American Capital Senior Floating : Reports Net Investment Income Of $0.31 Per Share

BETHESDA, Md., Nov. 4, 2016 /PRNewswire/ -- American Capital Senior Floating, Ltd. ('ACSF' or the 'Company') (NASDAQ: ACSF) today reported net investment income of $3.1 million, or $0.31 per share, for the quarter ended September 30, 2016 and net asset value ('NAV') of $132.0 million, or $13.20 per share, as of September 30, 2016.

THIRD QUARTER 2016 FINANCIAL HIGHLIGHTS

• Actively managed portfolio through periods of volatility
  • Invested $18.2 million into 14 new loan obligors
  • Sold $12.1 million of investments and received $11.7 million of repayments, including distributions received from our collateralized loan obligations ('CLOs')
• $0.31 per share net investment income, or $3.1 million
  • Increased $0.01 per share from Q2 2016 net investment income of $0.30 per share
• $1.03 per share net earnings, or $10.3 million
  • Consistent with Q2 2016 net earnings of $1.03 per share
• $13.20 NAV per share as of September 30, 2016, or $132.0 million
  • $0.75 per share increase from June 30, 2016 NAV per share of $12.45
  • 8.3% economic return on NAV for Q3 2016, or 33.1% annualized
    • Composed of $0.291 per share cash distributions to stockholders and $0.75 increase in NAV per share
• $0.097 per share monthly cash distributions to stockholders ($0.291 for the quarter)
  • 8.8% annualized yield on the September 30, 2016 NAV per share
  • 10.5% annualized yield on the September 30, 2016 closing market price of $11.03 per share
• $231.0 million Investment Portfolio at fair value as of September 30, 2016
  • $175.7 million, or 76%, in first lien floating rate loans
  • $16.4 million, or 7%, in second lien floating rate loans
  • $38.9 million, or 17%, of equity in CLOs
• 6.26% Investment Portfolio yield at cost as of September 30, 2016
  • 33 basis point decrease from 6.59% yield at cost as of June 30, 2016 due to a 171 basis point decrease in CLO yields resulting from lower cash forecasts as of September 30, 2016
• 2.68% cost of funds as of September 30, 2016
  • 3 basis point increase from 2.65% cost of funds as of June 30, 2016 due to increases in LIBOR
  • Includes 2.27% interest expense, 0.31% unused facility fees and 0.10% amortization of debt financing costs
• 0.76x debt to equity ratio as of September 30, 2016
  • Decreased 0.02x from 0.78x as of June 30, 2016 due primarily to an increase in the fair value of the portfolio

'Market technicals continued their positive trend over the quarter which is reflected in our portfolio performance and appreciation,' said Mark Pelletier, President and Chief Investment Officer. 'Pricing in the loan market continued to improve, which coupled with strong demand, resulted in another encouraging quarter for CLO valuations.'

John Erickson, Chief Financial Officer commented, 'Today we declared the next three months' dividends for November, December and January, which aggregate to $0.291 per share for the quarter. Our current annualized dividend represents an 8.8% annualized yield on our September 30, 2016 NAV and a 10.5% annualized yield on our September 30, 2016 closing share price of $11.03 per share.'

PORTFOLIO AND INVESTMENT ACTIVITY

As of September 30, 2016, the fair market value of ACSF's portfolio totaled $231.0 million and was composed of $175.7 million, or 76%, of first lien floating rate loans, $16.4 million, or 7%, of second lien floating rate loans (collectively, the 'Loan Portfolio') and $38.9 million (or 17%) of CLO equity (the 'CLO Portfolio' and, together with the Loan Portfolio, the 'Investment Portfolio'). The Investment Portfolio had a yield at cost of 6.26% as of September 30, 2016.

As of September 30, 2016, ACSF's Loan Portfolio was diversified across 140 issuers and 46 industries and its CLO Portfolio was invested in 22 issuers and 16 collateral managers. The Investment Portfolio was actively managed during the quarter with $18.2 million of purchases and $23.8 million of sales and repayments. The following table depicts the Investment Portfolio activity by investment type for the quarter ended September 30, 2016:

