UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington,
D.C. 20549 FORM10-Q
  [x]
 QUARTERLY REPORT PURSUANT TO SECTION 13 OR
  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 For the quarterly period endedMarch 31,
2016 OR [  ]
 TRANSITION REPORT PURSUANT TO SECTION 13 OR
  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 For the transition period from __________ to __________ Commission File Number000-54755 CĪON Investment Corporation(Exact name of registrant as specified in its
  charter)
  Maryland
 
 45-3058280(State or other jurisdiction of
  incorporation or organization)
 
 (I.R.S. Employer
  Identification No.)3 Park Avenue, 36th Floor
  New York, New York
 
 10016(Address of principal executive offices)
 
 (Zip Code)
  (212) 418-4700(Registrant’s telephone number, including area code)Not applicable(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 submittedelectronicallyand 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 (§232.405 of this chapter) during the preceding 12 months (or
for such shorter period that the registrant was required to submit and post
such files). Yes [  ] No [  ] Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller
reporting company. See the definitions of “large accelerated filer,”
“accelerated filer” and “smaller reporting company” in Rule 12b-2 of the
Exchange Act. Large accelerated filer [  ]
 Accelerated filer [  ]Non-accelerated filer [x](Do not check if a smaller reporting company)
 Smaller reporting company [  ]
 Indicate by check mark whether the registrant is a
shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [  ] No [x] The number of shares of the registrant’s common stock, $0.001 par value,
outstanding as of May 5, 2016 was 104,619,711.


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CĪON INVESTMENT CORPORATION FORM 10-Q TABLE OF CONTENTS PagePART I - FINANCIAL INFORMATIONItem 1. Financial Statements
 1Consolidated Balance Sheets
 1Consolidated Statements of Operations
 2Consolidated Statements of Changes in Net Assets
 3Consolidated Statements of Cash Flows
 4Consolidated Schedules of Investments
 5Notes to Consolidated Financial Statements
 11Item 2. Management’s Discussion and Analysis of Financial
  Condition and Results of Operations
 40Item 3. Quantitative and Qualitative Disclosures About Market
  Risk
 55Item 4. Controls and Procedures
 56PART II – OTHER INFORMATIONItem 1. Legal Proceedings
 57Item 1A. Risk Factors
 57Item 2. Unregistered Sales of Equity Securities and Use of
  Proceeds
 57Item 3. Defaults Upon Senior Securities
 57Item 4. Mine Safety Disclosures
 57Item 5. Other Information
 57Item 6. Exhibits
 58Signatures
 60


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PART I – FINANCIAL INFORMATION Item
1. Financial Statements CĪON
Investment Corporation Consolidated Balance
Sheets (in thousands, except share and per share
amounts) March 31,
 
 December 31,2016
 
 2015(unaudited)AssetsInvestments, at
  fair value (amortized cost of $714,406 and $699,036, respectively)
 $
 672,564
 
 $
 669,799Cash
 
 18,876
 
 
 39,741Restricted cash
 
 2,000
 
 
 2,000Due from
  counterparty(1)
 
 231,831
 
 
 226,316Receivable for
  common stock purchased
 
 -
 
 
 5,459Interest
  receivable on investments
 
 4,976
 
 
 5,973Receivable due
  on investments sold
 
 7,515
 
 
 50Receivable due
  on total return swap(1)
 
 6,709
 
 
 6,175Prepaid expenses
  and other assets
 
 430
 
 
 243Total assets
 $
 944,901
 
 $
 955,756Liabilities and Shareholders' EquityLiabilitiesPayable for
  investments purchased
 $
 4,930
 
 $
 9,800Accounts payable
  and accrued expenses
 
 908
 
 
 692Commissions
  payable for common stock purchased ($1 and $171 to CĪON Securities, LLC,
  respectively)
 
 7
 
 
 474Accrued
  management fees
 
 4,512
 
 
 4,430Accrued
  administrative services expense
 
 292
 
 
 617Accrued
  recoupment of expense support from IIG(2)
 
 119
 
 
 480Due to IIG -
  offering, organizational and other costs(3)
 
 17
 
 
 37Unrealized
  depreciation on total return swap(1)
 
 36,508
 
 
 34,900Total
  liabilities
 
 47,293
 
 
 51,430Commitments and
  contingencies (Note 4 and Note 11)Shareholders'
  EquityCommon stock,
  $0.001 par value; 500,000,000 shares authorized;104,723,030
  and 103,814,361 shares issued and outstanding, respectively
 
 105
 
 
 104Capital in
  excess of par value
 
 976,028
 
 
 968,359Accumulated
  distributions in excess of net investment income
 
 (167)
 
 
 -Accumulated net
  realized losses on investments
 
 (8)
 
 
 -Accumulated net
  unrealized depreciation on investments
 
 (41,842)
 
 
 (29,237)Accumulated net
  unrealized depreciation on total return swap(1)
 
 (36,508)
 
 
 (34,900)Total
  shareholders' equity
 
 897,608
 
 
 904,326Total
  liabilities and shareholders' equity
 $
 944,901
 
 $
 955,756Net asset value
  per share of common stock at end of period
 $
 8.57
 
 $
 8.71(1) See Note 7 for a discussion of the Company’s total return
  swap agreement.(2) See Note 4 for a discussion of expense support from ICON
  Investment Group, LLC, or IIG, and recoupment of expense support.(3) See Note 2 for a discussion of offering, organizational and
  other costs submitted to the Company for reimbursement by IIG and its
  affiliates.
 See
accompanying notes to consolidated financial statements. 1


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CĪON Investment Corporation Consolidated Statements of
Operations (in thousands, except share
and per share amounts)
 Three Months Ended
  March 31,2016
 
 2015(unaudited)
 
 (unaudited)Investment
  incomeInterest income
 $
 17,079
 
 $
 8,444Fee and other
  income
 
 192
 
 
 470Total
  investment income
 
 17,271
 
 
 8,914Operating
  expensesManagement fees
 
 4,512
 
 
 2,760Administrative
  services expense
 
 292
 
 
 454Capital gains
  incentive fee(1)
 
 -
 
 
 1,454General and
  administrative(2)
 
 1,753
 
 
 1,278Interest expense
 
 120
 
 
 -Total
  operating expenses
 
 6,677
 
 
 5,946Recoupment of
  expense support from IIG(3)
 
 119
 
 
 837Net
  operating expenses
 
 6,796
 
 
 6,783Net
  investment income
 
 10,475
 
 
 2,131Realized and
  unrealized (losses) gainsNet realized
  (loss) gain on investments
 
 (8)
 
 
 575Net change in
  unrealized (depreciation) appreciation on investments
 
 (12,605)
 
 
 1,464Net realized
  gain on total return swap(4)
 
 8,362
 
 
 6,607Net change in unrealized
  (depreciation) appreciation on total return swap(4)
 
 (1,608)
 
 
 6,049Total net
  realized and unrealized (losses) gains
 
 (5,859)
 
 
 14,695Net increase in
  net assets resulting from operations
 $
 4,616
 
 $
 16,826Per share
  information—basic and dilutedNet increase in
  net assets per share resulting from operations
 $
 0.04
 
 $
 0.29Weighted average
  shares of common stock outstanding
 
 103,957,573
 
 
 58,939,554(1)  See Note 2
  and Note 4 for a discussion of the methodology employed by the Company in
  calculating the capital gains incentive fee.(2)  See Note 10
  for details of the Company's general and administrative expenses.(3)  See Note 4
  for a discussion of expense support from IIG and recoupment of expense
  support.(4)  See Note 7
  for a discussion of the Company’s total return swap agreement.
 See
accompanying notes to consolidated financial statements. 2


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CĪON Investment Corporation Consolidated Statements of
Changes in Net Assets (in thousands, except share
and per share amounts)
 Three Months Ended
  March 31,2016
 
 2015(unaudited)
 
 (unaudited)Changes in
  net assets from operations:Net investment
  income
 $
 10,475
 
 $
 2,131Net realized
  (loss) gain on investments
 
 (8)
 
 
 575Net change in
  unrealized (depreciation) appreciation on investments
 
 (12,605)
 
 
 1,464Net realized gain
  on total return swap(1)
 
 8,362
 
 
 6,607Net change in
  unrealized (depreciation) appreciation on total return swap(1)
 
 (1,608)
 
 
 6,049Net increase in
  net assets resulting from operations
 
 4,616
 
 
 16,826Changes in
  net assets from shareholders' distributions:(2)Net investment
  income
 
 (10,475)
 
 
 (2,131)Net realized
  gain on total return swapNet interest and
  other income from TRS portfolio
 
 (8,193)
 
 
 (6,408)Net gain on TRS
  loan sales
 
 (169)
 
 
 (199)Net realized
  gain on investments
 
 -
 
 
 (575)Distributions in
  excess of net investment income(3)
 
 (167)
 
 
 (1,454)Net decrease in
  net assets from shareholders' distributions
 
 (19,004)
 
 
 (10,767)Changes in
  net assets from capital share transactions:Issuance of
  common stock, net of issuance costs of $50 and $10,016, respectively
 
 424
 
 
 99,715Reinvestment of
  shareholders' distributions
 
 9,683
 
 
 3,410Repurchase of
  common stock
 
 (2,437)
 
 
 (460)Net increase in
  net assets resulting from capital share transactions
 
 7,670
 
 
 102,665Total (decrease)
  increase in net assets
 
 (6,718)
 
 
 108,724Net assets at
  beginning of period
 
 904,326
 
 
 496,389Net assets at
  end of period
 $
 897,608
 
 $
 605,113Net asset value
  per share of common stock at end of period
 $
 8.57
 
 $
 9.35Shares of common
  stock outstanding at end of period
 
 104,723,030
 
 
 64,734,704Distributions in
  excess of net investment income at end of period(3)
 $
 (167)
 
 $
 (1,454)(1)
 See Note 7 for a
  discussion of the Company’s total return swap agreement.(2)
 This table presents changes in net assets from shareholders'
  distributions on a GAAP basis. See Note 5 for a discussion of the sources of distributions
  paid by the Company.(3)
 Distributions in excess of net investment income represent
  certain expenses, which are not deductible on a tax-basis. Unearned capital
  gains incentive fees and certain offering expenses reduce GAAP basis net
  investment income, but do not reduce tax basis net investment income. These
  tax-related adjustments represent additional net investment income available
  for distribution for tax purposes.
 See
accompanying notes to consolidated financial statements. 3


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CĪON Investment
Corporation Consolidated Statements of Cash Flows (in thousands)
 Three Months Ended
  March 31,2016
 
 2015(unaudited)
 
 (unaudited)Operating
  activities:Net increase in
  net assets resulting from operations
 $
 4,616
 
 $
 16,826Adjustments to
  reconcile net increase in net assets resulting fromoperations to
  net cash used in operating activities:Net accretion of
  discount on investments
 
 (409)
 
 
 (204)Proceeds from
  principal repayment of investments
 
 10,749
 
 
 1,118Purchase of
  investments
 
 (37,007)
 
 
 (115,528)Decrease
  (increase) in short term investments, net
 
 369
 
 
 (22,838)Proceeds from
  sale of investments
 
 10,920
 
 
 35,565Net realized
  loss (gain) on investments
 
 8
 
 
 (575)Net unrealized
  depreciation (appreciation) on investments
 
 12,605
 
 
 (1,464)Net unrealized
  depreciation (appreciation) on total return swap(1)
 
 1,608
 
 
 (6,049)Amortization of
  deferred financing costs
 
 69
 
 
 -(Increase)
  decrease in due from counterparty(1)
 
 (5,515)
 
 
 (41,150)(Increase)
  decrease in interest receivable on investments
 
 997
 
 
 129(Increase)
  decrease in receivable due on investments sold
 
 (7,465)
 
 
 (3,261)(Increase)
  decrease in receivable due on total return swap(1)
 
 (534)
 
 
 (1,704)(Increase)
  decrease in prepaid expenses and other assets
 
 (106)
 
 
 (301)Increase
  (decrease) in payable for investments purchased
 
 (4,870)
 
 
 33,335Increase
  (decrease) in accounts payable and accrued expenses
 
 216
 
 
 146Increase
  (decrease) in accrued management fees
 
 82
 
 
 1,729Increase
  (decrease) in accrued administrative services expense
 
 (325)
 
 
 (129)Increase
  (decrease) in accrued recoupment of expense support from IIG(2)
 
 (361)
 
 
 837Increase
  (decrease) in due to IIG - offering, organizational and other costs(3)
 
 (20)
 
 
 (385)Increase
  (decrease) in accrued capital gains incentive fee on unrealized appreciation
 
 -
 
 
 1,454Net cash used in
  operating activities
 
 (14,373)
 
 
 (102,449)Financing
  activities:Gross proceeds
  from issuance of common stock
 
 5,933
 
 
 111,190Commissions and
  dealer manager fees paid
 
 (517)
 
 
 (10,584)Repurchase of
  common stock
 
 (2,437)
 
 
 (460)Shareholders'
  distributions paid(4)
 
 (9,321)
 
 
 (2,955)Deferred
  financing costs paid
 
 (150)
 
 
 -Net cash (used
  in) provided by financing activities
 
 (6,492)
 
 
 97,191Net decrease in
  cash
 
 (20,865)
 
 
 (5,258)Cash, beginning
  of period
 
 39,741
 
 
 9,474Cash, end of
  period
 $
 18,876
 
 $
 4,216Supplemental
  non-cash financing activities:Cash paid for
  interest
 $
 50
 
 $
 -Reinvestment of
  shareholders' distributions(4)
 $
 9,683
 
 $
 3,410Shareholders'
  distributions payable
 $
 -
 
 $
 4,402(1)
 See Note 7 for a
  discussion of the Company’s total return swap agreement.(2)
 See Note 4 for a
  discussion of expense support from IIG and recoupment of expense support.(3)
 See Note 2 for a discussion of offering, organizational and
  other costs submitted to the Company for reimbursement by IIG and its
  affiliates.(4)
 See Note 5 for a
  discussion of the sources of distributions paid by the Company.
  See accompanying
notes to consolidated financial statements. 4


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CĪON Investment Corporation Consolidated Schedule of
Investments (unaudited) March 31, 2016 (in thousands)
  Portfolio Company(a)
 
 Index Rate(b)
 
 Industry
 
 Principal/Par
  Amount
 
 Amortized
  Cost
 
 Fair
  Value(c)Senior
  Secured First Lien Debt - 14.0%Accruent, LLC,
  L+625, 1.00% LIBOR Floor, 11/25/2019
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 $
 2,955
 
 $
 2,950
 
 $
 2,925ECI Acquisition
  Holdings, Inc., L+625, 1.00% LIBOR Floor, 3/11/2019
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 8,583
 
 
 8,551
 
 
 8,497F+W Media, Inc.,
  L+725, 1.25% LIBOR Floor, 6/30/2019
 
 3 Month LIBOR
 
 Media:
  Diversified & Production
 
 
 10,290
 
 
 9,982
 
 
 9,622Ignite
  Restaurant Group, Inc., L+700, 1.00% LIBOR Floor, 2/13/2019
 
 3 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 11,609
 
 
 11,490
 
 
 11,493Infogroup Inc.,
  L+550, 1.50% LIBOR Floor, 5/26/2018
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 15,702
 
 
 15,249
 
 
 14,632Intertain Group
  Ltd., L+650, 1.00% LIBOR Floor, 4/8/2022(g)
 
 1 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 1,941
 
 
 1,905
 
 
 1,921Nathan's Famous
  Inc., 10.00%, 3/15/2020(g)
 
 None
 
 Beverage, Food
  & Tobacco
 
 
 6,000
 
 
 6,000
 
 
 6,323Panda Sherman
  Power, LLC, L+750, 1.50% LIBOR Floor, 9/14/2018
 
 3 Month LIBOR
 
 Energy:
  Electricity
 
 
 4,232
 
 
 4,207
 
 
 3,661Plano Molding
  Company, LLC, L+600, 1.00% LIBOR Floor, 5/12/2021
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 10,917
 
 
 10,819
 
 
 10,590SmartBear
  Software Inc., L+750, 1.00% LIBOR Floor, 12/30/2020
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 18,872
 
 
 18,505
 
 
 18,494Smile Brands
  Group, Inc., L+775, 1.25% LIBOR Floor, 8/16/2019(k)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 3,684
 
 
 3,631
 
 
 3,159Sprint
  Industrial Holdings, LLC, L+575, 1.25% LIBOR Floor, 5/14/2019
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 7,363
 
 
 6,809
 
 
 5,596Studio Movie
  Grill Holdings, LLC, L+725, 1.00% LIBOR Floor, 9/10/2018(d)(j)
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 18,507
 
 
 18,447
 
 
 18,507Telestream
  Holdings Corp., L+950, 1.00% LIBOR Floor, 1/15/2020
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 7,433
 
 
 7,285
 
 
 7,284TOPPS Company,
  Inc., L+600, 1.25% LIBOR Floor, 10/2/2018
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 3,301
 
 
 3,267
 
 
 3,244Total Senior
  Secured First Lien Debt
 
 
 
 
 
 
 
 
 
 129,097
 
 
 125,948Senior
  Secured Second Lien Debt - 49.1%ABG Intermediate
  Holdings 2 LLC, L+850, 1.00% LIBOR Floor, 5/27/2022(d)
 
 3 Month LIBOR
 
 Retail
 
 
 8,788
 
 
 8,732
 
 
 8,414Access CIG, LLC,
  L+875, 1.00% LIBOR Floor, 10/17/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 16,030
 
 
 15,411
 
 
 15,629ALM Media, LLC,
  L+800, 1.00% LIBOR Floor, 7/30/2021
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 10,344
 
 
 10,181
 
 
 9,568American
  Residential Services LLC, L+750, 1.00% LIBOR Floor, 12/31/2021
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 3,700
 
 
 3,670
 
 
 3,626AmWINS Group,
  LLC, L+850, 1.00% LIBOR Floor, 9/4/2020
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 3,075
 
 
 3,103
 
 
 3,013Blue Ribbon,
  LLC, L+825, 1.00% LIBOR Floor, 11/13/2022(j)
 
 3 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 18,000
 
 
 17,850
 
 
 17,527C.H.I. Overhead
  Doors, Inc., L+775, 1.00% LIBOR Floor, 7/31/2023
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 7,000
 
 
 6,966
 
 
 6,615Concentra Inc.,
  L+800, 1.00% LIBOR Floor, 6/1/2023
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,714
 
 
 5,661
 
 
 5,600Deltek, Inc.,
  L+850, 1.00% LIBOR Floor, 6/26/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 11,245
 
 
 11,083
 
 
 10,852Drew Marine
  Group, Inc., L+700, 1.00% LIBOR Floor, 5/19/2021(g)
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 9,500
 
 
 9,453
 
 
 8,740EISI LLC, L+850,
  1.00% LIBOR Floor, 9/23/2020(j)
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 20,000
 
 
 19,723
 
 
 19,200Elements
  Behavioral Health, Inc., L+1200, 1.00% LIBOR Floor, 2/11/2020(k)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,169
 
 
 5,131
 
 
 4,962Emerald 3 Ltd.,
  L+700, 1.00% LIBOR Floor, 5/16/2022(g)
 
 3 Month LIBOR
 
 Environmental
  Industries
 
 
 3,000
 
 
 2,975
 
 
 2,475Flexera Software
  LLC, L+700, 1.00% LIBOR Floor, 4/2/2021
 
 1 Month LIBOR
 
 High Tech
  Industries
 
 
 9,385
 
 
 9,093
 
 
 8,799Genex Holdings,
  Inc., L+775, 1.00% LIBOR Floor, 5/30/2022
 
 1 Month LIBOR
 
 Services:
  Business
 
 
 11,410
 
 
 11,331
 
 
 10,440Global Tel*Link
  Corp., L+775, 1.25% LIBOR Floor, 11/23/2020
 
 3 Month LIBOR
 
 Telecommunications
 
 
 9,500
 
 
 9,487
 
 
 7,149GTCR Valor
  Companies, Inc., L+850, 1.00% LIBOR Floor, 11/30/2021
 
 1 Month LIBOR
 
 High Tech
  Industries
 
 
 5,000
 
 
 4,961
 
 
 4,973Hilex Poly Co.
  LLC, L+875, 1.00% LIBOR Floor, 6/5/2022
 
 6 Month LIBOR
 
 Containers,
  Packaging & Glass
 
 
 12,409
 
 
 12,182
 
 
 11,727Infiltrator
  Water Technologies, LLC, L+875, 1.00% LIBOR Floor, 5/26/2023
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 13,917
 
 
 13,718
 
 
 13,664Institutional
  Shareholder Services Inc., L+750, 1.00% LIBOR Floor, 4/30/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,860
 
 
 7,779
 
 
 7,231Kronos Inc.,
  L+850, 1.25% LIBOR Floor, 4/30/2020
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 3,738
 
 
 3,724
 
 
 3,740Landslide
  Holdings, Inc., L+725, 1.00% LIBOR Floor, 2/25/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 9,830
 
 
 9,823
 
 
 8,798Lanyon
  Solutions, Inc., L+850, 1.00% LIBOR Floor, 11/15/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 2,273
 
 
 2,264
 
 
 1,978Learfield
  Communications, Inc., L+775, 1.00% LIBOR Floor, 10/9/2021
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 1,350
 
 
 1,339
 
 
 1,345Mergermarket
  USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 3,380
 
 
 3,322
 
 
 2,974Mitchell
  International, Inc., L+750, 1.00% LIBOR Floor, 10/11/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 7,509
 
 
 7,492
 
 
 6,674MSC.Software
  Corp., L+750, 1.00% LIBOR Floor, 5/29/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 15,000
 
 
 14,807
 
 
 12,900Navex Global,
  Inc., L+875, 1.00% LIBOR Floor, 11/18/2022(j)
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 16,245
 
 
 16,012
 
 
 14,864Onex TSG
  Holdings II Corp., L+850, 1.00% LIBOR Floor, 7/31/2023
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 12,249
 
 
 12,133
 
 
 12,004Patterson
  Medical Supply, Inc., L+775, 1.00% LIBOR Floor, 8/28/2023
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 13,500
 
 
 13,372
 
 
 13,230Pelican
  Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 3,469
 
 
 3,480
 
 
 2,931PetroChoice
  Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 15,000
 
 
 14,715
 
 
 14,738Pike Corp.,
  L+850, 1.00% LIBOR Floor, 6/22/2022
 
 3 Month LIBOR
 
 Energy:
  Electricity
 
 
 10,000
 
 
 9,846
 
 
 9,900PODS, LLC,
  L+825, 1.00% LIBOR Floor, 2/2/2023
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 9,984
 
 
 9,929
 
 
 9,847PSC Industrial
  Holdings Corp., L+825, 1.00% LIBOR Floor, 12/5/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,000
 
 
 9,831
 
 
 9,550RP Crown Parent,
  LLC, L+1000, 1.25% LIBOR Floor, 12/21/2019
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 5,000
 
 
 4,758
 
 
 4,033See accompanying notes to consolidated
  financial statements.
 5


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CĪON Investment Corporation Consolidated Schedule of
Investments (unaudited) (continued) March 31, 2016 (in thousands)
 Portfolio
  Company(a)
 
 Index Rate(b)
 
 Industry
 
 Principal/Par
  Amount
 
 Amortized
  Cost
 
 Fair
  Value(c)Securus
  Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021
 
 3 Month LIBOR
 
 Telecommunications
 
 
 4,500
 
 
 4,477
 
 
 3,825SI Organization,
  Inc., L+800, 1.00% LIBOR Floor, 5/23/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,511
 
 
 1,500
 
 
 1,454SMG, L+825,
  1.00% LIBOR Floor, 2/27/2021
 
 Various
 
 Hotel, Gaming
  & Leisure
 
 
 6,220
 
 
 6,220
 
 
 6,189Sterling Midco
  Holdings, Inc., L+775, 1.00% LIBOR Floor, 6/19/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,462
 
 
 10,432
 
 
 10,096STG-Fairway
  Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,000
 
 
 9,857
 
 
 9,500Survey Sampling
  International, LLC, L+900, 1.00% LIBOR Floor, 12/16/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 15,000
 
 
 14,736
 
 
 14,700TASC, Inc.,
  12.00%, 5/23/2021(g)
 
 None
 
 Services:
  Business
 
 
 6,175
 
 
 6,004
 
 
 5,897Telecommunications
  Management, LLC, L+800, 1.00% LIBOR Floor, 10/30/2020
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 1,606
 
 
 1,568
 
 
 1,554TMK Hawk Parent,
  Corp., L+750, 1.00% LIBOR Floor, 10/1/2022(j)
 
 1 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 15,000
 
 
 14,868
 
 
 14,775TransFirst Inc.,
  L+800, 1.00% LIBOR Floor, 11/11/2022
 
 1 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 14,368
 
 
 14,310
 
 
 14,440U.S. Renal Care,
  Inc., L+800, 1.00% LIBOR Floor, 12/29/2023
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,000
 
 
 9,807
 
 
 9,850Vestcom
  International, Inc., L+775, 1.00% LIBOR Floor, 9/30/2022(j)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 15,000
 
 
 14,936
 
 
 13,725Wand
  Intermediate I LP, L+725, 1.00% LIBOR Floor, 9/19/2022
 
 6 Month LIBOR
 
 Automotive
 
 
 16,000
 
 
 15,876
 
 
 14,600Winebow
  Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022
 
 1 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 12,823
 
 
 12,514
 
 
 10,643Total Senior
  Secured Second Lien Debt
 
 
 
 
 
 
 
 
 462,442
 
 440,958Collateralized
  Securities and Structured Products - Debt - 4.3%Deutsche Bank AG
  Frankfurt CRAFT 2013-1A Class Credit Linked Note, L+925, 4/17/2020(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 2,000
 
 
 2,027
 
 
 1,920Deutsche Bank AG
  Frankfurt CRAFT 2013-1X Class Credit Linked Note, L+925, 4/17/2020(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 610
 
 
 617
 
 
 586Deutsche Bank AG
  Frankfurt CRAFT 2014-1 Class Credit Linked Note, L+965, 5/15/2019(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,400
 
 
 5,400
 
 
 5,184Deutsche Bank AG
  Frankfurt CRAFT 2015-2 Class Credit Linked Note, L+925, 1/16/2022(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 15,500
 
 
 15,500
 
 
 14,725Great Lakes CLO
  2014-1, Ltd. Class E Notes, L+525, 4/15/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,000
 
 
 4,580
 
 
 3,283Ivy Hill Middle
  Market Credit Fund VII, Ltd. Class E Notes, L+565, 10/20/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 2,000
 
 
 1,872
 
 
 1,371JFIN CLO 2014,
  Ltd. Class E Notes, L+500, 4/20/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 2,500
 
 
 2,331
 
 
 1,719JPMorgan Chase
  Bank, N.A. Credit Linked Note, L+1225, 12/20/2021(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,000
 
 
 5,000
 
 
 4,913NXT Capital CLO
  2014-1, LLC Class E Notes, L+550, 4/23/2026(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 7,500
 
 
 7,061
 
 
 5,038Total
  Collateralized Securities and Structured Products - Debt
 
 
 
 
 
 
 
 44,388
 
 
 38,739Collateralized
  Securities and Structured Products - Equity - 2.4%Anchorage
  Capital CLO 2012-1, Ltd. Subordinated Notes, 10.33% Estimated Yield,
  1/13/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 4,000
 
 
 3,088
 
 
 2,308APIDOS CLO XVI
  Subordinated Notes, 12.24% Estimated Yield, 1/19/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 9,000
 
 
 5,133
 
 
 2,141CENT CLO 19 Ltd.
  Subordinated Notes, 11.80% Estimated Yield, 10/29/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 2,000
 
 
 1,385
 
 
 976Dryden XXIII
  Senior Loan Fund Subordinated Notes, 10.78% Estimated Yield, 7/17/2023(g)
 
 (e)
 
 Diversified
  Financials
 
 
 9,250
 
 
 5,500
 
 
 3,035Galaxy XV CLO
  Ltd. Class A Subordinated Notes, 12.45% Estimated Yield, 4/15/2025(g)
 
 (e)
 
 Diversified Financials
 
 
 4,000
 
 
 2,585
 
 
 2,030Ivy Hill Middle
  Market Credit Fund VII, Ltd. Subordinated Notes, 12.80% Estimated Yield,
  10/20/2025(g)
 
 (e)
 
 Diversified Financials
 
 
 2,000
 
 
 1,757
 
 
 1,335Ivy Hill Middle
  Market Credit Fund IX, Ltd. Subordinated Notes, 11.42% Estimated Yield,
  10/18/2025(g)
 
 (e)
 
 Diversified Financials
 
 
 8,146
 
 
 6,689
 
 
 6,353Ivy Hill Middle
  Market Credit Fund X, Ltd. Subordinated Notes, 14.00% Estimated Yield,
  7/24/2027(g)
 
 (e)
 
 Diversified
  Financials
 
 
 4,760
 
 
 4,235
 
 
 3,615Total
  Collateralized Securities and Structured Products - Equity
 
 
 
 
 
 
 
 30,372
 
 
 21,793Unsecured
  Debt -  3.0%Alliant Holdings
  I, L.P., 8.25%, 8/1/2023
 
 None
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 7,255
 
 
 7,238
 
 
 7,210American Tire
  Distributors, Inc., 10.25%, 3/1/2022
 
 None
 
 Automotive
 
 
 5,000
 
 
 4,857
 
 
 4,487NFP Corp.,
  9.00%, 7/15/2021
 
 None
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 9,000
 
 
 8,960
 
 
 8,640Radio One, Inc.,
  9.25%, 2/15/2020
 
 None
 
 Media:
  Broadcasting & Subscription
 
 
 9,000
 
 
 8,529
 
 
 6,266Total
  Unsecured Debt
 
 
 
 
 
 
 
 29,584
 
 
 26,603See accompanying notes to consolidated
  financial statements.
 6


---

CĪON Investment Corporation Consolidated Schedule of
Investments (unaudited) (continued) March 31, 2016 (in thousands)
 Amortized
  Cost
 
 Fair
  ValueShort Term
  Investments - 2.1%(h)First American
  Treasury Obligations Fund, Class Z Shares, 0.17%(i)
 
 
 
 
 
 
 
 18,523
 
 
 18,523Total Short
  Term Investments
 
 
 
 
 
 
 
 
 
 18,523
 
 
 18,523TOTAL
  INVESTMENTS - 74.9%
 
 
 
 
 
 
 
 
 $
 714,406
 
 $
 672,564OTHER ASSETS
  IN EXCESS OF LIABILITIES - 25.1%
 
 
 
 
 
 
 
 
 
 
 
 $
 225,044NET ASSETS -
  100%
 
 
 
 
 
 
 
 
 
 
 
 $
 897,608TOTAL RETURN
  SWAP - (4.1)%
 
 
 
 
 
 Notional
  Amount
 
 
 
 
 Unrealized
  DepreciationCitibank TRS
  Facility (see Note 7)
 
 
 
 
 
 $
 721,919
 
 
 
 
 $
 (36,508)
 (a)
 All of the Company’s investments are issued by eligible U.S.
  portfolio companies, as defined in the Investment Company Act of 1940, as
  amended, or the 1940 Act, except for investments specifically identified as
  non-qualifying per note (g) below. Except for CĪON / Capitala Senior
  Loan Fund I, LLC, or CCSLF, the Company does not control and is not an
  affiliate of any of the portfolio companies in its investment portfolio. See
  Note 6 for a description of the Company's investment in CCSLF. Unless
  specifically identified, investments do not contain a paid-in-kind, or PIK,
  interest provision.(b)
 The 1, 3, and 6 month London Interbank Offered Rate, or LIBOR,
  rates were 0.44%, 0.63%, and 0.90%, respectively, as of March 31, 2016.  The
  actual LIBOR rate for each loan listed may not be the applicable LIBOR rate
  as of March 31, 2016, as the loan may have been priced or repriced based on a
  LIBOR rate prior to or subsequent to March 31, 2016.(c)
 Fair value determined by the Company’s board of directors (see
  Note 9).(d)
 As discussed in Note 11, on March 31, 2016 and May 5, 2016, the
  Company was committed, upon the satisfaction of certain conditions, to fund
  an additional $1,069 and $1,119 to Studio Movie Grill Holdings, LLC and ABG
  Intermediate Holdings 2 LLC, respectively.(e)
 The CLO subordinated notes are considered equity positions in
  the CLO vehicles and are not rated. Equity investments are entitled to
  recurring distributions, which are generally equal to the remaining cash flow
  of the payments made by the underlying vehicle's securities less contractual
  payments to debt holders and expenses. The estimated yield indicated is based
  upon a current projection of the amount and timing of these recurring
  distributions and the estimated amount of repayment of principal upon
  termination. Such projections are periodically reviewed and adjusted, and the
  estimated yield may not ultimately be realized.(f)
 Great Lakes CLO 2014-1 Class E Notes, Ivy Hill Middle Market
  Credit Fund VII Class E Notes and NXT Capital CLO 2014-1 Class E Notes were
  rated Ba2 on Moody's credit scale as of March 31, 2016. JFIN CLO 2014 Class E
  Notes were rated BB on S&P's credit scale as of March 31, 2016.(g)
 The investment or a portion thereof is not a qualifying asset
  under the 1940 Act. A business development company may not acquire any asset
  other than qualifying assets, unless, at the time the acquisition is made,
  qualifying assets represent at least 70% of the company’s total assets as
  defined under Section 55 of the 1940 Act. As of March 31, 2016, 90.7% of the
  Company’s total assets represented qualifying assets. In addition, as
  described in Note 7, the Company calculates its compliance with the
  qualifying asset test on a “look through” basis by treating each loan
  underlying the total return swap as either a qualifying asset or
  non-qualifying asset based on whether the obligor is an eligible portfolio
  company. On this basis, 87.8% of the Company’s total assets represented
  qualifying assets as of March 31, 2016.(h)
 Short term investments represent an investment in a fund that
  invests in highly liquid investments with average original maturity dates of
  three months or less.(i)
 7-day effective yield as of March 31, 2016.(j)
 Security was pledged as collateral supporting the amounts
  outstanding, if any, under the revolving credit facility with East West Bank
  as of March 31, 2016.(k)
 For the three months ended March 31, 2016, the following
  investments contain a PIK interest provision whereby the issuer has either
  the option or the obligation to make interest payments with the issuance of
  additional securities:Interest Rate
 
 
 Interest AmountPortfolio Company
 
 Investment Type
 
 Cash
 
 PIK
 
 All-in-Rate
 
 Cash
 
 PIK
 
 All-in-RateElements
  Behavioral Health, Inc.(l)
 
 Senior Secured
  Second Lien Debt
 
 -
 
 13.00%
 
 13.00%
 
 $
 -
 
 $
 152
 
 $
 152Smile Brands
  Group, Inc.
 
