ||||||
Principal receivable | 3,656 | — | ||||||
Unfunded investment commitments | (8,726 | ) | (8,129 | ) | ||||
Payable for investments purchased | (1,359 | ) | — | |||||
Other net working capital (2) | (630 | ) | 703 | |||||
Total operational liquidity | $ | 29,599 | $ | 4,540 |
(1) | Restricted cash consists of demand deposits held at a major U.S. financial institution on behalf of Hamilton. Hamilton may be restricted in the distribution of cash to the Master Fund, as governed by the terms of the Hamilton Credit Facility (see Note 7. Borrowings). |
(2) | Other net working capital is the sum of collateral deposits/payable for foreign currency forward contracts, interest and dividend income receivable and receivable from related parties less accrued management fee, payable to related parties, distributions payable, and accounts payable, accrued expenses and other liabilities. |
June 30, 2020 | ||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||
Financings-Hamilton Credit Facility: | ||||||||||||||||||||
Debt - principal repayment | $ | 157,000 | $ | — | $ | 157,000 | $ | — | $ | — | ||||||||||
Interest on borrowings (1) (2) | 11,132 | 4,455 | 6,677 | — | — | |||||||||||||||
Unused commitment fee (1) | 274 | 183 | 91 | — | — | |||||||||||||||
Total - Financings | $ | 168,406 | $ | 4,638 | $ | 163,768 | $ | — | $ | — | ||||||||||
Liquidation of Feeder Funds' Investments: | ||||||||||||||||||||
GCIF 2016T (3) | $ | 124,266 | $ | — | $ | 124,266 | $ | — | $ | — | ||||||||||
GCIF 2019 (3) | 37,168 | — | — | — | 37,168 | |||||||||||||||
Total Liquidation of Feeder Funds' Investments | $ | 161,434 | $ | — | $ | 124,266 | $ | — | $ | 37,168 |
(1) | Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of June 30, 2020 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after June 30, 2020 would (i) increase interest expense and (ii) reduce unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees. |
(2) | The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.50%) and it is subject to quarterly base interest rate changes. |
(3) | The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in the Master Fund as of June 30, 2020. GCIF 2016T and GCIF 2019 have declared that they intend to provide liquidity to their shareholders from a liquidation of their ownership interest of the Master Fund on or before December 31, 2021 and December 31, 2026, respectively, subject to each Feeder Fund's pursuit of other liquidity alternatives and timing adjustments. |
As of | |||||||
June 30, 2020 | December 31, 2019 | ||||||
Investments classified as Level 3 fair value | $ | 235,174 | $ | 260,073 | |||
Total investments at fair value | $ | 323,891 | $ | 372,193 | |||
Total assets | $ | 349,035 | $ | 384,100 | |||
Percentage of investment portfolio classified as Level 3 fair value | 72.6 | % | 69.9 | % | |||
Percentage of total assets classified as Level 3 fair value | 67.4 | % | 67.7 | % |
June 30, 2020 | June 30, 2019 | ||||||
Fair Value of Level 3 Investments at Period End | $ | 235,174 | $ | 253,158 | |||
Fair Value Assuming a 5% Increase in Value | 246,933 | 265,816 | |||||
Increase in unrealized appreciation | 11,759 | 12,658 | |||||
(Increase) in management fees (1) | (103 | ) | (110 | ) | |||
(Increase) in performance based incentive fee (2) | (2,352 | ) | (2,532 | ) | |||
Increase in net assets resulting from operations | $ | 9,304 | $ | 10,016 | |||
Weighted average Common Shares outstanding (basic and diluted) | 27,274,171 | 29,192,124 | |||||
Common Shares outstanding at the end of the period | 26,811,629 | 28,613,345 | |||||
Increase in earnings per Common Share | $ | 0.34 | $ | 0.34 | |||
Increase in net asset value per Common Share | $ | 0.35 | $ | 0.35 |
(1) | Increases in management fees for the periods ended June 30, 2020 and June 30, 2019 represent only six months' worth of the change to the Master Fund's management fees. |
(2) | Increase in performance-based incentive fee is calculated as 20% of the increase in unrealized appreciation. |
Basis Points (bps) Increase | Annualized Interest Income Increase (Decrease) | Annualized Interest Expense Increase (Decrease) | Annualized Net Increase (Decrease) | Net Increase (Decrease) per Share | ||||||||||||
-50 bps | $ | (447 | ) | $ | (785 | ) | $ | 338 | $ | 0.01 | ||||||
+50 bps | 457 | 785 | (328 | ) | (0.01 | ) | ||||||||||
+100 bps | 1,559 | 1,570 | (11 | ) | — | |||||||||||
+150 bps | 3,219 | 2,355 | 864 | 0.03 | ||||||||||||
+200 bps | 4,924 | 3,140 | 1,784 | 0.07 |
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs(1) | ||||||||
April 1 to April 30, 2020 | — | — | — | — | ||||||||
May 1 to May 31, 2020 | — | — | — | — | ||||||||
June 1 to June 30, 2020 | (1) | 267,193 | 6.88 | 267,193 | — | |||||||
Total | 267,193 | 267,193 | — |
(1) | The maximum number of shares available for repurchase on June 12, 2020 was 267,193 shares. |
Guggenheim Credit Income Fund | |||
Date: | August 13, 2020 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
President and Chief Executive Officer | |||
(Principal Executive Officer) | |||
Date: | August 13, 2020 | By: | /s/ Cielo M. Ordonez |
CIELO M. ORDONEZ | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
3.1 | |||
3.2 | |||
3.3 | |||
3.4 | |||
10.1 | |||
10.2 | |||
10.3 | |||
10.4 | |||
10.5 | |||
10.6 | |||
10.7 | |||
10.8 | |||
10.9 | |||
10.10 | |||
10.11 | |||
10.12 |
14.1 | |||
14.2 | |||
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) | ||
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) | ||
32 | Certification of Chief Executive Officer and Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) |
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