Corporate Capital Trust, Inc. - FORM 10-Q

Corporate Capital Trust, Inc. - FORM 10-Q - November 9, 2017

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2017

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

Commission file number: 814-00827

CORPORATE CAPITAL TRUST, INC.

(Exact name of registrant as specified in its charter)

Maryland

27-2857503

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

CNL Center at City Commons

450 South Orange Avenue

Orlando, Florida

32801

(Address of principal executive offices)

(Zip Code)

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

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

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

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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

The number of shares of common stock of the registrant outstanding as of November 8, 2017 was 136,375,966.

CORPORATE CAPITAL TRUST, INC.

INDEX


		PAGE
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Condensed Consolidated Statements of Assets and Liabilities as of September 30, 2017 (unaudited) and December 31, 2016		2

	Condensed Consolidated Statements of Operations for the three and nine months ended September 30, 2017 and 2016 (unaudited)		3

	Condensed Consolidated Statements of Changes in Net Assets for the nine months ended September 30, 2017 and 2016 (unaudited)		5

	Condensed Consolidated Statements of Cash Flows for the nine months ended September 30, 2017 and 2016 (unaudited)		6

	Condensed Consolidated Schedules of Investments as of September 30, 2017 (unaudited) and December 31, 2016		7

	Notes to Condensed Consolidated Financial Statements (unaudited)		44

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		87

Item 3.	Quantitative and Qualitative Disclosures about Market Risk		113

Item 4.	Controls and Procedures		115

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		116

Item 1A.	Risk Factors		116

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		116

Item 3.	Defaults Upon Senior Securities		116

Item 4.	Mine Safety Disclosures		116

Item 5.	Other Information		116

Item 6.	Exhibits		116

Exhibit Index			117

Signatures			118

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Assets and Liabilities

(in thousands, except share and per share amounts)


	September 30, 2017			December 31, 2016
	(unaudited)
Assets
Investments at fair value:
Non-controlled, non-affiliated investments (amortized cost of $3,356,889 and $3,797,345, respectively)—including $- and $345,774, respectively, of investments pledged to creditors (Note 10)	$	3,302,891		$	3,622,442
Non-controlled, affiliated investments (amortized cost of $269,683 and $187,703, respectively)		224,316			142,855
Controlled, affiliated investments (amortized cost of $534,237 and $341,875, respectively)		487,883			259,996

Total investments, at fair value (amortized cost of $4,160,809 and $4,326,923, respectively)		4,015,090			4,025,293
Cash		255,363			127,031
Cash denominated in foreign currency (cost of $32,788 and $5,314, respectively)		32,747			5,229
Restricted cash		8,744			14,353
Collateral on deposit with custodian		—			95,000
Dividends and interest receivable		48,715			53,484
Receivable for investments sold		26,882			49,324
Principal receivable		17,694			2,942
Unrealized appreciation on swap contracts		4,230			39,007
Unrealized appreciation on foreign currency forward contracts		960			3,504
Receivable from advisors		—			2,040
Deferred offering expense		5			402
Other assets		12,164			13,087

Total assets		4,422,594			4,430,696

Liabilities
Revolving credit facilities		1,035,000			1,219,000
Term loan payable, net		383,367			385,203
Unsecured notes payable, net		240,579			—
Repurchase agreement payable		—			23,454
Payable for investments purchased		—			22,205
Unrealized depreciation on swap contracts		18,922			251
Unrealized depreciation on foreign currency forward contracts		6,691			—
Accrued performance-based incentive fees		2,046			4,905
Accrued investment advisory fees		6,854			7,332
Deferred tax liability		604			1,991
Other accrued expenses and liabilities		9,323			7,023

Total liabilities		1,703,386			1,671,364
Commitments and contingencies (Note 11)

Net Assets	$	2,719,208		$	2,759,332

Components of Net Assets
Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 305,782,630 and 309,041,547 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively	$	306		$	309
Paid-in capital in excess of par value		2,983,933			3,012,062
Undistributed net investment income		19,432			39,566
Accumulated net realized losses		(116,243	)		(32,331	)
Accumulated net unrealized depreciation on investments, swap contracts, foreign currency forward contracts and foreign currency translation (net of provision for taxes of $604 and $1,991, respectively)		(168,220	)		(260,274	)

Net assets	$	2,719,208		$	2,759,332

Net asset value per share	$	8.89		$	8.93

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Operations (unaudited)

(in thousands, except share and per share amounts)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment income
Interest income:
Non-controlled, non-affiliated investments (net of tax withholding, $(1,416), $319, $385 and $966, respectively)	$	80,539		$	85,176		$	240,168		$	247,971
Non-controlled, affiliated investments		1,475			—			4,597			—
Controlled, affiliated investments		5			—			5			—

Total interest income		82,019			85,176			244,770			247,971

Payment-in-kind interest income:
Non-controlled, non-affiliated investments		2,531			(1,950	)		4,667			4,602
Non-controlled, affiliated investments		—			4,162			—			11,804
Controlled, affiliated investments		2,706			—			8,109			—

Total payment-in-kind interest income		5,237			2,212			12,776			16,406

Fee income:
Non-controlled, non-affiliated investments		4,416			4,956			12,666			8,199

Total fee income		4,416			4,956			12,666			8,199

Dividend and other income:
Non-controlled, non-affiliated investments		722			2,165			4,911			4,483
Non-controlled, affiliated investments		—			421			—			1,580
Controlled, affiliated investments		5,199			2,488			15,792			6,077

Total dividend and other income		5,921			5,074			20,703			12,140

Total investment income		97,593			97,418			290,915			284,716

Operating expenses
Investment advisory fees		21,173			21,441			62,858			61,109
Interest expense		18,177			13,465			47,532			36,890
Performance-based incentive fees		2,046			5,816			7,721			19,218
Professional services		1,045			653			4,050			2,036
Investment advisor expenses		373			430			2,982			839
Administrative services		876			896			2,486			2,618
Custodian and accounting fees		439			406			1,275			1,183
Offering expenses		67			361			394			1,846
Director fees and expenses		131			129			432			370
Other		926			643			3,067			1,857

Total operating expenses		45,253			44,240			132,797			127,966

Net investment income before taxes		52,340			53,178			158,118			156,750
Income tax expense (benefit), including excise tax		(1,024	)		14			(703	)		14

Net investment income		53,364			53,164			158,821			156,736

Net realized and unrealized gains (losses)
Net realized gains (losses) on:
Non-controlled, non-affiliated investments		(11,731	)		(227	)		(81,839	)		(22,657	)
Controlled, affiliated investments		(7,869	)		—			(15,282	)		—
Swap contracts		3,471			3,468			17,782			13,772
Foreign currency forward contracts		(7,848	)		(4,029	)		(7,926	)		(2,946	)
Foreign currency transactions		1,471			(587	)		3,353			1,608

Net realized losses		(22,506	)		(1,375	)		(83,912	)		(10,223	)

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Operations (unaudited), continued

(in thousands, except share and per share amounts)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Net change in unrealized appreciation (depreciation) on:
Non-controlled, non-affiliated investments	$	21,464		$	44,116		$	120,905		$	63,418
Non-controlled, affiliated investments		189			7,969			(519	)		(5,249	)
Controlled, affiliated investments		12,720			(7,330	)		35,525			(12,333	)
Swap contracts		(13,558	)		13,358			(53,448	)		7,812
Foreign currency forward contracts		2,746			2,126			(9,235	)		(1,735	)
Foreign currency translation		(1,911	)		188			(2,636	)		(2,558	)
Provision for taxes		(7,227	)		—			1,462			—

Net change in unrealized appreciation (depreciation)		14,423			60,427			92,054			49,355

Net realized and unrealized gains (losses)		(8,083	)		59,052			8,142			39,132

Net increase in net assets resulting from operations	$	45,281		$	112,216		$	166,963		$	195,868

Net investment income per share	$	0.17		$	0.17		$	0.52		$	0.52

Diluted and basic earnings per share	$	0.15		$	0.37		$	0.54		$	0.65

Weighted average number of shares of common stock outstanding (basic and diluted)		307,090,344			306,927,293			308,269,633			303,271,181

Distributions declared per share	$	0.18		$	0.20		$	0.58		$	0.60

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Changes in Net Assets (unaudited)

(in thousands, except share amounts)


	Nine Months Ended September 30,
	2017			2016
Operations
Net investment income	$	158,821		$	156,736
Net realized gains (losses) on investments, swap contracts, foreign currency forward contracts and foreign currency transactions		(83,912	)		(10,223	)
Net change in unrealized appreciation (depreciation) on investments, swap contracts, foreign currency forward contracts and foreign currency translation		92,054			49,355

Net increase in net assets resulting from operations		166,963			195,868

Distributions to shareholders from
Net investment income		(158,821	)		(156,736	)
Distributions in excess of net investment income (Note 8)		(20,134	)		(26,240	)

Net decrease in net assets resulting from shareholders’ distributions		(178,955	)		(182,976	)

Capital share transactions
Issuance of shares of common stock		—			119,537
Reinvestment of shareholders’ distributions		88,089			93,033
Repurchase of shares of common stock		(116,221	)		(61,403	)

Net increase/(decrease) in net assets resulting from capital share transactions		(28,132	)		151,167

Total increase (decrease) in net assets		(40,124	)		164,059
Net assets at beginning of period		2,759,332			2,594,022

Net assets at end of period	$	2,719,208		$	2,758,081

Capital share activity
Shares issued from subscriptions		—			13,434,421
Shares issued from reinvestment of distributions		9,712,151			10,428,645
Shares repurchased		(12,971,068	)		(6,985,169	)

Net increase (decrease) in shares outstanding		(3,258,917	)		16,877,897

Undistributed net investment income at end of period	$	19,432		$	41,008

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Cash Flows (unaudited)

(in thousands)


	Nine Months Ended September 30,
	2017			2016
Operating Activities:
Net increase in net assets resulting from operations	$	166,963		$	195,868
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities:
Purchases of investments		(1,167,065	)		(1,156,797	)
(Decrease) increase in payable for investments purchased		(22,204	)		77,753
Payment-in-kind interest capitalized		(8,301	)		(14,252	)
Proceeds from sales of investments		530,159			370,220
Proceeds from principal payments		731,751			521,431
Net realized loss on investments		97,121			22,657
Net change in unrealized appreciation on investments		(155,911	)		(45,836	)
Net change in unrealized (appreciation) depreciation on swap contracts		53,448			(7,812	)
Net change in unrealized depreciation on foreign currency forward contracts		9,235			1,735
Net change in unrealized depreciation on foreign currency translation		2,636			2,558
Amortization of premium/discount, net		(16,819	)		(11,370	)
Amortization of deferred financing costs		3,232			2,962
Accretion of discount on term loan payable		304			297
Increase in short-term investments, net		(732	)		(19,419	)
Decrease in collateral on deposit with custodian		95,000			47,640
Decrease (increase) in dividends and interest receivable		4,769			(9,278	)
Decrease in receivable for investments sold		21,318			1,358
Increase in principal receivable		(15,049	)		(3,333	)
Decrease in receivable from advisors		2,040			13
(Increase) decrease in other assets		(773	)		800
Increase in accrued investment advisory fees		(478	)		151
(Decrease) increase in accrued performance-based incentive fees		(2,859	)		5,067
Decrease in deferred tax liability		(1,462	)		—
Increase (decrease) in other accrued expenses and liabilities		2,300			(3,003	)

Net cash provided by (used in) operating activities		328,623			(20,590	)

Financing Activities:
Proceeds from issuance of shares of common stock		—			119,537
Payments on repurchases of shares of common stock		(116,221	)		(61,403	)
Distributions paid		(90,866	)		(89,943	)
Repayments under term loan payable		(3,000	)		(3,000	)
Borrowings under revolving credit facilities		718,500			579,750
Repayments of revolving credit facilities		(902,500	)		(567,046	)
Borrowings under unsecured notes payable		245,000			—
Borrowings under repurchase agreement		—			24,726
Repayments under repurchase agreement		(24,726	)		—
Deferred financing costs paid		(4,613	)		(7,380	)

Net cash used in financing activities		(178,426	)		(4,759	)

Effect of exchange rate changes on cash		44			16

Net increase (decrease) in cash		150,241			(25,333	)
Cash, cash denominated in foreign currency and restricted cash, beginning of period		146,613			69,204

Cash, cash denominated in foreign currency and restricted cash, end of period	$	296,854		$	43,871

Supplemental disclosure of cash flow information and non-cash financing activities:
Cash paid for interest	$	39,732		$	33,853

Taxes paid, including excise tax	$	3,830		$	2,791

Distributions reinvested	$	88,089		$	93,033

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
First Lien Senior Secured Loan—57.1%
Abaco Systems, Inc.	^(f)(g)(2)	Capital Goods		L + 600			1.00	%		12/7/2021	$	65,180	$	62,973	$	64,652
ABB CONCISE Optical Group, LLC	⁽²⁾	Retailing		L + 400			1.00	%		6/15/2023		6,812		6,812		6,829
ABILITY Network, Inc.	⁽³⁾	Health Care Equipment & Services		L + 500			1.00	%		5/14/2021		11,987		11,947		12,084
Accuride Corp.	⁽²⁾	Capital Goods		L + 700			1.00	%		11/17/2023		15,000		14,681		15,244
Acosta Holdco, Inc.	⁽³⁾	Commercial & Professional Services		L + 325			1.00	%		9/26/2021		8,000		7,551		7,110
Agro Merchants NAI Holdings, LLC	^(f)(g)(2)	Transportation		L + 700			1.00	%		10/1/2020		72,890		72,328		71,575
Alion Science & Technology Corp.	⁽³⁾	Capital Goods		L + 450			1.00	%		8/19/2021		2,818		2,816		2,824
AltEn, LLC	^{(g)(h)(i)(n)(4)}	Energy		L + 900 PIK (L + 900 Max PIK	)					9/12/2018		39,460		29,836		5,184
AM General, LLC	^(f)(g)(3)	Automobiles & Components		L + 725			1.00	%		12/28/2021		90,038		88,856		91,626
Amtek Global Technology Pte. Ltd. (SGP)	^{(g)(j)(k)(5)(EUR)}	Automobiles & Components		5.00	%					11/10/2019	€	82,055		91,286		96,981
Bay Club, Co.	⁽³⁾	Consumer Services		L + 650			1.00	%		8/31/2022	$	5,550		5,510		5,633
BeyondTrust Software, Inc.	^(g)(2)	Software & Services		L + 700			1.00	%		9/25/2019		11,865		11,800		11,726
Charlotte Russe, Inc.	⁽²⁾	Retailing		L + 550			1.25	%		5/22/2019		4,440		4,429		1,967
	⁽²⁾			L + 550			1.25	%		5/22/2019		18,136		18,063		8,037

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Commercial Barge Line, Co.	⁽³⁾	Transportation		L + 875		1.00	%		11/12/2020	$	11,585	$	10,017	$	9,239
CTI Foods Holding Co., LLC	⁽³⁾	Food, Beverage & Tobacco		L + 350		1.00	%		6/29/2020		3,762		3,537		3,424
Distribution International, Inc.	⁽²⁾	Retailing		L + 500		1.00	%		12/15/2021		20,899		17,045		17,999
EagleView Technology Corp.	⁽²⁾	Capital Goods		L + 425		1.00	%		7/15/2022		6,860		6,810		6,896
Frontline Education Inc.	^(f)(g)(2)	Software & Services		L + 650		1.00	%		9/18/2023		61,914		60,985		60,981
Greystone & Co., Inc.	^(f)(g)(2)	Diversified Financials		L + 800		1.00	%		4/17/2024		37,781		37,421		38,731
Grocery Outlet, Inc.	⁽²⁾	Food & Staples Retailing		L + 350		1.00	%		10/21/2021		1,761		1,755		1,759
Hunt Mortgage	^(f)(g)(3)	Diversified Financials		L + 750		1.00	%		2/14/2023		43,824		43,218		44,007
JHT Holdings, Inc.	^(f)(g)(2)	Capital Goods		L + 850		1.00	%		5/4/2022		31,477		30,920		32,886
Jo-Ann Stores, Inc.	⁽⁸⁾	Retailing		L + 500		1.00	%		10/20/2023		16,411		16,250		15,734
KeyPoint Government Solutions, Inc.	^(f)(g)(2)	Capital Goods		L + 600		1.00	%		4/18/2024		14,625		14,462		14,586
Koosharem, LLC	^(f)(2)	Commercial & Professional Services		L + 650		1.00	%		5/15/2020		20,840		20,616		19,918
National Debt Relief LLC	^(f)(g)(2)	Diversified Financials		L + 675		1.00	%		5/31/2023		13,171		13,117		13,121
Natural American Foods Inc.	^(f)(g)(2)	Food & Staples Retailing		L + 675		1.00	%		5/30/2023		27,089		26,958		26,748

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
NBG Home	⁽⁸⁾	Consumer Durables & Apparel		L + 550			1.00	%		4/26/2024	$	26,000	$	25,489	$	25,870
NCI Inc.	^(f)(g)(2)	Software & Services		L + 750			1.00	%		8/15/2024		84,768		83,720		83,809
New Enterprise Stone & Lime Co., Inc.	^(f)(g)(2)	Capital Goods		L + 800			1.00	%		3/19/2021		102,461		101,392		111,934
	^(f)(g)(2)			L + 800			1.00	%		3/19/2021		51,745		51,334		56,528
Nine West Holdings, Inc.	⁽²⁾	Consumer Durables & Apparel		L + 375			1.00	%		10/8/2019		16,195		15,566		13,750
Pacific Union Financial, LLC	^(g)(3)	Diversified Financials		L + 750			1.00	%		4/21/2022		72,404		71,697		72,785
PAE Holding Corp.	⁽³⁾	Capital Goods		L + 550			1.00	%		10/20/2022		3,297		3,289		3,320
Paradigm Acquisition Corp.	⁽²⁾	Health Care Equipment & Services		L + 500			1.00	%		6/2/2022		10,842		10,725		10,896
Petroplex Acidizing Inc.	^(g)(h)(2)	Energy		L + 725, 1.75% PIK (1.75% Max PIK	)		1.00	%		12/5/2019		22,566		22,566		22,113
	^(g)(h)(i)			15.00% PIK (15.00% Max PIK	)					12/5/2019		19,844		13,809		45
Proserv Acquisition, LLC	^(g)(j)(2)	Energy		L + 537.50			1.00	%		12/22/2021		26,827		21,193		14,188
Proserv Acquisition, LLC (GBR)	^(g)(j)(k)(2)			L + 537.50			1.00	%		12/22/2021		15,746		12,439		8,328
Raley’s	⁽³⁾	Food & Staples Retailing		L + 625			1.00	%		5/18/2022		11,098		10,814		11,223
Safety Technology Holdings, Inc.	^(g)(3)	Technology Hardware & Equipment		L + 600			1.00	%		7/7/2022		7,427		7,246		7,531
	^(g)(3)			L + 600						7/29/2022		1,191		1,162		1,215

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Savers, Inc.	⁽²⁾	Retailing		L + 375		1.25	%		7/9/2019	$	11,213	$	10,547	$	10,532
Sears Canada, Inc. (CAN)	^(g)(j)(k)(3)	Retailing		L + 1100		1.00	%		12/31/2017	C	$ 26,083		25,208		26,083
Sequa Corp.	⁽²⁾	Materials		L + 550		1.00	%		11/28/2021	$	9,201		9,234		9,283
SIRVA Worldwide, Inc.	⁽²⁾	Commercial & Professional Services		L + 650		1.00	%		11/22/2022		22,602		22,095		22,828
SMART Global Holdings Inc.	^(g)(j)(6)	Semiconductors & Semiconductor Equipment		P + 300					8/9/2022		480		480		416
	^(g)(j)(2)			L + 625		1.00	%		8/9/2022		20,823		20,415		20,392
Smile Brands Group, Inc.	^(g)(2)	Health Care Equipment & Services		L + 525		1.00	%		8/15/2022		12,375		12,244		12,535
SouthernCarlson	^(g)(2)	Capital Goods		L + 700		1.00	%		7/26/2022		38,349		37,944		38,934
	^(g)(3)			L + 700					7/26/2022		5,182		5,071		4,666
Staples Canada (CAN)	^{(f)(g)(j)(k)(10)(CAD)}	Retailing		CDOR + 700		1.00	%		7/2/2023	C	$35,641		28,851		27,993
ThreeSixty Group	^(f)(g)(3)	Retailing		L + 700		1.00	%		3/31/2023	$	52,438		51,479		51,474
Utility One Source LP	⁽³⁾	Capital Goods		L + 550		1.00	%		4/18/2023		9,730		9,638		9,997
Vee Pak, LLC	^(f)(g)(7)	Household & Personal Products		L + 575		1.00	%		3/9/2023		39,800		39,242		39,537
Waste Pro USA, Inc.	^(f)(g)(3)	Commercial & Professional Services		L + 750		1.00	%		10/15/2020		35,672		35,672		35,672

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Wheels Up Partners LLC	^(g)(2)	Transportation		L + 710			1.00	%		6/30/2024	$	24,872	$	24,664	$	24,628
	^(g)(2)			L + 710			1.00	%		11/1/2024		9,949		9,849		9,849
Willbros Group, Inc.	^(f)(g)(2)	Energy		L + 975			1.25	%		12/15/2019		25,599		25,599		25,881
Z Gallerie, Inc.	^(g)(2)	Retailing		L + 650			1.00	%		10/8/2020		31,704		31,493		30,832

Total First Lien Senior Secured Loan													$	1,584,165	$	1,552,568

Second Lien Senior Secured Loan—38.1%
Abaco Systems, Inc.	^(f)(g)(2)	Capital Goods		L + 1050			1.00	%		6/7/2022	$	63,371	$	62,357	$	62,577
Amtek Global Technology Pte. Ltd. (SGP)	^{(g)(j)(k)*(EUR)}	Automobiles & Components								11/10/2019	€	59,281		55,224		37,618
Belk, Inc.	^(f)(g)	Retailing		10.50	%					6/12/2023	$	99,615		97,945		89,726
CTI Foods Holding Co., LLC	⁽³⁾	Food, Beverage & Tobacco		L + 725			1.00	%		6/28/2021		23,219		23,025		18,895
Culligan International Co.	^(g)(3)	Household & Personal Products		L + 850			1.00	%		12/13/2024		65,984		65,286		65,906
Emerald Performance Materials, LLC	⁽³⁾	Materials		L + 775			1.00	%		8/1/2022		2,041		2,035		2,044
Excelitas Technologies Corp.	^(g)(h)(2)	Technology Hardware & Equipment		L + 975, 1.50% PIK (3.00% Max PIK)			1.00	%		4/29/2021		115,425		115,425		115,425
Genoa, a QoL Healthcare Co., LLC	⁽³⁾	Health Care Equipment & Services		L + 800			1.00	%		10/28/2024		10,828		10,677		11,126
Grocery Outlet, Inc.	⁽²⁾	Food & Staples Retailing		L + 825			1.00	%		10/21/2022		15,346		14,956		15,480
iParadigms Holdings, LLC	⁽²⁾	Software & Services		L + 725			1.00	%		7/29/2022		22,595		22,470		22,058

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes		Industry	Interest Rate			Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
MedAssets, Inc.		^(f)(g)(3)	Health Care Equipment & Services		L + 975			1.00	%		4/20/2023	$	63,000	$	61,377	$	62,795
Misys, Ltd. (GBR)		^(j)(k)(2)	Software & Services		L + 725			1.00	%		6/13/2025		8,403		8,342		8,576
NBG Home		^(g)(2)	Consumer Durables & Apparel		L + 975			1.00	%		9/30/2024		34,205		33,709		34,307
NEP Group, Inc.		⁽³⁾	Media		L + 700			1.00	%		1/23/2023		5,955		6,004		6,011
P2 Energy Solutions, Inc.		^(j)(2)	Software & Services		L + 800			1.00	%		4/30/2021		74,312		73,030		71,339
Petrochoice Holdings, Inc.		^(f)(g)(2)	Capital Goods		L + 875			1.00	%		8/21/2023		65,000		63,409		64,684
Plaskolite, LLC		^(g)(2)	Materials		L + 900			1.00	%		11/3/2023		33,543		32,678		33,879
Polyconcept North America, Inc.		^(g)(3)	Consumer Durables & Apparel		L + 1000			1.00	%		2/29/2024		29,376		28,743		30,004
Sequa Corp.		⁽²⁾	Materials		L + 900			1.00	%		4/28/2022		20,976		20,790		21,559
Sparta Systems Inc.		^(f)(g)(2)	Software & Services		L + 825			1.00	%		7/27/2025		35,062		34,543		34,215
SquareTwo Financial Corp.		^(g)(h)(i)(4)	Diversified Financials		L + 1000 (L + 1000 Max PIK	)		1.00	%		5/24/2019		7,338		7,111		1,246
Sungard Public Sector LLC		^(f)(g)(2)	Software & Services		L + 850			1.00	%		1/31/2025		16,109		15,956		16,146
Vencore, Inc.		⁽²⁾	Capital Goods		L + 875			1.00	%		5/23/2020		57,673		57,057		58,213
Vertafore, Inc.		^(g)(3)	Software & Services		L + 900			1.00	%		6/30/2024		81,500		79,374		82,249
Vestcom International, Inc.		^(g)(3)	Consumer Services		L + 850			1.00	%		4/28/2024		58,000		57,224		57,820
WireCo WorldGroup, Inc.		⁽²⁾	Capital Goods		L + 900			1.00	%		9/30/2019		11,226		11,157		11,321

Total Second Lien Senior Secured Loan														$	1,059,904	$	1,035,219

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Other Senior Secured Debt—4.2%
Angelica Corp.	^(g)(h)	Health Care Equipment & Services	10.00% PIK (10.00% Max PIK)					12/30/2022	$	34,205	$	33,533	$	34,205
Artesyn Technologies, Inc.	^(l)	Technology Hardware & Equipment	9.75%					10/15/2020		20,962		20,421		21,067
Direct ChassisLink, Inc.	^(l)	Transportation	10.00%					6/15/2023		17,810		19,176		19,992
DJO Finance, LLC	^(l)	Health Care Equipment & Services	8.13%					6/15/2021		9,950		9,201		9,527
NESCO, LLC	^(l)	Capital Goods	6.88%					2/15/2021		10,363		6,856		9,171
Rockport Group, LLC	^(g)(h)	Consumer Durables & Apparel	10.75% PIK (10.75% Max PIK)					7/31/2022		28,516		27,977		19,784

Total Other Senior Secured Debt											$	117,164	$	113,746

Total Senior Debt											$	2,761,233	$	2,701,533

Subordinated Debt—18.9%
Alion Science & Technology Corp.	^(f)(g)(l)	Capital Goods	11.00%					8/19/2022	$	68,603	$	67,793	$	68,418
Cemex Materials, LLC	^(l)	Materials	7.70%					7/21/2025		58,454		61,742		66,345
Exemplis Corp.	^(g)(h)(2)	Commercial & Professional Services	L + 700, 4.00% PIK (4.00% Max PIK)		1.00	%		3/23/2020		14,815		14,815		15,037