 Senior Secured
  First Lien Debt
 
 7.50%
 
 1.50%
 
 9.00%
 
 $
 74
 
 $
 15
 
 $
 89(l)
 Prior to February 12, 2016, Elements Behavioral Health, Inc.
  notified the Company that it would not make its scheduled interest payment
  due on that date. As a result, the Company entered into a new Forbearance
  Agreement and Eighth Amendment to Second Lien Credit Agreement, which, among
  other things, modified the interest rate to LIBOR plus 12% and specified that
  all interest shall be paid-in-kind on each interest payment date through the
  earlier of the forbearance period termination or September 30, 2016. The
  investment has not been placed on non-accrual status as the Company believes
  that all principal and interest is likely to be collected.See accompanying notes to consolidated
  financial statements.
  7


---

CĪON Investment Corporation Consolidated Schedule of
Investments December 31, 2015 (in thousands)
  Portfolio Company(a)
 
 Index Rate(b)
 
 Industry
 
 Principal/Par
  Amount
 
 Amortized
  Cost
 
 Fair
  Value(c)Senior
  Secured First Lien Debt - 11.5%Accruent, LLC,
  L+625, 1.00% LIBOR Floor, 11/25/2019
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 $
 2,962
 
 $
 2,957
 
 $
 2,933ECI Acquisition
  Holdings, Inc., L+625, 1.00% LIBOR Floor, 3/11/2019(d)
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 8,583
 
 
 8,548
 
 
 8,497F+W Media, Inc.,
  L+725, 1.25% LIBOR Floor, 6/30/2019
 
 3 Month LIBOR
 
 Media:
  Diversified & Production
 
 
 10,414
 
 
 10,090
 
 
 10,153Ignite
  Restaurant Group, Inc., L+700, 1.00% LIBOR Floor, 2/13/2019
 
 3 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 11,639
 
 
 11,510
 
 
 11,522Infogroup Inc.,
  L+550, 1.50% LIBOR Floor, 5/26/2018
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 15,743
 
 
 15,242
 
 
 14,956Intertain Group
  Ltd., L+650, 1.00% LIBOR Floor, 4/8/2022(g)
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 1,993
 
 
 1,956
 
 
 1,963Nathan's Famous
  Inc., 10.00%, 3/15/2020(g)
 
 None
 
 Beverage, Food
  & Tobacco
 
 
 6,000
 
 
 6,000
 
 
 6,248Panda Sherman
  Power, LLC, L+750, 1.50% LIBOR Floor, 9/14/2018
 
 3 Month LIBOR
 
 Energy:
  Electricity
 
 
 4,243
 
 
 4,215
 
 
 3,840Plano Molding
  Company, LLC, L+600, 1.00% LIBOR Floor, 5/12/2021
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 10,945
 
 
 10,842
 
 
 10,726Smile Brands
  Group, Inc., L+775, 1.25% LIBOR Floor, 8/16/2019(l)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 3,678
 
 
 3,623
 
 
 2,630Sprint
  Industrial Holdings, LLC, L+575, 1.25% LIBOR Floor, 5/14/2019
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 7,381
 
 
 6,785
 
 
 6,274Studio Movie
  Grill Holdings, LLC, L+725, 1.00% LIBOR Floor, 9/10/2018(d)
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 18,625
 
 
 18,538
 
 
 18,625TOPPS Company,
  Inc., L+600, 1.25% LIBOR Floor, 10/2/2018
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 3,310
 
 
 3,273
 
 
 3,248US Joiner
  Holding Company, L+600, 1.00% LIBOR Floor, 4/16/2020
 
 3 Month LIBOR
 
 Capital
  Equipment
 
 
 2,598
 
 
 2,568
 
 
 2,572Total Senior
  Secured First Lien Debt
 
 
 
 
 
 
 
 
 
 106,147
 
 
 104,187Senior
  Secured Second Lien Debt - 50.2%ABG Intermediate
  Holdings 2 LLC, L+850, 1.00% LIBOR Floor, 5/27/2022(d)
 
 3 Month LIBOR
 
 Retail
 
 
 8,788
 
 
 8,721
 
 
 8,623Access CIG, LLC,
  L+875, 1.00% LIBOR Floor, 10/17/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 16,030
 
 
 15,382
 
 
 15,629ALM Media, LLC,
  L+800, 1.00% LIBOR Floor, 7/30/2021
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 10,344
 
 
 10,174
 
 
 9,671American
  Residential Services LLC, L+800, 1.00% LIBOR Floor, 12/31/2021
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 3,700
 
 
 3,669
 
 
 3,672AmWINS Group,
  LLC, L+850, 1.00% LIBOR Floor, 9/4/2020
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 3,075
 
 
 3,104
 
 
 3,052Blue Ribbon,
  LLC, L+825, 1.00% LIBOR Floor, 11/13/2022(k)
 
 3 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 18,000
 
 
 17,846
 
 
 17,640C.H.I. Overhead
  Doors, Inc., L+775, 1.00% LIBOR Floor, 7/31/2023
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 7,000
 
 
 6,965
 
 
 6,580Concentra Inc.,
  L+800, 1.00% LIBOR Floor, 6/1/2023
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,714
 
 
 5,659
 
 
 5,657Deltek, Inc.,
  L+850, 1.00% LIBOR Floor, 6/26/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 11,245
 
 
 11,080
 
 
 11,105Drew Marine
  Group, Inc., L+700, 1.00% LIBOR Floor, 5/19/2021(g)
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 9,500
 
 
 9,452
 
 
 9,120EISI LLC, L+850,
  1.00% LIBOR Floor, 9/23/2020(k)
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 20,000
 
 
 19,709
 
 
 19,400Elements
  Behavioral Health, Inc., L+1075, 1.00% LIBOR Floor, 2/11/2020(l)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,018
 
 
 4,978
 
 
 4,918Emerald 3 Ltd.,
  L+700, 1.00% LIBOR Floor, 5/16/2022(g)
 
 3 Month LIBOR
 
 Environmental
  Industries
 
 
 3,000
 
 
 2,974
 
 
 2,850Flexera Software
  LLC, L+700, 1.00% LIBOR Floor, 4/2/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 9,385
 
 
 9,081
 
 
 8,834GCA Services
  Group, Inc., L+800, 1.25% LIBOR Floor, 11/1/2020
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 3,361
 
 
 3,353
 
 
 3,319Genex Holdings,
  Inc., L+775, 1.00% LIBOR Floor, 5/30/2022
 
 1 Month LIBOR
 
 Services:
  Business
 
 
 11,410
 
 
 11,331
 
 
 10,754Global Tel*Link
  Corp., L+775, 1.25% LIBOR Floor, 11/23/2020
 
 3 Month LIBOR
 
 Telecommunications
 
 
 9,500
 
 
 9,486
 
 
 6,650GTCR Valor
  Companies, Inc., L+850, 1.00% LIBOR Floor, 11/30/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 5,000
 
 
 4,960
 
 
 4,806Hilex Poly Co.
  LLC, L+875, 1.00% LIBOR Floor, 6/5/2022
 
 3 Month LIBOR
 
 Containers,
  Packaging & Glass
 
 
 12,409
 
 
 12,176
 
 
 11,851Infiltrator
  Water Technologies, LLC, L+875, 1.00% LIBOR Floor, 5/26/2023
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 13,916
 
 
 13,714
 
 
 13,847Institutional
  Shareholder Services Inc., L+750, 1.00% LIBOR Floor, 4/30/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,860
 
 
 7,777
 
 
 7,506Landslide
  Holdings, Inc., L+725, 1.00% LIBOR Floor, 2/25/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 9,830
 
 
 9,826
 
 
 9,044Lanyon
  Solutions, Inc., L+850, 1.00% LIBOR Floor, 11/15/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 2,273
 
 
 2,264
 
 
 2,103Learfield
  Communications, Inc., L+775, 1.00% LIBOR Floor, 10/9/2021
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 1,350
 
 
 1,339
 
 
 1,343Mergermarket
  USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 3,380
 
 
 3,319
 
 
 3,076Mitchell
  International, Inc., L+750, 1.00% LIBOR Floor, 10/11/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 7,509
 
 
 7,491
 
 
 7,190MSC.Software
  Corp., L+750, 1.00% LIBOR Floor, 5/29/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 15,000
 
 
 14,801
 
 
 13,200Navex Global,
  Inc., L+875, 1.00% LIBOR Floor, 11/18/2022(k)
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 16,245
 
 
 16,006
 
 
 15,757Onex TSG
  Holdings II Corp., L+850, 1.00% LIBOR Floor, 7/31/2023
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 12,249
 
 
 12,129
 
 
 12,187Patterson
  Medical Supply, Inc., L+775, 1.00% LIBOR Floor, 8/28/2023
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 13,500
 
 
 13,370
 
 
 13,230Pelican
  Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 3,469
 
 
 3,481
 
 
 3,304PetroChoice
  Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 15,000
 
 
 14,707
 
 
 14,737Pike Corp.,
  L+850, 1.00% LIBOR Floor, 6/22/2022
 
 3 Month LIBOR
 
 Energy:
  Electricity
 
 
 10,000
 
 
 9,843
 
 
 9,837PODS, LLC,
  L+825, 1.00% LIBOR Floor, 2/2/2023
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 9,984
 
 
 9,927
 
 
 9,835PSC Industrial
  Holdings Corp., L+825, 1.00% LIBOR Floor, 12/5/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,000
 
 
 9,824
 
 
 9,450RP Crown Parent,
  LLC, L+1000, 1.25% LIBOR Floor, 12/21/2019
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 5,000
 
 
 4,746
 
 
 4,128See accompanying notes to consolidated
  financial statements.
 8


---

CĪON Investment Corporation Consolidated Schedule of
Investments (continued) December 31, 2015 (in thousands)
 Portfolio
  Company(a)
 
 Index Rate(b)
 
 Industry
 
 Principal/Par
  Amount
 
 Amortized
  Cost
 
 Fair
  Value(c)Securus
  Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021
 
 3 Month LIBOR
 
 Telecommunications
 
 
 4,500
 
 
 4,476
 
 
 2,498SI Organization,
  Inc., L+800, 1.00% LIBOR Floor, 5/23/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,511
 
 
 1,499
 
 
 1,473SMG, L+825,
  1.00% LIBOR Floor, 2/27/2021
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 6,220
 
 
 6,220
 
 
 6,251Sterling Midco
  Holdings, Inc., L+775, 1.00% LIBOR Floor, 6/19/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,462
 
 
 10,430
 
 
 10,383STG-Fairway
  Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,000
 
 
 9,855
 
 
 9,600Surgery Center
  Holdings, Inc., L+750, 1.00% LIBOR Floor, 11/3/2021
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 6,037
 
 
 6,050
 
 
 5,675Survey Sampling
  International, LLC, L+900, 1.00% LIBOR Floor, 12/16/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 15,000
 
 
 14,729
 
 
 14,700TASC, Inc.,
  12.00%, 5/23/2021(g)
 
 None
 
 Services:
  Business
 
 
 7,332
 
 
 7,121
 
 
 7,442Telecommunications
  Management, LLC, L+800, 1.00% LIBOR Floor, 10/30/2020
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 1,606
 
 
 1,566
 
 
 1,566TMK Hawk Parent,
  Corp., L+750, 1.00% LIBOR Floor, 10/1/2022(k)
 
 3 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 15,000
 
 
 14,865
 
 
 14,850TransFirst Inc.,
  L+800, 1.00% LIBOR Floor, 11/11/2022
 
 1 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 14,368
 
 
 14,309
 
 
 14,081U.S. Renal Care,
  Inc., L+800, 1.00% LIBOR Floor, 12/29/2023(h)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,000
 
 
 9,800
 
 
 9,825Vestcom
  International, Inc., L+775, 1.00% LIBOR Floor, 9/30/2022(k)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 15,000
 
 
 14,935
 
 
 14,250Wand
  Intermediate I LP, L+725, 1.00% LIBOR Floor, 9/19/2022
 
 3 Month LIBOR
 
 Automotive
 
 
 16,000
 
 
 15,875
 
 
 15,160Winebow
  Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022
 
 1 Month LIBOR
 
 Beverage, Food
  & Tobacco
 
 
 12,823
 
 
 12,505
 
 
 12,054Total Senior
  Secured Second Lien Debt
 
 
 
 
 
 
 
 
 468,899
 
 453,713Collateralized
  Securities and Structured Products - Debt - 4.6%Deutsche Bank AG
  Frankfurt CRAFT 2013-1A Class Credit Linked Note, L+925, 4/17/2020(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 2,000
 
 
 2,029
 
 
 1,940Deutsche Bank AG
  Frankfurt CRAFT 2013-1X Class Credit Linked Note, L+925, 4/17/2020(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 610
 
 
 618
 
 
 592Deutsche Bank AG
  Frankfurt CRAFT 2014-1 Class Credit Linked Note, L+965, 5/15/2019(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,400
 
 
 5,400
 
 
 5,238Deutsche Bank AG
  Frankfurt CRAFT 2015-2 Class Credit Linked Note, L+925, 1/16/2022(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 15,500
 
 
 15,500
 
 
 15,190Great Lakes CLO
  2014-1, Ltd. Class E Notes, L+525, 4/15/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,000
 
 
 4,568
 
 
 3,950Ivy Hill Middle
  Market Credit Fund VII, Ltd. Class E Notes, L+565, 10/20/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified Financials
 
 
 2,000
 
 
 1,869
 
 
 1,673JFIN CLO 2014,
  Ltd. Class E Notes, L+500, 4/20/2025(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 2,500
 
 
 2,326
 
 
 2,031JPMorgan Chase
  Bank, N.A. Credit Linked Note, L+1225, 12/20/2021(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 5,000
 
 
 5,000
 
 
 4,940NXT Capital CLO
  2014-1, LLC Class E Notes, L+550, 4/23/2026(f)(g)
 
 3 Month LIBOR
 
 Diversified
  Financials
 
 
 7,500
 
 
 7,051
 
 
 6,109Total
  Collateralized Securities and Structured Products - Debt
 
 
 
 
 
 
 
 44,361
 
 
 41,663Collateralized
  Securities and Structured Products - Equity - 2.7%Anchorage
  Capital CLO 2012-1, Ltd. Subordinated Notes, 16.00% Estimated Yield,
  1/13/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 4,000
 
 
 3,209
 
 
 2,480APIDOS CLO XVI
  Subordinated Notes, 16.00% Estimated Yield, 1/19/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 9,000
 
 
 5,238
 
 
 3,578CENT CLO 19 Ltd.
  Subordinated Notes, 16.00% Estimated Yield, 10/29/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 2,000
 
 
 1,407
 
 
 1,055Dryden XXIII
  Senior Loan Fund Subordinated Notes, 16.00% Estimated Yield, 7/17/2023(g)
 
 (e)
 
 Diversified
  Financials
 
 
 9,250
 
 
 5,740
 
 
 4,077Galaxy XV CLO
  Ltd. Class A Subordinated Notes, 16.00% Estimated Yield, 4/15/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 4,000
 
 
 2,626
 
 
 2,178Ivy Hill Middle
  Market Credit Fund VII, Ltd. Subordinated Notes, 17.00% Estimated Yield,
  10/20/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 2,000
 
 
 1,798
 
 
 1,416Ivy Hill Middle
  Market Credit Fund IX, Ltd. Subordinated Notes, 17.00% Estimated Yield,
  10/18/2025(g)
 
 (e)
 
 Diversified
  Financials
 
 
 8,146
 
 
 6,931
 
 
 6,202Ivy Hill Middle
  Market Credit Fund X, Ltd. Subordinated Notes, 17.00% Estimated Yield,
  7/24/2027(g)
 
 (e)
 
 Diversified Financials
 
 
 4,760
 
 
 4,235
 
 
 3,618Total
  Collateralized Securities and Structured Products - Equity
 
 
 
 
 
 
 
 31,184
 
 
 24,604Unsecured
  Debt -  3.0%Alliant Holdings
  I, L.P., 8.25%, 8/1/2023
 
 None
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 7,255
 
 
 7,238
 
 
 6,856American Tire
  Distributors, Inc., 10.25%, 3/1/2022
 
 None
 
 Automotive
 
 
 5,000
 
 
 4,852
 
 
 4,606NFP Corp.,
  9.00%, 7/15/2021
 
 None
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 9,000
 
 
 8,958
 
 
 8,235Radio One, Inc.,
  9.25%, 2/15/2020
 
 None
 
 Media:
  Broadcasting & Subscription
 
 
 9,000
 
 
 8,505
 
 
 7,043Total
  Unsecured Debt
 
 
 
 
 
 
 
 29,553
 
 
 26,740See accompanying notes to consolidated
  financial statements.
 9


---

CĪON Investment Corporation Consolidated Schedule of
Investments (continued) December 31, 2015 (in thousands)
 Amortized
  Cost
 
 Fair
  ValueShort Term
  Investments - 2.1%(i)First American
  Treasury Obligations Fund, Class Z Shares(j)
 
 
 
 
 
 
 
 
 
 18,892
 
 
 18,892Total Short
  Term Investments
 
 
 
 
 
 
 
 
 
 18,892
 
 
 18,892TOTAL
  INVESTMENTS - 74.1%
 
 
 
 
 
 
 
 
 $
 699,036
 
 $
 669,799OTHER ASSETS
  IN EXCESS OF LIABILITIES - 25.9%
 
 
 
 
 
 
 
 
 
 
 
 $
 234,527NET ASSETS -
  100%
 
 
 
 
 
 
 
 
 
 
 
 $
 904,326TOTAL RETURN
  SWAP - (3.9)%
 
 
 
 
 
 Notional
  Amount
 
 
 
 
 Unrealized
  DepreciationCitibank TRS
  Facility (see Note 7)
 
 
 
 
 
 $
 718,025
 
 
 
 
 $
 (34,900)
 (a)
 All of the Company’s investments are issued by eligible U.S.
  portfolio companies, as defined in the 1940 Act, except for investments
  specifically identified as non-qualifying per note (g) below. Except for
  CCSLF, the Company does not control and is not an affiliate of any of the
  portfolio companies in its investment portfolio. Unless specifically
  identified, investments do not contain a paid-in-kind, or PIK, interest
  provision.(b)
 The 1 and 3 month London Interbank Offered Rate, or LIBOR, rates
  were 0.43% and 0.61%, respectively, as of December 31, 2015.  The actual
  LIBOR rate for each loan listed may not be the applicable LIBOR rate as of
  December 31, 2015, as the loan may have been priced or repriced based on a
  LIBOR rate prior to or subsequent to December 31, 2015.(c)
 Fair value determined by the Company’s board of directors (see
  Note 9).(d)
 As discussed in Note 11, the Company was committed, upon the
  satisfaction of certain conditions, to fund an additional $1,207, $1,069, and
  $1,128 as of December 31, 2015 and March 11, 2016 to ECI Acquisition
  Holdings, Inc., Studio Movie Grill Holdings, LLC, and ABG Intermediate
  Holdings 2 LLC, respectively.(e)
 The CLO subordinated notes are considered equity positions in
  the CLO vehicles and are not rated. Equity investments are entitled to
  recurring distributions, which are generally equal to the remaining cash flow
  of the payments made by the underlying vehicle's securities less contractual
  payments to debt holders and expenses. The estimated yield indicated is based
  upon a current projection of the amount and timing of these recurring
  distributions and the estimated amount of repayment of principal upon
  termination. Such projections are periodically reviewed and adjusted, and the
  estimated yield may not ultimately be realized.(f)
 Great Lakes CLO 2014-1 Class E Notes, Ivy Hill Middle Market
  Credit Fund VII Class E Notes and NXT Capital CLO 2014-1 Class E Notes were
  rated Ba2 on Moody's credit scale as of December 31, 2015. JFIN CLO 2014
  Class E Notes were rated BB on S&P's credit scale as of December 31,
  2015.(g)
 The investment is not a qualifying asset under the 1940 Act. A
  business development company may not acquire any asset other than qualifying
  assets, unless, at the time the acquisition is made, qualifying assets
  represent at least 70% of the company’s total assets as defined under Section
  55 of the 1940 Act. As of December 31, 2015, 90.0% of the Company’s total
  assets represented qualifying assets. In addition, as described in Note 7,
  the Company calculates its compliance with the qualifying asset test on a
  “look through” basis by treating each loan underlying the total return swap
  as either a qualifying asset or non-qualifying asset based on whether the
  obligor is an eligible portfolio company. On this basis, 87.2% of the
  Company’s total assets represented qualifying assets as of December 31, 2015.(h)
 Position or portion thereof unsettled as of December 31, 2015.(i)
 Short term investments represent an investment in a fund that
  invests in highly liquid investments with average original maturity dates of
  three months or less.(j)
 Effective yield as of December 31, 2015 was <0.01%.(k)
 Security or a portion thereof was pledged as collateral
  supporting the amounts outstanding, if any, under the revolving credit
  facility with East West Bank as of December 31, 2015.(l)
 For the year ended December 31, 2015, the following investments
  contain a PIK interest provision whereby the issuer has either the option or
  the obligation to make interest payments with the issuance of additional
  securities:Interest Rate
 
 
 Interest AmountPortfolio Company
 
 Investment Type
 
 Cash
 
 PIK
 
 All-in-Rate
 
 Cash
 
 PIK
 
 All-in-RateElements
  Behavioral Health, Inc.(m)
 
 Senior Secured
  Second Lien Debt
 
 9.75%
 
 2.00%
 
 11.75%
 
 $
 495
 
 $
 32
 
 $
 527Smile Brands
  Group, Inc.
 
 Senior Secured
  First Lien Debt
 
 7.50%
 
 1.50%
 
 9.00%
 
 $
 328
 
 $
 11
 
 $
 339(m)
 Subsequent to December 31, 2015, Elements Behavioral Health,
  Inc. notified the Company that it would not make its scheduled interest
  payment due on February 12, 2016. As a result, the Company entered into a new
  Forbearance Agreement and Eighth Amendment to Second Lien Credit Agreement,
  which, among other things, modified the interest rate to LIBOR plus 12% and
  specified that all interest shall be paid-in-kind on each interest payment
  date through the earlier of the forbearance period termination or September
  30, 2016. The investment has not been placed on non-accrual status as the
  Company believes that all principal and interest is likely to be collected.See accompanying notes to consolidated
  financial statements.
  10


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Note 1. Organization and Principal Business CĪON Investment Corporation, or the
Company, was incorporated under the general corporation laws of the State of
Maryland on August 9, 2011. On December 17, 2012, the Company successfully
raised gross proceeds from unaffiliated outside investors of at least $2,500,
or the minimum offering requirement, and commenced operations. The Company is
an externally managed, non-diversified closed-end management investment company
that has elected to be regulated as a business development company, or BDC,
under the 1940 Act. The Company elected to be treated for federal income tax
purposes as a regulated investment company, or RIC, as defined under Subchapter
M of the Internal Revenue Code of 1986, as amended, or the Code. The Company’s
investment objective is to generate current income and, to a lesser extent,
capital appreciation for investors.The Company’s
portfolio is comprised primarily of investments in senior secured debt,
including first lien loans, second lien loans and unitranche loans, and, to a
lesser extent, collateralized securities, structured products and other similar
securities and unsecured debt, including corporate bonds and long-term
subordinated loans, referred to as mezzanine loans, of private and thinly
traded U.S. middle-market companies. The Company is
managed by CĪON Investment Management, LLC, or CIM, a registered
investment adviser and an affiliate of the Company. CIM oversees the management
of the Company’s activities and is responsible for making investment decisions
for the Company’s investment portfolio. The Company and CIM have engaged Apollo
Investment Management, L.P., or AIM, a subsidiary of Apollo Global Management,
LLC, or, together with its subsidiaries, Apollo, a leading global alternative
investment manager, to act as the Company’s investment sub-adviser. On December
7, 2015, the board of directors of the Company, including a majority of the
board of directors who are not interested persons, approved the renewal of the
investment sub-advisory agreement with AIM for a period of twelve months
commencing December 17, 2015.  Note 2. Summary of Significant Accounting Policies Basis of Presentation The accompanying
unaudited consolidated financial statements of the Company have been prepared
in accordance with U.S. generally accepted accounting principles, or GAAP, for
interim financial information and pursuant to the instructions for Form 10-Q
and Article 10 of Regulation S-X. Accordingly, they do not include all of the
information and footnotes required by GAAP for complete financial statements.
In the opinion of management, all adjustments (consisting of normal recurring
adjustments) considered necessary for a fair presentation have been included.
For a more complete discussion of significant accounting policies and certain
other information, the Company’s interim unaudited consolidated financial
statements should be read in conjunction with its audited consolidated
financial statements as of December 31, 2015 and for the year then ended
included in the Company’s Annual Report on Form 10-K. Operating results for
interim periods are not necessarily indicative of the results that may be
expected for the full year ending December 31, 2016. The consolidated
balance sheet and the consolidated schedule of investments as of
December 31, 2015 are derived from the 2015 audited consolidated financial
statements and include the accounts of the Company’s wholly-owned subsidiaries.
The Company does not consolidate its interest in CCSLF. See Note 6 for a
description of the Company’s investment in CCSLF. The Company is
considered an investment company as defined in Accounting Standards Update
Topic 946,Financial Services - Investment Companies, or ASU 946.
Accordingly, the required disclosures as outlined in ASU 946 are included in
the Company’s consolidated financial statements. The
Company evaluates subsequent events through the date that the consolidated
financial statements are issued. Recently Adopted Accounting Standards In February
2015, the Financial Accounting Standard Board, or the FASB, issued ASU
2015-02,Consolidation: Amendments to the Consolidation Analysis,
or ASU 2015-02, which amends the criteria for determining which entities are
considered variable interest entities, or VIEs, amends the criteria for
determining if a service provider possesses a variable interest in a VIE and
ends the deferral granted to investment companies for application of the VIE
consolidation model. This guidance was adopted by the Company during the three
months ended March 31, 2016, which did not have a material impact on the
Company’s consolidated financial statements. In addition, no prior-period
information was retrospectively adjusted as a result of the adoption of ASU
2015-02. 11


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 In April 2015, the FASB issued ASU
2015-03,Interest - Imputation
of Interest: Simplifying the Presentation of Debt Issuance Costs, or ASU
2015-03, which requires that loan costs related to a recognized debt liability
be presented in the balance sheet as a direct deduction from the carrying
amount of that debt liability, consistent with debt discounts or premiums. ASU
2015-03 requires retrospective application and represents a change in
accounting principle.  In August 2015, the FASB issued ASU No. 2015-15,Interest - Imputation of Interest:
Presentation and Subsequent Measurement of Debt Issuance Costs Associated with
Line-of-Credit Arrangements, or ASU 2015-15, which allows an entity to
continue to present line of credit issuance costs as an asset, regardless of
whether there are any outstanding borrowings on the line of credit.This guidance was adopted by the
Company during the three months ended March 31, 2016. As a result, debt issuance
costs of $172 were presented as prepaid and other assets in the consolidated
balance sheet as of March 31, 2016 as the Company had no recognized debt
liability. In addition, no prior-period information was retrospectively
adjusted as a result of the adoption of this guidance. In May 2015,
the FASB issued ASU 2015-07,Disclosures for Investments in
Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent),or ASU
2015-07,which removes the
requirement to categorize within the fair value hierarchy all investments for
which fair value is measured using the net asset value per share practical
expedient.  ASU 2015-07 requires retrospective application and represents
a change in accounting principle.  This guidance was adopted by the Company
during the three months ended March 31, 2016, whichdid not have a material impact
on the Company’s consolidated financial statements. In addition, no
prior-period information was retrospectively adjusted as a result of the
adoption of ASU 2015-07.  Cash and Cash Equivalents Cash and cash
equivalents include cash in banks and highly liquid investments with original
maturity dates of three months or less. The Company’s cash and cash equivalents
are held principally at one financial institution and at times may exceed
insured limits. The Company periodically evaluates the creditworthiness of this
institution and has not experienced any losses on such deposits. Short Term Investments Short term investments
include an investment in a U.S. Treasury obligations fund, which seeks to
provide current income and daily liquidity by purchasing U.S. Treasury
securities and repurchase agreements that are collateralized by such
securities. The Company had $18,523 and $18,892 of such investments at March
31, 2016 and December 31, 2015, respectively, which are included in
investments, at fair value on the accompanying consolidated balance sheets and
on the consolidated schedules of investments. Offering, Organizational and Other
Pre-Effective Costs Offering
costs include, among other things, legal fees and other costs pertaining to the
preparation of the Company’s registration statements in connection with the
continuous public offerings of the Company’s shares. Certain offering costs
were funded by IIG and its affiliates and there was no liability for these
offering costs to the Company until IIG and its affiliates submitted such costs
for reimbursement. Upon meeting the minimum offering requirement on December 17,
2012, the Company incurred and capitalized offering costs of $1,000 that were
submitted for reimbursement by IIG (see Note 4). These costs were fully
amortized over a twelve month period as an adjustment to capital in excess of
par value. The remaining offering costs funded by IIG and its affiliates were
incurred when IIG and its affiliates submitted such costs for reimbursement
during the year endedDecember
31, 2014. Organizational
costs include, among other things, the cost of organizing the Company as a
Maryland corporation, including the cost of legal services and other fees
pertaining to the organization of the Company. All organizational costs were
funded by IIG and its affiliates and there was no liability for these
organizational costs to the Company until IIG and its affiliates submitted such
costs for reimbursement. The Company incurred these costs when IIG and its
affiliates submitted such costs for reimbursement during the year ended
December 31, 2014. 12


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The following table summarizes
offering, organizational and other costs incurred by IIG and by the Company
from January 31, 2012 (Inception) throughMarch 31, 2016: Offering, Organizational and Other Costs
  Incurred by IIGPeriod
 
 Organizational Costs
 
 Offering Costs
 
 Other Pre-Effective Costs(4)
 
 TotalYear EndedDecember 31,
  2012(1)
 
 $
 192
 
 $
 1,620
 
 $
 200
 
 $
 2,012December 31,
  2013
 
 
 -
 
 
 -
 
 
 -
 
 
 -December 31,
  2014
 
 
 -
 
 
 -
 
 
 -
 
 
 -December 31,
  2015
 
 
 -
 
 
 -
 
 
 -
 
 
 -Three Months
  EndedMarch 31, 2016
 
 
 -
 
 
 -
 
 
 -
 
 
 -Total
 
 
 192
 
 
 1,620
 
 
 200
 
 
 2,012Costs submitted
  for reimbursement by IIG(2)
 
 
 (192)
 
 
 (1,620)
 
 
 (200)
 
 
 (2,012)Total
  Unreimbursed Costs at March 31, 2016
 
 $
 -
 
 $
 -
 
 $
 -
 
 $
 -Offering, Organizational and Other Costs
  Incurred by the Company(3)Period
 
 Organizational Costs
 
 Offering Costs
 
 Other Pre-Effective Costs(4)
 
 TotalYear EndedDecember 31,
  2012(1)
 
 $
 -
 
 $
 30
 
 $
 -
 
 $
 30December 31,
  2013
 
 
 -
 
 
 1,787
 
 
 -
 
 
 1,787December 31,
  2014
 
 
 -
 
 
 2,026
 
 
 -
 
 
 2,026December 31,
  2015
 
 
 -
 
 
 2,397
 
 
 -
 
 
 2,397Three Months
  EndedMarch 31, 2016
 
 
 -
 
 
 429
 
 
 -
 
 
 429Total
 
 
 -
 
 
 6,669
 
 
 -
 
 
 6,669Costs reimbursed
  by the Company(2)
 
