Sierra Income (SIRR) 10-Q 2017 Q2 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

_____________________________________________________

Form 10-Q

 ____________________________________________________

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

For the Quarterly Period Ended June 30, 2017

or

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

For the transition period from to

Commission file number: 814-00924

 _____________________________________________________

Sierra Income Corporation

(Exact Name of Registrant as Specified in its Charter)

 _____________________________________________________

Maryland	45-2544432
(State or Other Jurisdiction of Incorporation or Organization)	(I.R.S. Employer Identification No.)
280 Park Avenue, 6th Floor East, New York, NY 10017
(Address of Principal Executive Offices)

(212) 759-0777

(Registrant’s Telephone Number, Including Area Code)

  ___________________________________________________

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

_____________________________________________________ 

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

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

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

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

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

As of August 8, 2017, the Registrant had 96,215,105 shares of common stock, $0.001 par value, outstanding.

TABLE OF CONTENTS

Part I. Financial Information
Item 1. Financial Statements	F-1
Consolidated Statements of Assets and Liabilities as of June 30, 2017 (unaudited) and December 31, 2016	F-1
Consolidated Statements of Operations for the three and six months ended June 30, 2017 and 2016 (unaudited)	F-2
Consolidated Statements of Changes in Net Assets for the six months ended June 30, 2017 and 2016 (unaudited)	F-3
Consolidated Statements of Cash Flows for the six months ended June 30, 2017 and 2016 (unaudited)	F-4
Consolidated Schedule of Investments as of June 30, 2017 (unaudited)	F-5
Consolidated Schedule of Investments as of December 31, 2016	F-14
Notes to Consolidated Financial Statements (unaudited)	F-22
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	1
Item 3. Quantitative and Qualitative Disclosures About Market Risk	18
Item 4. Controls and Procedures	19
Part II. Other Information
Item 1. Legal Proceedings	19
Item 1A. Risk Factors	19
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	19
Item 3. Defaults Upon Senior Securities	20
Item 4. Mine Safety Disclosures	20
Item 5. Other Information	20
Item 6. Exhibits	20
SIGNATURES	22

Sierra Income Corporation

Consolidated Statements of Assets and Liabilities

	June 30, 2017			December 31, 2016
ASSETS	(unaudited)
Investments at fair value
Non-controlled/non-affiliated investments (amortized cost of $964,292,419 and $921,626,572, respectively)	$	929,630,491		$	885,400,856
Controlled/affiliated investments (amortized cost of $140,695,558 and $104,855,866, respectively)	133,708,590			97,743,466
Total investments at fair value	1,063,339,081			983,144,322
Cash and cash equivalents	84,276,709			99,400,794
Cash collateral on total return swap (Note 5)	75,500,000			79,620,942
Interest receivable from non-controlled/non-affiliated investments	8,725,939			10,251,559
Unsettled trades receivable	6,794,459			368,819
Due from affiliate (Note 7)	3,321,136			7,892,273
Receivable due on total return swap (Note 5)	1,898,828			1,289,163
Receivable for Company shares sold	739,400			533,123
Prepaid expenses and other assets	279,718			201,932
Interest receivable from controlled/affiliated investments	110,089			1,028,321
Total assets	$	1,244,985,359		$	1,183,731,248
LIABILITIES
Revolving credit facilities payable (net of deferred financing costs of $4,012,253 and $4,340,533, respectively) (Note 6)	$	425,987,747		$	385,659,467
Unsettled trades payable	36,532,612			466,727
Base Management fees payable (Note 7)	5,449,265			5,138,107
Unrealized depreciation on total return swap (Note 5)	3,451,060			13,647,330
Accounts payable and accrued expenses	1,401,547			1,839,497
Interest payable	814,829			1,230,530
Administrator fees payable (Note 7)	794,622			850,678
Deferred tax liability	578,940			244,622
Incentive fees payable (Note 7)	—			1,405,419
Due to affiliate (Note 7)	—			135,784
Total liabilities	$	475,010,622		$	410,618,161
Commitments (Note 11)
NET ASSETS
Common shares, par value $0.001 per share, 250,000,000 common shares authorized, 96,021,759 and 94,666,418 common shares issued and outstanding, respectively	$	96,022		$	94,666
Capital in excess of par value	841,668,558			830,738,206
Accumulated distribution in excess of net realized gain/(loss) from investments and total return swap	(41,143,400		)	(20,333,057		)
Accumulated undistributed net investment income	14,945,853			19,756,740
Net unrealized depreciation on investments and total return swap, net of provision for taxes of $334,318 and $54,205, respectively	(45,592,296		)	(57,143,468		)
Total net assets	769,974,737			773,113,087
Total liabilities and net assets	$	1,244,985,359		$	1,183,731,248
NET ASSET VALUE PER COMMON SHARE	$	8.02		$	8.17

See accompanying notes to the consolidated financial statements.

F-1

Sierra Income Corporation

Consolidated Statements of Operations

	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
INVESTMENT INCOME	(unaudited)			(unaudited)			(unaudited)			(unaudited)
Interest from investments
Non-controlled/non-affiliated investments:
Cash	$	21,009,050		$	19,917,280		$	40,724,339		$	39,237,601
Payment-in-kind	708,422			1,913,901			2,523,471			3,486,531
Controlled/affiliated investments:
Cash	2,043,533			1,652,999			4,476,334			2,583,999
Payment-in-kind	270,379			—			334,977			—
Total interest income	24,031,384			23,484,180			48,059,121			45,308,131
Fee income (Note 12)	649,964			1,298,541			2,840,164			2,693,753
Interest from cash and cash equivalents	22,877			14,328			35,531			21,670
Total investment income	24,704,225			24,797,049			50,934,816			48,023,554
EXPENSES
Base management fees (Note 7)	5,449,266			4,952,577			10,657,835			9,750,206
Interest expenses	4,146,098			3,221,892			7,742,962			6,662,609
Incentive fees (Note 7)	—			3,231,942			548,806			5,503,705
General and administrative expenses	1,258,738			1,185,743			2,488,087			2,675,706
Administrator expenses (Note 7)	794,622			633,695			1,588,151			1,216,901
Professional fees	646,616			302,334			1,232,659			865,554
Offering costs	299,700			607,761			821,384			1,370,960
Total expenses	12,595,040			14,135,944			25,079,884			28,045,641
Net expense support reimbursement (Note 7)	—			(5,498,606		)	—			(10,703,502		)
Net expenses	12,595,040			8,637,338			25,079,884			17,342,139
NET INVESTMENT INCOME	12,109,185			16,159,711			25,854,932			30,681,415
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
Net realized gain/(loss) from non-controlled/non-affiliated investments	(2,745,404		)	94,789			(15,939,732		)	164,727
Net realized gain/(loss) on total return swap (Note 5)	(7,589,962		)	1,654,727			(4,870,611		)	4,084,639
Net change in unrealized appreciation/(depreciation) on non-controlled/non-affiliated investments	(5,152,411		)	244,327			1,563,788			(7,727,513		)
Net change in unrealized appreciation/(depreciation) on controlled/affiliated investments	1,241,507			(130,260		)	125,432			(157,358		)
Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)	10,300,626			6,704,542			10,196,270			4,029,231
Change in provision for deferred taxes on unrealized gain/(loss) on investments	(36,746		)	(7,048		)	(334,318		)	(79,633		)
Net gain/(loss) on investments	(3,982,390		)	8,561,077			(9,259,171		)	314,093
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	8,126,795		$	24,720,788		$	16,595,761		$	30,995,508
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.08		$	0.28		$	0.17		$	0.36
WEIGHTED AVERAGE - BASIC AND DILUTED NET INVESTMENT INCOME PER COMMON SHARE	$	0.13		$	0.18		$	0.27		$	0.35
WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED (Note 10)	96,367,879			89,644,821			95,877,796			87,245,126
DISTRIBUTIONS DECLARED PER COMMON SHARE	$	0.16		$	0.20		$	0.32		$	0.40

See accompanying notes to the consolidated financial statements.

F-2

Sierra Income Corporation

Consolidated Statements of Changes in Net Assets

	Six Months Ended June 30,
	2017			2016
INCREASE/(DECREASE) FROM OPERATIONS	(unaudited)			(unaudited)
Net investment income	$	25,854,932		$	30,681,415
Net realized gain/(loss) on investments	(15,939,732		)	164,727
Net realized gain/(loss) on total return swap (Note 5)	(4,870,611		)	4,084,639
Net change in unrealized appreciation/(depreciation) on investments	1,689,220			(7,884,871		)
Net change in unrealized appreciation/(depreciation) on total return swap (Note 5)	10,196,270			4,029,231
Change in provision for deferred taxes on unrealized gain on investments	(334,318		)	(79,633		)
Net increase/(decrease) in net assets resulting from operations	16,595,761			30,995,508
SHAREHOLDER DISTRIBUTIONS
Distributions from net investment income (Note 2)	(30,665,819		)	(34,930,780		)
Distributions from return of capital (Note 2)	—			—
Distributions from net realized gains	—			—
Net decrease in net assets from shareholder distributions	(30,665,819		)	(34,930,780		)
COMMON SHARE TRANSACTIONS
Issuance of common shares, net of underwriting costs	11,370,406			62,783,775
Issuance of common shares pursuant to distribution reinvestment plan	14,068,852			16,586,426
Repurchase of common shares	(14,507,550		)	(14,854,259		)
Net increase in net assets resulting from common share transactions	10,931,708			64,515,942
Total increase/(decrease) in net assets	(3,138,350		)	60,580,670
Net assets at beginning of period	773,113,087			674,124,099
Net assets at end of period(1)	$	769,974,737		$	734,704,769
Net asset value per common share	$	8.02		$	8.11
Common shares outstanding, beginning of period	94,666,418			82,623,649
Issuance of common shares	1,393,488			7,690,755
Issuance of common shares pursuant to distribution reinvestment plan	1,745,246			2,040,396
Repurchase of common shares	(1,783,393		)	1,815,640
Common shares outstanding, end of period	96,021,759			90,539,160

(1) Net assets at end of period include accumulated undistributed net investment income of $14,945,853 and $16,928,981 for six months ended June 30, 2017 and 2016, respectively.

See accompanying notes to the consolidated financial statements.

F-3

Sierra Income Corporation

Consolidated Statements of Cash Flows

	Six Months Ended June 30,
	2017			2016
	(unaudited)			(unaudited)
Cash flows from operating activities
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:	$	16,595,761		$	30,995,508
ADJUSTMENT TO RECONCILE NET INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:
Payment-in-kind interest income	(2,858,448		)	(3,486,531		)
Net amortization of premium on investments	(493,680		)	(399,569		)
Amortization of deferred financing costs	718,280			626,800
Net realized (gain)/loss on investments	15,939,732			(164,727		)
Net change in unrealized (appreciation)/depreciation on investments	(1,689,220		)	7,884,871
Net change in unrealized (appreciation)/depreciation on total return swap (Note 5)	(10,196,270		)	(4,029,231		)
Purchases and originations	(240,889,700		)	(133,789,231		)
Proceeds from sale of investments and principal repayments	149,796,557			96,913,559
(Increase)/decrease in operating assets:
Cash collateral on total return swap (Note 5)	4,120,942			(1,980,176		)
Unsettled trades receivable	(6,425,640		)	(23,452		)
Due from affiliate (Note 7)	4,571,137			(2,139,286		)
Interest receivable from non-controlled/non-affiliated investments	1,525,620			2,365,404
Interest receivable from controlled/affiliated investments	918,232			—
Receivable for Company shares sold	(206,277		)	—
Receivable due on total return swap (Note 5)	(609,665		)	(113,463		)
Prepaid expenses and other assets	(77,786		)	(288,829		)
Increase/(decrease) in operating liabilities:
Unsettled trades payable	36,065,885			25,093,037
Management fee payable	311,158			266,481
Accounts payable and accrued expenses	(437,950		)	(496,784		)
Incentive fees payable	(1,405,419		)	1,436,674
Administrator fees payable	(56,056		)	115,766
Interest payable	(415,701		)	(78,440		)
Deferred tax liability	334,318			79,633
Due to affiliate (Note 7)	(135,784		)	(559,749		)
NET CASH PROVIDED BY/(USED IN) OPERATING ACTIVITIES	(34,999,974		)	18,228,265
Cash flows from financing activities:
Borrowings under revolving credit facility	105,000,000			35,000,000
Repayments of revolving credit facility	(65,000,000		)	(60,000,000		)
Proceeds from issuance of common stock, net of underwriting costs	11,370,406			62,783,775
Payment of cash distributions	(16,596,967		)	(18,344,354		)
Financing costs paid	(390,000		)	(37,501		)
Repurchase of common shares	(14,507,550		)	(14,854,259		)
NET CASH PROVIDED BY FINANCING ACTIVITIES	19,875,889			4,547,661
TOTAL INCREASE/(DECREASE) IN CASH	(15,124,085		)	22,775,926
CASH AT BEGINNING OF PERIOD	99,400,794			93,658,142
CASH AT END OF PERIOD	$	84,276,709		$	116,434,068
Supplemental Information:
Cash paid during the period for interest	$	8,158,663		$	6,741,049
Supplemental non-cash information:
Non-cash purchase of investments	$	21,975,181		$	—
Non-cash sale of investments	21,975,181			—
Payment-in-kind interest income	2,858,448			3,486,531
Amortization of deferred financing costs	718,280			626,800
Net amortization of premium on investments	493,680			399,569
Issuance of common shares in connection with distribution reinvestment plan	14,068,852			16,586,426

See accompanying notes to the consolidated financial statements.

F-4

Sierra Income Corporation

Consolidated Schedule of Investments

As of June 30, 2017

(unaudited)

Company(1)	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value		% of Net Assets(2)
Non-controlled/non-affiliated investments– 120.6%
AAAHI Acquisition Corporation	Transportation:  Consumer	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(3) (4)	12/15/2021	$	7,189,369	$	7,189,368	$	7,189,369	0.9%
		Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(3) (4) (5)	12/14/2018	185,838		185,838		185,838		0.0%
				7,375,207		7,375,206		7,375,207
AAR Intermediate Holdings, LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(3) (4) (5)	9/30/2021	125,779		125,779		125,779		0.0%
		Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(3) (4)	9/30/2021	3,144,481		3,144,481		3,144,481		0.4%
		Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor, PIK(3) (4)	9/30/2021	6,911,202		5,799,912		6,911,202		0.9%
		Membership Units (4) (6) (7)		—		—		—		0.0%
				10,181,462		9,070,172		10,181,462
Advanced Diagnostic Holdings, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor(3) (4)	12/11/2020	14,776,538		14,776,538		14,776,538		1.9%
				14,776,538		14,776,538		14,776,538
Alpha Media LLC	Media:  Broadcasting & Subscription	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor(8)	2/25/2022	6,734,503		6,489,253		6,633,620		0.9%
				6,734,503		6,489,253		6,633,620
American Dental Partners, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor(3) (4)	9/25/2023	7,250,000		7,250,000		7,250,000		0.9%
				7,250,000		7,250,000		7,250,000
Amerijet Holdings, Inc.	Transportation:  Cargo	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor(4) (8)	7/15/2021	15,675,000		15,675,000		15,857,771		2.1%
				15,675,000		15,675,000		15,857,771
AMF Bowling Centers, Inc	Services:  Consumer	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(8)	9/19/2023	6,808,288		6,816,798		6,808,288		0.9%
				6,808,288		6,816,798		6,808,288
AMMC CLO 17, Limited Series 2015-17A	Multi-Sector Holdings	Subordinated Note 18.501% effective yield(1) (6) (9)(10)	11/15/2027	5,000,000		3,525,336		3,859,500		0.5%
				5,000,000		3,525,336		3,859,500
Anaren, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor(3)	8/18/2021	10,000,000		9,935,683		10,000,000		1.3%
				10,000,000		9,935,683		10,000,000
Answers Finance, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(8)	4/15/2021	1,295,006		1,295,006		1,295,006		0.2%
		Senior secured second lien term loans LIBOR + 4.400%, Cash, 0.100% Cap, 4.500% PIK(8)	9/15/2021	2,013,687		2,013,687		2,013,687		0.3%
		Equity/Warrants (6)		—		5,426,955		5,426,956		0.7%
				3,308,693		8,735,648		8,735,649
APCO Holdings, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor(4) (8)	1/31/2022	4,238,057		4,135,035		4,238,057		0.6%
				4,238,057		4,135,035		4,238,057
Apidos CLO XXIV, Series 2016-24A	Multi-Sector Holdings	Subordinated Note 13.808% effective yield(1) (4) (6) (9) (10)	7/20/2027	18,357,647		14,634,802		13,848,090		1.8%
				18,357,647		14,634,802		13,848,090

F-5

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets(2)
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor(8) (11)	3/3/2021	7,000,000	6,956,066	7,000,000	0.9%
				7,000,000	6,956,066	7,000,000
Aviation Technical Services, Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor(4) (8) (12)	3/31/2022	25,000,000	25,000,000	25,250,000	3.3%
				25,000,000	25,000,000	25,250,000
Backcountry.com, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor(3) (4) (12)	6/30/2020	29,300,382	29,300,382	29,300,382	3.8%
				29,300,382	29,300,382	29,300,382
Birch Communications Inc.	Telecommunications	Senior Secured First Lien Term Loan LIBOR + 7.250%, 1.000% Floor(4) (8)	7/17/2020	13,441,112	13,297,105	13,161,402	1.7%
				13,441,112	13,297,105	13,161,402
Black Angus Steakhouses LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor(4) (5) (8) (12)	4/24/2020	669,643	669,643	502,411	0.1%
		Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor(4) (8) (12)	4/24/2020	19,380,580	19,380,580	18,642,180	2.4%
				20,050,223	20,050,223	19,144,591
Brundage-Bone Concrete Pumping, Inc.	Construction & Building	Senior Secured First Lien Note 10.375%(9)	9/1/2021	7,500,000	7,597,985	7,875,975	1.0%
				7,500,000	7,597,985	7,875,975
Charming Charlie LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor(3)	12/24/2019	7,908,765	7,918,895	6,448,886	0.8%
				7,908,765	7,918,895	6,448,886
Checkers Holdings, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 4.250%, 1.000% Floor(3)	4/25/2024	7,000,000	6,969,410	6,930,000	0.9%
				7,000,000	6,969,410	6,930,000
Cornerstone Chemical Company	Chemicals, Plastics & Rubber	Senior Secured First Lien Note 9.375%(9)	3/15/2018	4,970,000	4,910,865	4,970,000	0.6%
				4,970,000	4,910,865	4,970,000
CP Opco, LLC	Services:  Consumer	Revolver LIBOR + 4.500%, 1.000% Floor(3) (4) (5)	3/31/2019	338,974	338,974	338,973	0.0%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK(3) (4)	3/31/2019	678,026	678,026	678,026	0.1%
		Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor, PIK(3) (4) (14)	3/31/2019	218,492	210,249	80,739	0.0%
		Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor, PIK(3) (4) (14)	3/31/2019	1,569,153	717,016	—	0.0%
		Preferred Units LIBOR + 9.500%, 1.000% Floor, PIK(4)(14)		—	—	—	0.0%
		Common Units (4) (7)		—	—	—	0.0%
				2,804,645	1,944,265	1,097,738
CSP Technologies North America, LLC	Containers, Packaging & Glass	Senior Secured First Lien Term Loan LIBOR + 5.250%, 1.000% Floor(3) (4)	1/29/2022	4,987,187	4,987,187	4,987,187	0.7%
				4,987,187	4,987,187	4,987,187
Deliver Buyer, Inc.	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(3)	4/26/2024	3,000,000	2,981,250	2,970,000	0.4%
				3,000,000	2,981,250	2,970,000
DHISCO Electronic Distribution, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.500% Floor(4) (8)	11/10/2019	2,380,952	2,380,952	2,380,952	0.3%
		Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.500% Floor, PIK(4) (8)	11/10/2019	8,669,099	8,669,099	8,669,099	1.1%

F-6

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets(2)
		Senior Secured First Lien Term Loan LIBOR + 10.250%, 1.500% Floor, PIK(4) (8) (14)	11/10/2019	7,465,518	7,257,481	3,732,759	0.5%
		Senior Secured First Lien Term Loan LIBOR + 11.250%, 1.500% Floor, PIK(4) (8) (14)	11/10/2019	6,971,237	2,940,892	—	0.0%
		Common Units, Class A (4) (7)		—	769,231	—	0.0%
				25,486,806	22,017,655	14,782,810
Drew Marine Partners, LP	Transportation:  Cargo	Senior Secured Second Lien Term Loan LIBOR + 7.000%, 1.000% Floor(3)	5/19/2021	10,000,000	10,054,006	10,000,000	1.3%
				10,000,000	10,054,006	10,000,000
Dryden 38 Senior Loan Fund, Series 2015-38A	Multi-Sector Holdings	Subordinated Note 16.865% effective yield(1) (6) (9) (10)	7/15/2027	7,000,000	4,907,414	4,930,100	0.6%
				7,000,000	4,907,414	4,930,100
Dryden 43 Senior Loan Fund, Series 2016-43A	Multi-Sector Holdings	Subordinated Note 14.828% effective yield(1) (4) (6) (9) (10)	7/20/2029	3,620,000	2,949,511	2,796,088	0.4%
				3,620,000	2,949,511	2,796,088
Dryden 49 Senior Loan Fund, Series 2017-49A	Multi-Sector Holdings	Subordinated Note 16.175% effective yield(1) (4) (6) (9) (10)	7/18/2030	—	15,213,374	15,213,374	2.0%
				—	15,213,374	15,213,374
Dynamic Energy Services International LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loan 13.500% PIK + LIBOR(4) (8)	6/6/2018	9,263,439	9,263,439	7,885,132	1.0%
				9,263,439	9,263,439	7,885,132
Elite Comfort Solutions LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (5)	1/15/2021	8,690,875	8,690,875	8,690,875	1.1%
				8,690,875	8,690,875	8,690,875
First Boston Construction Holdings, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Note 12.000%(4)	12/31/2020	6,585,000	6,585,000	6,585,000	0.9%
		Preferred Equity (4) (7)		—	1,646,250	1,646,250	0.2%
				6,585,000	8,231,250	8,231,250
FKI Security Group, LLC	Capital Equipment	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor(3) (4)	3/30/2020	11,750,000	11,750,000	11,750,000	1.5%
				11,750,000	11,750,000	11,750,000
Friedrich Holdings, Inc.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(4) (8)	2/7/2023	13,806,751	13,806,751	13,806,751	1.8%
				13,806,751	13,806,751	13,806,751
Frontier Communications Corp.	Telecommunications	Senior Secured First Lien Note 10.500%(6) (9)	9/15/2022	2,000,000	2,000,000	1,907,580	0.3%
				2,000,000	2,000,000	1,907,580
Genex Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor(8)	5/30/2022	9,500,000	9,523,252	9,500,000	1.2%
		Senior Secured First Lien Term Loan LIBOR + 4.250%, 1.000% Floor(3)	5/28/2021	4,174,118	4,121,942	4,148,030	0.5%
				13,674,118	13,645,194	13,648,030
GK Holdings, Inc.	Services:  Business	Senior Secured Second Lien Term Loan LIBOR + 10.250%, 1.000% Floor(3)	1/20/2022	10,000,000	10,000,000	10,100,000	1.3%
				10,000,000	10,000,000	10,100,000
Green Field Energy Services, Inc.	Energy:  Oil & Gas	Senior Secured First Lien Note 13.000%(4) (9) (14)	11/15/2016	766,616	754,616	122,658	0.0%
		Warrants (4) (7)		—	29,000	—	0.0%
				766,616	783,616	122,658