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Hilding Anders (SWE)	^{(g)(h)(j)(k)(m)(EUR)}	Consumer Durables & Apparel		13.00% PIK (13.00% Max PIK)					6/30/2021	€	93,597		105,307		83,928
	^{(g)(h)(i)(j)(k)(m)(EUR)}			12.00% PIK (12.00% Max PIK)					12/31/2022		2,733		507		823
	^{(g)(h)(i)(j)(k)(m)(EUR)}			12.00% PIK (12.00% Max PIK)					12/31/2023		22,230		939		1
	^{(g)(h)(i)(j)(k)(m)(EUR)}			18.00% PIK (18.00% Max PIK)					12/31/2024		35,185		12,851		10,599
Home Partners of America	^(g)(n)(3)	Real Estate		L + 700		1.00	%		10/8/2022	$	75,000		73,692		76,500
Kenan Advantage Group, Inc.	^(l)	Transportation		7.88%					7/31/2023		2,308		2,212		2,372
Lightower Fiber, LLC	^(g)	Telecommunication Services		10.00%					2/12/2022		11,555		11,380		11,786
	^(g)(h)			12.00% PIK (12.00% Max PIK)					8/12/2025		10,926		10,775		11,145
PQ Corp.	^(g)(l)(2)	Materials		L + 1075					5/1/2022		133,488		131,234		141,582
Vertiv Group Corp.	^(l)	Technology Hardware & Equipment		9.25%					10/15/2024		22,713		22,935		25,552

Total Subordinated Debt												$	516,182	$	514,088

Asset Based Finance—10.9%
Central Park Leasing SARL (LUX), Partnership Interest	^(g)(j)(k)	Capital Goods									N/A	$	63,211	$	69,659
Comet Aircraft SARL (LUX), Common Shares	^(g)(j)(k)(m)	Capital Goods									49,618		49,618		40,027

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Guardian Investors, LLC, Membership Interest	^(g)(j)(m)*	Diversified Financials							N/A	$	2,941	$	801
Innovating Partners, LLC, Membership Interest	^(g)(j)(m)*	Diversified Financials							N/A		4,198		1,018
LSF IX Java Investments, Ltd (IRL)	^{(g)(j)(k)(9)(EUR)}	Diversified Financials		E+315			12/3/2019	€	56,406		53,885		64,662
Orchard Marine, Ltd. (VGB), Class B Common Stock	^{(g)(j)(k)(n)*}	Transportation							1,964		3,069		—
Orchard Marine, Ltd. (VGB), Series A Preferred Stock	^{(g)(j)(k)(n)(o)}			9.00%					58,920		57,963		17,528
Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest	^(g)(j)	Diversified Financials							N/A		53,085		60,969
Toorak Capital Partners, LLC, Membership Interest	^(g)(j)(m)*	Diversified Financials							N/A		36,203		40,167

Total Asset Based Finance										$	324,173	$	294,831

Strategic Credit Opportunities Partners, LLC—11.0%
Strategic Credit Opportunities Partners, LLC	^(g)(j)(m)	Diversified Financials							294,027	$	294,028	$	299,206

Strategic Credit Opportunities Partners, LLC										$	294,028	$	299,206

Equity/Other—7.5%
Algeco/Scotsman Holdings SARL (LUX)	^(g)(j)(k)*	Consumer Durables & Apparel						$	301	$	3,007	$	5,877
Alion Science & Technology Corp., Class A Membership Interest	^(g)*	Capital Goods							N/A		7,350		5,885
AltEn, LLC, Membership Units	^(g)(n)*	Energy							2,384		2,955		—
Amtek Global Technology Pte. Ltd. (SGP), Warrants	^{(g)(j)(k)*(EUR)}	Automobiles & Components					12/31/2017		9,991		4,636		—
Amtek Global Technology Pte. Ltd. (SGP), Warrants	^{(g)(j)(k)*(EUR)}						12/31/2018		9,991		4,785		—
Angelica Corp., Limited Partnership Interest	^(g)*	Health Care Equipment & Services							877,044		48,382		7,382

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Belk, Inc., Units	^(g)	Retailing						1,642	$	7,846	$	1,492
Cengage Learning Holdings II, LP, Common Stock	^(g)	Media						227,802		7,529		3,669
Dixon Hospitality Group Pty Ltd, (AUS), Equity Earn-Out	^{(g)(j)(k)(AUD)*}	Consumer Services						N/A		1,598		1,609
Excelitas Technologies Corp., Class A Membership Interest	^(g)*	Technology Hardware & Equipment						N/A		5,636		8,572
Genesys Telecommunications Laboratories, Inc., Class A Membership Interest	^(g)*	Technology Hardware & Equipment						3,463,150		120		628
Genesys Telecommunications Laboratories, Inc., Class A Shares	^(g)*							40,529		—		—
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(g)*							2,768,806		—		—
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(g)*							41,339		—		—
Genesys Telecommunications Laboratories, Inc., Preferred Shares	^(g)*							1,050,465		—		—
Hilding Anders (SWE), Arle PIK Interest	^{(g)(h)(i)(j)(k)*(EUR)}	Consumer Durables & Apparel				12/31/2022		N/A		—		—
Hilding Anders (SWE), Class A Common Stock	^{(g)(j)(k)(m)*(SEK)}							4,503,411		132		—
Hilding Anders (SWE), Class B Common Stock	^{(g)(j)(k)(m)*(SEK)}							574,791		25		—
Hilding Anders (SWE), Class C Common Stock	^{(g)(j)(k)(m)*(SEK)}							213,201		—		—
Hilding Anders (SWE), Equity Options	^{(g)(j)(k)(m)*(SEK)}					12/31/2020		236,160,807		14,988		3,772
Home Partners of America, Warrants	^(g)(n)*	Real Estate				8/7/2024		2,675		292		807
Home Partners of America, Common Stock	^(g)(n)*							100,044		101,876		124,297
Jones Apparel Holdings, Inc., Common Stock	^(g)*	Consumer Durables & Apparel						5,451		872		2,181

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate		Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Keystone Australia Holdings, Pty. Ltd. (AUS), Residual Claim	^{(g)(j)(k)*(AUD)}	Consumer Services							N/A	$	2,091	$	2,106
KKR BPT Holdings Aggregator, LLC, Membership Interest	^(g)(j)(m)*	Diversified Financials							N/A		12,500		7,541
Louisiana-Pacific Corp, Lien Reserve Claim	^(g)*	Materials					9/15/2024		380		—		380
NBG Home, Common Stock	^(g)*	Consumer Durables & Apparel							1,903		2,565		2,691
Nine West Holdings, Inc., Common Stock	^(g)*	Consumer Durables & Apparel							5,451		6,541		—
Petroplex Acidizing Inc., Warrants	^(g)*	Energy							8		—		—
Polyconcept North America, Inc., Class A-1 Units	^(g)*	Consumer Durables & Apparel							29,376		2,938		2,580
PQ Corp., Class B Common Stock	^*	Materials							270,885		3,337		4,673
Sentry Holdings, Ltd. (JEY), Common Shares A	^{(g)(j)(k)*(GBP)}	Insurance							16,450		—		—
Sentry Holdings, Ltd. (JEY), Preferred B Shares	^{(g)(j)(k)*(GBP)}								6,113,719		9,064		9,323
SquareTwo Financial Corp., Series A Preferred Stock	^(g)(h)(i)*	Diversified Financials		12.50% PIK (12.50% Max PIK)					16,044		5,457		—
Stuart Weitzman Inc., Common Stock	^(g)*	Consumer Durables & Apparel							5,451		—		—
Towergate (GBR), Ordinary Shares	^{(g)(j)(k)*(GBP)}	Insurance							116,814		173		178
Willbros Group, Inc., Common Stock	^*	Energy							2,810,814		7,760		9,051

Total Equity/Other										$	264,455	$	204,694

Total Investments, excluding Short Term Investments — 147.7%										$	4,160,071	$	4,014,352

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate			Base Rate Floor	Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Short Term Investments—0.0%
Goldman Sachs Financial Square Funds—Treasury Instruments Fund				0.76	%			$	737,731	$	738	$	738

Total Short Term Investments										$	738	$	738

TOTAL INVESTMENTS — 147.7%^(p)										$	4,160,809	$	4,015,090

LIABILITIES IN EXCESS OF OTHER ASSETS—(47.7%)													(1,295,882	)

NET ASSETS—100.0%												$	2,719,208

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

A summary of outstanding financial instruments at September 30, 2017 is as follows:

Foreign Currency forward Contracts


Foreign Currency	Settlement Date		Counterparty		Amount and Transaction		US$ Value at Settlement Date			US$ Value at September 30, 2017			Unrealized Appreciation (Depreciation)
AUD		Oct 31, 2017		JP Morgan Chase Bank	A$	13,161 Sold	$	10,343		$	10,321		$	22
AUD		Oct 31, 2017		JP Morgan Chase Bank	A$	8,102 Sold		6,367			6,353			14
CAD		Sep 11, 2018		State Street Bank and Trust Company	C$	35,650 Sold		29,328			28,595			733
EUR		Oct 11, 2017		JP Morgan Chase Bank	€	97,980 Sold		112,267			115,853			(3,586	)
EUR		Oct 11, 2017		JP Morgan Chase Bank	€	27,300 Sold		31,281			32,280			(999	)
EUR		Oct 11, 2017		JP Morgan Chase Bank	€	27,300 Bought		(32,089	)		(32,280	)		191
EUR		Jul 8, 2019		JP Morgan Chase Bank	€	5,641 Sold		6,357			6,940			(583	)
EUR		Jul 8, 2019		JP Morgan Chase Bank	€	22,300 Sold		26,298			27,436			(1,138	)
GBP		Oct 11, 2017		JP Morgan Chase Bank	£	10,224 Sold		13,319			13,704			(385	)

Total							$	203,471		$	209,202		$	(5,731	)

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

Cross currency swaps


Counterparty	Company Receives Fixed Rate	Company Pays Fixed Rate	Termination Date		Premiums Paid/(Received)		Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A	0.759% on USD notional amount of $125,547	0.026% on EUR notional amount of €112,296		12/31/2017	$	—	$	(7,511	)
JPMorgan Chase Bank, N.A	0.590% on USD notional amount of $12,927	1.006% on GBP notional amount of £8,412		12/31/2017		—		1,575
JPMorgan Chase Bank, N.A	2.200% on USD notional amount of $69,132	0.000% on EUR notional amount of €65,250		12/31/2019		—		(8,507	)
JPMorgan Chase Bank, N.A	1.960% on USD notional amount of $36,092	0.500% on GBP notional amount of £29,125		6/30/2018		—		(2,904	)

					$	—	$	(17,347	)

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

Interest rate swaps


Counterparty	Notional Amount		Company Receives Floating Rate		Company Pays Fixed Rate			Termination Date		Premiums Paid/(Received)		Value		Unrealized Depreciation
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		1.36	%		12/31/2020	$	—	$	1,481	$	1,481
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		0.84	%		3/31/2019		—		1,174		1,174

										$	—	$	2,655	$	2,655

As of September 30, 2017, for the above contracts and/or agreements, the Company had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

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

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

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

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

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

(f)	Security or portion thereof was held within CCT New York Funding LLC (formerly, CCT SE I LLC) and was pledged as collateral supporting the amounts outstanding under the revolving credit facility with JPMorgan Chase Bank as of September 30, 2017.

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

(h)

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.

(i)	Investment was on non-accrual status as of September 30, 2017.

(j)

The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. A business development company may not acquire any assets other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets. The Company calculates its compliance with the qualifying assets test on a “look through” basis by disregarding the value of the Company’s total return swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 76.3% of the Company’s total assets represented qualifying assets as of September 30, 2017.

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

(l)

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

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

(m)

Controlled investment as defined by the 1940 Act, whereby the Company owns more than 25% of the portfolio company’s outstanding voting securities or maintains the ability to nominate greater than 50% of the board representation. The aggregate fair value of controlled at September 30, 2017 represented 17.9% of the Company’s net assets. Fair value as of September 30, 2017 along with transactions during the six months ended September 30, 2017 in these controlled investments were as follows (amounts in thousands):


	Fair Value at December 31, 2016		Nine Months Ended September 30, 2017								Fair Value at September 30, 2017		Nine Months Ended September 30, 2017
Controlled Investments	Fair Value at December 31, 2016		Gross Additions (Cost)*		Gross Reductions (Cost)**			Net Unrealized Gain (Loss)			Fair Value at September 30, 2017		Net Realized Gain (Loss)			Interest Income		Fee Income		Dividend Income
Comet Aircraft S.A.R.L	$	49,157	$	—	$	—		$	(9,130	)	$	40,027	$	—		$	—	$	—	$	7,178
Guardian Investors, LLC		3,704		—		(5,919	)		3,016			801		(3,413	)		—		—		—
Hilding Anders
Subordinated Debt		84,693		5,176		(29,877	)		35,359			95,351		(7,428	)		8,114		—		—
Class A Common Stock		—		—		—			—			—		—			—		—		—
Class B Common Stock		—		—		—			—			—		—			—		—		—
Class C Common Stock		—		—		—			—			—		—			—		—		—
Equity Options		2,253		—		—			1,519			3,772		—			—		—		—
Innovating Partners, LLC		4,372		—		(7,165	)		3,811			1,018		(4,441	)		—		—		—
KKR BPT Holdings Aggregator, LLC		9,835		500		(1,200	)		(1,594	)		7,541		—			—		—		—
Strategic Credit Opportunities Partners, LLC		98,998		201,628		—			(1,420	)		299,206		—			—		—		8,614
Toorak Capital Partners, LLC		6,984		29,219		—			3,964			40,167		—			—		—		—

	$	259,996	$	236,523	$	(44,161	)	$	35,525		$	487,883	$	(15,282	)	$	8,114	$	—	$	15,792

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

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

See notes to condensed consolidated financial statements.

(n)

Affiliated investment as defined by the 1940 Act, whereby the Company owns between 5% and 25% of the portfolio company’s outstanding voting securities and the investments are not classified as controlled investments. The aggregate fair value of non-controlled, affiliated investments at September 30, 2017 represented 8.2% of the Company’s net assets. Fair value as of September 30, 2017 along with transactions during the six months ended September 30, 2017 in these affiliated investments were as follows (amounts in thousands):


			Nine Months Ended September 30, 2017									Nine Months Ended September 30, 2017
Non-Controlled, Affiliated Investments	Fair Value at December 31, 2016		Gross Additions (Cost)*		Gross Reductions (Cost)**		Net Unrealized Gain (Loss)			Fair Value at September 30, 2017		Net Realized Gain (Loss)		Interest Income***		Fee Income		Dividend Income
AltEn, LLC
Membership Units	$	—	$	—	$	—	$	—		$	—	$	—	$	—	$	—	$	—
Term Loan		8,733		—		—		(3,549	)		5,184		—		—		—		—
Home Partners of America, Inc.
Subordinated Debt		—		73,692		—		2,808			76,500		—		4,597		—		—
Common Stock		113,013		2,150		—		9,134			124,297		—		—		—		—
Warrants		607		—		—		200			807		—		—		—		—
Orchard Marine, Ltd.
Class B Common Stock		—		—		—		—			—		—		—		—		—
Series A Preferred Stock		20,502		6,138		—		(9,112	)		17,528		—		—		—		—

Totals	$	142,855	$	81,980	$	—	$	(519	)	$	224,316	$	—	$	4,597	$	—	$	—

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

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

(p)

As of September 30, 2017, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $147,395; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $293,114; the net unrealized depreciation was $145,719; and the aggregate cost of securities for Federal income tax purposes was $4,160,809.

*	Non-income producing security.

(1)

Not used

(2)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at September 30, 2017 was 1.33%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(3)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at September 30, 2017 was 1.23%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(4)	The interest rate on these investments is subject to a base rate of 12-Month LIBOR, which at September 30, 2017 was 1.78%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2017

(in thousands, except share amounts)

(5)	The interest rate on these investments is subject to a base rate of 3-Month EURIBOR, which at September 30, 2017 was (0.33%). The current base rate for each investment may be different from the reference rate on September 30, 2017.

(6)	The interest rate on these investments is subject to a base rate of 3-Month PRIME rate, which at September 30, 2017 was 4.25%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(7)	The interest rate on these investments is subject to a base rate of 2-Month LIBOR, which at September 30, 2017 was 1.27%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(8)	The interest rate on these investments is subject to a base rate of 6-Month LIBOR, which at September 30, 2017 was 1.51%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(9)	The interest rate on these investments is subject to a base rate of 1-Month EURIBOR, which at September 30, 2017 was (0.37%). The current base rate for each investment may be different from the reference rate on September 30, 2017.

(10)	The interest rate on these investments is subject to a base rate of 3-Month Canadian Banker Acceptance Rate, which at September 30, 2017 was 1.42%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

Abbreviations:

AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.784 as of September 30, 2017.

CAD - Canadian Dollar; local currency investment amount is denominated in Canadian Dollar. C$1 / US $0.801 as of September 30, 2017.

EUR - Euro; local currency investment amount is denominated in Euros. €1 / US $1.182 as of September 30, 2017.

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.340 as of September 30, 2017.

SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronor. SEK1 / US $0.123 as of September 30, 2017.

AUS - Australia

CAN - Canada

CYM - Cayman Islands

GBR - United Kingdom

IRL - Ireland

JEY - Jersey

LUX - Luxembourg

SGP - Singapore

SPN - Spain

SWE - Sweden

VGB - British Virgin Islands

E = EURIBOR - Euro Interbank Offered Rate

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

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

P = PRIME - U.S. Prime Rate

CDOR = Canadian Banker Acceptance Rate

See notes to condensed consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

Total First Lien Senior Secured Loans											$	1,641,759	$	1,547,100

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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

Total Second Lien Senior Secured Loans											$	1,131,035	$	1,074,183

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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

Total Other Senior Secured Debt											$	177,826	$	134,786

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

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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

Total Subordinated Debt									$	683,640	$	642,427

Asset Based Finance—12.5%
Central Park Leasing SARL (LUX), Partnership Interest	^(f)(g)(i)*	Capital Goods						N/A	$	64,367	$	64,509
Comet Aircraft SARL (LUX), Common Shares	^(f)(g)(i)(q)	Capital Goods						549,451		49,618		49,157
GA Capital Specialty Lending Fund, Limited Partnership Interest	^(f)(g)	Diversified Financials						N/A		65,145		65,145
Guardian Investors, LLC, Membership Interest	^(f)(g)(q)	Diversified Financials						N/A		8,860		3,704
Innovating Partners, LLC, Membership Interest	^(f)(g)(q)	Diversified Financials						N/A		11,363		4,372
LSF IX Java Investments, Ltd (IRL), Facility B	^{(f)(g)(i)(r)(6)(EUR)}	Diversified Financials	E + 315			12/3/2019	€	56,406		51,178		51,073
Orchard Marine, Ltd. (VGB), Class B Common Stock	^{(f)(g)(i)(l)*}	Transportation						1,964		3,069		—
Orchard Marine, Ltd. (VGB), Series A Preferred Stock	^{(f)(g)(i)(j)(l)(t)}		9.00%					52,782		51,825		20,502
Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest	^(f)(g)	Diversified Financials						N/A		47,487		50,638
Trade Finance Funding I, Ltd. 2013 - 1A Class B (CYM)	^(f)(g)(i)(p)	Diversified Financials	10.75%			11/13/2018	$	28,221		28,221		28,221
Toorak Capital Partners, LLC, Membership Interest	^(f)(g)(q)*	Diversified Financials						N/A		6,984		6,984

Total Asset Based Finance									$	388,117	$	344,305

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Strategic Credit Opportunities Partners, LLC—3.6%
Strategic Credit Opportunities Partners, LLC, Units	^(f)(g)(q)*	Diversified Financials					$	92,400	$	92,400	$	98,998

Total Strategic Credit Opportunities Partners, LLC									$	92,400	$	98,998

Equity/Other—6.6%
Alion Science & Technology Corp., Class A Membership Interest	^(f)*	Capital Goods						N/A	$	7,350	$	6,685
AltEn, LLC, Membership Units	^(f)*	Energy						2,384		2,955		—
Amtek Global Technology Pte. Ltd. (SGP), Warrants	^{(f)(g)(i)*(EUR)}	Automobiles & Components				12/31/2017		9,991		4,636		3,379
	^{(f)(g)(i)*(EUR)}					12/31/2018		9,991		4,785		3,413
Belk, Inc., Units	^(f)	Retailing						1,642		7,846		4,600
Cengage Learning Holdings II, LP, Common Stock	^(f)	Media						227,802		7,529		4,985
Education Management Corp., Common Stock	^(f)*	Consumer Services						3,779,591		1,047		—
Education Management Corp., Warrants	^{(f) *}					1/5/2022		2,320,791		371		—
Excelitas Technologies Corp., Class A Membership Interest	^(f)*	Technology Hardware & Equipment						N/A		5,636		5,421
Genesys Telecommunications Laboratories, Inc., Preferred Shares	^(f)*	Software Services						1,050,465		—		—
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*							2,768,806		—		—
Genesys Telecommunications Laboratories, Inc., Class A Shares	^(f)*							40,529		—		—

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)		No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Genesys Telecommunications Laboratories, Inc., Class A1 – A5 Shares	^(f)							3,463,150	$	120	$	686
Genesys Telecommunications Laboratories, Inc., Ordinary Shares	^(f)*							41,339		—		—
Hilding Anders (SWE), Arle PIK Interest	^{(f)(g)(i)(q)*(EUR)}	Consumer Durables & Apparel						N/A		—		—
Hilding Anders (SWE), Class A Common Stock	^{(f)(g)(i)(q)*(SEK)}							4,503,408		132		—
Hilding Anders (SWE), Class B Common Stock	^{(f)(g)(i)(q)*(SEK)}							574,791		25		—
Hilding Anders (SWE), Class C Common Stock	^{(f)(g)(i)(q)*(SEK)}							213,201		—		—
Hilding Anders (SWE), Equity Options	^{(f)(g)(i)(q)*(SEK)}					12/31/2020		236,160,807		14,988		2,253
Home Partners of America, Inc., Common Stock	^(f)(l)*	Real Estate						98,053		99,725		113,013
Home Partners of America, Inc., Warrants	^(f)(l)*					8/7/2024		2,674		292		607
iPayment, Inc., Common Stock	^(f)*	Software & Services						538,143		1,988		950
Jacuzzi Brands, Inc., Warrants	^(f)*	Capital Goods				7/3/2019		49,888		—		1,400
Jones Apparel Group Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel						5,451		872		3,025
Keystone Australia Holdings, Pty. Ltd. (AUS), Warrants	^{(f)(g)(i)(s)*(AUD)}	Consumer Services						1,588,469		1,019		—
KKR BPT Holdings Aggregator, LLC, Membership Interest	^(f)(g)(q)*	Diversified Financials						N/A		13,200		9,835
Nine West Holdings, Inc., Common Stock	^(f)*	Consumer Durables & Apparel						5,451		6,541		—
OAG Holdings, LLC, Overriding Royalty Interest	^(f)	Energy						N/A		2,354		—
Petroplex Acidizing, Inc., Warrants	^(f)*	Energy				12/29/2026		8		—		—

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


Company^(a)(b)	Footnotes	Industry	Interest Rate	Base Rate Floor	Maturity Date^(c)	No. Shares/ Principal Amount^(d)		Cost^(e)		Fair Value
Polyconcept North America Holdings, Inc., Class A-1 Units	^(f)*	Consumer Durables & Apparel					29,376	$	2,938	$	2,708
PQ Corp., Class B Common Stock	^(f)*	Materials					18,059		3,337		3,077
Sentry Holdings, Ltd. (JEY), Common Shares A	^{(f)(g)(i)*(GBP)}	Insurance					16,450		—		—
Sentry Holdings, Ltd. (JEY), Preferred B Shares	^{(f)(g)(i)*(GBP)}						6,113,719		9,064		6,962
SquareTwo Financial Corp., Series A Preferred Stock	(f)(k)	Diversified Financials	12.50%				16,044	$	5,457	$	—
Stuart Weitzman, Inc., Common Stock	^(f)*	Consumer Durables & Apparel					5,451		—		1,249
Towergate (GBR), Ordinary Shares	^{(f)(g)(i)*(GBP)}	Insurance					116,814		173		133
Willbros Group, Inc., Common Stock	^*	Energy					2,810,814		7,760		9,107
Total Equity/Other								$	212,140	$	183,488

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

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

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

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

NET ASSETS—100.0%										$	2,759,332

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)


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

Total Collateral on Deposit with Custodian									$	95,000	$	95,000

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

Total Derivative Instruments									$	—	$	42,260

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

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

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

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

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

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

(g)

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

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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

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

(j)

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

(l)

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


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

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

***	Includes PIK interest income.

⁽¹⁾

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

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

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

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

(o)

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

(p)	This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act, pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act.

(q)

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


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

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

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

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

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

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

(v)

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

*	Non-income producing security.

See notes to consolidated financial statements.

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2016

(in thousands, except share amounts)

(1)

Not used.

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

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

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

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

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

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


Abbreviations:
AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.720 as of December 31, 2016.
EUR - Euro; local currency investment amount is denominated in Euros. €1 / US $1.052 as of December 31, 2016.
GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.234 as of December 31, 2016.
SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronor. SEK1 / US $0.109 as of December 31, 2016.
AUS - Australia
CAN - Canada
CYM - Cayman Islands
GBR - United Kingdom
IRL - Ireland
JEY - Jersey
LUX - Luxembourg
SGP - Singapore
SPN - Spain
SWE - Sweden
VGB - British Virgin Islands
E = EURIBOR - Euro Interbank Offered Rate
L = LIBOR - London Interbank Offered Rate
P = PRIME - U.S. Prime Rate
PIK - Payment-in-kind; the issuance of additional securities by the borrower to settle interest payment obligations.

See notes to consolidated financial statements.

CORPORATE CAPITAL TRUST, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements (unaudited)

1. Principal Business and Organization

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

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

The Company sold approximately 141 million shares of common stock through its initial continuous public offering (the “Initial Offering”) and approximately 181 million shares of common stock through its follow-on continuous public offering (the “Follow-On Offering”). The Initial Offering and Follow-On Offering are collectively referred to as the “Offerings.” The Offerings are closed to investors.

On April 3, 2017, the Company’s board of directors (the “Board”) unanimously approved a number of steps in connection with the commencement of plans to pursue a potential listing of the Company’s shares of common stock on a national securities exchange (the “Listing”). The Company has applied to list its shares of common stock on the New York Stock Exchange (“NYSE”) under the symbol “CCT,” and the application has been approved by NYSE. The Company received shareholder approval of certain proposals related to the proposed amendments to the Company’s charter during its annual meeting of shareholders that concluded on September 21, 2017. Subject to market conditions and final Board approval, the Company continues to take steps to prepare for the commencement of trading of its shares of common stock on the NYSE. There can be no assurance that the Company will be able to complete the Listing in any certain timeframe or at all.

In connection with the potential Listing, the Board also approved a new investment advisory agreement (the “Proposed Advisory Agreement”) with KKR, which will become effective following the satisfaction of certain conditions, including the Listing. Concurrent with the Listing, KKR will acquire certain of CNL’s assets primarily used in its current role as investment advisor to the Company, and in connection with that transaction, KKR will become the sole investment advisor of the Company. KKR and CNL have agreed to recommend that the Board establish a special advisory committee comprised of individuals designated by KKR, including at least one CNL-affiliated representative, to provide the Board with the ability to consult with certain designated personnel affiliated with CNL from time to time.