 
 192
 
 
 1,620
 
 
 200
 
 
 2,012Total Costs
  Incurred by the Company
 
 $
 192
 
 $
 8,289
 
 $
 200
 
 $
 8,681Costs paid as of
  March 31, 2016
 
 $
 192
 
 $
 8,074
 
 $
 200
 
 $
 8,466Costs accrued as
  of March 31, 2016(5)
 
 
 -
 
 
 215
 
 
 -
 
 
 215Total Costs
  Incurred by the Company
 
 $
 192
 
 $
 8,289
 
 $
 200
 
 $
 8,681
 (1)
 IIG incurred all offering, organizational and other costs prior
  to the commencement of operations on December 17, 2012. Subsequent to the
  commencement of operations, the Company incurred all offering and
  organizational costs and such costs, including reimbursement of costs
  originally incurred by IIG, will not exceed 1.5% of the actual gross proceeds
  raised from the offerings. See Note 4 for actual gross proceeds raised from
  the offerings and the amount of offering and organizational costs that can be
  paid by the Company.(2)
 Of this amount, $1,000 of costs charged directly to equity were
  submitted for reimbursement by IIG on December 17, 2012.  Of the remaining
  amount, $592 and $420 of costs charged directly to operating expense were submitted
  for reimbursement by IIG during the three months ended March 31, 2014 and
  December 31, 2014, respectively.(3)
 Unless otherwise noted, offering costs incurred directly by the
  Company are included in general and administrative expense on the
  consolidated statements of operations.(4)
 Amounts represent general and administrative expenses,
  consisting primarily of professional fees and insurance expense, incurred by
  IIG related to the Company prior to December 17, 2012 and are included in
  offering, organizational and other costs - IIG in the consolidated statements
  of operations. For Financial Industry Regulatory Authority, Inc., or FINRA,
  purposes, these costs are treated as offering and organizational costs and
  are subject to reimbursement by the Company in accordance with the investment
  advisory agreement.(5)
 Of this amount, $17 is presented as Due to IIG - offering,
  organizational and other costs and the remainder is included in accounts
  payable and accrued expenses on the consolidated balance sheet at March 31,
  2016.
 13


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Income Taxes The Company elected to be treated for
federal income tax purposes as a RIC under Subchapter M of the Code. To qualify
and maintain qualification as a RIC, the Company must, among other things, meet
certain source of income and asset diversification requirements and distribute
to shareholders, for each taxable year, at least 90% of the Company’s
“investment company taxable income”, which is generally the Company’s net
ordinary income plus the excess, if any, of realized net short-term capital
gains over realized net long-term capital losses. If the Company continues to qualify
as a RIC and continues to satisfy the annual distribution requirement, the
Company will not have to pay corporate level federal income taxes on any income
that the Company distributes to its shareholders. The Company intends to make
distributions in an amount sufficient to maintain RIC status each year and to avoid
any federal income taxes on income. The Company will also be subject to
nondeductible federal excise taxes if the Company does not distribute at least
98.0% of net ordinary income, 98.2% of capital gains, if any, and any
recognized and undistributed income from prior years for which it paid no
federal income taxes.  Book/tax
differences relating to permanent differences are reclassified among the
Company’s capital accounts, as appropriate. Additionally, the tax character of
distributions is determined in accordance with income tax regulations that may
differ from GAAP (see Note 5). Uncertainty in Income Taxes The Company
evaluates its tax positions to determine if the tax positions taken meet the
minimum recognition threshold for the purposes of measuring and recognizing tax
liabilities in the consolidated financial statements. Recognition of a tax
benefit or liability with respect to an uncertain tax position is required only
when the position is “more likely than not” to be sustained assuming examination
by the taxing authorities. The Company recognizes interest and penalties, if
any, related to unrecognized tax benefits as income tax expense in the
consolidated statements of operations. The Company did not have any uncertain
tax positions during the periods presented herein. The Company is subject to examination by U.S. federal, New
York State, New York City and Maryland income tax jurisdictions for 2012, 2013,
and 2014. Use of Estimates The preparation of
the consolidated financial statements in conformity with GAAP requires the
Company to makeestimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the consolidated financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results may
materially differ from those estimates. Valuation of Portfolio Investments The fair value of
the Company’s investments is determined quarterly in good faith by the Company’s
board of directors pursuant to its consistently applied valuation procedures
and valuation process in accordance with Accounting Standards Codification
Topic 820,Fair Value Measurements and Disclosure, or ASC 820. ASC 820
defines fair value as the price that would be received from the sale of an
asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date. ASC 820 also establishes a three-tier
fair value hierarchythat prioritizes and ranks the level of market price observability of
inputs used in measuringinvestments
at fair value. Inputs used to measure these fair values are classified into the
following hierarchy: Level 1
 -
 Quoted prices in active markets for identical assets or
  liabilities, accessible by the Company at the measurement date.Level 2
 -
 Quoted prices for similar assets or liabilities in active
  markets, or quoted prices for identical or similar assets or liabilities in
  markets that are not active, or other observable inputs other than quoted
  prices.Level 3
 -
 Unobservable inputs for the asset or liability. The inputs used
  in the determination of fair value may require significant management
  judgment or estimation. Such information may be the result of consensus
  pricing information or broker quotes that 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 the
  disclaimer would result in classification as a Level 3 asset, assuming no
  additional corroborating evidence.
  Market price observability is
affected by a number of factors, including the type of investment and the
characteristics specific to the investment. Investments with readily available
active quoted prices or for which fair value can be measured from actively
quoted prices generally will have a higher degree of market price observability
and a lesser degree of judgment used in measuring fair value. 14


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Based on the
observability of the inputs used in the valuation techniques, the Company is
required to provide disclosures on fair value measurements according to the
fair value hierarchy. The level in the fair value hierarchy for each fair value
measurement has been determined based on the lowest level of input that is
significant to the fair value measurement. Our assessment of the significance
of a particular input to the fair value measurement in its entirety requires
judgment and considers factors specific to each investment. The level assigned
to the investment valuations may not be indicative of the risk or liquidity
associated with investing in such investments. Because of the inherent
uncertainties of valuation, the values reflected in the financial statements
may differ materially from the value that would be received upon an actual sale
of such investments.In
addition, changes in the market environment and other events that may occur
over the life of the investments may cause the gains or losses that the Company
ultimately realizes on these investments to materially differ from the
valuations currently assigned.  The Company’s
investments, excluding short term investments,consist
primarily of debt securities that are traded on a private over-the-counter
market for institutional investments. CIM attempts to obtain market quotations
from at least two brokers or dealers for each investment (if available,
otherwise from a principal market maker or a primary market dealer or other
independent pricing service). CIM utilizes mid-market pricing to determine fair
value unless a different point within the range is more representative. Because
of the private nature of this marketplace (meaning actual transactions are not
publicly reported), the Company believes that these valuation inputs result in
Level 3 classification within the fair value hierarchy. Notwithstanding the foregoing, if in the
reasonable judgment of CIM, the price of any investment held by the Company and
determined in the manner described above does not accurately reflect the fair
value of such investment, CIM will value such investment at a price that
reflects such investment’s fair value and report such change in the valuation
to the board of directors or its designee as soon as practicable. Investments
that carry certain restrictions on sale will typically be valued at a discount
from the public market value of the investment.  Any investments
that are not publicly traded or for which a market price is not otherwise
readily available are valued at a price that reflects its fair value. With
respect to such investments, the investments are reviewed and valued using one
or more of the following types of analyses: i.Market comparable statistics and
public trading multiples discounted for illiquidity, minority ownership and other
factors for companies with similar characteristics. ii.Valuations implied by third-party
investments in the applicable portfolio companies. iii.Discounted cash flow analysis,
including a terminal value or exit multiple. Determination
of fair value involves subjective judgments and estimates. Accordingly, these
notes to the Company’s consolidated financial statements refer to the
uncertainty with respect to the possible effect of such valuations, and any
change in such valuations, on the Company’s consolidated financial statements.
Below is a description of factors that the Company’s board of directors may
consider when valuing the Company’s equity and debt investments where a market
price is not readily available: ·the size and scope of a portfolio
company and its specific strengths and weaknesses; ·prevailing interest rates for like
securities; ·expected volatility in future
interest rates; ·leverage; ·call features, put features and
other relevant terms of the debt; ·the borrower’s ability to
adequately service its debt; ·the fair market value of the
portfolio company in relation to the face amount of its outstanding debt; ·the quality of collateral securing
the Company’s debt investments; ·multiples of earnings before
interest, taxes, depreciation and amortization, or EBITDA, cash flows, net
income, revenues or, in some cases, book value or liquidation value; and ·other factors deemed applicable. All of these
factors may be subject to adjustment based upon the particular circumstances of
a portfolio company or the Company’s actual investment position. For example,
adjustments to EBITDA may take into account compensation to previous owners, or
acquisition, recapitalization, and restructuring expenses or other related or
non-recurring items. The choice of analyses and the weight assigned to such
factors may vary across investments and may change within an investment if
events occur that warrant such a change. 15


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The discounted cash flow model deemed
appropriate by CIM is prepared for the applicable investments and reviewed by
the Company’s valuation committee consisting of senior management. Such models
are prepared at least quarterly or on an as needed basis. The model uses the
estimated cash flow projections for the underlying investments and an
appropriate discount rate is determined based on the latest financial
information available for the borrower, prevailing market trends, comparable
analysis and other inputs. The model, key assumptions, inputs, and results are
reviewed by the Company’s valuation committee with final approval from the
board of directors. 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 Company
periodically benchmarks the broker quotes from the brokers or dealers against
the actual prices at which the Company purchases and sells its investments.
Based on the results of the benchmark analysis and the experience of the
Company’s management in purchasing and selling these investments, the Company
believes that these quotes are reliable indicators of fair value. The Company
may also use other methods to determine fair value for securities for which it
cannot obtain market quotations through brokers or dealers, including the use
of an independent valuation firm. The Company’s valuation committee and board
of directors review and approve the valuation determinations made with respect
to these investments in a manner consistent with the Company’s valuation
process. The value of the total return swap, or TRS,
is primarily based on the increase or decrease in the value of the loans
underlying the TRS, as determined by the Company. The loans underlying the TRS
are valued in the same manner as loans owned by the Company. As in all cases,
the level in the fair value hierarchy for each instrument is determined based
on the lowest level of inputs that are significant to the fair value
measurement. The Company has classified the TRS as Level 3 within the fair
value hierarchy based on the lowest level of significant inputs. For additional
information on the TRS, see Note 7.  Revenue
Recognition Securities
transactions are accounted for on the trade date. The Company records interest
and dividend income on an accrual basis beginning on the trade settlement date
or the ex-dividend date, respectively, to the extent that the Company expects
to collect such amounts. Loan origination fees, original issue discounts, and
market discounts/premiums are recorded and such amounts are amortized as
adjustments to interest income over the respective term of the loan using the
effective interest method. The Company records prepayment premiums on loans and
debt securities as interest income when it receives such amounts. In addition,
the Company may generate revenue in the form of commitment, structuring or
diligence fees, monitoring fees, fees for providing managerial assistance and
possibly consulting fees and performance-based fees. Any such fees generated in
connection with investments are recognized when earned. The Company may
have investments in its investment portfolio that contain a PIK interest
provision. PIK interest is accrued as interest income if the portfolio company
valuation indicates that such PIK interest is collectible and recorded as
interest receivable up to the interest payment date. On the interest payment
dates, the Company will capitalize the accrued interest receivable attributable
to PIK as additional principal due from the borrower. Additional PIK securities
typically have the same terms, including maturity dates and interest rates, as
the original securities. In order to maintain RIC status, substantially all of
this income must be paid out to shareholders in the form of distributions, even
if the Company has not collected any cash. Loans and debt securities, including those that are
individually identified as being impaired under Accounting Standards
Codification 310,Receivables,
or ASC 310, are generally placed on non-accrual status immediately if, in the
opinion of management, principal or interest is not likely to be paid in
accordance with the terms of the debt agreement, or when principal or interest
is past due 90 days or more. Interest accrued but not collected at the date a
loan or security is placed on non-accrual status is reversedagainst interest income. Interest
income is recognized on non-accrual loans or debt securities only to the extent
received in cash. How­ever, where there is doubt regarding the ultimate
collectibility ofprincipal, cash
receipts, whether designated as principal or interest, are thereafter applied
to reduce the carrying value of the loan or debt security. Loans or securities
are restored to accrual status only when interest and principal payments are
brought current and future payments are reasonably assured. Net Realized
Gains or Losses and Net Change in Unrealized Appreciation or Depreciation Gains
or losses on the sale of investments are calculated by using the
weighted-average method. The Company measures realized gains or losses by the
difference between the net proceeds from the repayment or sale and the
weighted-average amortized cost of the investment, without regard to unrealized
appreciation or depreciation previously recognized, but considering unamortized
upfront fees and prepayment penalties. 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. Derivative Instrument The Company’s only
derivative instrument is the TRS. The Company marks its derivative to market
through net change in unrealized (depreciation) appreciation on total return
swap in the consolidated statements of operations. For additional information
on the TRS, see Note 7. 16


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Capital Gains Incentive Fee Pursuant
to the terms of the investment advisory agreement the Company entered into with
CIM, the incentive fee on capital gains earned on liquidated investments of the
Company’s investment portfolio during operations is determined and payable in
arrears as of the end of each calendar year. Such fee equals 20% of the
Company’s incentive fee capital gains (i.e., the Company’s realized capital
gains on a cumulative basis from inception, calculated as of the end of each
calendar year, computed net of all realized capital losses and unrealized
capital depreciation on a cumulative basis), less the aggregate amount of any
previously paid capital gains incentive fees. On a cumulative basis and to the
extent that all realized capital losses and unrealized capital depreciation
exceed realized capital gains as well as the aggregate realized net capital
gains for which a fee has previously been paid, the Company would not be
required to pay CIM a capital gains incentive fee. On a quarterly basis, the
Company accrues for the capital gains incentive fee by calculating such fee as
if it were due and payable as of the end of such period. CIM
has not taken any incentive fees with respect to the Company’s TRS to date. For
purposes of computing the capital gains incentive fee, CIM will become entitled
to a capital gains incentive fee only upon the termination or disposition of
the TRS, at which point all net gains and losses of the underlying loans
constituting the reference assets of the TRS will be realized. Any net unrealized
gains on the TRS are reflected in total assets on the Company’s consolidated
balance sheets and included in the computation of the base management fee. Any
net unrealized losses on the TRS are reflected in total liabilities on the
Company’s consolidated balance sheets and excluded in the computation of the
base management fee. While the investment advisory agreement
with CIM neither includes nor contemplates the inclusion of unrealized gains in
the calculation of the capital gains incentive fee, pursuant to an
interpretation of the American Institute for Certified Public Accountants, or
AICPA, Technical Practice Aid for investment companies, the Company accrues
capital gains incentive fees on unrealized gains. This accrual reflects the
incentive fees that would be payable to CIM if the Company’s entire investment
portfolio was liquidated at its fair value as of the balance sheet date even
though CIM is not entitled to an incentive fee with respect to unrealized gains
unless and until such gains are actually realized. Net Increase in Net Assets per Share Net increase in net
assets per share is calculated based upon the daily weighted average number of
shares of common stock outstanding during the reporting period. Distributions Distributions to shareholders
are recorded as of the record date. The amount to be paid as a distribution is
determined by the board of directors on a monthly basis. Net realized capital
gains, if any, are distributed at least annually.  Note 3.
Share Transactions The Company’s initial continuous public
offering commenced on July 2, 2012 and ended on December 31, 2015. The
Company’s follow-on continuous public offering commenced on January 25, 2016. The following tablesummarizes transactions with respect to shares of the
Company’s common stock during the three months ended March 31, 2016 and 2015: Three Months Ended
  March 31,2016
 
 2015Shares
 
 Amount
 
 Shares
 
 AmountGross
  shares/proceeds from the offering
 
 
 49,722
 
 $
 474
 
 
 10,602,475
 
 $
 109,731Reinvestment of
  distributions
 
 
 1,131,095
 
 
 9,683
 
 
 362,547
 
 
 3,410Total gross
  shares/proceeds
 
 
 1,180,817
 
 
 10,157
 
 
 10,965,022
 
 
 113,141Sales
  commissions and dealer manager fees
 
 
 -
 
 
 (50)
 
 
 -
 
 
 (10,016)Net
  shares/proceeds
 
 
 1,180,817
 
 
 10,107
 
 
 10,965,022
 
 
 103,125Share repurchase
  program
 
 
 (272,148)
 
 
 (2,437)
 
 
 (48,947)
 
 
 (460)Net
  shares/proceeds from share transactions
 
 
 908,669
 
 $
 7,670
 
 
 10,916,075
 
 $
 102,665
  During the three months ended March 31,
2016 and 2015, the Company sold 1,180,817 and 10,965,022 shares, respectively,
at an average price per share of $8.60 and $10.32, respectively.  Since commencing its initial continuous
public offering on July 2, 2012 and through March 31, 2016, the Company sold
104,723,030 shares of common stock for net proceeds of $1,069,240 at an average
price per share of $10.21. The net proceeds include gross proceeds received
from reinvested shareholder distributions of $55,109, for which the Company
issued 5,999,087 shares of common stock, and gross proceeds paid for shares of
common stock tendered for repurchase of $10,019, for which the Company
repurchased 1,083,608 shares of common stock. 17


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 During the period from April 1, 2016 to May 5, 2016, the Company
sold 226,605 shares of common stock pursuant to its follow-on continuous public
offering for gross proceeds of $2,145 at an average price per share of $9.47.
The Company also received gross proceeds of $2,992 from reinvested shareholder
distributions, for which the Company issued 344,505 shares of common stock, and
paid $5,827 for shares of common stock tendered for repurchase, for which the
Company repurchased 674,429 shares of common stock.  Since commencing its initial continuous
public offering on July 2, 2012 and through May 5, 2016, the Company sold
104,619,711 shares of common stock for net proceeds of $1,068,550 at an average
price per share of $10.21. The net proceeds include gross proceeds received
from reinvested shareholder distributions of $58,101, for which the Company
issued 6,343,592 shares of common stock, and gross proceeds paid for shares of
common stock tendered for repurchase of $15,846, for which the Company
repurchased 1,758,037 shares of common stock.  To ensure that the offering price per
share, net of sales commissions and dealer manager fees, equaled or exceeded
the net asset value per share on each subscription closing date and distribution
reinvestment date, certain of the Company’s directors increased the offering
price per share of common stock on certain dates. Due to a decline in the
Company’s net asset value per share to an amount more than 2.5% below the
Company’s then-current net offering price, certain of the Company’s directors
decreased the offering price per share of common stock on certain dates.  The changes to our
offering price per share since the commencement of our initial continuous
public offering and the associated effective dates of such changes were as
follows: Approval Date
 
 Effective Date
 
 New Offering Price Per ShareDecember 28, 2012
 
 January 2, 2013
 
 $10.04January 31, 2013
 
 February 1, 2013
 
 $10.13March 14, 2013
 
 March 18, 2013
 
 $10.19May 15, 2013
 
 May 16, 2013
 
 $10.24August 15, 2013
 
 August 16, 2013
 
 $10.32February 4, 2014
 
 February 5, 2014
 
 $10.45October 6, 2015
 
 October 7, 2015
 
 $10.20November 24, 2015
 
 November 25, 2015
 
 $10.05December 22, 2015
 
 December 23, 2015
 
 $9.95March 8, 2016
 
 March 9, 2016
 
 $9.40March 15, 2016
 
 March 16, 2016
 
 $9.45March 22, 2016
 
 March 23, 2016
 
 $9.50March 29, 2016
 
 March 30, 2016
 
 $9.55April 5, 2016
 
 April 6, 2016
 
 $9.60April 26, 2016
 
 April 27, 2016
 
 $9.65May 3, 2016
 
 May 4, 2016
 
 $9.70May 10, 2016
 
 May 11, 2016
 
 $9.75Cumulative Net Decrease
 
 
 
 ($0.25)
  Share Repurchase Program  Beginning in the first quarter of 2014, the
Company began offering, and on a quarterly basis thereafter it intends to
continue offering, to repurchase shares on such terms as may be determined by
the Company’s board of directors in its complete and absolute discretion
unless, in the judgment of the independent directors of the Company’s board of
directors, such repurchases would not be in the best interests of the Company’s
shareholders or would violate applicable law.  The Company limits the number of shares to
be repurchased during any calendar year to the number of shares it can
repurchase with the proceeds it receives from the issuance of shares pursuant
to its fourth amended and restated distribution reinvestment plan. At the discretion
of the Company’s board of directors, it may also use cash on hand, cash
available from borrowings and cash from liquidation of investments as of the
end of the applicable period to repurchase shares. In addition, the Company
limits the number of shares to be repurchased in any calendar year to 15% of
the weighted average number of shares outstanding in the prior calendar year,
or 3.75% in each quarter, though the actual number of shares that it offers to
repurchase may be less in light of the limitations noted above. The Company currently
offers to repurchase such shares at a price equal to 90% of the offering price
in effect on each date of repurchase.  On November 2, 2015, the Company amended
the terms of the quarterly share repurchase program, effective as of the
Company’s quarterly repurchase offer for the fourth quarter of 2015, which
commenced in November 2015 and was completed in January 2016. Under the amended
share repurchase program, the Company offered to repurchase shares of common
stock at a price per share of $8.96, which was (i) not less than the net asset
value per share immediately prior to January 4, 2016 and (ii) not more than
2.5% greater than the net asset value per share as of such date. 18


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 On January 22, 2016, the Company further amended the terms of the
quarterly share repurchase program, effective as of the Company’s quarterly
repurchase offer for the first quarter of 2016, which commenced in February
2016 and was completed in April 2016. Under the further amended share repurchase
program, the Company will offer to repurchase shares of common stock at a price
equal to 90% of the public offering price in effect on each date of repurchase.  Any periodic repurchase offers are subject
in part to the Company’s available cash and compliance with the BDC and RIC
qualification and diversification rules promulgated under the 1940 Act and the Code,
respectively. While the Company conducts quarterly tender offers as described
above, it is not required to do so and may suspend or terminate the share
repurchase program at any time, upon 30 days’ notice.  The following table summarizes the share repurchases
completed during the three months ended March 31, 2016: Three Months
  Ended
 
 Repurchase Date
 
 Shares Repurchased
 
 Percentage of Shares Tendered That Were
  Repurchased
 
 Repurchase Price Per Share
 
 Aggregate Consideration for Repurchased
  SharesMarch 31, 2016
 
 January 4, 2016
 
 272,148
 
 100%
 
 $
 8.96
 
 $
 2,437Total
 
 
 
 
 272,148
 
 
 
 
 
 
 $
 2,437
 Note 4. Transactions with Related Parties  For the three months ended March 31, 2016 and 2015, fees and
other expenses incurred by the Company related to CIM and its affiliates were
as follows: Three Months Ended
  March 31,Entity
 
 Capacity
 
 Description
 
 2016
 
 2015CĪON
  Securities, LLC
 
 Dealer manager
 
 Dealer manager
  fees(1)
 
 $
 15
 
 $
 3,251CIM
 
 Investment
  adviser
 
 Management
  fees(2)
 
 
 4,512
 
 
 2,760CIM
 
 Investment
  adviser
 
 Incentive
  fees(2)
 
 
 -
 
 
 1,454ICON Capital,
  LLC
 
 Administrative
  services provider
 
 Administrative
  services expense(2)
 
 
 292
 
 
 454IIG
 
 Sponsor
 
 Recoupment of
  expense support(2)
 
 
 119
 
 
 837$
 4,938
 
 $
 8,756(1) Amounts
  charged directly to equity.(2) Amounts
  charged directly to operations.
  The Company has entered
into certain agreements with CIM’s affiliate, CĪON Securities, LLC,
formerly known as ICON Securities, LLC, or CĪON Securities, whereby the
Company pays certain fees and reimbursements. CĪON Securities is entitled
to receive a 3% dealer manager fee from gross offering proceeds from the sale
of the Company’s shares. The selling dealers are entitled to receive a sales
commission of up to 7% of gross offering proceeds. Such costs are charged
against capital in excess of par value when incurred. Since commencing its
initial continuous public offering on July 2, 2012 and through May 5, 2016, the
Company paid or accrued sales commissions of $61,540 to the selling dealers and
dealer manager fees of $30,118 to CĪON Securities.  The Company has entered into an investment
advisory agreement with CIM. On December 7, 2015, the board of directors
of the Company, including a majority of the board of directors who are not
interested persons, approved the renewal of the investment advisory
agreement for a period of twelve months commencing December 17, 2015.
Pursuant to the investment advisory agreement, CIM is paid an annual base
management fee equal to 2.0% of the average value of the Company’s gross assets,
less cash and cash equivalents, and an incentive fee based on the Company’s
performance, as described below. The base management fee is payable quarterly
in arrears and is calculated based on the two most recently completed calendar
quarters. The incentive fee consists of two parts. The first part, which is
referred to as the subordinated incentive fee on income, is calculated and
payable quarterly in arrears based on “pre-incentive fee net investment income”
for the immediately preceding quarter and is subject to a hurdle rate, measured
quarterly and expressed as a rate of return on adjusted capital, as defined in
the investment advisory agreement, equal to 1.875% per quarter, or an
annualized rate of 7.5%. The second part of the incentive fee, which is
referred to as the incentive fee on capital gains, is described in Note 2.
Refer to Note 7 for a discussion of CIM’s entitlement to receive incentive fees
and the Company’s accrual of the incentive fee on capital gains with respect to
the TRS.  The Company accrues the capital gains
incentive fee based on net realized gains and unrealized appreciation; however,
under the terms of the investment advisory agreement, the fee payable to CIM is
based on net realized gains and unrealized depreciation and no such fee is
payable with respect to unrealized appreciation unless and until such
appreciation is actually realized.For the three
months endedMarch 31, 2015, the Company
recorded capital gains incentive fees of$1,454 related to the change in
unrealized (depreciation) appreciation. As of and for
the three months ended March 31, 2016, the Company had no liability for and did
not record any capital gain incentive fees. 19


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 With respect to the TRS, CIM will become entitled to receive a
capital gains incentive fee only upon the termination or disposition of the
TRS, at which point all net gains and losses of the underlying loans
constituting the reference assets of the TRS will be realized. See Note 2 and
Note 7 for an additional discussion of CIM’s entitlement to receive payment of
incentive fees and the Company’s accrual of the incentive fee on capital gains
with respect to the TRS.  The Company entered into
an administration agreement with CIM’s affiliate, ICON Capital, LLC, or ICON Capital,
pursuant to which ICON Capital furnishes the Company with administrative
services including accounting, investor relations and other administrative
services necessary to conduct its day-to-day operations. On December 7, 2015,
the board of directors of the Company, including a majority of the board
of directors who are not interested persons, approved the renewal of the
administration agreement for a period of twelve months commencing December 17,
2015. ICON Capital is reimbursed for administrative expenses it incurs on the
Company’s behalf in performing its obligations, provided that such
reimbursement will be for the lower of ICON Capital’s actual costs or the
amount that the Company would be required to pay for comparable administrative
services in the same geographic location. Such costs will be reasonably
allocated to the Company on the basis of assets, revenues, time records or
other reasonable methods. The Company will not reimburse ICON Capital for any
services for which it receives a separate fee or for rent, depreciation,
utilities, capital equipment or other administrative items allocated to a
person with a controlling interest in ICON Capital.  Under the terms of the
investment advisory agreement, CIM and certain of its affiliates, which includes
IIG, are entitled to receive reimbursement of up to 1.5% of the gross proceeds
raised until all offering and organizational costs have been reimbursed. The
Company’s payment of offering and organizational costs will not exceed 1.5% of
the actual gross proceeds raised from the offerings (without giving effect to
any potential expense support from IIG and its affiliates). If the Company
sells the maximum number of shares at its latest public offering price of $9.75
per share, the Company estimates that it may incur up to approximately $29,979
of expenses. With respect to any reimbursements for offering and organizational
costs, the Company will interpret the 1.5% limit based on actual gross proceeds
raised at the time of such reimbursement.  In addition, the Company
will not issue any of its shares or other securities for services or for
property other than cash or securities except as a dividend or distribution to
its security holders or in connection with a reorganization.  From inception through December
31, 2012, IIG and its affiliates incurred offering, organizational and other
pre-effective costs of $2,012. Of these costs, $1,812 represented offering and
organizational costs, all of which have been submitted to the Company for
reimbursement. The Company paid $450 in October 2013, $550 in March 2014, $592
in May 2014 and $420 in March 2015.  No additional material offering,
organizational or other pre-effective costs have been incurred by IIG or its
affiliates subsequent to December 31, 2012.  Reinvestment of
shareholder distributions and share repurchases are excluded from the gross
proceeds from the Company’s offerings for purposes of determining the total amount
of offering and organizational costs that can be paid by the Company. As of
March 31, 2016, the Company raised gross offering proceeds of $1,024,150, of
which it can pay up to $15,362 in offering and organizational costs (which
represents 1.5% of the actual gross offering proceeds raised). Through March
31, 2016, the Company paid $8,466 of such costs, leaving an additional $6,896
that can be paid. As of May 5, 2016, the Company raised gross offering proceeds
of $1,026,295, of which it can pay up to $15,394 in offering and organizational
costs (which represents 1.5% of the actual gross offering proceeds raised).
Through May 5, 2016, the Company paid $8,632 of such costs, leaving an
additional $6,762 that can be paid.  On January 30,
2013, the Company entered into the expense support and conditional
reimbursement agreement with IIG, whereby IIG agreed to provide expense support
to the Company in an amount that is sufficient to: (1) ensure that no portion
of the Company’s distributions to shareholders will be paid from its offering
proceeds or borrowings, and/or (2) reduce the Company’s operating expenses
until it has achieved economies of scale sufficient to ensure that it bears a
reasonable level of expense in relation to its investment income.On December 13, 2013 and January 16, 2015,
the Company and IIG amended the expense support and conditional reimbursement
agreement to extend the termination date of such agreement from January 30,
2014 to January 30, 2015 and from January 30, 2015 to December 31, 2015,
respectively. On December 16, 2015, the Company further amended and restated the
expense support and conditional reimbursement agreement for purposes of
including AIM as a party to the agreement and extending the termination date
from December 31, 2015 to December 31, 2016. Commencing with the quarter
beginning January 1, 2016, IIG and AIM each agrees to provide expense support
to the Company for 50% of its expenses as described above.  For the
three months ended March 31, 2016 and 2015, the Company did not receive any
expense support from IIG or AIM.  Pursuant to
the expense support and conditional reimbursement agreement, the Company will
have a conditional obligation to reimburse IIG for any amounts funded by IIG
under such agreement (i) if expense support amounts funded by IIG exceed
operating expenses incurred during any fiscal quarter, (ii) if the sum of the
Company’s net investment income for tax purposes, net capital gains and the
amount of any dividends and other distributions paid to the Company on account
of investments in portfolio companies (to the extent not included in net
investment income or net capital gains for tax purposes) exceeds the
distributions paid by the Company to shareholders, and (iii) during any fiscal
quarter occurring within three years of the date on which IIG funded such
amount. Pursuant to the second amended and restated expense support and
conditional reimbursement agreement, the Company will have a conditional
obligation to reimburse IIG and AIM for any amounts funded by IIG and AIM under
the same circumstances described above. The obligation to reimburse IIG and AIM
for any expense support provided by IIG and AIM under such agreement is further
conditioned by the following: (i) in the period in which reimbursement is
sought, the ratio of operating expenses to average net assets, when considering
the reimbursement, cannot exceed the ratio of operating expenses to average net
assets, as defined, for the period when the expense support was provided; (ii)
in the period when reimbursement is sought, the annualized distribution rate
cannot fall below the annualized distribution rate for the period when the
expense support was provided; and (iii) the expense support can only be reimbursed
within three years from the date the expense support was provided. 20


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Recoupment of expense support will be
determined as appropriate to meet the objectives of the second amended and
restated expense support and conditional reimbursement agreement. During the
three months ended March 31, 2016 and 2015, the Company recorded obligations to
repay expense support from IIG of $119 and $837, respectively. During the three
months ended March 31, 2016, the Company repaid expense support of $480 to IIG.
During the three months ended March 31, 2015, the Company did not repay expense
support to IIG.The Company may or may not be
requested to reimburse any remaining expense support in the future.  The Company, AIM, or IIG
may terminate the second amended and restated expense support and conditional
reimbursement agreement at any time. IIG and AIM have indicated that they
expect to continue such expense support until they believe that the Company has
achieved economies of scale sufficient to ensure that it bears a reasonable
level of expenses in relation to its income. If the Company terminates the
investment advisory agreement with CIM and/or the investment sub-advisory
agreement with AIM, the Company may be required to repay IIG and AIM all unreimbursed
expense support funded by IIG and AIM within three years of the date of
termination. The specific amount of expenses support provided by IIG and AIM,
if any, will be determined at the end of each quarter. There can be no
assurance that the second amended and restated expense support and conditional
reimbursement agreement will remain in effect or that IIG and AIM will support
any portion of the Company’s expenses in future quarters.  The table below presents a summary of all
expenses supported by IIG and the associated dates through which such expenses
are eligible for reimbursement by the Company for each of the following three
month periods. Three Months
  Ended
 