		First Lien						Second Lien						CLO Equity						Common Equity					Total
$ in millions		Amount			Yield (at cost)			Amount			Yield (at cost)			Amount			Yield (at cost)			Amount			Yield (at cost)		Amount			Yield (at cost)
June 30, 2016 - FV		$	173.9		5.1	%		$	16.5		8.3	%		$	37.0		11.2	%		$	-		n/a		$	227.4		6.6	%
Purchases		15.7			5.4	%		2.5			8.0	%		-			n/a			-			n/a		18.2			5.2	%
Sales		(12.1)			(4.6)	%		-			n/a			-			n/a			-			n/a		(12.1)			(4.5)	%
Repayments		(5.3)			(4.8)	%		(3.1)			(8.7)	%		(3.3)			(18.3)	%		-			n/a		(11.7)			(9.8)	%
Net realized and unrealized gain / (loss)		3.4			n/a			0.5			n/a			3.3			n/a			-			n/a		7.2			n/a
Other		0.1			n/a			-			n/a			1.9			n/a			-			n/a		2.0			n/a
September 30, 2016 - FV		$	175.7		5.1	%		$	16.4		8.2	%		$	38.9		9.5	%		$	-		n/a		$	231.0		6.3	%

	CLO equity repayments reflect the amount of cash distributions received during the three months ended September 30, 2016.
	Other includes amortization of discount/premium on the Loan Portfolio and income recognized on CLO equity using the effective interest method during the three months ended September 30, 2016.

RESULTS OF OPERATIONS

Net Investment Income

Net investment income totaled $3.1 million, or $0.31 per share, for the three months ended September 30, 2016. Gross investment income was $4.6 million for the quarter, with $2.7 million, or 58%, generated from the Loan Portfolio and $1.9 million, or 42%, generated from the CLO Portfolio. Net expenses totaled $1.5 million for the three months ended September 30, 2016, with interest and other debt related costs of $0.7 million, management fees of $0.5 million and $0.3 million of other operating expenses, net of the expense waiver.

Net Realized and Unrealized Gain / (Loss) From Investments

Net realized and unrealized gain on investments for the three months ended September 30, 2016 totaled $7.2 million and was composed of $(0.2) million of net realized losses on sales of investments and $7.4 million of net unrealized appreciation on the Investment Portfolio. The $7.4 million of net unrealized appreciation on the Investment Portfolio was driven by $4.1 million of net unrealized appreciation in the Loan Portfolio and $3.3 million of net unrealized appreciation in the CLO Portfolio. The increase in fair value of the CLO Portfolio was a result of a number of factors, including a continued rise in loan prices in the third quarter 2016, increased trading in CLO equity and a tightening of liability spreads for mezzanine and equity tranches. The primary driver for the increase in fair value of the Loan Portfolio was higher prices in the broadly syndicated U.S. loan market.

LIQUIDITY AND CAPITAL RESOURCES

As of September 30, 2016, ACSF's wholly-owned consolidated financing subsidiary, ACSF Funding I, LLC ('ACSF Funding'), had $100.0 million outstanding on its $135.0 million revolving credit facility, resulting in a debt to equity ratio of 0.76x. As of September 30, 2016, ACSF had $39.7 million of available liquidity consisting of $4.7 million of cash and cash equivalents and $35.0 million of available capacity on the ACSF Funding revolving credit facility.

DISTRIBUTIONS TO STOCKHOLDERS

On November 4, 2016, the Company announced the declaration of monthly cash distributions to stockholders of $0.097 per share for each of November 2016, December 2016 and January 2017. This cash distribution rate represents a 8.8% annualized yield on the September 30, 2016 NAV per share of $13.20 and an 10.5% annualized yield on the September 30, 2016 closing market price per share of $11.03. The monthly cash distributions will be paid to common stockholders of record as set forth in the table below:

		Distributions to Stockholders per Share		Record Date		Ex-Dividend Date		Payment Date
November 2016		$0.097		November 22, 2016		November 18, 2016		December 2, 2016
December 2016		$0.097		December 23, 2016		December 21, 2016		January 5, 2017
January 2017		$0.097		January 23, 2017		January 19, 2017		February 2, 2017

Since its January 2014 IPO, the Company has declared a total of $34.5 million in cash distributions to stockholders, or $3.45 per share.

ACSF's Board of Directors considers estimated taxable income, GAAP income and economic performance when determining distributions to stockholders. Actual taxable income may differ from GAAP income due to temporary and permanent differences in income and expense recognition and changes in unrealized appreciation and depreciation on investments. The Company currently expects distributions to stockholders for 2016 to be from ordinary taxable income. The specific tax characteristics will be reported to stockholders on Form 1099 after the end of the calendar year. For additional detail, please visit the Company's website at www.ACSF.com.