As of September 30, 2017 the Company had various wholly owned subsidiaries including, among others, (i) Paris Funding LLC (“Paris Funding”), CCT Tokyo Funding LLC (“CCT Tokyo Funding”) and CCT New York Funding LLC (formerly CCT SE I LLC, “CCT New York Funding”), special purpose financing subsidiaries organized for the purpose of arranging secured debt financing with banks and borrowing money to invest in portfolio companies, (ii) Halifax Funding LLC (“Halifax Funding”), a special purpose financing subsidiary organized to enter into total return swaps (“TRS”) and (iii) FCF LLC, CCT Holdings LLC and CCT Holdings II LLC, (collectively, the “Taxable Subsidiaries”), wholly-owned subsidiaries which are taxed as corporations for federal income tax purposes and were organized to hold certain equity securities of portfolio companies organized as pass-through entities for U.S. tax purposes.

2. Significant Accounting Policies

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

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

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

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

The Company does not consolidate its equity interest in Strategic Credit Opportunities Partners, LLC, a joint venture with Conway Capital, an affiliate of Guggenheim Life and Annuity Company and Delaware Life Insurance Company, (“SCJV”). For a further description of the Company’s investment in SCJV, see Note 3. “Investments”.

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

Cash – Cash consists of demand deposits and foreign currency.

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

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

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

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

2. Significant Accounting Policies (continued)

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

Level 3 – Valuation inputs are unobservable for the investment and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments generally included in this category are TRS agreements, illiquid corporate bonds and loans, unlisted common and preferred stock investments, and equity options that lack observable market pricing.

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

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

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

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

•

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

•

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

•

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

•

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

2. Significant Accounting Policies (continued)

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

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

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

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

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

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

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

2. Significant Accounting Policies (continued)

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

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

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

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

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

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

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

Derivative Instruments – The Company’s derivative instruments include foreign currency forward contracts, cross currency swaps and interest rate swaps and, until June 30, 2017, the TRS. The Company recognizes all derivative instruments as assets or liabilities at fair value in its condensed consolidated financial statements. Derivative contracts entered into by the Company are not designated as hedging instruments, and as a result, the Company presents changes in fair value through net change in unrealized appreciation (depreciation) on derivative instruments in the condensed consolidated statements of operations. TRS unrealized appreciation (depreciation) was composed of accrued interest income, net of accrued TRS financing charges owed, and the overall change in fair value of the TRS assets. Realized gains and losses that occur upon the cash settlement of the derivative instruments are included in net realized gains (losses) on derivative instruments in the condensed consolidated statements of operations. TRS realized gains and losses are composed of realized gains or losses on the TRS assets and the net interest and fees received or paid on the quarterly TRS settlement date.

2. Significant Accounting Policies (continued)

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

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

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

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

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

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

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

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

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

2. Significant Accounting Policies (continued)

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

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

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

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

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

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

Reclassifications – Certain prior year amounts in the condensed consolidated financial statements have been reclassified to conform to the current year presentation.

As of September 30, 2017, the Company has revised its investment categories to reclassify investments that were previously categorized as Structured Products and Equity/Other to three new categories of Asset Based Finance, Strategic Credit Opportunities Partners (“SCJV”) and Equity/Other. This revision separates the equity investment in the Company’s joint venture, SCJV, from other equity investments and better distinguishes between corporate equity investments and investments that are primarily collateralized by hard assets, financial assets or investments in specialty finance platforms that provide exposure to hard assets or financial assets. The Company’s Asset Based Finance investments may be in the form of debt, equity, derivatives or private placement funds. The Company has adjusted the presentation of its asset categories for all periods presented to conform to the current period presentation.

2. Significant Accounting Policies (continued)

The following table provides additional details of the fair value of investments reclassified by category as of December 31, 2016 (in thousands):


	As Filed December 31, 2016		Adjustments			Adjusted December 31, 2016
Asset Category
Asset Based Finance	$	—	$	344,305		$	344,305
Strategic Credit Opportunities Partners, LLC		—		98,998			98,998
Structured Products		210,871		(210,871	)		—
Equity/Other		415,920		(232,432	)		183,488

Total	$	626,791	$	—		$	626,791

The Company also separately presented investment advisor expenses in the condensed consolidated statements of operations. This expense was previously included with other operating expenses and has been reclassified for all periods presented.

Recent Accounting Pronouncements – In May 2014, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standards Update (“ASU”) No. 2014-09, Revenue from Contracts with Customers (Topic 606). The guidance in this ASU supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The amendments in ASU No. 2014-09 are effective for annual reporting periods beginning after December 15, 2017, including interim periods within that reporting period. In March 2016, the FASB issued ASU No. 2016-08, Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations, which clarifies the guidance in ASU No. 2014-09 and has the same effective date as the original standard. In April 2016, the FASB issued ASU No. 2016-10, Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, an update on identifying performance obligations and accounting for licenses of intellectual property. In May 2016, the FASB issued ASU No. 2016-12, Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients, which includes amendments for enhanced clarification of the guidance. In December 2016, the FASB issued ASU No. 2016-20, Technical Corrections and Improvements to Revenue from Contracts with Customers (Topic 606), the amendments in this update are of a similar nature to the items typically addressed in the technical corrections and improvements project. Additionally, in February 2017, the FASB issued ASU No. 2017-05, Other Income—Gains and Losses from the Derecognition of Nonfinancial Assets (subtopic 610-20): Clarifying the Scope of Asset Derecognition Guidance and Accounting for Partial Sales of Nonfinancial Assets, an update clarifying that a financial asset is within the scope of Subtopic 610-20 if it is deemed an “in-substance non-financial asset.” The Company is currently evaluating the impact of ASU No. 2014-09, and cannot currently quantify the impact of ASU No. 2014-09.

In August 2016, the FASB issued ASU 2016-15, “Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments,” which will make eight targeted changes to how cash receipts and cash payments are presented and classified in the statement of cash flows. The ASU further clarifies how the predominance principle should be applied to cash receipts and payments relating to more than one class of cash flows. The ASU is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. The ASU is to be applied retrospectively for each period presented. The Company does not expect this ASU to have a material impact on the Company’s consolidated statement of cash flows.

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

3. Investments

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

As of September 30, 2017 and December 31, 2016, the Company’s investment portfolio consisted of the following (in thousands):


	As of September 30, 2017
	Amortized Cost		Fair Value		Percentage of Investment Portfolio			Percentage of Net Assets
Asset Category
Senior Debt
First Lien Senior Secured Loans	$	1,584,165	$	1,552,568		38.7	%		57.1	%
Second Lien Senior Secured Loans		1,059,904		1,035,219		25.8			38.1
Other Senior Secured Debt		117,164		113,746		2.8			4.2

Total Senior Debt		2,761,233		2,701,533		67.3			99.4
Subordinated Debt		516,182		514,088		12.8			18.9
Asset Based Finance		324,173		294,831		7.3			10.9
Strategic Credit Opportunities Partners, LLC		294,028		299,206		7.5			11.0
Equity/Other		264,455		204,694		5.1			7.5

Subtotal		4,160,071		4,014,352		100.0	%		147.7	%

Short Term Investments		738		738					—

Total Investments	$	4,160,809	$	4,015,090					147.7	%


	As of December 31, 2016
	Amortized Cost		Fair Value		Percentage of Investment Portfolio			Percentage of Net Assets
Asset Category
Senior Debt
First Lien Senior Secured Loans	$	1,641,759	$	1,547,100		38.4	%		56.1	%
Second Lien Senior Secured Loans		1,131,035		1,074,183		26.7			38.9
Senior Secured Bonds		177,826		134,786		3.4			4.9

Total Senior Debt		2,950,620		2,756,069		68.5			99.9
Subordinated Debt		683,640		642,427		16.0			23.3
Asset Based Finance		388,117		344,305		8.5			12.5
Strategic Credit Opportunities Partners, LLC		92,400		98,998		2.5			3.6
Equity/Other		212,140		183,488		4.5			6.6

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

Short Term Investments		6		6					—

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

As of September 30, 2017, debt investments on non-accrual status represented 1.7% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively. As of December 31, 2016, debt investments on non-accrual status represented 5.5% and 1.6% of total investments on an amortized cost basis and fair value basis, respectively. The decrease in the percentage of investments on non-accrual status is due to investments that were restructured or sold during the period.

3. Investments (continued)

In May 2017, Amtek Global Technology Pte. Ltd. (“Amtek”), a portfolio company in which the Company has invested a total of $155.93 million as of September 30, 2017, based on amortized cost, was placed into receivership. The Company’s investments in Amtek include an investment in a portion of a term loan facility with a cost of $146.51 million (par of €141.34 million) and equity warrants with a cost of $9.42 million. On June 29, 2017, the Company and the other lenders to the term loan facility entered into an agreement among lenders (the “AAL”). The AAL effectively divided the amounts borrowed by Amtek into two facilities, Facility A and Facility B, with Facility A ranking first in order of priority. The Company’s portion of Facility A has a par amount of €82.06 million ($96.98 million as of September 30, 2017) and the Company’s portion of Facility B has a par amount of €59.28 million ($70.06 million as of September 30, 2017). Any principal payments received from or on behalf of Amtek will first be applied to Facility A and second to Facility B. Any interest payments received from or on behalf of Amtek will be applied first toward the payment of interest on Facility A at the rate of 5.0% annually and second to the repayment of Facility B. Facility B does not have a stated interest rate. Any payments applied to Facility B are expected to reduce the outstanding principal. As of September 30, 2017, the Company’s investments in Amtek have an aggregate fair value of $134.60 million.

The industry composition, geographic dispersion, and local currencies of the Company’s investment portfolio as a percentage of total fair value of the Company’s investments, excluding short term investments and derivative instruments, as of September 30, 2017 and December 31, 2016 were as follows:


Industry Composition	September 30, 2017			December 31, 2016
Capital Goods		18.7	%		21.2	%
Software & Services		9.7			8.7
Diversified Financials		8.6			8.0
SCJV		7.5			2.4
Retailing		7.2			7.9
Materials		7.0			6.0
Consumer Durables & Apparel		5.9			4.2
Automobiles & Components		5.6			5.9
Real Estate		5.0			5.4
Technology Hardware & Equipment		4.5			4.4
Health Care Equipment & Services		4.0			4.9
Transportation		3.9			4.0
Household & Personal Products		2.6			0.9
Commercial & Professional Services		2.5			2.1
Energy		2.1			4.0
Consumer Services		1.7			3.0
Food & Staples Retailing		1.4			1.3
Telecommunication Services		0.6			0.9
Food, Beverage & Tobacco		0.6			1.4
Semiconductors & Semiconductor Equipment		0.5			—
Media		0.2			0.9
Insurance		0.2			1.1
Pharmaceuticals, Biotechnology & Life Sciences		—			1.4

Total		100.0	%		100.0	%

Geographic Dispersion ⁽¹⁾
United States		87.2	%		83.7	%
Singapore		3.4			3.5
Luxembourg		2.9			4.7
Sweden		2.5			2.2
Ireland		1.6			2.2
Canada		1.3			—
British Virgin Islands		0.4			0.5
United Kingdom		0.4			1.5
Jersey		0.2			—
Australia		0.1			0.3
Cayman Islands		—			0.7
Spain		—			0.5
Remaining Countries		—			0.2

Total		100.0	%		100.0	%

3. Investments (continued)


Local Currency	September 30, 2017			December 31, 2016
U.S. Dollar		91.6	%		88.7	%
Euro		7.3			8.6
Canadian Dollar		0.7			—
British Pound Sterling		0.2			2.3
Swedish Krona		0.1			0.1
Australian Dollar		0.1			0.3

Total		100.0	%		100.0	%

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

Strategic Credit Opportunities Partners, LLC

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

In August 2016, the Company and Conway completed the initial funding of SCJV. As part of the initial funding, the Company sold investments with a fair value of $247.24 million to SCJV, in exchange for cash and a $92.40 million equity interest in SCJV. The Company recognized a net realized loss of $0.95 million in connection with the transaction. Conway completed its initial funding of SCJV with a cash contribution of $13.20 million. In September 2017, the Company sold investments with a fair value of $373.05 million to SCJV, in exchange for cash and $201.63 million equity interest in SCJV. The Company recognized a net realized gain of $3.43 million in connection with the transaction.

On August 15, 2016, Charlotte Funding LLC (formerly CSCOP SE I LLC, “Charlotte Funding”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “BAML Credit Agreement”), with Bank of America Merrill Lynch. The BAML Credit Agreement provides for a revolving credit facility which provides for up to $165.00 million in total commitments to Charlotte Funding (the “BAML Credit Facility”), and is secured by substantially all of the assets of Charlotte Funding. The stated borrowing rate under the BAML Credit Facility may take the form of either base rate loans or Eurocurrency rate loans and may be converted to either or during the term of the loan by delivering a notice to the BAML Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the BAML Credit Agreement. Base rate loans shall bear interest at a rate per annum equal to the sum of (a) the fluctuating rate per annum equal to the highest of (i) the federal funds rate plus 1/2 of 1%, (ii) the prime rate set by Bank of America for such day and (iii) the 1-month LIBOR plus (b) 1.85%. Eurocurrency rate loans shall bear interest at the rate per annum equal to the sum of (a) LIBOR (or a comparable or successor rate approved by the BAML Credit Agreement administrative agent) plus (b) 1.85%. Charlotte Funding also pays a commitment fee for undrawn commitment in the amount between 0.75% and 1.75%. The BAML Credit Facility matures on August 15, 2018. As of September 30, 2017 and December 31, 2016, total outstanding borrowings under the BAML Credit Facility were $132.20 million and $152.00 million, respectively.

On September 29, 2017, Jersey City Funding LLC (“Jersey City Funding”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “GS Credit Agreement”), with Goldman Sachs Bank. The GS Credit Agreement established a revolving credit facility which provides for up to $250 million in total commitments to Jersey City Funding (the “GS Credit Facility”), and is secured by substantially all of the assets of Jersey City Funding. The stated borrowing rate under the GS Credit Facility may take the form of either base rate loans or foreign currency rate loans and may be converted to either or during the term of the loan by delivering a notice to the GS Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the GS Credit Agreement. The GS Credit Facility provides loans in U.S. dollars, Australian dollars, Euros and Pound Sterling. U.S. dollar loans will bear interest at the rate of LIBOR plus 2.25%. Foreign currency loans will bear interest at the floating rate plus the spread applicable to the specified currency as defined in the GS Credit Agreement. Jersey City Funding also pays a commitment fee of up to 0.50% on undrawn commitments. The GS Credit Facility matures on September 29, 2021. As of September 30, 2017, total outstanding borrowings under the GS Credit Facility were $167.14 million.

3. Investments (continued)

Below is a summary of SCJV’s portfolio, followed by a listing of the individual loans in SCJV’s portfolio as of September 30, 2017 and December 31, 2016 ($ in thousands):


	September 30, 2017			December 31, 2016
Total debt investments ⁽¹⁾	$	523,462		$	250,320
Weighted average current interest rate on debt investments ⁽²⁾		8.00	%		7.08	%
Number of borrowers in SCJV		41			36
Largest loan to a single borrower ⁽¹⁾	£	40,546		$	21,214
Unfunded Commitments	$	57,425	⁽³⁾	$	—

⁽¹⁾	At par amount.

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

⁽³⁾	As of the date of this filing, $41,764 of unfunded commitments expired.

Strategic Credit Opportunities Partners, LLC Portfolio

As of September 30, 2017 (in thousands)


Company^(a)	Footnotes	Industry	Interest Rate	Base Rate Floor			Maturity Date	No. Shares/ Principal Amount^(b)		Cost		Fair Value
First Lien Senior Secured Loan—105.8%
A10 Capital, LLC	⁽¹⁾	Real Estate	L + 700		1.00	%	1/21/2022	$	32,688	$	33,342	$	33,342
ABILITY Network, Inc.	^(e)(1)	Health Care Equipment & Services	L + 500		1.00	%	5/14/2021		8,744		8,660		8,815
Acosta Holdco, Inc.	^(e)(1)	Commercial & Professional Services	L + 325		1.00	%	9/26/2021		4,002		3,785		3,557
American Freight, Inc.	⁽¹⁾	Retailing	L + 625		1.00	%	10/31/2020		31,791		31,791		31,791
Bay Club, Co.	^(e)(1)	Consumer Services	L + 650		1.00	%	8/31/2022		8,910		8,979		9,043
Belk, Inc.	⁽²⁾	Retailing	L + 475		1.00	%	12/12/2022		4,165		3,736		3,505
Brand Energy	⁽²⁾	Capital Goods	L + 425		1.00	%	6/21/2024		7,981		7,961		8,032
Casual Dining Group, Ltd. (GBR)	^(c)(2)(GBP)	Consumer Services	L + 825				12/11/2020	£	40,546		50,216		50,089
Commercial Barge Line, Co.	^(e)(1)	Transportation	L + 875		1.00	%	11/12/2020	$	7,128		6,830		5,685
David’s Bridal, Inc.	⁽²⁾	Retailing	L + 400		1.25	%	10/11/2019		3,167		3,006		2,503
Dentix (SPN)	^(c)(3)(EUR)	Health Care Equipment & Services	E + 825				12/14/2021	€	19,398		24,860		24,979
Grocery Outlet, Inc.	^(e)(2)	Food & Staples Retailing	L + 350		1.00	%	10/21/2021	$	1,281		1,268		1,280
Harbor Freight Tools USA, Inc.	⁽¹⁾	Retailing	L + 325		0.75	%	8/18/2023		2,636		2,646		2,650
KeyPoint Government Solutions, Inc.	^(e)(2)	Capital Goods	L + 600		1.00	%	4/18/2024		20,926		20,870		20,870
Koosharem, LLC	^(e)(2)	Commercial & Professional Services	L + 650		1.00	%	5/15/2020		21,051		19,140		20,120
Marshall Retail Group, LLC	⁽²⁾	Retailing	L + 600		1.00	%	8/25/2020		16,262		15,270		15,270

3. Investments (continued)


Company^(a)	Footnotes	Industry	Interest Rate	Base Rate Floor			Maturity Date	No. Shares/ Principal Amount^(b)		Cost		Fair Value
MedAssets, Inc.	⁽¹⁾	Health Care Equipment & Services	L + 450		1.00	%	10/20/2022		7,019		7,076		7,050
Netsmart Technologies, Inc.	⁽²⁾	Health Care Equipment & Services	L + 450		1.00	%	4/19/2023		1,961		1,972		1,988
NMI Holdings, Inc.	⁽¹⁾	Insurance	L + 675		1.00	%	11/8/2019		37,146		37,518		37,518
Raley’s	^(e)(1)	Food & Staples Retailing	L + 625		1.00	%	5/18/2022		4,234		4,215		4,282
RedPrairie Corp.	⁽¹⁾	Software & Services	L + 350		1.00	%	10/12/2023		11,204		11,154		11,289
Savers, Inc.	^(e)(4)	Retailing	P + 375		1.25	%	7/9/2019		9,870		9,039		9,271
Standard Aero, Ltd	⁽¹⁾	Capital Goods	L + 425		1.00	%	7/7/2022		987		993		996
TIBCO Software, Inc.	⁽¹⁾	Software & Services	L + 350		1.00	%	12/4/2020		19,135		18,636		19,229
TruGreen, LP	⁽¹⁾	Consumer Services	L + 400		1.00	%	4/13/2023		9,900		10,047		10,036
Utility One Source LP	^(e)(1)	Capital Goods	L + 550		1.00	%	4/18/2023		7,784		7,710		7,998
Vee Pak, LLC	^(e)(1)	Household & Personal Products	L + 575		1.00	%	3/9/2023		10,720		10,649		10,649

Total First Lien Senior Secured Loan										$	361,369	$	361,837


Second Lien Senior Secured Loan—26.0%
Bon-Ton Department Stores, Inc.	⁽²⁾	Retailing	L + 950		1.00	%	3/18/2021	$	13,529	$	13,249	$	13,249
Grocery Outlet, Inc.	^(e)(2)	Food & Staples Retailing	L + 825		1.00	%	10/21/2022		30,000		30,281		30,281
Press Ganey Holdings, Inc.	⁽¹⁾	Health Care Equipment & Services	L + 725		1.00	%	10/21/2024		6,703		6,853		6,853
Sungard Public Sector LLC	^(e)(2)	Software & Services	L + 850		1.00	%	1/31/2025		8,236		8,255		8,255
Vencore, Inc.	^(e)(2)	Capital Goods	L + 875		1.00	%	5/23/2020		30,000		30,281		30,281

Total Second Lien Senior Secured Loan										$	88,919	$	88,919


Other Senior Secured Debt—6.5%
Artesyn Technologies, Inc.	^(d)(e)	Technology Hardware & Equipment	9.75%				10/15/2020	$	8,900	$	7,782	$	8,945
GCP Applied Technologies, Inc.	^(d)	Materials	9.50%				2/1/2023		4,796		5,390		5,419
Guitar Center, Inc.	^(d)	Retailing	6.50%				4/15/2019		8,523		7,904		7,735

Total Other Senior Secured Debt										$	21,076	$	22,099

Total Senior Debt										$	471,364	$	472,855


Subordinated Debt—14.1%
Cequel Communications Holdings, LLC	^(d)	Media	5.13%				12/15/2021	$	7,426	$	7,486	$	7,556
GCI, Inc.		Telecommunication Services	6.88%				4/15/2025		7,211		7,471		7,752
Hillman Group, Inc.	^(d)	Consumer Durables & Apparel	6.38%				7/15/2022		2,238		2,077		2,227
Kenan Advantage Group, Inc.	^(d)(e)	Transportation	7.88%				7/31/2023		7,692		7,523		7,903
Manitowoc Foodservice, Inc.		Capital Goods	9.50%				2/15/2024		6,622		7,395		7,607

3. Investments (continued)

Company^(a)

Footnotes

Industry

Interest
Rate

Base Rate
Floor

Maturity
Date

No.
Shares/
Principal
Amount^(b)

Cost

Fair Value

Platform Specialty Products Corp.

^(d)

Materials

10.38%

5/1/2021

6,813

7,078

7,426

Solera Holdings, Inc.

^(d)

Software & Services

10.50%

3/1/2024

6,818

7,423

7,762

Total Subordinated Debt

46,453

48,233

Asset Based Finance—17.2%

GA Capital Specialty Lending Fund, Limited Partnership Interest

Diversified Financials

N/A

58,889

Total Asset Based Finance

58,889

TOTAL INVESTMENTS — 169.6%

576,706

579,977

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

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

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

(d)

(e)	This investment is held by both the Company and SCJV as of September 30, 2017.

(1)	The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at September 30, 2017 was 1.23%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(2)	The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at September 30, 2017 was 1.33%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(3)	The interest rate on these investments is subject to a base rate of 3-Month EURIBOR, which at September 30, 2017 was (0.33)%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

(4)	The interest rate on these investments is subject to a base rate of 3-Month PRIME rate, which at September 30, 2017 was 4.25%. The current base rate for each investment may be different from the reference rate on September 30, 2017.

Abbreviations:

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1/US $1.340 as of September 30, 2017.

EUR - Euro; local currency investment amount is denominated in Euros. €1/US.$1.182 as of September 30, 2017.

GBR - United Kingdom

SPN - Spain

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

P = PRIME - U.S. Prime Rate

E = EURIBOR - Euro Interbank Offered Rate

Strategic Credit Opportunities Partners, LLC Portfolio

As of December 31, 2016 (in thousands)


Company^(a)	Footnotes	Industry	Interest Rate		Base Rate Floor			Maturity Date	Principal Amount^(b)		Cost		Fair Value
First Lien Senior Secured Loans —130.9%
ABILITY Network, Inc.	^(e)(1)	Health Care Equipment & Services		L + 500		1.00	%	5/14/2021	$	8,812	$	8,713	$	8,856
Bay Club, Co.	⁽¹⁾	Consumer Services		L + 650		1.00	%	8/31/2022		8,977		9,056		9,056
Belk, Inc.	⁽¹⁾	Retailing		L + 475		1.00	%	12/12/2022		4,198		3,718		3,635
CityCenter Holdings, LLC	⁽²⁾	Real Estate		L + 325		1.00	%	10/16/2020		4,755		4,781		4,818
Commercial Barge Line, Co.	⁽¹⁾	Transportation		L + 875		1.00	%	11/12/2020		7,417		7,050		7,021
David’s Bridal, Inc.	⁽¹⁾	Retailing		L + 400		1.25	%	10/11/2019		6,792		6,367		6,025
Grocery Outlet, Inc.	⁽¹⁾	Food & Staples Retailing		L + 400		1.00	%	10/21/2021		2,923		2,891		2,927
Gymboree Corp.	^(e)(1)	Retailing		L + 350		1.50	%	2/23/2018		4,385		3,376		2,344
Harbor Freight Tools USA, Inc.	⁽¹⁾	Retailing		L + 300		0.75	%	8/18/2023		2,677		2,688		2,719

3. Investments (continued)


Company^(a)	Footnotes	Industry	Interest Rate			Base Rate Floor			Maturity Date	Principal Amount^(b)		Cost		Fair Value
inVentive Health, Inc.	⁽¹⁾	Health Care Equipment & Services		L + 375			1.00	%	11/9/2023		8,750		8,833		8,842
Koosharem, LLC	^(e)(1)	Commercial & Professional Services		L + 650			1.00	%	5/15/2020		21,214		18,858		19,225
MedAssets, Inc.	⁽³⁾	Health Care Equipment & Services		L + 550			1.00	%	10/19/2022		7,073		7,136		7,179
Neiman Marcus Group, LLC	⁽³⁾	Retailing		L + 325			1.00	%	10/25/2020		4,876		4,532		4,253
Netsmart Technologies, Inc.	⁽¹⁾	Health Care Equipment & Services		L + 450			1.00	%	4/19/2023		1,976		1,988		1,987
RedPrairie Corp.	⁽³⁾	Software & Services		L + 350			1.00	%	10/12/2023		11,288		11,233		11,431
Riverbed Technology, Inc.	⁽³⁾	Technology Hardware & Equipment		L + 325			1.00	%	4/25/2022		7,971		8,042		8,040
Savers, Inc., Common Shares A	⁽¹⁾	Retailing		L + 375			1.25	%	7/9/2019		9,948		8,835		9,258
Standard Aero, Ltd.	⁽¹⁾	Capital Goods		L + 425			1.00	%	7/7/2022		995		1,002		1,004
TIBCO Software, Inc.	^(e)(3)	Software & Services		L + 550			1.00	%	12/4/2020		19,232		18,698		19,347
TruGreen, LP	⁽³⁾	Consumer Services		L + 550			1.00	%	4/13/2023		9,950		10,111		10,112

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


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

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


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

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

Total Senior Debt												$	183,102	$	184,207


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

Total Subordinated Debt												$	63,245	$	64,395

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

3. Investments (continued)

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

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

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

^(d)	This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act.