 Expense Support from IIG
 
 Recoupment of Expense Support(4)
 
 Unreimbursed Expense Support
 
 Ratio of Operating Expense to Average Net
  Assets for the Period(1)
 
 Annualized Distribution Rate for the
  Period(3)
 
 Eligible for Reimbursement throughDecember 31,
  2012
 
 $
 117
 
 $
 117
 
 $
 -
 
 0.93%
 
 0.00%(2)
 
 December 31, 2015March 31, 2013
 
 
 819
 
 
 819
 
 
 -
 
 2.75%
 
 7.00%
 
 March 31, 2016June 30, 2013
 
 
 1,148
 
 
 1,148
 
 
 -
 
 1.43%
 
 7.00%
 
 June 30, 2016September 30,
  2013
 
 
 1,297
 
 
 1,297
 
 
 -
 
 0.49%
 
 7.00%
 
 September 30, 2016December 31,
  2013
 
 
 695
 
 
 695
 
 
 -
 
 0.31%
 
 7.00%
 
 December 31, 2016March 31, 2014
 
 
 1,049
 
 
 1,049
 
 
 -
 
 0.27%
 
 7.00%
 
 March 31, 2017June 30, 2014
 
 
 -
 
 
 -
 
 
 -
 
 0.31%
 
 7.00%
 
 June 30, 2017September 30,
  2014
 
 
 -
 
 
 -
 
 
 -
 
 0.13%
 
 7.00%
 
 September 30, 2017December 31,
  2014
 
 
 831
 
 
 283
 
 
 548
 
 0.15%
 
 7.00%
 
 December 31, 2017March 31, 2015
 
 
 -
 
 
 -
 
 
 -
 
 0.21%
 
 7.00%
 
 March 31, 2018June 30, 2015
 
 
 -
 
 
 -
 
 
 -
 
 0.18%
 
 7.00%
 
 June 30, 2018September 30,
  2015
 
 
 -
 
 
 -
 
 
 -
 
 0.15%
 
 7.00%
 
 September 30, 2018December 31,
  2015
 
 
 -
 
 
 -
 
 
 -
 
 0.12%
 
 7.00%
 
 December 31, 2018March 31, 2016
 
 
 -
 
 
 -
 
 
 -
 
 0.15%
 
 7.00%
 
 March 31, 2019Total
 
 $
 5,956
 
 $
 5,408
 
 $
 548
 (1)
 Operating expenses include all expenses borne by the Company,
  except for offering and organizational costs, base management fees, incentive
  fees, administrative services expenses, other general and administrative
  expenses owed to CIM and its affiliates, and interest expense.(2)
 The Company did not declare any distributions during the three
  months ended December 31, 2012.(3)
 Annualized Distribution Rate equals the annualized rate of
  distributions paid to shareholders based on the amount of the regular cash
  distributions paid immediately prior to the date the expense support payment
  obligation was incurred by IIG. Annualized Distribution Rate does not include
  special cash or stock distributions paid to shareholders. The Annualized
  Distribution Rate is calculated based on the maximum historical offering
  price at each record date.(4)
 As of March 31, 2016, expense support recoupments of $119 were
  payable to IIG.
  As of March 31, 2016 and December 31, 2015,
the total liability payable to CIM and its affiliates was $4,941 and $5,735,
respectively, which primarily related to fees earned by CIM during the three
months ended March 31, 2016 and December 31, 2015, respectively.  21


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Because CIM’s senior management team is comprised of substantially
the same personnel as the senior management team of the Company’s affiliate,
ICON Capital, which is the investment manager to certain equipment finance
funds, or equipment funds, such members of senior management provide investment
advisory and management services to the equipment funds in addition to the Company.
In the event that CIM undertakes to provide investment advisory services to
other clients in the future, it will strive to allocate investment
opportunities in a fair and equitable manner consistent with the Company’s
investment objective and strategies so that the Company will not be
disadvantaged in relation to any other client of the investment adviser or its
senior management team. However, it is currently possible that some investment
opportunities will be provided to the equipment funds or other clients of CIM
rather than to the Company.  Indemnifications  The investment advisory agreement, the
investment sub-advisory agreement, the administration agreement and the dealer manager
agreement each provide certain indemnifications from the Company to the other
relevant parties to such agreements.  The Company’s maximum exposure under
these agreements is unknown. However, the Company has not experienced claims or
losses pursuant to these agreements and believes the risk of loss related to
such indemnifications to be remote.  Note 5. Distributions  The Company’s board of directors authorizes
and declares on a monthly basis a weekly distribution amount per share of
common stock. During the year ended December 31, 2015 and the three months
ended March 31, 2016, the Company’s board of directors declared distributions
for 52 and 13 record dates, respectively. Declared distributions are paid
monthly.  The following table
presents cash distributions per share that were declared during the year ended
December 31, 2015 and the three months ended March 31, 2016: DistributionsThree Months
  Ended
 
 Per Share
 
 Amount2015March 31, 2015
  (thirteen record dates)
 
 $
 0.1829
 
 $
 10,767June 30, 2015
  (thirteen record dates)
 
 
 0.1829
 
 
 13,223September 30,
  2015 (thirteen record dates)
 
 
 0.1829
 
 
 15,517December 31,
  2015 (thirteen record dates)
 
 
 0.1829
 
 
 17,761Total
  distributions for the year ended December 31, 2015
 
 $
 0.7316
 
 $
 57,2682016March 31, 2016
  (thirteen record dates)
 
 $
 0.1829
 
 $
 19,004Total
  distributions for the three months ended March 31, 2016
 
 $
 0.1829
 
 $
 19,004
  On March 22, 2016, the Company’s board of
directors declared four weekly cash distributions of $0.014067 per share, which
were paid on April 27, 2016 to shareholders of record on April 5, April 12,
April 19, and April 26, 2016. On April 15, 2016, the Company’s board of
directors declared five weekly cash distributions of $0.014067 per share,
payable on June 1, 2016 to shareholders of record on May 3, May 10, May 17, May
24, and May 31, 2016.  The Company has adopted an “opt in”
distribution reinvestment plan for shareholders. As a result, if the Company
makes a distribution, shareholders will receive distributions in cash unless
they specifically “opt in” to the fourth amended and restated distribution
reinvestment plan so as to have their cash distributions reinvested in
additional shares of the Company’s common stock.  On November 2, 2015, the Company further
amended and restated its distribution reinvestment plan pursuant to the third
amended and restated distribution reinvestment plan, or the Third Amended DRIP.
The Third Amended DRIP was effective as of, and first applied to the
reinvestment of cash distributions paid on or after, the closing of the
Company’s initial continuous public offering on December 31, 2015. Prior to the
Third Amended DRIP,cash distributions to
participating shareholders were reinvested in additional shares of common stock
at a purchase price equal to 90% of the public offering price per share in
effect as of the date of issuance.Under the Third Amended DRIP, cash
distributions to participating shareholders were reinvested in additional
shares of common stock at a purchase price determined by the Company’s board of
directors or a committee thereof, in its sole discretion, that was (i) not less
than the net asset value per share determined in good faith by the board of
directors or a committee thereof, in their sole discretion, immediately prior
to the payment of the distribution, or the NAV Per Share, and (ii) not more
than 2.5% greater than the NAV Per Share as of such date. The purchase price
determined for the January and February 2016 reinvestment of cash distributions
under the Third Amended DRIP was $8.63 and $8.45 per share, respectively. 22


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 On January 22, 2016, the Company further amended
and restated its distribution reinvestment plan pursuant to the fourth amended
and restated distribution reinvestment plan, or the Fourth Amended DRIP.The Fourth Amended DRIP became effective as of,
and first applied to the reinvestment of cash distributions paid on, March 30,
2016. Under the Fourth Amended DRIP, cash distributions to participating
shareholders will be reinvested in additional shares of common stock at a
purchase price equal to 90% of the public offering price per share in effect as
of the date of issuance.  The Company may fund its cash distributions
to shareholders from any sources of funds available to the Company, including
offering proceeds, borrowings, net investment income from operations, capital
gains proceeds from the sale of assets, non-capital gains proceeds from the
sale of assets, dividends or other distributions paid to it on account of
preferred and common equity investments in portfolio companies and expense
support from IIG and AIM, which is subject to recoupment. The Company has not
established limits on the amount of funds it may use from available sources to
make distributions. Through December 31, 2014, a portion of the Company’s
distributions resulted from expense support from IIG, and future distributions
may result from expense support from IIG and AIM, each of which is subject to
repayment by the Company within three years. The purpose of this arrangement is
to avoid such distributions being characterized as a return of capital.
Shareholders should understand that any such distributions are not based on the
Company’s investment performance, and can only be sustained if the Company
achieves positive investment performance in future periods and/or IIG and AIM
continue to provide such expense support. Shareholders should also understand
that the Company’s future repayments of expense support will reduce the
distributions that they would otherwise receive. There can be no assurance that
the Company will achieve such performance in order to sustain these
distributions, or be able to pay distributions at all. IIG and AIM have no
obligation to provide expense support to the Company in future periods.  The following table reflects the sources of
cash distributions on a GAAP basis that the Company has declared on its shares
of common stock during the three months ended March 31, 2016 and 2015:  Three Months Ended
  March 31,2016
 
 2015Source of
  Distribution
 
 Per Share
 
 Amount
 
 Percentage
 
 Per Share
 
 Amount
 
 PercentageNet investment
  income
 
 $
 0.1008
 
 $
 10,475
 
 55.1%
 
 $
 0.0362
 
 $
 2,131
 
 19.8%Net realized
  gain on total return swapNet interest and
  other income from TRS portfolio
 
 
 0.0789
 
 
 8,193
 
 43.1%
 
 
 0.1088
 
 
 6,408
 
 59.5%Net gain on TRS
  loan sales
 
 
 0.0016
 
 
 169
 
 0.9%
 
 
 0.0034
 
 
 199
 
 1.9%Net realized
  gain on investments
 
 
 -
 
 
 -
 
 -
 
 
 0.0098
 
 
 575
 
 5.3%Distributions in
  excess of net investment income(1)
 
 
 0.0016
 
 
 167
 
 0.9%
 
 
 0.0247
 
 
 1,454
 
 13.5%Total
  distributions
 
 $
 0.1829
 
 $
 19,004
 
 100.0%
 
 $
 0.1829
 
 $
 10,767
 
 100.0%(1)
 Distributions in excess of net investment income represent
  certain expenses, which are not deductible on a tax-basis. Unearned capital
  gains incentive fees and certain offering expenses reduce GAAP basis net
  investment income, but do not reduce tax basis net investment income. These
  tax-related adjustments represent additional net investment income available
  for distribution for tax purposes.
  It is the Company's
policy to comply with all requirements of the Code applicable to RICs and to
distribute substantially all of its taxable income to its shareholders. In
addition, by distributing during each calendar year substantially all of its
net investment income, net realized capital gains and certain other amounts, if
any, the Company intends not to be subject to corporate level federal income
tax or federal excise taxes. Accordingly, no federal income tax provision was
required.  Income and
capital gain distributions are determined in accordance with the Code and
federal tax regulations, which may differ from amounts determined in accordance
with GAAP. These book/tax differences, which could be material, are primarily
due to differing treatments of income and gains on various investments held by
the Company. Permanent book/tax differences result in reclassifications to
capital in excess of par value, accumulated undistributed net investment
income, accumulated undistributed realized gain on investments, and accumulated
undistributed realized gain on total return swap. During 2015, permanent
differences primarily due to the treatment of TRS and non-deductible share
offering costs resulted in a net decrease in distributions in excess of net
investment income, a net decrease in accumulated realized gains and a net
decrease to capital in excess of par value. These reclassifications had no
effect on net assets.  The determination of the tax attributes of
the Company’s distributions is made annually as of the end of the Company’s
fiscal year based upon the Company’s taxable income for the full year and
distributions paid for the full year. The tax characteristics of distributions
to shareholders are reported to shareholders annually on Form 1099-DIV. All
distributions for 2015 were characterized as ordinary income distributions for
federal income tax purposes. 23


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The tax components of accumulated earnings for the current year
will be determined at year end. As of December 31, 2015, the components of
accumulated earnings on a tax basis were as follows:  December 31, 2015Net unrealized
  depreciation on investments and total return swap
 $
 (64,137)Total
  accumulated earnings
 $
 (64,137)
  As of March 31, 2016, the aggregate gross
unrealized appreciation for all securities in which there was an excess of
value over tax cost was $2,834; the aggregate gross unrealized depreciation for
all securities in which there was an excess of tax cost over value was $81,184;
the net unrealized depreciation was $78,350; and the aggregate cost of
securities for Federal income tax purposes was $714,406.  As of December 31, 2015, the aggregate
gross unrealized appreciation for all securities in which there was an excess
of value over tax cost was $3,728; the aggregate gross unrealized depreciation
for all securities in which there was an excess of tax cost over value was
$67,865; the net unrealized depreciation was $64,137; and the aggregate cost of
securities for Federal income tax purposes was $699,036.  Note 6. Investments  The composition of the Company’s investment
portfolio as of March 31, 2016 and December 31, 2015 at amortized cost and fair
value was as follows:  March 31, 2016
 
 December 31, 2015Amortized
  Cost(1)
 
 Fair
  Value
 
 Percentage of
  Investment
  Portfolio
 
 Amortized
  Cost(1)
 
 Fair
  Value
 
 Percentage of
  Investment
  PortfolioSenior secured
  first lien debt
 
 $
 129,097
 
 $
 125,948
 
 19.3%
 
 $
 106,147
 
 $
 104,187
 
 16.0%Senior secured
  second lien debt
 
 
 462,442
 
 
 440,958
 
 67.4%
 
 
 468,899
 
 
 453,713
 
 69.7%Collateralized
  securities and structured products - debt
 
 
 44,388
 
 
 38,739
 
 5.9%
 
 
 44,361
 
 
 41,663
 
 6.4%Collateralized
  securities and structured products - equity
 
 
 30,372
 
 
 21,793
 
 3.3%
 
 
 31,184
 
 
 24,604
 
 3.8%Unsecured debt
 
 
 29,584
 
 
 26,603
 
 4.1%
 
 
 29,553
 
 
 26,740
 
 4.1%Subtotal/total
  percentage
 
 
 695,883
 
 
 654,041
 
 100.0%
 
 
 680,144
 
 
 650,907
 
 100.0%Short term
  investments(2)
 
 
 18,523
 
 
 18,523
 
 
 
 
 18,892
 
 
 18,892Total
  investments
 
 $
 714,406
 
 $
 672,564
 
 
 
 $
 699,036
 
 $
 669,799
 (1)
 Amortized cost represents the original cost adjusted for the
  amortization of premiums and/or accretion of discounts, as applicable, on the
  Company’s investments.(2)
 Short term investments represent an investment in a fund that
  invests in highly liquid investments with average original maturity dates of
  three months or less.
  CĪON / Capitala Senior Loan Fund I, LLC  On June 24, 2015, the Company entered into
a joint venture with Capitala Finance Corp., or Capitala, to create CCSLF.
CCSLF is expected to invest primarily in senior secured loans. All portfolio
and other material decisions regarding CCSLF must be submitted to its board of
managers, which is comprised of four members, two of whom were selected by the
Company and the other two were selected by Capitala. Further, all portfolio and
other material decisions require the affirmative vote of at least one member from
the Company and one member from Capitala.  The Company and Capitala have committed to
provide an aggregate of up to $50,000 of equity to CCSLF, with the Company
providing up to $40,000 and Capitala providing up to $10,000.  In
addition, CCSLF intends to obtain third party asset-level financing. As of
March 31, 2016 and December 31, 2015, CCSLF held no assets and generated no net
income and as a result, is not included on the Company’s consolidated schedules
of investments as of March 31, 2016 and December 31, 2015. If and when the
Company and Capitala fund CCSLF with new investments, CCSLF will be presented
as a controlled investment as defined by the 1940 Act. An investment is
controlled under the 1940 Act when a company owns more than 25% of the
portfolio company’s outstanding voting securities or maintains the ability to
nominate greater than 50% of the portfolio company's board representation.  The Company has determined that CCSLF is an
investment company under ASC 946. However, in accordance with such guidance,
the Company will generally not consolidate its investment in a company other
than a wholly owned investment company or a controlled operating company whose
business consists of providing services to the Company. Accordingly, the
Company does not consolidate CCSLF.  As of May 5, 2016, the Company’s unfunded
commitment to CCSLF was $40,000. 24


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The following tables show the composition of the Company’s
investment portfolio by industry classification and geographic dispersion, and
the percentage, by fair value, of the total investment portfolio assets in such
industries and geographies as of March 31, 2016 and December 31, 2015: March 31, 2016
 
 December 31, 2015Industry
  Classification
 
 Investments at
  Fair Value
 
 Percentage of
  Investment Portfolio
 
 Investments at
  Fair Value
 
 Percentage of
  Investment PortfolioServices:
  Business
 
 $
 120,846
 
 18.5%
 
 $
 124,412
 
 19.1%High Tech
  Industries
 
 
 114,361
 
 17.5%
 
 
 86,848
 
 13.3%Beverage, Food
  & Tobacco
 
 
 60,761
 
 9.3%
 
 
 62,314
 
 9.6%Diversified
  Financials
 
 
 60,532
 
 9.2%
 
 
 66,267
 
 10.2%Healthcare &
  Pharmaceuticals
 
 
 48,805
 
 7.5%
 
 
 54,122
 
 8.3%Banking,
  Finance, Insurance & Real Estate
 
 
 33,303
 
 5.1%
 
 
 32,224
 
 5.0%Hotel, Gaming
  & Leisure
 
 
 26,617
 
 4.1%
 
 
 26,839
 
 4.1%Chemicals,
  Plastics & Rubber
 
 
 26,409
 
 4.0%
 
 
 27,161
 
 4.2%Media:
  Advertising, Printing & Publishing
 
 
 24,200
 
 3.7%
 
 
 24,627
 
 3.8%Construction
  & Building
 
 
 23,905
 
 3.6%
 
 
 24,099
 
 3.7%Automotive
 
 
 19,087
 
 2.9%
 
 
 19,766
 
 3.0%Consumer Goods:
  Non-Durable
 
 
 13,834
 
 2.1%
 
 
 13,974
 
 2.1%Energy:
  Electricity
 
 
 13,561
 
 2.1%
 
 
 13,677
 
 2.1%Containers,
  Packaging & Glass
 
 
 11,727
 
 1.8%
 
 
 11,851
 
 1.8%Telecommunications
 
 
 10,974
 
 1.7%
 
 
 9,148
 
 1.4%Services:
  Consumer
 
 
 9,847
 
 1.5%
 
 
 13,154
 
 2.0%Media:
  Diversified & Production
 
 
 9,622
 
 1.5%
 
 
 10,153
 
 1.6%Media:
  Broadcasting & Subscription
 
 
 9,165
 
 1.4%
 
 
 9,952
 
 1.5%Retail
 
 
 8,414
 
 1.3%
 
 
 8,623
 
 1.4%Energy: Oil
  & Gas
 
 
 5,596
 
 0.8%
 
 
 6,274
 
 1.0%Environmental
  Industries
 
 
 2,475
 
 0.4%
 
 
 2,850
 
 0.4%Capital
  Equipment
 
 
 -
 
 -
 
 
 2,572
 
 0.4%Subtotal/total percentage
 
 
 654,041
 
 100.0%
 
 
 650,907
 
 100.0%Short term investments
 
 
 18,523
 
 
 
 
 18,892Total investments
 
 $
 672,564
 
 
 
 $
 669,799
  March 31, 2016
 
 December 31, 2015Geographic
  Dispersion(1)
 
 Investments at
  Fair Value
 
 Percentage of
  Investment Portfolio
 
 Investments at
  Fair Value
 
 Percentage of
  Investment PortfolioUnited States
 
 $
 590,324
 
 90.3%
 
 $
 581,756
 
 89.4%Cayman Islands
 
 
 28,166
 
 4.3%
 
 
 32,258
 
 5.0%Germany
 
 
 22,415
 
 3.4%
 
 
 22,960
 
 3.5%Netherlands
 
 
 8,740
 
 1.3%
 
 
 9,120
 
 1.4%United Kingdom
 
 
 2,475
 
 0.4%
 
 
 2,850
 
 0.4%Canada
 
 
 1,921
 
 0.3%
 
 
 1,963
 
 0.3%Subtotal/total
  percentage
 
 
 654,041
 
 100.0%
 
 
 650,907
 
 100.0%Short term investments
 
 
 18,523
 
 
 
 
 18,892Total investments
 
 $
 672,564
 
 
 
 $
 669,799
 (1)
 The geographic
  dispersion is determined by the portfolio company's country of domicile.
  As of March 31, 2016 and December 31, 2015,
there were no delinquent investments or investments on non-accrual status. Except for CCSLF, the
Company does not “control” and is not an “affiliate” of any of its portfolio
companies, each as defined in the 1940 Act. In general, under the 1940 Act, the
Company would be presumed to “control” a portfolio company or issuer if the
Company owned 25% or more of its voting securities and would be an “affiliate”
of a portfolio company or issuer if the Company owned 5% or more of its voting
securities. 25


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The Company’s investment portfolio may contain senior
secured investments that are in the form of lines of credit, revolving credit
facilities, or unfunded commitments, which may require the Company to provide
funding when requested in accordance with the terms of the underlying
agreements. As of March 31, 2016 andDecember 31, 2015, the Company’s
unfunded commitments amounted to $42,188 and $43,404, respectively. As of May
5, 2016, the Company’s unfunded commitments amounted to $82,188.  Since these commitments may expire
without being drawn upon, unfunded commitments do not necessarily represent
future cash requirements or future earning assets for the Company.  Refer to Note 11 for further details
on the Company’s unfunded commitments.  Note 7. Total Return Swap  On December 17, 2012, the Company, through
its wholly-owned subsidiary, Flatiron Funding, LLC, or Flatiron, entered into a
TRS with Citibank, N.A., or Citibank.  Effective December 9, 2013, Flatiron and
Citibank amended the TRS to, among other things, increase the maximum aggregate
market value of the portfolio of loans subject to the TRS (determined at the
time each such loan becomes subject to the TRS) from $150,000 to $225,000, and
increase the interest rate payable by Flatiron to Citibank with respect to each
loan included in the TRS by increasing the spread over the floating rate index
specified for each such loan from 1.25% to 1.35% per year. Flatiron and Citibank
further amended the TRS to increase the maximum aggregate market value of the
portfolio of loans subject to the TRS to $275,000 effective February 18, 2014,
to $325,000 effective April 30, 2014, to $375,000 effective July 30, 2014, to
$475,000 effective September 5, 2014, to $600,000 effective January 20, 2015,
to $750,000 effective March 4, 2015 and to $800,000 effective March 22, 2016.
Effective October 2, 2015, Flatiron and Citibank amended the TRS to extend the
termination or call date from December 17, 2015 to March 17, 2016 and to
provide that the floating rate index specified for each loan included in the
TRS will not be less than zero. On December 22, 2015, Flatiron and Citibank
further amended the TRS to reduce the ramp-down period from 90 days to 30 days
prior to the termination date, which represents the period when reinvestment is
no longer permitted under the terms of the TRS. Effective February 18, 2016,
Flatiron and Citibank further amended the TRS to extend the termination or call
date from March 17, 2016 to February 18, 2017, and increase the interest rate
payable by Flatiron to Citibank with respect to each loan included in the TRS
by increasing the spread over the floating rate index specified for each such
loan from 1.35% to 1.40% per year. The agreements between Flatiron and
Citibank, which collectively establish the TRS, are referred to herein as the
TRS Agreement.  A TRS is a contract in which one party
agrees to make periodic payments to another party based on the change in the market
value of and interest payments from the assets underlying the TRS in return for
periodic payments based on a fixed or variable interest rate. A TRS effectively
adds leverage to a portfolio by providing investment exposure to a security or
market without owning or taking physical custody of such security or investing
directly in such market. Because of the unique structure of a TRS, a TRS
typically offers lower financing costs than are offered through more
traditional borrowing arrangements.  The TRS with Citibank enables the Company,
through its ownership of Flatiron, to obtain the economic benefit of owning the
loans subject to the TRS, without actually owning them, in return for an
interest-type payment to Citibank. As such, the TRS is analogous to Flatiron
borrowing funds to acquire loans and incurring interest expense to a lender.
Under the terms of the TRS Agreement, each asset underlying the TRS constitutes
a separate total return swap transaction, although all calculations and
payments required to be made under the TRS Agreement are calculated and treated
on an aggregate basis, based upon all such transactions.  The obligations of Flatiron under the TRS
are non-recourse to the Company and the Company’s exposure under the TRS is
limited to the value of the Company’s investment in Flatiron, which generally
will equal the value of cash collateral provided by Flatiron under the TRS.
Pursuant to the terms of the TRS, Flatiron may select loans with a maximum
aggregate market value (determined at the time each such loan becomes subject
to the TRS) of $800,000. Flatiron is required to initially cash collateralize a
specified percentage of each loan (generally 25% of the market value of such
loan) included under the TRS in accordance with margin requirements described
in the TRS Agreement. Under the terms of the TRS, Flatiron agreed not to draw
upon, or post as collateral, such cash collateral in respect of other
financings or operating requirements prior to the termination of the TRS.
Neither the cash collateral required to be posted with Citibank nor any other
assets of Flatiron are available to pay the debts of the Company.  Unless otherwise specified, each individual
loan must meet the obligation criteria described in the TRS Agreement, which
includes requirements that the loan be rated by Moody’s and S&P, be part of
a loan facility of at least $125 million and have at least two bid quotations
from a nationally-recognized pricing service. Under the terms of the TRS,
Citibank, as calculation agent, determines whether there has been a failure to
satisfy the obligation criteria for each loan in the TRS. If such failure
continues for 30 days following the delivery of notice thereof, then Citibank
has the right, but not the obligation, to remove the underlying loan from the
TRS either through a sale negotiated by the Company or the price determined by
Citibank. Citibank also determines whether there has been a failure to satisfy
the portfolio criteria in the TRS, which includes limits on issuer and industry
concentration as well as Moody’s and S&P credit metrics. If such failure
continues for 30 days following the delivery of notice thereof, then Citibank
has the right, but not the obligation, to terminate the TRS. Flatiron receives
from Citibank all interest and fees payable in respect of the loans included in
the TRS. Flatiron pays to Citibank interest at a rate equal to, in respect of
each loan included in the TRS, the floating rate index specified for such loan,
which will not be less than zero, plus 1.40% per year. In addition, upon the
termination or repayment of any loan subject to the TRS, Flatiron will either
receive from Citibank the appreciation in the value of such loan or pay to
Citibank any depreciation in the value of such loan. 26


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Under the terms of the TRS, Flatiron may be required to post
additional cash collateral, on a dollar-for-dollar basis, in the event of
depreciation in the value of the underlying loans after such value decreases
below a specified amount. The limit on the additional collateral that Flatiron
may be required to post pursuant to the TRS is equal to the difference between
the full notional amount of the loans underlying the TRS and the amount of cash
collateral already posted by Flatiron. The amount of collateral required to be
posted by Flatiron is determined primarily on the basis of the aggregate value
of the underlying loans.  The Company has no contractual obligation
to post any such additional collateral or to make any interest payments to
Citibank on behalf of Flatiron. The Company may, but is not obligated to,
increase its investment in Flatiron for the purpose of funding any additional
collateral or payment obligations for which Flatiron may become obligated
during the term of the TRS. If the Company does not make any such additional
investment in Flatiron and Flatiron fails to meet its obligations under the
TRS, then Citibank will have the right to terminate the TRS and seize the cash
collateral posted by Flatiron under the TRS. In the event of an early
termination of the TRS, Flatiron would be required to pay an early termination
fee.  Citibank may terminate the TRS on or after
February 18, 2017, or the call date. Flatiron may terminate the TRS at any time
upon providing no more than 30 days prior notice to Citibank. Any termination
prior to the call date will result in payment of an early termination fee to
Citibank based on the maximum portfolio amount of the TRS. Under the terms of
the TRS, the early termination fee will equal the present value of a stream of
monthly payments that would be owed by Flatiron to Citibank for the period from
the termination date through and including the call date. Such monthly payments
will equal the product of 80% of the maximum portfolio amount, multiplied by
the spread over the floating index rate. The Company estimates the early
termination fee would have been approximately $8,010 at March 31, 2016.
Flatiron may also be required to pay a minimum usage fee in connection with the
TRS. As of March 31, 2016 and December 31, 2015, Flatiron owed Citibank a
minimum usage fee of $4.  The value of the TRS is based on the
increase or decrease in the value of the loans underlying the TRS, as
determined by the Company. The loans underlying the TRS are valued in the same
manner as loans owned by the Company.  As of March 31, 2016 and December 31,
2015, the fair value of the TRS was ($36,508) and ($34,900), respectively. The
fair value of the TRS is reflected as unrealized depreciation on total return
swap on the Company’s consolidated balance sheets. The change in value of the
TRS is reflected in the Company’s consolidated statements of operations as net
change in unrealized (depreciation) appreciation on total return swap. As of
March 31, 2016 and December 31, 2015, Flatiron had selected 89 and 90
underlying loans with a total notional amount of $721,919 and $718,025,
respectively. For the same periods, Flatiron posted $231,831 and $226,316 in cash
collateral held by Citibank (of which only $192,194 and $187,802was required to be posted), which is reflected
in due from counterparty on the Company’s consolidated balance sheets.  Realized gains and losses on the TRS are
composed of any gains or losses on loans underlying the TRS as well as net
interest and fees earned during the period. As of March 31, 2016 and December
31, 2015, the net receivable on the TRS consisted of the following: March 31, 2016
 
 December 31, 2015Interest and
  other income from TRS portfolio
 
 $
 9,158
 
 $
 8,882Interest and
  other expense from TRS portfolio
 
 
 (2,755)
 
 
 (2,309)Net gain on TRS
  loan sales
 
 
 306
 
 
 (398)Net
  Receivable(1)
 
 $
 6,709
 
 $
 6,175(1)
 Net receivable
  is reflected in receivable due on total return swap on the Company's
  consolidated balance sheets.
 27


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Receivable due on the TRS is composed of
any amounts due from Citibank that consist of earned but not yet collected net
interest and fees and net gains on sales and principal repayments of underlying
loans of the TRS. For the three months ended March 31, 2016 and 2015, the net
realized gain on the TRS consisted of the following: Three Months Ended
  March 31,2016
 
 2015Interest and
  other income from TRS portfolio
 
 $
 11,646
 
 $
 8,414Interest and
  other expense from TRS portfolio
 
 
 (3,453)
 
 
 (2,006)Net gain on TRS
  loan sales
 
 
 169
 
 
 199Net realized
  gain(1)
 
 $
 8,362
 
 $
 6,607(1)
 Net realized
  gain is reflected in net realized gain on total return swap on the Company's
  consolidated statements of operations.
  In connection with the TRS, Flatiron is
required to comply with various covenants and reporting requirements as defined
in the TRS Agreement. As of and for the three months ended March 31, 2016,
Flatiron was in compliance with all covenants and reporting requirements.  CIM has not taken any incentive fees with
respect to the Company’s TRS to date. For purposes of computing the capital
gains incentive fee, CIM will become entitled to a capital gains incentive fee
only upon the termination or disposition of the TRS, at which point all gains
and losses of the underlying loans constituting the reference assets of the TRS
will be realized. For purposes of computing the subordinated incentive fee on
income, CIM is not entitled to a subordinated incentive fee on income with
respect to the TRS. The net unrealized appreciation on the TRS, if any, is
reflected in total assets on the Company’s consolidated balance sheets and
included in the computation of the base management fee. The base management fee
does not include any net unrealized depreciation on the TRS as such amounts are
not included in total assets. While the
investment advisory agreement with CIM neither includes nor contemplates the
inclusion of unrealized gains in the calculation of the capital gains incentive
fee, pursuant to an interpretation of the AICPA Technical Practice Aid for
investment companies, the Company accrues capital gains incentive fees on
unrealized gains. This accrual reflects the incentive fees that would be
payable to CIM if the Company’s entire investment portfolio was liquidated at
its fair value as of the balance sheet date even though CIM is not entitled to
an incentive fee with respect to unrealized gains unless and until such gains
are actually realized.  For purposes of the asset coverage ratio
test applicable to the Company as a BDC, the Company treats the outstanding
notional amount of the TRS, less the total amount of cash collateral posted by
Flatiron under the TRS, as a senior security for the life of that instrument.
The Company may, however, accord different treatment to the TRS in the future
in accordance with any applicable new rules or interpretations adopted by the
staff of the Securities and Exchange Commission, or SEC.  Further, for purposes of Section 55(a)
under the 1940 Act, the Company treats each loan underlying the TRS as a
qualifying asset if the obligor on such loan is an eligible portfolio company
and as a non-qualifying asset if the obligor is not an eligible portfolio
company. The Company may, however, accord different treatment to the TRS in the
future in accordance with any applicable new rules or interpretations adopted
by the staff of the SEC. 28