F-7

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets(2)
GTCR Valor Companies, Inc.	Media:  Diversified & Production	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor(3) (4) (6)	6/16/2023	4,131,262	4,152,951	4,131,262	0.5%
				4,131,262	4,152,951	4,131,262
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 4.750%, 1.000% Floor(3) (4)	10/13/2023	4,975,000	4,987,438	4,925,250	0.6%
				4,975,000	4,987,438	4,925,250
HBC Holdings LLC	Wholesale	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (4)	3/30/2020	12,712,500	12,712,500	12,547,619	1.6%
				12,712,500	12,712,500	12,547,619
Heligear Acquisition Co.	Aerospace & Defense	Senior Secured First Lien Note 10.250%(4) (9)	10/15/2019	15,000,000	15,000,000	15,358,950	2.0%
				15,000,000	15,000,000	15,358,950
High Ridge Brands Co.	Consumer Goods:  Non-Durable	Senior Secured First Lien Note 8.875%(4) (9)	3/15/2025	2,000,000	2,000,000	2,000,000	0.3%
				2,000,000	2,000,000	2,000,000
Holland Acquisition Corp.	Energy:  Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 9.000%, 1.000% Floor(3)	5/29/2018	4,515,605	4,492,714	3,216,511	0.4%
				4,515,605	4,492,714	3,216,511
Hylan Datacom & Electrical LLC	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor(4) (8)	7/25/2021	15,456,298	15,456,298	15,544,863	2.0%
				15,456,298	15,456,298	15,544,863
Ignite Restaurant Group, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(3) (14)	2/13/2019	8,364,050	8,314,267	6,462,483	0.8%
				8,364,050	8,314,267	6,462,483
IHS Intermediate, Inc.	Services:  Business	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor(3)	7/20/2022	25,000,000	25,000,000	25,250,000	3.3%
				25,000,000	25,000,000	25,250,000
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor(3) (4) (11)	6/21/2023	8,950,000	8,815,750	8,815,750	1.1%
				8,950,000	8,815,750	8,815,750
Impact Sales, LLC	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(3) (4) (5)	12/30/2021	4,878,369	4,878,369	4,878,369	0.6%
				4,878,369	4,878,369	4,878,369
Interface Security Systems, Inc.	Services:  Consumer	Senior Secured First Lien Note 9.250%(9)	1/15/2018	3,417,000	3,426,182	3,399,778	0.4%
				3,417,000	3,426,182	3,399,778
Invision Diversified, LLC	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor(4) (8) (12)	6/30/2020	24,022,685	24,022,685	24,262,912	3.2%
				24,022,685	24,022,685	24,262,912
IOP Monroe Acquisition, Inc.	Capital Equipment	Senior Secured First Lien Term Loan LIBOR + 5.500%, 1.000% Floor(4) (5) (8)	4/1/2022	1,000,000	1,000,000	1,000,000	0.1%
				1,000,000	1,000,000	1,000,000
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 8.250%, 1.000% Floor(3) (11) (14)	11/29/2018	5,418,190	5,461,768	4,873,391	0.6%
				5,418,190	5,461,768	4,873,391
Jordan Reses Supply Company, LLC	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 11.000%, 1.000% Floor(3) (4)	4/24/2020	5,000,000	5,000,000	5,050,000	0.7%
				5,000,000	5,000,000	5,050,000
Keystone Acquisition Corp.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 9.250%, 1.000% Floor(3) (4) (11)	5/1/2025	7,000,000	6,861,786	6,860,000	0.9%
				7,000,000	6,861,786	6,860,000

F-8

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets(2)
KMG Chemicals, Inc.	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loan LIBOR + 4.250%, 1.000% Floor(3) (4) (6)	6/15/2024	3,950,000	3,930,319	3,930,250	0.5%
				3,950,000	3,930,319	3,930,250
L&S Plumbing Partnership, Ltd.	Construction & Building	Senior Secured First Lien Term Loan LIBOR + 8.500%, 1.000% Floor(3) (4)	2/15/2022	12,031,250	12,031,250	12,031,250	1.6%
				12,031,250	12,031,250	12,031,250
Liquidnet Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 6.750%, 1.000% Floor(3)	5/22/2019	5,950,000	5,910,592	6,009,500	0.8%
				5,950,000	5,910,592	6,009,500
Livingston International Inc.	Transportation:  Cargo	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.250% Floor(1) (3) (6) (11)	4/17/2020	2,658,504	2,655,885	2,579,919	0.3%
				2,658,504	2,655,885	2,579,919
Loar Group Inc.	Aerospace & Defense	Senior Secured Second Lien Term Loan LIBOR + 9.250%, 1.000% Floor(8)	7/12/2022	15,000,000	15,000,000	15,300,000	2.0%
				15,000,000	15,000,000	15,300,000
LSF9 Atlantis Holdings, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor(4) (8)	5/1/2023	10,000,000	9,902,314	9,900,000	1.3%
				10,000,000	9,902,314	9,900,000
LTCG Holdings Corp.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loan LIBOR + 5.000%, 1.000% Floor(3)	6/6/2020	2,838,571	2,830,911	2,698,005	0.4%
				2,838,571	2,830,911	2,698,005
Magnetite XIX, Limited	Multi-Sector Holdings	Equity/Warrant (1) (4) (6)		—	12,250,000	12,250,000	1.6%
				—	12,250,000	12,250,000
MND Holdings III Corp.	Consumer Goods:  Durable	Senior Secured First Lien Term Loan LIBOR + 4.500%, 1.000% Floor(3) (4)	6/19/2024	1,900,000	1,890,530	1,890,500	0.2%
				1,900,000	1,890,530	1,890,500
Nathan's Famous Inc.	Beverage & Food	Senior Secured First Lien Note 10.000%	3/15/2020	7,000,000	7,000,000	7,460,320	1.0%
				7,000,000	7,000,000	7,460,320
Nation Safe Drivers Holdings, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.000%, 2.000% Floor(3) (4)	9/29/2020	20,676,479	20,676,479	20,883,243	2.7%
				20,676,479	20,676,479	20,883,243
New Media Holdings II, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loan LIBOR + 6.250%, 1.000% Floor(3) (4) (11)	6/4/2020	17,951,860	17,940,184	17,839,661	2.4%
				17,951,860	17,940,184	17,839,661
Novetta Solutions, LLC	High Tech Industries	Senior Secured Second Lien Term Loan LIBOR + 8.500%, 1.000% Floor(3)	10/16/2023	11,000,000	10,910,450	10,689,140	1.4%
				11,000,000	10,910,450	10,689,140
Nuspire, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (4) (5)	11/8/2022	6,310,000	6,310,000	6,310,000	0.8%
				6,310,000	6,310,000	6,310,000
Omnitracs, Inc.	Telecommunications	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor(3)	5/25/2021	7,000,000	7,010,132	7,000,000	0.9%
				7,000,000	7,010,132	7,000,000
Oxford Mining Company, LLC	Metals & Mining	Senior Secured First Lien Term Loan LIBOR + 8.500%, 0.750% Floor, 3.000% PIK(3) (4)	12/31/2018	20,988,977	20,988,977	21,024,239	2.7%
				20,988,977	20,988,977	21,024,239
Path Medical, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 9.500%, 1.000% Floor(4) (8)	10/11/2021	15,225,737	14,684,974	15,124,333	2.0%
		Warrants (4) (7)		—	669,709	141,751	0.0%
				15,225,737	15,354,683	15,266,084

F-9

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value	% of Net Assets(2)
Payless Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 7.500%, 1.000% Floor(3) (14)	3/11/2022	6,000,000	6,012,482	543,120	0.1%
				6,000,000	6,012,482	543,120
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loan LIBOR + 3.000%, 1.000% Floor(3) (11)	1/26/2023	1,994,949	1,841,062	1,800,442	0.2%
				1,994,949	1,841,062	1,800,442
PetroChoice Holdings, Inc.	Chemicals, Plastics & Rubber	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor(3) (4) (11)	9/3/2023	9,000,000	9,000,000	9,000,000	1.2%
				9,000,000	9,000,000	9,000,000
Preferred Proppants, LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loan LIBOR + 5.750%, 1.000% Floor(3) (11)	7/27/2020	3,959,288	2,845,164	3,340,649	0.4%
				3,959,288	2,845,164	3,340,649
Press Ganey Holdings, Inc	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor(8) (11)	10/21/2024	6,500,000	6,474,405	6,522,035	0.9%
				6,500,000	6,474,405	6,522,035
PT Network, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (4) (5)	11/30/2021	5,793,750	5,793,750	5,793,750	0.8%
				5,793,750	5,793,750	5,793,750
Reddy Ice Corporation	Beverage & Food	Senior Secured Second Lien Term Loan LIBOR + 9.500%, 1.250% Floor(3) (4)	10/1/2019	2,000,000	2,000,000	1,880,000	0.2%
				2,000,000	2,000,000	1,880,000
Research Now Group, Inc.	Services:  Business	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor(3)	3/18/2022	15,000,000	15,000,000	15,000,000	1.9%
				15,000,000	15,000,000	15,000,000
Resolute Investment Managers, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 8.750%, 1.000% Floor(3) (11)	4/30/2023	6,000,000	5,910,866	6,000,000	0.8%
				6,000,000	5,910,866	6,000,000
Rhombus Cinema Holdings, LP	Media:  Diversified & Production	Preferred Equity 10.000% PIK(4) (6)		—	4,584,207	5,346,249	0.7%
		Equity (4) (6) (7)		—	3,162,793	3,835,540	0.6%
				—	7,747,000	9,181,789
SavATree, LLC	Environmental Industries	Senior Secured First Lien Term Loan LIBOR + 5.250%, 1.000% Floor(4) (5) (8)	6/2/2022	2,888,889	2,888,889	2,888,889	0.4%
				2,888,889	2,888,889	2,888,889
Ship Supply Acquisition Corporation	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 8.000%, 1.000% Floor(4) (8)	7/31/2020	22,812,500	22,812,500	21,883,803	2.8%
				22,812,500	22,812,500	21,883,803
Simplified Logistics, LLC	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (4)	2/28/2022	7,481,250	7,481,250	7,481,250	1.0%
				7,481,250	7,481,250	7,481,250
Sizzling Platter, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loan LIBOR + 7.500%, 1.000% Floor(3)	4/28/2020	15,000,000	15,000,000	15,000,000	1.9%
				15,000,000	15,000,000	15,000,000
SMART Financial Operations, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 10.000%, 1.000% Floor(3) (4) (5)	11/22/2021	3,700,000	3,700,000	3,700,000	0.5%
		Equity (4) (6) (7)		—	1,000,000	1,000,000	0.1%
				3,700,000	4,700,000	4,700,000
Southwest Dealer Services, Inc.	Automotive	Senior Secured First Lien Term Loan LIBOR + 6.000%, 1.000% Floor(3) (4)	6/2/2022	4,900,000	4,900,000	4,900,000	0.6%
				4,900,000	4,900,000	4,900,000

F-10

Company(1)	Industry	Type of Investment	Maturity	Par Amount			Cost	Fair Value		% of Net Assets(2)
SRS Software, LLC	High Tech Industries	Senior Secured First Lien Term Loan LIBOR + 7.000%, 1.000% Floor(4) (5) (8)	2/17/2022	19,451,250			19,451,250	19,451,250		2.5%
				19,451,250			19,451,250	19,451,250
Survey Sampling International, LLC	Services:  Business	Senior Secured Second Lien Term Loan LIBOR + 9.000%, 1.000% Floor(3) (4)	12/16/2021	24,000,000			24,000,000	24,000,000		3.1%
				24,000,000			24,000,000	24,000,000
TCH-2 Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loan LIBOR + 7.750%, 1.000% Floor(8) (11)	11/6/2021	3,636,364			3,599,751	3,640,836		0.5%
				3,636,364			3,599,751	3,640,836
Techniplas, LLC	Automotive	Senior Secured First Lien Note 10.000%(9) (13)	5/1/2020	6,000,000			6,000,000	5,174,760		0.7%
				6,000,000			6,000,000	5,174,760
The Garretson Resolution Group, Inc.	Services:  Business	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(3) (4)	5/22/2021	9,500,000			9,466,573	9,560,230		1.2%
				9,500,000			9,466,573	9,560,230
Touchtunes Interactive Networks, Inc.	Media:  Diversified & Production	Senior Secured Second Lien Term Loan LIBOR + 8.250%, 1.000% Floor(3) (4) (11)	5/27/2022	7,500,000			7,500,000	7,462,500		1.0%
				7,500,000			7,500,000	7,462,500
Transocean Phoenix 2 Ltd.	Energy:  Oil & Gas	Senior Secured First Lien Note 7.750%(4) (9) (13)	10/15/2024	7,125,000			7,018,130	7,560,623		1.0%
				7,125,000			7,018,130	7,560,623
Truco Enterprises, LP	Beverage & Food	Senior Secured First Lien Term Loan LIBOR + 7.220%, 1.000% Floor(4) (8)	4/26/2021	9,899,160			9,899,160	9,899,160		1.3%
				9,899,160			9,899,160	9,899,160
True Religion Apparel, Inc.	Retail	Senior Secured Second Lien Term Loan LIBOR + 10.000%, 1.000% Floor(3) (14)	1/30/2020	4,000,000			3,912,145	—		0.0%
				4,000,000			3,912,145	—
U.S. Auto Sales Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 11.750%, 1.000% Floor(4) (8) (12)	6/8/2020	5,500,000			5,500,000	5,497,140		0.7%
				5,500,000			5,500,000	5,497,140
U.S. Well Services, LLC	Energy:  Oil & Gas	Warrants (7)	2/21/2019	—			173	—		0.0%
				—			173	—
Valence Surface Technologies, Inc.	Aerospace & Defense	Senior Secured First Lien Term Loan LIBOR + 5.500%, 1.000% Floor(3) (4) (8)	6/13/2019	4,192,638			4,181,646	4,114,320		0.5%
				4,192,638			4,181,646	4,114,320
Velocity Pooling Vehicle, LLC	Automotive	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor(3) (4)	5/13/2022	20,625,000			18,557,354	9,910,106		1.3%
				20,625,000			18,557,354	9,910,106
Verso Corporation	Media: Advertising, Printing & Publishing	Common Stock (7) (15)		—			2,238,108	874,727		0.1%
				—			2,238,108	874,727
VOYA CLO 2016-2, LTD.	Multi-Sector Holdings	Subordinated Note 13.455% effective yield(1) (4) (6) (9) (10)	7/19/2028	22,842,661			19,208,838	16,535,802		2.1%
				22,842,661			19,208,838	16,535,802
Watermill-QMC Holdings, Corp.	Automotive	Partnership Interest (4) (6) (7)		—			902,277	1,170,254		0.2%
				—			902,277	1,170,254
Z Gallerie, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(4) (8)	10/8/2020	4,658,816			4,628,043	4,658,816		0.6%
				4,658,816			4,628,043	4,658,816
Total non-controlled/non-affiliated investments					$	964,292,419		$	929,630,491	120.6%

F-11

Company(1)	Industry	Type of Investment	Maturity	Par Amount			Cost		Fair Value			% of Net Assets(2)
Controlled/affiliated investments– 17.3%(16)
Access Media Holdings, LLC	Media:  Broadcasting & Subscription	Senior Secured First Lien Term Loan 5.000%, 5.000% PIK(4)	7/22/2020	7,205,496			7,205,496		7,205,496			0.9%
		Common Stock (4) (6) (7)		—			—		—			0.0%
		Preferred Equity Series A (4) (6) (7)		—			1,400,000		—			0.0%
		Preferred Equity Series AA (4) (6) (7)		—			700,000		—			0.0%
		Preferred Equity Series AAA (4) (6) (7)		—			183,400		183,400			0.0%
				7,205,496			9,488,896		7,388,896
Capstone Nutrition, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 12.500%, 1.000% Floor, PIK(4) (8) (14)	4/28/2019	27,110,326			22,489,085		19,190,857			2.5%
		Common Stock (4) (7)		—			9		—			0.0%
		Common Stock, Class B (4) (7)		—			—		—			0.0%
		Common Stock, Class C (4) (7)		—			300,002		—			0.0%
				27,110,326			22,789,096		19,190,857
MCM Capital Office Park Holdings LLC	Banking, Finance, Insurance & Real Estate	Equity (6) (7)		—			7,188,312		7,188,312			0.9%
				—			7,188,312		7,188,312
Nomida, LLC	Construction & Building	Senior Secured First Lien Term Loan 10.000%(6)	12/1/2020	8,100,000			8,100,000		8,100,000			1.1%
		Equity (6) (7)		—			5,400,000		5,400,000			0.7%
				8,100,000			13,500,000		13,500,000
Sierra Senior Loan Strategy JV I LLC	Multi-Sector Holdings	Equity (6)		72,991,250			72,991,250		71,795,680			9.3%
				72,991,250			72,991,250		71,795,680
TwentyEighty, Inc.	Services:  Business	Senior Secured First Lien Term Loan 1.000%, 7.000% PIK(3)	3/31/2020	6,465,234			6,465,234		6,465,234			0.8%
		Senior Secured First Lien Term Loan 0.250%, 8.750% PIK(3)	3/31/2020	5,860,573			5,261,070		5,151,327			0.7%
		Senior Secured First Lien Term Loan LIBOR + 3.500%, 1.000% Floor, 4.500% PIK(3) (5)	3/31/2020	3,028,284			3,011,700		3,028,284			0.4%
		Equity/Warrants (6) (7)		—			—		—			0.0%
				15,354,091			14,738,004		14,644,845
Total controlled/affiliated investments							$	140,695,558	$	133,708,590		17.3%
Money market fund– 2.5%
Federated Institutional Prime Obligations Fund		Money Market 1.10%		19,065,321			$	19,065,321	$	19,065,321		2.5%
Total money market fund				19,065,321			$	19,065,321	$	19,065,321		2.5%
Derivative Instrument - Long Exposure					Initial Notional Cost				Unrealized Appreciation / (Depreciation)
Total return swap with Citibank, N.A. (Note 5)		Total Return Swap			$	238,945,746			$	(3,451,060	)	0.5%
Total derivative instrument - long exposure					$	238,945,746			$	(3,451,060	)	0.5%

F-12

(1)	All of the Company's investments are domiciled in the United States except for Livingston International Inc., which is domiciled in Canada, and AMMC CLO 17, Limited Series 2015-17A, Apidos CLO XXIV, Series 2016-24A, Dryden 38 Senior Loan Fund, Series 2015-38A, Dryden 43 Senior Loan Fund, Series 2016-43A, Dryden 49 Senior Loan Fund, 2017-49A, Magnetite XIX, Limited and VOYA CLO 2016-2, LTD., each of which are domiciled in the Cayman Islands. All foreign investments were denominated in US Dollars.
(2)	Percentage is based on net assets of $769,974,737 as of June 30, 2017.
(3)	The interest rate on these loans is subject to a base rate plus 3 Month “3M” LIBOR, which at June 30, 2017 was 1.30%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 3M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.
(4)	An affiliated fund that is managed by an affiliate of SIC Advisors LLC also holds an investment in this security.
(5)	The investment has an unfunded commitment as of June 30, 2017. For further details see Note 11. Fair value includes an analysis of the unfunded commitment.
(6)	The investment is not a qualifying asset under Section 55 of the Investment Company Act of 1940 (the "1940 Act"). Non-qualifying assets represent 18.0% of the Company's portfolio at fair value.
(7)	Security is non-income producing.
(8)	The interest rate on these loans is subject to a base rate plus 1 Month "1M" LIBOR, which at June 30, 2017 was 1.22%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 1M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.
(9)	Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities represent a fair value of $105,553,278 or 13.7% of net assets as of June 30, 2017 and are considered restricted.
(10)	This investment is in the equity class of a collateralized loan obligation ("CLO"). The CLO equity investments are entitled to recurring distributions which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions that have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
(11)	Security is also held in the underlying portfolio of the total return swap with Citibank, N.A. (see Note 5). The Company's total exposure to Asurion Corp., Imagine! Print Solutions, Inc., Isola USA Corp., Keystone Acquisition Corp., Livingston International, Inc., New Media Holdings II, LLC, Petco Animal Supplies, Inc., PetroChoice Holdings, LLC, Preferred Proppants, LLC, Press Ganey Holdings, Inc, Resolute Investment Managers, Inc., TCH-2 Holdings, LLC, and Touchtunes Interactive Networks, Inc. is $9,957,916 or 1.3%, $14,755,750 or 1.9%, $8,370,141 or 1.1%, $9,206,000 or 1.2%, $4,549,362 or 0.6%, $18,792,036 or 2.4%, $10,562,327 or 1.4%, $13,987,342 or 1.8%, $6,167,628 or 0.8%, $12,994,535 or 1.7%, $7,923,879 or 1.0%, $9,802,967 or 1.3%, and $8,418,438 or 1.1%, respectively, of net assets as of June 30, 2017.
(12)	A portion of this investment was sold via a participation agreement.
(13)	Represents securities in Level 2 in the ASC 820 table (see Note 4).
(14)	The investment was on non-accrual status as of June 30, 2017.
(15)	Represents securities in Level 1 in the ASC 820 table (see Note 4).
(16)	Control Investments are defined by the 1940 Act as investments in companies in which the Company owns more than 25% of the voting securities or maintains greater than 50% of the board representation.

F-13

Sierra Income Corporation

Consolidated Schedule of Investments

As of December 31, 2016

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

F-14

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

F-15

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

F-16

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

F-17

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

F-18

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

F-19

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Cost		Fair Value			% of Net Assets(2)
U.S. Auto Sales, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loan LIBOR + 11.750%, 1.000% Floor(4) (8) (17)	6/5/2020	5,500,000	5,500,000		5,452,095			0.7%
				5,500,000	5,500,000		5,452,095
U.S. Well Services, LLC	Energy:  Oil & Gas	Warrants (7)		—	173		—			0.0%
				—	173		—
Valence Surface Technologies, Inc.	Aerospace & Defense	Senior Secured First Lien Term Loan LIBOR + 5.500%, 1.000% Floor(4) (8)	6/13/2019	3,499,128	3,486,054		3,388,590			0.4%
				3,499,128	3,486,054		3,388,590
Velocity Pooling Vehicle, LLC	Automotive	Senior Secured Second Lien Term Loan LIBOR + 7.250%, 1.000% Floor(3) (4)	5/13/2022	20,625,000	18,591,706		10,996,425			1.4%
				20,625,000	18,591,706		10,996,425
Verso Corporation	Media: Advertising, Printing & Publishing	Common Stock (7) (15)		—	2,238,108		1,262,666			0.2%
				—	2,238,108		1,262,666
VOYA CLO 2016-2, LTD.	Multi-Sector Holdings	Subordinated Note 16.185% effective yield(6) (9) (10)	7/19/2028	22,842,661	19,918,800		20,551,542			2.7%
				22,842,661	19,918,800		20,551,542
Watermill-QMC Midco, Inc.	Automotive	Partnership Interest (4) (6) (7)		—	850,136		1,102,626			0.1%
				—	850,136		1,102,626
Z Gallerie, LLC	Retail	Senior Secured First Lien Term Loan LIBOR + 6.500%, 1.000% Floor(4) (8)	10/8/2020	4,682,646	4,645,211		4,682,647			0.6%
				4,682,646	4,645,211		4,682,647
Total non-controlled/non-affiliated investments					$	921,626,572	$	885,400,856		114.5%
Controlled/affiliated investments– 9.5%(16)
Capstone Nutrition	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan LIBOR + 12.500%, 1.000% Floor, PIK(4) (8) (12)	4/28/2019	25,327,876	22,770,855		16,246,819			2.1%
		Common Stock (4) (7)		—	300,002		—			0.0%
		Common Stock, Class B (4) (7)		—	9		—			0.0%
		Common Stock, Class C (4) (7)		—	—		—			0.0%
				25,327,876	23,070,866		16,246,819
MCM Capital Office Park Holdings LLC	Banking, Finance, Insurance & Real Estate	Equity (6) (7)		—	7,500,000		7,500,000			1.0%
				—	7,500,000		7,500,000
Nomida LLC	Construction & Building	Equity (6) (7)		—	5,400,000		5,400,000			0.7%
		Senior Secured First Lien Term Loan 10.000%(6)	12/1/2020	8,100,000	8,100,000		8,100,000			1.0%
				8,100,000	13,500,000		13,500,000
Sierra Senior Loan Strategy JV I LLC	Multi-Sector Holdings	Equity(5)(6)		60,785,000	60,785,000		60,496,647			7.8%
				60,785,000	60,785,000		60,496,647
Total controlled/affiliated investments					$	104,855,866	$	97,743,466		12.6%
Money market fund– 3.0%
Federated Institutional Prime Obligations Fund		Money Market 0.49%(15)		22,966,981	22,966,981		22,966,981			3.0%
Total money market fund					$	22,966,981	$	22,966,981		3.0%
Derivative Instrument - Long Exposure					Notional Amount		Unrealized Appreciation (Depreciation)
Total return swap with Citibank, N.A. (Note 5)		Total Return Swap			227,513,679		(13,647,330		)	1.8%
Total derivative instrument - long exposure					$	227,513,679	$	(13,647,330	)	1.8%

F-20

___________________________________ 

(1)	All of the Company's investments are domiciled in the United States except for Livingston International Inc. and Atrium Innovations, Inc., which are domiciled in Canada, and AMMC CLO 17, Limited Series 2015-17A, Apidos CLO XXIV, Series 2016-24A, Dryden 38 Senior Loan Fund, Series 2015-38A, Dryden 43 Senior Loan Fund, Series 2016-43A, Dryden 49 Senior Loan Fund and VOYA CLO 2016-2, LTD. each of which are domiciled in the Cayman Islands. All foreign investments were denominated in US Dollars.
(2)	Percentage is based on net assets of $773,113,087 as of December 31, 2016.
(3)	The interest rate on these loans is subject to a base rate plus 3 Month “3M” LIBOR, which at December 31, 2016 was 1.00%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(4)	An affiliated Company that is managed by an affiliate of SIC Advisors LLC also holds an investment in this security.
(5)	The investment has an unfunded commitment as of December 31, 2016. For further details (see Note 11). Fair value includes an analysis of the unfunded commitment.
(6)	The investment is not a qualifying asset under Section 55 of the Investment Company Act of 1940, as amended, (the "1940 Act"). Non-qualifying assets represent 22.4% of the Company's portfolio at fair value.
(7)	Security is non-income producing.
(8)	The interest rate on these loans is subject to a base rate plus 1 Month "1M" LIBOR, which at December 31, 2016 was 0.77%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 1M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(9)	Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities represent a fair value of $113,438,688 or 14.7% of net assets as of December 31, 2016 and are considered restricted.
(10)	This investment is in the equity class of a collateralized loan obligation ("CLO") security. The CLO equity investments are entitled to recurring distributions, which are generally equal to the excess cash flow generated from the underlying investments after payment of the contractual payments to debt holders and fund expenses. The current estimated yield is based on the current projections of this excess cash flow taking into account assumptions that have been made regarding expected prepayments, losses and future reinvestment rates. These assumptions are periodically reviewed and adjusted. Ultimately, the actual yield may be higher or lower than the estimated yield if actual results differ from those used for the assumptions.
(11)	Security is also held in the underlying portfolio of the total return swap with Citibank, N.A. (see Note 5) or the Sierra Senior Loan Strategy JV I LLC portfolio (see Note 3). The Company's total exposure to Astro AB Borrower, APCO Holdings, Inc., Inc., Asurion LLC, ConvergeOne Holdings Corp., Genex Holdings, Inc., Isola USA Corp., Livingston International, Inc., Preferred Sands Holding Company, LLC, Press Ganey Holdings, and TravelCLICK, Inc. is $7,020,932 or 0.9%, 9,123,869 or 1.2%, $8,082,500 or 1.0%, $14,962,500 or 1.9%, $12,427,662 or 1.6%, $8,708,549 or 1.1%, $4,502,200 or 0.6%, $6,199,301 or 0.8%, $15,930,005 or 2.1%, and $10,585,217 or 1.4%, respectively, of net assets as of December 31, 2016.
(12)	The investment was on non-accrual status as of December 31, 2016.
(13)	Represents securities in Level 2 in the ASC 820 table (see Note 4).
(14)	The interest rate on these loans is subject to a base rate plus 6 month "6M" LIBOR, which at December 31, 2016 was 1.32%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 6M LIBOR rate at December 31, 2016, the prevailing rate in effect at December 31, 2016 was the base rate plus the LIBOR floor.
(15)	Represents securities in Level 1 in the ASC 820 table (see Note 4).
(16)	Control Investments are defined by the 1940 Act as investments in companies in which the Company owns more than 25% of the voting securities or maintains greater than 50% of the board representation.
(17)	A portion of this investment was sold via a participation agreement.