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

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

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

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

Abbreviations:

GBR - United Kingdom

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

Below is selected balance sheet information for SCJV as of September 30, 2017 and December 31, 2016 (in thousands):


	September 30, 2017		December 31, 2016
Selected Balance Sheet Information
Total investments, at fair value	$	579,977	$	248,602
Cash and other assets		88,336		16,876

Total assets	$	668,313	$	265,478

Debt	$	299,336	$	152,000
Other liabilities		27,028		338

Total liabilities	$	326,364	$	152,338

Member’s equity	$	341,949	$	113,140

Below is selected statement of operations information for SCJV for the three and nine months ended September 30, 2017 (in thousands):


	Three Months Ended September 30, 2017			Nine Months Ended September 30, 2017
Selected Statement of Operation Information
Total investment income	$	4,487		$	13,728
Expenses
Interest expense		1,311			3,654
Custodian and accounting fees		(48	)		57
Administrative services		114			143
Professional services		20			45
Director fees and expenses		2			5
Other		2			4

Total expenses		1,401			3,908

Net investment income		3,086			9,820
Net realized and unrealized losses		(459	)		(1,598	)

Net increase in net assets resulting from operations	$	2,627		$	8,222

4. Derivative Instruments

The following is a summary of the fair value and location of the Company’s derivative instruments in the condensed consolidated statements of assets and liabilities held as of September 30, 2017 and December 31, 2016 (in thousands):


		Fair Value
Derivative Instrument	Statement Location	September 30, 2017			December 31, 2016
Cross currency swaps	Unrealized appreciation on swap contracts	$	1,575		$	26,748
Cross currency swaps	Unrealized depreciation on swap contracts		(18,922	)		(251	)
Foreign currency forward contracts	Unrealized appreciation on foreign currency forward contracts		960			3,504
Foreign currency forward contracts	Unrealized depreciation on foreign currency forward contracts		(6,691	)		—
Interest rate swaps	Unrealized appreciation on swap contracts		2,655			8,862
TRS	Unrealized appreciation on swap contracts		—			3,397

Total		$	(20,423	)	$	42,260

Net realized and unrealized gains and losses on derivative instruments recorded by the Company for the three and nine months ended September 30, 2017 and 2016 are in the following locations in the condensed consolidated statements of operations (in thousands):


		Net Realized Gains (Losses)
		Three Months Ended September 30,						Nine Months Ended September 30,
Derivative Instrument	Statement Location	2017			2016			2017			2016
Cross currency swaps	Net realized gains on swap contracts	$	808		$	1,326		$	12,854		$	7,997
Foreign currency forward contracts	Net realized losses on foreign currency forward contracts		(7,848	)		(4,029	)		(7,926	)		(2,946	)
Interest rate swaps	Net realized gains (losses) on swap contracts		2,663			(1,055	)		1,914			(3,121	)
TRS	Net realized gains on swap contracts		—			3,197			3,014			8,896

Total		$	(4,377	)	$	(561	)	$	9,856		$	10,826


		Net Unrealized Gains (Losses)
		Three Months Ended September 30,						Nine Months Ended September 30,
Derivative Instrument	Statement Location	2017			2016			2017			2016
Cross currency swaps	Net change in unrealized appreciation (depreciation) on swap contracts	$	(9,037	)	$	(1,942	)	$	(43,844	)	$	2,055
Foreign currency forward contracts	Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		2,746			2,126			(9,235	)		(1,735	)
Interest rate swaps	Net change in unrealized appreciation (depreciation) on swap contracts		(4,521	)		6,420			(6,207	)		(12,633	)
TRS	Net change in unrealized appreciation (depreciation) on swap contracts		—			8,880			(3,397	)		18,390

Total		$	(10,812	)	$	15,484		$	(62,683	)	$	6,077

4. Derivative Instruments (continued)

Offsetting of Derivative Instruments

The Company has derivative instruments that are subject to master netting agreements. These agreements include provisions to offset positions with the same counterparty in the event of default by one of the parties. The Company’s unrealized appreciation and depreciation on derivative instruments are reported as gross assets and liabilities, respectively, in the condensed consolidated statements of assets and liabilities. The following tables present the Company’s assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master netting arrangement and net of any collateral received or pledged by the Company for such assets and liabilities as of September 30, 2017 and December 31, 2016 (in thousands):


	As of September 30, 2017
Counterparty	Derivative Assets Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Received ⁽¹⁾		Cash Collateral Received ⁽¹⁾		Net Amount of Derivative Assets ⁽²⁾
J.P. Morgan Chase Bank	$	4,457	$	—	$	—	$	—	$	4,457
State Street Bank and Trust Company		733		—		—		—		733

Total	$	5,190	$	—	$	—	$	—	$	5,190


Counterparty	Derivative Liabilities Subject to Master Netting Agreement		Derivatives Available for Offset		Non-cash Collateral Pledged ⁽¹⁾		Cash Collateral Pledged⁽¹⁾		Net Amount of Derivative Liabilities ⁽³⁾
J.P. Morgan Chase Bank	$	25,613	$	—	$	—	$	—	$	25,613

Total	$	25,613	$	—	$	—	$	—	$	25,613


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

Total	$	42,511	$	—	$	—	$	—	$	42,511


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

Total	$	251	$	—	$	—	$	—	$	251

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

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

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

4. Derivative Instruments (continued)

Foreign Currency Forward Contracts and Cross Currency Swaps:

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

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

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

As of September 30, 2017 and December 31, 2016, the Company’s open foreign currency forward contracts were as follows ($ in thousands):


As of September 30, 2017
Foreign Currency	Settlement Date		Counterparty		Amount and Transaction			US$ Value at Settlement Date			US$ Value at September 30, 2017			Unrealized Appreciation
AUD		Oct 31, 2017		JP Morgan Chase Bank		A$	13,161 Sold	$	10,343		$	10,321		$	22
AUD		Oct 31, 2017		JP Morgan Chase Bank		A$	8,102 Sold		6,367			6,353			14
CAD		Sep 11, 2018		State Street Bank and Trust Company		C$	35,650 Sold		29,328			28,595			733
EUR		Oct 11, 2017		JP Morgan Chase Bank		€	97,980 Sold		112,267			115,853			(3,586	)
EUR		Oct 11, 2017		JP Morgan Chase Bank		€	27,300 Sold		31,281			32,280			(999	)
EUR		Oct 11, 2017		JP Morgan Chase Bank		€	27,300 Bought		(32,089	)		(32,280	)		191
EUR		Jul 8, 2019		JP Morgan Chase Bank		€	5,641 Sold		6,357			6,940			(583	)
EUR		Jul 8, 2019		JP Morgan Chase Bank		€	22,300 Sold		26,298			27,436			(1,138	)
GBP		Oct 11, 2017		JP Morgan Chase Bank		£	10,224 Sold		13,319			13,704			(385	)

Total								$	203,471		$	209,202		$	(5,731	)


As of December 31, 2016
Foreign Currency	Settlement Date		Counterparty		Amount and Transaction			US$ Value at Settlement Date			US$ Value at December 31, 2016			Unrealized Appreciation
AUD		Jan 12, 2017		JP Morgan Chase Bank		A$	3,655 Sold	$	2,720		$	2,637		$	83
AUD		Apr 7, 2017		JP Morgan Chase Bank		A$	14,071 Sold		10,554			10,131			423
EUR		Jan 12, 2017		JP Morgan Chase Bank		€	8,800 Sold		9,871			9,269			602
EUR		Apr 7, 2017		JP Morgan Chase Bank		€	141,500 Sold		150,242			149,673			569
EUR		Jul 7, 2017		JP Morgan Chase Bank		€	27,300 Sold		30,812			29,009			1,803
EUR		Jan 14, 2020		JP Morgan Chase Bank		€	21,000 Sold		23,747			23,723			24

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

4. Derivative Instruments (continued)

As of September 30, 2017 and December 31, 2016, the Company’s open cross currency swaps were as follows ($ in thousands).


As of September 30, 2017
Counterparty	Company Receives Fixed Rate	Company Pays Fixed Rate	Termination Date	Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A	0.759% on USD notional amount of $125,547	0.026% on EUR notional amount of €112,296	12/31/2017	$	(7,511	)
JPMorgan Chase Bank, N.A	0.590% on USD notional amount of $12,927	1.006% on GBP notional amount of £8,412	12/31/2017		1,575
JPMorgan Chase Bank, N.A	2.200% on USD notional amount of $69,132	0.000% on EUR notional amount of €65,250	12/31/2019		(8,507	)
JPMorgan Chase Bank, N.A	1.960% on USD notional amount of $36,092	0.500% on GBP notional amount of £29,125	6/30/2018		(2,904	)

				$	(17,347	)


As of December 31, 2016
Counterparty	Company Receives Fixed Rate	Company Pays Fixed Rate	Termination Date	Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A	0.300% on USD notional amount of $9,342	1.975% on AUD notional amount of A$13,161	6/30/2017	$	(251	)
JPMorgan Chase Bank, N.A	0.759% on USD notional amount of $175,018	0.026% on EUR notional amount of €156,546	12/31/2017		8,040
JPMorgan Chase Bank, N.A	0.590% on USD notional amount of $57,684	1.006% on GBP notional amount of £37,537	12/31/2017		10,946
JPMorgan Chase Bank, N.A	0.913% on USD notional amount of $56,506	0.750% on GBP notional amount of £39,349	6/30/2017		7,762

				$	26,497

As of September 30, 2017 and December 31, 2016, the combined contractual notional balance of the Company’s foreign currency forward contracts and cross currency swaps totaled $447.17 million and $526.50 million, respectively, all of which related to economic hedging of the Company’s foreign currency denominated debt investments. The tables below display the Company’s foreign currency denominated debt investments and foreign currency forward contracts, summarized by foreign currency type as of September 30, 2017 and December 31, 2016 (in thousands).


	Debt Investments Denominated in Foreign Currencies As of September 30, 2017						Hedges As of September 30, 2017
(in thousands)	Par Value in Local Currency		Par Value in US$		Fair Value		Net Foreign Currency Hedge Amount in Local Currency		Net Foreign Currency Hedge Amount in U.S. Dollars
Euros	€	351,488	$	412,899	$	294,612	€	303,467	$	338,793
Canadian Dollars	C$	35,641		28,479		27,993	C$	35,650		29,328
British Pound Sterling	£	—		—		—	£	47,761		62,338
Australian Dollars	A$	—		—		—	A$	21,263		16,710

Total			$	441,378	$	322,605			$	447,169

4. Derivative Instruments (continued)


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

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

Interest Rate Swaps:

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

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

As of September 30, 2017 and December 31, 2016, the Company’s open interest rate swaps were as follows ($ in thousands).


Counterparty	Notional Amount		Company Receives Floating Rate		Company Pays Fixed Rate			Termination Date		Premiums Paid/ (Received)		Value		Unrealized Appreciation
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		1.36	%		12/31/2020	$	—	$	1,481	$	1,481
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		0.84	%		3/31/2019		—		1,174		1,174

										$	—	$	2,655	$	2,655


Counterparty	Notional Amount		Company Receives Floating Rate		Company Pays Fixed Rate			Termination Date		Premiums Paid/ (Received)		Value		Unrealized Appreciation
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		1.36	%		12/31/2020	$	—	$	1,687	$	1,687
JPMorgan Chase Bank, N.A	$	100,000		3-Month LIBOR		0.84	%		3/31/2019		—		1,443		1,443
JPMorgan Chase Bank, N.A	$	400,000		3-Month LIBOR		1.43	%		12/31/2020		—		5,732		5,732

										$	—	$	8,862	$	8,862

4. Derivative Instruments (continued)

Equity Options and Warrants:

The Company holds equity options and warrants in certain portfolio companies in an effort to achieve additional investment returns. In holding equity options and warrants, the Company bears the risk of an unfavorable change in the value of the underlying equity interests. Equity options and warrants are recorded as investments at fair value in the condensed consolidated statements of assets and liabilities. The aggregate fair value of equity options and warrants included in investments at fair value in the Company’s condensed consolidated statements of assets and liabilities represented 0.2% and 0.4% of the Company’s net assets as of each of September 30, 2017 and December 31, 2016, respectively.

Below is a summary of the Company’s investments in equity options and warrants as of September 30, 2017 and December 31, 2016 (in thousands, except share amounts):


					As of September 30, 2017
Company	Expiration Date		No. Shares		Cost		Fair Value
Amtek Global Technology Pte. Ltd., Warrants		12/31/2017		9,991	$	4,636	$	—
Amtek Global Technology Pte. Ltd., Warrants		12/31/2018		9,991		4,785		—
Hilding Anders, Equity Options		12/31/2020		236,160,807		14,988		3,772
Home Partners of America, Inc., Warrants		8/7/2024		2,675		292		807
Petroplex Acidizing, Inc., Warrants		12/29/2026		8		—		—

Total					$	24,701	$	4,579


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

Total					$	26,091	$	11,052

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

The Company may enter into other derivative instruments and incur other exposures with other counterparties in the future. The derivative instruments held as of September 30, 2017 and December 31, 2016 generally reflect the volume of derivative activity throughout the periods presented.

Total Return Swaps:

On June 30, 2017, Halifax Funding terminated the TRS with the Bank of Nova Scotia (“BNS” or the “Counterparty”) in conjunction with the Company’s ongoing transition towards directly originated private credit investments, as TRS arrangements were primarily limited to the financing of traded investments. The TRS arrangement with BNS consisted of a set of TRS agreements, pursuant to which Halifax Funding selected a portfolio of single-name corporate loans and/or bonds (each, a “TRS asset” and together, the “TRS assets”) with a maximum aggregate notional amount of $500 million. Under the terms of the TRS agreements, each TRS asset included in the TRS portfolio constituted a separate total return swap transaction, although all calculations, payments and transfers required to be made under the TRS agreements were calculated and treated on an aggregate basis, based upon all such transactions.

4. Derivative Instruments (continued)

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

Halifax Funding posted collateral in the form of certificates of deposit held by a custodian. Generally, the required collateral amount was at least 33.3% of the notional amount of each TRS asset at the time that such TRS asset is confirmed for acquisition by the Counterparty.

Upon the termination of the TRS, Halifax Funding recognized $5.50 million of net realized losses, including a make-whole fee of $6.40 million, an amount based on the spread that would have been earned by BNS over the life of the TRS agreements.

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


	December 31, 2016
Settled notional amount	$	225,919
Unsettled additions		37,737
Unsettled deletions		(4,967	)

Total notional amount	$	258,689

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


	December 31, 2016
Interest and fee income	$	4,215
Financing charge		(869	)
Net realized gains		441
Net unrealized depreciation of TRS assets		(390	)

TRS total fair value	$	3,397

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


	Three Months Ended September 30,					Nine Months Ended September 30,
	2017		2016			2017			2016
Interest and fee income	$	—	$	4,639		$	11,526		$	14,390
Financing charge⁽¹⁾		—		(1,648	)		(10,131	)		(4,616	)
Net realized gains (losses)		—		206			1,619			(878	)

Net realized gains on derivative instruments related to the TRS	$	—	$	3,197		$	3,014		$	8,896

⁽¹⁾	Financing charge for the nine months ended September 30, 2017 includes a make-whole fee of $6.40 million.

4. Derivative Instruments (continued)

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


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

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

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

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

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

Total Other Senior Secured Debt										15,724		15,632		(92	)

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

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

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

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

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

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

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

5. Fair Value of Financial Instruments

The Company’s investments were categorized in the fair value hierarchy described in Note 2. “Significant Accounting Policies”, as follows as of September 30, 2017 and December 31, 2016 (in thousands):


	September 30, 2017
Description	Level 1		Level 2			Level 3		Total
Senior Debt	$	—	$	558,775		$	2,142,758	$	2,701,533
Subordinated Debt		—		94,269			419,819		514,088
Asset Based Finance		—		—			294,831		294,831
Strategic Credit Opportunities Partners, LLC		—		—			299,206		299,206
Equity/Other		4,673		9,051			190,970		204,694

Subtotal		4,673		662,095			3,347,584		4,014,352
Short term investments		738		—			—		738

Total investments	$	5,411	$	662,095		$	3,347,584	$	4,015,090


Derivative Instruments	Level 1		Level 2			Level 3		Total
Assets
Cross currency swaps	$	—	$	1,575		$	—	$	1,575
Foreign currency forward contracts		—		960			—		960
Interest rate swaps		—		2,655			—		2,655
TRS		—		—			—		—
Liabilities
Cross currency swaps		—		(18,922	)		—		(18,922	)
Foreign currency forward contracts		—		(6,691	)		—		(6,691	)
Interest rate swaps		—		—			—		—
TRS		—		—			—		—

Total	$	—	$	(20,423	)	$	—	$	(20,423	)


	December 31, 2016
Description	Level 1		Level 2			Level 3		Total
Senior Debt	$	—	$	589,472		$	2,166,597	$	2,756,069
Subordinated Debt		—		237,224			405,203		642,427
Asset Based Finance		—		—			344,305		344,305
Strategic Credit Opportunities Partners, LLC		—		—			98,998		98,998
Equity/Other		—		9,107			174,381		183,488

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

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


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

Total	$	—	$	38,863		$	3,397	$	42,260

There were no transfers between Level 1 and Level 2 during the nine months ended September 30, 2017 and year ended December 31, 2016.

5. Fair Value of Financial Instruments (continued)

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

At September 30, 2017, the Company held 109 distinct investment positions classified as Level 3, representing an aggregate fair value of $3.35 billion and 83.4% of the total investment portfolio. At December 31, 2016, the Company held 126 distinct investment positions classified as Level 3, representing an aggregate fair value of $3.19 billion and 79.2% of the total investment portfolio. The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of September 30, 2017 and December 31, 2016 were as follows ($ in thousands):

As of September 30, 2017

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation
Techniques⁽³⁾

Unobservable Inputs

Range (Weighted
Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

Senior Debt

1,945,366

Discounted Cash Flow

Discount Rate

5.6% - 29.3% (10.35%)

Decrease

EBITDA Multiple

1.51x - 15.51x (8.23x)

Increase

197,392

Waterfall

EBITDA Multiple

4.13x - 11.92x (6.4x)

Increase

Subordinated Debt

324,468

Discounted Cash Flow

Discount Rate

8.70% - 13.20% (10.99%)

Decrease

EBITDA Multiple

9.69x - 14.25x (10.72x)

Increase

83,928

Waterfall

EBITDA Multiple

8.70x (8.70x)

Increase

11,423

Option Pricing Model

EBITDA Multiple

9.11x (9.11x)

Increase

Implied Volatility

27.50% (27.50%)

Increase

Risk Free Rate

1.35% (1.35%)

Increase

Term

2.50 years (2.50 years)

Increase

Asset Based Finance

176,167

Discounted Cash Flow

Discount Rate

5.30% - 18.00% (11.10%)

Decrease

78,497

Net Asset Value

N/A

Increase

40,167

Waterfall

EBITDA Multiple

1.28x (1.28x)

Increase

Illiquidity Discount

10.00% - 20.00% (10.68%)

Decrease

Strategic Credit Opportunities Partners

299,206

Net Asset Value

N/A

Increase

Equity/Other

65,866

Waterfall

EBITDA Multiple

3.17x - 11.92x (6.98x)

Increase

Additional Discounts

0.00% - 15.00% (10.43%)

Decrease

125,104

Option Pricing Model

EBITDA Multiple

9.11x (9.11x)

Increase

Implied Volatility

27.50% (27.50%)

Increase

Risk Free Rate

1.35% (1.35%)

Increase

Term

2.00 years - 2.50 years
(2.00 years)

Increase

Additional Discounts

10.00% (10.00%)

Decrease

Total

3,347,584

5. Fair Value of Financial Instruments (continued)

As of December 31, 2016

Asset Group

Fair Value⁽¹⁾⁽²⁾

Valuation
Techniques⁽³⁾

Unobservable Inputs

Range (Weighted
Average)⁽⁴⁾

Impact to
Valuation from
an Increase in
Input ⁽⁵⁾

Senior Debt

1,945,023

Discounted Cash Flow

Discount Rate

4.16% - 20.38% (10.71%)

Decrease

EBITDA Multiple

4.22x - 16.24x (9.12x)

Increase

Book Value Multiple

1.29x - 1.62x (1.45x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

134,483

Discounted Cash Flow/
Price Given Sale

Discount Rate

11.47% (11.47%)

Decrease

Price Given Sale of
Issuer

101.00% (101.00%)

Increase

8,733

Option Pricing Model/
Liquidation Analysis

EBITDA Multiple

4.22x (4.22x)

Increase

Implied Volatility

30.00% (30.00%)

Increase

Risk Free Rate

0.54% (0.54%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

0.38 years (0.38 years)

Increase

Expected Recovery
Given Liquidation

13.35% (13.35%)

Increase

8,024

Option Pricing Model/
Quote/Liquidation
Analysis

EBITDA Multiple

7.25x (7.25x)

Increase

Implied Volatility

26.80% (26.80%)

Increase

Risk Free Rate

0.97% (0.97%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

1.30 years (1.30 years)

Increase

Quote

5.85% (5.85%)

Increase

Expected Recovery
Given Liquidation

0.00% (0.00%)

Increase

1,546

Liquidation Analysis

Expected Recovery
Given Liquidation

7.30% (7.30%)

Increase

21,878

Waterfall

EBITDA Multiple

11.13x (11.13x)

Increase

46,910

Waterfall

Expected Recovery
Upon Sale of Issuer

16.80% - 100.00%
(32.85%)

Increase

Subordinated Debt

320,510

Discounted Cash Flow

Discount Rate

9.57% - 13.43% (11.85%)

Decrease

EBITDA Multiple

4.40x - 12.02x (9.04x)

Increase

Book Value Multiple

1.10x (1.10x)

Increase

Interest Rate Volatility

30.00% (30.00%)

Decrease

77,837

Waterfall

EBITDA Multiple

8.48x (8.48x)

Increase

6,856

Option Pricing Model

EBITDA Multiple

8.48x (8.48x)

Increase

Implied Volatility

25.00% (25.00%)

Increase

Risk Free Rate

1.50% (1.50%)

Increase

Yield

0.00% (0.00%)

Decrease

Term

3.50 years (3.50 years)

Increase

Asset Based Finance

136,527

Discounted Cash Flow

Discount Rate

9.39% - 14.51% (11.58%)

Decrease

122,767

Net Asset Value

N/A

Increase

85,011

Waterfall

Asset Appraisals

N/A

Increase

Strategic Credit Opportunities Partners

98,998

Net Asset Value

N/A

Increase

Equity/Other

—

Waterfall

Asset Appraisals

N/A

Increase

1,249

Discounted Cash Flow

Discount Rate

12.30% - 13.00%
(13.00%)

Decrease

52,721

Market Comparables

EBITDA Multiple

6.59x - 12.02x (9.94x)

Increase

Revenue Multiple

0.27x - 2.56x (1.87x)

Increase

Additional Discounts

0.00% - 15.00% (9.51%)

Decrease

Book Value Multiple

0.95x (0.95x)

Increase

120,411

Option Pricing Model

EBITDA Multiple

4.22x - 8.48x (5.46x)

Increase

Implied Volatility

20.20% - 42.50%
(21.17%)

Increase

Risk Free Rate

0.54% - 1.50% (1.10%)

Increase

Yield

0.00% - 0.00% (0.00%)

Decrease

Term

0.38 years - 3.50 years
(1.97 years)

Increase

Additional Discounts

0.00% - 20.00% (10.00%)

Decrease

Total

3,189,484

5. Fair Value of Financial Instruments (continued)

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

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

(3)

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

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

(5)

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

The above tables represent the significant unobservable inputs as they relate to the Company’s determination of fair values for the majority of its investments categorized within Level 3 as of September 30, 2017 and December 31, 2016. In addition to the techniques and inputs noted in the tables above, according to the Company’s valuation policy, it may also use other valuation techniques and methodologies when determining the fair value estimates for the Company’s investments. Any significant increases or decreases in the unobservable inputs would result in significant increases or decreases in the fair value of the Company’s investments.

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

The following tables provide reconciliations for the three and nine months ended September 30, 2017 of investments for which Level 3 inputs were used in determining fair value (in thousands):


	Three Months Ended September 30, 2017
	Senior Debt			Subordinated Debt			Asset Based Finance			Strategic Credit Opportunities Partners, LLC			Equity/Other			Total Return Swaps		Total
Fair value balance as of June 30, 2017	$	2,169,620		$	410,668		$	390,208		$	98,101		$	198,517		$	—	$	3,267,114
Additions ⁽¹⁾		308,548			5,619			25,756			201,628			—			—		541,551
Net realized gains (losses) ⁽²⁾		(9,440	)		(15	)		(7,853	)		—			(3,585	)		—		(20,893	)
Net change in unrealized appreciation (depreciation) ⁽³⁾		11,426			5,889			12,722			(523	)		2,049			—		31,563
Sales or repayments ⁽⁴⁾		(338,998	)		(2,521	)		(126,978	)		—			(6,011	)		—		(474,508	)
Net discount accretion		1,602			179			976			—			—			—		2,757
Transfers into Level 3		—			—			—			—			—			—		—

Fair value balance as of September 30, 2017	$	2,142,758		$	419,819		$	294,831		$	299,206		$	190,970		$	—	$	3,347,584

Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2017 ⁽³⁾	$	4,111		$	5,547		$	5,903		$	(523	)	$	(1,603	)	$	—	$	13,435

5. Fair Value of Financial Instruments (continued)


	Nine Months Ended September 30, 2017
	Senior Debt			Subordinated Debt			Asset Based Finance			Strategic Credit Opportunities Partners, LLC			Equity/Other			Total Return Swaps			Total
Fair value balance as of December 31, 2016	$	2,166,597		$	405,203		$	344,305		$	98,998		$	174,381		$	3,397		$	3,192,881
Additions ⁽¹⁾		752,620			6,695			91,560			201,628			62,768			—			1,115,271
Net realized gains (losses) ⁽²⁾		(87,737	)		(7,428	)		(7,853	)		—			(5,758	)		3,014			(105,762	)
Net change in unrealized appreciation (depreciation) ⁽³⁾		129,968			42,444			14,470			(1,420	)		(32,376	)		—			153,086
Sales or repayments ⁽⁴⁾		(823,192	)		(27,625	)		(150,358	)		—			(8,045	)		(6,411	)		(1,015,631	)
Net discount accretion		4,502			530			2,707			—			—			—			7,739
Transfers into Level 3		—			—			—			—			—			—			—

Fair value balance as of September 30, 2017	$	2,142,758		$	419,819		$	294,831		$	299,206		$	190,970		$	—		$	3,347,584

Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2017 ⁽³⁾	$	66		$	31,030		$	6,670		$	(1,420	)	$	(38,771	)	$	—		$	(2,425	)

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

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

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

(4)

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

The following tables provide reconciliations for the three and nine months ended September 30, 2016 of investments for which Level 3 inputs were used in determining fair value (in thousands):


	Three Months Ended September 30, 2016
	Senior Debt			Subordinated Debt			Asset Based Finance			Strategic Credit Opportunities Partners, LLC		Equity/Other			Total Return Swaps			Total
Fair value balance as of July 1, 2016	$	1,951,828		$	347,025		$	293,267		$	—	$	146,485		$	(4,052	)	$	2,734,553
Additions ⁽¹⁾		274,608			432			75,552			92,400		9,623			—			452,615
Net realized gains (losses) ⁽²⁾		605			—			—			—		205			3,197			4,007
Net change in unrealized appreciation (depreciation) ⁽³⁾		(6,276	)		7,975			(15,478	)		2,998		16,176			8,880			14,275
Sales or repayments ⁽⁴⁾		(158,215	)		(2,628	)		(27,236	)		—		(653	)		(3,197	)		(191,929	)
Net discount accretion		1,434			420			866			—		—			—			2,720
Transfers into Level 3		—			—			—			—		—			—			—

Fair value balance as of September 30, 2016	$	2,063,984		$	353,224		$	326,971		$	95,398	$	171,836		$	4,828		$	3,016,241

Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2016 ⁽³⁾	$	(7,255	)	$	7,943		$	(15,146	)	$	2,998	$	16,438		$	8,880		$	13,858

5. Fair Value of Financial Instruments (continued)


	Nine Months Ended September 30, 2016
	Senior Debt			Subordinated Debt			Asset Based Finance			Strategic Credit Opportunities Partners, LLC		Equity/Other			Total Return Swaps			Total
Fair value balance as of December 31, 2015	$	1,814,254		$	229,065		$	223,972		$	—	$	149,244		$	(13,562	)	$	2,402,973
Additions ⁽¹⁾		554,920			140,120			188,819			92,400		39,484			—			1,015,743
Net realized gains (losses) ⁽²⁾		(18,189	)		(3,794	)		—			—		5,175			8,896			(7,912	)
Net change in unrealized appreciation (depreciation) ⁽³⁾		(2,427	)		19,687			(32,751	)		2,998		(10,214	)		18,390			(4,317	)
Sales or repayments ⁽⁴⁾		(319,271	)		(32,939	)		(53,935	)		—		(11,853	)		(8,896	)		(426,894	)
Net discount accretion		3,999			1,085			866			—		—			—			5,950
Transfers into Level 3		30,698			—			—			—		—			—			30,698

Fair value balance as of September 30, 2016	$	2,063,984		$	353,224		$	326,971		$	95,398	$	171,836		$	4,828		$	3,016,241

Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2016 ⁽³⁾	$	(25,090	)	$	14,629		$	(32,210	)	$	2,998	$	2,333		$	18,390		$	(18,950	)

⁽¹⁾	Includes increases in the cost basis of investments resulting from new and add-on portfolio investments or the capitalization of PIK interest.