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The
following is a summary of the underlying loans subject to the TRS as of March
31, 2016: Underlying
  Loans(a)
 
 Index Rate(b)
 
 Industry
 
 Notional
  Amount
 
 Fair
  Value(c)
 
 Unrealized
  Appreciation /
  (Depreciation)Senior
  Secured First Lien DebtABG Intermediate
  Holdings 2 LLC, L+450, 1.00% LIBOR Floor, 5/27/2021
 
 3 Month LIBOR
 
 Retail
 
 $
 6,719
 
 $
 6,560
 
 $
 (159)Academy, Ltd.,
  L+400, 1.00% LIBOR Floor, 7/1/2022
 
 1 Month LIBOR
 
 Retail
 
 
 14,682
 
 
 14,200
 
 
 (482)Access CIG, LLC,
  L+500, 1.00% LIBOR Floor, 10/18/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 6,803
 
 
 6,773
 
 
 (30)Albertson's LLC,
  L+450, 1.00% LIBOR Floor, 12/21/2022
 
 3 Month LIBOR
 
 Retail
 
 
 4,614
 
 
 4,671
 
 
 57ALM Media, LLC,
  L+450, 1.00% LIBOR Floor, 7/31/2020
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 7,831
 
 
 7,572
 
 
 (259)Alvogen Pharma
  US, Inc., L+500, 1.00% LIBOR Floor, 4/1/2022
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 14,857
 
 
 14,657
 
 
 (200)American Dental
  Partners, Inc., L+475, 1.00% LIBOR Floor, 8/29/2021
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 12,251
 
 
 12,220
 
 
 (31)American Energy
  - Marcellus, LLC, L+425, 1.00% LIBOR Floor, 8/4/2020
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 4,254
 
 
 737
 
 
 (3,517)American
  Residential Services, LLC, L+450, 1.00% LIBOR Floor, 6/30/2021
 
 1 Month LIBOR
 
 Construction
  & Building
 
 
 14,175
 
 
 14,147
 
 
 (28)AqGen Ascensus,
  Inc., L+450, 1.00% LIBOR Floor, 12/5/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 2,908
 
 
 3,001
 
 
 93Aquilex, LLC,
  L+400, 1.00% LIBOR Floor, 12/31/2020
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 1,928
 
 
 1,769
 
 
 (159)At Home Holding
  III Inc., L+400, 1.00% LIBOR Floor, 6/3/2022
 
 3 Month LIBOR
 
 Retail
 
 
 5,546
 
 
 5,407
 
 
 (139)Avaya Inc.,
  L+525, 1.00% LIBOR Floor, 5/29/2020
 
 3 Month LIBOR
 
 Telecommunications
 
 
 14,674
 
 
 9,987
 
 
 (4,687)Azure Midstream
  Energy, LLC, L+650, 1.00% LIBOR Floor, 11/15/2018
 
 1 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 2,431
 
 
 1,278
 
 
 (1,153)BRG Sports,
  Inc., L+550, 1.00% LIBOR Floor, 4/15/2021
 
 1 Month LIBOR
 
 Consumer Goods:
  Durable
 
 
 12,799
 
 
 12,787
 
 
 (12)Builders
  FirstSource Inc., L+500, 1.00% LIBOR Floor, 7/29/2022(d)
 
 3 Month LIBOR
 
 Forest Products
  & Paper
 
 
 14,209
 
 
 14,168
 
 
 (41)Caraustar
  Industries, Inc., L+675, 1.25% LIBOR Floor, 5/1/2019
 
 3 Month LIBOR
 
 Forest Products
  & Paper
 
 
 18,085
 
 
 18,176
 
 
 91Cast & Crew
  Payroll, LLC , L+375, 1.00% LIBOR Floor, 8/12/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,307
 
 
 1,275
 
 
 (32)CDS U.S.
  Intermediate Holdings, Inc., L+400, 1.00% LIBOR Floor, 7/8/2022
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 1,806
 
 
 1,749
 
 
 (57)Central Security
  Group, Inc., L+525, 1.00% LIBOR Floor, 10/6/2020
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 13,014
 
 
 12,812
 
 
 (202)Charming
  Charlie, LLC, L+800, 1.00% LIBOR Floor, 12/24/2019
 
 3 Month LIBOR
 
 Retail
 
 
 8,625
 
 
 6,597
 
 
 (2,028)Chemstralia Pty
  Ltd., L+625, 1.00% LIBOR Floor, 2/28/2022(d)
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 2,992
 
 
 2,918
 
 
 (74)CSC Holdings,
  LLC, L+400, 1.00% LIBOR Floor, 10/9/2022
 
 3 Month LIBOR
 
 Telecommunications
 
 
 18,844
 
 
 18,973
 
 
 129CSP Technologies
  North America, LLC, L+600, 1.00% LIBOR Floor, 1/29/2022
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 13,488
 
 
 13,626
 
 
 138CT Technologies
  Intermediate Holdings, Inc., L+425, 1.00% LIBOR Floor, 12/1/2021
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 14,793
 
 
 14,668
 
 
 (125)DAE Aviation
  Holdings, Inc., L+425, 1.00% LIBOR Floor, 7/7/2022
 
 3 Month LIBOR
 
 Aerospace &
  Defense
 
 
 7,572
 
 
 7,585
 
 
 13David's Bridal,
  Inc., L+400, 1.25% LIBOR Floor, 10/11/2019
 
 3 Month LIBOR
 
 Retail
 
 
 4,338
 
 
 4,095
 
 
 (243)DBRS, Inc.,
  L+525, 1.00% LIBOR Floor, 3/4/2022(d)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 12,972
 
 
 13,046
 
 
 74Deltek, Inc.,
  L+400, 1.00% LIBOR Floor, 6/25/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 3,068
 
 
 3,074
 
 
 6Diamond Resorts
  Corp., L+450, 1.00% LIBOR Floor, 5/9/2021(d)
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 3,586
 
 
 3,496
 
 
 (90)EIG Investors
  Corp., L+523, 1.00% LIBOR Floor, 11/9/2019(d)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,836
 
 
 1,759
 
 
 (77)Emmis Operating
  Company, L+600, 1.00% LIBOR Floor, 6/10/2021
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 8,694
 
 
 7,623
 
 
 (1,071)Evergreen Skills
  Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021(d)
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 7,229
 
 
 5,962
 
 
 (1,267)Global Cash
  Access, Inc., L+525, 1.00% LIBOR Floor, 12/18/2020
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 10,987
 
 
 10,424
 
 
 (563)GTCR Valor
  Companies, Inc., L+500, 1.00% LIBOR Floor, 5/30/2021
 
 1 Month LIBOR
 
 High Tech
  Industries
 
 
 3,888
 
 
 3,907
 
 
 19HC Group
  Holdings III, Inc., L+500, 1.00% LIBOR Floor, 4/7/2022
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 12,415
 
 
 12,447
 
 
 32Healogics, Inc.,
  L+425, 1.00% LIBOR Floor, 7/1/2021
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 4,866
 
 
 4,579
 
 
 (287)Hemisphere Media
  Holdings, LLC, L+400, 1.00% LIBOR Floor, 7/30/2020
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 3,857
 
 
 3,787
 
 
 (70)Hilex Poly Co.
  LLC, L+500, 1.00% LIBOR Floor, 12/5/2021
 
 3 Month LIBOR
 
 Containers,
  Packaging & Glass
 
 
 8,275
 
 
 8,334
 
 
 59Hyperion
  Insurance Group Ltd., L+450, 1.00% LIBOR Floor, 4/29/2022(d)
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 3,032
 
 
 2,891
 
 
 (141)IMG Worldwide
  Holdings, LLC, L+425, 1.00% LIBOR Floor, 5/6/2021
 
 3 Month LIBOR
 
 Media:
  Diversified & Production
 
 
 14,331
 
 
 14,504
 
 
 173Infiltrator
  Water Technologies, LLC, L+425, 1.00% LIBOR Floor, 5/27/2022
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 8,978
 
 
 9,019
 
 
 41inVentiv Health,
  Inc., L+625, 1.50% LIBOR Floor, 5/15/2018
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,000
 
 
 9,919
 
 
 (81)Lanyon
  Solutions, Inc., L+450, 1.00% LIBOR Floor, 11/13/2020
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 1,145
 
 
 1,099
 
 
 (46)LTCG Holdings
  Corp., L+500, 1.00% LIBOR Floor, 6/6/2020
 
 1 Month LIBOR
 
 Services:
  Business
 
 
 5,882
 
 
 5,586
 
 
 (296)Murray Energy
  Corp., L+650, 1.00% LIBOR Floor, 4/16/2020
 
 6 Month LIBOR
 
 Mining &
  Metals
 
 
 3,466
 
 
 1,814
 
 
 (1,652)Navex Global,
  Inc, L+475, 1.00% LIBOR Floor, 11/19/2021
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 13,702
 
 
 13,445
 
 
 (257)Nielsen &
  Bainbridge, LLC, L+500, 1.00% LIBOR Floor, 8/15/2020
 
 6 Month LIBOR
 
 Consumer Goods:
  Durable
 
 
 16,053
 
 
 16,153
 
 
 100Oasis
  Outsourcing Holdings, Inc., L+475, 1.00% LIBOR Floor, 12/26/2021
 
 1 Month LIBOR
 
 Services:
  Business
 
 
 14,392
 
 
 14,483
 
 
 91Onex TSG
  Holdings II Corp., L+400, 1.00% LIBOR Floor, 7/29/2022
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 7,423
 
 
 7,369
 
 
 (54)Opal
  Acquisition, Inc., L+400, 1.00% LIBOR Floor, 11/27/2020
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,339
 
 
 9,199
 
 
 (1,140)Pelican
  Products, Inc., L+425, 1.00% LIBOR Floor, 4/10/2020
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 5,497
 
 
 4,974
 
 
 (523)Petco Animal
  Supplies, Inc., L+475, 1.00% LIBOR Floor, 1/26/2023
 
 3 Month LIBOR
 
 Retail
 
 
 11,393
 
 
 11,643
 
 
 250
 29


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Underlying Loans(a)
 
 Index Rate(b)
 
 Industry
 
 Notional
  Amount
 
 Fair
  Value(c)
 
 Unrealized
  Appreciation /
  (Depreciation)PetroChoice
  Holdings, Inc., L+500, 1.00% LIBOR Floor, 8/19/2022
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 1,641
 
 
 1,662
 
 
 21Photonis
  Technologies SAS, L+750, 1.00% LIBOR Floor, 9/18/2019(d)
 
 3 Month LIBOR
 
 Aerospace &
  Defense
 
 
 6,547
 
 
 6,180
 
 
 (367)Pike Corp.,
  L+450, 1.00% LIBOR Floor, 12/22/2021
 
 1 Month LIBOR
 
 Energy:
  Electricity
 
 
 1,859
 
 
 1,851
 
 
 (8)Polyconcept
  Finance B.V., L+475, 1.25% LIBOR Floor, 6/28/2019(d)
 
 1 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 5,819
 
 
 5,794
 
 
 (25)PSC Industrial
  Holdings Corp., L+475, 1.00% LIBOR Floor, 12/5/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 4,888
 
 
 4,789
 
 
 (99)Riverbed
  Technology, Inc., L+500, 1.00% LIBOR Floor, 4/24/2022
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 19,737
 
 
 19,847
 
 
 110RP Crown Parent,
  LLC, L+500, 1.00% LIBOR Floor, 12/21/2018
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 15,391
 
 
 14,601
 
 
 (790)Scientific Games
  International, Inc., L+500, 1.00% LIBOR Floor, 10/1/2021(d)
 
 Various
 
 Hotel, Gaming
  & Leisure
 
 
 21,376
 
 
 21,034
 
 
 (342)SESAC Holdco II
  LLC, L+425, 1.00% LIBOR Floor, 2/7/2019
 
 6 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 5,036
 
 
 4,966
 
 
 (70)SG Acquisition,
  Inc., L+525, 1.00% LIBOR Floor, 8/19/2021
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 12,233
 
 
 12,268
 
 
 35SI Organization,
  Inc., L+475, 1.00% LIBOR Floor, 11/23/2019
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,954
 
 
 10,911
 
 
 (43)Smile Brands
  Group, Inc., L+775, 1.25% LIBOR Floor, 8/16/2019(e)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 4,664
 
 
 3,960
 
 
 (704)Southcross
  Holdings Borrower LP, L+500, 1.00% LIBOR Floor, 8/4/2021
 
 (f)
 
 Energy: Oil
  & Gas
 
 
 1,249
 
 
 157
 
 
 (1,092)Steward Health
  Care System, LLC, L+550, 1.25% LIBOR Floor, 4/10/2020
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 9,791
 
 
 9,636
 
 
 (155)STG-Fairway
  Acquisitions, Inc., L+525, 1.00% LIBOR Floor, 6/30/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,690
 
 
 7,681
 
 
 (9)Styrolution US
  Holding LLC, L+550, 1.00% LIBOR Floor, 11/7/2019
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 8,921
 
 
 9,024
 
 
 103Surgery Center
  Holdings, Inc., L+425, 1.00% LIBOR Floor, 11/3/2020
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 6,450
 
 
 6,493
 
 
 43Survey Sampling
  International, LLC, L+500, 1.00% LIBOR Floor, 12/16/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,861
 
 
 7,900
 
 
 39TASC, Inc.,
  L+600, 1.00% LIBOR Floor, 5/23/2020(d)
 
 6 Month LIBOR
 
 Services:
  Business
 
 
 8,092
 
 
 8,185
 
 
 93TIBCO Software
  Inc., L+550, 1.00% LIBOR Floor, 12/4/2020
 
 1 Month LIBOR
 
 High Tech
  Industries
 
 
 16,956
 
 
 15,630
 
 
 (1,326)TOPPS Company,
  Inc., L+600, 1.25% LIBOR Floor, 10/2/2018
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 2,301
 
 
 2,251
 
 
 (50)Travel Leaders
  Group, LLC, L+600, 1.00% LIBOR Floor, 12/7/2020
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 5,397
 
 
 5,370
 
 
 (27)U.S. Farathane,
  LLC, L+575, 1.00% LIBOR Floor, 12/23/2021
 
 3 Month LIBOR
 
 Automotive
 
 
 5,055
 
 
 5,101
 
 
 46U.S. Renal Care,
  Inc., L+425, 1.00% LIBOR Floor, 12/30/2022
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 3,225
 
 
 3,257
 
 
 32USS Parent
  Holdings Corp., L+475, 1.00% LIBOR Floor, 8/5/2021
 
 1 Month LIBOR
 
 Construction
  & Building
 
 
 12,268
 
 
 12,287
 
 
 19Vince, LLC,
  L+475, 1.00% LIBOR Floor, 11/27/2019(d)
 
 2 Month LIBOR
 
 Retail
 
 
 1,124
 
 
 1,031
 
 
 (93)Western Dental
  Services, Inc., L+650, 1.00% LIBOR Floor, 11/1/2018
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,573
 
 
 5,056
 
 
 (517)Total Senior
  Secured First Lien Debt
 
 
 
 
 
 
 664,949
 
 
 639,866
 
 
 (25,083)Senior
  Secured Second Lien DebtAmWINS Group,
  LLC, L+850, 1.00% LIBOR Floor, 9/4/2020
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 870
 
 
 893
 
 
 23Asurion, LLC,
  L+750, 1.00% LIBOR Floor, 3/3/2021
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 7,772
 
 
 7,433
 
 
 (339)Evergreen Skills
  Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022(d)
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 9,798
 
 
 4,750
 
 
 (5,048)GOBP Holdings,
  Inc., L+825, 1.00% LIBOR Floor, 10/21/2022
 
 3 Month LIBOR
 
 Retail
 
 
 3,940
 
 
 3,730
 
 
 (210)Mergermarket
  USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022
 
 6 Month LIBOR
 
 Services:
  Business
 
 
 6,965
 
 
 6,160
 
 
 (805)Onex Carestream
  Finance LP, L+850, 1.00% LIBOR Floor, 12/7/2019
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 13,600
 
 
 11,420
 
 
 (2,180)Pelican
  Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 8,050
 
 
 6,760
 
 
 (1,290)PFS Holding
  Corp., L+725, 1.00% LIBOR Floor, 1/31/2022
 
 1 Month LIBOR
 
 Retail
 
 
 4,973
 
 
 3,549
 
 
 (1,424)Securus
  Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021
 
 3 Month LIBOR
 
 Telecommunications
 
 
 1,002
 
 
 850
 
 
 (152)Total Senior
  Secured Second Lien Debt
 
 
 
 
 
 
 56,970
 
 
 45,545
 
 
 (11,425)Total
 
 
 
 
 
 $
 721,919
 
 $
 685,411
 
 $
 (36,508)
 (a)
 All of the underlying loans subject to the TRS are issued by
  eligible U.S. portfolio companies, as defined in the 1940 Act, except for
  investments specifically identified as non-qualifying per note (d) below. The
  Company does not control and is not an affiliate of any of the companies that
  are issuers of the underlying loans subject to the TRS.(b)
 The 1, 2, 3, and 6 month LIBOR rates were 0.44%, 0.52%, 0.63%
  and 0.90%, respectively, as of March 31, 2016. The actual LIBOR rate for each
  loan listed may not be the applicable LIBOR rate as of March 31, 2016, as the
  loan may have been priced or repriced based on a LIBOR rate prior to or
  subsequent to March 31, 2016.(c)
 Fair value determined by the Company’s board of directors (see
  Note 9).(d)
 All or a portion of the underlying loan subject to the TRS is
  not a qualifying asset under the 1940 Act. A business development company may
  not acquire any asset other than qualifying assets, unless, at the time the
  acquisition is made, qualifying assets represent at least 70% of the
  company’s total assets as defined under Section 55 of the 1940 Act. As of
  March 31, 2016, 90.7% of the Company’s total assets represented qualifying
  assets. In addition, as described in this Note 7, the Company calculates its
  compliance with the qualifying asset test on a “look through” basis by
  treating each loan underlying the TRS as either a qualifying asset or
  non-qualifying asset based on whether the obligor is an eligible portfolio
  company. On this basis, 87.8% of the Company’s total assets represented
  qualifying assets as of March 31, 2016.(e)
 For the three months ended March 31, 2016, the following
  underlying loan subject to the TRS contains a PIK interest provision whereby
  the issuer has either the option or the obligation to make interest payments
  with the issuance of additional securities:Interest Rate
 
 
 Interest AmountIssuer of Underlying Loan
 
 Investment Type
 
 Cash
 
 PIK
 
 All-in-Rate
 
 Cash
 
 PIK
 
 
 All-in-RateSmile Brands Group, Inc.
 
 Senior Secured
  First Lien Debt
 
 7.50%
 
 1.50%
 
 9.00%
 
 $
 82
 
 $
 17
 
 $
 99(f)
 Underlying loan was on non-accrual status as of March 31, 2016.
  On March 28, 2016, Southcross Holdings filed a prepackaged Chapter 11
  reorganization with the bankruptcy court. On April 11, 2016, the bankruptcy
  court confirmed the prepackaged reorganization plan and Southcross Holdings
  emerged from bankruptcy on April 13, 2016. The Company received $167 of the
  new Term Loan B facility and its pro rata share of one-third of the
  reorganized equity in accordance with the reorganization plan. The investment
  in the new Term Loan B facility has not been placed on non-accrual status as
  the Company believes that all principal and interest is likely to be
  collected.
 30


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 The
following is a summary of the underlying loans subject to the TRS as December
31, 2015: Underlying
  Loans(a)
 
 Index Rate(b)
 
 Industry
 
 Notional
  Amount
 
 Fair
  Value(c)
 
 Unrealized
  Appreciation /
  (Depreciation)Senior
  Secured First Lien DebtABG Intermediate
  Holdings 2 LLC, L+450, 1.00% LIBOR Floor, 5/27/2021
 
 3 Month LIBOR
 
 Retail
 
 $
 6,736
 
 $
 6,696
 
 $
 (40)Academy, Ltd.,
  L+400, 1.00% LIBOR Floor, 7/1/2022(d)
 
 1 Month LIBOR
 
 Retail
 
 
 13,254
 
 
 12,954
 
 
 (300)Access CIG, LLC,
  L+500, 1.00% LIBOR Floor, 10/18/2021
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 6,820
 
 
 6,816
 
 
 (4)Albertson's LLC,
  L+450, 1.00% LIBOR Floor, 12/21/2022(d)
 
 3 Month LIBOR
 
 Retail
 
 
 4,625
 
 
 4,656
 
 
 31ALM Media, LLC,
  L+450, 1.00% LIBOR Floor, 7/31/2020
 
 3 Month LIBOR
 
 Media:
  Advertising, Printing & Publishing
 
 
 7,882
 
 
 7,740
 
 
 (142)Alvogen Pharma
  US, Inc., L+500, 1.00% LIBOR Floor, 4/1/2022
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 15,053
 
 
 14,709
 
 
 (344)American Dental
  Partners, Inc., L+475, 1.00% LIBOR Floor, 8/29/2021
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 12,282
 
 
 12,359
 
 
 77American Energy
  - Marcellus, LLC, L+425, 1.00% LIBOR Floor, 8/4/2020
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 4,253
 
 
 1,160
 
 
 (3,093)American
  Residential Services, LLC, L+450, 1.00% LIBOR Floor, 6/30/2021
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 14,211
 
 
 14,174
 
 
 (37)AqGen Ascensus,
  Inc., L+450, 1.00% LIBOR Floor, 12/5/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 2,915
 
 
 2,923
 
 
 8Aquilex, LLC,
  L+400, 1.00% LIBOR Floor, 12/31/2020
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 1,933
 
 
 1,850
 
 
 (83)At Home Holding
  III Inc., L+400, 1.00% LIBOR Floor, 6/3/2022
 
 3 Month LIBOR
 
 Retail
 
 
 5,560
 
 
 5,420
 
 
 (140)Avaya Inc.,
  L+525, 1.00% LIBOR Floor, 5/29/2020
 
 3 Month LIBOR
 
 Telecommunications
 
 
 14,718
 
 
 10,462
 
 
 (4,256)Azure Midstream
  Energy, LLC, L+650, 1.00% LIBOR Floor, 11/15/2018
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 2,431
 
 
 1,448
 
 
 (983)BRG Sports,
  Inc., L+550, 1.00% LIBOR Floor, 4/15/2021(d)
 
 1 Month LIBOR
 
 Consumer Goods:
  Durable
 
 
 12,798
 
 
 12,690
 
 
 (108)Builders
  FirstSource Inc., L+500, 1.00% LIBOR Floor, 7/29/2022(e)
 
 3 Month LIBOR
 
 Forest Products
  & Paper
 
 
 14,242
 
 
 14,129
 
 
 (113)Caraustar
  Industries, Inc., L+675, 1.25% LIBOR Floor, 5/1/2019
 
 3 Month LIBOR
 
 Forest Products
  & Paper
 
 
 18,131
 
 
 18,568
 
 
 437Cast & Crew
  Payroll, LLC , L+375, 1.00% LIBOR Floor, 8/12/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,311
 
 
 1,294
 
 
 (17)CDS U.S.
  Intermediate Holdings, Inc., L+400, 1.00% LIBOR Floor, 7/8/2022
 
 3 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 1,958
 
 
 1,857
 
 
 (101)Central Security
  Group, Inc., L+525, 1.00% LIBOR Floor, 10/6/2020
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 13,047
 
 
 12,778
 
 
 (269)Charming
  Charlie, LLC, L+800, 1.00% LIBOR Floor, 12/24/2019
 
 3 Month LIBOR
 
 Retail
 
 
 8,647
 
 
 7,223
 
 
 (1,424)Chemstralia Pty
  Ltd., L+625, 1.00% LIBOR Floor, 2/28/2022(e)
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 3,000
 
 
 2,925
 
 
 (75)CSC Holdings,
  LLC, L+400, 1.00% LIBOR Floor, 10/9/2022(d)
 
 3 Month LIBOR
 
 Telecommunications
 
 
 18,844
 
 
 18,926
 
 
 82CSP Technologies
  North America, LLC, L+600, 1.00% LIBOR Floor, 1/29/2022
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 13,522
 
 
 13,660
 
 
 138CT Technologies
  Intermediate Holdings, Inc., L+425, 1.00% LIBOR Floor, 12/1/2021
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 14,831
 
 
 14,537
 
 
 (294)DAE Aviation
  Holdings, Inc., L+425, 1.00% LIBOR Floor, 7/7/2022
 
 3 Month LIBOR
 
 Aerospace &
  Defense
 
 
 7,591
 
 
 7,579
 
 
 (12)David's Bridal,
  Inc., L+400, 1.25% LIBOR Floor, 10/11/2019
 
 3 Month LIBOR
 
 Retail
 
 
 4,338
 
 
 3,808
 
 
 (530)DBRS, Inc.,
  L+525, 1.00% LIBOR Floor, 3/4/2022(e)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 13,005
 
 
 13,087
 
 
 82Deltek, Inc.,
  L+400, 1.00% LIBOR Floor, 6/25/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 3,068
 
 
 3,053
 
 
 (15)Diamond Resorts
  Corp., L+450, 1.00% LIBOR Floor, 5/9/2021(e)
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 3,586
 
 
 3,546
 
 
 (40)EIG Investors
  Corp., L+400, 1.00% LIBOR Floor, 11/9/2019(e)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 1,846
 
 
 1,803
 
 
 (43)Emmis Operating
  Company, L+600, 1.00% LIBOR Floor, 6/10/2021
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 8,739
 
 
 7,790
 
 
 (949)Evergreen Skills
  Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021(e)
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 7,248
 
 
 5,764
 
 
 (1,484)Global Cash
  Access, Inc., L+525, 1.00% LIBOR Floor, 12/18/2020
 
 2 Month LIBOR
 
 Hotel, Gaming
  & Leisure
 
 
 11,043
 
 
 10,375
 
 
 (668)GTCR Valor
  Companies, Inc., L+500, 1.00% LIBOR Floor, 5/30/2021
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 3,898
 
 
 3,918
 
 
 20HC Group
  Holdings III, Inc., L+500, 1.00% LIBOR Floor, 4/7/2022(d)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,471
 
 
 10,459
 
 
 (12)Healogics, Inc.,
  L+425, 1.00% LIBOR Floor, 7/1/2021
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 4,879
 
 
 3,993
 
 
 (886)Hemisphere Media
  Holdings, LLC, L+400, 1.00% LIBOR Floor, 7/30/2020
 
 3 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 4,006
 
 
 3,854
 
 
 (152)Hilex Poly Co.
  LLC, L+500, 1.00% LIBOR Floor, 12/5/2021
 
 3 Month LIBOR
 
 Containers,
  Packaging & Glass
 
 
 8,296
 
 
 8,366
 
 
 70Hyperion
  Insurance Group Ltd., L+450, 1.00% LIBOR Floor, 4/29/2022(e)
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 3,039
 
 
 3,024
 
 
 (15)IMG Worldwide
  Holdings, LLC, L+425, 1.00% LIBOR Floor, 5/6/2021
 
 3 Month LIBOR
 
 Media:
  Diversified & Production
 
 
 14,368
 
 
 14,287
 
 
 (81)Infiltrator
  Water Technologies, LLC, L+425, 1.00% LIBOR Floor, 5/27/2022
 
 3 Month LIBOR
 
 Construction
  & Building
 
 
 9,000
 
 
 9,006
 
 
 6inVentiv Health,
  Inc., L+625, 1.50% LIBOR Floor, 5/15/2018
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,000
 
 
 9,890
 
 
 (110)Lanyon
  Solutions, Inc., L+450, 1.00% LIBOR Floor, 11/13/2020
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 1,148
 
 
 1,120
 
 
 (28)LTCG Holdings
  Corp., L+500, 1.00% LIBOR Floor, 6/6/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 5,882
 
 
 5,527
 
 
 (355)Murray Energy
  Corp., L+600, 1.00% LIBOR Floor, 4/17/2017
 
 6 Month LIBOR
 
 Mining &
  Metals
 
 
 723
 
 
 752
 
 
 29Murray Energy
  Corp., L+650, 1.00% LIBOR Floor, 4/16/2020
 
 6 Month LIBOR
 
 Mining &
  Metals
 
 
 3,472
 
 
 2,286
 
 
 (1,186)Navex Global,
  Inc, L+475, 1.00% LIBOR Floor, 11/19/2021
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 13,736
 
 
 13,444
 
 
 (292)Nielsen &
  Bainbridge, LLC, L+500, 1.00% LIBOR Floor, 8/15/2020
 
 6 Month LIBOR
 
 Consumer Goods:
  Durable
 
 
 16,094
 
 
 16,113
 
 
 19Oasis
  Outsourcing Holdings, Inc., L+475, 1.00% LIBOR Floor, 12/26/2021
 
 1 Month LIBOR
 
 Services:
  Business
 
 
 14,392
 
 
 14,428
 
 
 36Onex TSG
  Holdings II Corp., L+400, 1.00% LIBOR Floor, 7/29/2022
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 7,441
 
 
 7,402
 
 
 (39)Opal
  Acquisition, Inc., L+400, 1.00% LIBOR Floor, 11/27/2020
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 10,361
 
 
 8,724
 
 
 (1,637)Pelican
  Products, Inc., L+425, 1.00% LIBOR Floor, 4/10/2020
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 5,622
 
 
 5,554
 
 
 (68)PetroChoice
  Holdings, Inc., L+500, 1.00% LIBOR Floor, 8/19/2022
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 1,645
 
 
 1,664
 
 
 19
 31


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Underlying Loans(a)
 
 Index Rate(b)
 
 Industry
 
 Notional
  Amount
 
 Fair
  Value(c)
 
 Unrealized
  Appreciation /
  (Depreciation)Photonis
  Technologies SAS, L+750, 1.00% LIBOR Floor, 9/18/2019(e)
 
 3 Month LIBOR
 
 Aerospace &
  Defense
 
 
 6,564
 
 
 6,396
 
 
 (168)Pike Corp.,
  L+450, 1.00% LIBOR Floor, 12/22/2021
 
 1 Month LIBOR
 
 Energy:
  Electricity
 
 
 2,205
 
 
 2,194
 
 
 (11)Polyconcept
  Finance B.V., L+475, 1.25% LIBOR Floor, 6/28/2019(e)
 
 1 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 6,575
 
 
 6,547
 
 
 (28)PSC Industrial
  Holdings Corp., L+475, 1.00% LIBOR Floor, 12/5/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 4,901
 
 
 4,888
 
 
 (13)Riverbed
  Technology, Inc., L+500, 1.00% LIBOR Floor, 4/24/2022(d)
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 16,791
 
 
 16,771
 
 
 (20)RP Crown Parent,
  LLC, L+500, 1.00% LIBOR Floor, 12/21/2018
 
 3 Month LIBOR
 
 High Tech
  Industries
 
 
 15,431
 
 
 14,127
 
 
 (1,304)Scientific Games
  International, Inc., L+500, 1.00% LIBOR Floor, 10/1/2021(e)
 
 Various
 
 Hotel, Gaming
  & Leisure
 
 
 21,430
 
 
 19,847
 
 
 (1,583)SESAC Holdco II
  LLC, L+425, 1.00% LIBOR Floor, 2/7/2019
 
 6 Month LIBOR
 
 Media:
  Broadcasting & Subscription
 
 
 5,049
 
 
 4,998
 
 
 (51)SG Acquisition,
  Inc., L+525, 1.00% LIBOR Floor, 8/19/2021
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 12,624
 
 
 12,485
 
 
 (139)SI Organization,
  Inc., L+475, 1.00% LIBOR Floor, 11/23/2019(d)
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 10,983
 
 
 10,953
 
 
 (30)Smile Brands
  Group, Inc., L+775, 1.25% LIBOR Floor, 8/16/2019(f)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 4,657
 
 
 3,297
 
 
 (1,360)Southcross
  Holdings Borrower LP, L+500, 1.00% LIBOR Floor, 8/4/2021
 
 3 Month LIBOR
 
 Energy: Oil
  & Gas
 
 
 1,249
 
 
 678
 
 
 (571)Steward Health
  Care System, LLC, L+550, 1.25% LIBOR Floor, 4/10/2020
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 9,817
 
 
 9,760
 
 
 (57)STG-Fairway
  Acquisitions, Inc., L+525, 1.00% LIBOR Floor, 6/30/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,690
 
 
 7,690
 
 
 -Styrolution US
  Holding LLC, L+550, 1.00% LIBOR Floor, 11/7/2019
 
 1 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 3,933
 
 
 3,997
 
 
 64Surgery Center
  Holdings, Inc., L+425, 1.00% LIBOR Floor, 11/3/2020
 
 1 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 6,466
 
 
 6,506
 
 
 40Survey Sampling
  International, LLC, L+500, 1.00% LIBOR Floor, 12/16/2020
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 7,861
 