See accompanying notes to consolidated financial statements.

F-21

SIERRA INCOME CORPORATION

Notes to Consolidated Financial Statements

June 30, 2017

(unaudited)

Note 1. Organization

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

On April 17, 2012, the Company successfully reached its minimum escrow requirement and officially commenced operations by issuing 1,108,033 shares of common stock to SIC Advisors for gross proceeds of $10,000,000. The Company’s offering period is currently scheduled to terminate on April 17, 2018, unless further extended. As of June 30, 2017, the Company has sold a total of 96,021,759 shares of common stock, which includes shares issued as part of the distribution reinvestment plan (see Note 13), for total proceeds of $1.0 billion, which includes the shares sold to SIC Advisors. The proceeds from the issuance of common stock are presented in the Company’s consolidated statements of changes in net assets and consolidated statements of cash flows and are presented net of selling commissions and dealer manager fees.

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

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

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

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

Note 2. Significant Accounting Policies

Basis of Presentation

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

F-22

Cash and Cash Equivalents

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

Offering Costs

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

Use of Estimates in the Preparation of Financial Statements

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

Deferred Financing Costs

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

Indemnification

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

Revenue Recognition

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

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

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

The Company holds debt investments that contain a payment-in-kind (PIK) interest provision. PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is recorded on an accrual basis to the extent such amounts are expected to be collected. PIK interest is not accrued if the Company does not expect the issuer to be able to pay all principal and interest when due. For the three and six months ended June 30, 2017, the Company earned $978,801 and $2,858,448 in PIK interest, respectively. For the three and six months ended June 30, 2016, the Company earned $1,913,901 and $3,486,531 in PIK interest, respectively.

Investment transactions are accounted for on a trade-date basis. Realized gains or losses on investments are measured by the difference between the net proceeds from the disposition and the amortized cost basis of investment, without regard to unrealized gains or losses previously recognized. During the three and six months ended June 30, 2017, the Company recognized $609,838 in realized gains and $10,761,496 in realized losses, respectively, related to certain non-cash restructuring transactions, which is recorded on the consolidated statements of operations as a component of net realized gain/(loss) from non-controlled/non-affiliated investments. During the three and six months ended June 30, 2016, the Company did not recognize any realized losses related to certain non-cash restructuring transactions. The Company reports changes in fair value of investments that are measured at fair value as a component of the net change in unrealized appreciation/(depreciation) on investments in the consolidated statements of operations. For total return swap transactions (see Note 5), periodic payments are received or made at the end of each settlement period, but prior to settlement are recorded as realized gains or losses on total return swap in the consolidated statements of operations.

F-23

Management reviews all loans that become 90 days or more past due on principal and interest or when there is reasonable doubt that principal or interest will be collected for possible placement on management's designation of non-accrual status. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although the Company may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. As of June 30, 2017, eight portfolio companies were on non-accrual status with a cost of $58,070,001 and a fair value of $35,006,007, or 3.29% of the fair value of the Company's portfolio. As of December 31, 2016, seven portfolio companies were on non-accrual status with a cost of $57,135,673 and a fair value of $35,022,807, or 3.56% of the fair value of the Company's portfolio.

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

Investment Classification

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

Valuation of Investments

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

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

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

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

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

F-24

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

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

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

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

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

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

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

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

• estimating the value to potential buyers.

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

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

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

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

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

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

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

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

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

F-25

• management reviews preliminary valuations and its own independent assessment;

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

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

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

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

Fair Value of Financial Instruments

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

U.S. Federal Income Taxes

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

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

The Company’s Taxable Subsidiaries accrue income taxes payable based on the applicable corporate rates on the unrealized gains generated by the investments held by the Taxable Subsidiaries. As of June 30, 2017 and December 31, 2016, the Company recorded a deferred tax liability of $578,940 and $244,622, respectively, on the consolidated statements of assets and liabilities. The change in deferred tax liabilities is included as a component of net gain/(loss) on investments and total return swap on investments in the consolidated statements of operations.

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

F-26

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

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

The Company accounts for income taxes in conformity with ASC Topic 740 - Income Taxes (“ASC 740”). ASC 740 provides guidelines for how uncertain tax positions should be recognized, measured, presented and disclosed in financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the consolidated statements of operations. There were no interest or penalties due to material uncertain income tax positions at June 30, 2017 and 2016.

The following table reflects, for U.S. federal income tax purposes, the sources of the cash distributions that the Company has paid on its common stock during six months ended June 30, 2017 and 2016 :

	Six Months Ended June 30, 2017				Six Months Ended June 30, 2016
Source of Distribution	Distribution Amount		Percentage		Distribution Amount(1)		Percentage
Ordinary income	$	30,665,819	100.0	%	$	34,930,780	100.0	%
Net realized gain	—		—		—		—
Return of capital (other)	—		—		—		—
Distributions on a tax basis:	$	30,665,819	100.0	%	$	34,930,780	100.0	%

(1) For the six months ended June 30, 2016, if expense support payments of $10,703,502 were not made by SIC Advisors, approximately 31% of the distributions would have been a return of capital for GAAP purposes.

Segments

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

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

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

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

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

Recent Accounting Pronouncements

In March 2016, the FASB issued ASU 2016-08, Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net), which clarified the implementation guidance on principal versus agent considerations. In April 2016, the FASB issued ASU 2016-10, Revenue from Contracts with Customers (Topic 606): Identifying Performance Obligations and Licensing, which clarified the implementation guidance regarding performance obligations and

F-27

licensing arrangements. The new standard will become effective for the Company on January 1, 2018, with early application permitted to the effective date of January 1, 2017. The Company is evaluating the effect that the above referenced guidance will have on its consolidated financial statements and related disclosures. The Company has not yet selected a transition method nor has it determined the effect of the standard on its ongoing financial reporting. The guidance does not apply to revenue associated with financial instruments, including loans and notes that are accounted for under other U.S. GAAP. As a result, the Company does not expect the new revenue recognition guidance to have a material impact on the elements of its consolidated statements of operations, most closely associated with financial instruments, including realized gains, fees, interest and dividend income. The Company plans to adopt the revenue recognition guidance in the first quarter of 2018. The Company’s implementation efforts include the identification of revenue within the scope of the guidance, as well as the evaluation of revenue contracts and related accounting policies. While the Company has not yet identified any material changes in the timing of revenue recognition, the Company's review is ongoing, and it continues to evaluate the presentation of certain contract costs.

Note 3. Investments

The following table summarizes the amortized cost and the fair value of the Company’s portfolio investments as of June 30, 2017:

	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	571,284,069	51.7	%	$	554,483,888	52.1	%
Senior secured second lien term loans	290,130,179		26.3		272,997,476		25.7
Senior secured first lien notes	62,292,778		5.6		62,415,644		5.9
Subordinated notes	60,439,275		5.5		57,182,954		5.4
Sierra Senior Loan Strategy JV I LLC	72,991,250		6.6		71,795,680		6.8
Warrants/Equity	47,850,426		4.3		44,463,439		4.2
Total	$	1,104,987,977	100.0	%	$	1,063,339,081	100.0	%

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

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

F-28

The following table shows the composition of the Company’s portfolio investments by industry classification at amortized cost and fair value at June 30, 2017:

	Amortized Cost		Percentage		Fair Value		Percentage
Services: Business	$	160,380,631	14.5	%	$	160,031,409	15.0	%
Multi-Sector Holdings	145,680,525		13.2		141,228,634		13.3
Banking, Finance, Insurance & Real Estate	81,837,108		7.4		82,080,730		7.7
Healthcare & Pharmaceuticals	84,300,258		7.6		80,709,264		7.6
Aerospace & Defense	69,117,329		6.3		70,023,270		6.6
Hotel, Gaming & Leisure	75,951,306		6.9		65,960,720		6.2
Construction & Building	62,392,284		5.6		62,758,839		5.9
Retail	68,215,323		6.2		57,351,646		5.4
High Tech Industries	50,869,116		4.6		50,059,430		4.7
Energy: Oil & Gas	33,473,408		3.0		32,307,035		3.0
Transportation: Cargo	28,384,891		2.6		28,437,690		2.7
Media: Advertising, Printing & Publishing	28,994,042		2.6		27,530,138		2.6
Chemicals, Plastics & Rubber	26,532,059		2.4		26,591,125		2.5
Automotive	34,494,666		3.1		25,393,177		2.4
Telecommunications	22,307,237		2.0		22,068,982		2.1
Metals & Mining	20,988,977		1.9		21,024,239		2.0
Media: Diversified & Production	19,399,951		1.8		20,775,551		2.0
Beverage & Food	18,899,160		1.7		19,239,480		1.8
Media: Broadcasting & Subscription	15,978,149		1.4		14,022,516		1.3
Capital Equipment	12,750,000		1.2		12,750,000		1.2
Wholesale	12,712,500		1.2		12,547,619		1.2
Services: Consumer	12,187,245		1.1		11,305,804		1.1
Transportation: Consumer	7,375,206		0.7		7,375,207		0.7
Containers, Packaging & Glass	4,987,187		0.5		4,987,187		0.5
Environmental Industries	2,888,889		0.3		2,888,889		0.3
Consumer Goods: Non-Durable	2,000,000		0.2		2,000,000		0.2
Consumer Goods: Durable	1,890,530		0.2		1,890,500		0.2
Total	$	1,104,987,977	100.0	%	$	1,063,339,081	100.0	%

F-29

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

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

See Note 5 for industry classifications of the underlying TRS reference assets as of June 30, 2017 and December 31, 2016.

The following table shows the composition of the Company’s portfolio investments by geography classification at fair value as of June 30, 2017 and December 31, 2016:

	June 30, 2017				December 31, 2016
Geography	Fair Value		Percentage		Fair Value		Percentage
United States	$	991,326,206	93.3	%	$	905,925,975	92.1	%
Canada	2,579,919		0.2		7,532,757		0.8
Cayman Islands	69,432,956		6.5		69,685,590		7.1
Total	$	1,063,339,081	100.0	%	$	983,144,322	100.0	%

F-30

Transactions With Affiliated Companies

During the six months ended June 30, 2017 and 2016, the Company had investments in portfolio companies designated as controlled/affiliated investments under the 1940 Act. Transactions with controlled/affiliated investments were as follows:

Name of Investment	Fair Value at December 31, 2016		Purchases/ (Sales) of Investments			Transfers In/(Out) of Investments		Net change in unrealized appreciation/ (depreciation)			Realized Gain/(Loss)		Fair Value at June 30, 2017		Income Earned
Access Media Holdings, LLC	$	—	$	415,382		$	9,073,514	$	(2,100,000	)	$	—	$	7,388,896	$	356,596
Capstone Nutrition	16,246,819		(281,770		)	—		3,225,808			—		19,190,857		—
MCM Capital Office Park Holdings LLC	7,500,000		(311,688		)	—		—			—		7,188,312		—
Nomida LLC(1)	13,500,000		—			—		—			—		13,500,000		407,250
Sierra Senior Loan Strategy JV I LLC(2)	60,496,647		12,206,250			—		(907,217		)	—		71,795,680		3,500,000
TwentyEighty, Inc.	—		14,738,004			—		(93,159		)	—		14,644,845		547,465
Total	$	97,743,466	$	26,766,178		$	9,073,514	$	125,432		$	—	$	133,708,590	$	4,811,311

Name of Investment	Fair Value at December 31, 2015		Purchases/ (Sales) of Investments		Transfers In/(Out) of Investments		Net change in unrealized appreciation/ (depreciation)			Realized Gain/(Loss)		Fair Value at June 30, 2016		Income Earned
Nomida LLC(1)	$	13,500,042	$	—	$	—	$	14,700		$	—	$	13,514,742	$	413,999
Sierra Senior Loan Strategy JV I LLC(2)	34,362,191		10,762,500		—		(172,058		)	—		44,952,633		2,170,000
Total	$	47,862,233	$	10,762,500	$	—	$	(157,358	)	$	—	$	58,467,375	$	2,583,999

_______________________________

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

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

Purchases/(sales) of investments in controlled/affiliates are included in the purchases and sales presented on the consolidated statements of cash flows for the six months ended June 30, 2017 and 2016. Transfers in/(out) of controlled/affiliates represents the fair value for the month an investment became or was removed as a controlled/affiliates investment. Income received from controlled/affiliates is included in total investment income on the consolidated statements of operations for the six months ended June 30, 2017 and 2016.

Sierra Senior Loan Strategy JV I LLC

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

As of June 30, 2017 and December 31, 2016, Sierra JV had total capital commitments of $100 million, with the Company providing $87.5 million and GALIC providing $12.5 million. Approximately $83.4 million and $69.5 million was funded as of June 30, 2017 and December 31, 2016, relating to these commitments, of which $72.9 million and $60.9 million were from the Company, respectively. The Company does not have the right to withdraw any of their respective capital commitment, unless in connection with a transfer of its membership interests. The Company may transfer full membership interests as long as it is approved

F-31

by all members and transferred in a transaction exempt from the registration requirements of the Securities Act of 1933, as amended, or applicable state securities laws.

On August 4, 2015, Sierra JV entered into a senior secured revolving credit facility the ("JV Facility") led by Credit Suisse, AG ("CS") with commitments of $100 million subject to certain leverage and borrowing base restrictions. On December 29, 2015, the JV Facility was amended and the total commitments were increased to $135 million. On March 31, 2017, the Company amended the JV Facility previously administered by CS and facilitated the assignment of all rights and obligations of CS under the JV Facility to Deutsche Bank AG, New York Branch, ("DB") and increased the total loan commitments to $240 million. On May 26, 2017 commitments to the JV facility were increased from $240 million to $250 million. The JV Facility bears interest at a rate of LIBOR (with no minimum) + 2.50% per annum. The JV Facility reinvestment period ends on March 30, 2019 and the stated maturity date is March 30, 2022. As of June 30, 2017 and December 31, 2016, there were $159.9 million and $123.9 million outstanding under the JV Facility, respectively.

The following table shows a summary of Sierra JV's portfolio as of June 30, 2017 and December 31, 2016:

	June 30, 2017			December 31, 2016
Senior secured loans(1)	$	232,709,133		$	187,314,127
Weighted average current interest rate on senior secured loans(2)	6.81		%	6.73		%
Number of borrowers in the Sierra JV	49			40
Investments at fair value	$	227,304,976		$	183,657,487
Largest loan to a single borrower(1)	$	11,404,714		$	10,000,000
Total of five largest loans to borrowers(1)	$	43,364,425		$	39,387,481

_____________________________

(1) At par value.

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

The following is a listing of the individual investments in Sierra JV's portfolio as of June 30, 2017:

Company	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value(1)
4Over International, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	6/7/2022	$	11,404,714	$	11,404,714	$	11,404,714
AccentCare, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(5) LIBOR + 5.750%, 1.000% Floor	10/1/2021	6,770,448		6,728,374		6,736,595
Acrisure, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	11/22/2023	498,750		497,526		497,502
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	9/2/2023	5,955,000		5,902,401		5,786,593
APCO Holdings, Inc.	Automotive	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	1/31/2022	4,708,953		4,600,743		4,708,953
API Technologies Corp.	Aerospace & Defense	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	4/22/2022	5,940,000		5,844,164		5,940,000
Associated Asphalt Partners, LLC	Construction & Building	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	4/5/2024	1,000,000		995,156		1,010,000
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term loans(4) LIBOR + 4.000%, 1.000% Floor	3/11/2024	2,992,500		2,985,329		2,996,241
Blount International, Inc.	Capital Equipment	Senior Secured First Lien Term Loans(2) LIBOR + 5.000%, 1.000% Floor	4/12/2023	1,985,000		1,952,412		1,985,000
Cardenas Markets LLC	Retail	Senior Secured First Lien Term loans(4) LIBOR + 5.750%, 1.000% Floor	11/29/2023	6,467,500		6,408,215		6,402,825
CD&R TZ Purchaser, Inc.	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	7/21/2023	6,451,250		6,366,944		6,360,868
CP Opco, LLC	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 4.500%, 1.000% Floor	3/31/2019	873,966		873,966		873,966

F-32

Company	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value(1)
CP Opco, LLC	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 4.500%, 1.000% Floor	3/31/2019	364,152	357,026	134,565
CP Opco, LLC	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	3/31/2019	2,615,445	1,195,026	—
CP Opco, LLC	Services: Consumer	Senior Secured First Lien Term loans(4)(6) LIBOR + 8.000%, 1.000% Floor	3/31/2019	1,558,081	—	—
CP Opco, LLC	Services: Consumer	Senior Secured First Lien Term loans(4)(6) LIBOR + 4.500%, 1.000% Floor	3/31/2019	564,956	564,956	564,956
CP Opco LLC	Services: Consumer	Senior Secured First Lien Term loans(4) ABR + 4.000%, 3.500% ABR Floor	3/31/2019	256,077	256,077	256,077
CP Opco, LLC	Services: Consumer	Common Stock	—	—	—	—
CSP Technologies North America, LLC	Containers, Packaging & Glass	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	1/29/2022	4,731,508	4,731,508	4,731,508
CT Technologies Intermediate Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 4.250%, 1.000% Floor	12/1/2021	7,231,552	7,001,235	7,204,434
Elite Comfort Solutions LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans(4) LIBOR + 6.500%, 1.000% Floor	1/15/2021	9,810,616	9,810,616	9,810,616
EVO Payments International, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	12/22/2023	3,491,250	3,458,704	3,521,798
Explorer Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	5/2/2023	1,237,500	1,227,155	1,237,500
GK Holdings, Inc.	Services: Business	Senior Secured First Lien Term Loans(7) LIBOR + 6.000%, 1.000% Floor	1/20/2021	4,008,740	3,991,608	3,886,875
Global Eagle Entertainment, Inc.	Telecommunications	Senior Secured First Lien Term loans(4) LIBOR + 7.000%, 1.000% Floor	1/6/2023	4,173,750	4,102,250	4,096,243
GTCR Valor Companies, Inc.	Media:  Diversified & Production	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	6/16/2023	7,417,543	7,162,338	7,417,543
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(4) LIBOR + 4.750%, 1.000% Floor	10/13/2023	2,985,000	2,958,848	2,955,150
High Ridge Brands Co.	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	6/30/2022	3,093,750	3,053,533	3,093,750
Highline Aftermarket Acquisitions, LLC	Automotive	Senior Secured First Lien Term loans(4) LIBOR + 4.250%, 1.000% Floor	3/17/2024	3,241,875	3,226,365	3,225,666
InfoGroup, Inc	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	4/3/2023	4,987,500	4,939,258	4,937,625
Keystone Acquisition Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	5/1/2024	7,500,000	7,352,249	7,500,000
KNB Holdings Corporation	Consumer Goods:  Durable	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	4/26/2024	6,500,000	6,373,073	6,516,250
MB Aerospace ACP Holdings II Corp.	Aerospace and Defense	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	12/15/2022	6,897,469	6,842,939	6,897,469
MHVC Acquisition Corp.	Aerospace and Defense	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	4/29/2024	5,000,000	4,975,520	4,975,000
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term Loan(4) LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,960,000	3,930,012	3,955,010
New Media Holdings II LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term loans(4) LIBOR + 6.250%, 1.000% Floor	6/4/2020	5,879,401	5,861,509	5,842,655

F-33

Company	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value(1)
O2 Partners, LLC	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	10/7/2022	6,451,250		6,394,335		6,386,738
PetroChoice Holdings, Inc.	Chemicals, Plastics & Rubber	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	9/3/2022	4,974,684		4,974,684		4,974,684
Pomeroy Group LLC	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	11/30/2021	5,144,497		5,016,624		5,059,819
PT Network, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	11/30/2021	2,985,000		2,985,000		2,985,000
Quorum Health Corporation	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(4) LIBOR + 6.750%, 1.000% Floor	4/29/2022	2,480,797		2,440,650		2,480,797
Rough Country, LLC	Automotive	Senior Secured First Lien Term loans(4) LIBOR + 4.500%, 1.000% Floor	5/25/2023	5,000,000		4,950,277		4,950,000
Salient CRGT Inc.	High Tech Industries	Senior Secured First Lien Term loans(4) LIBOR + 5.750%, 1.000% Floor	2/28/2022	4,968,750		4,875,246		4,894,219
SCS Holdings I Inc.	Wholesale	Senior Secured First Lien Term Loans(3) LIBOR + 4.250%, 1.000% Floor	10/30/2022	3,694,140		3,637,477		3,717,228
Sundial Group Holdings LLC	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 6.250%, 1.000% Floor	10/19/2021	5,625,000		5,544,114		5,625,000
Survey Sampling International, LLC	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	12/16/2020	2,962,108		2,940,195		2,962,108
The Garretson Resolution Group, Inc.	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	5/22/2021	4,750,000		4,750,000		4,780,115
TouchTunes Interactive Networks, Inc.	Media: Diversified & Production	Senior Secured First Lien Term loans(4) LIBOR + 4.750%, 1.000% Floor	5/28/2021	4,987,277		4,987,277		5,018,448
TrialCard Incorporated	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	10/26/2021	6,689,392		6,631,578		6,689,393
Valence Surface Technologies, Inc.	Aerospace and Defense	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	6/13/2019	4,419,681		4,401,240		4,337,122
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loan(4) LIBOR + 5.000%, 1.000% Floor	6/1/2023	5,940,000		5,888,896		5,871,037
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 7.500%, 1.000% Floor	10/29/2021	3,195,061		3,175,375		3,227,012
VIP Cinema Holdings, Inc.	Consumer Goods:  Durable	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	3/1/2023	987,500		982,809		982,563
Z Gallerie, LLC	Retail	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	10/8/2020	4,899,749		4,899,751		4,899,749
Total				$	232,709,133	$	227,407,277	$	227,304,976

___________________________ 

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

(2) The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at June 30, 2017 was 1.22%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 1M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.