AMERICAN CAPITAL SENIOR FLOATING, LTD. CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (in thousands, except share and per share data)
		September 30, 2016 (unaudited)				June 30, 2016 (unaudited)				March 31, 2016 (unaudited)				December 31, 2015				September 30, 2015 (unaudited)
Assets:
Investments, fair value		$	231,006			$	227,417			$	216,018			$	229,056			$	257,732
Cash and cash equivalents		4,724				3,181				2,607				2,474				2,247
Receivable for investments sold		4,975				3,675				-				3,096				2,007
Other assets		1,275				1,605				1,420				1,179				1,227
Total assets		$	241,980			$	235,878			$	220,045			$	235,805			$	263,213
Liabilities:
Credit facility payable		$	100,000			$	97,100			$	98,800			$	110,200			$	124,800
Payable for investments purchased		7,043				11,872				2,150				5,437				995
Distributions to stockholders payable		970				970				970				970				970
Management fee payable		1,520				1,008				497				536				558
Other liabilities		463				383				441				733				634
Total liabilities		109,996				111,333				102,858				117,876				127,957
Net Assets:
Common stock, par value $0.01 per share, 10,000,100 issued and outstanding, 300,000,000 authorized		100				100				100				100				100
Paid-in capital in excess of par		150,903				150,903				150,903				150,903				151,131
Undistributed net investment income		1,784				1,586				1,528				1,560				1,037
Accumulated net realized loss from investments		(3,268)				(3,114)				(2,705)				(1,815)				(986)
Net unrealized depreciation on investments		(17,535)				(24,930)				(32,639)				(32,819)				(16,026)
Total net assets		131,984				124,545				117,187				117,929				135,256
Total liabilities and net assets		$	241,980			$	235,878			$	220,045			$	235,805			$	263,213
Net asset value per share		$	13.20			$	12.45			$	11.72			$	11.79			$	13.53

AMERICAN CAPITAL SENIOR FLOATING, LTD. CONSOLIDATED STATEMENTS OF OPERATIONS (in thousands, except per share data) (unaudited)
		Three Months Ended
		September 30, 2016				June 30, 2016				March 31, 2016				December 31, 2015				September 30, 2015
Investment income:
Interest		$	4,589			$	4,272			$	4,345			$	4,636			$	4,987
Total investment income		4,589				4,272				4,345				4,636				4,987
Expenses:
Interest and other debt related costs		665				640				664				690				766
Management fee		512				511				497				536				558
Other operating expenses		564				733				517				510				479
Total expenses		1,741				1,884				1,678				1,736				1,803
Expense waiver		(283)				(455)				(238)				(234)				(193)
Net expenses		1,458				1,429				1,440				1,502				1,610
Net investment income before taxes		3,131				2,843				2,905				3,134				3,377
Income tax (provision) benefit		(23)				125				(27)				(68)				(33)
Net investment income		3,108				2,968				2,878				3,066				3,344
Net realized and unrealized gain (loss) on investments:
Net realized (loss) gain on investments		(154)				(409)				(890)				(690)				(5)
Net unrealized appreciation (depreciation) on investments		7,395				7,709				180				(16,793)				(10,537)
Net realized and unrealized gain / (loss) on investments		7,241				7,300				(710)				(17,483)				(10,542)
Net increase (decrease) in net assets resulting from operations ('Net Earnings (Loss)')		$	10,349			$	10,268			$	2,168			$	(14,417)			$	(7,198)
Net investment income per share		$	0.31			$	0.30			$	0.29			$	0.31			$	0.33
Net Earnings (Loss) per share		$	1.03			$	1.03			$	0.22			$	(1.44)			$	(0.72)
Distributions to stockholders per share		$	0.29			$	0.29			$	0.29			$	0.29			$	0.29
Weighted average shares outstanding		10,000				10,000				10,000				10,000				10,000