 
 7,801
 
 
 (60)TASC, Inc.,
  L+600, 1.00% LIBOR Floor, 5/23/2020(e)
 
 Various
 
 Services:
  Business
 
 
 8,114
 
 
 8,291
 
 
 177TIBCO Software
  Inc., L+550, 1.00% LIBOR Floor, 12/4/2020
 
 1 Month LIBOR
 
 High Tech
  Industries
 
 
 16,998
 
 
 15,844
 
 
 (1,154)TMFS Holdings,
  LLC, L+450, 1.00% LIBOR Floor, 7/30/2021
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 14,657
 
 
 14,746
 
 
 89TOPPS Company,
  Inc., L+600, 1.25% LIBOR Floor, 10/2/2018
 
 3 Month LIBOR
 
 Consumer Goods:
  Non-Durable
 
 
 2,307
 
 
 2,254
 
 
 (53)Travel Leaders
  Group, LLC, L+600, 1.00% LIBOR Floor, 12/7/2020
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 5,473
 
 
 5,429
 
 
 (44)U.S. Farathane,
  LLC, L+575, 1.00% LIBOR Floor, 12/23/2021(d)
 
 3 Month LIBOR
 
 Automotive
 
 
 5,119
 
 
 5,100
 
 
 (19)U.S. Renal Care,
  Inc., L+425, 1.00% LIBOR Floor, 12/30/2022(d)
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 3,233
 
 
 3,245
 
 
 12USS Parent
  Holdings Corp., L+475, 1.00% LIBOR Floor, 8/5/2021
 
 Prime
 
 Construction
  & Building
 
 
 12,305
 
 
 12,263
 
 
 (42)Vince, LLC,
  L+475, 1.00% LIBOR Floor, 11/27/2019(e)
 
 3 Month LIBOR
 
 Retail
 
 
 1,124
 
 
 1,031
 
 
 (93)Western Dental
  Services, Inc., L+650, 1.00% LIBOR Floor, 11/1/2018
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 5,558
 
 
 4,889
 
 
 (669)Total Senior
  Secured First Lien Debt
 
 
 
 
 
 
 661,055
 
 
 634,597
 
 
 (26,458)Senior
  Secured Second Lien DebtAmWINS Group,
  LLC, L+850, 1.00% LIBOR Floor, 9/4/2020
 
 3 Month LIBOR
 
 Banking,
  Finance, Insurance & Real Estate
 
 
 870
 
 
 905
 
 
 35Asurion, LLC,
  L+750, 1.00% LIBOR Floor, 3/3/2021
 
 3 Month LIBOR
 
 Services:
  Consumer
 
 
 7,772
 
 
 6,796
 
 
 (976)Evergreen Skills
  Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022(e)
 
 6 Month LIBOR
 
 High Tech
  Industries
 
 
 9,798
 
 
 6,675
 
 
 (3,123)GOBP Holdings,
  Inc., L+825, 1.00% LIBOR Floor, 10/21/2022
 
 3 Month LIBOR
 
 Retail
 
 
 3,940
 
 
 3,940
 
 
 -Mergermarket
  USA, Inc., L+650, 1.00% LIBOR Floor, 2/4/2022
 
 3 Month LIBOR
 
 Services:
  Business
 
 
 6,965
 
 
 6,370
 
 
 (595)Onex Carestream
  Finance LP, L+850, 1.00% LIBOR Floor, 12/7/2019
 
 3 Month LIBOR
 
 Healthcare &
  Pharmaceuticals
 
 
 13,600
 
 
 12,119
 
 
 (1,481)Pelican
  Products, Inc., L+825, 1.00% LIBOR Floor, 4/11/2021
 
 3 Month LIBOR
 
 Chemicals,
  Plastics & Rubber
 
 
 8,050
 
 
 7,620
 
 
 (430)PFS Holding
  Corp., L+725, 1.00% LIBOR Floor, 1/31/2022
 
 1 Month LIBOR
 
 Retail
 
 
 4,973
 
 
 3,548
 
 
 (1,425)Securus
  Technologies Holdings, Inc., L+775, 1.25% LIBOR Floor, 4/30/2021
 
 3 Month LIBOR
 
 Telecommunications
 
 
 1,002
 
 
 555
 
 
 (447)Total Senior
  Secured Second Lien Debt
 
 
 
 
 
 
 56,970
 
 
 48,528
 
 
 (8,442)Total
 
 
 
 
 
 $
 718,025
 
 $
 683,125
 
 $
 (34,900)
 (a)
 All of the underlying loans subject to the TRS are issued by
  eligible U.S. portfolio companies, as defined in the 1940 Act, except for
  investments specifically identified as non-qualifying per note (e) below. The
  Company does not control and is not an affiliate of any of the companies that
  are issuers of the underlying loans subject to the TRS.(b)
 The 1, 2, 3, and 6 month LIBOR rates were 0.43%, 0.51%, 0.61%
  and 0.85%, respectively, as of December 31, 2015. The actual LIBOR rate for
  each loan listed may not be the applicable LIBOR rate as of December 31,
  2015, as the loan may have been priced or repriced based on a LIBOR rate
  prior to or subsequent to December 31, 2015. The prime rate was 3.50% as of
  December 31, 2015.(c)
 Fair value determined by the Company’s board of directors (see
  Note 9).(d)
 Position or portion thereof unsettled as of December 31, 2015.(e)
 All or a portion of the underlying loan subject to the TRS is
  not a qualifying asset under the 1940 Act. A business development company may
  not acquire any asset other than qualifying assets, unless, at the time the
  acquisition is made, qualifying assets represent at least 70% of the
  company’s total assets as defined under Section 55 of the 1940 Act. As of
  December 31, 2015, 90.0% of the Company’s total assets represented qualifying
  assets. In addition, as described in this Note 7, the Company calculates its
  compliance with the qualifying asset test on a “look through” basis by
  treating each loan underlying the TRS as either a qualifying asset or
  non-qualifying asset based on whether the obligor is an eligible portfolio
  company. On this basis, 87.2% of the Company’s total assets represented
  qualifying assets as of December 31, 2015.(f)
 For the year ended December 31, 2015, the following underlying
  loan subject to the TRS contains a PIK interest provision whereby the issuer
  has either the option or the obligation to make interest payments with the
  issuance of additional securities:Interest Rate
 
 
 Interest AmountIssuer of Underlying Loan
 
 Investment Type
 
 Cash
 
 PIK
 
 All-in-Rate
 
 Cash
 
 PIK
 
 
 All-in-RateSmile Brands Group, Inc.
 
 Senior Secured
  First Lien Debt
 
 7.50%
 
 1.50%
 
 9.00%
 
 $
 362
 
 $
 16
 
 $
 378
 32


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Note 8. Credit Facility  East West Bank Credit Facility  On April 30,
2015, the Company entered into a revolving credit facility, or the EWB
Credit Facility, with East West Bank, or EWB. The EWB Credit Facility provides
for borrowings in an aggregate principal amount of up to $40,000, subject to certain
conditions, and the Company is required to maintain $2,000 in a demand deposit
account with EWB at all times. As of and for the three months ended March 31,
2016, the Company was in compliance with all covenants and reporting
requirements under the EWB Credit Facility.  Advances
under the EWB Credit Facility bear interest at a floating rate equal to (i) the
greater of 3.25% per year or the variable rate of interest per year announced
by EWB as its prime rate, which was 3.50% at March 31, 2016, plus (ii) a
spread of 0.75%. Interest is payable quarterly in arrears. Each advance under
the EWB Credit Facility will be due and payable on the earlier of 90 days from
the date such advance was made by EWB, or April 27, 2017. The Company may
prepay any advance without penalty or premium. The Company will be subject to a
non-usage fee of 0.50% per year on the average amount, if any, of the aggregate
principal amount available under the EWB Credit Facility that has not been
borrowed, payable at the end of each quarter. The non-usage fee, if any, is payable
quarterly in arrears. The Company’s obligations to EWB under the EWB Credit
Facility are secured by a first priority security interest in certain eligible
loans in which the Company has a beneficial interest, as updated from time to
time.  On January 28, 2016, the
Company entered into the first amendment to the EWB Credit Facility with EWB.
Under the original EWB Credit Facility, the borrowing base was the lesser of
(i) the average monthly net proceeds received by the Company from the sale of
its equity securities during the trailing three month period ending on the last
day of the immediately preceding calendar month; or (ii) 50% of collateral
securing the EWB Credit Facility. Under the first amendment, during the period
commencing on January 30, 2016 through July 31, 2016, (i) the trailing equity
component of the borrowing base was removed; (ii) the borrowing base was
decreased to 40% of the collateral securing the EWB Credit Facility; and (iii)
the required minimum fair market value of the collateral securing the EWB
Credit Facility was increased from two to two and one-half times all
outstanding advances under the EWB Credit Facility. Prior to entering into the
second amendment to the EWB Credit Facility (as described below), these amended
provisions were scheduled to revert back to their original terms on July 31,
2016.  On April 21,
2016, the Company entered into the second amendment to the EWB Credit Facility
with EWB. Under the second amendment, the date after which the amended
provisions of the first amendment will revert back to their original terms
was extended from July 31, 2016 to September 30, 2016 and the maturity
date of the EWB Credit Facility was extended from April 29, 2016 to April 27,
2017.  At March 31,
2016 and May 5, 2016, the Company had no outstanding borrowings under the EWB
Credit Facility. The Company incurred costs of $278 in connection with
obtaining the EWB Credit Facility, which the Company initially recorded as
prepaid expenses and other assets on the Company’s consolidated balance sheets
and amortizes to interest expense over the life of the EWB Credit Facility. As
of March 31, 2016, $22 of such costs had yet to be amortized to interest
expense. On April 21, 2016, the Company incurred additional costs of $200 in
connection with the second amendment to the EWB Credit Facility, which the
Company initially recorded as prepaid expenses and other assets on the
Company’s consolidated balance sheets and amortizes to interest expense over
the life of the EWB Credit Facility pursuant to the second amendment.  The Company
had no borrowings during the three months ended March 31, 2016 or 2015.  For the
three months ended March 31, 2016 and 2015, the components of interest expense
were as follows:  Three Months Ended
  March 31,2016
 
 2015Amortization of
  deferred financing costs
 $
 69
 
 $
 -Non-usage fee
 
 51
 
 
 -Total
  interest expense
 $
 120
 
 $
 -
 33


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Note 9. Fair Value of Financial Instruments  The following table presents fair value
measurements of the Company’s portfolio investments and TRS as of March 31,
2016 and December 31, 2015, according to the fair value hierarchy:  March 31, 2016
 
 December 31, 2015Level 1
 
 Level 2
 
 Level 3
 
 Total
 
 Level 1
 
 Level 2
 
 Level 3
 
 TotalSenior secured
  first lien debt
 $
 -
 
 $
 -
 
 $
 125,948
 
 $
 125,948
 
 $
 -
 
 $
 -
 
 $
 104,187
 
 $
 104,187Senior secured
  second lien debt
 
 -
 
 
 -
 
 
 440,958
 
 
 440,958
 
 
 -
 
 
 -
 
 
 453,713
 
 
 453,713Collateralized
  securities and structured products - debt
 
 -
 
 
 -
 
 
 38,739
 
 
 38,739
 
 
 -
 
 
 -
 
 
 41,663
 
 
 41,663Collateralized
  securities and structured products - equity
 
 -
 
 
 -
 
 
 21,793
 
 
 21,793
 
 
 -
 
 
 -
 
 
 24,604
 
 
 24,604Unsecured debt
 
 -
 
 
 -
 
 
 26,603
 
 
 26,603
 
 
 -
 
 
 -
 
 
 26,740
 
 
 26,740Short term
  investments
 
 18,523
 
 
 -
 
 
 -
 
 
 18,523
 
 
 18,892
 
 
 -
 
 
 -
 
 
 18,892Total return
  swap
 
 -
 
 
 -
 
 
 (36,508)
 
 
 (36,508)
 
 
 -
 
 
 -
 
 
 (34,900)
 
 
 (34,900)Total
 $
 18,523
 
 $
 -
 
 $
 617,533
 
 $
 636,056
 
 $
 18,892
 
 $
 -
 
 $
 616,007
 
 $
 634,899
  The following tables provide a
reconciliation of the beginning and ending balances for investments that use Level
3 inputs for the three months ended March 31, 2016 and 2015:  Three Months Ended
  March 31, 2016Senior Secured First Lien Debt
 
 Senior Secured Second Lien Debt
 
 Collateralized Securities and Structured
  Products - Debt
 
 Collateralized Securities and Structured
  Products - Equity
 
 Unsecured Debt
 
 Total Return
  Swap
 
 TotalBeginning
  balance, December 31, 2015
 $
 104,187
 
 $
 453,713
 
 $
 41,663
 
 $
 24,604
 
 $
 26,740
 
 $
 (34,900)
 
 $
 616,007Investments purchased
 
 30,419
 
 
 3,884
 
 
 -
 
 
 -
 
 
 2,704
 
 
 -
 
 
 37,007Net realized
  gain (loss)
 
 45
 
 
 (64)
 
 
 -
 
 
 -
 
 
 11
 
 
 8,362
 
 
 8,354Net change in
  unrealized depreciation
 
 (1,189)
 
 
 (6,298)
 
 
 (2,951)
 
 
 (1,999)
 
 
 (168)
 
 
 (1,608)
 
 
 (14,213)Accretion of
  discount
 
 166
 
 
 185
 
 
 27
 
 
 -
 
 
 31
 
 
 -
 
 
 409Sales and
  principal repayments
 
 (7,680)
 
 
 (10,462)
 
 
 -
 
 
 (812)
 
 
 (2,715)
 
 
 (8,362)
 
 
 (30,031)Ending
  balance, March 31, 2016
 $
 125,948
 
 $
 440,958
 
 $
 38,739
 
 $
 21,793
 
 $
 26,603
 
 $
 (36,508)
 
 $
 617,533Change in net
  unrealized (depreciation) appreciation on investments still held as of March
  31, 2016(1)
 $
 (1,185)
 
 $
 (6,707)
 
 $
 (2,951)
 
 $
 (1,999)
 
 $
 (168)
 
 $
 (1,490)
 
 $
 (14,500)
 (1)
 Included in net change in unrealized (depreciation) appreciation
  on investments in the consolidated statements of operations.
 34


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Three Months Ended
  March 31, 2015Senior
  Secured First
  Lien Debt
 
 Senior Secured
  Second Lien
  Debt
 
 Collateralized Securities and Structured
  Products - Debt
 
 Collateralized Securities and Structured
  Products - Equity
 
 Unsecured Debt
 
 Total Return
  Swap
 
 TotalBeginning
  balance, December 31, 2014
 $
 69,204
 
 $
 245,258
 
 $
 27,965
 
 $
 9,137
 
 $
 -
 
 $
 (4,409)
 
 $
 347,155Investments
  purchased
 
 41,627
 
 
 52,037
 
 
 -
 
 
 17,163
 
 
 4,701
 
 
 -
 
 
 115,528Net realized
  gain
 
 507
 
 
 9
 
 
 -
 
 
 -
 
 
 59
 
 
 6,607
 
 
 7,182Net change in
  unrealized appreciation (depreciation)
 
 293
 
 
 950
 
 
 256
 
 
 (35)
 
 
 -
 
 
 6,049
 
 
 7,513Accretion of
  discount
 
 100
 
 
 59
 
 
 26
 
 
 19
 
 
 -
 
 
 -
 
 
 204Sales and
  principal repayments
 
 (31,068)
 
 
 (855)
 
 
 -
 
 
 -
 
 
 (4,760)
 
 
 (6,607)
 
 
 (43,290)Ending
  balance, March 31, 2015
 $
 80,663
 
 $
 297,458
 
 $
 28,247
 
 $
 26,284
 
 $
 -
 
 $
 1,640
 
 $
 434,292Change in net
  unrealized (depreciation) appreciation on investments still held as of March
  31, 2015(1)
 $
 293
 
 $
 951
 
 $
 256
 
 $
 (35)
 
 $
 -
 
 $
 5,928
 
 $
 7,393
 (1)
 Included in net change in unrealized (depreciation) appreciation
  on investments in the consolidated statements of operations.
  Significant Unobservable Inputs  The valuation techniques and significant
unobservable inputs used in recurring Level 3 fair value measurements of investments
as of March 31, 2016 and December 31, 2015 were as follows:  March 31, 2016Fair Value
 
 Valuation Techniques/
  Methodologies
 
 Unobservable
  Inputs
 
 Range
 
 Weighted Average(1)Senior secured
  first lien debt
 $
 98,590
 
 Discounted Cash Flow
 
 Discount Rates
 
 7.0%
 -
 17.1%
 
 9.5%27,358
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ASenior secured
  second lien debt
 
 234,624
 
 Discounted Cash Flow
 
 Discount Rates
 
 8.8%
 -
 14.4%
 
 10.6%206,334
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ACollateralized
  securities and structured products - debt
 
 38,739
 
 Discounted Cash Flow
 
 Discount Rates
 
 11.0%
 -
 14.5%
 
 11.9%Collateralized
  securities and structured products - equity
 
 21,793
 
 Discounted Cash Flow
 
 Discount Rates
 
 N/A
 
 20.0%Unsecured debt
 
 26,603
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ATotal return
  swap
 
 (6,600)
 
 Discounted Cash Flow
 
 Discount Rates
 
 5.4%
 -
 36.3%
 
 7.8%(29,908)
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ATotal
 $
 617,533
 (1)
 Weighted average amounts are based on the estimated fair values.
 35


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 December 31, 2015Fair Value
 
 Valuation Techniques/
  Methodologies
 
 Unobservable
  Inputs
 
 Range
 
 Weighted Average(1)Senior secured
  first lien debt
 $
 58,715
 
 Discounted Cash Flow
 
 Discount Rates
 
 7.3%
 -
 13.2%
 
 8.9%45,472
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ASenior secured
  second lien debt
 
 233,616
 
 Discounted Cash Flow
 
 Discount Rates
 
 9.0%
 -
 11.7%
 
 10.2%220,097
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ACollateralized
  securities and structured products - debt
 
 41,663
 
 Discounted Cash Flow
 
 Discount Rates
 
 9.0%
 -
 12.0%
 
 11.1%Collateralized
  securities and structured products - equity
 
 24,604
 
 Discounted Cash Flow
 
 Discount Rates
 
 16.0%
 -
 17.0%
 
 16.5%Unsecured debt
 
 26,740
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ATotal return
  swap
 
 (3,991)
 
 Discounted Cash Flow
 
 Discount Rates
 
 5.6%
 -
 28.7%
 
 7.6%(30,909)
 
 Broker Quotes
 
 Broker Quotes
 
 N/A
 
 N/ATotal
 $
 616,007
 (1)
 Weighted average
  amounts are based on the estimated fair values.
  The significant unobservable inputs used in
the fair value measurement of the Company’s senior secured first lien debt,
senior secured second lien debt, collateralized securities and structured
products, unsecured debt, and total return swap are discount rates and broker
quotes. A significant increase or decrease in discount rates would result in a
significantly lower or higher fair value measurement, respectively. A
significant increase or decrease in the broker quotes would result in a
significantly higher or lower fair value measurement, respectively.  Note 10. General and Administrative Expense  General and administrative expense
consisted of the following items for the three months ended March 31, 2016 and
2015:  Three Months Ended
  March 31,2016
 
 2015Professional
  fees
 $
 552
 
 $
 235Transfer agent
  expense
 
 342
 
 
 225Dues and
  subscriptions
 
 247
 
 
 88Due diligence
  fees
 
 162
 
 
 262Valuation
  expense
 
 99
 
 
 66Printing and
  marketing expense
 
 90
 
 
 154Insurance
  expense
 
 82
 
 
 59Director fees
  and expenses
 
 67
 
 
 64Filing fees
 
 4
 
 
 27Other expenses
 
 108
 
 
 98Total general
  and administrative expense
 $
 1,753
 
 $
 1,278
  Note 11. Commitments and Contingencies  The Company entered into certain contracts
with other parties that contain a variety of indemnifications. The Company’s
maximum exposure under these arrangements is unknown. However, the Company has
not experienced claims or losses pursuant to these contracts and believes the
risk of loss related to such indemnifications to be remote. 36


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 As of March 31, 2016 and
December 31, 2015, the Company’s unfunded commitments were as follows: Unfunded
  Commitments
 
 March 31, 2016(1)
 
 December 31, 2015(1)CCSLF(2)(3)
 
 $
 40,000
 
 $
 40,000ABG
  Intermediate Holdings 2 LLC(3)
 
 
 1,119
 
 
 1,128Studio Movie
  Grill Holdings, LLC(3)
 
 
 1,069
 
 
 1,069ECI
  Acquisition Holdings, Inc.
 
 
 -
 
 
 1,207Total
 
 $
 42,188
 
 $
 43,404
 (1)
 Unless otherwise noted, the funding criteria for these unfunded
  commitments had not been met at the date indicated.(2)
 See Note 6 for a further description of our investment in CCSLF.(3)
 As of May 5, 2016, the Company's unfunded commitments were to
  portfolio companies ABG Intermediate Holdings 2 LLC and Studio Movie Grill
  Holdings, LLC in the amount of $1,119 and $1,069, respectively, and also
  included an unfunded commitment of $40,000 to CCSLF. In addition, subsequent to
  March 31, 2016, the Company entered into a $20,000 unfunded commitment with
  Nexstar Broadcasting, Inc. and a $20,000 unfunded commitment with Mitel
  Networks Corporation.
  Unfunded commitments to provide
funds to companies are not recorded on the Company’s consolidated balance
sheets. Since these commitments may expire without being drawn upon, unfunded
commitments do not necessarily represent future cash requirements or future
earning assets for the Company.  The Company intends to use cash on hand,
short-term investments and other liquid assets to fund these commitments should
the need arise.For information on the companies to which the Company
is committed to fund additional amounts as of March 31, 2016 and December 31,
2015, refer to the table above and the consolidated schedules of investments.  The Company will fund its
unfunded commitments from the same sources it uses to fund its investment
commitments that are funded at the time they are made (i.e., advances from its
revolving credit facility and/or cash flows from operations). The Company will
not fund its unfunded commitments from future net proceeds generated by
securities offerings. The Company follows a process to manage its liquidity and
ensure that it has available capital to fund its unfunded commitments.
Specifically, the Company prepares detailed analyses of the level of its
unfunded commitments relative to its then available liquidity on a daily basis.
These analyses are reviewed and discussed on a weekly basis by the Company’s
executive officers and senior members of CIM (including members of the
investment committee) and are updated on a “real time” basis in order to ensure
that the Company has adequate liquidity to satisfy its unfunded commitments.  The Company does not include
its unfunded capital commitment to CCSLF as a senior security for the asset
coverage ratio, as the capital commitments cannot be drawn without an
affirmative vote by one of the Company’s representatives on CCSLF’s board of
managers.  Note 12. Fee Income  Fee
income consists of commitment fees and amendment fees. The following table
summarizes the Company’s fee income for the three months ended March 31,
2016 and 2015: Three Months Ended
  March 31,2016
 
 2015Commitment fees
 
 $
 151
 
 $
 468Amendment fees
 
 
 41
 
 
 2Total
 
 $
 192
 
 $
 470
  For the three months ended
March 31, 2016 and 2015, all income from fees was non-recurring. 37


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 Note 13.
Financial Highlights  The following is a schedule of financial
highlights as of and for the three months ended March 31, 2016 and 2015:  As of and for the
 
 As of and for theThree Months Ended
 
 Three Months EndedMarch 31, 2016
 
 March 31, 2015Per share
  data:(1)Net asset value
  at beginning of period
 $
 8.71
 
 $
 9.22Results of
  operations:Net investment income(2)
 
 0.10
 
 
 0.04Net realized
  (loss) gain and net change in unrealized (depreciation) appreciation on
  investments(3)
 
 (0.12)
 
 
 0.03Net realized
  gain and net change in unrealized appreciation on total return swap
 
 0.06
 
 
 0.21Net increase in
  net assets resulting from operations(3)
 
 0.04
 
 
 0.28Shareholder
  distributions:Distributions
  from net investment income
 
 (0.10)
 
 
 (0.04)Distributions
  from net realized gains
 
 (0.08)
 
 
 (0.12)Distributions in
  excess of net investment income(4)
 
 -
 
 
 (0.02)Net decrease in
  net assets from shareholders' distributions
 
 (0.18)
 
 
 (0.18)Capital share
  transactions:Issuance of
  common stock above net asset value(5)
 
 -
 
 
 0.03Repurchases of
  common stock(6)
 
 -
 
 
 -Net increase in
  net assets resulting from capital share transactions
 
 -
 
 
 0.03Net asset value
  at end of period
 $
 8.57
 
 $
 9.35Shares of common
  stock outstanding at end of period
 
 104,723,030
 
 
 64,734,704Total investment
  return-net asset value(7)
 
 0.49%
 
 
 3.33%Net assets at
  beginning of period
 $
 904,326
 
 $
 496,389Net assets at
  end of period
 $
 897,608
 
 $
 605,113Average net
  assets
 $
 893,069
 
 $
 547,867Ratio/Supplemental
  data:Ratio of net
  investment income to average net assets(8)
 
 1.17%
 
 
 0.39%Ratio of gross
  operating expenses to average net assets(9)
 
 0.76%
 
 
 1.24%Ratio of
  expenses (before recoupment of expense support) to average net assets(10)
 
 0.75%
 
 
 1.09%Ratio of net
  expense recoupments to average net assets(11)
 
 0.01%
 
 
 0.15%Ratio of net
  operating expenses to average net assets
 
 0.76%
 
 
 1.24%Portfolio
  turnover rate(12)
 
 3.31%
 
 
 9.63%Asset coverage
  ratio(13)
 
 2.83
 
 
 2.38
 (1)
 The per share data for the three months ended March 31, 2016 and
  2015 was derived by using the weighted average shares of common stock
  outstanding during each period.(2)
 Net investment income per share includes expense recoupments to
  IIG of less than $0.01 and $0.01 per share for the three months ended March
  31, 2016 and 2015, respectively. There was no expense support from IIG or AIM
  for the three months ended March 31, 2016 or 2015.(3)
 The amount shown for net realized gain (loss) and net change in
  unrealized appreciation on investments is the balancing figure derived from
  the other figures in the schedule. The amount shown at this caption for a
  share outstanding throughout the period may not agree with the change in the
  aggregate gains and losses in portfolio securities for the period because of
  the timing of sales and repurchases of the Company’s shares in relation to
  fluctuating market values for the portfolio. As a result, net increase in net
  assets resulting from operations in this schedule may vary from the
  consolidated statements of operations.(4)
 Distributions in excess of net investment income represent
  certain expenses, which are not deductible on a tax-basis.  Unearned capital
  gains incentive fees and certain offering expenses reduce GAAP basis net
  investment income, but do not reduce tax basis net investment income. These
  tax-related adjustments represent additional net investment income available
  for distribution for tax purposes. Distributions in excess of net investment
  income were less than $0.01 per share during the three months ended March 31,
  2016.
 38


---

CĪON Investment Corporation Notes to Consolidated Financial Statements(unaudited) March
31, 2016 (in
thousands, except share and per share amounts)
 (5)
 The continuous issuance of shares of common stock may cause an
  incremental increase in net asset value per share due to the sale of shares
  at the then prevailing public offering price and the receipt of net proceeds
  per share by the Company in excess of net asset value per share on each
  subscription closing date. The per share impact of the continuous issuance of
  shares of common stock was an increase to net asset value of less than $0.01
  per share during the three months ended March 31, 2016.(6)
 Repurchases of common stock may cause an incremental decrease in
  net asset value per share due to the repurchase of shares at a price in
  excess of net asset value per share on each repurchase date. The per share
  impact of repurchases of common stock was a decrease to net asset value of
  less than $0.01 per share during the three months ended March 31, 2016 and
  2015.(7)
 Total investment return-net asset value is a measure of the
  change in total value for shareholders who held the Company’s common stock at
  the beginning and end of the period, including distributions paid or payable
  during the period. Total investment return-net asset value is based on (i)
  the beginning period net asset value per share on the first day of the
  period, (ii) the net asset value per share on the last day of the period of
  (A) one share plus (B) any fractional shares issued in connection with the
  reinvestment of monthly distributions, and (iii) the value of distributions
  payable, if any, on the last day of the period. The total investment
  return-net asset value calculation assumes that monthly cash distributions
  are reinvested in accordance with the Company's distribution reinvestment
  plan then in effect as described in Note 5. The total investment return-net
  asset value does not consider the effect of the sales load from the sale of
  the Company’s common stock. The total investment return-net asset value
  includes the effect of the issuance of shares at a net offering price that is
  greater than net asset value per share, which causes an increase in net asset
  value per share.  Total returns covering less than a full year are not
  annualized.(8)
 Excluding the recoupment of expense support to IIG during the
  period, the ratio of net investment income to average net assets would have
  been 1.19% and 0.54% for the three months ended March 31, 2016 and 2015,
  respectively.(9)
 Ratio of gross operating expenses to average net assets does not
  include expense support provided by IIG and/or AIM, if any.(10)
 The ratio of gross expense recoupments to IIG to average net
  assets for the three months ended March 31, 2016 and 2015 was (0.01%) and (0.15%),
  respectively.(11)
 In order to record an obligation to reimburse IIG for expense
  support provided, the ratio of gross operating expenses to average net
  assets, when considering the recoupment, in the period in which recoupment is
  sought cannot exceed the ratio of gross operating expenses to average net
  assets for the period when the expense support was provided. For purposes of
  this calculation, gross operating expenses include all expenses borne by the
  Company, except for offering and organizational costs, base management fees,
  incentive fees, administrative services expenses, other general and
  administrative expenses owed to CIM and its affiliates and interest expense.
  For the three months ended March 31, 2016 and 2015, the ratio of gross
  operating expenses to average net assets, when considering recoupment to IIG,
  was 0.15% and 0.21%, respectively.(12)
 Portfolio turnover rate is calculated using the lesser of
  year-to-date sales or purchases over the average of the invested assets at
  fair value, excluding short term investments, and is not annualized.(13)
 Asset coverage ratio is equal to (i) the sum of (a) net assets
  at the end of the period and (b) total senior securities outstanding at the
  end of the period (excluding unfunded commitments), divided by (ii) total
  senior securities outstanding at the end of the period. For purposes of the
  asset coverage ratio test applicable to the Company as a BDC, the Company
  treats the outstanding TRS notional amount at the end of the period, less the
  total amount of cash collateral posted by Flatiron under the TRS, as well as
  unfunded commitments (as of March 31, 2015 only), as senior securities. The
  Company does not include its unfunded capital commitment to CCSLF as a senior
  security for the asset coverage ratio, as the capital commitment cannot be
  drawn without an affirmative vote by one of the Company's representatives on
  CCSLF's board of managers.
 39


---

Item 2. Management’s Discussion and
Analysis of Financial Condition and Results of Operations  As used in this Quarterly Report on Form 10-Q, “we,”
“us,” “our” or similar terms include CĪON Investment Corporation and its
consolidated subsidiaries.  The following discussion should be read in conjunction
with our unaudited consolidated financial statements and related notes
appearing elsewhere in this Quarterly Report on Form 10-Q and the audited
consolidated financial statements and related notes included in our Annual
Report on Form 10-K for the year ended December 31, 2015. In addition to
historical information, the following discussion and other parts of this Quarterly
Report on Form 10-Q contain forward-looking information that involves
risks and uncertainties. Amounts and percentages presented herein may have been
rounded for presentation and all dollar amounts, excluding share and per share
amounts, are presented in thousands unless otherwise noted.  Forward-Looking
Statements  Some of the statements within this Quarterly Report on
Form 10-Q constitute forward-looking statements because they relate to future
events or our future performance or financial condition. The forward-looking
statements contained in this Quarterly Report on Form 10-Q may include
statements as to: •
 our future operating
  results;•
 our business prospects and the
  prospects of our portfolio companies;•
 the impact of the investments
  that we expect to make;•
 the ability of our portfolio
  companies to achieve their objectives;•
 our current and expected
  financings and investments;•
 the adequacy of our cash
  resources, financing sources and working capital;•
 the use of borrowed money to
  finance a portion of our investments;•
 the timing of cash flows, if
  any, from the operations of our portfolio companies;•
 our contractual arrangements
  and relationships with third parties;•
 the actual and potential
  conflicts of interest with CIM and Apollo and their respective affiliates;•
 the ability of CIM and AIM to
  locate suitable investments for us and the ability of CIM to monitor and
  administer our investments;•
 the ability of CIM and AIM and
  their respective affiliates to attract and retain highly talented
  professionals;•
 the dependence of our future
  success on the general economy and its impact on the industries in which we
  invest;•
 the effects of a changing
  interest rate environment;•
 our ability to source
  favorable private investments;•
 our tax status;•
 the effect of changes to tax
  legislation and our tax position;•
 the tax status of the
  companies in which we invest; and•
 the timing and amount of
  distributions and dividends from the companies in which we invest.
 In addition, words such as “anticipate,”
“believe,” “expect” and “intend” indicate a forward-looking statement, although
not all forward-looking statements include these words. The forward-looking
statements contained in this Quarterly Report on Form 10-Q involve risks and
uncertainties. Our actual results could differ materially from those implied or
expressed in the forward-looking statements for any reason, including the
factors set forth in “Risk Factors” in Item 1A of Part II of this Quarterly
Report on Form 10-Q. Other factors that could cause actual results to differ
materially include: •
 changes in the economy;•
 risks associated with possible
  disruption in our operations or the economy generally due to terrorism or
  natural disasters; and•
 future changes in laws or
  regulations and conditions in our operating areas.
  40