(3) The interest rate on these loans is subject to a base rate plus 2 Month (“2M”) LIBOR, which at June 30, 2017 was 1.25%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 2M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.

(4) The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at June 30, 2017 was 1.30%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 3M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 the base rate plus the LIBOR floor.

F-34

(5) The interest rate on these loans is subject to a base rate plus 6 Month (“6M”) LIBOR, which at June 30, 2017 was 1.45%. As the interest rate is subject to a minimum LIBOR floor, which was greater than the 6M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 the base rate plus the LIBOR floor.

(6) The investment was on non-accrual status as of June 30, 2017.

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

Company	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value(1)
4 Over International, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	6/7/2022	$	2,475,000	$	2,475,000	$	2,475,000
AccentCare, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.750%, 1.000% Floor	9/3/2021	4,582,500		4,546,589		4,582,500
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	9/2/2023	5,985,000		5,927,893		5,810,418
APCO Holdings, Inc.	Automotive	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	1/31/2022	4,834,797		4,711,696		4,854,668
API Technologies Corp.	Aerospace & Defense	Senior Secured First Lien Term loans(2)(4) LIBOR + 6.500%, 1.000% Floor	4/22/2022	5,970,000		5,863,757		5,915,434
Blount International, Inc.	Capital Equipment	Senior Secured First Lien Term loans(4) LIBOR + 6.250%, 1.000% Floor	4/12/2023	1,995,000		1,959,438		1,981,634
Cardenas Markets LLC	Retail	Senior Secured First Lien Term loans(4) LIBOR + 5.750%, 1.000% Floor	11/29/2023	6,500,000		6,435,814		6,435,000
CD&R TZ Purchaser, Inc.	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	7/21/2023	6,483,750		6,392,086		6,289,238
CP OpCo, LLC	Services: Consumer	Senior Secured First Lien Term loans(3)(4) LIBOR + 4.500%, 1.000% Floor	3/31/2019	564,956		564,956		564,956
CP OpCo, LLC	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 4.500%, 1.000% Floor	3/31/2019	840,996		840,996		840,996
CP OpCo, LLC	Services: Consumer	Senior Secured First Lien Term loans(4)(5) LIBOR + 4.500%, 1.000% Floor	3/31/2019	350,415		350,415		350,415
CP OpCo, LLC	Services: Consumer	Senior Secured First Lien Term loans(4)(5) LIBOR + 6.000%, 1.000% Floor	3/31/2019	2,478,388		1,195,026		1,239,194
CP OpCo, LLC	Services: Consumer	Senior Secured First Lien Term loans(4)(5) LIBOR + 6.000%, 1.000% Floor	3/31/2019	1,558,081		—		—
CP OpCo, LLC	Services: Consumer	Common Units	—	—		—		—
CRGT Inc.	High Tech Industries	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	12/19/2020	4,068,160		4,060,486		4,068,160
Elite Comfort Solutions LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	1/15/2021	10,000,000		10,000,000		10,100,000
Explorer Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	5/2/2023	1,243,750		1,232,468		1,252,208
GK Holdings, Inc.	Services: Business	Senior Secured First Lien Term loan(4) LIBOR + 5.500%, 1.000% Floor	1/20/2021	4,029,298		4,009,681		4,109,884
GTCR Valor Companies, Inc.	Media:  Diversified & Production	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	6/16/2023	8,955,000		8,621,284		8,843,063
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 4.750%, 1.000% Floor	10/31/2023	3,000,000		2,971,068		2,970,000
High Ridge Brands Co.	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	6/30/2022	3,109,375		3,064,948		3,062,734

F-35

Company	Industry	Type of Investment	Maturity	Par Amount	Cost	Fair Value(1)
HNC Holdings, Inc.	Construction & Building	Senior Secured First Lien Term loans(4) LIBOR + 4.500%, 1.000% Floor	10/5/2023	165,000	164,199	166,650
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	3/30/2022	5,961,841	5,913,053	6,021,459
Keurig Green Mountain, Inc.	Beverage & Food	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	3/3/2023	3,100,783	3,063,634	3,100,783
Keystone Peer Review Organization Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) ABR + 4.00%, 3.75% ABR Floor	12/28/2022	6,000,000	6,000,000	5,940,000
Kraton Polymers LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	1/6/2022	5,000,000	4,828,278	5,050,000
MB Aerospace ACP Holdings II Corp.	Aerospace and Defense	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	12/15/2022	6,932,481	6,872,697	6,932,481
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,980,000	3,944,879	3,970,050
New Media Holdings II LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term loans(4) LIBOR + 6.250%, 1.000% Floor	6/4/2020	5,909,552	5,888,526	5,909,552
O2 Partners, LLC	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	10/7/2022	6,483,750	6,421,171	6,418,913
Pomeroy Group LLC	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	11/30/2021	5,170,611	5,027,692	5,015,493
PT Network, LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	11/30/2021	3,000,000	3,000,000	3,000,000
Quorum Health Corporation	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.750%, 1.000% Floor	4/29/2022	4,440,779	4,361,538	4,340,862
SCS Holdings I Inc.	Wholesale	Senior Secured First Lien Term loans(4) LIBOR + 4.250%, 1.000% Floor	10/30/2022	3,933,849	3,867,902	3,924,014
Southwest Dealer Services, Inc.	Automotive	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	3/16/2020	4,620,675	4,620,675	4,615,315
Sundial Group Holdings LLC	Consumer Goods: Non-Durable	Senior Secured First Lien Term loans(4) LIBOR + 6.250%, 1.000% Floor	10/19/2021	5,775,000	5,682,389	5,775,000
Survey Sampling International, LLC	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	12/16/2020	2,977,265	2,952,089	2,996,349
TaxAct, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 6.000%, 1.000% Floor	1/3/2023	3,009,259	2,938,091	3,009,259
The Garretson Resolution Group, Inc.	Services: Business	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	5/22/2021	4,843,750	4,843,750	4,862,931
TrialCard Incorporated	Services: Consumer	Senior Secured First Lien Term loans(4) LIBOR + 5.250%, 1.000% Floor	10/26/2021	7,000,000	6,932,567	7,000,000
Valence Surface Technologies, Inc.	Aerospace and Defense	Senior Secured First Lien Term loans(4) LIBOR + 5.500%, 1.000% Floor	6/13/2019	3,688,249	3,664,493	3,571,737
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term loans(4) LIBOR + 5.000%, 1.000% Floor	6/1/2023	5,970,000	5,914,339	5,910,300
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term loans(4) LIBOR + 7.500%, 1.000% Floor	10/29/2021	1,621,005	1,598,430	1,637,215
Western Digital Corporation	High Tech Industries	Senior Secured First Lien Term loans(4) LIBOR + 3.750%, 0.750% Floor	4/29/2023	3,781,000	3,707,843	3,818,810

F-36

Company	Industry	Type of Investment	Maturity	Par Amount		Cost		Fair Value(1)
Z Gallerie, LLC	Retail	Senior Secured First Lien Term loans(4) LIBOR + 6.500%, 1.000% Floor	10/8/2020	4,924,812		4,924,812		4,924,812
Total				$	187,314,127	$	182,356,648	$	183,657,487

___________________________ 

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

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

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

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

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

Below is certain summarized financial information for the Sierra JV as of June 30, 2017 and December 31, 2016 and for the three and six months ended June 30, 2017 and 2016.

	June 30, 2017		December 31, 2016
Selected Consolidated Statement of Assets and Liabilities Information:
Investments in loans at fair value (cost: $227,407,277 and 182,356,648, respectively)	$	227,304,976	$	183,657,487
Cash and cash equivalents	12,582,339		8,222,344
Other Assets	983,373		700,901
Total Assets	$	240,870,688	$	192,580,732
Senior credit facility payable (net of deferred financing costs of $2,307,857 and $1,286,453, respectively)	157,642,143		122,624,547
Other liabilities	547,189		442,541
Interest payable	491,825		369,942
Total liabilities	$	158,681,157	$	123,437,030
Members’ capital	82,189,531		69,143,702
Total liabilities and members' capital	$	240,870,688	$	192,580,732

	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Selected Consolidated Statement of Operations Information:
Total investment income	$	3,883,441		$	2,346,458		$	7,359,470		$	4,223,445
Total expenses	(1,958,547		)	(1,164,218		)	(3,452,879		)	(2,088,359		)
Net change in unrealized appreciation/(depreciation) of investments	(1,284,215		)	281,260			(1,302,406		)	59,660
Net realized gain/(loss) of investments	170,508			72,620			592,377			92,014
Net income/(loss)	$	811,187		$	1,536,120		$	3,196,562		$	2,286,760

Note 4. Fair Value Measurements

The Company follows ASC 820 for measuring the fair value of portfolio investments. Fair value is the price that would be received in the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Where available, fair value is based on observable market prices or parameters, or derived from such prices or parameters. Where observable prices or inputs are not available, valuation models are applied. These valuation models involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or market and the instruments’ complexity. The Company’s fair value analysis includes an analysis of the value of any unfunded loan commitments. Financial investments recorded at fair value in the consolidated financial statements are categorized for disclosure purposes based upon the level of judgment associated with the inputs used to measure their value. The valuation hierarchical levels are based upon the transparency of the inputs to the valuation of the investment as of the measurement date. The three levels are defined as follows. Investments which are valued using NAV as a practical expedient are excluded from this hierarchy:

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

F-37

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

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

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

The following table presents the fair value measurements of the Company’s total investments, by major class according to the fair value hierarchy, as of June 30, 2017:

Type of Investment (1)	Level 1		Level 2		Level 3		Total
Asset
Senior secured first lien term loans	$	—	$	—	$	554,483,888	$	554,483,888
Senior secured first lien notes	—		16,135,161		46,280,483		62,415,644
Senior secured second lien term loans	—		—		272,997,476		272,997,476
Subordinated notes	—		—		57,182,954		57,182,954
Warrants/equity	874,727		—		43,588,712		44,463,439
Total	$	874,727	$	16,135,161	$	974,533,513	$	991,543,401
Sierra Senior Loan Strategy JV I LLC							$	71,795,680
Total Investments, at fair value							$	1,063,339,081

 ________________________________

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

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

Derivative Instrument-Long Exposure	Level 1		Level 2		Level 3		Total
Liability
Total return swap with Citibank, N.A.	$	—	$	—	$	3,451,060	$	3,451,060

F-38

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

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

 ________________________________

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

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

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

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the six months ended June 30, 2017:

	Senior Secured First Lien Term Loans			Senior Secured First Lien Notes			Senior Secured Second Lien Term Loans			Subordinated Notes			Warrants/ Equity			Total Return Swap			Total
Balance, December 31, 2016	$	493,340,277		$	46,429,960		$	260,008,735		$	55,185,590		$	40,879,809		$	(13,647,330	)	$	882,197,041
Purchases	126,086,837			2,479,999			31,925,749			15,213,374			13,148,772			—			188,854,731
Sales	(62,911,665		)	(2,890,699		)	(17,849,949		)	(7,708,178		)	(9,875,463		)	—			(101,235,954		)
Transfers in	—			9,720,000			—			—			—			—			9,720,000
Transfers out	—			(8,622,686		)	—			—			—			—			(8,622,686		)
Amortization of discount/(premium)	443,839			40,398			15,132			—			—			—			499,369
Paid-in-kind interest income	2,858,448			—			—			—			—			—			2,858,448
Net realized gains/(losses)	(10,946,881		)	(1,878,557		)	123,315			(107,130		)	(3,642,142		)	—			(16,451,395		)
Net change in unrealized appreciation/(depreciation)	5,613,033			1,002,068			(1,225,506		)	(5,400,702		)	3,077,736			10,196,270			13,262,899
Balance, June 30, 2017	$	554,483,888		$	46,280,483		$	272,997,476		$	57,182,954		$	43,588,712		$	(3,451,060	)	$	971,082,453
Change in net unrealized appreciation/(depreciation) in investments held as of June 30, 2017(1)	$	(1,928,766	)	$	(831,086	)	$	(933,158	)	$	(5,302,525	)	$	402,830		$	10,196,270		$	1,603,565

 __________________________

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

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the six months ended June 30, 2017, the Company recorded $8,622,686 in transfers from Level 3 to Level 2 and $9,720,000 in transfers from Level 2 to Level 3 due to availability of market data and observable valuation inputs to support the valuation. The Company recorded no other transfers between levels.

The following table provides a reconciliation of the beginning and ending balances for total investments that use Level 3 inputs for the six months ended June 30, 2016:

F-39

	Senior Secured First Lien Term Loans			Senior Secured First Lien Notes			Senior Secured Second Lien Term Loans			Subordinated Notes			Warrants/ Equity			Total Return Swap			Total
Balance, December 31, 2015	$	514,638,092		$	47,477,500		$	278,645,464		$	—		$	13,243,836		$	(27,365,819	)	$	826,639,073
Purchases	41,754,616			—			21,288,750			38,831,300			8,574,874			—			110,449,540
Sales	(76,353,894		)	1,130,197			(11,000,000		)	(356,677		)	—			—			(86,580,374		)
Transfers in	—			1,786,890			—			—			—			—			1,786,890
Transfers out	—			(7,344,926		)	—			—			—			—			(7,344,926		)
Amortization of discount/(premium)	162,089			(5,235		)	233,009			—			—			—			389,863
Paid-in-kind interest income	3,087,839			—			70,754			—			327,938			—			3,486,531
Net realized gains/(losses)	87,124			30,303			32,317			—			—			—			149,744
Net change in unrealized appreciation/(depreciation)	(7,529,063		)	130,590			(1,766,803		)	356,677			(1,085,792		)	4,029,231			(5,865,160		)
Balance, June 30, 2016	$	475,846,803		$	43,205,319		$	287,503,491		$	38,831,300		$	21,060,856		$	(23,336,588	)	$	843,111,181
Change in net unrealized appreciation/(depreciation) in investments held as of June 30, 2016(1)	$	(7,706,116	)	$	266,169		$	(3,192,138	)	$	356,677		$	(1,085,793	)	$	4,029,231		$	(7,331,970	)

 _____________________

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

Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in which they occur. During the six months ended June 30, 2016, the Company recorded $7,344,926 in transfers from Level 3 to Level 2 and $1,786,890 in transfers from Level 2 to Level 3 due to availability of market data and observable valuation inputs to support the valuation. The Company recorded no other transfers between levels.

The following table presents the quantitative information about Level 3 fair value measurements of the Company’s total investments, as of June 30, 2017:

Type of Investment	Fair Value		Valuation techniques	Unobservable input(1)	Range (weighted average)
Senior Secured First Lien Term Loan	$	365,638,364	Income Approach (DCF)	Market yield	6.22% - 18.41% (9.73%)
Senior Secured First Lien Term Loan	11,225,781		Market Approach (Guideline Comparable)	LTM and 2017 Revenue Multiples	0.60x - 1.25x (0.79x) / 0.60x - 1.25x (0.79x)
Senior Secured First Lien Term Loan	7,205,497		Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue, 2017 Revenue, Discount Rate	1.25x - 1.45x (1.35x) / 1.25x - 1.45x (1.35x) / 15.50% - 17.50% (16.50%)
Senior Secured First Lien Term Loan	1,097,738		Enterprise Value Analysis	Expected Proceeds	$1.0M - $1.2M ($1.1M)
Senior Secured First Lien Term Loan	24,964,272		Market Approach (Guideline Comparable)/Income Approach (DCF)	2017 Revenue Multiple, 2017 EBITDA Multiple, Discount rate	1.13x - 3.00x (2.24x) / 6.00x - 7.50x (6.89x) / 15.50% - 18.00% (16.52%),
Senior Secured First Lien Term Loan	19,190,858		Market Approach (Guideline Comparable)/Market Approach (Comparable Transactions)/Income Approach (DCF)	Run-Rate Revenue Multiple, 2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	0.60x - 1.30x (0.95x)/0.60x - 1.30x (0.95x)/6.50x - 10.50x (8.50x)/16.50% - 20.50% (18.50%)
Senior Secured First Lien Term Loan	3,216,510		Market Approach (Guideline Company)	LTM Revenue Multiple, 2017 Revenue Multiple, LTM EBITDA Multiple, 2017 EBITDA Multiple	0.5x - 1.00x (0.75x) / 0.5x - 1.00x (0.75x) /4.00x-5.00x (4.50x) /4.00x-5.00x (4.50x)
Senior Secured First Lien Term Loan	6,462,483		Income Approach (DCF)/Enterprise Value Analysis	Discount Rate/Expected Proceeds	19.50% - 21.50% (20.50) / $55.0M - $55.0M ($55.0M)
Senior Secured First Lien Term Loan	115,482,385		Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured First Lien Note	46,157,825		Income Approach (DCF)	Market Yield	7.29% - 11.97% (9.30%)
Senior Secured First Lien Note	122,658		Enterprise Valuation Analysis	Expected Proceeds	$0.1M - $0.2M ($0.1M)
Senior Secured Second Lien Term Loan	228,604,813		Income Approach (DCF)	Market yield	8.67% - 14.13% (9.62%)
Senior Secured Second Lien Term Loan	33,939,437		Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured Second Lien Term Loan	543,120		Market Approach (Guideline Comparable)	LTM EBITDA Multiple	6.50x-7.50x (7.00x)
Senior Secured Second Lien Term Loan	—		Market Approach (Guideline Comparable)	LTM Revenue Multiple, LTM EBITDA Multiple	0.30x - 0.50x (0.40x) / 3.0x - 4.0x (3.5x)

F-40

Type of Investment	Fair Value			Valuation techniques	Unobservable input(1)	Range (weighted average)
Senior Secured Second Lien Term Loan	9,910,106			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue Multiple, 2017 Revenue Multiple, LTM EBITDA Multiple, 2017 EBITDA Multiple, Discount Rate	0.50x-0.70x(0.60x) / 0.40x-0.60x(0.50x) / 8.50x-9.50x (9.00x)/ 7.75x-8.75x (8.25x) / 17.50%-21.50% (19.50%)
Equity/Warrants	—			Enterprise Valuation Analysis	Expected Proceeds	$0.0M - $0.0M ($0.0M)
Preferred Equity	5,346,249			Income Approach (DCF)	Market Yield	17.01%-17.01% (17.01%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	2017 Revenue Multiple, 2017 EBITDA Multiple, Discount rate	1.13x - 3.00x (2.24x) / 6.00x - 7.50x (6.89x) / 15.50% - 18.00% (16.52%),
Equity/Warrants	—			Market Approach (Guideline Comparable)/Market Approach (Comparable Transactions)/Income Approach (DCF)	Run-Rate Revenue Multiple, 2017 Revenue Multiple, 2017 EBITDA Multiple, Discount Rate	0.60x - 1.30x (0.95x)/0.60x - 1.30x (0.95x)/6.50x - 10.50x (8.50x)/16.50% - 20.50% (18.50%)
Equity/Warrants	183,400			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue, 2017 Revenue, Discount Rate	1.25x - 1.45x (1.35x) / 1.25x - 1.45x (1.35x) / 15.5% - 17.5% (16.50%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	LTM EBITDA Multiple	12.50x - 13.50x (12.50x)
Equity/Warrants	1,141,750			Market Approach (Guideline Comparable)	LTM and 2017 EBITDA Multiple	8.25x-9.00x (8.91x) /8.25x-8.75x (8.47x)
Equity/Warrants	3,835,540			Market Approach (Guideline Comparable)	LTM and NTM EBITDA Multiple	8.50x-9.50x (9.00x) /7.50x-8.50x (8.0x)
Equity/Warrants	1,170,254			Market Approach (Guideline Comparable) / Income Approach (DCF)	LTM and 2017 EBITDA Multiple, Discount Rate	4.50x-5.50x (5.00x) /4.50x-5.50x (5.00x) / 14.50% - 16.50% (15.50%)
Preferred Equity	1,646,250			Market Approach (Guideline Comparable)	Book Value Multiple	1.00x-1.50x (1.25x)
Preferred Equity	5,400,000			Income Approach (DCF)	Discount Rate	20.00% - 28.00% (24.00%)
Equity/Warrants	24,865,269			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Subordinated Notes	41,969,580			Income Approach (DCF)	Discount Rate	10.00% - 14.00% (11.33%)
Subordinated Notes	15,213,374			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Total	$	974,533,513
Total Return Swap	(3,451,060		)	Income Approach (DCF)	Market yield	4.94% - 31.16% (7.45%)
Total	$	971,082,453

 _________________________________

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

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

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

F-41

Type of Investment	Fair Value			Valuation techniques	Unobservable input(1)	Range (weighted average)
Senior Secured First Lien Notes	32,142,804			Income Approach (DCF)	Market yield	7.57% - 115.94% (12.85%)
Senior Secured First Lien Notes	6,105,000			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured First Lien Notes	157,156			Enterprise Valuation Analysis	Estimated Liquidation Proceeds	$45.9M - $73.2M ($59.7M)
Senior Secured Second Lien Term Loan	242,539,805			Income Approach (DCF)	Market yield	8.29% - 10.05% (73.13%)
Senior Secured Second Lien Term Loan	6,472,505			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Senior Secured Second Lien Term Loan	—			Market Approach (Guideline Comparable)	LTM Revenue Multiple, LTM EBITDA Multiple	0.5 - 1.0x (0.75x) / 6.0x - 7.0x (6.5x)
Senior Secured Second Lien Term Loan	10,996,425			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM Revenue Multiple, NTM Revenue Multiple, LTM EBITDA Multiple, NTM EBITDA Multiple, Discount Rate	0.40x-0.60x(0.50x) /0.40x-0.60x(0.50x) / 8.25x-9.25x (8.75x)/ 7.50x-8.50x (8.00x)/17.50%-21.50% (19.50%)
Equity/Warrants	—			Enterprise Valuation Analysis	Estimated Liquidation Proceeds	$45.9M - $73.2M ($59.7M)
Equity/Warrants	967,238			Market Approach (Guideline Comparable)/Income Approach (DCF)	LTM EBITDA, Run-Rate Multiple, Discount rate	7.00x - 8.00x (7.50x)/7.00x - 8.00x (7.50x) / 16.00%-18.00% (17.00%)
Equity/Warrants	5,051,193			Income Approach (DCF)	Market Yield	17.45%-17.45% (17.45%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	NTM Revenue Multiple, NTM EBITDA Multiple, Discount Rate	0.40x - 1.00x (0.90x)/5.00x - 7.00x (6.65x)/17.50% - 18.00% (17.59%)
Equity/Warrants	—			Market Approach (Guideline Comparable)/Income Approach (DCF)	Run-Rate Revenue Multiple, Run-Rate EBITDA Multiple, Discount Rate	0.50x - 1.00x (0.75x)/5.50x - 6.50x (6.00x)/18.50% - 21.50% (20.00%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	Revenue Generating Units	$393.75 - $525.00 ($459.38)
Equity/Warrants	—			Market Approach (Guideline Comparable)	NTM Revenue Multiple, Discount Rate	2.75x-3.25x (3.00x) /14.00%-16.00% (15.00%)
Equity/Warrants	—			Market Approach (Guideline Comparable)	LTM EBITDA Multiple	12.5x - 13.5x (0.0x)
Equity/Warrants	4,265,419			Market Approach (Guideline Comparable) / Precedent Transaction	LTM and NTM EBITDA Multiple	4.50x-8.00x (7.10x) /4.50x-7.50x (6.72x)
Equity/Warrants	16,095,959			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Subordinated Notes	55,185,590			Income Approach (DCF)	Discount Rate	11.50% - 15.00% (13.21%)
Subordinated Notes	14,500,000			Recent Arms-length transaction	Recent Arms-length transaction	N/A
Total	$	895,844,371
Total Return Swap	(13,647,330		)	Income Approach (DCF)	Market yield	4.43% - 73.13% (9.56%)
Total	$	882,197,041

 ________________________________

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

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

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

Note 5. Total Return Swap

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

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

F-42

SIC Advisors acts as the investment manager of Arbor and has discretion over the composition of the basket of loans underlying the TRS. The terms of the TRS are governed by an ISDA 2002 Master Agreement, the Schedule thereto and Credit Support Annex to such Schedule, and the Confirmation exchanged thereunder, between Arbor and Citibank, which collectively establish the TRS, and are collectively referred to herein as the “TRS Agreement”. On March 21, 2014, Arbor amended and restated its Confirmation Letter Agreement (the “Amended Confirmation Agreement”) with Citibank. The Amended Confirmation Agreement increased the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $100 million to $200 million, and increased the interest rate payable to Citibank from LIBOR plus 1.30% per annum to LIBOR plus 1.35% per annum. On July 23, 2014, Arbor entered into the Second Amended and Restated Confirmation Letter Agreement with CitiBank to increase the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $200 million to $350 million. On June 8, 2015, Arbor entered into the Third Amended and Restated Confirmation Letter Agreement with CitiBank to decrease the maximum market value (determined at the time each such loan becomes subject to the TRS) of the portfolio of loans that Arbor may select from $350 million to $300 million. On March 21, 2016, Arbor entered into the Fourth Amended and Restated Confirmation Letter Agreement (the “Fourth Amended Confirmation Agreement”) with Citibank to extended the term of the TRS from March 21, 2016 through March 21, 2019 and increased the interest rate payable to Citi from LIBOR plus 1.35% per annum to LIBOR plus 1.65% per annum.