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

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

⁽⁴⁾	Includes principal payments/paydowns on debt investments, collection of PIK interest, TRS settlement payments, proceeds from sales of investments and distributions received on equity investments classified as return of capital.

No securities were transferred into the Level 3 hierarchy and no securities were transferred out of the Level 3 hierarchy during the nine months ended September 30, 2017. Two securities were transferred into the Level 3 hierarchy and no securities were transferred out of the Level 3 hierarchy during the nine months ended September 30, 2016. These investments were transferred at fair value as of the beginning of the quarter in which they were transferred. The classification transfers between Level 3 and Level 2 were based on the observed changes in liquidity based on information supplied by a third party pricing source, whereby such liquidity information is routinely reviewed no less frequently than monthly. All realized and unrealized gains and losses are included in earnings and are reported as separate line items within the Company’s condensed consolidated statements of operations

6. Related Party Transactions

CNL, certain CNL affiliates, and KKR receive compensation or reimbursement for advisory services and other services in connection with the performance and supervision of administrative services and investment advisory activities.

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

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

6. Related Party Transactions (continued)

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

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

The terms of the Investment Advisory Agreement entitled CNL (and indirectly KKR) to receive up to 5% of gross proceeds in connection with the Offerings as reimbursement for organization and offering expenses incurred by the Advisors on behalf of the Company. The Company did not record any deferred offering expenses during the nine months ended September 30, 2017. During the nine months ended September 30, 2016 the Company recorded $0.76 million in deferred offering expenses related to the Follow-On Offering, or 0.6% of gross offering proceeds of the Follow-On Offering for the same period.

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

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

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

6. Related Party Transactions (continued)

Related party fees, expenses and expenses incurred on behalf of the Company during the three and nine months ended September 30, 2017 and 2016 are summarized below (in thousands):


		Three Months Ended September 30,				Nine Months Ended September 30,
Related Party	Source Agreement & Description	2017		2016		2017		2016
CNL Securities Corp.	Managing Dealer Agreement: Selling commissions and marketing support fees	$	—	$	—	$	—	$	9,649
CNL and KKR	Investment Advisory Agreement: Base management fees (investment advisory fees)		21,173		21,441		62,858		61,109
CNL and KKR	Investment Advisory Agreement: Subordinated incentive fee on income⁽¹⁾		2,046		5,816		7,721		19,218
CNL and KKR	Investment Advisory Agreement: Offering expenses reimbursement		—		88		—		760
KKR	Investment Sub-Advisory Agreement: Investment expenses reimbursement⁽²⁾		373		430		2,982		839
CNL	Administrative Services Agreement: Administrative and compliance services		531		500		1,585		1,558

⁽¹⁾

Subordinated incentive fees on income are included in performance-based incentive fees in the condensed consolidated statements of operations. During the nine months ended September 30, 2017 and 2016, $10.58 and $14.15 million, respectively, of subordinated incentive fees on income were paid to the Advisors. As of September 30, 2017 and December 31, 2016, a subordinated incentive fee on income of $2.05 million and $4.91 million, respectively, was payable to the Advisors.

⁽²⁾

Includes fees related to transactional expenses related to prospective investments, including fees and expenses associated with performing due diligence reviews of investments that do not close, often referred to as “broken deal” costs. Broken deal costs amounted to $0.24 million and $0.53 million for the three and nine months ended September 30, 2017, respectively and $0.20 million and $0.36 million during the three and nine months ended September 30, 2016, respectively.

KKR is obligated to remit to the Company any earned capital structuring fees based on the Company’s pro-rata portion of the co-investment transactions or originated investments in which the Company participates. As a result, the Company earned capital structuring fees of $3.72 million and $7.44 million during the three and nine months ended September 30, 2017, respectively, and $3.23 million and $5.08 million during the three and nine months ended September 30, 2016, respectively. As of September 30, 2017 and December 31, 2016, $— million and $2.04 million, respectively, of capital structuring fees were receivable from KKR.

Indemnification – The Investment Advisory Agreement and the Sub-Advisory Agreement contain certain indemnification provisions in favor of the Advisors, their directors, officers, associated persons, and their affiliates. The managing dealer agreement contains certain indemnification provisions in favor of the managing dealer and each participating broker and their respective officers, directors, partners, employees, associated persons, agents and control persons. In addition, the Company’s articles of incorporation contain certain indemnification provisions in favor of the Company’s officers, directors, agents, and certain other persons. As of September 30, 2017, management believed that the risk of incurring any losses for such indemnification was remote.

7. Fee Income

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


	Three Months Ended September 30,				Nine Months Ended September 30,
Fee Income	2017		2016		2017		2016
Capital structuring fees	$	3,719	$	3,227	$	7,442	$	5,080
Break-up fees		349		—		3,970		—
Amendment fees		205		763		1,111		1,743
Commitment fees		143		953		143		1,223
Other		—		13		—		153

Total	$	4,416	$	4,956	$	12,666	$	8,199

8. Distributions

The Company’s Board declared distributions for 29 and 39 record dates in the nine months ended September 30, 2017 and 2016, respectively. Declared distributions are paid monthly. Beginning with the July 31, 2017 distribution, the Board began declaring distributions based on monthly, rather than weekly, record dates. On September 26, 2017, the Company announced that following the Listing, the Company currently expects that distributions will be declared and paid to shareholders of record on a quarterly basis instead of on a monthly basis. The total and the sources of declared distributions on a GAAP basis for the nine months ended September 30, 2017 and 2016 are presented in the tables below (in thousands, except per share amounts).


	Nine Months Ended September 30,
	2017							2016
	Per Share		Amount		Allocation			Per Share		Amount		Allocation
Total Declared Distributions	$	0.58	$	178,955		100.0	%	$	0.60	$	182,976		100.0	%
From net investment income		0.52		158,821		88.7			0.52		156,736		85.7
From net realized gains		—		—		—			—		—		—
Distributions in excess of net investment income		0.06		20,134		11.3			0.08		26,240		14.3

Sources of distributions, other than net investment income and realized gains on a GAAP basis, include (i) the ordinary income component of prior year tax basis undistributed earnings and (ii) required adjustments to GAAP net investment income and realized gains, if any, in the current period to determine taxable income available for distributions. The following table summarizes the primary sources of differences between (i) GAAP net investment income and realized gains and (ii) taxable income available for distributions that contribute to tax-related distributions in excess of net investment income for the nine months ended September 30, 2017 and 2016 (in thousands).


Nine Months Ended September 30,	2017			2016
Ordinary income component of tax basis undistributed earnings	$	69,343		$	67,198
Offering expenses		394			1,846
Net change in unrealized appreciation (depreciation) on foreign currency forward contracts		(9,235	)		(1,735	)
Net change in unrealized appreciation on total return swaps		(3,397	)		18,390

Total ⁽¹⁾	$	57,105		$	85,699

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

For the nine months ended September 30, 2017, the tax-related sources of distributions of $57.11 million was greater than the distributions in excess of net investment income of $20.13 million. For the nine months ended September 30, 2016, the tax-related sources of distributions of $85.70 million were greater than the distributions in excess of net investment income of $26.24 million. None of the distributions declared during the year ended December 31, 2016 were classified as a tax basis return of capital.

9. Share Transactions

The following table summarizes the total shares issued and proceeds received in connection with the Company’s Offerings for the nine months ended September 30, 2017 and 2016 ($ in thousands except share and per share amounts).


	Nine Months Ended September 30,
	2017				2016
	Shares		Amount		Shares		Amount
Gross proceeds from offering⁽¹⁾		—	$	—		13,434,421	$	129,186
Commissions and marketing support fees		—		—		—		(9,649	)

Net proceeds to company		—		—		13,434,421		119,537
Reinvestment of distributions		9,712,151		88,089		10,428,645		93,033

Net proceeds from offering		9,712,151	$	88,089		23,863,066	$	212,570

Average net proceeds per share		$9.07				$8.91

⁽¹⁾	Following the close of the Follow-On Offering in October 2016, the Company has continued to issue shares only pursuant to its distribution reinvestment plan.

9. Share Transactions (continued)

In October 2016, the Company closed its Follow-On Offering to new investors. As of September 30, 2017, the Company has sold or issued 334.04 million shares of common stock, including reinvestment of distributions, for total gross proceeds of $3.55 billion.

Through September 30, 2017, the Company conducted quarterly tender offers pursuant to its share repurchase program. In anticipation of the Listing and the concurrent liquidity it is expected to provide, on August 10, 2017, the Company’s Board voted to terminate the Company’s share repurchase program following the completion of the Company’s tender offer which commenced on July 17, 2017 and expired on August 21, 2017.

The following table is a summary of the share repurchases completed during the nine months ended September 30, 2017 and 2016 ($ in thousands, except share and per share amounts):


Repurchase Date	Total Number of Shares Offered to Repurchase		Total Number of Shares Repurchased		Total Consideration		No. of Shares Repurchased/ Total Offer			Price Paid Per Share
2017:
January 17, 2017		7,612,326		3,707,686	$	33,369		49	%	$	9.00
May 24, 2017		7,682,237		3,851,967		34,745		50	%	$	9.02
August 24, 2017		7,704,846		5,411,415		48,107		70	%	$	8.89

Total		22,999,409		12,971,068	$	116,221		56	%


Repurchase Date	Total Number of Shares Offered to Repurchase		Total Number of Shares Repurchased		Total Consideration		No. of Shares Repurchased/ Total Offer			Price Paid Per Share
2016:
January 13, 2016		6,371,100		1,827,053	$	16,297		29	%	$	8.92
May 31, 2016		6,807,080		1,682,526		14,486		25	%	$	8.61
August 29, 2016		7,166,150		3,475,590		30,620		49	%	$	8.81

Total		20,344,330		6,985,169	$	61,403		34	%

10. Borrowings

The Company’s outstanding borrowings as of September 30, 2017 and December 31, 2016 were as follows (in thousands):


	As of September 30, 2017								As of December 31, 2016
	Total Aggregate Principal Amount Committed			Principal Amount Outstanding		Carrying Value			Total Aggregate Principal Amount Committed			Principal Amount Outstanding		Carrying Value
Senior Secured Revolving Credit Facility⁽¹⁾	$	928,000	⁽²⁾	$	645,000	$	645,000		$	928,000	⁽²⁾	$	799,000	$	799,000
BNP Credit Facility⁽¹⁾		—			—		—			200,000			183,000		183,000
SMBC Credit Facility⁽¹⁾		200,000			150,000		150,000			200,000			102,000		102,000
JPM Credit Facility⁽¹⁾		300,000			240,000		240,000			300,000			135,000		135,000

Total credit facilities		1,428,000			1,035,000		1,035,000			1,628,000			1,219,000		1,219,000
2014 Senior Secured Term Loan		386,000			386,000		383,367	⁽³⁾		389,000			389,000		385,203	⁽³⁾
2022 Notes		245,000			245,000		240,579	⁽⁴⁾		—			—		—
CS Facility⁽⁵⁾		—			—		—			23,454			23,454		23,454

Total borrowings	$	2,059,000		$	1,666,000	$	1,658,946		$	2,040,454		$	1,631,454	$	1,627,657

⁽¹⁾	Subject to borrowing base and leverage restrictions.

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

⁽³⁾	Comprised of outstanding principal less the unaccreted original issue discount of $0.69 million and $0.99 million and deferring financing costs of $1.94 million and $2.81 million as of September 30, 2017 and December 31, 2016, respectively.

⁽⁴⁾	Comprised of outstanding principal less deferred financing costs of $4.42 million as of September 30, 2017.

⁽⁵⁾	Borrowings denominated in Euros.

10. Borrowings (continued)

The weighted average stated interest rate and weighted average remaining years to maturity of the Company’s outstanding borrowings as of September 30, 2017 were 4.06% and 3.2 years, respectively, and as of December 31, 2016 were 3.22% and 3.4 years, respectively.

Senior Secured Revolving Credit Facility

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

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

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Senior Secured Revolving Credit Facility for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Stated interest expense	$	5,884		$	5,018		$	16,764		$	13,365
Unused commitment fees		275			205			739			683
Amortization of deferred financing costs		494			492			1,463			1,420

Total interest expense	$	6,653		$	5,715		$	18,966		$	15,468

Weighted average interest rate		3.61	%		2.83	%		3.35	%		2.85	%
Average borrowings	$	655,706		$	714,398		$	672,872		$	628,598

Deutsche Bank Credit Facility

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

10. Borrowings (continued)

Interest on the Tranche E Loans was charged at the rate of three-month LIBOR plus 1.85%. Interest on the Tranche F Loans was charged at the rate of three-month LIBOR plus 1.95%. CCT Funding also paid an annual commitment fee on any unused commitment amounts of 0.50%, plus an additional annual commitment fee of 1.95% on the excess, if any, of (i) 80% of the total commitment less (ii) the aggregate principal amount outstanding. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Deutsche Bank Credit Facility for the three and nine months ended September 30, 2016 were as follows (in thousands):


	Three Months Ended September 30,			Nine Months Ended September 30,
	2016			2016
Stated interest expense	$	1,601	⁽¹⁾	$	4,259	⁽¹⁾
Unused commitment fees		111			409
Amortization of deferred financing costs		95			274

Total interest expense	$	1,807		$	4,942

Weighted average interest rate		3.18	%		2.75	%
Average borrowings	$	202,609		$	207,518

⁽¹⁾	Stated interest expense for the three and nine months ended September 30, 2016 includes a make-whole fee of $0.24 million incurred on the Tranche E Loans commitment reduction.

BNP Credit Facility

Paris Funding was party to a revolving credit facility with BNP Paribas Prime Brokerage, Inc. (“BNP”) which allowed Paris Funding to borrow up to $200 million (as amended, the “BNP Credit Facility”). The BNP Credit Facility was used primarily to finance traded credit investments. On February 28, 2017, Paris Funding notified BNP of its intent to terminate the BNP Credit Facility on August 27, 2017. On June 30, 2017, Paris Funding terminated the BNP Credit Facility and paid a fee of $0.15 million, which was the estimated present value of the remaining unused commitment fees that would have been due to BNP through the previously notified termination date of August 27, 2017. The Company terminated the BNP Credit Facility in connection with the Company’s ongoing transition to directly originated private credit investments.

Interest on the BNP Credit Facility was charged at the rate of one month LIBOR plus 1.10% and is payable monthly. Paris Funding also paid an annual commitment fee on any unused commitment amounts of 0.40% or 0.50%, depending on utilization levels. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the BNP Credit Facility for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Stated interest expense	$	—		$	682		$	860		$	2,063
Unused commitment fees⁽¹⁾		—			35			421			80

Total interest expense	$	—		$	717		$	1,281		$	2,143

Weighted average interest rate		—	%		1.64	%		1.96	%		1.59	%
Average borrowings⁽²⁾	$	—		$	166,261		$	88,816		$	173,803

⁽¹⁾	Unused commitment fees for the nine months ended September 30, 2017 include a $0.15 million fee paid upon the termination of the BNP Credit Facility on June 30, 2017.

⁽²⁾	Average borrowings for the BNP Credit Facility for the nine months ended September 30, 2017 are calculated through the termination date of the facility, or June 30, 2017.

10. Borrowings (continued)

Paris Funding pledged certain of its assets as collateral to secure borrowings under the BNP Credit Facility. As of December 31, 2016, Paris Funding had investments with a fair value of $294.70 million pledged as collateral under the BNP Credit Facility. Under the terms of the BNP Credit Facility, BNP had the ability to borrow a portion of the pledged collateral (“Rehypothecated Securities”), provided that, among other things, the fair value of the borrowed collateral did not exceed the value of the loan against which the collateral was pledged and any single borrowed security did not represent the entire position of such security held by Paris Funding. Paris Funding could designate any security within the pledged collateral as ineligible to be a Rehypothecated Security, provided there were eligible securities within the segregated custody account in an amount equal to the outstanding borrowings owed by Paris Funding to BNP. Paris Funding could recall any Rehypothecated Security at any time and BNP was required to, to the extent commercially reasonable, return such security or equivalent security within a commercially reasonable period. In the event BNP did not return the security, Paris Funding had the right to, among other things, apply and set off an amount equal to 100% of the then-current fair market value of such Rehypothecated Securities against any outstanding borrowings owed to BNP under the BNP Credit Facility. Rehypothecated Securities were marked-to-market daily and if the value of all Rehypothecated Securities exceeds 100% of the outstanding borrowings owed by Paris Funding under the BNP Credit Facility, BNP could either reduce the amount of Rehypothecated Securities to eliminate such excess or deposit into the segregated custody account an amount of cash equal to such excess. Paris Funding continued to receive interest and the scheduled repayment of principal balances on Rehypothecated Securities. Paris Funding could receive a fee from BNP in connection with Rehypothecated Securities meeting certain criteria. Paris Funding did not recognize any fees on Rehypothecated Securities during the nine months ended September 30, 2017 and 2016.

SMBC Credit Facility

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

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

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the SMBC Credit Facility for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Stated interest expense	$	1,141		$	610		$	2,635		$	610
Unused commitment fees		48			13			216			149
Amortization of deferred financing costs		143			426			423			426

Total interest expense	$	1,332		$	1,049		$	3,274		$	1,185

Weighted average interest rate		3.12	%		2.48	%		2.97	%		2.47	%
Average borrowings	$	146,739		$	98,500		$	119,051		$	33,072

10. Borrowings (continued)

JPM Credit Facility

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

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

Interest on the JPM Credit Facility is charged at the rate of three month LIBOR plus 3.00% and is payable quarterly. CCT New York Funding also pays an annual commitment fee on any unused commitment amounts of 0.50% through May 29, 2017, and 1.00% thereafter. CCT New York Funding also paid an upfront fee and incurred certain other customary costs and expenses in connection with obtaining the JPM Credit Facility. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the JPM Credit Facility for the three and nine months ended September 30, 2017 were as follows (in thousands):


	Three Months Ended September 30,			Nine Months Ended September 30,
	2017			2017
Stated interest expense	$	2,698		$	6,480
Unused commitment fees		131			448
Amortization of deferred financing costs		110			327

Total interest expense	$	2,939		$	7,255

Weighted average interest rate		4.37	%		4.22	%
Average borrowings	$	248,772		$	206,242

2014 Senior Secured Term Loan

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

Maturities of the 2014 Senior Secured Term Loan for the remainder of 2017 and each of the next three years, in aggregate, as of September 30, 2017 were as follows (in thousands):


2017	$	1,000
2018		4,000
2019		381,000

	$	386,000

10. Borrowings (continued)

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the 2014 Senior Secured Term Loan for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Stated interest expense	$	4,513		$	3,998		$	13,004		$	11,935
Amortization of original discount		104			101			304			297
Amortization of deferred financing costs		292			285			860			841

Total interest expense	$	4,909		$	4,384		$	14,168		$	13,073

Weighted average interest rate		4.83	%		4.25	%		4.62	%		4.20	%
Average borrowings	$	386,978		$	390,989		$	387,978		$	391,985

2022 Notes

On June 28, 2017, the Company and The Bank of New York Mellon Trust Company, N.A. entered into an Indenture (the “Indenture”) relating to the Company’s issuance of $140 million aggregate principal amount of 5.00% senior unsecured notes due 2022. On August 31, 2017, the Company issued $105 million aggregate principal amount of the 2022 Notes as additional notes under the Indenture that form a single series with, have the same terms as, and trade interchangeably with, the previously issued notes, (such notes, collectively, the “2022 Notes”). The 2022 Notes will mature on June 28, 2022 and may be redeemed in whole or in part at the Company’s option at any time or from time to time at the applicable redemption price set forth in the Indenture. The 2022 Notes bear interest at a rate of 5.00% per year payable semi-annually on June 28th and December 28th of each year, commencing on December 28, 2017. The interest rate on the 2022 Notes is subject to adjustment in certain instances set forth in the Indenture (up to a maximum interest rate of 5.50%), based on the corporate ratings of the Company by Fitch Ratings, Inc., Kroll Bond Rating Agency, Inc. and Standard & Poor’s Rating Services. The 2022 Notes are general unsecured obligations of the Company that rank senior in right of payment to all of the Company’s existing and future indebtedness that is expressly subordinated in right of payment to the 2022 Notes and rank pari passu with all outstanding and future unsecured unsubordinated indebtedness issued by the Company.

The components of interest expense for the 2022 Notes for the three and nine months ended September 30, 2017 were as follows (in thousands):


	Three Months Ended September 30,			Nine Months Ended September 30,
	2017			2017
Stated interest expense	$	2,189		$	2,247
Amortization of deferred financing costs		155			159

Total interest expense	$	2,344		$	2,406

Weighted average interest rate		5.04	%		5.04	%
Average borrowings	$	175,380		$	174,263

In connection with each of the credit facilities, 2014 Senior Secured Term Loan and the 2022 Notes, the Company has made customary representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. As of September 30, 2017 and December 31, 2016, the Company believes it was in compliance with the covenant requirements for all of its credit facilities, 2014 Senior Secured Term Loan and the 2022 Notes.

CS Facility

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

10. Borrowings (continued)

On June 30, 2016, the Company purchased a portion of a Tranche B term loan issued by LSF IX Java Investments, Ltd (the “Tranche B Loan”) with a par value of €56.41 million from Credit Suisse AG. The company financed a portion of the purchase by entering into a repurchase transaction with CS effective as of June 30, 2016 (the “CS Facility”). Under the terms of the CS Facility, CS purchased the Tranche B Loan from the Company for a purchase price of €22.28 million. The Company, on a monthly basis, repurchased the Tranche B Loan from CS and subsequently resold the Tranche B Loan to CS. The final repurchase transaction occurred on June 30, 2017. The repurchase price paid to CS for each repurchase of the Tranche B Loan was equal to the purchase price paid by CS for the Tranche B Loan plus interest thereon accrued at EURIBOR plus a spread of 0.75% for the term of the first repurchase transaction and 1.50% for each subsequent repurchase transaction. The Company recorded interest expense of $0.18 million for the CS Facility for the nine months ended September 30, 2017. The Company has no further obligations under the CS Facility.

11. Commitments and Contingencies

Unfunded commitments to provide funds to portfolio companies are not recorded in the Company’s condensed consolidated statements of assets and liabilities. Since these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. The Company has sufficient liquidity to fund these commitments. As of September 30, 2017, the Company’s unfunded commitments consisted of the following (in thousands):


Category / Company ⁽¹⁾
Unfunded revolvers/delayed draw loan commitments:
BeyondTrust Software, Inc.	$	1,090
Frontline Technologies Holdings, LLC		12,140
National Debt Relief LLC		9,408
Safety Technology Holdings, Inc.		421
Smart Modular Technologies, Inc.		276
Smile Brands, Inc.		3,589
SouthernCarlson		6,219

Total unfunded revolvers/delayed draw loan commitments	$	33,143


Term Loans
Wheels Up Partners LLC	$	49,842

Total Unfunded Term Loans	$	49,842


Unfunded equity commitments:
Central Park Leasing SARL	$	1,292
KKR BPT Holdings Aggregator, LLC		7,500
Polyconcept North America Holdings, Inc.		1,211
Star Mountain SMB Multi-Manager Credit Platform, LP		21,948
Toorak Capital		4,773

Total unfunded equity commitments	$	36,724

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

As of September 30, 2017, the Company also has an unfunded commitment to provide $143.47 million of capital to SCJV. The capital commitment can be satisfied with contributions of cash and/or investments. The capital commitments cannot be drawn without an affirmative vote by both the Company’s and Conway’s representatives on SCJV’s board of managers.

As of September 30, 2017, the Company’s unfunded debt commitments have a fair value of $(0.63) million. The Company funds its equity investments as it receives funding notices from the portfolio companies. As of September 30, 2017, the Company’s unfunded equity commitments have a fair value of zero.

In the normal course of business, the Company may enter into guarantees on behalf of portfolio companies. Under such arrangements, the Company would be required to make payments to third parties if the portfolio companies were to default on their related payment obligations. The Company has no such guarantees outstanding at September 30, 2017 and December 31, 2016.

12. Income Taxes

The Company is subject to federal, state, foreign income, and foreign withholding taxes. For the nine months ended September 30, 2017 and 2016, the company recorded a tax benefit of $1.78 million, and tax expense of $0.98 million, and had an effective tax rate of (1.09%) and 0.50%, respectively.

As of September 30, 2017 and December 31, 2016, the Company had a net deferred tax liability of $0.60 million and $1.99 million, respectively. The deferred tax items are primarily comprised of basis differences in partnerships and liabilities, net operating losses, unrealized investment depreciation, and valuation allowances of $22.51 million and $1.17 million, respectively.

13. Financial Highlights

The following is a schedule of financial highlights for one share of common stock during the nine months ended September 30, 2017 and 2016.