---

We have based
the forward-looking statements on information available to us on the date of
this Quarterly Report on Form 10-Q. Except as required by the federal
securities laws, 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 review any additional disclosures that
we may make directly to you or through reports that we in the future may file
with the SEC, including annual reports on Form 10-K, quarterly reports on Form
10-Q and current reports on Form 8-K. The forward-looking statements contained
in this Quarterly Report on Form 10-Q are excluded from the safe harbor
protection provided by Section 27A of the Securities Act of 1933, as amended,
and Section 21E of the Securities Exchange Act of 1934, as amended.  Overview  We were incorporated under the general
corporation laws of the State of Maryland on August 9, 2011 and commenced
operations on December 17, 2012 upon raising proceeds of $2,500 from persons
not affiliated with us, CIM or Apollo. We are an externally managed,
non-diversified closed-end management investment company that has elected to be
regulated as a BDC under the 1940 Act. We elected to be treated for federal
income tax purposes as a RIC, as defined under Subchapter M of the Code. Our investment
objective is to generate current income and, to a lesser extent, capital
appreciation for investors. Our portfolio is comprised primarily ofinvestments in senior secured debt, including first lien
loans, second lien loans and unitranche loans, and, to a lesser extent,
collateralized securities, structured products and other similar securities and
unsecured debt, including corporate bonds and long-term subordinated loans,
referred to as mezzanine loans, of private and thinly traded U.S. middle-market
companies.In connection with our debt investments, we may receive equity
interests such as warrants or options as additional consideration. We may also
purchase minority interests in the form of common or preferred equity in our
target companies, either in conjunction with one of our debt investments or
through a co-investment with a financial sponsor.  We are managed by CIM, our affiliate and a
registered investment adviser. CIM oversees the management of our activities
and is responsible for making investment decisions for our portfolio. We and
CIM have engaged AIM to act as our investment sub-adviser. On December 7, 2015,
our board of directors, including a majority of directors who are not
interested persons, approved the renewal of the investment advisory agreement
with CIM and the investment sub-advisory agreement with AIM, each for a period
of twelve months commencing December 17, 2015.  We seek to meet our
investment objective by utilizing the experienced management teams of both CIM
and AIM, which includes their access to the relationships and human capital of
Apollo, IIG and ICON Capital, in sourcing, evaluating and structuring
transactions. We focus primarily on the senior secured debt of private and
thinly-traded U.S. middle-market companies, which we define as companies that
generally possess annual EBITDA of $50 million or less, with experienced
management teams, significant free cash flow, strong competitive positions and
potential for growth.  Revenue  We primarily generate revenue in the form
of interest income on the debt securities that we hold and capital gains on
debt or other equity interests that we acquire in portfolio companies. The
majority of our senior debt investments bear interest at a floating rate.
Interest on debt securities is generally payable quarterly or monthly. In some
cases, some of our investments may 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, structuring or diligence
fees, monitoring fees, fees for providing managerial assistance and possibly
consulting fees and performance-based fees. Any such fees generated in
connection with our investments will be recognized when earned.  Operating Expenses  Our primary
operating expenses are the payment of advisory fees and other expenses under
the investment advisory and administration agreements. Our investment advisory
fee compensates CIM for its work in identifying, evaluating, negotiating, executing,
monitoring and servicing our investments. CIM is responsible for compensating
AIM for its services pursuant to the investment sub-advisory agreement. We bear
all other expenses of our operations and transactions. 41


---

Portfolio Investment Activity for the Three Months Ended March 31,
2016 and 2015  The following table
summarizes our investment activity, excluding short term investments, for the
three months ended March 31, 2016 and 2015: Three Months Ended
  March 31,2016
 
 2015Net Investment Activity
 
 Investment Portfolio
 
 Total Return Swap
 
 Total
 
 Investment Portfolio
 
 Total Return Swap
 
 TotalPurchases and
  drawdownsSenior secured
  first lien debt
 
 $
 30,419
 
 $
 22,815
 
 $
 53,234
 
 $
 41,627
 
 $
 174,589
 
 $
 216,216Senior secured
  second lien debt
 
 
 3,884
 
 
 -
 
 
 3,884
 
 
 52,037
 
 
 9,702
 
 
 61,739Collateralized
  securities and structured products - equity
 
 
 -
 
 
 -
 
 
 -
 
 
 17,163
 
 
 -
 
 
 17,163Unsecured debt
 
 
 2,704
 
 
 -
 
 
 2,704
 
 
 4,701
 
 
 -
 
 
 4,701Sales and
  principal repayments
 
 
 (21,669)
 
 
 (19,147)
 
 
 (40,816)
 
 
 (36,683)
 
 
 (22,975)
 
 
 (59,658)Net portfolio
  activity
 
 $
 15,338
 
 $
 3,668
 
 $
 19,006
 
 $
 78,845
 
 $
 161,316
 
 $
 240,161
  The following table
summarizes the composition of our investment portfolio at amortized cost and
fair value and our underlying TRS loans portfolio at notional amount and fair
value as of March 31, 2016 and December 31, 2015: March 31, 2016Investment Portfolio
 
 Total Return Swap
 
 TotalInvestments Amortized
  Cost(1)
 
 Investments Fair
  Value
 
 Percentage of
  Investment
  Portfolio
 
 Notional Amount of Underlying TRS Loans
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Amortized Cost/
  Notional Amount(1)
 
 Fair Value
 
 PercentageSenior secured
  first lien debt
 
 $
 129,097
 
 $
 125,948
 
 19.3%
 
 $
 664,949
 
 $
 639,866
 
 93.4%
 
 $
 794,046
 
 $
 765,814
 
 57.2%Senior secured
  second lien debt
 
 
 462,442
 
 
 440,958
 
 67.4%
 
 
 56,970
 
 
 45,545
 
 6.6%
 
 
 519,412
 
 
 486,503
 
 36.3%Collateralized
  securities and structured products - debt
 
 
 44,388
 
 
 38,739
 
 5.9%
 
 
 -
 
 
 -
 
 -
 
 
 44,388
 
 
 38,739
 
 2.9%Collateralized
  securities and structured products - equity
 
 
 30,372
 
 
 21,793
 
 3.3%
 
 
 -
 
 
 -
 
 -
 
 
 30,372
 
 
 21,793
 
 1.6%Unsecured debt
 
 
 29,584
 
 
 26,603
 
 4.1%
 
 
 -
 
 
 -
 
 -
 
 
 29,584
 
 
 26,603
 
 2.0%Subtotal/total
  percentage
 
 
 695,883
 
 
 654,041
 
 100.0%
 
 
 721,919
 
 
 685,411
 
 100.0%
 
 
 1,417,802
 
 
 1,339,452
 
 100.0%Short term
  investments(2)
 
 
 18,523
 
 
 18,523
 
 
 
 
 -
 
 
 -
 
 
 
 
 18,523
 
 
 18,523Total
  investments
 
 $
 714,406
 
 $
 672,564
 
 
 
 $
 721,919
 
 $
 685,411
 
 
 
 $
 1,436,325
 
 $
 1,357,975Number of
  portfolio companies
 
 
 
 
 82
 
 
 
 
 
 
 
 87
 
 
 
 
 
 
 
 143(3)Average annual
  EBITDA of portfolio companies
 
 
 $78.8 million
 
 
 
 
 
 $278.4 million
 
 
 
 
 
 $185.9 millionMedian annual
  EBITDA of portfolio companies
 
 
 $60.1 million
 
 
 
 
 
 $95.7 million
 
 
 
 
 
 $74.9 millionPurchased at a
  weighted average price of par
 
 
 
 
 97.16%
 
 
 
 
 
 
 
 99.04%
 
 
 
 
 
 
 
 98.11%Gross annual
  portfolio yield based upon the purchase price(4)
 
 9.48%
 
 
 
 
 
 
 
 6.47%(5)
 
 
 
 
 
 
 
 7.94%
 (1)
 Amortized cost represents the original cost adjusted for the
  amortization of premiums and/or accretion of discounts, as applicable, on our
  investments.(2)
 Short term investments represent an investment in a fund that
  invests in highly liquid investments with average original maturity dates of
  three months or less.(3)
 The sum of investment portfolio and TRS portfolio companies does
  not equal the total number of portfolio companies. This is due to 26
  portfolio companies being in both the investment and TRS portfolios.(4)
 The portfolio yield does not represent and may be higher than an
  actual investment return to shareholders because it excludes our expenses and
  all sales commissions and dealer manager fees.(5)
 The portfolio yield for underlying TRS loans is determined
  without giving consideration to leverage.
 42


---

December 31, 2015Investment Portfolio
 
 Total Return Swap
 
 TotalInvestments Amortized
  Cost(1)
 
 Investments Fair
  Value
 
 Percentage of
  Investment
  Portfolio
 
 Notional Amount of Underlying TRS Loans
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Amortized Cost/
  Notional Amount(1)
 
 Fair Value
 
 PercentageSenior secured
  first lien debt
 
 $
 106,147
 
 $
 104,187
 
 16.0%
 
 $
 661,055
 
 $
 634,597
 
 92.9%
 
 $
 767,202
 
 $
 738,784
 
 55.4%Senior secured
  second lien debt
 
 
 468,899
 
 
 453,713
 
 69.7%
 
 
 56,970
 
 
 48,528
 
 7.1%
 
 
 525,869
 
 
 502,241
 
 37.7%Collateralized
  securities and structured products - debt
 
 
 44,361
 
 
 41,663
 
 6.4%
 
 
 -
 
 
 -
 
 -
 
 
 44,361
 
 
 41,663
 
 3.1%Collateralized
  securities and structured products - equity
 
 
 31,184
 
 
 24,604
 
 3.8%
 
 
 -
 
 
 -
 
 -
 
 
 31,184
 
 
 24,604
 
 1.8%Unsecured debt
 
 
 29,553
 
 
 26,740
 
 4.1%
 
 
 -
 
 
 -
 
 -
 
 
 29,553
 
 
 26,740
 
 2.0%Subtotal/total
  percentage
 
 
 680,144
 
 
 650,907
 
 100.0%
 
 
 718,025
 
 
 683,125
 
 100.0%
 
 
 1,398,169
 
 
 1,334,032
 
 100.0%Short term
  investments(2)
 
 
 18,892
 
 
 18,892
 
 
 
 
 -
 
 
 -
 
 
 
 
 18,892
 
 
 18,892Total
  investments
 
 $
 699,036
 
 $
 669,799
 
 
 
 $
 718,025
 
 $
 683,125
 
 
 
 $
 1,417,061
 
 $
 1,352,924Number of
  portfolio companies
 
 
 
 
 82
 
 
 
 
 
 
 
 87
 
 
 
 
 
 
 
 142(3)Average annual
  EBITDA of portfolio companies
 
 
 $80.4 million
 
 
 
 
 
 $266.4 million
 
 
 
 
 
 $181.1 millionMedian annual
  EBITDA of portfolio companies
 
 
 $64.2 million
 
 
 
 
 
 $91.0 million
 
 
 
 
 
 $74.9 millionPurchased at a
  weighted average price of par
 
 
 
 
 97.16%
 
 
 
 
 
 
 
 99.02%
 
 
 
 
 
 
 
 98.10%Gross annual
  portfolio yield based upon the purchase price(4)
 
 9.42%
 
 
 
 
 
 
 
 6.47%(5)
 
 
 
 
 
 
 
 7.91%
 (1)
 Amortized cost represents the original cost adjusted for the
  amortization of premiums and/or accretion of discounts, as applicable, on our
  investments.(2)
 Short term investments represent an investment in a fund that
  invests in highly liquid investments with average original maturity dates of
  three months or less.(3)
 The sum of investment portfolio and TRS portfolio companies does
  not equal the total number of portfolio companies. This is due to 27
  portfolio companies being in both the investment and TRS portfolios.(4)
 The portfolio yield does not represent and may be higher than an
  actual investment return to shareholders because it excludes our expenses and
  all sales commissions and dealer manager fees.(5)
 The portfolio yield for underlying TRS loans is determined
  without giving consideration to leverage.
  The following table
summarizes the composition of our investment portfolio and our underlying TRS
loans portfolio by the type of interest rate as of March 31, 2016 and December
31, 2015, excluding short term investments of $18,523 and $18,892,
respectively: March 31, 2016Investment Portfolio
 
 Total Return Swap
 
 TotalInterest Rate
  Allocation
 
 Investments Amortized
  Cost
 
 Investments Fair
  Value
 
 Percentage of
  Investment
  Portfolio
 
 Notional Amount of Underlying TRS Loans
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Amortized Cost/
  Notional Amount
 
 Fair Value
 
 PercentageFloating
  interest rate investments
 
 $
 654,295
 
 $
 615,218
 
 94.1%
 
 $
 721,919
 
 $
 685,411
 
 100.0%
 
 $
 1,376,214
 
 $
 1,300,629
 
 97.1%Fixed interest
  rate investments
 
 
 41,588
 
 
 38,823
 
 5.9%
 
 
 -
 
 
 -
 
 -
 
 
 41,588
 
 
 38,823
 
 2.9%Total
  investments
 
 $
 695,883
 
 $
 654,041
 
 100.0%
 
 $
 721,919
 
 $
 685,411
 
 100.0%
 
 $
 1,417,802
 
 $
 1,339,452
 
 100.0%
 43


---

December 31, 2015Investment Portfolio
 
 Total Return Swap
 
 TotalInterest Rate
  Allocation
 
 Investments Amortized
  Cost
 
 Investments Fair
  Value
 
 Percentage of
  Investment
  Portfolio
 
 Notional Amount of Underlying TRS Loans
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Amortized Cost/
  Notional Amount
 
 Fair Value
 
 PercentageFloating
  interest rate investments
 
 $
 637,470
 
 $
 610,477
 
 93.8%
 
 $
 718,025
 
 $
 683,125
 
 100.0%
 
 $
 1,355,495
 
 $
 1,293,602
 
 97.0%Fixed interest
  rate investments
 
 
 42,674
 
 
 40,430
 
 6.2%
 
 
 -
 
 
 -
 
 -
 
 
 42,674
 
 
 40,430
 
 3.0%Total
  investments
 
 $
 680,144
 
 $
 650,907
 
 100.0%
 
 $
 718,025
 
 $
 683,125
 
 100.0%
 
 $
 1,398,169
 
 $
 1,334,032
 
 100.0%
  The following table
shows the composition of our investment portfolio and our underlying TRS loans
portfolio by industry classification and the percentage, by fair value, of the
total assets in such industries as of March 31, 2016 and December 31, 2015:  March 31, 2016Investment Portfolio
 
 Total Return Swap
 
 TotalIndustry
  Classification
 
 Investments Fair Value
 
 Percentage of
  Investment Portfolio
 
 Fair Value of
  Underlying
  TRS Loans
 
 Percentage of
  Underlying
  TRS Loans
 
 Fair Value
 
 PercentageServices:
  Business
 
 $
 120,846
 
 18.5%
 
 $
 94,623
 
 13.8%
 
 $
 215,469
 
 16.1%High Tech
  Industries
 
 
 114,361
 
 17.5%
 
 
 79,241
 
 11.6%
 
 
 193,602
 
 14.5%Healthcare &
  Pharmaceuticals
 
 
 48,805
 
 7.5%
 
 
 124,880
 
 18.2%
 
 
 173,685
 
 13.0%Retail
 
 
 8,414
 
 1.3%
 
 
 61,483
 
 9.0%
 
 
 69,897
 
 5.2%Chemicals,
  Plastics & Rubber
 
 
 26,409
 
 4.0%
 
 
 40,733
 
 5.9%
 
 
 67,142
 
 5.0%Beverage, Food
  & Tobacco
 
 
 60,761
 
 9.3%
 
 
 -
 
 -
 
 
 60,761
 
 4.5%Diversified
  Financials
 
 
 60,532
 
 9.2%
 
 
 -
 
 -
 
 
 60,532
 
 4.5%Hotel, Gaming
  & Leisure
 
 
 26,617
 
 4.1%
 
 
 33,207
 
 4.9%
 
 
 59,824
 
 4.5%Construction
  & Building
 
 
 23,905
 
 3.6%
 
 
 35,453
 
 5.2%
 
 
 59,358
 
 4.4%Banking,
  Finance, Insurance & Real Estate
 
 
 33,303
 
 5.1%
 
 
 16,052
 
 2.3%
 
 
 49,355
 
 3.7%Telecommunications
 
 
 10,974
 
 1.7%
 
 
 29,810
 
 4.4%
 
 
 40,784
 
 3.0%Services:
  Consumer
 
 
 9,847
 
 1.5%
 
 
 25,615
 
 3.7%
 
 
 35,462
 
 2.6%Forest Products
  & Paper
 
 
 -
 
 -
 
 
 32,344
 
 4.7%
 
 
 32,344
 
 2.4%Media:
  Advertising, Printing & Publishing
 
 
 24,200
 
 3.7%
 
 
 7,572
 
 1.1%
 
 
 31,772
 
 2.4%Consumer Goods:
  Durable
 
 
 -
 
 -
 
 
 28,940
 
 4.2%
 
 
 28,940
 
 2.2%Media:
  Broadcasting & Subscription
 
 
 9,165
 
 1.4%
 
 
 16,376
 
 2.4%
 
 
 25,541
 
 1.9%Consumer Goods:
  Non-Durable
 
 
 13,834
 
 2.1%
 
 
 11,541
 
 1.7%
 
 
 25,375
 
 1.9%Automotive
 
 
 19,087
 
 2.9%
 
 
 5,101
 
 0.7%
 
 
 24,188
 
 1.8%Media:
  Diversified & Production
 
 
 9,622
 
 1.5%
 
 
 14,504
 
 2.1%
 
 
 24,126
 
 1.8%Containers,
  Packaging & Glass
 
 
 11,727
 
 1.8%
 
 
 8,334
 
 1.2%
 
 
 20,061
 
 1.5%Energy:
  Electricity
 
 
 13,561
 
 2.1%
 
 
 1,851
 
 0.3%
 
 
 15,412
 
 1.2%Aerospace &
  Defense
 
 
 -
 
 -
 
 
 13,765
 
 2.0%
 
 
 13,765
 
 1.0%Energy: Oil
  & Gas
 
 
 5,596
 
 0.8%
 
 
 2,172
 
 0.3%
 
 
 7,768
 
 0.6%Environmental
  Industries
 
 
 2,475
 
 0.4%
 
 
 -
 
 -
 
 
 2,475
 
 0.2%Mining &
  Metals
 
 
 -
 
 -
 
 
 1,814
 
 0.3%
 
 
 1,814
 
 0.1%Subtotal/total
  percentage
 
 
 654,041
 
 100.0%
 
 
 685,411
 
 100.0%
 
 
 1,339,452
 
 100.0%Short term
  investments
 
 
 18,523
 
 
 
 
 -
 
 
 
 
 18,523Total investments
 
 $
 672,564
 
 
 
 $
 685,411
 
 
 
 $
 1,357,975
 44


---

December 31, 2015Investment Portfolio
 
 Total Return Swap
 
 TotalIndustry
  Classification
 
 Investments Fair Value
 
 Percentage of
  Investment Portfolio
 
 Fair Value of
  Underlying
  TRS Loans
 
 Percentage of
  Underlying
  TRS Loans
 
 Fair Value
 
 PercentageServices:
  Business
 
 $
 124,412
 
 19.1%
 
 $
 94,924
 
 13.9%
 
 $
 219,336
 
 16.4%Healthcare &
  Pharmaceuticals
 
 
 54,122
 
 8.3%
 
 
 121,889
 
 17.8%
 
 
 176,011
 
 13.2%High Tech
  Industries
 
 
 86,848
 
 13.3%
 
 
 77,663
 
 11.4%
 
 
 164,511
 
 12.3%Diversified
  Financials
 
 
 66,267
 
 10.2%
 
 
 -
 
 -
 
 
 66,267
 
 5.0%Chemicals,
  Plastics & Rubber
 
 
 27,161
 
 4.2%
 
 
 37,270
 
 5.5%
 
 
 64,431
 
 4.8%Banking,
  Finance, Insurance & Real Estate
 
 
 32,224
 
 5.0%
 
 
 31,160
 
 4.6%
 
 
 63,384
 
 4.8%Beverage, Food
  & Tobacco
 
 
 62,314
 
 9.6%
 
 
 -
 
 -
 
 
 62,314
 
 4.7%Construction
  & Building
 
 
 24,099
 
 3.7%
 
 
 35,443
 
 5.2%
 
 
 59,542
 
 4.5%Hotel, Gaming
  & Leisure
 
 
 26,839
 
 4.1%
 
 
 32,079
 
 4.7%
 
 
 58,918
 
 4.4%Retail
 
 
 8,623
 
 1.4%
 
 
 49,276
 
 7.2%
 
 
 57,899
 
 4.3%Telecommunications
 
 
 9,148
 
 1.4%
 
 
 29,943
 
 4.4%
 
 
 39,091
 
 2.9%Services:
  Consumer
 
 
 13,154
 
 2.0%
 
 
 25,003
 
 3.7%
 
 
 38,157
 
 2.9%Forest Products
  & Paper
 
 
 -
 
 -
 
 
 32,697
 
 4.8%
 
 
 32,697
 
 2.5%Media:
  Advertising, Printing & Publishing
 
 
 24,627
 
 3.8%
 
 
 7,740
 
 1.1%
 
 
 32,367
 
 2.4%Consumer Goods:
  Durable
 
 
 -
 
 -
 
 
 28,803
 
 4.2%
 
 
 28,803
 
 2.2%Media:
  Broadcasting & Subscription
 
 
 9,952
 
 1.5%
 
 
 16,642
 
 2.4%
 
 
 26,594
 
 2.0%Consumer Goods:
  Non-Durable
 
 
 13,974
 
 2.1%
 
 
 12,347
 
 1.8%
 
 
 26,321
 
 2.0%Automotive
 
 
 19,766
 
 3.0%
 
 
 5,100
 
 0.8%
 
 
 24,866
 
 1.9%Media:
  Diversified & Production
 
 
 10,153
 
 1.6%
 
 
 14,287
 
 2.1%
 
 
 24,440
 
 1.8%Containers,
  Packaging & Glass
 
 
 11,851
 
 1.8%
 
 
 8,366
 
 1.2%
 
 
 20,217
 
 1.5%Energy:
  Electricity
 
 
 13,677
 
 2.1%
 
 
 2,194
 
 0.3%
 
 
 15,871
 
 1.2%Aerospace &
  Defense
 
 
 -
 
 -
 
 
 13,975
 
 2.0%
 
 
 13,975
 
 1.0%Energy: Oil
  & Gas
 
 
 6,274
 
 1.0%
 
 
 3,286
 
 0.5%
 
 
 9,560
 
 0.7%Mining &
  Metals
 
 
 -
 
 -
 
 
 3,038
 
 0.4%
 
 
 3,038
 
 0.2%Environmental
  Industries
 
 
 2,850
 
 0.4%
 
 
 -
 
 -
 
 
 2,850
 
 0.2%Capital
  Equipment
 
 
 2,572
 
 0.4%
 
 
 -
 
 -
 
 
 2,572
 
 0.2%Subtotal/total
  percentage
 
 
 650,907
 
 100.0%
 
 
 683,125
 
 100.0%
 
 
 1,334,032
 
 100.0%Short term
  investments
 
 
 18,892
 
 
 
 
 -
 
 
 
 
 18,892Total investments
 
 $
 669,799
 
 
 
 $
 683,125
 
 
 
 $
 1,352,924
  Except for CCSLF, we do not “control” and
are not an “affiliate” of any of our portfolio companies or any of the
companies of the loans underlying the TRS, each as defined in the 1940 Act. In
general, under the 1940 Act, we would be presumed to “control” a portfolio
company or issuer if we owned 25% or more of its voting securities and would be
an “affiliate” of a portfolio company or issuer if we owned 5% or more of its
voting securities.  Our
investment portfolio may contain senior secured investments that are in the
form of lines of credit, revolving credit facilities, or unfunded commitments,
which may require us to provide funding when requested in accordance with the
terms of the underlying agreements. As of March 31, 2016 and December 31, 2015,
our unfunded commitments amounted to $42,188 and $43,404, respectively. As of
May 5, 2016, our unfunded commitments amounted to $82,188. Since these
commitments may expire without being drawn upon, unfunded commitments do not
necessarily represent future cash requirements or future earning assets for us.
For additional information on our unfunded commitments, refer to Note 11 to our
consolidated financial statements included in this report. 45


---

Investment Portfolio
Asset Quality  CIM uses an investment rating system to characterize
and monitor our expected level of returns on each investment in our portfolio.
These ratings are just one of several factors that CIM uses to monitor our
portfolio, are not in and of themselves determinative of fair value or revenue
recognition and are presented for indicative purposes. CIM rates the credit
risk of all investments on a scale of 1 to 5 no less frequently than quarterly.
This system is intended primarily to reflect the underlying risk of a portfolio
investment relative to our initial cost basis in respect of such portfolio
investment (i.e., at the time of acquisition), although it may also take into
account under certain circumstances the performance of the portfolio company’s
business, the collateral coverage of the investment and other relevant factors.  The following is a description of the conditions
associated with each investment rating used in this ratings system:  Investment Rating
 Description1
 Indicates
  the least amount of risk to our initial cost basis. The trends and risk
  factors for this investment since origination or acquisition are generally
  favorable, which may include the performance of the portfolio company or a
  potential exit.2
 Indicates
  a level of risk to our initial cost basis that is similar to the risk to our
  initial cost basis at the time of origination or acquisition. This portfolio
  company is generally performing in accordance with our analysis of its
  business and the full return of principal and interest or dividend is
  expected.3
 Indicates
  that the risk to our ability to recoup the cost of such investment has
  increased since origination or acquisition, but full return of principal and
  interest or dividend is expected. A portfolio company with an investment rating
  of 3 requires closer monitoring.4
 Indicates
  that the risk to our ability to recoup the cost of such investment has
  increased significantly since origination or acquisition, including as a
  result of factors such as declining performance and noncompliance with debt
  covenants, and we expect some loss of interest, dividend or capital
  appreciation, but still expect an overall positive internal rate of return on
  the investment.5
 Indicates
  that the risk to our ability to recoup the cost of such investment has
  increased materially since origination or acquisition and the portfolio
  company likely has materially declining performance. Loss of interest or
  dividend and some loss of principal investment is expected, which would
  result in an overall negative internal rate of return on the investment.
 For investments rated 3, 4, or 5, CIM
enhances its level of scrutiny over the monitoring of such portfolio company.  The following table summarizes the
composition of our investment portfolio and our underlying TRS loans portfolio
based on the 1 to 5 investment rating scale at fair value as of March 31, 2016
and December 31, 2015, excluding short term investments of $18,523 and $18,892,
respectively:  March 31, 2016Investment Portfolio
 
 Total Return Swap
 
 TotalInvestment Rating
 
 Investments
  Fair Value
 
 Percentage of
  Investment Portfolio
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Fair Value
 
 Percentage1
 
 $
 -
 
 -
 
 $
 -
 
 -
 
 $
 -
 
 -2
 
 
 605,424
 
 92.6%
 
 
 657,298
 
 95.9%
 
 
 1,262,722
 
 94.3%3
 
 
 41,797
 
 6.4%
 
 
 19,710
 
 2.9%
 
 
 61,507
 
 4.6%4
 
 
 6,820
 
 1.0%
 
 
 7,509
 
 1.1%
 
 
 14,329
 
 1.0%5
 
 
 -
 
 -
 
 
 894
 
 0.1%
 
 
 894
 
 0.1%$
 654,041
 
 100.0%
 
 $
 685,411
 
 100.0%
 
 $
 1,339,452
 
 100.0%
  December 31, 2015Investment Portfolio
 
 Total Return Swap
 
 TotalInvestment Rating
 
 Investments
  Fair Value
 
 Percentage of
  Investment Portfolio
 
 Fair Value of Underlying TRS Loans
 
 Percentage of Underlying TRS Loans
 
 Fair Value
 
 Percentage1
 
 $
 -
 
 -
 
 $
 -
 
 -
 
 $
 -
 
 -2
 
 
 624,097
 
 95.9%
 
 
 652,073
 
 95.5%
 
 
 1,276,170
 
 95.7%3
 
 
 24,180
 
 3.7%
 
 
 23,047
 
 3.4%
 
 
 47,227
 
 3.5%4
 
 
 2,630
 
 0.4%
 
 
 6,845
 
 1.0%
 
 
 9,475
 
 0.7%5
 
 
 -
 
 -
 
 
 1,160
 
 0.1%
 
 
 1,160
 
 0.1%$
 650,907
 
 100.0%
 
 $
 683,125
 
 100.0%
 
 $
 1,334,032
 
 100.0%
 46


---

The amount of the investment portfolio and underlying TRS loans in
each rating category may vary substantially from period to period resulting
primarily from changes in the composition of each portfolio as a result of new
investment, repayment and exit activities. In addition, changes in the rating
of investments may be made to reflect our expectation of performance and
changes in investment values.  Current Investment Portfolio  As of May 5, 2016, our investment
portfolio, excluding our short term investments and TRS, consisted of interests
in 82 portfolio companies (21% in senior secured first lien debt, 66% in senior
secured second lien debt, 9% in collateralized securities and structured
products (comprised of 2% invested in rated debt, 4% invested in non-rated debt
and 3% invested in non-rated equity of such securities and products) and 4% in unsecured
debt) with a total fair value of $693,447 with an average and median portfolio company
annual EBITDA of $77.1 million and $63.1 million, respectively, at initial
investment. As of May 5, 2016, investments in our portfolio, excluding our
short term investments and TRS, were purchased at a weighted average price of
96.88% of par value. Our estimated gross annual portfolio yield was 9.53% based
upon the purchase price of such investments. The estimated gross portfolio
yield does not represent and may be higher than an actual investment return to
shareholders, because it excludes our expenses and all sales commissions and
dealer manager fees. For the three months ended March 31, 2016, our total
investment return-net asset value was 0.49%. Total investment return-net asset
value does not represent and may be higher than an actual investment return to
shareholders because it excludes all sales commissions and dealer manager fees.
Total investment return-net asset value is a measure of the change in total
value for shareholders who held our common stock at the beginning and end of
the period, including distributions paid or payable during the period, and is
described further in Note 13 of our consolidated financial statements.  As of May 5, 2016, our only short term
investment was an investment in a U.S. Treasury Obligations Fund of $58,325.  Further, as of May 5, 2016, through a
TRS (described further in Note 7 of our consolidated financial statements), we
obtained the economic benefit of owning investments in primarily first and
second lien senior secured floating-rate loans of 86 portfolio companies.  Results of Operations for the Three Months
Ended March 31, 2016 and 2015  Our results of operations for
the three months ended March 31, 2016 and 2015 were as follows:  Three Months Ended
  March 31,2016
 
 2015Investment income
 $
 17,271
 
 $
 8,914Net operating expenses
 
 6,796
 
 
 6,783Net investment income
 
 10,475
 
 
 2,131Net realized (loss) gain on investments
 
 (8)
 
 
 575Net change in unrealized (depreciation) appreciation on
  investments
 
 (12,605)
 
 
 1,464Net realized gain on total return swap
 
 8,362
 
 
 6,607Net change in unrealized (depreciation) appreciation on total
  return swap
 
 (1,608)
 
 
 6,049Net increase in net assets resulting from operations
 $
 4,616
 
 $
 16,826
  Investment Income  For the three months
ended March 31, 2016 and 2015, we generated investment income of $17,271 and
$8,914, respectively, consisting primarily of interest income on investments in
senior secured debt, collateralized securities, structured products, and
unsecured debt of 85 and 62 portfolio companies held during each respective
period. Our average investment portfolio size, excluding short term investments
and the TRS, increased $260,366, from $392,108 for the three months ended March
31, 2015 to $652,474 for the three months ended March 31, 2016, as we continued
to deploy the net proceeds from our continuous public offerings. We expect our
investment portfolio to continue to grow due to the anticipated equity
available to us for investment from our follow-on continuous public offering,
which commenced on January 25, 2016. As a result, we believe that reported
investment income for the three months ended March 31, 2016 and 2015 is not
representative of our stabilized or future performance. Interest income earned
by loans underlying the TRS is not included in investment income in the
consolidated statements of operations, but rather it is recorded as part of net
realized gain on total return swap.  47