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

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

Arbor is required to pay a minimum usage fee in connection with the TRS of 1.65% on the amount equal to 85% of the average daily unused portion of the maximum amount permitted under the TRS. Such minimum usage fee will not apply during the first 365 days and last 60 days of the term of the TRS. Arbor will also pay Citibank customary fees in connection with the establishment and maintenance of the TRS. During the three and six months ended June 30, 2017, Arbor paid $8,301 and $55,138 in minimum usage fees, respectively. During the three and six months ended June 30, 2016, Arbor paid $178,809 and $340,976, respectively, in minimum usage fees.

Arbor is required to initially cash collateralize a specified percentage of each loan (generally 25% to 35% of the market value of such loan) included under the TRS in accordance with margin requirements described in the TRS Agreement. As of June 30, 2017 and December 31, 2016, Arbor has posted $75,500,000 and $79,620,942, respectively, in collateral to Citibank in relation to the TRS which is recorded on the consolidated statements of assets and liabilities as cash collateral on total return swap. Arbor may be required to post additional collateral from time to time as a result of a decline in the mark-to-market value of the portfolio of loans subject to the TRS. The obligations of Arbor under the TRS Agreement are non-recourse to the Company and the Company’s exposure under the TRS Agreement is limited to the value of the Company’s investment in Arbor, which generally equals the value of cash collateral provided by Arbor under the TRS Agreement.

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

The Company’s maximum credit risk exposure as of June 30, 2017 and December 31, 2016 is $77,398,828 and $80,910,105, respectively, which is recorded on the consolidated statements of assets and liabilities as cash collateral on total return swap and receivable due on total return swap.

F-43

The Company’s receivable from Citibank represents realized amounts from payments on underlying loans in the total return swap portfolio that as of June 30, 2017 and December 31, 2016 was $1,898,828 and $1,289,163, respectively, which is recorded on the consolidated statements of assets and liabilities as receivable due on total return swap. The Company does not offset collateral posted in relation to the TRS with any unrealized appreciation or depreciation outstanding in the consolidated statements of assets and liabilities as of June 30, 2017 or December 31, 2016.

Transactions in total return swap contracts during the three and six months ended June 30, 2017 and 2016 were as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Interest income and settlement from TRS portfolio	$	2,222,742		$	2,014,088		$	4,397,745		$	4,442,382
Traded gains/(loss) on TRS loan sales	(9,812,704		)	(359,361		)	(9,268,356		)	(357,743		)
Net realized gains/(loss) on TRS portfolio	$	(7,589,962	)	$	1,654,727		$	(4,870,611	)	$	4,084,639
Net change in unrealized appreciation/(depreciation) on TRS portfolio	$	10,300,626		$	6,704,542		$	10,196,270		$	4,029,231

The Company held one derivative position as of June 30, 2017 and December 31, 2016 subject to a Master Agreement (“MA”). The following table represents the Company’s gross and net amounts after offset under the MA, of the derivative assets and liabilities presented by derivative type net of the related collateral pledged by the Company as of June 30, 2017 and December 31, 2016:

	Gross Derivative  Assets/ (Liabilities) Subject to MA			Derivative Amount Available for Offset		Net Amount Presented in the Consolidated Statements of Assets and Liabilities			Cash Collateral (received)/pledged (1)		Net Amount of Derivative Assets/(Liabilities)
June 30, 2017
Total Return Swap(1)	$	(3,451,060	)	$	—	$	(3,451,060	)	$	3,451,060	$	—
December 31, 2016
Total Return Swap(1)	$	(13,647,330	)	$	—	$	(13,647,330	)	$	13,647,330	$	—

 ______________________________

(1) As of June 30, 2017 and December 31, 2016, $75,500,000 and $79,620,942, respectively, of cash was posted for initial margin requirements for the total return swap as reported on the consolidated statements of assets and liabilities as cash collateral on total return swap.

The following table shows the volume of the Company’s derivative transactions for the three and six months ended June 30, 2017 and 2016.

	Three Months Ended June 30,				Six Months Ended June 30,
	2017		2016		2017		2016
Average notional par amount of contracts	$	254,095,027	$	213,604,209	$	248,586,810	$	212,568,530

The following is a summary of the TRS reference assets as of June 30, 2017:

Company(1)	Industry	Type of Investment	Maturity	Par Amount		Initial Notional Cost(2)		Fair Value		Unrealized Appreciation/ (Depreciation)
Acrisure, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7)  LIBOR + 5.000%, 1.000% Floor	11/22/2023	$	2,500,000	$	2,475,000	$	2,493,750	$	18,750
Almonde, Inc.	High Tech Industries	Senior Secured First Lien Term Loans(6)   LIBOR + 3.500%, 1.000% Floor	6/13/2024	1,000,000		995,000		999,630		4,630
Almonde, Inc.	High Tech Industries	Senior Secured Second Lien Term Loans(5)   LIBOR + 7.250%, 1.000% Floor	6/13/2025	500,000		495,000		508,570		13,570
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term Loans(5)   LIBOR + 5.500%, 1.000% Floor	9/2/2023	2,985,000		2,955,150		2,900,584		(54,566		)
AmWINS Group, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured Second Lien Term Loans(5)   LIBOR + 6.750%, 1.000% Floor	1/25/2025	4,000,000		3,970,000		4,070,000		100,000
ANVC Merger Corp.	Aerospace & Defense	Senior Secured First Lien Term Loans(7)   LIBOR + 4.500%, 1.000% Floor	2/18/2021	4,655,281		4,608,728		4,661,100		52,372

F-44

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost(2)	Fair Value	Unrealized Appreciation/ (Depreciation)
AP Gaming I, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(5)   LIBOR + 5.500%, 1.000% Floor	2/15/2024	4,000,000	3,990,000	4,026,680	36,680
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5)   LIBOR + 3.000%, 1.000% Floor	8/4/2022	980,037	975,137	984,938	9,801
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5)   LIBOR + 3.250%, 1.000% Floor	11/3/2023	1,965,000	1,965,000	1,972,978	7,978
Atrium Innovations, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(3)(4)(7)  LIBOR + 3.500%, 1.000% Floor	2/15/2021	4,987,273	4,981,039	5,002,883	21,844
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans(5)   LIBOR + 4.000%, 1.000% Floor	3/11/2024	4,000,000	3,990,000	4,005,000	15,000
Avantor Performance Materials Holdings, LLC	Chemicals, Plastics & Rubber	Senior Secured Second Lien Term Loans(5)   LIBOR + 8.250%, 1.000% Floor	3/10/2025	1,000,000	990,000	1,020,000	30,000
Blucora, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(4)(7)   LIBOR + 3.750%, 1.000% Floor	5/22/2024	2,400,000	2,388,000	2,418,000	30,000
Brand Energy & Infrastructure Services, Inc.	Construction & Building	Senior Secured First Lien Term Loans(6)   LIBOR + 4.250%, 1.000% Floor	6/21/2024	6,925,000	6,855,750	6,994,250	138,500
BCPE Eagle Buyer LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(5)   LIBOR + 4.250%, 1.000% Floor	3/16/2024	5,000,000	4,950,000	5,012,500	62,500
Comfort Holding, LLC	Consumer Goods:  Durable	Senior Secured First Lien Term Loans(6)   LIBOR + 4.750%, 1.000% Floor	2/5/2024	7,000,000	6,930,000	6,991,250	61,250
Comfort Holding, LLC	Consumer Goods:  Durable	Senior Secured Second Lien Term Loans(6)   LIBOR + 10.000%, 1.000% Floor	2/3/2025	1,500,000	1,440,000	1,440,000	—
ConvergeOne Holdings Corp.	Telecommunications	Senior Secured First Lien Term Loans(3)(7) LIBOR + 4.750%, 1.000% Floor	6/20/2024	2,425,000	2,400,750	2,400,750	—
CPI Holdco, LLC	Capital Equipment	Senior Secured First Lien Term Loans(7)   LIBOR + 4.000%, 1.000% Floor	3/21/2024	10,000,000	9,950,000	10,037,500	87,500
CT Technologies Intermediate Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(5)   LIBOR + 4.250%, 1.000% Floor	12/1/2021	1,000,000	980,000	996,250	16,250
DiversiTech Holdings, Inc.	Wholesale	Senior Secured First Lien Term Loans(7)   LIBOR + 3.500%, 1.000% Floor	6/3/2024	2,000,000	1,995,000	2,001,260	6,260
Encompass Digital Media, Inc	Media:  Broadcasting & Subscription	Senior Secured First Lien Term Loans(7)   LIBOR + 4.500%, 1.000% Floor	6/6/2021	4,862,500	4,838,188	4,619,375	(218,813	)
EVO Payments International, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5)   LIBOR + 5.000%, 1.000% Floor	12/22/2023	2,992,500	2,962,575	3,018,684	56,109
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(7)   LIBOR + 7.000%, 1.000% Floor	8/31/2020	1,222,222	1,100,000	1,139,722	39,722
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(7)   LIBOR + 7.125%, 1.250% Floor	9/30/2020	1,650,000	1,641,125	1,299,375	(341,750	)
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured Second Lien Term Loans(7)   LIBOR + 7.125%, 1.250% Floor	9/30/2020	2,596,305	2,676,375	1,434,459	(1,241,916	)
First Data Corporation	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(4)(5)   LIBOR + 2.250%, 0.000% Floor	7/8/2022	3,982,034	3,978,284	3,973,950	(4,334	)
Global Eagle Entertainment Inc.	Telecommunications	Senior Secured First Lien Term Loans(4)(7) LIBOR + 7.000%, 1.000% Floor	1/6/2023	4,200,000	4,122,000	4,122,006	6
Hudson Products Holdings Inc	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	3/15/2019	1,710,904	1,702,350	1,574,032	(128,318	)
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans(3)(7)   LIBOR + 4.750%, 1.000% Floor	6/21/2022	6,000,000	5,940,000	5,940,000	—

F-45

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost(2)	Fair Value	Unrealized Appreciation/ (Depreciation)
Iqor US Inc.	Services:  Business	Senior Secured First Lien Term Loans(7)   LIBOR + 5.000%, 1.000% Floor	4/1/2021	7,552,381	7,401,333	7,480,633	79,300
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loans(7)   LIBOR + 8.250%, 1.000% Floor	11/29/2018	3,597,045	3,496,750	3,235,398	(261,352	)
Keystone Acquisition Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(3)(7) LIBOR + 5.250%, 1.000% Floor	5/1/2024	2,346,000	2,346,000	2,346,000	—
KNB Holdings Corporation	Consumer Goods:  Durable	Senior Secured First Lien Term Loans(3)(7) LIBOR + 5.500%, 1.000% Floor	4/26/2024	2,950,000	2,912,375	2,957,375	45,000
Kronos Incorporated	Services:  Business	Senior Secured First Lien Term Loans(4)(7) LIBOR + 3.500%, 1.000% Floor	11/1/2023	2,992,500	2,977,538	3,010,455	32,917
Kronos Incorporated	Services:  Business	Senior Secured Second Lien Term Loans(4)(7) LIBOR + 8.250%, 1.000% Floor	11/1/2024	2,000,000	1,980,000	2,074,160	94,160
Leslie’s Poolmart, Inc.	Retail	Senior Secured First Lien Term Loans(6) LIBOR + 3.750%, 1.000% Floor	8/16/2023	1,994,987	1,990,000	1,999,975	9,975
Lightstone HoldCo LLC	Utilities:  Electric	Senior Secured First Lien Term Loans(5) LIBOR + 4.500%, 1.000% Floor	1/30/2024	2,992,935	2,933,076	2,910,629	(22,447	)
Livingston International, Inc.	Transportation:  Cargo	Senior Secured Second Lien Term Loans(1)(7) LIBOR + 8.250%, 1.250% Floor	4/17/2020	1,954,783	1,969,443	1,896,999	(72,444	)
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(7) LIBOR + 3.000%, 1.000% Floor	6/7/2023	4,736,311	4,722,630	4,732,617	9,987
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,970,000	3,930,300	3,964,998	34,698
Neustar, Inc.	High Tech Industries	Senior Secured First Lien Term Loans(3)(4)(5) LIBOR + 3.750%, 1.000% Floor	3/1/2024	2,000,000	1,990,000	2,011,880	21,880
Neustar, Inc.	High Tech Industries	Senior Secured Second Lien Term Loans(3)(4)(5) LIBOR + 8.000%, 1.000% Floor	3/1/2025	1,000,000	985,000	1,011,250	26,250
New Media Holdings II LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans(3)(5) LIBOR + 6.250%, 1.000% Floor	6/4/2020	950,000	952,375	944,063	(8,312	)
Nine West Holdings, Inc.	Consumer Goods:  Non-durable	Senior Secured First Lien Term Loans(7)  LIBOR + 3.750%, 1.000% Floor	10/8/2019	5,758,716	5,744,319	4,866,115	(878,204	)
O2 Partners, LLC	Consumer Goods:  Non-durable	Senior Secured First Lien Term Loans(7) LIBOR + 5.000%, 1.000% Floor	10/7/2022	1,492,500	1,477,575	1,477,575	—
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loans(7) LIBOR + 3.000%, 1.000% Floor	1/26/2023	8,900,037	8,761,885	8,032,284	(729,601	)
PetroChoice Holdings, Inc.	Chemicals, Plastics & Rubber	Senior Secured First Lien Term Loans(6)  LIBOR + 5.000%, 1.000% Floor	8/21/2022	4,987,342	4,987,342	4,987,342	—
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loans(5)  LIBOR + 5.750%, 1.000% Floor	7/27/2020	2,855,534	2,826,979	2,409,357	(417,622	)
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loans(5) LIBOR + 7.250%, 1.000% Floor	10/21/2024	6,500,000	6,472,500	6,522,035	49,535
Rackspace Hosting, Inc.	Services:  Business	Senior Secured First Lien Term Loans(5) LIBOR + 3.000%, 1.000% Floor	11/3/2023	3,491,250	3,478,781	3,487,968	9,187
Resolute Investment Managers, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 4.250%, 1.000% Floor	4/30/2022	1,929,838	1,923,879	1,937,074	13,195
Rough Country, LLC	Automotive	Senior Secured First Lien Term Loans(5) LIBOR + 4.500%, 1.000% Floor	5/25/2023	2,950,000	2,920,500	2,920,500	—
SCS Holdings I Inc.	Wholesale	Senior Secured First Lien Term Loans(5) LIBOR + 4.250%, 1.000% Floor	10/30/2022	1,419,599	1,416,050	1,428,472	12,422

F-46

Company(1)	Industry	Type of Investment	Maturity	Par Amount		Initial Notional Cost(2)		Fair Value		Unrealized Appreciation/ (Depreciation)
SESAC Holdco II LLC	Media:  Broadcasting & Subscription	Senior Secured Second Lien Term Loans(7) LIBOR + 7.250%, 1.000% Floor	2/24/2025	2,000,000		1,980,000		1,997,500		17,500
Silversea Cruise Finance	Hotel, Gaming & Leisure	Senior Secured First Lien Notes 7.250%	2/1/2025	1,000,000		1,000,000		1,066,250		66,250
Sungard Availability Services Capital Inc.	Services:  Business	Senior Secured First Lien Term Loans(5) LIBOR + 5.000%, 1.000% Floor	4/1/2019	7,989,438		7,956,046		7,902,912		(53,134		)
Tecostar Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(7) LIBOR + 3.750%, 1.000% Floor	5/1/2024	1,500,000		1,492,500		1,498,755		6,255
Tensar Corporation	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 4.750%, 1.000% Floor	7/9/2021	11,114,962		11,003,812		10,350,808		(653,004		)
TouchTunes Interactive Networks, Inc.	Media: Diversified & Production	Senior Secured First Lien Term Loans(3)(7) LIBOR + 4.750%, 1.000% Floor	5/28/2021	950,000		955,938		955,938		—
TCH-2 Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(5) LIBOR + 4.000%, 1.250% Floor	5/6/2021	6,209,223		6,162,131		6,232,508		70,377
TRC Companies, Inc.	Services:  Business	Senior Secured First Lien Term Loans(5) LIBOR + 4.000%, 1.000% Floor	6/21/2024	2,000,000		1,990,000		2,008,340		18,340
tronc, Inc.	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans(4)(5) LIBOR + 4.750%, 1.000% Floor	8/4/2021	6,805,556		6,737,500		6,763,021		25,521
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(5) LIBOR + 3.250%, 1.000% Floor	8/18/2023	1,245,000		1,240,025		1,246,780		6,755
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loans(5) LIBOR + 7.500%, 1.000% Floor	8/18/2024	500,000		495,000		508,750		13,750
US Shipping Partners LP	Transportation:  Cargo	Senior Secured First Lien Term Loans(5) LIBOR + 4.250%, 1.000% Floor	6/26/2021	1,688,831		1,676,165		1,557,946		(118,219		)
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(7) LIBOR + 5.000%, 1.000% Floor	6/1/2023	992,500		982,575		980,977		(1,598		)
Veresen Midstream Limited Partnership	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(4)(5) LIBOR + 3.500%, 1.000% Floor	3/31/2022	2,977,215		2,941,191		2,971,648		30,457
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 7.500%, 1.000% Floor	10/29/2021	3,195,060		3,171,430		3,227,011		55,581
YRC Worldwide Inc.	Transportation:  Cargo	Senior Secured First Lien Term loans(4)(5) LIBOR + 7.500%, 1.000% Floor	2/13/2019	9,335,920		9,324,353		9,048,374		(275,979		)
Total				$	240,864,519	$	238,945,747	$	235,022,148	$	(3,923,599	)
Total accrued interest income, net of expenses										472,539
Total unrealized depreciation on total return swap										$	(3,451,060	)

 _____________________________

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

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

(3) The referenced asset or portion thereof is unsettled as of June 30, 2017.

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

(5) The interest rate on these loans is subject to a base rate plus 1 Month (“1M”) LIBOR, which at June 30, 2017 was 1.22%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 1M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.

(6) The interest rate on these loans is subject to a base rate plus 2 Month (“2M”) LIBOR, which at June 30, 2017 was 1.25%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 2M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.

(7) The interest rate on these loans is subject to a base rate plus 3 Month (“3M”) LIBOR, which at June 30, 2017 was 1.30%. As the interest rate is subject to a minimum LIBOR floor which was greater than the 3M LIBOR rate at June 30, 2017, the prevailing rate in effect at June 30, 2017 was the base rate plus the LIBOR floor.

F-47

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

Company(1)	Industry	Type of Investment	Maturity	Par Amount		Initial Notional Cost(2)		Fair Value		Unrealized Appreciation/(Depreciation)
Acrisure, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 4.750%, 1.000% Floor	11/22/2023	$	2,500,000	$	2,475,000	$	2,527,350	$	52,350
Albertson's LLC	Retail	Senior Secured First Lien Term Loans(3)(5) LIBOR + 3.000%, 0.750% Floor	8/25/2021	2,000,000		2,000,000		2,022,080		22,080
AMC Entertainment Holdings, Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(5) LIBOR + 2.750%, 0.750% Floor	12/15/2023	2,000,000		1,995,000		2,018,500		23,500
AMF Bowling Centers, Inc	Services:  Consumer	Senior Secured First Lien Term Loans(7) LIBOR + 5.000%, 1.000% Floor	9/19/2023	6,842,500		6,739,863		6,821,151		81,288
Amplify Snack Brands, Inc.	Beverage & Food	Senior Secured First Lien Term Loans(7) LIBOR + 5.500%, 1.000% Floor	9/2/2023	3,000,000		2,970,000		2,912,490		(57,510		)
Answsers Corporation	High Tech Industries	Senior Secured First Lien Term Loans(5) LIBOR + 5.250%, 1.000% Floor	10/1/2021	14,775,000		14,257,875		7,313,625		(6,944,250		)
ANVC Merger Corp.	Aerospace & Defense	Senior Secured First Lien Term Loans(7) LIBOR + 4.500%, 1.000% Floor	2/18/2021	4,691,841		4,644,923		4,656,653		11,730
AP Gaming I, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(7) LIBOR + 8.250%, 1.000% Floor	12/21/2020	10,645,102		10,476,828		10,574,099		97,271
Astro AB Borrower, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 4.500%, 1.000% Floor	4/30/2022	965,761		960,932		974,211		13,279
Asurion, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5) LIBOR + 3.750%, 1.000% Floor	11/3/2023	1,000,000		995,000		1,013,750		18,750
Atkore International, Inc	Wholesale	Senior Secured First Lien Term Loans(3)(7) LIBOR + 3.000%, 1.000% Floor	12/22/2023	3,000,000		2,992,500		3,022,500		30,000
ConvergeOne Holdings Corp.	Telecommunications	Senior Secured First Lien Term Loans(7) LIBOR + 5.375%, 1.000% Floor	6/17/2020	2,500,000		2,462,500		2,487,500		25,000
CSP Technologies North America, LLC	Containers, Packaging & Glass	Senior Secured First Lien Term Loans(7) LIBOR + 6.000%, 1.000% Floor	1/29/2022	9,780,882		9,585,265		9,634,169		48,904
Encompass Digital Media, Inc	Media:  Broadcasting & Subscription	Senior Secured First Lien Term Loans(7) LIBOR + 4.500%, 1.000% Floor	6/6/2021	4,887,500		4,863,063		4,618,688		(244,375		)
EVO Payments International, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(3) LIBOR + 5.000%, 1.000% Floor	12/22/2023	3,000,000		2,970,000		2,970,000		—
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(7) LIBOR + 7.000%, 1.000% Floor	8/31/2020	1,222,222		1,100,000		1,155,000		55,000
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(7) LIBOR + 7.125%, 1.250% Floor	9/30/2020	1,650,000		1,641,125		1,431,375		(209,750		)
Fieldwood Energy LLC	Energy:  Oil & Gas	Senior Secured Second Lien Term Loans(7) LIBOR + 7.125%, 1.250% Floor	9/30/2020	2,596,305		2,676,375		1,817,414		(858,961		)
First Data Corporation	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5) LIBOR + 3.000%, 0.000% Floor	7/8/2022	1,000,000		1,000,000		1,010,210		10,210
Flex Acquisition Company, Inc.	Containers, Packaging & Glass	Senior Secured First Lien Term Loans(3)(7) LIBOR + 3.250%, 1.000% Floor	12/29/2023	1,000,000		995,000		1,008,330		13,330
Four Seasons Holdings Inc.	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(7) LIBOR + 3.000%, 0.750% Floor	11/30/2023	1,000,000		995,000		1,011,250		16,250
Genex Services, Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5) LIBOR + 4.250%, 1.000% Floor	5/28/2021	2,942,374		2,927,662		2,920,306		(7,356		)
GTCR Valor Companies, Inc.	Media:  Diversified & Production	Senior Secured First Lien Term Loans(7) LIBOR + 6.000%, 1.000% Floor	6/16/2023	4,987,500		4,788,000		4,925,156		137,156
Harbortouch Payments, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 4.750%, 1.000% Floor	10/13/2023	5,000,000		4,950,000		4,950,000		—