	Nine Months Ended September 30,
	2017			2016
OPERATING PERFORMANCE PER SHARE
Net asset value, beginning of Period	$	8.93		$	8.93

Net investment income⁽¹⁾		0.52			0.52
Net realized and unrealized gain (loss)⁽¹⁾⁽²⁾		0.02			0.11

Net increase resulting from investment operations		0.54			0.63

Distributions from net investment income⁽³⁾		(0.52	)		(0.52	)
Distributions in excess of net investment income⁽³⁾⁽⁴⁾		(0.06	)		(0.08	)

Net decrease resulting from distributions to common shareholders		(0.58	)		(0.60	)

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

Net increase resulting from capital share transactions		—			0.01

Net asset value, end of period	$	8.89		$	8.97

OPERATING PERFORMANCE PER SHARE
Total investment return-net price⁽⁶⁾		4.48	%		6.62	%
Total investment return-net asset value⁽⁷⁾		6.12	%		7.45	%
RATIOS/SUPPLEMENTAL DATA (all amounts in thousands except ratios)
Net assets, end of period	$	2,719,208		$	2,758,081
Average net assets⁽⁸⁾	$	2,759,036		$	2,669,512
Average borrowings⁽⁸⁾	$	1,520,934		$	1,443,414
Shares outstanding, end of period		305,783			307,308
Weighted average shares outstanding		308,270			303,271
Ratios to Average Net Assets:⁽⁸⁾
Total operating expenses		4.79	%		4.79	%
Net investment income		5.76	%		5.87	%
Portfolio turnover rate		29	%		23	%
Asset coverage ratio⁽⁹⁾		2.63			2.70

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

⁽²⁾

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

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

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

13. Financial Highlights (continued)

⁽⁵⁾

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

⁽⁶⁾

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

⁽⁷⁾

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

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

⁽⁹⁾

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

14. Subsequent Events

On October 13, 2017, the Company’s Board declared a distribution of $0.05958 to shareholders of record as of October 24, 2017, payable on or around October 25, 2017.

As disclosed in a Form 8-K filed with the SEC on November 1, 2017, in anticipation of the Listing, the Company filed Articles of Amendment to its Articles of Incorporation with the State Department of Assessments and Taxation of the State of Maryland to effect a 1-for-2.25 reverse stock split of the Company’s shares of common stock. As a result of the reverse stock split, every 2.25 shares of the Company’s common stock issued and outstanding were automatically combined into one share of common stock. In connection with the reverse stock split, the Company eliminated all outstanding fractional shares by rounding up the numbers of fractional shares held by each of the Company’s shareholders to the nearest whole number of shares as of November 3, 2017. As adjusted to give effect to the reverse stock split, the Company’s net asset value per share as of September 30, 2017 would have been $20.01 (instead of $8.89 per share). The reverse stock split did not modify the rights or preferences of the Company’s common stock. A summary of the Company’s net asset value and earnings per share after adjusting for the reverse stock split is as follows:


	As of
	September 30, 2017		December 31, 2016
Shares outstanding (as reported)		305,782,630		309,041,547
Shares outstanding (pro-forma)		135,903,391		137,351,799
Net asset value per share (as reported)	$	8.89	$	8.93
Net asset value per share (pro-forma)	$	20.01	$	20.09

14. Subsequent Events (continued)


	Three Months Ended September 30,				Nine Months Ended September 30,
	2017		2016		2017		2016
Weighted average number of shares of common stock outstanding (as reported)		307,090,344		306,927,293		308,269,633		303,271,181
Weighted average number of shares of common stock outstanding (pro-forma)		136,484,597		136,412,130		137,008,726		134,787,192
Net investment income per share (as reported)	$	0.17	$	0.17	$	0.52	$	0.52
Net investment income per share (pro-forma)	$	0.39	$	0.39	$	1.16	$	1.16
Diluted and basic earnings per share (as reported)	$	0.15	$	0.37	$	0.54	$	0.65
Diluted and basic earnings per share (pro-forma)	$	0.33	$	0.82	$	1.22	$	1.45

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

The following discussion is based on the unaudited condensed consolidated financial statements as of September 30, 2017 and December 31, 2016, and for the three and nine months ended September 30, 2017 and 2016. Amounts as of December 31, 2016 included in the unaudited condensed consolidated financial statements have been derived from the audited consolidated financial statements as of that date. This information should be read in conjunction with the accompanying unaudited condensed consolidated financial statements and the notes thereto, as well as the audited consolidated financial statements, notes and management’s discussion and analysis of financial condition and results of operations included in our Annual Report on Form 10-K for the year ended December 31, 2016. Capitalized terms used in this Item 2 have the same meaning as in the accompanying unaudited condensed consolidated financial statements in Item 1 unless otherwise defined herein.

Statement Regarding Forward-Looking Information

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

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

Overview

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

Potential Listing

On April 3, 2017, our board of directors (the “Board”) unanimously approved a number of steps in connection with the commencement of plans to pursue a potential listing of our shares of common stock on a national securities exchange (the “Listing”). We have been cleared to file an application, and have applied, to list our shares of common stock on the New York Stock Exchange (“NYSE”) under the symbol “CCT.” We received shareholder approval of certain proposals related to the proposed amendments to our charter during our annual meeting of shareholders that concluded on September 21, 2017. Subject to market conditions and final Board approval, we continue to take steps to prepare for the commencement of trading of our shares of common stock on the NYSE (the “Listing”). There can be no assurance that we will be able to complete the Listing in any certain timeframe or at all.

In connection with the potential Listing, the Board also approved a new investment advisory agreement (the “Proposed Advisory Agreement”) between the Company and KKR, which will become effective following the satisfaction of certain conditions, including the Listing. Concurrent with the Listing, KKR will acquire certain of CNL’s assets primarily used in its current role as our investment advisor, and in connection with that transaction, KKR will become our sole investment advisor. KKR and CNL have agreed to recommend that the Board establish a special advisory committee comprised of individuals designated by KKR, including at least one CNL-affiliated representative, to provide the Board with the ability to consult with certain designated personnel affiliated with CNL from time to time.

Investment Objective, Investment Program and Primary Investment Types

Our investment objective is to provide our shareholders with current income and, to a lesser extent, long-term capital appreciation. We pursue our investment objective by investing primarily in the debt of privately owned and thinly traded U.S. companies (also referred to as “portfolio companies”) with a focus on originated transactions sourced through the networks of our Advisors. We define directly originated transactions as any investment where our Advisors negotiate the terms of the transaction beyond just the price, which, for example, may include negotiating financial covenants, maturity dates or interest rate terms (the “Directly Originated Investments”). Additionally, we have the ability to participate in other originated transactions where there may be third parties involved, or a bank acting as an intermediary, for a closely held club, or similar transaction. We refer to Directly Originated Investments and other originated transactions together as our “Originated Strategies.” We anticipate that a substantial portion of our investment portfolio will consist of senior and subordinated debt, which we believe offer potential opportunities for superior risk-adjusted returns and income generation. Our debt investments may take the form of corporate loans or bonds, may be secured or unsecured and may, in some cases, be accompanied by warrants, options or other forms of equity participation. We may separately purchase common or preferred equity interests in transactions. We may also invest in structured products, such as collateralized loan obligations, and loan participations and assignments.

Historically, our investment program consisted of two main components. First, since the inception of our investment activities, we have been engaged in the direct purchase of debt and equity securities, primarily issued by portfolio companies, through both secondary market and direct lending transactions. We refer to this investment program component as our “Investment Portfolio” in this report. Second, beginning in November 2012 and until June 2017, we supplemented our economic exposure to portfolio companies by entering into total return swap arrangements (the “TRS”) with a commercial bank counterparty and directing the creation of a portfolio of debt investments that serve as reference assets under the TRS. We refer to this investment program component as our portfolio of TRS assets or our “TRS Portfolio” in this report. In the case of our TRS Portfolio, we received all (i) realized income and fees and (ii) realized capital gains generated by the TRS assets. In return, we paid quarterly to the TRS counterparty a payment consisting of (i) realized capital losses generated by the TRS assets and (ii) financing costs that are based on (a) a floating financing rate and (b) the settled notional amount of TRS assets. We terminated the TRS on June 30, 2017, in connection with the Company’s ongoing transition towards directly originated private credit investments, as those arrangements were primarily limited to the financing of traded investments.

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

We primarily focus on the following investment types:

•

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

•

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

•

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

•

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

•

Convertible Securities. We may invest in convertible securities, such as bonds, debentures, notes, preferred stocks or other securities that may be converted into, or exchanged for, a specified amount of common stock of the same or different issuer within a particular period of time at a specified price of formula.

•

Investments in Private Investment Funds. We may invest in, or wholly own, private investment funds, including hedge funds, private equity funds, limited liability companies, REITs, and other business entities. In particular, we expect we may invest in asset-based opportunities through joint ventures, investment platforms or build-ups that provide one or more of the following services: origination or sourcing of potential investment opportunities, due diligence and negotiation of potential investment opportunities and/or servicing, development and management (including turnaround) and disposition of investments. Such investments in joint ventures, platforms and build-ups may be in or alongside existing or newly formed operators, consultants and/or managers that pursue such opportunities and may or may not include capital and/or assets contributed by third party investors. Such investments may include opportunities to direct-finance physical assets, such as airplanes and ships, and/or operating assets, such as financial service entities, as opposed to investment securities, or to invest in origination and/or servicing platforms directly. These asset-based opportunities are expected to offer mezzanine-like structural downside protection as well as asset collateral, and equity-like upside that can be achieved through appreciation at the asset-level or, in the case of platforms, through growth of the enterprise value. Key areas of focus include, without limitation, (i) aircraft, (ii) shipping, (iii) renewables, (iv) real estate, (v) consumer finance, and (vi) energy/infrastructure.

•

Derivatives. We may invest in various types of derivatives, including TRS, interest rate swaps and foreign currency forward contracts and options.

•

Investments with Third-Parties. We may co-invest with third parties through partnerships, joint ventures or other entities, thereby acquiring jointly-controlled or non-controlling interests in certain investments in conjunction with participation by one or more third parties in such investment. Such joint venture partners or third party managers may include former KKR personnel or associated persons.

We co-invest with Conway Capital, LLC (“Conway”), an affiliate of Guggenheim Life and Annuity Company and Delaware Life Insurance Company, through an unconsolidated, limited liability company, Strategic Credit Opportunities Partners (“SCJV”). SCJV was formed in May 2016 to invest its capital in a range of investments, including senior secured loans (both first lien and second lien) to middle market companies, broadly syndicated loans, equity, warrants and other investments. We and Conway each have 50% voting control of SCJV and together are required to agree on all investment decisions as well as all other significant actions for SCJV. As of September 30, 2017, SCJV had total capital commitments of $500 million, $437.50 million of which was from us and the remaining $62.50 million from Conway. As of September 30, 2017, we had funded approximately $294.03 million of our commitment. SCJV had $165 million of borrowing capacity through a revolving credit facility with Bank of America Merrill Lynch (“BAML Credit Facility”) with a stated maturity date of August 15, 2018. SCJV also had $250 million of borrowing capacity through a revolving credit facility with Goldman Sachs Bank USA (the “GS Credit Facility”) with a stated maturity date of September 29, 2021. As of September 30, 2017, our investment in SCJV was approximately $299.21 million at fair value. We do not consolidate SCJV in our consolidated financial statements.

Our investment activity can and does vary substantially from period to period depending on many factors, including: the demand for debt from creditworthy privately owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance transactions, the general economic environment, the competitive investment environment for the types of investments we currently seek and intend to seek in the future, cash available from operations and the amount of capital we may borrow.

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

Revenues

We generate revenues primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have an expected maturity of three to ten years, although we have no lower or upper constraint on maturity, and typically earn interest at fixed or floating rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. Some of our investments in debt securities contain payment-in-kind (“PIK”)

interest provisions. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of dividends from equity investments, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance. While the TRS assets also generated interest income and fees, such amounts, net of the financing expenses, were recognized as realized gains pursuant to generally accepted accounting principles (“GAAP”) when payable to us quarterly and upon the termination of the TRS.

Operating Expenses

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

Financial and Operating Highlights

The following table presents financial and operating highlights as of September 30, 2017 and December 31, 2016, and for the nine months ended September 30, 2017 and 2016:


As of *(in thousands, except ratios and per share amounts)*	September 30, 2017			December 31, 2016
Total assets	$	4,422,594		$	4,430,696
Adjusted total assets (Total assets, net of payable for investments purchased)	$	4,422,594		$	4,408,491
Investments in portfolio companies	$	4,014,352		$	4,025,287
Borrowings	$	1,666,000		$	1,631,454
Deemed borrowings (TRS implied leverage classified as senior securities)	$	—		$	163,689
Net assets	$	2,719,208		$	2,759,332
Net asset value per share	$	8.89		$	8.93
Leverage ratio (Borrowings + Deemed borrowings)/Adjusted total assets)		38	%		41	%

Activity for the Nine Months Ended	September 30,
*(in thousands, except per share amounts)*	2017			2016
Average net assets	$	2,759,036		$	2,669,512
Average borrowings under credit facilities and term loan	$	1,520,934		$	1,443,414
Purchases of investments⁽¹⁾	$	1,368,693		$	1,249,197
Sales, principal payments and other exits⁽¹⁾	$	1,463,538		$	984,051
Net investment income	$	158,821		$	156,736
Net realized losses on investments, derivative instruments and foreign currency transactions	$	(83,912	)	$	(10,223	)
Net change in unrealized depreciation on investments, derivative instruments and foreign currency translation	$	92,054		$	49,355
Net increase in net assets resulting from operations	$	166,963		$	195,868
Total distributions declared	$	178,955		$	182,976
Net investment income per share	$	0.52		$	0.52
Earnings per share	$	0.54		$	0.65
Distributions declared per share outstanding for the entire period	$	0.58		$	0.60

Summary of Common Stock Offerings for the Nine Months Ended	September 30,
*(in thousands, except share and per share amounts)*	2017			2016
Gross proceeds, excluding reinvestment of distributions	$	—		$	129,186
Net proceeds to Company, excluding reinvestment of distributions	$	—		$	119,537
Reinvestment of distributions	$	88,089		$	93,033
Average net proceeds per share	$	9.07		$	8.91
Shares issued in connection with Offerings, excluding reinvestment of distributions		—			13,434,421
Shares issued in connection with reinvestment of distributions		9,712,151			10,428,645

⁽¹⁾	Includes $201.63 million and $92.40 million for each of the three and nine months ended September 30, 2017 and 2016, respectively, of investments sold to SCJV in exchange for equity interest in SCJV.

Business Environment

The search for yield continues among global investors driving the spread between yields on corporate credit and historically lower yielding investment alternatives, close to all-time tight levels. For example, we see that the yield-to-worst for European BB rated high yield bonds is now approximately the same as 10-year US Treasuries.

Another market dynamic at play is one of supply versus demand. More specifically, the increase in demand for yield has been concurrent with an increase in the proportion of investors seeking to access investments via more liquid structures (ETFs and mutual funds). High-yield ETF growth, in terms of assets since 2011, has been 124% versus market growth of 37%. Leveraged loans ETF growth was over 6,000% versus market growth of 92% over the same period. This significant demand growth in more liquid structures has occurred at a time when traditional market liquidity supply sources have been weak. For example, investor levels at investment-bank dealing desks have reduced over 85% since 2007.

Given this mismatch in supply versus demand, compounded by a mismatch in asset and fund liquidity in more liquid structures, market prices today can often be more determined by credit flows (and investor sentiment) in the liquid market, than the underlying credit quality of the borrowers themselves.

In contrast to this dynamic in the liquid market, our focus is on originated investments that offer an illiquidity premium. We believe the risk-adjusted returns today come from investing in names that are somewhat isolated from the liquidity-driven market dynamics discussed above, and from our ability to hold investments long term. We believe CCT is a vehicle for investors to access this premium and because of our closed-end structure, not incur the mismatch of fund versus asset liquidity found in more liquid structures.

In addition to our focus on originated investments, we believe CCT’s scale of over $4 billion, compounded with our ability to co-invest alongside other KKR funds, allows us to focus on larger originated investments to the upper-middle market. Through being able to underwrite and make larger investments in the upper-middle market, we see better supply/demand dynamics and believe investing in these upper-middle market opportunities offer us better risk-adjusted returns while generally providing better credit protections including, stronger covenants, reporting and amortization requirements from our borrowers.

Portfolio and Investment Activity

Portfolio Investment Activity for the Three and Nine Months ended September 30, 2017 and 2016

The following table summarizes our investment activity as of September 30, 2017 and December 31, 2016 and for the three and nine months ended September 30, 2017 and 2016, excluding our short term investments:


	Investment Activity Summary as of *($ in thousands)*
	September 30, 2017		December 31, 2016
	Investment Portfolio		Investment Portfolio		TRS Portfolio
Total fair value	$	4,014,352	$	4,025,287	$	258,299
No. portfolio companies		105		129		43
No. debt investments		106		141		47
No. asset based finance investments		9		11		—
No. equity/other investments		37		37		—


	Investment Portfolio Activity Summary *($ in thousands)*
	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Purchases of Investments:
First Lien Senior Secured Loans	$	248,396		$	250,326		$	808,719		$	401,916
Second Lien Senior Secured Loans		72,219			59,646			185,423			249,147
Other Senior Secured Debt		1,486			17,965			66,630			55,501
Subordinated Debt		—			22,837			9,517			227,621
Asset Based Finance		25,757			71,672			91,560			184,939
Strategic Credit Opportunities Partners, LLC⁽¹⁾		201,628			92,400			201,628			92,400
Equity/Other		—			13,268			5,216			37,673

Total	$	549,486		$	528,114		$	1,368,693		$	1,249,197

Sales, Principal Payments and Other Exits:
First Lien Senior Secured Loans ⁽¹⁾	$	333,893		$	234,638		$	753,678		$	407,938
Second Lien Senior Secured Loans		227,418			113,866			283,179			278,709
Other Senior Secured Debt		5,892			73,900			81,104			92,116
Subordinated Debt		3,778			98,736			190,513			139,737
Asset Based Finance		126,978			27,236			150,358			53,935
Equity/Other		2,673			416			4,706			11,616

Total	$	700,632		$	548,792		$	1,463,538		$	984,051

Portfolio Company Additions		8			17			26			37
Portfolio Company Exits		(31	)		(8	)		(50	)		(17	)
Debt Investment Additions ⁽²⁾		12			24			46			51
Debt Investment Exits ⁽²⁾		(43	)		(18	)		(82	)		(31	)

⁽¹⁾	Includes $201.63 million and $92.40 million for each of the three and nine months ended September 30, 2017 and 2016, respectively, of investments sold to SCJV in exchange for equity interest in SCJV.

⁽²⁾	Debt investment additions and exits includes any asset based lending investments with a stated interest rate.


	TRS Portfolio Activity Summary *($ in thousands)*
	Three Months Ended September 30,					Nine Months Ended September 30,
	2017		2016			2017			2016
Purchases of Investments:
First Lien Senior Secured Loans	$	—	$	18,399		$	40,411		$	25,392
Second Lien Senior Secured Loans		—		—			4,661			—
Other Senior Secured Debt		—		—			1,542			15,000
Subordinated Debt		—		—			—			9,500

Total	$	—	$	18,399		$	46,614		$	49,892

Sales, Principal Payments and Other Exits:
First Lien Senior Secured Loans	$	—	$	70,229		$	244,425		$	82,877
Second Lien Senior Secured Loans		—		11,906			44,673			30,121
Other Senior Secured Debt		—		—			4,939			3,222
Subordinated Debt		—		—			12,458			—

Total	$	—	$	82,135		$	306,495		$	116,220

Portfolio Company Additions		—		1			2			4
Portfolio Company Exits		—		(7	)		(45	)		(13	)
Debt Investment Additions ⁽¹⁾		—		2			9			6
Debt Investment Exits ⁽¹⁾		—		(9	)		(56	)		(17	)

While the Investment Portfolio and the TRS Portfolio are accounted for and presented as two distinct portfolios, the two portfolios had 17 debt investment positions and 24 portfolio companies in common as of December 31, 2016. The changes in the fair value of our Investment Portfolio and our TRS Portfolio are directly related to (i) the changes in their cost basis and notional amounts, respectively, as a result of incremental purchases, sales and principal payments as described in the table above, and (ii) the changes in fair value for assets held at the beginning and end of the period. The net change in unrealized appreciation (depreciation) for the three months ended September 30, 2017 and 2016 was $34.37 million and $44.76 million, respectively, for our Investment Portfolio, and $— million and $8.59 million, respectively, for our TRS Portfolio. The net change in unrealized appreciation (depreciation) for the nine months ended September 30, 2017 and 2016 was $155.91 million and $45.84 million, respectively, for our Investment Portfolio, and $0.39 million and $17.20 million, respectively, for our TRS Portfolio. See “Results of Operations – Net Change in Unrealized Appreciation or Depreciation” below for further details relating to the changes.

As discussed above under “— Overview,” since obtaining co-investment exemptive relief from the SEC, we have increased our focus on Originated Strategies, including Directly Originated Transactions, as a main element of our investment strategy. Directly Originated Transactions give us the opportunity to participate in those investments alongside KKR’s institutional clients and proprietary funds. Our total new fundings of Directly Originated Transactions, at par, plus future expected fundings related to such investments, totaled approximately $843.80 million and $661.15 million for the nine months ended September 30, 2017 and 2016, respectively, representing 49.3% and 44.4% of approximately $1.71 billion and $1.49 billion in total originations by KKR in Directly Originated Transactions for each respective period.

The following summarizes our investment activity associated with our investment focus on new originated investments during the nine months ended September 30, 2017 and 2016 and the status of originated investments held in the Investment Portfolio as of September 30, 2017 and December 31, 2016:


	September 30,
Directly Originated Transactions Activity for the Nine Months Ended *($ in thousands)*	2017			2016
Number of investments, by issuer		21			13
Total amount of investments, at cost ⁽¹⁾	$	747,060		$	719,994
Percentage of total investment activity ⁽²⁾		64.0	%		62.2	%
Fee income recognized in connection with directly originated transactions	$	7,442		$	5,081

Originated Strategies Activity for the Nine Months Ended *($ in thousands)*	2017			2016
Number of investments, by issuer		23			13
Total amount of investments, at cost ⁽¹⁾	$	845,830		$	895,449
Percentage of total investment activity ⁽²⁾		72.5	%		71.7	%


Directly Originated Transactions Summary as of *($ in thousands)*	September 30, 2017			December 31, 2016
Total investments, at fair value	$	2,803,017		$	2,778,713
Percentage of total Investment Portfolio, at fair value		69.8	%		69.0	%
Weighted average annual yield of debt investments ⁽²⁾⁽³⁾		9.7	%		9.9	%

Originated Strategies Investments Summary as of *($ in* *thousands)*	September 30, 2017			December 31, 2016
Total investments, at fair value	$	3,185,938		$	3,259,249
Percentage of total Investment Portfolio, at fair value ⁽²⁾		85.8	%		81.0	%
Weighted average annual yield of debt investments⁽³⁾⁽⁴⁾		9.8	%		9.8	%

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

⁽²⁾	Percentage of total investment activity and total Investment Portfolio excludes our investments in SCJV.

⁽³⁾

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

⁽⁴⁾

The weighted average annual yield of originated debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total investment return – net price and total investment return – net asset value were 4.5% and 6.1%, respectively, for the nine months ended September 30, 2017. See Note 13. “Financial Highlights” in our unaudited condensed consolidated financial statements for information on how such returns were calculated.

The following information presents additional analysis of our Investment Portfolio as of September 30, 2017 and December 31, 2016 and TRS Portfolio as of December 31, 2016, excluding our short-term investments. Our investment program is not managed with any specific asset category target goals. The primary investment type concentrations include (i) senior debt securities and (ii) subordinated debt securities.


	Investment Portfolio as of *(in thousands)*
	September 30, 2017				December 31, 2016
Asset Category	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Senior Debt
First Lien Senior Secured Loans	$	1,584,165	$	1,552,568	$	1,641,759	$	1,547,100
Second Lien Senior Secured Loans		1,059,904		1,035,219		1,131,035		1,074,183
Other Senior Secured Debt		117,164		113,746		177,826		134,786

Total Senior Debt		2,761,233		2,701,533		2,950,620		2,756,069
Subordinated Debt		516,182		514,088		683,640		642,427
Asset Based Finance		324,173		294,831		388,117		344,305
Strategic Credit Opportunities Partners, LLC		294,028		299,206		92,400		98,998
Equity/Other		264,455		204,694		212,140		183,488

Total	$	4,160,071	$	4,014,352	$	4,326,917	$	4,025,287


	TRS Portfolio as of *(in thousands)*
	December 31, 2016
Asset Category	Notional Amount		Fair Value
Senior Debt
First Lien Senior Secured Loans	$	202,506	$	200,326
Second Lien Senior Secured Loans		29,957		30,026
Other Senior Secured Debt		15,724		15,632

Total Senior Debt		248,187		245,984
Subordinated Debt		10,502		12,315

Total	$	258,689	$	258,299

The weighted average yield on debt investments at amortized cost held in our Investment Portfolio as of September 30, 2017 and December 31, 2016 were as follows:


	September 30, 2017					December 31, 2016
Asset Category	Investment Portfolio at Amortized Cost		Weighted Average Yield			Investment Portfolio at Amortized Cost		Weighted Average Yield			TRS Portfolio at Notional Amount		Weighted Average Yield
Senior Debt ⁽¹⁾⁽²⁾
First Lien Senior Secured Loans	$	1,540,520		8.6	%	$	1,537,971		9.1	%	$	202,506		7.9	%
Second Lien Senior Secured Loans		1,052,793		10.3	%		1,080,166		10.0	%		29,957		9.8	%
Other Senior Secured Debt		117,164		10.5	%		114,896		9.8	%		15,724		12.3	%
Subordinated Debt ⁽¹⁾⁽²⁾		501,885		10.4	%		669,497		9.7	%		10,502		10.9	%
Asset Based Finance ^(1)(2)(3)		53,885		11.2	%		79,399		10.8	%		—		—	%

⁽¹⁾

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

⁽²⁾

⁽³⁾	Includes any investments with a stated interest rate.

The following table presents a summary of interest rate and maturity statistics for the debt investments, based on par value, in our Investment Portfolio as of September 30, 2017 and December 31, 2016 and the TRS Portfolio as of December 31, 2016:


	Investment Portfolio as of						TRS Portfolio as of
Floating interest rate debt investments:	September 30, 2017			December 31, 2016			December 31, 2016
Percent of debt portfolio		80.2	%		77.8	%		89.6	%
Percent of floating rate debt investments with interest rate floors		89.0	%		92.6	%		100.0	%
Weighted average interest rate floor		1.0	%		1.0	%		1.0	%
Weighted average coupon spread to base rate ⁽¹⁾		750	bps		806	bps		505	bps
Weighted average years to maturity		4.6			4.5			3.8

Fixed interest rate debt investments:
Percent of debt portfolio		19.8	%		22.2	%		10.4	%
Weighted average coupon rate ⁽¹⁾		9.7	%		10.2	%		10.1	%
Weighted average years to maturity		4.9			5.4			6.2

⁽¹⁾	Excludes investments on non-accrual status.

All of our floating interest rate debt investments have base rate reset frequencies of less than twelve months with the majority resetting at least quarterly. The three-month LIBOR, the most prevalent index employed among our floating interest rate debt investments, ranged between 1.00% and 1.34%, and 0.61% and 0.87% during the nine months ended September 30, 2017 and 2016, respectively, and was 1.33% and 0.998% on September 30, 2017 and December 31, 2016, respectively. Base rate resets for floating interest rate investments will only result in interest income increases when the reset base interest rate exceeds the associated interest rate floor.

Our weighted average annual yield on debt investments, assuming accretion to par at maturity and using stated interest rates, was 9.9% and 9.7% as of September 30, 2017 and December 31, 2016, respectively. Adjusting for any non-accreting or partial accrual investments, our weighted average annual yield on debt investments was 9.6% as of each of September 30, 2017 and December 31, 2016. The weighted average annual yield on debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company, realized and unrealized gains and losses or any sales load. Total investment return – net price and total investment return – net asset value were 4.5% and 6.1%, respectively, for the nine months ended September 30, 2017. See Note 13. “Financial Highlights” in our unaudited condensed consolidated financial statements.