---

Operating Expenses  The composition of our operating expenses
for the three months ended March 31, 2016 and 2015 was as follows:  Three Months Ended
  March 31,2016
 
 2015Management fees
 $
 4,512
 
 $
 2,760Administrative services expense
 
 292
 
 
 454Capital gains incentive fee
 -
 
 
 1,454General and administrative
 
 1,753
 
 
 1,278Interest expense
 
 120
 
 
 -Total operating expenses
 6,677
 
 
 5,946Recoupment of expense support from IIG
 
 119
 
 
 837Net operating expenses
 $
 6,796
 
 $
 6,783
  The composition of our general and
administrative expenses for the three months ended March 31, 2016 and 2015 was
as follows:  Three Months Ended
  March 31,2016
 
 2015Professional
  fees
 $
 552
 
 $
 235Transfer agent
  expense
 
 342
 
 
 225Dues and
  subscriptions
 
 247
 
 
 88Due diligence
  fees
 
 162
 
 
 262Valuation
  expense
 
 99
 
 
 66Printing and
  marketing expense
 
 90
 
 
 154Insurance
  expense
 
 82
 
 
 59Director fees
  and expenses
 
 67
 
 
 64Filing fees
 
 4
 
 
 27Other expenses
 
 108
 
 
 98Total general
  and administrative expense
 $
 1,753
 
 $
 1,278
  Expense Support and Recoupment of Expense
Support  Our affiliate, IIG, agreed to provide
expense support to us commencing with the quarter ended December 31, 2012 for
certain expenses pursuant to the expense support and conditional reimbursement
agreement. On December 16, 2015, we further amended and restated the expense
support and conditional reimbursement agreement for purposes of including AIM
as a party to the expense support and conditional reimbursement agreement and
extending the termination date from December 31, 2015 to December 31, 2016.
Commencing with the quarter beginning January 1, 2016, IIG and AIM each agrees
to provide expense support to us for 50% of certain expenses pursuant to the
second amended and restated expense support and conditional reimbursement
agreement. Refer to Note 4 to our consolidated financial statements for further
details about the second amended and restated expense support and conditional
reimbursement agreement and additional disclosure regarding expense support
from IIG.  For the three months ended March 31, 2016,
IIG recouped $119 of expense support made during the three months ended
December 31, 2014 in connection with the expense support and conditional
reimbursement agreement. For the three months ended March 31, 2015, IIG
recouped $837 of expense support made during the three months ended March 31,
2013 and June 30, 2013 in connection with the expense support and conditional
reimbursement agreement.  Recoupment of such support will be
determined as appropriate to meet the objectives of the second amended and
restated expense support and conditional reimbursement agreement. As a result,
we may or may not be requested to reimburse IIG for unreimbursed expense
support of $548 as of March 31, 2016 in addition to any further expense support
that may be received from IIG and AIM in the future. 48


---

Net Investment Income  Our net investment income totaled $10,475
and $2,131 for the three months ended March 31, 2016 and 2015, respectively.
The increase in net investment income was primarily due to an increase in the
size of our investment portfolio relative to our expenses as we continued to
achieve economies of scale due to our continuous public offerings.  Net Realized (Loss) Gain on Investments  Our net realized (loss) gain on investments
totaled ($8) and $575 for the three months ended March 31, 2016 and 2015,
respectively. The decrease in net realized gain on investments was mainly due
to a decline in primary and secondary investments sourced with the assistance
of AIM at advantageous purchase prices as well as a decrease in sales activity
during the three months ended March 31, 2016 compared to the three months ended
March 31, 2015. During the three months ended March 31, 2016, we received sale
proceeds of $10,920 and principal repayments of $10,749, resulting in net
realized losses of $8. For the three months ended March 31, 2015, we received sale
proceeds of $35,565 and principal repayments of $1,118,
resulting in netrealized gains of $575.  Net Change in Unrealized (Depreciation)
Appreciation on Investments  The net change in unrealized (depreciation)
appreciation on our investments totaled ($12,605) and $1,464 for the three
months ended March 31, 2016 and 2015, respectively. This change was driven primarily
by a widening of credit spreads during the three months ended March 31, 2016that negatively impacted the fair value of certain
investmentscompared to a tightening of credit spreads during the three
months ended March 31, 2015.  Net Realized Gain on Total Return Swap  Our net realized gain on the TRS totaled $8,362
and $6,607 for the three months ended March 31, 2016 and 2015, respectively. The
components of net realized gain on the TRS are summarized below:  Three Months Ended
  March 31,2016
 
 2015Interest and
  other income from TRS portfolio
 
 $
 11,646
 
 $
 8,414Interest and
  other expense from TRS portfolio
 
 
 (3,453)
 
 
 (2,006)Net gain on TRS loan
  sales
 
 
 169
 
 
 199Total
 
 $
 8,362
 
 $
 6,607
  Net Change in Unrealized (Depreciation) Appreciation
on Total Return Swap  The net change in unrealized (depreciation)
appreciation on the TRS totaled ($1,608) and $6,049 for the three months ended
March 31, 2016 and 2015, respectively. This change was driven primarily by a
widening of credit spreads during the three months ended March 31, 2016that negatively impacted the fair value of certain loans
underlying the TRScompared to a tightening of credit spreads during the
three months ended March 31, 2015.  Net Increase in Net Assets Resulting from
Operations  For the three months ended March 31, 2016
and 2015, we recorded a net increase in net assets resulting from operations of
$4,616 and $16,826, respectively, as a result of our operating activity for the
respective periods. 49


---

Net Asset Value per Share, Annual Investment Return and Total
Return Since Inception  Our net asset value per share was $8.57 and
$8.71 on March 31, 2016 and December 31, 2015, respectively. After considering
(i) the overall changes in net asset value per share, (ii) paid distributions
of approximately $0.1829 per share during the three months ended March 31,
2016, and (iii) the assumed reinvestment of those
distributionsin accordance with our distribution reinvestment plan then
in effect, the total investment return was 0.49%for the three month period ended March 31, 2016. Total investment return-net
asset value does not represent and may be higher than an actual return to shareholders
because it excludes all sales commissions and dealer manager fees. Total
investment return-net asset value is a measure of the change in total value for
shareholders who held our common stock at the beginning and end of the period,
including distributions paid or payable during the period, and is described
further in Note 13 to our consolidated financial statements included in this
report.  Initial shareholders who subscribed to the
offering in December 2012 with an initial investment of $10,000 and an initial
purchase price equal to $9.00 per share (public offering price net of sales
load) have seen an annualized return of 6.36% and a cumulative total return of
22.49% through March 31, 2016 (see chart below). Initial shareholders who
subscribed to the offering in December 2012 with an initial investment of
$10,000 and an initial purchase price equal to $10.00 per share (the initial
public offering price including sales load) have seen an annualized return of
3.01% and a cumulative total return of 10.24% through March 31, 2016. Over the
same time period, the S&P/LSTA Leveraged Loan Index, a primary measure of
senior debt covering the U.S. leveraged loan market, which currently consists
of approximately 1,000 credit facilities throughout numerous industries, recorded
an annualized return of 2.58% and a cumulative total return of 8.73%. In
addition, the BofA Merrill Lynch US High Yield Index, a primary measure of
short-term US dollar denominated below investment grade corporate debt publicly
issued in the US domestic market, recorded an annualized return of 2.54% and a
cumulative total return of 8.59% over the same period.   (1) Cumulative performance: December 17,
2012 to March 31, 2016  The calculations for the Growth of $10,000
Initial Investment are based upon (i) an initial investment of $10,000 in our
common stock at the beginning of the period, at a share price of $10.00 per
share (including sales load) and $9.00 per share (excluding sales load), (ii)
assumes reinvestment of monthly distributions in accordance with our
distribution reinvestment plan then in effect, (iii) the sale of the entire
investment position at the net asset value per share on the last day of the
period, and (iv) the distributions declared and payable to shareholders, if any,
on the last day of the period. 50


---

Financial Condition, Liquidity and Capital Resources  We generate cash primarily from the net
proceeds from ourfollow-on continuous public
offeringand from cash flows from fees, interest and dividends earned
from our investments as well as principal repayments and proceeds from sales of
our investments. We are engaged in a follow-on continuous public offering of
shares of our common stock. Our initial continuous public offering commenced on
July 2, 2012 and ended on December 31, 2015. Our follow-on continuous public
offering commenced on January 25, 2016. We accept subscriptions on a continuous
basis and issue shares at weekly closings at prices that, after deducting
selling commissions and dealer manager fees, are at or above our net asset
value per share.  We will sell our shares on a continuous
basis at our latest public offering price of $9.75 per share; however, to the
extent that our net asset value fluctuates, we will sell at a price necessary
to ensure that shares are sold at a price, after deduction of selling
commissions and dealer manager fees, that is above and within 2.5% of net asset
value per share. Therefore, persons who tender subscriptions for shares of our
common stock in the offering must submit subscriptions for a certain dollar
amount, rather than a number of shares of common stock and, as a result, may
receive fractional shares of our common stock.  Since commencing our initial continuous
public offering on July 2, 2012 and through March 31, 2016, we sold 104,723,030
shares of common stock for net proceeds of $1,069,240 at an average price per
share of $10.21. The net proceeds include gross proceeds received from
reinvested shareholder distributions of $55,109, for which we issued 5,999,087
shares of common stock, and gross proceeds paid for shares of common stock
tendered for repurchase of $10,019, for which we repurchased 1,083,608 shares
of common stock. Since commencing our initial continuous public offering on
July 2, 2012 and through March 31, 2016, sales commissions and dealer manager
fees related to the sale of our common stock were $61,420 and $30,056,
respectively.  As of May 5, 2016, we sold 104,619,711
shares of common stock for net proceeds of $1,068,550 at an average price per
share of $10.21. The net proceeds include gross proceeds received from
reinvested shareholder distributions of $58,101, for which we issued 6,343,592
shares of common stock, and gross proceeds paid for shares of common stock
tendered for repurchase of $15,846, for which we repurchased 1,758,037 shares
of common stock.Since
commencing our initial continuous public offering on July 2, 2012 and through
May 5, 2016, sales commissions and dealer manager fees related to the sale of
our common stock were $61,540 and $30,118, respectively.  The net proceeds from our follow-on
continuous public offering will be invested primarily in cash, cash
equivalents, U.S. government securities, repurchase agreements and high-quality
debt instruments maturing in one year or less prior to being invested in debt
securities of private U.S. companies. As of March 31,
2016 and December 31, 2015, we had $18,523 and $18,892 in short term
investments, respectively, invested in a fund that primarily invests in U.S.
government securities.  Total Return Swap  For a detailed
discussion of our TRS, refer to Note 7 to our consolidated financial statements
included in this report.  East West Bank Credit Facility  As of March 31, 2016 and
May 5, 2016, we had no outstanding borrowings under the EWB Credit Facility and
the aggregate principal amount available in connection with the EWB Credit
Facility was $40,000 and $39,439, respectively.  For a detailed
discussion of our EWB Credit Facility, refer to Note 8 to our consolidated
financial statements included in this report.  Unfunded Commitments  As of March 31, 2016 and May 5,
2016, our unfunded commitments amounted to $42,188 and $82,188, respectively.  For a detailed
discussion of our unfunded commitments, refer to Note 11 to our consolidated
financial statements included in this report. 51


---

RIC Status and Distributions Our total
investment portfolio includes loans and other securities on our consolidated
balance sheets and loans underlying the TRS. Accordingly, we treat net interest
and other income earned on all investments, including the loans underlying the
TRS, as a component of investment company taxable income when determining our
sources of distributions. The sources of our distributions for the three months
ended March 31, 2016 were as follows:  Investment Portfolio
 
 Total Return Swap Portfolio
 
 Total Investment Portfolio
 
 PercentageNet investment
  income
 
 $
 10,475
 
 $
 8,193
 
 $
 18,668
 
 98.2%Capital gains
  from the sale of assets(1)
 
 
 -
 
 
 169
 
 
 169
 
 0.9%Distributions in
  excess of net investment income(2)
 
 
 167
 
 
 -
 
 
 167
 
 0.9%Total
 
 $
 10,642
 
 $
 8,362
 
 $
 19,004
 
 100.0%(1)
 We estimate that
  we had no long-term capital gains for the three months ended March 31, 2016.(2)
 Distributions in excess of net investment income represent
  certain expenses, which are not deductible on a tax-basis. Certain offering
  expenses reduce GAAP basis net investment income, but do not reduce tax basis
  net investment income. These tax-related adjustments represent additional net
  investment income available for distribution for tax purposes.
  For an additional discussion of our RIC
status and distributions, refer to Note 2 and Note 5, respectively, to our
consolidated financial statements included in this report.  Recent Accounting Pronouncements  We do not believe any recently issued, but
not yet effective, accounting pronouncements, if currently adopted, would have
a material adverse effect on our consolidated financial statements. Critical Accounting Policies  Our consolidated financial statements are
prepared in conformity with GAAP, which requires us to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the consolidated financial statements and the reported amounts of
revenues and expenses during the reporting periods. Critical accounting
policies are those that require the application of management’s most difficult,
subjective or complex judgments, often because of the need to make estimates
about the effect of matters that are inherently uncertain and that may change
in subsequent periods. In preparing the consolidated financial statements, we
also utilize available information, including our past history, industry
standards and the current economic environment, among other factors, in forming
our estimates and judgments, giving due consideration to materiality. Actual
results may differ from these estimates. In addition, other companies may
utilize different estimates, which may impact the comparability of our results
of operations to those of companies in similar businesses.  Valuation of Portfolio Investments  The value of our assets is
determined quarterly and at such other times that an event occurs that
materially affects the valuation. The valuation is made pursuant to Section
2(a)(41) of the 1940 Act, which requires that we value our assets as follows:
(i) the market price for those securities for which a market quotation is
readily available, and (ii) for all other securities and assets, at fair value,
as determined in good faith by our board of directors. As a BDC, Section
2(a)(41) of the 1940 Act requires the board of directors to determine in good
faith the fair value of portfolio securities for which a market price is not
readily available, and it does so in conjunction with the application of our
valuation procedures by CIM.  There is no single standard for
determining fair value in good faith. As a result, determining fair value
requires that judgment be applied to the specific facts and circumstances of
each asset while employing a valuation process that is consistently followed.
Determinations of fair value involve subjective judgments and estimates.
Accordingly, the notes to our consolidated financial statements refer to the
uncertainty with respect to the possible effect of such valuations, and any
change in such valuations in our consolidated financial statements.  52


---

Valuation Methods  With respect to investments for which market quotations
are not readily available, we undertake a multi-step valuation process each
quarter, as described below:  ·our quarterly valuation process
begins with each portfolio company or investment being initially valued by
certain of CIM’s investment professionals and certain members of its management
team, with such valuation taking into account information received from various
sources, including independent valuation firms and AIM, if applicable; ·preliminary valuation conclusions
are then documented and discussed with CIM’s valuation committee; ·CIM’s valuation committee reviews
the preliminary valuation, and, if applicable, delivers such preliminary
valuation to an independent valuation firm for its review; ·CIM’s valuation committee, or its
designee, and, if appropriate, the relevant investment professionals meet with
the independent valuation firm to discuss the preliminary valuation; ·designated members of CIM’s
management team respond and supplement the preliminary valuation to reflect any
comments provided by the independent valuation firm; ·our audit committee meets with
members of CIM’s management team and the independent valuation firm to discuss
the assistance provided and the results of the independent valuation firm’s
review; and ·our board of directors discusses
the valuation and determines the fair value of each investment in our portfolio
in good faith based on various statistical and other factors, including the
input and recommendation of CIM, the audit committee and any third-party
valuation firm, if applicable.  In addition to the foregoing, certain investments for
which a market price is not readily available are evaluated on a quarterly
basis by an independent valuation firm and certain other investments are on a
rotational basis reviewed once over a twelve-month period by an independent
valuation firm. Finally, certain investments are not evaluated by an
independent valuation firm unless the net asset value and other aspects of such
investments in the aggregate exceed certain thresholds.  Given the expected types of investments, excluding
short term investments that are classified as Level 1, management expects our
portfolio holdings to be classified as Level 3. Due to the uncertainty inherent
in the valuation process, particularly for Level 3 investments, such fair value
estimates may differ significantly from the values that would have been used
had an active market for the investments existed. In addition, changes in the
market environment and other events that may occur over the life of the
investments may cause the gains or losses that we ultimately realize on these
investments to materially differ from the valuations currently assigned. Inputs
used in the valuation process are subject to variability in the future and can
result in materially different fair values.  For an additional discussion of our investment
valuation process, refer to Note 2 to our consolidated financial statements
included in this report.  Related Party Transactions  For a discussion of our relationship with
related parties including CĪON Securities, CIM, ICON Capital, and IIG and
amounts incurred under agreements with such related parties, refer to Note 4 to
our consolidated financial statements included in this report.  Contractual Obligations  On December 17, 2012, Flatiron entered into
a TRS with Citibank. Flatiron and Citibank have amended the TRS on numerous
occasions including the most recent twelfth amendment on March 22, 2016. See
Note 7 to our consolidated financial statements for a more detailed description
of the TRS.  On April 30, 2015, we entered into the EWB
Credit Facility with EWB, as amended on January 28, 2016 and April 21, 2016. See
Note 8 to our consolidated financial statements for a more detailed description
of the EWB Credit Facility.  53


---

Commitments
and Contingencies and Off-Balance Sheet Arrangements  Commitments and Contingencies  We have entered into certain contracts with
other parties that contain a variety of indemnifications. Our maximum exposure
under these arrangements is unknown. However, we have not experienced claims or
losses pursuant to these contracts and believe the risk of loss related to such
indemnifications to be remote.  Our
investment portfolio may contain debt investments that are in the form of lines
of credit, revolving credit facilities, or other unfunded commitments, which may
require us to provide funding when requested in accordance with the terms of
the underlying agreement. For further details on such debt investments, refer
to Note 11 to our consolidated financial statements included in this report. Off-Balance Sheet Arrangements  We currently have no
off-balance sheet arrangements except for those discussed in Note 7 and Note 11
to our consolidated financial statements included in this report.  54


---

Item 3. Quantitative and Qualitative
Disclosures About Market Risk  We are subject to financial market risks,
including changes in interest rates. As of March 31, 2016, 97.1% of our
portfolio investments and underlying loans subject to the TRS paid variable
interest rates. A rise in the general level of interest rates can be expected
to lead to higher interest rates applicable to our debt investments, especially
to the extent that we hold variable rate investments, and to declines in the
value of any fixed rate investments we may hold. To the extent that a majority
of our investments may be in variable rate investments, an increase in interest
rates could make it easier for us to meet or exceed our incentive fee hurdle
rate, as defined in our investment advisory agreement, and may result in a
substantial increase in our net investment income, and also to the amount of
incentive fees payable to CIM with respect to our pre-incentive fee net
investment income.  Under the terms of the TRS with Citibank,
we pay fees to Citibank at a floating rate based primarily on LIBOR (and in
limited cases the prime rate) in exchange for the right to receive the economic
benefit of a pool of loans. Pursuant to the terms of the EWB Credit Facility,
borrowings are at a floating rate of 0.75% plus the greater of 3.25% or the
variable rate of interest per year announced by EWB as its prime rate, which
was 3.50% at March 31, 2016. In addition, in the future we may seek to borrow
funds in order to make additional investments. Our net investment income will
depend, in part, upon the difference between the rate at which we borrow funds long-term
and the rate at which we invest those funds. As a result, we would be subject
to risks relating to changes in market interest rates. In periods of rising
interest rates when we have debt outstanding, our cost of funds would increase,
which could reduce our net investment income, especially to the extent we hold
fixed rate investments. We expect that our long-term investments will be
financed primarily with equity and long-term debt. Our interest rate risk
management techniques may include various interest rate hedging activities to
the extent permitted by the 1940 Act. Adverse developments resulting from
changes in interest rates could have a material adverse effect on our business,
financial condition and results of operations.  The following table shows the effect over a
twelve month period of changes in interest rates on our net interest income,
excluding short term investments, assuming no changes in our investment
portfolio, TRS Agreement, or the EWB Credit Facility in effect as of March 31,
2016: Change in
  Interest Rates
 
 Increase in Net Interest Income(1)
 
 Percentage Change in Net Interest IncomeDown 64 basis
  points
 
 $
 4,260
 4.6%Current base
  interest rate
 
 
 -
 -Up 100 basis
  points
 
 
 1,363
 1.5%Up 200 basis
  points
 
 
 7,861
 8.5%Up 300 basis
  points
 
 
 14,359
 15.6%(1)
 Pursuant to the TRS, we receive from Citibank all interest
  payable in respect of the loans subject to the TRS and pay to Citibank
  interest at a rate equal to the floating rate index specified for each loan
  (typically LIBOR of varying maturities), which will not be less than zero,
  plus 1.40% per year on the full notional amount of the loans subject to the
  TRS. As of March 31, 2016, all of the loans subject to the TRS paid variable
  interest rates. This table assumes no change in defaults or prepayments by
  portfolio companies over the next twelve months.
  The interest rate sensitivity analysis
presented above does not consider the potential impact of the changes in fair
value of our fixed rate debt investments and the net asset value of our common
stock in the event of sudden increases in interest rates. Approximately 5.9% of
our portfolio investments and none of our underlying loans subject to the TRS
paid fixed interest rates as of March 31, 2016. Rising market interest rates
will most likely lead to fair value declines for fixed interest rate
investments and a decline in the net asset value of our common stock, while
declining market interest rates will most likely lead to an increase in the
fair value of fixed interest rate investments and an increase in the net asset
value of our common stock.  In addition, we may have risk regarding portfolio valuation
as discussed in Note 2 to our consolidated financial statements included in
this report. 55


---

Item 4. Controls and Procedures  Evaluation of disclosure controls and procedures In connection with the preparation of this Quarterly Report
on Form 10-Qfor the three
months ended March 31, 2016, we
carried out an evaluation, under the supervision and with the participation of
our management, including our Co-Chief Executive Officers and our Chief
Financial Officer, of the effectiveness of the design and operation of our
disclosure controls and procedures as of the end of the period covered by this report
pursuant to Rule 13a-15(b) and Rule 15d-15(b) of the Securities Exchange Act of
1934, as amended. Based on the foregoing evaluation, the Co-Chief Executive
Officers and the Chief Financial Officer concluded that our disclosure controls
and procedures were effective. In designing and evaluating our
disclosure controls and procedures, we recognized that disclosure controls and
procedures, no matter how well conceived and operated, can provide only
reasonable, not absolute, assurance that the objectives of the disclosure
controls and procedures are met.  Our disclosure controls and
procedures have been designed to meet reasonable assurance standards.
Disclosure controls and procedures cannot detect or prevent all error and
fraud. Some inherent limitations in disclosure controls and procedures include
costs of implementation, faulty decision-making, simple error and mistake.
Additionally, controls can be circumvented by the individual acts of some
persons, by collusion of two or more people, or by management override of the
controls. The design of any system of controls is based, in part, upon certain
assumptions about the likelihood of future events, and there can be no
assurance that any design will succeed in achieving its stated goals under all
anticipated and unanticipated future conditions. Over time, controls may become
inadequate because of changes in conditions, or the degree of compliance with
established policies or procedures. Evaluation of internal control over
financial reporting  There have been no changes in our internal
control over financial reporting during the three months ended March 31, 2016
that have materially affected, or are reasonably likely to materially affect,
our internal control over financial reporting. 56


---

PART II - OTHER
INFORMATION Item 1. Legal Proceedings We are not currently
subject to any material legal proceedings, nor, to our knowledge, is any
material legal proceeding threatened against us. From time to time, we may be
party to certain legal proceedings in the ordinary course of business,
including proceedings relating to the enforcement of our rights under contracts
with our portfolio companies and other third parties. While the outcome of
these legal proceedings cannot be predicted with certainty, we do not expect that
any such proceedings will have a material effect upon our financial condition
or results of operations.  Item 1A. Risk Factors  There have been no
material changes from the risk factors disclosed in “Item 1A. Risk Factors” of
our Annual Report on Form 10-K for the year ended December 31, 2015. Item 2. Unregistered Sales
of Equity Securities and Use of Proceeds Our registration
statement on Form N-2, as amended, in connection with our follow-on continuous
public offering was declared effective by the SEC on January 25, 2016 (SEC File
No. 333-203683). Our follow-on continuous public offering commenced on January
25, 2016. We did not engage in any unregistered sales of equity
securities during the three months ended March 31, 2016. The table below provides information
concerning our repurchases of shares of our common stock during the three
months ended March 31, 2016 pursuant to our share repurchase program.  Period
 
 Total Number of Shares Purchased
 
 Average Price Paid per Share
 
 Total Number of
  Shares Purchased as Part of Publicly
  Announced Plans or Programs
 
 Maximum Number of Shares That
  May Yet Be Purchased Under the Plans or ProgramsJanuary 1
  to January 31, 2016
 
 272,148
 
 $
 8.96
 
 272,148
 
 (1)February 1
  to February 29, 2016
 
 -
 
 
 -
 
 -
 
 -March 1
  to March 31, 2016
 
 -
 
 
 -
 
 -
 
 -Total
 
 272,148
 
 $
 8.96
 
 272,148
 
 (1)(1)
 A description of the maximum number of shares of our common
  stock that may be repurchased under our share repurchase program is set forth
  in Note 3 to our unaudited consolidated financial statements contained in
  this Quarterly Report on Form 10-Q.
 See Note 3 to our unaudited
consolidated financial statements contained in this Quarterly Report on
Form 10-Q for a more detailed discussion of the terms of our share
repurchase program. Item 3. Defaults Upon Senior Securities Not
applicable. Item 4. Mine Safety
Disclosures Not
applicable. Item 5. Other Information Not
applicable.    57


---

Item
6. Exhibits Exhibit
  Number
 
 Description of Document3.1
 
 Articles of
  Amendment and Restatement of the Articles of Incorporation of CĪON
  Investment Corporation (Incorporated by reference to Exhibit (A)(2) to
  Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form
  N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).3.2
 
 Second Articles
  of Amendment and Restatement of the Articles of Incorporation of CĪON
  Investment Corporation (Incorporated by reference to Exhibit 3.1 to
  Registrant’s Current Report on Form 8-K filed with the SEC on August 27, 2012
  (File No. 814-00941)).3.3
 
 Bylaws of
  CĪON Investment Corporation (Incorporated by reference to Exhibit (B) to
  Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form
  N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).4.1
 
 Form of Follow-On
  Subscription Agreement (Incorporated by reference to Appendix A to
  Post-Effective Amendment No. 1 to Registrant’s Registration Statement on Form
  N-2 filed with the SEC on April 6, 2016 (File No. 333-203683)).4.2
 
 Fourth Amended
  and Restated Distribution Reinvestment Plan (Incorporated by reference to
  Exhibit 4.1 to Registrant’s Current Report on Form 8-K filed with the SEC on
  January 27, 2016 (File No. 814-00941)).10.1
 
 Investment
  Advisory Agreement by and between CĪON Investment Corporation and
  CĪON Investment Management, LLC (Incorporated by reference to Exhibit
  (G)(1) to Pre-Effective Amendment No. 4 to Registrant’s Registration
  Statement on Form N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).10.2
 
 Investment
  Sub-Advisory Agreement by and among CĪON Investment Management, LLC,
  CĪON Investment Corporation and Apollo Investment Management, L.P.
  (Incorporated by reference to Exhibit (G)(2) to Pre-Effective Amendment No. 4
  to Registrant’s Registration Statement on Form N-2 filed with the SEC on June
  29, 2012 (File No. 333-178646)).10.3
 
 Administration
  Agreement by and between CĪON Investment Corporation and ICON Capital
  Corp. (Incorporated by reference to Exhibit (K)(2) to Pre-Effective Amendment
  No. 4 to Registrant’s Registration Statement on Form N-2 filed with the SEC
  on June 29, 2012 (File No. 333-178646)).10.4
 
 Custody
  Agreement by and between CĪON Investment Corporation and U.S. Bank
  National Association (Incorporated by reference to Exhibit (J) to
  Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form
  N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).10.5
 
 Escrow
  Agreement by and among CĪON Investment Corporation, UMB Bank, N.A., and
  ICON Securities Corp. (Incorporated by reference to Exhibit (K)(1) to
  Pre-Effective Amendment No. 4 to Registrant’s Registration Statement on Form
  N-2 filed with the SEC on June 29, 2012 (File No. 333-178646)).10.6
 
 Dealer Manager
  Agreement by and among CĪON Investment Corporation, CĪON Investment
  Management, LLC, and ICON Securities Corp. (Incorporated by reference to
  Exhibit (H)(1) to Pre-Effective Amendment No. 4 to Registrant’s Registration
  Statement on Form N-2 filed with the SEC on June 29, 2012 (File No.
  333-178646)).10.7
 
 ISDA 2002
  Master Agreement, together with the Schedule thereto and Credit Support Annex
  to such Schedule, each dated as of December 17, 2012, by and between Flatiron
  Funding, LLC and Citibank, N.A. (Incorporated by reference to Exhibit 10.1 to
  the Registrant’s Current Report on Form 8-K filed with the SEC on December
  19, 2012 (File No. 814-00941)).10.8
 
 Twelfth Amended
  and Restated Confirmation Letter Agreement dated as of March 22, 2016, by and
  between Flatiron Funding, LLC and Citibank, N.A. (Incorporated by reference
  to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the
  SEC on March 23, 2016 (File No. 814-00941)).10.9
 
 Second
  Amended and Restated Expense Support and Conditional Reimbursement Agreement
  dated as of December 16, 2015, by and among CĪON Investment Corporation,
  ICON Investment Group, LLC and Apollo Investment Management, L.P.
  (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on
  Form 8-K filed with the SEC on December 18, 2015 (File No. 814-00941)).
  58


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Exhibit
  Number
 
 Description of Document10.10
 
 Form of
  Follow-On Dealer Manager Agreement by and among CĪON Investment
  Corporation, CĪON Investment Management, LLC and CĪON Securities,
  LLC (Incorporated by reference to Exhibit (H)(3) to Registrant’s Registration
  Statement on Form N-2 filed with the SEC on April 28, 2015 (File No.
  333-203683)).10.11
 
 Form of
  Follow-On Selected Dealer Agreement (Incorporated by reference to Exhibit
  (H)(4) to Registrant’s Registration Statement on Form N-2 filed with the SEC
  on April 28, 2015 (File No. 333-203683)).10.12
 
 Loan and
  Security Agreement, dated as of April 30, 2015, by and between CĪON
  Investment Corporation and East West Bank (Incorporated by reference to
  Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on
  May 6, 2015 (File No. 814-00941)).10.13
 
 First Amendment
  to Loan and Security Agreement, dated as of January 28, 2016, by and between
  CĪON Investment Corporation and East West Bank (Incorporated by
  reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed
  with the SEC on February 3, 2016 (File No. 814-00941)).10.14
 
 Second
  Amendment to Loan and Security Agreement, dated as of April 21, 2016, by and
  between CĪON Investment Corporation and East West Bank (Incorporated by
  reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed
  with the SEC on April 27, 2016 (File No. 814-00941)).10.15
 
 Custody Control
  Agreement, dated as of April 30, 2015, by and among CĪON Investment
  Corporation, East West Bank and U.S. Bank National Association (Incorporated
  by reference to Exhibit 10.2 to Registrant’s Current Report on Form 8-K filed
  with the SEC on May 6, 2015 (File No. 814-00941)).10.16
 
 Limited
  Liability Company Agreement of CĪON / Capitala Senior Loan Fund I, LLC,
  dated as of June 24, 2015, by and between CĪON Investment Corporation
  and Capitala Finance Corp. (Incorporated by reference to Exhibit 10.1 to
  Registrant’s Current Report on Form 8-K filed with the SEC on June 26, 2015
  (File No. 814-00941)).31.1
 
 Rule
  13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer.31.2
 
 Rule
  13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer.31.3
 
 Rule
  13a-14(a)/15d-14(a) Certification of Chief Financial Officer.32.1
 
 Certification
  of Co-Chief Executive Officer pursuant to 18 U.S.C. §1350, as adopted
  pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.32.2
 
 Certification
  of Co-Chief Executive Officer pursuant to 18 U.S.C. §1350, as adopted
  pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.32.3
 
 Certification
  of Chief Financial Officer pursuant to 18 U.S.C. §1350, as adopted pursuant
  to Section 906 of the Sarbanes-Oxley Act of 2002.
  59


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SIGNATURES Pursuant to the
requirements of the Securities Exchange Act of 1934, the registrant has duly
caused this report to be signed on its behalf by the undersigned, thereunto
duly authorized. Date: May 11, 2016 CĪON
Investment Corporation
(Registrant) By:/s/ Michael A. ReisnerMichael A. Reisner
        Co-Chief Executive Officer and Co-President(Principal Executive Officer) By:/s/ Mark GattoMark Gatto
        Co-Chief Executive Officer and Co-President(Principal Executive Officer) By:/s/ Keith S. FranzKeith S. Franz
        Chief Financial Officer(Principal Financial and Accounting Officer) 60


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