F-48

Company(1)	Industry	Type of Investment	Maturity	Par Amount	Initial Notional Cost(2)	Fair Value	Unrealized Appreciation/(Depreciation)
HNC Holdings, Inc.	Construction & Building	Senior Secured First Lien Term Loans(7) LIBOR + 4.500%, 1.000% Floor	10/5/2023	572,000	569,140	577,720	8,580
Hudson Products Holdings Inc	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	3/15/2019	1,862,892	1,853,578	1,632,360	(221,218	)
Imagine! Print Solutions, LLC	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans(7) LIBOR + 6.000%, 1.000% Floor	3/30/2022	4,977,182	4,916,266	5,026,954	110,688
Iqor US Inc.	Services:  Business	Senior Secured First Lien Term Loans(7) LIBOR + 5.000%, 1.000% Floor	4/1/2021	7,591,111	7,439,289	7,230,533	(208,756	)
Isola USA Corp.	High Tech Industries	Senior Secured First Lien Term Loans(7) LIBOR + 8.250%, 1.000% Floor	11/29/2018	3,697,045	3,595,250	3,441,172	(154,078	)
J.D. Power and Associates	Services:  Consumer	Senior Secured First Lien Term Loans(7) LIBOR + 4.250%, 1.000% Floor	9/7/2023	2,000,000	1,990,000	2,017,500	27,500
Kronos Incorporated	Services:  Business	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	11/1/2023	3,000,000	2,985,000	3,035,160	50,160
Kronos Incorporated	Services:  Business	Senior Secured Second Lien Term Loans(7) LIBOR + 8.250%, 1.000% Floor	11/1/2024	2,000,000	1,980,000	2,058,760	78,760
Lightstone HoldCo LLC	Utilities:  Electric	Senior Secured First Lien Term Loans(3) LIBOR + 5.500%, 1.000% Floor	1/30/2024	2,739,130	2,684,348	2,769,946	85,598
Lightstone HoldCo LLC	Utilities:  Electric	Senior Secured First Lien Term Loans(3) LIBOR + 5.500%, 1.000% Floor	1/30/2024	260,870	255,652	263,804	8,152
Livingston International, Inc.	Transportation:  Cargo	Senior Secured Second Lien Term Loans(4)(7) LIBOR + 8.250%, 1.250% Floor	4/17/2020	1,954,783	1,969,443	1,862,321	(107,122	)
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	6/7/2023	2,870,317	2,855,965	2,917,993	62,028
MWI Holdings, Inc.	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 5.500%, 1.000% Floor	6/29/2020	3,990,000	3,950,100	3,980,025	29,925
Nine West Holdings, Inc.	Consumer goods:  Non-durable	Senior Secured First Lien Term Loans(7) LIBOR + 3.750%, 1.000% Floor	10/8/2019	5,865,000	5,850,338	3,606,975	(2,243,363	)
O2 Partners, LLC	Consumer goods:  Non-durable	Senior Secured First Lien Term Loans(6)��LIBOR + 5.000%, 1.000% Floor	10/7/2022	1,500,000	1,485,000	1,485,000	—
Payless Inc.	Retail	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	3/11/2021	5,850,000	5,828,063	3,017,606	(2,810,457	)
Petco Animal Supplies, Inc.	Retail	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	1/26/2023	5,940,050	5,821,249	5,965,533	144,284
Polycom, Inc.	Wholesale	Senior Secured First Lien Term Loans(7) LIBOR + 6.500%, 1.000% Floor	9/27/2023	1,946,667	1,868,800	1,953,967	85,167
Preferred Proppants, LLC	Construction & Building	Senior Secured First Lien Term Loans(7) LIBOR + 5.750%, 1.000% Floor	7/27/2020	2,870,178	2,841,476	2,421,713	(419,763	)
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(5) LIBOR + 3.250%, 1.000% Floor	10/23/2023	3,000,000	2,985,000	3,015,000	30,000
Press Ganey Holdings, Inc.	Healthcare & Pharmaceuticals	Senior Secured Second Lien Term Loans(5) LIBOR + 7.250%, 1.000% Floor	10/21/2024	6,500,000	6,472,500	6,472,505	5
Rackspace Hosting, Inc.	Services:  Business	Senior Secured First Lien Term Loans(3) LIBOR + 3.500%, 1.000% Floor	11/3/2023	1,000,000	1,000,000	1,000,000	—
Rackspace Hosting, Inc.	Services:  Business	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	11/3/2023	2,500,000	2,487,500	2,530,200	42,700
SCS Holdings I Inc.	High Tech Industries	Senior Secured First Lien Term Loans(5) LIBOR + 4.250%, 1.000% Floor	10/30/2022	1,500,000	1,496,250	1,496,250	—

F-49

Company(1)	Industry	Type of Investment	Maturity	Par Amount		Initial Notional Cost(2)		Fair Value		Unrealized Appreciation/(Depreciation)
Sungard Availability Services Capital Inc.	Services:  Business	Senior Secured First Lien Term Loans(5) LIBOR + 5.000%, 1.000% Floor	4/1/2019	7,989,438		7,956,046		7,716,439		(239,607		)
TaxACT Inc.	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(5) LIBOR + 6.000%, 1.000% Floor	1/3/2023	2,705,882		2,634,706		2,705,882		71,176
Tensar Corporation	Capital Equipment	Senior Secured First Lien Term Loans(7) LIBOR + 4.750%, 1.000% Floor	7/9/2021	11,574,536		11,458,791		10,417,083		(1,041,708		)
TravelCLICK, Inc	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(5) LIBOR + 4.500%, 1.250% Floor	5/6/2021	4,732,805		4,685,477		4,738,721		53,244
tronc, Inc.	Media: Advertising, Printing & Publishing	Senior Secured First Lien Term Loans(4)(5) LIBOR + 4.750%, 1.000% Floor	8/4/2021	7,000,000		6,930,000		6,973,750		43,750
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	8/18/2023	1,000,000		995,000		1,012,000		17,000
UFC Holdings, LLC	Hotel, Gaming & Leisure	Senior Secured Second Lien Term Loans(7) LIBOR + 7.500%, 1.000% Floor	8/18/2024	500,000		495,000		513,125		18,125
US Shipping Partners LP	Transportation:  Cargo	Senior Secured First Lien Term Loans(5) LIBOR + 4.250%, 1.000% Floor	6/26/2021	1,856,284		1,842,362		1,786,673		(55,689		)
VCVH Holding Corp.	Healthcare & Pharmaceuticals	Senior Secured First Lien Term Loans(7) LIBOR + 5.000%, 1.000% Floor	6/1/2023	997,500		987,525		987,525		—
Veresen Midstream Limited Partnership	Energy:  Oil & Gas	Senior Secured First Lien Term Loans(7) LIBOR + 4.250%, 1.000% Floor	3/31/2022	2,992,405		2,956,197		3,009,851		53,654
Victory Capital Operating, LLC	Banking, Finance, Insurance & Real Estate	Senior Secured First Lien Term Loans(7) LIBOR + 7.500%, 1.000% Floor	10/29/2021	1,625,357		1,600,977		1,641,611		40,634
Vistra Operations Company LLC	Energy:  Electricity	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	8/4/2023	3,257,143		3,224,571		3,294,307		69,736
Vistra Operations Company LLC	Energy:  Electricity	Senior Secured First Lien Term Loans(7) LIBOR + 4.000%, 1.000% Floor	8/4/2023	742,857		735,429		751,334		15,905
Vistra Operations Company LLC	Energy:  Electricity	Senior Secured First Lien Term Loans(3)(5) LIBOR + 3.250%, 0.750% Floor	12/14/2023	1,500,000		1,496,250		1,518,750		22,500
Western Digital Corporation	High Tech Industries	Senior Secured First Lien Term Loans(5) LIBOR + 3.750%, 0.750% Floor	4/29/2023	3,192,000		3,148,110		3,223,920		75,810
YRC Worldwide Inc.	Transportation:  Cargo	Senior Secured First Lien Term loans(4)(7) LIBOR + 7.000%, 1.000% Floor	2/13/2019	9,737,187		9,725,122		9,627,643		(97,479		)
Total				$	230,377,606	$	227,513,681	$	213,493,418	$	(14,020,263	)
Total accrued interest income, net of expenses										372,933
Total unrealized depreciation on total return swap										$	(13,647,330	)

 _____________________________

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

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

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

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

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

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

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

F-50

Note 6. Borrowings

The following table shows the Company's outstanding debt as of June 30, 2017 and December 31, 2016:

	June 30, 2017							December 31, 2016
	Total Commitment		Balance Outstanding			Unused Commitment		Total Commitment		Balance Outstanding			Unused Commitment
ING Credit Facility	$	220,000,000	$	190,000,000		$	30,000,000	$	175,000,000	$	150,000,000		$	25,000,000
Alpine Credit Facility	300,000,000		240,000,000			60,000,000		300,000,000		240,000,000			60,000,000
Total before deferred financing costs	520,000,000		430,000,000			90,000,000		475,000,000		390,000,000			85,000,000
Unamortized deferred financing costs	—		(4,012,253		)	—		—		(4,340,533		)	—
Total borrowings outstanding, net	$	520,000,000	$	425,987,747		$	90,000,000	$	475,000,000	$	385,659,467		$	85,000,000

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

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

ING Credit Facility

On August 12, 2016, the Company amended its existing senior secured syndicated revolving credit facility (the “ING Credit Facility”) pursuant to a Senior Secured Revolving Credit Agreement (the “Revolving Credit Agreement”) with certain lenders party thereto from time to time and ING Capital LLC, as administrative agent. The ING Credit Facility matures on August 12, 2020 and is secured by substantially all of the Company’s assets, subject to certain exclusions as further set forth in an Amended and Restated Guarantee, Pledge and Security Agreement (the “Security Agreement”) entered into in connection with the Revolving Credit Agreement, among the Company, the subsidiary guarantors party thereto, ING Capital LLC, as Administrative Agent, each Financial Agent and Designated Indebtedness Holder party thereto and ING Capital LLC, as Collateral Agent. The ING Credit Facility also includes usual and customary representations, covenants and events of default for senior secured revolving credit facilities of this nature. On February 13, 2015, commitments to the ING credit facility were expanded from $150,000,000 to $170,000.000. On August 12, 2016, commitments to the ING credit facility were expanded from $170,000,000 to $175,000,000. On April 20, 2017, commitments to the ING Credit Facility were expanded from $175,000,000 to $220,000,000.

The ING Credit Facility allows for the Company, at its option, to borrow money at a rate of either (i) an alternate base rate plus 1.50% per annum or (ii) LIBOR plus 2.50% per annum. The interest rate margins are subject to certain step-downs upon the satisfaction of certain conditions described in the Revolving Credit Agreement. The alternate base rate will be the greatest of (i) the U.S. Prime Rate set forth in the Wall Street Journal, (ii) the federal funds effective rate plus 1/2 of 1%, and (iii) three month LIBOR plus 1.00%. As of June 30, 2017 and December 31, 2016, the commitment under the ING Credit Facility was $220,000,000 and $175,000,000, respectively, and the ING Credit Facility includes an accordion feature that allows for potential future expansion of the ING Credit Facility up to a total of $500,000,000. Availability of loans under the ING Credit Facility is linked to the valuation of the collateral pursuant to a borrowing base mechanism.

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

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

F-51

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

As of June 30, 2017 and December 31, 2016, the carrying amount of the Company’s borrowings under the ING Credit Facility approximated their fair value. The fair value of the Company’s debt obligation is determined in accordance with ASC 820, which defines fair value in terms of the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value of the Company’s borrowing under the ING Credit Facility is estimated based upon market interest rates of the Company’s borrowing or entities with similar credit risk, adjusted for nonperformance risk, if any. As of June 30, 2017 and December 31, 2016, the ING Credit Facility would be deemed to be Level 3, as defined in Note 4.

As of June 30, 2017 and December 31, 2016, $2,707,316 and $2,746,766, respectively, of financing costs related to the ING Credit Facility have been capitalized and are being amortized over the respective terms. The following table shows additional information about the interest and financing costs related to the ING Credit Facility for the three and six months ended June 30, 2017 and 2016:

	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2017			2016			2017			2016
Interest expense related to the ING Credit Facility	$	1,419,907		$	907,752		$	2,465,030		$	2,050,149
Financing expenses related to the ING Credit Facility	225,847			168,117			429,450			336,374
Total Interest and financing expenses related to the ING Credit Facility	$	1,645,754		$	1,075,869		$	2,894,480		$	2,386,523
Weighted average outstanding debt balance of the ING Credit Facility	$	145,494,505		$	93,076,923		$	129,530,387		$	110,247,253
Weighted average interest rate of the ING Credit Facility	3.7		%	3.5		%	3.8		%	3.6		%

Alpine Credit Facility

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

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

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

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

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

F-52

As of June 30, 2017 and December 31, 2016, the carrying amount of the Company’s borrowings under the Alpine Credit Facility approximated the fair value of the Company’s debt obligation. The fair value of the Company’s debt obligation is determined in accordance with ASC 820, which defines fair value in terms of the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value of the Company’s borrowings under the Alpine Credit Facility is estimated based upon market interest rates of the Company’s borrowings or entities with similar credit risk, adjusted for nonperformance risk, if any. As of June 30, 2017 and December 31, 2016, the Alpine Credit Facility would be deemed to be Level 3, as defined in Note 4.

As of June 30, 2017 and December 31, 2016, $1,304,937 and $1,593,767, respectively, of financing costs related to the Alpine Credit Facility has been capitalized and is being amortized over the respective terms. The following table shows additional information about the interest and financing costs related to the Alpine Credit Facility for the three and six months ended June 30, 2017 and 2016:

	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2017			2016			2017			2016
Interest expense related to the Alpine Credit Facility	$	2,726,191		$	2,314,140		$	5,277,932		$	4,612,460
Financing expenses related to the Alpine Credit Facility	145,212			145,213			288,830			290,426
Total Interest and financing expenses related to the Alpine Credit Facility	$	2,871,403		$	2,459,353		$	5,566,762		$	4,902,886
Weighted average outstanding debt balance of the Alpine Credit Facility	$	242,802,198		$	240,000,000		$	245,138,122		$	240,000,000
Weighted average interest rate of the Alpine Credit Facility	4.4		%	3.8		%	4.2		%	3.7		%

Note 7. Agreements

Investment Advisory Agreement

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

The base management fee is calculated at an annual rate of 1.75% of the Company’s gross assets payable quarterly in arrears. For purposes of calculating the base management fee, the term “gross assets” includes any assets acquired with the proceeds of leverage. "Gross assets" also includes any cash collateral posted with respect to the TRS, adjusted for realized and unrealized appreciation. The base management fee is calculated based on the gross assets at the end of each completed calendar quarter. Base management fees for any partial quarter are appropriately prorated. For the three and six months ended June 30, 2017, the Company recorded an expense for base management fees of $5,449,266 and $10,657,835, respectively, of which $5,449,265 was payable at June 30, 2017. For the three and six months ended June 30, 2016, the Company recorded an expense for base management fees of $4,952,577 and $9,750,206, respectively, of which $4,952,577 was payable at June 30, 2016.

The incentive fee consists of the following two parts:

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

F-53

For the three and six months ended June 30, 2017, the Company recorded a Subordinated Incentive Fee on Income of $0 and $548,806, respectively. For the three and six months ended June 30, 2016, the Company recorded a Subordinated Incentive Fee on Income of $3,231,942 and $5,503,705, respectively. As of June 30, 2017 and December 31, 2016, the Company recorded incentive fees payable of $0 and $1,405,419, respectively.

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

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

For the three and six months ended June 30, 2017 and 2016, the Company recorded no capital gains incentive fee. As of June 30, 2017 and December 31, 2016, the Company recorded no capital gains incentive fee payable.

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

Administration Agreement

On April 5, 2012, the Company entered into an administration agreement (the “Administration Agreement”) with Medley Capital LLC, pursuant to which Medley Capital LLC furnishes the Company with administrative services necessary to conduct its day-to-day operations. On February 28, 2013, Medley Capital LLC entered into a Sub-Administration Agreement with State Street Bank Global Fund Accounting and Custody to perform certain financial, accounting, administrative and other services on behalf of the Company. On March 1, 2017, the Company’s board of directors approved the renewal of the Administration Agreement for an additional one-year term at an in-person meeting. Medley Capital LLC is reimbursed for administrative expenses it incurs on the Company’s behalf in performing its obligations. Such costs are reasonably allocated to the Company on the basis of assets, revenues, time records or other reasonable methods. The Company does not reimburse Medley Capital LLC for any services for which it receives a separate fee or for rent, depreciation, utilities, capital equipment or other administrative items allocated to a controlling person of Medley Capital LLC. For the three and six months ended June 30, 2017, the Company recorded administrator expenses of $794,622 and $1,588,151, respectively. For the three and six months ended June 30, 2016, the Company recorded administrator expenses of $633,695 and $1,216,901, respectively. As of June 30, 2017 and December 31, 2016, the Company had $794,622 and $850,678, respectively, in administrator fees payable.

Expense Support and Reimbursement Agreement

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

F-54

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

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

For the three and six months ended June 30, 2017, the Company recorded no Expense Support Reimbursements on the consolidated statements of operations. For the three and six months ended June 30, 2016, the Company recorded net Expense Support Reimbursements of $5,498,606 and $10,703,502, respectively, on the consolidated statements of operations. Repayments of amounts paid by SIC Advisors to the Company under the Expense Support Agreement will be accrued as they become probable and estimable. As of June 30, 2017 and December 31, 2016, the Company recorded $3,321,136 and $7,892,273, respectively, in its consolidated statements of assets and liabilities as due from affiliate relating to the Expense Support Agreement. The Company refers to Expense Support Reimbursements that are eligible for reimbursement to SIC Advisors by virtue of having satisfied the conditions described above as a “Crystalized Reimbursement.” As of June 30, 2017 and December 31, 2016, the Company recorded $0 and $135,784, respectively, of Crystalized Reimbursements, and $0 and $135,784 was included in Due to Affiliate on the respective consolidated statements of assets and liabilities. As of June 30, 2017 and December 31, 2016, the total amounts eligible for reimbursement of the Company to SIC Advisors, net of Crystalized Reimbursements was $28,153,579 and $31,474,331, respectively.

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

Quarter Ended	Amount of Expense Payment Obligation		Amount Repaid to SIC Advisors		Operating Expense Ratio(1)		Annualized Distribution Rate(2)		Eligible to be  Repaid Through
June 30, 2012	$	454,874	$	454,874	6.13	%	8.00	%	June 30, 2015
September 30, 2012	437,303		437,303		4.05	%	8.00	%	September 30, 2015
December 31, 2012	573,733		573,733		3.91	%	8.00	%	December 31, 2015
March 31, 2013	685,404		685,404		1.71	%	8.00	%	March 31, 2016
June 30, 2013	732,425		732,425		1.00	%	7.84	%	June 30, 2016
September 30, 2013(3)	1,262,848		1,078,500		0.83	%	7.84	%	September 30, 2016
December 31, 2013(3)	1,258,575		—		0.45	%	7.84	%	December 31, 2016
March 31, 2014(3)	1,177,686		135,784		0.45	%	7.80	%	March 31, 2017
June 30, 2014(3)	2,143,066		—		0.38	%	7.80	%	June 30, 2017
September 30, 2014	1,717,593		123,025		0.38	%	7.77	%	September 30, 2017
December 31, 2014	1,585,471		—		0.47	%	8.00	%	December 31, 2017
March 31, 2015	1,993,518		—		0.43	%	8.00	%	March 31, 2018
June 30, 2015	2,148,462		—		0.31	%	8.00	%	June 30, 2018
September 30, 2015	627,752		—		0.32	%	8.25	%	September 30, 2018
December 31, 2015	3,974,895		—		0.40	%	8.65	%	December 31, 2018
March 31, 2016	5,204,896		—		0.37	%	8.89	%	March 31, 2019
June 30, 2016	5,634,390		—		0.29	%	8.89	%	June 30, 2019
September 30, 2016	5,389,627		—		0.45	%	8.84	%	September 30, 2019

 _____________________________

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

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

F-55

(3) The unreimbursed part of the expense payment obligation has expired as of June 30, 2017.

Note 8. Related Party Transactions

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

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

Due from affiliate relates to amounts due from SIC Advisors pursuant to the Expense Support Agreement as discussed in Note 7. Due to affiliate relates to reimbursements of expense support reimbursement pursuant to the Investment Advisory Agreement paid to/from SIC Advisors as discussed in Note 7.

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

Opportunities for co-investments may arise when SIC Advisors or an affiliated adviser becomes aware of investment opportunities that may be appropriate for the Company and other clients or affiliated funds. The Company obtained an exemptive order from the SEC on November 25, 2013 (the “Prior Exemptive Order”). On March 29, 2017, the Company, SIC Advisors and certain other affiliated funds and investment advisers received an exemptive order (the "Exemptive Order") that supersedes the Prior Exemptive Order and allows affiliated registered investment companies to participate in co-investment transactions with us that would otherwise have been prohibited under Section 17(d) and 57(a)(4) and Rule 17d-1. The terms of the Exemptive Order are otherwise substantially similar to the Prior Exemptive Order. Co-investment under the Exemptive Order is subject to certain conditions, including the condition that, in the case of each co-investment transaction, our board of directors determines that it would to be in our best interest to participate in the transaction. However, neither we nor the affiliated funds are obligated to invest or co-invest when investment opportunities are referred to us or them. On May 24, 2017, the Company, SIC Advisors and certain of our affiliates filed an exemptive application for a co-investment order that would supersede the Exemptive Order (the “New Exemptive Order”) and would allow, in addition to the entities already covered by the Exemptive Order, Medley LLC and its subsidiary, Medley Capital LLC, to the extent they hold financial assets in a principal capacity, and any direct or indirect, wholly- or majority-owned subsidiary of Medley LLC that is formed in the future, to participate in co-investment transactions with us that would otherwise be prohibited by either or both of Sections 17(d) and 57(a)(4) of the 1940 Act. There can be no assurance if and when we will receive the Exemptive Order. The Exemptive Order will remain in effect unless and until the New Exemptive Order is granted by the SEC. The terms of the New Exemptive Order, if received, would be substantially similar to the Exemptive Order.

Please see footnote 4 to the consolidated schedule of investments as of June 30, 2017 and December 31, 2016 for disclosures regarding securities also held by affiliated funds.

Note 9. Directors Fees

Effective January 1, 2017, each independent director will be compensated as follows: (i) receive an annual retainer of $85,000; (ii) receive a fee of $3,000 for each in-person board meeting in which they participate; (iii) receive a fee of $1,000 for each telephonic board meeting in which they participate; (iv) receive a fee of $2,500 for each in-person audit committee meeting in which they participate; (v) receive a fee $1,000 for each telephonic audit committee meeting in which they participate; (vi) receive a fee of $2,000 for each in-person nominating and corporate governance committee meeting in which they participate; and (vii) receive a fee of $1,000 for each telephonic nominating and corporate governance committee meeting in which they participate. In addition, each independent director will be reimbursed for reasonable and documented out-of-pocket expenses incurred in connection with attending each board or committee meeting. In addition, the Chair of the audit committee receives an annual retainer of $15,000, while the Chair of any other committee receives an annual retainer of $5,000. The Lead Independent Director receives an annual retainer of $10,000.

Prior to January 1, 2017, each independent director received an annual retainer fee of $50,000, and further received a fee of $4,000 ($2,000 for telephonic attendance) for each regularly scheduled board meeting attended, a fee of $2,000 for each special board meeting and all committee meetings attended, as well as reimbursement of reasonable and documented out-of-pocket expenses incurred in connection with attending each board or committee meeting. For the three and six months ended June 30, 2017, the Company recorded directors' fees expenses in General and Administrative expenses on the consolidated statement of operations of $99,750 and $210,000, respectively. For the three and six months ended June 30, 2016, the Company recorded directors' fees expenses in General and Administrative expenses on the consolidated statements of operations of $66,500 and $151,972, respectively.

Note 10. Earnings Per Share

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

F-56

The following table sets forth the computation of the weighted average basic and diluted net increase in net assets per share from operations for the three and six months ended June 30, 2017 and 2016:

	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2017		2016		2017		2016
Net increase in net assets from operations	$	8,126,795	$	24,720,788	$	16,595,761	$	30,995,508
Weighted average common stock outstanding	96,367,879		89,644,821		95,877,796		87,245,126
Weighted average basic and diluted earnings per common share	$	0.08	$	0.28	$	0.17	$	0.36

Note 11. Commitments

As of June 30, 2017 and December 31, 2016, the Company had $35,765,753 and $26,944,304, respectively, of unfunded commitments under loan and financing agreements. These amounts are primarily composed of commitments for senior secured term loans, revolvers, and additional capital contributions for the Sierra JV. The unrealized gain or loss associated with unfunded commitments is recorded in the financial statements and reflected as an adjustment to the valuation of the related security in the Consolidated Schedule of Investments. The par amount of the unfunded commitments are not recognized by the Company until the commitment is funded.