The following table shows the credit ratings of the investments in our Investment Portfolio as of September 30, 2017 and December 31, 2016 and TRS Portfolio as of December 31, 2016, based upon the rating scale of Standard & Poor’s Ratings Services:


	Investment Portfolio as of *(in thousands)*										TRS Portfolio as of (in thousands)
	September 30, 2017					December 31, 2016					December 31, 2016
Standard & Poor’s rating	Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio
BB	$	66,725		1.7	%	$	—		—	%	$	10,360		4.0	%
BB-		31,215		0.8			41,193		1.0			17,764		6.9
B+		26,148		0.7			156,336		3.9			39,868		15.4
B		178,164		4.4			191,565		4.8			103,907		40.2
B-		106,792		2.7			145,753		3.6			54,433		21.1
CCC+		522,333		13.0			612,476		15.2			20,277		7.8
CCC		150,314		3.7			203,931		5.1			11,022		4.3
CCC-		41,691		1.0			17,549		0.4			668		0.3
CC		—		—			4,217		0.1			—		—
Not rated		2,890,970		72.0			2,652,267		65.9			—		—

Total	$	4,014,352		100.0	%		$4,025,287		100.0	%	$	258,299		100.0	%

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


PIK Summary as of **($ in thousands)⁽¹⁾**	September 30, 2017			December 31, 2016
Total number of all investments with PIK feature		13			18
Par value of all investments with PIK feature	$	473,726		$	582,492
Total number of all investments that have active PIK election		13			15
Par value of all investments that have active PIK election	$	473,726		$	534,394
Percent of debt investment portfolio with active PIK election, at par value		13.6	%		14.0	%
Number of originated investments with PIK feature and active PIK election		12			9
Par value of originated investments with PIK feature and active PIK election	$	466,388		$	409,045

⁽¹⁾	Includes investments on non-accrual status.


	September 30,
PIK Interest Income Activity for the Nine Months Ended *(in thousands)*	2017			2016
PIK interest income	$	12,776		$	16,406
PIK interest income as a percentage of interest income and PIK interest income		5.0	%		6.2	%
PIK interest income as a percentage of total investment income		4.4	%		5.8	%

As of September 30, 2017, our Investment Portfolio consisted of 105 portfolio companies, diversified across 21 industry classifications, as compared to our Investment Portfolio as of December 31, 2016 that consisted of 129 portfolio companies, diversified across 21 distinct industry classifications. As of December 31, 2016, the TRS Portfolio consisted of 43 portfolio companies, diversified across 16 distinct industry classifications. The following table presents a summary of our Investment Portfolio as of September 30, 2017 and December 31, 2016 and TRS Portfolio as of December 31, 2016, arranged by industry classifications of the portfolio companies:


	Investment Portfolio as of *(in thousands)*										TRS Portfolio as of *(in thousands)*
	September 30, 2017					December 31, 2016					December 31, 2016
Industry Classification	Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio			Fair Value		Percentage of Portfolio
Capital Goods	$	752,422		18.7	%	$	853,615		21.2	%	$	15,674		6.1	%
Software & Services		391,099		9.7			350,413		8.7			59,848		23.2
Diversified Financials		345,048		8.6			320,480		8.0			—		—
SCJV		299,206		7.5			98,998		2.4			—		—
Retailing		288,698		7.2			318,624		7.9			33,698		13.0
Materials		279,745		7.0			242,410		6.0			7,235		2.8
Consumer Durables & Apparel		236,167		5.9			167,194		4.2			9,786		3.8
Automobiles & Components		226,225		5.6			237,152		5.9			—		—
Real Estate		201,604		5.0			216,371		5.4			—		—
Technology Hardware & Equipment		179,990		4.5			178,017		4.4			8,087		3.1
Health Care Equipment & Services		160,550		4.0			196,315		4.9			27,742		10.7
Transportation		155,183		3.9			161,398		4.0			23,641		9.2
Household & Personal Products		105,443		2.6			36,750		0.9			—		—
Commercial & Professional Services		100,565		2.5			82,657		2.1			14,228		5.5
Energy		84,790		2.1			161,950		4.0			—		—
Consumer Services		67,168		1.7			119,313		3.0			19,716		7.6
Food & Staples Retailing		55,210		1.4			51,970		1.3			9,838		3.8
Telecommunication Services		22,931		0.6			36,781		0.9			1,027		0.4
Food & Beverage & Tobacco		22,319		0.6			57,203		1.4			8,081		3.1
Semiconductors & Semiconductor Equipment		20,808		0.5			—		—			—		—
Media		9,680		0.2			35,230		0.9			12,550		4.9
Insurance		9,501		0.2			45,554		1.1			6,121		2.4
Pharmaceuticals, Biotechnology & Life Science		—		—			56,892		1.4			1,027		0.4

Total	$	4,014,352		100.0	%	$	4,025,287		100.0	%	$	258,299		100.0	%

Portfolio Developments

In May 2017, Amtek Global Technology Pte. Ltd. (“Amtek”), a portfolio company in which we have invested a total of $155.93 million as of September 30, 2017, based on amortized cost, was placed into receivership. Our investments in Amtek include an investment in a portion of a term loan facility with a cost of $146.51 million (par of €141.34 million) and equity warrants with a cost of $9.42 million. On June 29, 2017, we and the other lenders to the term loan facility entered into an agreement among lenders (the “AAL”). The AAL effectively divided the amounts borrowed by Amtek into two facilities, Facility A and Facility B, with Facility A ranking first in order of priority. Our portion of Facility A has a par amount of €82.06 million ($96.98 million as of September 30, 2017) and our portion of Facility B has a par amount of €59.28 million ($70.06 million as of September 30, 2017). Any principal payments received from or on behalf of Amtek will first be applied to Facility A and second to Facility B. Any interest payments received from or on behalf of Amtek will be applied first toward the payment of interest on Facility A at the rate of 5.0% annually and second to the repayment of Facility B. Facility B does not have a stated interest rate. Any payments applied to Facility B are expected to reduce the outstanding principal. As of September 30, 2017, our investments in Amtek have an aggregate fair value of $134.60 million.

Strategic Credit Opportunities Partners, LLC

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

In August 2016, we, along with Conway completed the initial funding of SCJV. As part of the initial funding, we sold investments with a fair value of $247.24 million to SCJV, in exchange for cash and a $92.40 million equity interest in SCJV. We recognized a net realized loss of $0.95 million in connection with the transaction. Conway completed its initial funding of SCJV with a cash contribution of $13.20 million. In December 2016, we sold investments with a fair value of $45.88 million to SCJV. We recognized a net realized gain of $1.03 million in connection with the transaction. In September 2017, we sold investments with a fair value of $373.05 million to SCJV, in exchange for cash and an additional $201.63 million equity interest in SCJV. We recognized a net realized gain of $3.43 million in connection with the transaction.

On August 15, 2016, Charlotte Funding LLC (formerly CSCOP SE I LLC, “Charlotte Funding”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “Credit Agreement”), with Bank of America Merrill Lynch. The Credit Agreement provides for a revolving credit facility which provides for up to $165.00 million in total commitments to Charlotte Funding (the “BAML Credit Facility”), and is secured by substantially all of the assets of Charlotte Funding. The stated borrowing rate under the BAML Credit Facility may take the form of either base rate loans or Eurocurrency rate loans and may be converted to either or during the term of the loan by delivering a notice to the Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the Credit Agreement. Base rate loans shall bear interest at a rate per annum equal to the sum of (a) the fluctuating rate per annum equal to the highest of (i) the federal funds rate plus 1/2 of 1%, (ii) the prime rate set by Bank of America for such day and (iii) the 1-month LIBOR plus (b) 1.85%. Eurocurrency rate loans shall bear interest at the rate per annum equal to the sum of (a) LIBOR (or a comparable or successor rate approved by the Credit Agreement administrative agent) plus (b) 1.85%. Charlotte Funding shall also pay a commitment fee for undrawn commitment in the amount between 0.75% and 1.75%. The BAML Credit Facility matures on August 15, 2018. As of September 30, 2017 and December 31, 2016, total outstanding borrowings under the BAML Credit Facility were $132.20 million and $152.00 million, respectively.

On September 29, 2017, Jersey City Funding LLC (“Jersey City Funding”), a wholly-owned subsidiary of SCJV, entered into a credit agreement (the “GS Credit Agreement”), with Goldman Sachs Bank. The GS Credit Agreement established a revolving credit facility which provides for up to $250 million in total commitments to Jersey City Funding (the “GS Credit Facility”), and is secured by substantially all of the assets of Jersey City Funding. The stated borrowing rate under the GS Credit Facility may take the form of either base rate loans or foreign currency rate loans and may be converted to either or during the term of the loan by delivering a notice to the GS Credit Agreement administrative agent and State Street Bank and Trust Company, as collateral administrator, pursuant to the terms of the GS Credit Agreement. The GS Credit Facility provides loans in U.S. dollars, Australian dollars, Euros and Pounds Sterling. U.S. dollar loans will bear interest at the rate of LIBOR plus 2.25%. Foreign currency loans will bear interest at the floating rate plus the spread applicable to the specified currency as defined in the GS Credit Agreement. The GS Credit Facility matures on September 29, 2021. As of September 30, 2017, total outstanding borrowings under the GS Credit Facility were $167.14 million.

As of September 30, 2017 and December 31, 2016, SCJV had total investments with a fair value of $579.98 million and $248.60 million, respectively. As of September 30, 2017 and December 31, 2016, SCJV had no investments on non-accrual status. The investment portfolio and SCJV’s portfolio had 16 and 17 debt investment positions and 17 and 22 portfolio companies in common as of September 30, 2017 and December 31, 2016, respectively.

See Note 3. “Investments” in our unaudited condensed consolidated financial statements for more details on SCJV’s portfolio and summary balance sheet information as of September 30, 2017 and December 31, 2016, and summary statement of operations information for the nine months ended September 30, 2017.

Capital Resources and Liquidity

Sources and Uses of Capital

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

Liquidity

During the nine months ended September 30, 2017 and 2016, proceeds from sales of investments and principal payments totaled $1.26 billion and $0.89 billion, respectively. In addition, distributions reinvested in the company as a percentage of total distributions for the nine months ended September 30, 2017 and 2016 was 49% and 51%, or $88.09 million and $93.03 million, respectively. As of September 30, 2017, we had the following sources of immediate liquidity available to us:


*(in thousands)*	Amount
Cash and Foreign Currency	$	288,110
Short Term Investments		738
Credit Facilities-Effective Borrowing Capacity ⁽¹⁾		393,000

Total	$	681,848

⁽¹⁾	Effective borrowing capacity represents additional amounts that we could borrow from our credit facilities based on collateral in place as of September 30, 2017.

Borrowings

Our outstanding borrowings as of September 30, 2017 and December 31, 2016 were as follows:


	As of September 30, 2017								As of December 31, 2016
*(in thousands)*	Total Aggregate Principal Amount Committed			Principal Amount Outstanding		Carrying Value			Total Aggregate Principal Amount Committed		Principal Amount Outstanding		Carrying Value
Senior Secured Revolving Credit Facility ⁽¹⁾	$	928,000	⁽²⁾	$	645,000	$	645,000		$	928,000	$	799,000	$	799,000
BNP Credit Facility ⁽¹⁾		—			—		—			200,000		183,000		183,000
SMBC Credit Facility ⁽¹⁾		200,000			150,000		150,000			200,000		102,000		102,000
JPM Credit Facility ⁽¹⁾		300,000			240,000		240,000			300,000		135,000		135,000

Total credit facilities		1,428,000			1,035,000		1,035,000			1,628,000		1,219,000		1,219,000
2014 Senior Secured Term Loan		386,000			386,000		383,367	⁽³⁾		389,000		389,000		385,203	⁽³⁾
2022 Notes		245,000			245,000		240,579	⁽⁴⁾		—		—		—
CS Facility ⁽⁵⁾		—			—		—			23,454		23,454		23,454

Total	$	2,059,000		$	1,666,000	$	1,658,946		$	2,040,454	$	1,631,454	$	1,627,657

⁽¹⁾	Subject to borrowing base and leverage restrictions.

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

⁽³⁾	Comprised of outstanding principal less unaccreted original issue discount of $0.69 million and $0.99 million and deferred financing costs of $1.94 million and $2.81 million as of September 30, 2017 and December 31, 2016, respectively.

⁽⁴⁾	Comprised of outstanding principal less deferred financing costs of $4.42 million as of September 30, 2017.

⁽⁵⁾	Borrowings denominated in Euros.

For the nine months ended September 30, 2017 and 2016, our total all-in cost of financing, including fees and expenses, was 4.20% and 3.43%, respectively. We expect to continue to draw on the revolving credit facilities to finance our acquisition of investment positions in portfolio companies. We may further increase our aggregate borrowing capacity in the future beyond the current combined commitment amount of $2.06 billion that is available to us from our existing financing arrangements.

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

Total Return Swaps

On June 30, 2017, Halifax Funding LLC (“Halifax Funding”), our wholly owned, special purpose financing subsidiary, terminated its TRS arrangement with The Bank of Nova Scotia (“BNS”). Upon termination of the TRS, Halifax Funding recognized $5.50 million of net realized losses, including a make-whole fee of $6.40 million, an amount based on a minimum spread amount that would have been earned by BNS over the life the TRS agreements.

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

Commitments and Contingencies

See Note 11. “Commitments and Contingencies” in our unaudited condensed consolidated financial statements for information on our commitments and contingencies as of September 30, 2017.

Distributions to Shareholders

We pay monthly distributions to our shareholders in the form of cash. Shareholders may elect to reinvest their distributions as additional shares of our common stock under our distribution reinvestment plan. Dividends are taxable to our shareholders even if they are reinvested in additional shares of our common stock. The following table reflects the cash distributions per share and the total amount of distributions that we have declared on our common stock during the nine months ended September 30, 2017 and 2016:


*(in thousands, except per share amounts)*	Per Share		Amount
Quarter Ended:
September 30, 2017 (3 record dates)	$	0.178740	$	54,628
June 30, 2017 (13 record dates)		0.201279		62,068
March 31, 2017 (13 record dates)		0.201279		62,259

	$	0.581298	$	178,955

Quarter Ended:
September 30, 2016 (13 record dates)	$	0.201279	$	61,729
June 30, 2016 (13 record dates)		0.201279		61,307
March 31, 2016 (13 record dates)		0.201279		59,940

	$	0.603837	$	182,976

Approximately 49% and 51% of the distributions we declared in the nine months ended September 30, 2017 and 2016, respectively, were reinvested in shares of our common stock by participants in our distribution reinvestment plan and the reinvested distributions represent an additional source of capital to us. Net investment income and realized capital gains represent the primary sources for us to pay distributions. See Note 8. “Distributions” in our unaudited condensed consolidated financial statements for additional disclosures on distributions.

On October 7, 2016, our Board approved an amendment and restatement of our distribution reinvestment plan. Under the amended distribution reinvestment plan, cash distributions paid to participating stockholders will be reinvested in additional shares at a purchase price determined by our board of directors, or a committee thereof, in its sole discretion, that is (i) not less than the net asset value per share determined in good faith by our Board or a committee thereof, in its sole discretion, immediately prior to the payment of the distribution and (ii) not more than 2.5% greater than the net asset value per share as of such date. The Company expects that the current distribution reinvestment plan will be terminated or suspended prior to the Listing.

We estimate we had sufficient taxable income to support 100% of our declared distributions for the nine months ended September 30, 2017. We do not expect to use equity capital or borrowed funds to pay distributions to shareholders nor do we expect any portion of our distributions paid in 2017 to be treated as a return of capital for tax purposes. We routinely disclose the sources of funds used to pay distributions to our shareholders in periodic reports that accompany (i) quarterly account statements and (ii) monthly distribution checks that are prepared and sent directly by our transfer agent to our shareholders. See Note 8. “Distributions” in our unaudited condensed consolidated financial statements for a discussion of the sources of funds used to pay distributions on a GAAP basis for the periods presented.

Results of Operations

As of September 30, 2017, our Investment Portfolio had a fair value of $4.01 billion. The majority of our investments at September 30, 2017 consisted of debt investments. See the section entitled “Portfolio and Investment Activity” above for a discussion of the general terms and characteristics of our investments, and for information regarding investment activities during the nine months ended September 30, 2017 and 2016. The growth of our Investment Portfolio was the primary contributing factor to the significant increases in investment income, operating expenses, investment advisory fees, net investment income and net assets between the comparative periods, as discussed below.

The following is a summary of our operating results for the three and nine months ended September 30, 2017 and 2016:


	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Total investment income	$	97,593		$	97,418		$	290,915		$	284,716
Net operating expense		(45,253	)		(44,240	)		(132,797	)		(127,966	)
Income tax expense, including excise tax		1,024			(14	)		703			(14	)

Net investment income		53,364			53,164			158,821			156,736
Net realized losses		(22,506	)		(1,375	)		(83,912	)		(10,223	)
Net change in unrealized depreciation		14,423			60,427			92,054			49,355

Net increase in net assets resulting from operations	$	45,281		$	112,216		$	166,963		$	195,868

Investment income

Investment income consisted of the following for the three and nine months ended September 30, 2017 and 2016:


	Three Months Ended September 30,				Nine Months Ended September 30,
*(in thousands)*	2017		2016		2017		2016
Interest income	$	82,019	$	85,176	$	244,770	$	247,971
Payment-in-kind interest income		5,237		2,212		12,776		16,406

Subtotal		87,256		87,388		257,546		264,377
Fee income		4,416		4,956		12,666		8,199
Dividend and other income		5,921		5,074		20,703		12,140

Total investment income	$	97,593	$	97,418	$	290,915	$	284,716

The decrease in interest income was partially due to a decrease in our portfolio of debt investments. Our average debt investment balance was $3.62 billion and $3.66 billion for the three and nine months ended September 30, 2017, respectively, as compared to $3.89 billion and $3.75 billion during the same periods in 2016, respectively, based on par value. Variations in interest income are also partly due to nonrecurring recognition of prepayment penalties and unamortized loan fees, discounts and premiums upon the prepayment of debt investments. We recorded interest income from these sources in the combined amount of $2.10 million and $16.52 million for the three and nine months ended September 30, 2017, respectively, and $1.0 million and $8.70 million for the three and nine months ended September 30, 2016, respectively. For the three and nine months ended September 30, 2017, 6.0% and 5.0% of our total interest income including PIK interest income was attributable to PIK interest income as compared to 2.5% and 6.2% for the same period in 2016. PIK interest income for the three months ended September 30, 2016 is net of a $3.93 million reversal of accrued PIK interest income for an investment placed on non-accrual status during the period. The decrease in PIK interest income during the nine months ended September 30, 2017 is primarily due to investments that have been placed on non-accrual or partial accrual status and investments that were sold or repaid. As of September 30, 2017, our weighted average annual yield on our accruing debt investments was 9.6% based on amortized cost, as defined above in “Portfolio and Investment Activity.” As of September 30, 2017, approximately 80.2% of our debt investments had floating rate interest; therefore, changes in interest rates could have a material impact on our interest income in the future. See Item 7A. “Quantitative and Qualitative Disclosures About Market Risk” for further information on the impact interest rate changes could have on our results of operations.

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

Our fee income consists of transaction-based fees and is nonrecurring. The increase in fee income was primarily due to an increase in capital structuring fees earned during the nine months ended September 30, 2017 as compared to the same period in 2016. Going forward, we expect to earn additional structuring services fees on Directly Originated Transactions as a result of our persistent focus on direct lending activities. See Note 7. “Fee Income” in our unaudited condensed consolidated financial statements for additional information on fee income.

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Operating expenses

Our operating expenses for the three and nine months ended September 30, 2017 and 2016 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
*(in thousands)*	2017		2016		2017		2016
Investment advisory fees	$	21,173	$	21,441	$	62,858	$	61,109
Interest expense		18,177		13,465		47,532		36,890
Performance-based incentive fees		2,046		5,816		7,721		19,218
Professional services		1,045		653		4,050		2,036
Investment advisor expenses		373		430		2,982		839
Administrative services		876		896		2,486		2,618
Custodian and accounting fees		439		406		1,275		1,183
Offering expense		67		361		394		1,846
Director fees and expenses		131		129		432		370
Other		926		643		3,067		1,857

Total operating expenses	$	45,253	$	44,240	$	132,797	$	127,966

Investment advisory fees and performance-based incentive fees—Our investment advisory fees are calculated at an annual rate of 2% of our average gross assets; therefore, the changes in these fees for the three and nine months ended September 30, 2017 were primarily attributable to the net changes in our gross assets.

Our Advisors are also eligible to receive incentive fees based on our performance. Our performance-based incentive fee, which is comprised of two parts, consisted of the following for the three and nine months ended September 30, 2017 and 2016:


	Three Months Ended September 30,				Nine Months Ended September 30,
*(in thousands)*	2017		2016		2017		2016
Subordinated Incentive fee on income	$	2,046	$	5,816	$	7,721	$	19,218
Incentive fee on capital gains		—		—		—		—

Total performance-based incentive fees	$	2,046	$	5,816	$	7,721	$	19,218

A subordinated incentive fee on income is payable to our Advisors each calendar quarter if our pre-incentive fee net investment income (as defined in the Investment Advisory Agreement and approved by our Board) exceeds the 1.75% quarterly preference return to our shareholders (the ratio of pre-incentive fee net investment income divided by average adjusted capital). Effective January 1, 2017, the subordinated incentive fee on income is subject to a total return requirement, which provides generally that no incentive fee will be payable except to the extent that 20.0% of the cumulative net increase in net assets resulting from operations over the then-current and three preceding calendar quarters (or, if four calendar quarters have not passed, then the time period since January 1, 2017) exceeds the cumulative incentive fees accrued and/or paid for the same period. Accordingly, any subordinated incentive fee on income that is payable in a calendar quarter will be limited to the lesser of (i) 20.0% of all of our pre-incentive fee net investment income when our pre-incentive fee net investment income exceeds the applicable quarterly hurdle rate for such calendar quarter, subject to the catch-up provision, and (ii) (x) 20.0% of the cumulative net increase in net assets resulting from operations for the then-current and three preceding calendar quarters minus (y) the cumulative incentive fees accrued and/or paid for the three preceding calendar quarters or period since January 1, 2017, whichever period is shorter. For the foregoing purpose, the “cumulative net increase in net assets resulting from operations” is the sum of our pre-incentive fee net investment income, base management fees, realized gains and losses and unrealized appreciation and depreciation for the then-current and three preceding calendar quarters. There will be no accumulation of amounts on the hurdle rate from quarter to quarter and, accordingly, there will be no clawback of amounts previously paid if subsequent quarters are below the applicable quarterly hurdle rate and there will be no delay of payment if prior quarters are below the applicable quarterly hurdle rate. The total return requirement did not result in a reduction of the amount of incentive fee payable to the advisors for the nine months ended September 30, 2017.

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

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We did not record any incentive fee on capital gains for the three and nine months ended September 30, 2017 and 2016. As of September 30, 2017, we had unrealized losses of $346.14 million in excess of our cumulative realized net capital gains since inception. The Advisors earned incentive fees on capital gains of $2.32 million during the year ended December 31, 2013, at which time we had cumulative net realized capital gains of $11.61 million in excess of our unrealized losses. Due to the cumulative nature of the incentive fee on capital gains, we will not owe the Advisors any incentive fees on capital gains for future years until such time, if any, that our cumulative realized net capital gains since inception exceed our unrealized losses as of a particular measurement date by more than $11.61 million.

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

Interest expense – The components of interest expense for the three and nine months ended September 30, 2017 and 2016 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
*(in thousands)*	2017		2016		2017		2016
Stated interest expense	$	16,425	$	11,986	$	42,172	$	32,310
Unused commitment fees		454		364		1,824		1,321
Amortization of deferred financing costs		1,194		1,014		3,232		2,962
Accretion of discount on term loan		104		101		304		297

Total interest expense	$	18,177	$	13,465	$	47,532	$	36,890

The increase in interest expense during the three and nine months ended September 30, 2017 was attributable to the increase in our weighted average debt outstanding to $1.61 billion and $1.52 billion, respectively, as compared to $1.60 billion and $1.44 billion during the three and nine months ended September 30, 2016, respectively, as well as the increase in our all-in cost of financing to 4.54% and 4.20% for the three and nine months ended September 30, 2017, respectively, from 3.39% and 3.43% for the three and nine months ended September 30, 2016, respectively.

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

All other operating expenses – The increases in professional services and other expenses for the three and nine months ended September 30, 2017 as compared to the same periods in 2016 are due to increased legal and other expenses associated with our potential Listing. We expect to incur additional expenses, including advisory fees, upon the completion of the Listing. The increase in investment advisor expenses for the nine months ended September 30, 2016 is due to an increase in reimbursable expenses incurred by KKR related to restructures of existing investments and the underwriting and structuring of new transactions. Our offering expenses are capitalized as deferred offering expenses and then subsequently expensed over a 12-month period. As a result of the closing of our Follow-On Offering in October 2016, we did not record any deferred offering expenses during the three and nine months ended September 30, 2017, as compared to $0.09 million and $0.76 million for the same periods in 2016. The $0.01 million of deferred offering expenses recorded in the unaudited condensed consolidated statements of assets and liabilities as of September 30, 2017 represents the amount that will be recorded as offering expenses in the consolidated statements of operations during the remainder of the year.

During the three and nine months ended September 30, 2017, the ratio of core operating expenses (excluding investment advisory fees, performance-based incentive fees, interest expense and organization and offering expenses, and including net expense support) to average net assets was 0.55% and 0.69%, respectively, as compared to 0.47% and 0.45% during the three and nine months ended September 30, 2016, respectively.

Income tax expense, including excise tax

Certain of our consolidated subsidiaries are subject to U.S. federal and state income taxes and foreign income taxes. For the three and nine months ended September 30, 2017, we recorded a net tax expense (benefit) of approximately $4.79 million and ($1.78) million, respectively, for these subsidiaries, of which ($1.42) million and $0.39 million, respectively, represents foreign tax withholding and is recorded net against the related interest income in the consolidated statements of operations. For the three and nine months ended September 30, 2016, we recorded a net tax expense of approximately $0.33 million and $0.98 million, respectively, for these subsidiaries, of which $0.32 million and $0.97 million, respectively, represents foreign tax withholding and is recorded net against the related interest income in the consolidated statements of operations.

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Net realized gain and losses—Net realized gains and losses for the three and nine months ended September 30, 2017 and 2016 were as follows:


	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Net realized losses on investments	$	(19,600	)	$	(227	)	$	(97,121	)	$	(22,657	)
Net realized gains on derivative instruments		(4,377	)		(561	)		9,856			10,826
Net realized gains (losses) on foreign currency transactions		1,471			(587	)		3,353			1,608

Net realized losses	$	(22,506	)	$	(1,375	)	$	(83,912	)	$	(10,223	)

The net realized loss on investments for the three and nine months ended September 30, 2017 consisted of a net loss on the disposition of investments of $9.59 million and $78.10 million, respectively, and a net currency loss on those investments of $10.01 million and $19.02 million, respectively, that were denominated in foreign currencies. The realized losses were driven primarily by investments that were sold or restructured during the period. The net realized loss on investments for the three and nine months ended September 30, 2016 consisted of a net gain on the disposition of investments of $0.10 million and $8.36 million, respectively, and a net currency loss on those investments of $0.33 million and $31.02 million, respectively, that were denominated in foreign currencies.