	As of
	June 30, 2017		December 31, 2016
AAAHI Acquisition Corporation	$	2,033,178	$	2,219,626
AAR Intermediate Holdings, LLC	503,117		477,961
Black Angus Steakhouses LLC	3,794,643		3,794,643
CP Opco, LLC	9,291		9,291
First Boston Construction Holdings, LLC	—		600,000
Impact Sales, LLC	1,347,656		1,562,500
IOP Monroe Acquisition, Inc.	2,500,000		—
Nuspire, LLC	2,500,000		2,500,000
PT Network, LLC	3,182,083		4,166,667
SavATree, LLC	361,111		—
Sierra Senior Loan Strategy JV I LLC	3,325,000		875,000
SMART Financial Operations, LLC	6,300,000		6,300,000
Specialty Foam Technologies, Inc.	4,438,616		4,438,616
SRS Software, LLC	5,000,000		—
TwentyEighty, Inc.	471,058		—
Total Commitments	$	35,765,753	$	26,944,304

Note 12. Fee Income

Fee income consists of origination fees, amendment fees, prepayment fees, administrative agent fees, transaction break-up fees and other miscellaneous fees. Origination fees, prepayment fees, amendment fees, and other similar fees are non-recurring fee sources. Such fees are received on a transaction by transaction basis and do not constitute a regular stream of income. The following table shows the Company’s fee income for the three and six months ended June 30, 2017 and 2016:

	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2017		2016		2017		2016
Origination fee	$	173,590	$	103,135	$	1,857,382	$	905,357
Prepayment fee	187,500		685,603		439,434		1,257,646
Amendment fee	235,138		501,062		454,137		501,062
Administrative agent fee	36,643		—		72,119		—
Other fees	17,092		8,741		17,092		29,688
Fee income	$	649,963	$	1,298,541	$	2,840,164	$	2,693,753

Note 13. Distributions and Share Repurchase Program Distributions

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

F-57

The Company has adopted an “opt in” distribution reinvestment plan (“DRIP”) pursuant to which the Company’s common stockholders may elect to have the full amount of any cash distributions reinvested in additional shares of the Company’s common stock. On June 30, 2017, the Board approved an amendment to the DRIP, pursuant to which the number of newly-issued shares of the Company’s common stock to be issued to a participating stockholder shall be determined by dividing the total dollar amount of the distribution payable to such stockholder by a price equal to 94.5%, rather than 90%, of the Company’s then current offering price. The Company amended the DRIP as a result of the Company’s recently revised fee structure, which went into effect on June 16, 2017. Under the Company’s new fee structure the upfront selling commission was reduced from 7.00% of gross proceeds to up to 3.00% of gross proceeds and the dealer manager fee was reduced from 2.75% of gross proceeds to up to 2.50% of gross proceeds. As a result, if the Company declares a cash dividend or other distribution, each stockholder that has “opted in” to the Company’s reinvestment plan will have their distributions automatically reinvested in additional shares of the Company’s common stock rather than receiving cash distributions. Stockholders who receive distributions in the form of shares of common stock will be subject to the same federal, state and local tax consequences as if they received cash distributions. For the six months ended June 30, 2017, the Company distributed a total of $30,665,819, of which $16,596,967 was in cash and $14,068,852 was in the form of common stock associated with the DRIP. For the six months ended June 30, 2016, the Company distributed a total of $34,930,780, of which $18,344,354, was in cash and $16,586,426 was in the form of common stock associated with the DRIP.

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

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

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

The Company’s previous distributions to stockholders may have been funded from temporary Expense Support Reimbursements that may be subject to repayment to SIC Advisors. The portion of these distributions derived from temporary Expense Support Reimbursements were not based on the Company's investment performance and may not continue in the future. If SIC Advisors had not agreed to make Expense Support Reimbursements, these distributions would have come from paid-in-capital. The repayments of eligible reimbursements owed to SIC Advisors will reduce the future distributions to which stockholders would otherwise be entitled. The Expense Support Agreement expired on December 31, 2016. The Company's contingent obligation to repay eligible reimbursements to SIC Advisors will expire on September 30, 2019. See Note 7 for more information.

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

Share Repurchase Program

In June 2013, the Company commenced a share repurchase program pursuant to which it intends to conduct quarterly share repurchases of up to 2.5% of the weighted average number of outstanding shares of its common stock in the prior four calendar quarters or 10% of the weighted average number of outstanding shares in the prior 12-month period. The purpose of the share

F-58

repurchase program is to allow stockholders to sell their shares back to the Company at a price equal to the most recently disclosed NAV per share of the Company's common stock immediately prior to the date of repurchase. Shares will be purchased from stockholders participating in the program on a pro rata basis. Unless the Company's board of directors determines otherwise, the number of shares to be repurchased during any calendar year will be limited to the proceeds received in association with the sale of shares of common stock under the distribution reinvestment plan.

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

Offer Date	Quantity Offered	Price per Share		Repurchase Date	Repurchase Quantity
6/4/2013	16,652	$	9.18	—	—
8/8/2013	32,627	9.13		9/27/2013	3,642
11/7/2013	60,966	9.14		12/19/2013	5,826
3/12/2014	120,816	9.18		4/25/2014	9,835
5/6/2014	199,476	9.20		6/13/2014	17,777
8/5/2014	294,068	9.25		9/12/2014	35,887
11/5/2014	411,894	9.22		12/24/2014	411,894
3/4/2015	535,571	8.97		4/24/2015	68,472
5/6/2015	620,420	8.98		6/24/2015	90,916
8/5/2015	727,654	8.96		9/29/2015	328,353
11/3/2015	853,688	8.56		12/23/2015	285,559
3/2/2016	959,436	8.16		4/29/2016	959,436
5/5/2016	1,005,447	8.04		6/30/2016	855,215
8/4/2016	1,048,412	8.11		9/28/2016	1,048,407
11/25/2016	1,077,370	8.14		12/27/2016	1,077,352
4/4/2017	871,815	8.17		5/4/2017	871,806
5/23/2017	876,277	8.10		6/23/2017	876,254

In the event of the death or disability of a stockholder, the Company will repurchase the shares held by such stockholder at a price equal to the NAV per share of our shares as disclosed in the periodic report the Company files with the SEC immediately following the date of the death or disability of such stockholder. During the three and six months ended June 30, 2017, the Company repurchased 19,578 and 35,333 shares, respectively, of certain shareholders due to death. During the three and six months ended June 30, 2016, the Company repurchased 989 and 989 shares, respectively, of certain shareholders due to death.

F-59

Note 14. Financial Highlights

The following is a schedule of financial highlights of the Company for the six months ended June 30, 2017 and 2016:

	2017			2016
Per Share Data:(1)
Net asset value at beginning of period	$	8.17		$	8.16
Net investment income	0.27			0.35
Net realized gains/(losses) on investments and total return swap	(0.22		)	0.05
Net unrealized appreciation/(depreciation) on investments and total return swap	0.12			(0.04		)
Net increase in net assets	$	0.17		$	0.36
Distributions from return of capital	—			—
Distributions declared from net investment income(2)	(0.32		)	(0.40		)
Distributions from net realized capital gains	—			—
Total distributions to shareholders	$	(0.32	)	$	(0.40	)
Issuance of common shares above net asset value(3)	—			(0.01		)
Net asset value at end of period	$	8.02		$	8.11
Total return based on net asset value(4)(5)	2.12		%	4.46		%
Portfolio turnover rate(6)	14.60		%	10.46		%
Shares outstanding at end of period	96,021,759			90,539,160
Net assets at end of period	$	769,974,737		$	734,704,769
Ratio/Supplemental Data (annualized):
Ratio of net investment income to average net assets(5)	6.90		%	9.76		%
Ratio of net expenses (including incentive fees) to average net assets(5)	6.34		%	3.97		%
Ratio of incentive fees to average net assets (non-annualized)	0.07		%	0.78		%
Supplemental Data (annualized):
Asset coverage ratio per unit(7)	$	2,306		$	2,562
Percentage of non-recurring fee income(8)	5.48		%	5.56		%
Ratio of net expenses (excluding incentive fees) to average net assets	6.27		%	3.19		%
Ratio of interest related expenses to average net assets	2.01		%	1.90		%

 ________________________________

(1) The per share data was derived by using the weighted average shares outstanding during the six months ended June 30, 2017 and 2016, which were 95,877,796 and 87,245,126, respectively.

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

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

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

(5) Total returns, ratios of net investment income and ratios of gross expenses to average net assets for the six months ended June 30, 2016, prior to the effect of the Expense Support and Reimbursement Agreement were as follows: total return 2.94% and ratio of net investment income: 6.77% and ratio of net expenses to average net assets: 7.09%, respectively.

(6) Not annualized.

(7) Asset coverage per unit is the ratio of the carrying value of the Company's total consolidated assets for regulatory purposes, which includes the underlying fair value of net TRS, less all liabilities and indebtedness not represented by senior securities to the aggregate amount of Senior Securities representing indebtedness and the implied leverage on the TRS. Asset coverage per unit is expressed in terms of dollars per $1,000 of indebtedness. As of June 30, 2017 and 2016, the Company's Asset Coverage Per Unit including unfunded commitments was $2,174 and $2,486, respectively.

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

Note 15. Subsequent Events

Management has evaluated subsequent events through the date of issuance of the consolidated financial statements included herein. There have been no subsequent events that occurred during such period that would require disclosure in this Form 10-Q or would be required to be recognized in the consolidated financial statements as of and for the six months ended June 30, 2017, except as disclosed below.

On July 11, 2017, our board of directors declared a series of semi-monthly distributions for July, August and September 2017 in the amount of $0.02667 per share. These distributions represent an annualized yield of 7.49% based on our then-current offering price of $8.55 per share. Stockholders of record as of each respective record date will be entitled to receive the distribution. Below are the details for each respective distribution:

F-60

Record Date	Payment Date	Amount per share
July 14 and 31, 2017	July 31, 2017	$	0.02667
August 15 and 31, 2017	August 31, 2017	0.02667
September 15 and 30, 2017	September 30, 2017	0.02667

The Company issued common shares and received gross proceeds of approximately $1.8 million subsequent to June 30, 2017 through August 8, 2017.

F-61

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

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

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

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

• our future operating results;

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

• changes in the economy;

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

• the effect of investments that we expect to make;

• our contractual arrangements and relationships with third parties;

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

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

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

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

• the adequacy of our financing sources and working capital;

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

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

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

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

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

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

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

Overview

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

1

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

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

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

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

Revenues

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

Expenses

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

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

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

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

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

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

• transfer agent and custodial fees;

2

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

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

• federal, state and local taxes;

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

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

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

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

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

• brokerage commissions for our investments;

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

• the reimbursement of the compensation of our Chief Financial Officer and Chief Compliance Officer, whose compensation is paid by Medley Capital LLC, to the extent that each such reimbursement amount is annually approved by our independent director committee and subject to the limitations included in our Administration Agreement.

Administrative Services

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

Portfolio and Investment Activity

The following table shows the amortized cost and the fair value of our investment portfolio as of June 30, 2017:

	Amortized Cost		Percentage		Fair Value		Percentage
Senior secured first lien term loans	$	571,284,069	51.7	%	$	554,483,888	52.1	%
Senior secured first lien notes	62,292,778		5.6		62,415,644		5.9
Senior secured second lien term loans	290,130,179		26.3		272,997,476		25.7
Subordinated notes	60,439,275		5.5		57,182,954		5.4
Sierra Senior Loan Strategy JV I LLC	72,991,250		6.6		71,795,680		6.8
Warrants/equity	47,850,426		4.3		44,463,439		4.2
Total investments	$	1,104,987,977	100.0	%	$	1,063,339,081	100.0	%

As of June 30, 2017, our income-bearing investment portfolio, which represented 94.2% of our total portfolio, had a weighted average yield based upon the cost of our investment portfolio of approximately 9.4%, and 90.6% of our income-bearing portfolio bore interest based on fixed rates, while 9.4% of our income-bearing portfolio bore interest at floating rates, such as LIBOR.

For the three months ended June 30, 2017, we invested $53.6 million of principal in directly originated transactions across 13 portfolio companies and $84.4 million of principal in syndicated transactions across 25 portfolio companies. As of June 30, 2017, the investment portfolio was comprised of $916.6 million of principal in directly originated transactions across 73 portfolio companies and $196.9 million of principal in syndicated transactions across 38 portfolio companies.

3

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

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

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

The following table shows weighted average current yield to maturity, including the yield of cash collateral on the TRS, based on fair value as of June 30, 2017 and December 31, 2016:

	June 30, 2017				December 31, 2016
	Percentage of Total Investments		Weighted Average Current Yield for Total Investments		Percentage of Total Investments		Weighted Average Current Yield for Total Investments
Senior secured first lien term loans	49.8	%	9.6	%	48.1	%	9.5	%
Senior secured first lien notes	5.6		9.4		7.0		8.8
Senior secured second lien term loans	24.6		10.4		25.3		10.7
Subordinated notes	5.1		15.0		5.4		17.0
Sierra Senior Loan Strategy JV I LLC	6.5		10.5		5.9		10.3
Warrants/Equity	8.4		12.7		8.3		12.5
Total	100.0	%	10.4	%	100.0	%	10.4	%

4

The following table shows the portfolio composition by industry grouping, including the TRS underlying loans, based on fair value at June 30, 2017:

	Investments at Fair Value(1)		Percentage of Total Portfolio(1)		Value of TRS Underlying Loans		Percentage of TRS Underlying Loans		Total Investments at Fair Value including the value of TRS Underlying Loans		Percentage of Total Portfolio Including the value of TRS Underlying Loans
Services:  Business	$	160,031,409	15.0	%	$	25,964,469	11.0	%	$	185,995,878	14.3	%
Multi-Sector Holdings	141,228,634		13.3		—		—		141,228,634		10.9
Healthcare & Pharmaceuticals	80,709,264		7.6		27,092,017		11.5		107,801,281		8.3
Banking, Finance, Insurance & Real Estate	82,080,730		7.7		24,096,385		10.3		106,177,115		8.2
Hotel, Gaming & Leisure	65,960,721		6.2		13,080,968		5.6		79,041,689		6.1
Aerospace & Defense	70,023,270		6.6		4,661,100		2.0		74,684,370		5.8
Construction & Building	62,758,839		5.9		9,403,607		4.0		72,162,446		5.6
Retail	57,351,646		5.4		10,032,259		4.3		67,383,905		5.2
High Tech Industries	50,059,429		4.7		9,195,200		3.9		59,254,629		4.6
Media: Advertising, Printing & Publishing	27,530,138		2.6		13,647,083		5.8		41,177,221		3.2
Transportation:  Cargo	28,437,690		2.7		12,503,319		5.3		40,941,009		3.2
Energy:  Oil & Gas	32,307,035		3.0		6,845,204		2.9		39,152,239		3.0
Capital Equipment	12,750,000		1.2		25,927,338		11.0		38,677,338		3.0
Chemicals, Plastics & Rubber	26,591,125		2.5		10,012,342		4.3		36,603,467		2.8
Telecommunications	22,068,982		2.1		6,522,756		2.8		28,591,738		2.2
Automotive	25,393,177		2.4		2,920,500		1.2		28,313,677		2.2
Beverage & Food	19,239,480		1.8		2,900,584		1.2		22,140,064		1.7
Media:  Diversified & Production	20,775,551		2.0		955,938		0.4		21,731,489		1.7
Metals & Mining	21,024,239		2.0		—		—		21,024,239		1.6
Media:  Broadcasting & Subscription	14,022,516		1.3		6,616,875		2.8		20,639,391		1.6
Wholesale	12,547,619		1.2		2,001,260		0.9		14,548,879		1.1
Consumer Goods:  Durable	1,890,500		0.2		11,388,625		4.8		13,279,125		1.0
Services:  Consumer	11,305,804		1.1		—		—		11,305,804		0.9
Consumer Goods:  Non-Durable	2,000,000		0.2		6,343,690		2.7		8,343,690		0.6
Transportation:  Consumer	7,375,207		0.7		—		—		7,375,207		0.6
Containers, Packaging & Glass	4,987,187		0.5		—		—		4,987,187		0.4
Utilities:  Electric	—		—		2,910,629		1.2		2,910,629		0.2
Environmental Industries	2,888,889		0.3		—		—		2,888,889		0.2
Total	$	1,063,339,081	100.0	%	$	235,022,148	100.0	%	$	1,298,361,229	100.0	%

_______________________ 

(1) Does not include TRS underlying loans

5

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

	Investments at Fair Value(1)		Percentage of Total Portfolio(1)		Value of TRS Underlying Loans		Percentage of TRS Underlying Loans		Total Investments at Fair Value including the value of TRS Underlying Loans		Percentage of Total Portfolio Including the value of TRS Underlying Loans
Services:  Business	$	149,451,149	15.2	%	$	23,571,092	11.0	%	$	173,022,241	14.5	%
Multi-Sector Holdings	130,182,237		13.3		—		—		130,182,237		10.9
Banking, Finance, Insurance & Real Estate	72,938,844		7.4		20,713,321.0		9.7		93,652,165		7.8
Hotel, Gaming & Leisure	69,640,838		7.1		19,867,696		9.3		89,508,534		7.5
Healthcare & Pharmaceuticals	69,382,894		7.1		13,393,023		6.3		82,775,917		6.9
Aerospace & Defense	70,126,640		7.1		4,656,652		2.2		74,783,292		6.2
Retail	61,292,231		6.2		11,005,219		5.2		72,297,450		6.0
Construction & Building	58,267,425		5.9		2,999,433		1.4		61,266,858		5.1
Transportation:  Cargo	28,493,057		2.9		13,276,638.0		6.2		41,769,695		3.5
High Tech Industries	25,888,925		2.6		15,474,967		7.2		41,363,892		3.5
Energy:  Oil & Gas	33,048,939		3.4		7,413,640		3.5		40,462,579		3.4
Telecommunications	37,580,414		3.8		2,487,500.0		1.2		40,067,914		3.3
Media: Advertising, Printing & Publishing	19,306,587		2.0		12,000,704.0		5.6		31,307,291		2.6
Capital Equipment	12,088,629		1.2		16,029,467		7.5		28,118,096		2.4
Wholesale	21,660,294		2.2		4,976,467		2.3		26,636,761		2.2
Automotive	24,222,630		2.5		—		—		24,222,630		2.0
Beverage & Food	19,282,080		2.0		2,912,490		1.4		22,194,570		1.9
Media:  Diversified & Production	15,733,786		1.6		4,925,156.0		2.3		20,658,942		1.7
Metals & Mining	20,518,139		2.1		—		—		20,518,139		1.7
Media:  Broadcasting & Subscription	15,830,498		1.6		4,618,688		2.2		20,449,186		1.7
Chemicals, Plastics & Rubber	15,726,190		1.6		—		—		15,726,190		1.3
Services:  Consumer	5,201,522		0.5		8,838,651.0		4.1		14,040,173		1.2
Containers, Packaging & Glass	—		—		10,642,499.0		5.0		10,642,499		0.9
Transportation:  Consumer	7,280,374		0.7		—		—		7,280,374		0.6
Energy:  Electricity	—		—		5,564,390.0		2.6		5,564,390		0.5
Consumer goods:  Non-Durable	—		—		5,091,975.0		2.4		5,091,975		0.4
Utilities:  Electric	—		—		3,033,750.0		1.4		3,033,750		0.3
Total	$	983,144,322	100.0	%	$	213,493,418	100.0	%	$	1,196,637,740	100.0	%

_______________________ 

(1) Does not include TRS underlying loans

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

Investment Credit Rating	Definition
1	Investments that are performing above expectations.
2	Investments that are performing within expectations, with risks that are neutral or favorable compared to risks at the time of origination or purchase. All new loans are rated ‘2’.
3	Investments that are performing below expectations and that require closer monitoring, but where no loss of interest, dividend or principal is expected. Companies rated ‘3’ may be out of compliance with financial covenants, however, loan payments are generally not past due.

6

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

The following table shows the distribution of our investment portfolio, not including cash and cash equivalents, on the 1 to 5 investment credit rating scale at fair value as of June 30, 2017 and December 31, 2016:

		June 30, 2017					December 31, 2016
Investment Credit Rating	Number of Investments	Investments at Fair Value		Percentage		Number of Investments	Investments at Fair Value		Percentage
1	5	$	70,569,920	6.6	%	5	$	57,356,293	5.8	%
2	87	860,184,200		80.9		74	798,629,992		81.3
3	10	78,123,006		7.3		10	77,762,796		7.9
4	3	31,453,145		3.0		6	35,294,284		3.6
5	6	23,008,810		2.2		4	14,100,957		1.4
Total	111	$	1,063,339,081	100.0	%	99	$	983,144,322	100.0	%

As of June 30, 2017, there were 5 investments with an investment credit rating of 1, with a cost of $69.6 million and a fair value of $70.6 million. As of December 31, 2016, there were 5 investments with an investment credit rating of 1, with a cost of $55.3 million and a fair value of $57.4 million. As of June 30, 2017, there were 6 investments with an investment credit rating of 5, with a cost of $50.0 million and a fair value of $23.0 million. As of December 31, 2016, there were 4 investments with an investment credit rating of 5, with a cost of $55.3 million and a fair value of $14.1 million.

Results of Operations

The following table shows operating results for the three and six months ended June 30, 2017 and 2016:

	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2017			2016			2017			2016
Total investment income	$	24,704,225		$	24,797,049		$	50,934,816		$	48,023,554
Total expenses, net	12,595,040			8,637,338			25,079,884			17,342,139
Net investment income	12,109,185			16,159,711			25,854,932			30,681,415
Net realized gain/(loss) from investments and total return swap	(10,335,366		)	1,749,516			(20,810,843		)	4,249,366
Net change in unrealized appreciation/(depreciation) on investments and total return swap	6,389,722			6,818,609			11,885,490			(3,855,640		)
Change in provision for deferred taxes on unrealized gain on investments	(36,746		)	(7,048		)	(334,318		)	(79,633		)
Net increase in net assets resulting from operations	$	8,126,795		$	24,720,788		$	16,595,261		$	30,995,508

Investment Income

Total investment income decreased $92,824, or 0.4%, to $24,704,225 for the three months ended June 30, 2017, compared to $24,797,049 for the three months ended June 30, 2016. Total investment income consisted primarily of portfolio interest, which increased $547,204, or 2.3%, to $24,031,384 for the three months ended June 30, 2017, compared to $23,484,180 for the three months ended June 30, 2016. This increase was primarily due to a $91.2 million, or 9.2%, increase in our average investment portfolio. Fee income decreased $648,577, or 49.9%, to $649,964 for the three months ended June 30, 2017, compared to $1,298,541 for the three months ended June 30, 2016, primarily due to a decrease in fees associated with loan originations and loan prepayments.

Total investment income increased $2,911,262, or 6.1%, to $50,934,816 for the six months ended June 30, 2017, compared to $48,023,554 for the six months ended June 30, 2016. Total investment income consisted primarily of portfolio interest, which increased $2,750,990, or 6.1%, to $48,059,121 for the six months ended June 30, 2017, compared to $45,308,131 for the six months ended June 30, 2016. This increase was primarily due to a $85.9 million, or 8.8%, increase in our average investment portfolio. Fee income increased $146,411, or 5.4%, to $2,840,164 for the six months ended June 30, 2017, compared to $2,693,753 for the six months ended June 30, 2016, primarily due to an increase in fees associated with loan originations and loan prepayments.

7

Operating Expenses

The following table shows operating expenses for the three and six months ended June 30, 2017 and 2016 :

	For the Three Months Ended June 30,					For the Six Months Ended June 30,
	2017		2016			2017		2016
Base management fees	$	5,449,266	$	4,952,577		$	10,657,835	$	9,750,206
Interest and financing expenses	4,146,098		3,221,892			7,742,962		6,662,609
Incentive fees	—		3,231,942			548,806		5,503,705
General and administrative expenses	1,258,738		1,185,743			2,488,087		2,675,706
Administrator expenses	794,622		633,695			1,588,151		1,216,901
Offering costs	299,700		607,761			821,384		1,370,960
Professional fees	646,616		302,334			1,232,659		865,554
Total expenses	12,595,040		14,135,944			25,079,884		28,045,641
Net expense support reimbursement	—		(5,498,606		)	—		(10,703,502		)
Net expenses	$	12,595,040	$	8,637,338		$	25,079,884	$	17,342,139

Total expenses decreased $1,540,904, or 10.9%, to $12,595,040 for the three months ended June 30, 2017, as compared to $14,135,944 for the three months ended June 30, 2016, primarily due to lower incentive fees. Total expenses decreased $2,965,757, or 10.6%, to $25,079,884 for the six months ended June 30, 2017, as compared to $28,045,641 for the six months ended June 30, 2016, primarily due to the decrease in expenses was lower incentive fees.

Base management fees increased $496,689, or 10.0%, to $5,449,266 for the three months ended June 30, 2017, as compared to $4,952,577 for the three months ended June 30, 2016, primarily due to an increase in our gross assets of $113.5 million, or 10.0%. Base management fees increased $907,629, or 9.3%, to $10,657,835 for the six months ended June 30, 2017, as compared to $9,750,206 for the six months ended June 30, 2016, primarily due to an increase in our average gross assets of $103.7 million, or 9.3%.

Interest and financing expenses increased $924,206, or 28.7%, to $4,146,098 for the three months ended June 30, 2017, as compared to $3,221,892 for the three months ended June 30, 2016, primarily due to an increase in the weighted average outstanding debt balance of our credit facilities of $55,219,780, or a 16.6% increase. Interest and financing expenses increased 1,080,353, or 16.2%, to $7,742,962 for the six months ended June 30, 2017, as compared to $6,662,609 for the six months ended June 30, 2016, primarily due to an increase in the weighted average interest rate on our credit facilities of 0.32%, or an 8.8% increase.

Expense Support and Reimbursement Agreement

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

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

Pursuant to the Expense Support Agreement, we will reimburse SIC Advisors for expense support payments it previously made following any calendar quarter for which we received net investment income, net realized capital gains and dividends from our portfolio companies (not included in net income and net realized capital gains) in excess of the distributions paid to our stockholders during such calendar quarter (the “Excess Operating Funds”). Any such reimbursement will be made within three years of the date that the expense support payment obligation was incurred by SIC Advisors, subject to the conditions described below. The amount of the reimbursement during any calendar quarter will equal the lesser of (i) the Excess Operating Funds received during the quarter and (ii) the aggregate amount of all expense payments made by SIC Advisors that have not yet been

8

reimbursed. In addition, we will only make reimbursement payments to the extent our current annualized “operating expense ratio” is equal to or less than our operating expense ratio for the quarter during which the corresponding expense obligation was incurred and to the extent the annualized rate of its regular cash dividends to our stockholders for the month is equal to or greater than the annualized rate of our regular cash distributions to stockholders for the month during which the corresponding expense payment was incurred.

As of June 30, 2017 and December 31, 2016, we recorded $3,321,136 and $7,892,273, respectively, in our consolidated statement of assets and liabilities as due from affiliate relating to the Expense Support Agreement.

Net Realized Gains/Losses from Investments

We measure realized gains or losses by the difference between the net proceeds from the disposition and the amortized cost basis of an investment, without regard to unrealized gains or losses previously recognized. For the three and six months ended June 30, 2017, we recognized net realized losses of $10,335,366 and $20,810,343, respectively, primarily due to certain non-cash restructuring transactions net of realized gains on the TRS. For the three and six months ended June 30, 2016, we recognized net realized gains of $1,749,516 and $4,249,366, respectively, primarily due to realized gain on the TRS.

Net Unrealized Appreciation/Depreciation on Investments

Net change in unrealized appreciation/depreciation on investments reflects the net change in the fair value of our total investments. For the three and six months ended June 30, 2017, we recorded a net change in unrealized appreciation of $6,352,976 and $11,551,172, respectively. For the three and six months ended June 30, 2016, we recorded a net change in unrealized appreciation of $6,818,609 and unrealized depreciation of $3,855,640, respectively.

Changes in Net Assets from Operations

For the three and six months ended June 30, 2017, we recorded a net increase in net assets resulting from operations of $8,126,795 and $16,595,761, respectively. Based on 96,367,879 and $95,877,796 weighted average common shares outstanding for the three and six months ended June 30, 2017, respectively, our per share net increase in net assets resulting from operations was $0.08 and $0.17, respectively. For the three and six months ended June 30, 2016, we recorded a net increase in net assets resulting from operations of $24,720,788 and $30,995,508, respectively. Based on 89,644,821 and 87,245,126 weighted average common shares outstanding for the three and six months ended June 30, 2016, respectively, our per share net increase in net assets resulting from operations was $0.20 and $0.40, respectively.

Financial Condition, Liquidity and Capital Resources

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

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

As of June 30, 2017 and December 31, 2016, we had $84,276,709 and $99,400,794, respectively, in cash and cash equivalents. In the future, we may generate cash from future offerings of securities, future borrowings and cash flows from operations, including interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less. Our primary use of funds is investments in our targeted asset classes, cash distributions to our stockholders, and other general corporate purposes.

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

9

The following table shows our net borrowings as of June 30, 2017 and December 31, 2016:

	June 30, 2017							December 31, 2016
	Total Commitment		Balance Outstanding			Unused Commitment		Total Commitment		Balance Outstanding			Unused Commitment
ING Credit Facility	$	220,000,000	$	190,000,000		$	30,000,000	$	175,000,000	$	150,000,000		$	25,000,000
Alpine Credit Facility	300,000,000		240,000,000			60,000,000		300,000,000		240,000,000			60,000,000
Total before deferred financing costs	520,000,000		430,000,000			90,000,000		475,000,000		390,000,000			85,000,000
Unamortized deferred financing costs	—		(4,012,253		)	—		—		(4,340,533		)	—
Total borrowings outstanding, net	$	520,000,000	$	425,987,747		$	90,000,000	$	475,000,000	$	385,659,467		$	85,000,000

On August 12, 2016, we amended our ING Credit Facility pursuant to the Revolving Credit Agreement with certain lenders party thereto from time to time and ING Capital LLC, as administrative agent. The ING Credit Facility matures on August 12, 2020 and is secured by substantially all of our assets, subject to certain exclusions as further set forth in the Security Agreement entered into in connection with the Revolving Credit Agreement, among us, the Subsidiary Guarantors party thereto, ING Capital LLC, as Administrative Agent, each Financial Agent and Designated Indebtedness Holder party thereto and ING Capital LLC, as Collateral Agent. The ING Credit Facility also includes usual and customary representations, covenants and events of default for senior secured revolving credit facilities of this nature. On February 13, 2015, commitments to the ING credit facility were expanded from $150 million to $170 million. On August 12, 2016, commitments to the ING credit facility were expanded from $170 million to $175 million. On April 20, 2017, commitments to the ING Credit Facility were expanded from $175 million to $220 million.

The ING Credit Facility allows for us, at our option, to borrow money at a rate of either (i) an alternate base rate plus 1.50% per annum or (ii) LIBOR plus 2.50% per annum. The interest rate margins are subject to certain step-downs upon the satisfaction of certain conditions described in the Revolving Credit Agreement. The alternate base rate will be the greatest of (i) the U.S. Prime Rate set forth in the Wall Street Journal, (ii) the federal funds effective rate plus 1/2 of 1%, and (iii) three month LIBOR plus 1%. As of June 30, 2017 and December 31, 2016, the commitment under the ING Credit Facility was $220 million and $175 million, respectively, and the ING Credit Facility includes an accordion feature that allows for potential future expansion of the ING Credit Facility up to a total of $500 million. Availability of loans under the ING Credit Facility is linked to the valuation of the collateral pursuant to a borrowing base mechanism.

We are also required to pay a commitment fee to the lenders based on the daily unused portion of the aggregate commitments under the ING Credit Facility. The commitment fee is (i) 1.50% if the used portion of the aggregate commitments is less than or equal to 40%, (ii) 0.75% if the used portion of the aggregate commitments is greater than 40% and less than or equal to 65% or (iii) 0.50% if the used portion of the aggregate commitments is greater than 65%. The ING Credit Facility provides that we may use the proceeds of the facility for general corporate purposes, including making investments in accordance with our investment objective and strategy. As of June 30, 2017, our borrowings under the ING Facility totaled $190 million and were recorded as part of revolving credit facility payable on our consolidated statements of assets and liabilities.

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

Borrowings under the Alpine Credit Facility are subject to compliance with a NAV coverage ratio with respect to the current value of Alpine’s portfolio and various eligibility criteria must be satisfied with respect to the initial acquisition of each loan in Alpine’s portfolio. Any amounts borrowed under the Alpine Credit Facility will mature, and all accrued and unpaid interest thereunder will be due and payable, on July 23, 2019. As of June 30, 2017, Alpine’s borrowings under the Alpine Credit Facility totaled $240 million and were recorded as part of revolving credit facility payable on our consolidated statements of assets and liabilities.

See Note 6 to our consolidated financial statements as of June 30, 2017 for more information about our credit facilities.

10

Contractual Obligations

The following table shows our payment obligations for repayment of debt, which total our contractual obligations at June 30, 2017:

	Payment Due By Period
	Total		Less than 1 Year		1 - 3 Years		3 - 5 Years		More than 5 Years
ING Credit Facility	$	190,000,000	$	—	$	—	$	190,000,000	$	—
Alpine Credit Facility	240,000,000		—		240,000,000		—		—
Total Contractual Obligations	$	430,000,000	$	—	$	240,000,000	$	190,000,000	$	—

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

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

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

Off-Balance Sheet Arrangements

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

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

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

SIC Advisors acts as the investment manager of Arbor and has discretion over the composition of the basket of loans underlying the TRS. The terms of the TRS are governed by an ISDA 2002 Master Agreement, the Schedule thereto and Credit Support Annex to such Schedule, and the Confirmation exchanged thereunder, between Arbor and Citibank, which collectively establish the TRS, and are collectively referred to herein as the “TRS Agreement”. See Note 5 to our consolidated financial statements as of June 30, 2017 for more information about the TRS.

Transactions in TRS contracts during the three months ended June 30, 2017 were $7.6 million in realized losses and $10.3 million in unrealized gains, which are recorded on the consolidated statements of operations.

Transactions in TRS contracts during the three months ended June 30, 2016 were $1.7 million in realized gains and $6.7 million in unrealized gains, which are recorded on the consolidated statements of operations.

11

Our derivative asset from Citibank, net of amounts available for offset under a master netting agreement as of June 30, 2017, was $1.9 million, which are recorded on the consolidated statements of assets and liabilities as a receivable due on total return swap.

The following table shows the volume of the Company’s derivative transactions during the three and six months ended June 30, 2017 and 2016:

	Three Months Ended June 30,				Six Months Ended June 30,
	2017		2016		2017		2016
Average notional par amount of contracts	$	254,095,027	$	213,604,209	$	248,586,810	$	212,568,530

On March 27, 2015, the Company and GALIC entered into a limited liability company operating agreement to co-manage Sierra JV. The Company and GALIC have committed to provide $100 million of equity to Sierra JV, with the Company providing $87.5 million and GALIC providing $12.5 million. Sierra JV commenced operations on July 15, 2015. On August 4, 2015, Sierra JV entered into the JV Facility led by Credit Suisse, AG with initial commitments of $100 million. On December 29, 2015, the JV Facility was amended and the commitment increased to $135 million. On March 31, 2017, Credit Suisse, AG assigned its commitment in the JV Facility to Deutsche Bank AG and the JV Facility was amended to increase commitments to $240 million and extend the maturity to March 30, 2022. As of June 30, 2017, there was $159.9 million outstanding under the JV Facility and the Sierra JV had total assets at fair value of $240.9 million. As of June 30, 2017, Sierra JV’s portfolio was comprised of 100.0% of senior secured first lien term loans to 49 different portfolio companies with one portfolio company on non-accrual status.

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

Distributions

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

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

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

Subject to our board of directors’ discretion and applicable legal restrictions, we expect to authorize and pay monthly distributions to our stockholders. Any distributions to our stockholders will be declared out of assets legally available for distribution. We expect to continue making monthly distributions unless our results of operations, our general financial condition, general economic conditions, or other factors prohibit us from doing so. From time to time, but not less than quarterly, we will review our accounts to determine whether distributions to our stockholders are appropriate. We have not established limits on the amount of funds we may use from available sources to make distributions. From the commencement of our offering through September 30, 2016, a portion of our distributions were comprised in part of expense support payments made by SIC Advisors that may be subject to repayment by us within three years of the date of such support payment. The purpose of this arrangement was to cover distributions

12

to stockholders so as to ensure that the distributions did not constitute a return of capital for GAAP purposes. In the future, we may have distributions which could be characterized as a return of capital. Such distributions are not based on our investment performance and can only be sustained if we achieve positive investment performance in future periods and/or SIC Advisors elects to make expense support payments under an expense support agreement. Any future reimbursements to SIC Advisors will reduce the net investment income that may otherwise be available for distribution to stockholders. There can be no assurance that we will achieve the performance necessary to sustain our distributions or that we will be able to pay distributions at all. SIC Advisors has no obligation to enter into a renewed expense support agreement. For the three and six months ended June 30, 2016, if net expense support payments of $5,498,606 and $10,703,502 were not made by SIC Advisors, approximately 31% and 31% of the distributions would have been a return of capital for GAAP purposes, respectively.

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

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

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

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

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

Related Party Transactions

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

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

13

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

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

We have entered into a dealer manager agreement with SC Distributors, LLC who receives a dealer manager fee of up to 2.50% of gross proceeds raised in the offering. An affiliated entity of SC Distributors, LLC owns an equity interest in SIC Advisors, which provides the right to receive a fixed percentage of the management fees received by SIC Advisors.

On June 15, 2017, the Company, SIC Advisors and SC Distributors LLC entered into the First Amendment to the Second Amended and Restated Dealer Manager Agreement (the “First Amendment”). The terms of the First Amendment became effective with respect to subscriptions of Class A shares submitted beginning on June 16, 2017. Pursuant to the First Amendment, the upfront selling commission was reduced from 7.00% of gross proceeds to up to 3.00% of gross proceeds and the dealer manager fee was reduced from 2.75% of gross proceeds to up to 2.50% of gross proceeds. Further, in connection with the sale of Class A shares by participating broker-dealers, SC Distributors LLC will reallow and pay participating broker-dealers up to: (a) 3.00% of the gross proceeds from their allocated sales of Class A shares; and (b) 2.50% of the gross proceeds for dealer manager fees of Class A shares. In addition, SIC Advisors will pay the SC Distributors LLC, without reimbursement from the Company, an ongoing distribution and stockholder servicing fee that accrues daily in an amount equal to 1/365th of up to 1.0% of the net asset value per Class A share as of the end of each quarterly period following the date of purchase on a continuous basis from year to year for certain services.

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

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

Management Fee

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

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

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

• A capital gains incentive fee will be earned on realized investments and shall be payable in arrears as of the end of each calendar year during which the Investment Advisory Agreement is in effect. If the Investment Advisory

14

Agreement is terminated, the fee will become payable as of the effective date of such termination. The capital gains incentive fee is based on our realized capital gains on a cumulative basis from inception, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis, which we refer to as “net realized capital gains.” The capital gains incentive fee equals 20% of net realized capital gains, less the aggregate amount of any previously paid capital gains incentive fee.

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

Critical Accounting Policies

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

Valuation of Investments

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

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

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

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

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

15

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

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

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

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

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

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

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

• management reviews preliminary valuations and their own independent assessment;

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

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

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

The valuation procedures described are generally applied to the loans underlying the TRS, except that such assets are not reviewed by independent third party valuation firms. We will value the TRS in accordance with the TRS Agreement. Pursuant to the TRS Agreement, the value of the TRS will be based on the increase or decrease in the value of the assets underlying the TRS, together with accrued interest income, interest expense and certain other expenses incurred under the TRS. The assets underlying the TRS will be valued by Citibank. Citibank will base its valuation on the indicative bid prices provided by an independent third-party pricing service. Bid prices reflect the highest price that market participants may be willing to pay. These valuations will be

16

sent to us for review and testing. Our board of directors will review and approve the value of the TRS, as well as the value of the assets underlying the TRS, on a quarterly basis as part of their quarterly determination of NAV. To the extent our board of directors has any questions or concerns regarding the valuation of the assets underlying the TRS, such valuation will be discussed or challenged pursuant to the terms of the TRS. For additional disclosures on the TRS, see “Off-Balance Sheet Arrangements.”

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

Revenue Recognition

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

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

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

Payment-in-Kind Interest

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

Organization and Offering Expenses

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

U.S. Federal Income Taxes

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

Recent Developments

On July 11, 2017, our board of directors declared a series of semi-monthly distributions for July, August and September 2017 in the amount of $0.02667 per share. These distributions represent an annualized yield of 7.49% based on our then-current offering price of $8.55 per share. Stockholders of record as of each respective record date will be entitled to receive the distribution. Below are the details for each respective distribution:

17

Record Date	Payment Date	Amount per share
July 14 and 31, 2017	July 31, 2017	$	0.02667
August 15 and 31, 2017	August 31, 2017	0.02667
September 15 and 30, 2017	September 30, 2017	0.02667

In addition, we have issued common shares and received gross proceeds of approximately $1.8 million subsequent to June 30, 2017 through August 8, 2017.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

We are subject to financial market risks, including changes in interest rates. As of June 30, 2017, 90.6% of our portfolio investments (based on fair value) paid floating interest rates, 9.4% paid fixed interest rates, 5.8% were non-income producing equity or other investments and the remaining 94.2% were income producing equity/other investments. A rise in the general level of interest rates can be expected to lead to higher interest rates applicable to any variable rate investments we hold and to declines in the value of any fixed rate investments we hold. However, many of our variable rate investments provide for an interest rate floor, which may prevent our interest income from increasing until benchmark interest rates increase beyond a threshold amount. To the extent that a substantial portion of our investments may be in variable rate investments, an increase in interest rates beyond this threshold would make it easier for us to meet or exceed the hurdle rate applicable to the subordinated incentive fee on income under the Investment Advisory Agreement we have entered into with SIC Advisors, and may result in a substantial increase in our net investment income and to the amount of incentive fees payable to SIC Advisors with respect to our increased pre-incentive fee net investment income.

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

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

Based on our Consolidated Statement of Assets and Liabilities as of June 30, 2017, the following table shows the approximate annual impact on the change in net assets resulting from operations of hypothetical base rate changes in interest rates, assuming no changes in our investment portfolio and capital structure:

	Change in
Basis point increase	Interest Income (1)		Interest Expense		Net Interest Income
100	$	11,615,967	$	4,300,000	$	7,315,967
200	20,886,855		8,600,000		12,286,855
300	30,157,744		12,900,000		17,257,744
400	39,428,633		17,200,000		22,228,633
500	48,699,521		21,500,000		27,199,521

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

We expect that our long-term investments will be financed primarily with equity and debt. If deemed prudent, we may use interest rate risk management techniques in an effort to minimize our exposure to interest rate fluctuations. These techniques may include various interest rate hedging activities to the extent permitted by the 1940 Act. Adverse developments resulting from changes in interest rates or hedging transactions could have a material adverse effect on our business, financial condition and results of operations. During the three months ended June 30, 2017, we did not engage in interest rate hedging activities.

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

18

Item 4.    Controls and Procedures

Evaluation of Disclosure Controls and Procedures

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

Changes in Internal Control Over Financial Reporting

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

PART II. Other Information

Item 1. Legal Proceedings

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

Item 1A. Risk Factors

In addition to other information set forth in this report, you should carefully consider the “Risk Factors” discussed in our annual report on Form 10-K for the fiscal year ended December 31, 2016, filed with the SEC on March 7, 2017, which could materially affect our business, financial condition and/or operating results. There have been no material changes during the six months ended June 30, 2017 to the risk factors discussed in “Item 1A. Risk Factors” of our annual report on Form 10-K. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial

condition and/or operating results.

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

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

The following table provides information concerning our repurchases of shares of our common stock during the three months ended June 30, 2017 pursuant to our share repurchase program:

Period	Total Number of Shares Purchased	Average Price per Share	Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs	Maximum Number (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Plans or Programs
April 1, 2017 through June 30, 2017	1,767,638	$8.17	1,748,060	— (1)

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

19

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not Applicable.

Item 5. Other Information

None.

Item 6. Exhibits.

EXHIBIT INDEX

Number	Description
3.1	Articles of Incorporation of the Registrant(1)
3.2	Articles of Amendment of the Registrant(1)
3.3	Articles of Amendment and Restatement of the Registrant(3)
3.4	Second Articles of Amendment and Restatement of the Registrant(6)
3.5	Form of Articles Supplementary Electing to be Subject to Subtitle 8 of the Maryland General Corporation Law(15)
3.6	Form of Bylaws of the Registrant(1)
10.1	Form of Subscription Agreement(12)
10.2	Amended and Restated Distribution Reinvestment Plan(8)
10.3	Investment Advisory Agreement(5)
10.4	Form of Second Amended and Restated Dealer Manager Agreement(16)
10.5	Form of Participating Broker-Dealer Agreement (Included as Exhibit A to the Form of Amended and Restated Dealer Manager Agreement)(16)
10.6	Custody Agreement(2)
10.7	Form of Administration Agreement(2)
10.8	Form of License Agreement(5)
10.9	Form of Escrow Agreement(4)
10.10	Expense Support and Reimbursement Agreement(7)
10.11	ISDA 2002 Master Agreement, together with the Schedule thereto and Credit Support Annex to such Schedule, each dated as of August 27, 2013, by and between Arbor Funding LLC and Citibank, N.A.(9)
10.12	Fourth Amended and Restated Confirmation Letter Agreement, dated as of March 21, 2016, by and between Arbor Funding LLC and Citibank, N.A.(17)
10.13	Amended and Restated Senior Secured Revolving Credit Agreement among the Company as borrower, the Lenders party thereto, and ING Capital LLC, as Administrative Agent, dated as of August 12, 2016(18)
10.14	Guarantee, Pledge and Security Agreement among the Company, the Subsidiary Guarantors party thereto, ING Capital LLC, as Administrative Agent, each Financial Agent and Designated Indebtedness Holder party thereto and ING Capital LLC, as Collateral Agent, dated December 4, 2013(10)
10.15	Control Agreement among the Company, ING Capital LLC, as collateral agent, and State Street Bank and Trust Company, as the Company’s Custodian, dated December 4, 2013(10)
10.16	Loan Agreement, dated as of July 23, 2014, by and among Alpine Funding LLC, as company, JPMorgan Chase Bank, National Association, as administrative agent, the Financing Providers from time to time party thereto, SIC Advisors LLC, as the portfolio manager, and the Collateral Administrator, Collateral Agent and Securities Intermediary party thereto(11)
10.17	Sale and Contribution Agreement, dated as of July 23, 2014, by and between Sierra Income Corporation, as seller, and Alpine Funding LLC, as purchaser(11)

20

10.18	Portfolio Management Agreement, dated as of July 23, 2014, by and between Alpine Funding LLC, as borrower and SIC Advisors LLC, as portfolio manager(11)
10.19	Amendment No. 1 to the Loan Agreement, dated as of July 23, 2014, by and among Alpine Funding LLC, as borrower, JPMorgan Chase Bank, National Association, as administrative agent, the Financing Providers from time to time party thereto, SIC Advisors LLC, as the portfolio manager, and the Collateral Administrator, Collateral Agent and Securities Intermediary party thereto(13)
10.20	Limited Liability Company Operating Agreement of Sierra Senior Loan Strategy JV I LLC, dated March 27, 2015(14)
11.1	Computation of Per Share Earnings (included in the notes to the financial statements contained in this report)*
31.1	Certification by Chief Executive Officer pursuant to Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002*
31.2	Certification by Chief Financial Officer pursuant to Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002*
32.1	Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002*

____________________________

* Filed herewith.

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

(2) Previously filed in connection with Pre-Effective Amendment No. 3 to the Registrant’s Registration Statement on Form N-2 (File No. 333-175624), filed on February 21, 2012, and incorporated by reference herein.

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

(4) Previously filed in connection with Pre-Effective Amendment No. 5 to the Registrant’s Registration Statement on Form N-2 (File No. 333-175624), filed on March 21, 2012, and incorporated by reference herein.

(5) Previously filed in connection with Pre-Effective Amendment No. 6 to the Registrant’s Registration Statement on Form N-2 (File No. 333-175624), filed on April 10, 2012, and incorporated by reference herein.

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

(7) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K filed on July 20, 2012, and incorporated by reference herein.

(8) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K filed on September 3, 2013, and incorporated by reference herein.

(9) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K filed on December 9, 2013, and incorporated by reference herein.

(10) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K filed on July 23, 2014, and incorporated by reference herein.

(11) Previously filed as an exhibit to Registrant’s Current Report on Form 8-K filed on February 10, 2015, and incorporated by reference herein.

(12) Previously filed as an exhibit to Registrant’s Current Report on Form 8-K filed on March 30, 2015, and incorporated by reference herein.

(13) Previously filed as an exhibit to Registrant’s Current Report on Form 8-K filed on February 10, 2015, and incorporated by reference herein.

(14) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K, filed on March 24, 2016, and incorporated by reference herein.

(15) Previously filed as an exhibit to the Registrant’s Current Report on Form 8-K filed on August 17, 2016, and incorporated by reference herein

(16) Previously filed as an exhibit to the Registrant’s Post-Effective Amendment No. 4 to the Registration Statement on Form N-2 (File No. 200595), filed on March 17, 2017).

(17) Previously filed as an exhibit to Registrant’s Current Report on Form 8-K filed on June 15, 2017, and incorporated by reference herein.

(18) Previously filed as an exhibit to Registrant’s Current Report on Form 8-K filed on June 30, 2017, and incorporated by reference herein.

21

SIGNATURES

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

Dated: August 8, 2017	Sierra Income Corporation
	By	/s/ Seth Taube
		Seth Taube Chief Executive Officer (Principal Executive Officer)
	By	/s/ Christopher M. Mathieu
		Christopher M. Mathieu Chief Financial Officer (Principal Accounting and Financial Officer)

22