Our net realized gains (losses) on derivative instruments for the three and nine months ended September 30, 2017 and 2016 consisted of the following:


	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Net realized gains (losses) on:
Cross currency swaps	$	808		$	1,326		$	12,854		$	7,997
Foreign currency forward contracts		(7,848	)		(4,029	)		(7,926	)		(2,946	)
Interest rate swaps		2,663			(1,055	)		1,914			(3,121	)
TRS		—			3,197			3,014			8,896

	$	(4,377	)	$	(561	)	$	9,856		$	10,826

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

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

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Net change in unrealized appreciation or depreciation

For the three and nine months ended September 30, 2017 and 2016, net unrealized appreciation and depreciation consisted of the following:


	Three Months Ended September 30,					Nine Months Ended September 30,
*(in thousands)*	2017			2016		2017			2016
Net change in unrealized appreciation (depreciation) on:
Investments	$	34,373		$	44,755	$	155,911		$	45,836
Derivative instruments		(10,812	)		15,484		(62,683	)		6,077
Foreign currency translation		(1,911	)		188		(2,636	)		(2,558	)
Provision for taxes		(7,227	)		—		1,462			—

Net change in unrealized depreciation	$	14,423		$	60,427	$	92,054		$	49,355

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


	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Net change in unrealized appreciation (depreciation) on investments:
Unrealized appreciation	$	53,254		$	97,387		$	153,533		$	134,912
Unrealized depreciation		(31,836	)		(52,595	)		(131,609	)		(144,726	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses ⁽¹⁾		12,955			(37	)		133,987			55,650

Total net unrealized appreciation (depreciation)	$	34,373		$	44,755		$	155,911		$	45,836

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

Approximately 8.4% of our Investment Portfolio, measured at fair value, is denominated in foreign currencies. Such investments expose our portfolio to the risk that the value of the investments will be affected by changes in exchange rates between the currency in which the investments are denominated and the currency in which the investments are made. Our practice is to minimize these risks in certain cases by employing hedging techniques, including using foreign currency options and foreign exchange forward contracts, to reduce exposure to changes in exchange rates when a meaningful amount of capital has been invested in foreign currencies. We do not, however, hedge our currency exposure in all currencies or all investments.

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

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

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	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Net realized and unrealized gains (losses) on investments	$	14,773		$	44,528		$	58,790		$	23,179
Net realized and unrealized gains (losses) on foreign currency forward contracts		(5,102	)		(1,903	)		(17,161	)		(4,681	)
Net realized and unrealized losses on cross currency swaps		(8,229	)		(616	)		(30,990	)		10,052

	$	1,442		$	42,009		$	10,639		$	28,550

The net realized and unrealized gains (losses) on investments during the three and nine months ended September 30, 2017, after applying the net impacts of movements in valuation on the underlying foreign currency forward contracts and cross currency swaps put in place to mitigate currency risk, were generally attributable to a tightening of credit spreads and a general improvement in market conditions experienced during the nine months ended September 30, 2017. These gains were offset by unrealized losses incurred on our investments in Amtek, as discussed above in “Portfolio and Investment Activity – Portfolio Developments.”

The net realized and unrealized losses on investments during the three and nine months ended September 30, 2016, after applying the net impacts of movements in valuation on the underlying foreign currency forward contracts and cross currency swaps put in place to mitigate currency risk, were partly attributable to declines in the fair values of the Company’s investments in securities of portfolio companies directly or indirectly related to the energy sector. During the three and nine months ended September 30, 2016, volatility in commodities, energy and equities continues to impact various credits contributing to increasing unrealized depreciation in the portfolio.

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


	Three Months Ended September 30,						Nine Months Ended September 30,
*(in thousands)*	2017			2016			2017			2016
Net change in unrealized appreciation (depreciation) on TRS:
Unsettled amounts at end of period:
Spread interest income	$	—		$	4,191		$	—		$	4,191
Realized gain (loss) on TRS assets		—			191			—			191
Receipt of prior period unsettled amounts		—			(4,089	)		(3,787	)		(3,191	)
Unrealized appreciation (depreciation) on TRS assets		—			8,587			390			17,199

		—			8,880			(3,397	)		18,390

Net change in unrealized appreciation (depreciation) on foreign currency forward contracts:
Unrealized appreciation		960			259			960			939
Unrealized depreciation		(6,054	)		(642	)		(6,691	)		(957	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses upon maturity/termination ⁽¹⁾		7,840			2,509			(3,504	)		(1,717	)

		2,746			2,126			(9,235	)		(1,735	)

Net change in unrealized appreciation (depreciation) on cross currency swaps:
Unrealized appreciation		—			1,071			—			9,776
Unrealized depreciation		(9,037	)		(3,013	)		(32,464	)		(7,721	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses upon maturity/termination		—			—			(11,380	)		—

		(9,037	)		(1,942	)		(43,844	)		2,055

Net change in unrealized appreciation (depreciation) on interest rate swaps:
Unrealized appreciation		113			6,420			—			437
Unrealized depreciation		(1,958	)		—			(3,531	)		(13,070	)
Net unrealized (appreciation) depreciation reversal related to net realized gains or losses upon maturity/termination		(2,676	)		—			(2,676	)		—

		(4,521	)		6,420			(6,207	)		(12,633	)

Total net change in unrealized (depreciation) appreciation on derivative instruments	$	(10,812	)	$	15,484		$	(62,683	)	$	6,077

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

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The provision for taxes is attributable to investments held in our wholly-owned subsidiaries that are subject to U.S. federal, state and foreign income taxes.

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

Adjusted net investment income

Our net investment income totaled $53.36 million ($0.17 per share) and $158.82 million ($0.52 per share) for the three and nine months ended September 30, 2017, respectively, as compared to $53.16 million ($0.17 per share) and $156.74 million ($0.52 per share) for the three and nine months ended September 30, 2016, respectively. As described above in “Investment advisory fees and performance-based incentive fees,” we accrue estimated performance-based incentive fees with respect to any net realized and unrealized appreciation in our Investment Portfolio and derivative instruments. The performance-based incentive fees are treated as an operating expense and therefore are a deduction in calculating our net investment income on a GAAP basis. However, our net realized and unrealized appreciation on our Investment Portfolio and derivative instruments that partly determine these fees are not included in net investment income. Therefore, in order to evaluate our net investment income without regard to realized and unrealized appreciation in our Investment Portfolio, including the impact of related accrued performance-based fees, we have developed a supplemental, non-GAAP measure, which we refer to as “adjusted net investment income,” which presents net investment income before the effects of unearned performance-based incentive fees.

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

We believe that adjusted net investment income is useful to assess the sustainability of our distributions and operating performance. Adjusted net investment income is not necessarily indicative of cash flows available to fund cash needs and should not be considered as an alternative to net investment income as an indication of our performance, as an alternative to cash flows from operations as an indication of our liquidity, or indicative of funds available to fund our cash needs including our ability to make future distributions to our shareholders. Adjusted net investment income should not be construed as an historic performance measure or as more relevant or accurate than the current GAAP methodology in calculating net investment income and its applicability in evaluating our operating performance.

The following table shows the TRS interest income and financing charges for the three and nine months ended September 30, 2017 and 2016.


	Three Months Ended September 30,					Nine Months Ended September 30,
*(in thousands, except per share amounts)*	2017		2016			2017			2016
Interest and fee income included in TRS fair value	$	—	$	5,217		$	—		$	5,217
Financing charges included in TRS fair value		—		(1,026	)		—			(1,026	)

Subtotal		—		4,191			—			4,191
Interest and fee income included in TRS net realized gains		—		4,639			11,526			14,390
Financing charges included in TRS net realized gains		—		(1,648	)		(10,131	)		(4,616	)
Less: amounts included in prior period fair value		—		(3,975	)		(3,346)			(3,762	)

TRS net interest spread	$	—	$	3,207		$	(1,951	)	$	10,203

TRS net interest spread per share	$	—	$	0.01		$	(0.01	)	$	0.03

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The following table presents a reconciliation of our net investment income to adjusted net investment income for the three and nine months ended September 30, 2017 and 2016; the increase in adjusted net investment income was primarily the result in the growth of our Investment Portfolio and earnings thereon.


	Three Months Ended September 30,				Nine Months Ended September 30,
*(in thousands, except per share amounts)*	2017		2016		2017			2016
Net investment income (GAAP)	$	53,364	$	53,164	$	158,821		$	156,736
Add: Estimated unearned performance-based incentive fees		—		—		—			—
Add: TRS net interest spread		—		3,207		(1,951	)		10,203

Adjusted net investment income (non-GAAP)	$	53,364	$	56,371	$	156,870		$	166,939

Net investment income per share (GAAP)	$	0.17	$	0.17	$	0.52		$	0.52

Adjusted net investment income per share (non-GAAP)	$	0.17	$	0.18	$	0.51		$	0.55

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

Net assets decreased $40.12 million and increased $164.06 million during the nine months ended September 30, 2017 and 2016, respectively. The change in net assets during the nine months ended September 30, 2017 and 2016 was partially attributable to increases caused by capital transactions including (i) the issuance of shares of common stock in the Offering in 2016 and (ii) reinvestment of distributions in the combined amount of $88.09 million and $212.57 million, respectively. Our operations resulted in net assets increasing $166.96 million and $195.87 million during the nine months ended September 30, 2017 and 2016, respectively. These increases in net assets were offset by distributions to shareholders in the amount of $178.95 million and $182.98 million and the repurchase of shares of common stock in the amount of $116.22 million and $61.40 million during the nine months ended September 30, 2017 and 2016, respectively.

Our net asset value per share was $8.89 and $8.97 on September 30, 2017 and 2016, respectively. After considering (i) the overall changes in net asset value per share, (ii) distributions paid of approximately $0.58 and $0.60 per share during the nine months ended September 30, 2017 and 2016, respectively, and (iii) the assumed reinvestment of those distributions in accordance with our distribution reinvestment plan, the total investment return was 6.12% and 7.45% (not annualized) for shareholders who held our shares over the entire nine-month period ending September 30, 2017 and 2016, respectively.

Initial shareholders who subscribed to the Initial Offering in June 2011 with an initial investment of $10,000 and an initial purchase price equal to $9.00 per share (public offering price net of sales load) have seen the value of their investment grow by 65.2% (see first chart below), or an annualized return of 8.3% (see second chart below). Initial shareholders who subscribed to the Initial Offering in June 2011 with an initial investment of $10,000 and an initial purchase price equal to $10.00 per share (the initial public offering price) have registered a total investment return of 48.7% (see first chart below), or an annualized return of 6.5% (see second chart below). The S&P/LSTA Leveraged Loan Index, a primary measure of senior debt covering the U.S. leveraged loan market, which currently consists of approximately 1,100 credit facilities throughout numerous industries, and the Merrill Lynch US High Yield Master II Index, a primary measure of subordinated debt consisting of approximately 2,000 high yield corporate bonds, registered cumulative total returns of approximately 30.8% and 52.4%, respectively, in the period from June 17, 2011 to September 30, 2017.

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LOGO

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

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LOGO


	Since Inception (June 17, 2011)		Trailing 24 Months		Trailing 12 Months
Public Offering Price/Share		10.00		10.45			⁽¹⁾
Net Offering Price/Share		9.00		9.41		9.02
Distributions/Share		4.94		1.59		0.78
Terminal Value/Share (NAV)		8.89		8.89		8.89

⁽¹⁾

Since the close of our Follow-On Offering to investors who purchased shares through the independent broker-dealer channel in February 2016, our shares of common stock have been sold at a price that excludes any sales load. Therefore, the average annualized total returns for the trailing 12 months are calculated based on net offering price only.

In the chart above, we also present the average annual returns for the trailing 24 months and trailing 12 months, in each case assuming (i) the purchase of shares of common stock at the public offering price and net offering price (90% of public offering price) at the beginning of the period, (ii) reinvestment of distributions in the common stock, (iii) a terminal value at September 30, 2017 equal to net asset value of $8.89 per share and (iv) distributions payable to shareholders as of September 30, 2017.

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

Critical Accounting Policies and Estimates

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

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These judgments affect (i) the reported amounts of assets and liabilities, (ii) our disclosure of contingent assets and liabilities as of the dates of the financial statements and (iii) the reported amounts of revenue and expenses during the reporting periods. With different estimates or assumptions, materially different amounts could be reported in our financial statements. Changes in the economic environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ materially from the amounts reported based on these policies.

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

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

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

The table below presents information on the investments classified as Level 3 as of September 30, 2017 and December 31, 2016:


*(in thousands)*	September 30, 2017			December 31, 2016
Fair value of investments classified as Level 3		3,347,584		$	3,189,484
Total fair value of investments		4,015,090		$	4,025,293
% of fair value classified as Level 3		83.4	%		79.2	%
Number of positions classified as Level 3		109			126
Total number of positions		154			191
% of positions classified as Level 3		70.8	%		65.6	%

The ranges of unobservable inputs used in the fair value measurement of the Company’s Level 3 investments as of September 30, 2017 and December 31, 2016 are described in Note 5. “Fair Value of Financial Instruments” in our unaudited condensed consolidated financial statements, as well as, the directional impact to the valuation from an increase in various unobservable inputs.

As discussed in Note 2. “Significant Accounting Policies” in our unaudited condensed consolidated financial statements, our independent third party valuation firm provides a valuation range from which valuation recommendations are formulated. If our Board had determined a fair value of our Level 3 investments that was 2% higher (lower) than the fair value recorded as of September 30, 2017, our earnings per share and net asset value per share would have increased (decreased) by $0.22.

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Off-Balance Sheet Arrangements

We had no off-balance sheet arrangements as of September 30, 2017.

Contractual Obligations

Investment Advisory Agreements – We have entered into the Investment Advisory Agreement with CNL for the overall management of our investment activities. We and CNL have also entered into the Sub-Advisory Agreement with KKR, under which KKR is responsible for the day-to-day management of our Investment Portfolio and, prior to June 2017, our TRS Portfolio. CNL compensates KKR for advisory services that it provides to us with 50% of the base management fees and performance-based incentive fees that CNL receives under the Investment Advisory Agreement. Pursuant to the Investment Advisory Agreement, CNL earns a base management fee equal to an annual rate of 2% of our average gross assets (including unrealized appreciation or depreciation on the TRS and collateral posted with the custodian in connection with the TRS, but excluding deferred offering expenses and, from and after April 11, 2016, cash and short-term investments), and an incentive fee based on our performance. The incentive fee is comprised of the following two parts:

(i)

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

(ii)

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

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

As of September 30, 2017, we had accrued a subordinated incentive fee on income of $2.05 million. See Note 6. “Related Party Transactions” in our unaudited condensed consolidated financial statements for expanded discussion of the Investment Advisory and Sub-Advisory Agreements.

The Proposed Advisory Agreement will become effective following the satisfaction of certain conditions, including the Listing. Under the terms of the Proposed Advisory Agreement, KKR will earn a base management fee equal to an annual rate of 1.5% of our average gross assets, excluding cash and cash equivalents. The terms of the Proposed Advisory Agreement provide that the subordinated incentive fee will be calculated on the basis of our average net assets (instead of our average adjusted capital as set forth in the current Investment Advisory Agreement).

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Unfunded Commitments - Unfunded commitments to provide funds to portfolio companies are not recorded on our consolidated statements of assets and liabilities. Because these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. We intend to use cash flow from scheduled and early principal repayments and proceeds from borrowings and securities offerings to fund these commitments. As of September 30, 2017, our unfunded investment commitments are as follows:


Category / Company ⁽¹⁾
Unfunded revolvers/delayed draw loan commitments:
BeyondTrust Software, Inc.	$	1,090
Frontline Technologies Holding, LLC		12,140
National Debt Relief LLC		9,408
Safety Technology Holdings, Inc.		421
Smart Modular Technologies, Inc.		276
Smile Brands, Inc.		3,589
SouthernCarlson		6,219

Total unfunded revolvers/delayed draw loan commitments	$	33,143

Unfunded term loan commitments:
Wheels Up Partners LLC	$	49,842

Total unfunded term loan commitments	$	49,842

Unfunded equity commitments:
Central Park Leasing SARL	$	1,292
KKR BPT Holdings Aggregator, LLC		7,500
Polyconcept North America Holdings, Inc.		1,211
Star Mountain SMB Multi-Manager Credit Platform, LP		21,948
Toorak Capital		4,773

Total unfunded equity commitments	$	36,724

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

We also have a commitment to provide up to $143.47 million of capital to SCJV. The capital commitment to SCJV can be satisfied with contributions of either cash or assets, and no capital commitment can be drawn without an affirmative vote by one of our representatives on SCJV’s board of managers.

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

Borrowings - As discussed above under “Capital Resources and Liquidity – Borrowings,” we, either directly or through our wholly owned subsidiaries, have borrowing agreements with several lenders in connection with our revolving credit facilities and the 2014 Senior Secured Term Loan. As of September 30, 2017, the credit facilities provided for $393.00 million of undrawn borrowing capacity. (See — “Capital Resources and Liquidity — Borrowings” above and Note 10. “Borrowings” in our condensed consolidated financial statements for expanded discussion of our borrowings.)

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A summary of our significant contractual payment obligations for the repayment of outstanding borrowings and interest expense and other fees related to our borrowings as of September 30, 2017 is as follows:


*(in thousands)*	Total		< 1 year		1-3 years		3-5 years		After 5 years
Senior Secured Revolving Credit Facility	$	645,000	$	—	$	—	$	645,000	$	—
SMBC Credit Facility		150,000		—		—		150,000		—
JPM Credit Facility		240,000		—		—		240,000		—
2014 Senior Secured Term Loan		386,000		4,000		382,000		—		—
2022 Notes		245,000		—		—		245,000		—
Interest and Credit Facilities Fees Payable⁽¹⁾		225,695		69,214		115,934		40,547		—

Total	$	1,891,695		$73,214		$497,934	$	1,320,547	$	—

⁽¹⁾	Estimated interest payments have been calculated based on interest rates of our borrowings as of September 30, 2017.

Related Party Transactions

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

Impact of Recent Accounting Pronouncements

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Interest Rate Risk

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

Subject to the requirements of the 1940 Act, we may hedge against interest rate fluctuations by using standard hedging instruments such as futures, options and forward contracts. Although hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower interest rates. As of September 30, 2017, we have two pay-fixed, receive-floating interest rate swaps which we pay an annual fixed rate of 0.84% to 1.36% and receive three-month LIBOR on an aggregate notional amount of $200 million. The interest rate swaps have quarterly settlement payments.

As of September 30, 2017, approximately 80.2% of our portfolio of debt investments, or approximately $2.80 billion measured at par value, featured floating or variable interest rates. The variable interest rate debt investments usually provide for interest payments based on three-month LIBOR (the base rate) and typically have durations of three months after which the base rates are reset to then prevailing three-month LIBOR. As of September 30, 2017, approximately 89.0% of our portfolio of variable interest rate debt investments, or approximately $2.49 billion measured at par value, featured minimum base rates, or base rate floors, and the weighted average base rate floor for such investments was 1.0%. Variable interest rate investments that feature a base rate floor generally reset to the then prevailing three-month LIBOR only if the reset base rate exceeds the base rate floor on the applicable interest rate reset date, in which cases, we may benefit through an increase in interest income from such interest rate adjustments. At September 30, 2017, we held an aggregate investment position of $309.31 million at par value in variable interest rate debt investments that featured variable interest rates without any minimum base rates, or approximately 11.0% of our portfolio of variable interest rate debt investments. In the case of these “no base rate floor” variable interest debt investments held in our portfolio, we may benefit from increases in the base rates that may subsequently result in an increase in interest income from such interest rate adjustments.

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

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Pursuant to the terms of our credit facilities and 2014 Senior Secured Term Loan, as discussed above (see “Capital Resources and Liquidity – Borrowings”), the majority of our borrowings as of September 30, 2017 provide for floating base rates based on short-term LIBOR. Therefore, if we were to completely draw down the unused commitments in each of our credit facilities, we expect that our weighted average direct interest rate would decrease by approximately 9 basis points, as compared to our current weighted average direct interest cost for borrowed funds. We expect that any further expansion of our current revolving credit facilities, or any future credit facilities that we or any subsidiary may enter into, will also be based on a floating base rate. As a result, we are subject to continuous risks relating to changes in market interest rates.

Based on our September 30, 2017 balance sheet, the following table shows the annual impact of base rate changes in interest rates (considering interest rate floors for variable rate instruments) assuming no changes in our investment and borrowing structure:


	As of September 30, 2017 *(in millions)*
Basis Point Change	Interest Income			Interest Expense			Net Investment Income ⁽¹⁾		Interest Rate Swap ⁽²⁾
Down 50 basis points	$	(1.353	)	$	(7.105	)	$	5.752	$	(1.000	)
Up 50 basis points	$	12.099		$	7.105		$	4.994	$	1.000
Up 100 basis points	$	24.197		$	14.210		$	9.987	$	2.000
Up 150 basis points	$	36.296		$	21.315		$	14.981	$	3.000
Up 200 basis points	$	48.394		$	28.420		$	19.974	$	4.000

⁽¹⁾	Excludes the impact of performance-based incentive fees. See Note 6. “Related Party Transactions” in our condensed consolidated financial statements for more information on the performance-based incentive fees.

⁽²⁾	Excludes the impact of quarterly fixed rate payments on interest rate swaps. See Note 4. “Derivative Instruments” in our condensed consolidated financial statements for more information on our open interest rate swaps as of the end of the reporting period.

The interest rate sensitivity analysis presented above does not consider the potential impact of the changes in fair value of our debt investments and the net asset value of our common stock in the event of sudden increases in interest rates associated with high yield corporate bonds. Approximately 19.8% of our debt investment portfolio was invested in fixed interest rate, high yield corporate debt investments as of September 30, 2017. Rising market interest rates will most likely lead to fair value declines for high yield corporate bonds and a decline in the net asset value of our common stock, while declining market interest rates will most likely lead to an increase in bond values.

As of September 30, 2017, approximately 26.5% of our fixed interest rate debt investments, or approximately $154.03 million measured at fair value, had prices that are generally available from third party pricing services. We consider these debt investments to be one of the more liquid subsets of our Investment Portfolio since these types of assets are generally broadly syndicated and owned by a wide group of institutional investors, business development companies, mutual funds and other investment funds. Additionally, this group of assets is susceptible to revaluation, or changes in bid-ask values, in response to sudden changes in expected rates of return associated with these investments. We have other fixed interest rate investments in the less liquid subset of our Investment Portfolio that are not included in this analysis.

We have computed a duration of approximately 4.8 for this liquid/fixed subset of our total portfolio. This implies that a sudden increase in the market’s expected rate of return of 100 basis points for this subset of our Investment Portfolio may result in a reduction in fair value of approximately 4.8%, all other financial and market factors assuming to remain unchanged. A 4.8% decrease in the valuation of this Investment Portfolio subset equates to a decrease of $7.37 million, or a 0.3% decline in net assets relative to $8.89 net asset value per share as of September 30, 2017.

Foreign Currency Risk

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

The table below presents the effect that a 10% immediate, unfavorable change in the foreign currency exchange rates (i.e. strengthening of the U.S. dollar) would have on the fair value of investments in our Investment Portfolio denominated in foreign currencies as of September 30, 2017, by foreign currency, all other valuation assumptions remaining constant. Our TRS Portfolio did not contain any investments denominated in foreign currencies as of September 30, 2017. In addition, the table below presents the par value of our investments denominated in foreign currencies and the notional amount of foreign currency forward contracts in local currency in place as of September 30, 2017, to hedge against foreign currency risks.

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		Investments Denominated in Foreign Currencies								Hedges
		As of September 30, 2017						Reduction in Fair Value as of September 30, 2017 if 10% Adverse Change in Exchange Rate⁽²⁾		As of September 30, 2017
*(in thousands)*		Par Value/ Cost in Local Currency⁽¹⁾		Par Value/ Cost in US$⁽¹⁾		Fair Value				Net Foreign Currency Hedge Amount in Local Currency		Net Foreign Currency Hedge Amount in U.S. Dollars
Euros	€		359,935	$	422,320	$	294,612	$	29,461	€	303,467	$	338,793
Canadian Dollar	C$		35,641		28,479		27,993		2,799	C$	35,650		29,328
British Pound Sterling	£		6,231		9,237		9,501		950	£	47,761		62,338
Australian Dollar	A$		4,828		3,689		3,715		372	A$	21,263		16,710
Swedish Kronor	SEK		97,249		15,145		3,772		377	SEK	—		—

Total				$	478,870	$	339,593	$	33,959			$	447,169

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

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

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

As of September 30, 2017, the net contractual amount of our foreign currency forward contracts and cross currency swaps totaled $447.17 million, all of which related to hedging of our foreign currency denominated debt investments. As of September 30, 2017, we did not have any outstanding borrowings denominated in foreign currencies on our Senior Secured Revolving Credit Facility.

During the three and nine months ended September 30, 2017, our foreign currency transactions and foreign currency translation adjustment recorded in our condensed consolidated statements of operations resulted in net realized and unrealized gains (losses) of ($0.44) million and $0.72 million, respectively. Our foreign currency forward contracts and cross currency swaps, employed for hedging purposes, generated net realized and unrealized losses of ($13.33) million and ($48.15) million during the three and nine months ended September 30, 2017, respectively. We do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, the fluctuations related to foreign exchange rate conversion are included with the net realized gain (loss) and unrealized appreciation (depreciation) on investments. See “Results of Operations — Net Change in Unrealized Appreciation or Depreciation” for additional information on the foreign currency exchange changes.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

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

Changes in Internal Control over Financial Reporting

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

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings - None

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

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

(a)

None.

(b)

None.

(c)

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

Item 3. Defaults Upon Senior Securities - None

Item 4. Mine Safety Disclosures – Not applicable

Item 5. Other Information - None

Item 6. Exhibits

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

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EXHIBIT INDEX

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



4.1		Indenture, dated June 28, 2017, by and between The Bank of New York Mellon Trust Company, N.A. and the Company (Incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on July 5, 2017.)

10.1		Amendment to Loan and Security Agreement, dated September 1, 2017, by and among CCT New York Funding LLC, Corporate Capital Trust, Inc., State Street Bank and Trust Company and JP Morgan Chase Bank, N.A. (Filed herewith.)

10.2		First Amendment to Loan and Servicing Agreement, dated September 20, 2017, by and among CCT Tokyo Funding LLC, Corporate Capital Trust, Inc. and Sumitomo Mitsui Banking Corporation. (Filed herewith.)

10.3		Amendment No. 1, dated as of September 20, 2017, by and among Corporate Capital Trust, Inc., the lenders parties thereto, and JP Morgan Chase Bank, N.A. (Filed herewith.)

10.4		Amendment No. 1, dated as of October 6, 2017, by and among Corporate Capital Trust, Inc., the lenders party thereto, and JP Morgan Chase Bank, N.A. (Filed herewith.)

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

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

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

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 9th day of November 2017.


CORPORATE CAPITAL TRUST, INC.

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

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

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