AMERICAN CAPITAL SENIOR FLOATING, LTD. KEY PORTFOLIO STATISTICS (in thousands, except per share data) (unaudited)
	As of
	September 30, 2016				June 30, 2016				March 31, 2016				December 31, 2015				September 30, 2015
Investment Portfolio at FV
First Lien Floating Rate Loans	$	175,744			$	173,898			$	164,186			$	169,580			$	186,950
Second Lien Floating Rate Loans	16,399				16,463				17,868				22,575				25,510
Total Loan Portfolio	192,143				190,361				182,054				192,155				212,460
CLO Equity	38,856				37,021				33,817				36,854				45,272
Common Equity	7				35				147				47				n/a
Total Investment Portfolio at FV	$	231,006			$	227,417			$	216,018			$	229,056			$	257,732
Investment Portfolio at Cost
First Lien Floating Rate Loans	$	178,510			$	180,259			$	172,965			$	181,367			$	191,863
Second Lien Floating Rate Loans	17,773				18,375				20,543				24,910				26,821
Total Loan Portfolio	196,283				198,634				193,508				206,277				218,684
CLO Equity	52,258				53,713				55,149				55,599				55,074
Common Equity	-				-				-				-				n/a
Total Investment Portfolio at Cost	$	248,541			$	252,347			$	248,657			$	261,876			$	273,758
Asset Yield at Cost
First Lien Floating Rate Loans	5.13		%		5.06		%		5.11		%		5.03		%		4.90		%
Second Lien Floating Rate Loans	8.21		%		8.27		%		8.02		%		7.90		%		7.85		%
Total Loan Portfolio	5.41		%		5.35		%		5.42		%		5.38		%		5.26		%
CLO Equity	9.45		%		11.16		%		9.85		%		10.04		%		12.95		%
Total Investment Portfolio	6.26		%		6.59		%		6.40		%		6.37		%		6.81		%
Quarterly Investment Activity
Investment Purchases	$	18,216			$	32,138			$	8,995			$	17,984			$	13,913
Investment Sales	$	(12,082)			$	(14,154)			$	(8,415)			$	(11,641)			$	(7,954)
Investment Repayments	$	(11,768)			$	(15,608)			$	(14,624)			$	(19,330)			$	(11,889)
Loan Portfolio Statistics
Number of Obligors	140				134				128				128				127
Number of Industries	46				46				46				46				46
Largest Exposure as a % of Total Portfolio at FV	1.5		%		2.0		%		1.6		%		1.5		%		1.4		%
Average Exposure as a % of Total Portfolio at FV	0.6		%		0.6		%		0.7		%		0.7		%		0.6		%
% with LIBOR Floor	100.0		%		100.0		%		100.0		%		100.0		%		100.0		%
Weighted-average LIBOR Floor	1.0		%		1.0		%		1.0		%		1.0		%		1.0		%
CLO Portfolio Statistics
Number of Issuers	22				22				22				20				19
CLO Managers	16				16				16				15				14
Largest Exposure as a % of Total Portfolio at FV	1.5		%		1.4		%		1.4		%		1.5		%		1.6		%
Average Exposure as a % of Total Portfolio at FV	0.8		%		0.7		%		0.7		%		0.8		%		0.9		%
Minimum % of Collateral in First Lien Loans	90.9		%		90.9		%		90.8		%		91.0		%		91.0		%
Cumulative Cash Receipts as a % of Original Cost	48.1		%		43.7		%		39.2		%		34.9		%		31.1		%
Liquidity and Capital Resources
Debt
Amount Available on Credit Facility	$	135,000			$	135,000			$	135,000			$	135,000			$	140,000
Amount Drawn on Credit Facility	$	100,000			$	97,100			$	98,800			$	110,200			$	124,800
Interest Rate on Debt as of Period-end	2.27		%		2.23		%		2.21		%		2.02		%		2.00		%
Cost of Funds as of Period-end	2.68		%		2.65		%		2.60		%		2.32		%		2.41		%
Equity
NAV	$	131,984			$	124,545			$	117,187			$	117,929			$	135,256
NAV Per Share	$	13.20			$	12.45			$	11.72			$	11.79			$	13.53
Debt to Equity Ratio	0.76x				0.78x				0.84x				0.93x				0.92x
Quarterly Cash Distributions to Stockholders Per Share	$	0.291			$	0.291			$	0.291			$	0.291			$	0.291
Economic Return	33.1		%		35.2		%		7.4		%		(10.2%)				(19.6%)

	Investment repayments include the distributions received from CLO equity investments.
	Represents the weighted-average minimum percent of assets as allowed by each CLO's indenture to be invested in first lien loans. Actual amounts invested in first lien loans may be higher.
	Original cost included only for CLOs that have begun to make quarterly distributions to ACSF and are held at each period-end reporting date. The average holding period (in years) for the CLOs that have begun to make quarterly distributions is 2.5 as of September 30, 2016, 2.0 as of June 30, 2016, 1.8 as of March 31, 2016, 1.6 as of December 31, 2015 and 1.4 as of September 30, 2015.
	Cost of funds includes interest cost, amortization of upfront fees and unfunded commitment fees.
	Economic return defined as the distributions to stockholders paid in the quarter, plus the change in NAV per share for the quarter, over the starting NAV per share. Quarterly returns have been annualized and are unaudited.

STOCKHOLDER CALL

There is no scheduled earnings call to discuss the third quarter 2016 results. A slide presentation will be posted and available at www.ACSF.com.

For further information, please contact Investor Relations at [phone] or [e-mail].

ABOUT AMERICAN CAPITAL SENIOR FLOATING, LTD.

American Capital Senior Floating, Ltd. (NASDAQ: ACSF) is a non-diversified closed-end investment management company that invests primarily in senior first lien and second lien floating rate loans to large-market U.S. based companies ('Senior Floating Rate Loans') and in debt and equity tranches of collateralized loan obligations collateralized by Senior Floating Rate Loans. The Company has elected to be treated as a business development company under the Investment Company Act of 1940, as amended. The Company is externally managed by American Capital ACSF Management, LLC, an indirect subsidiary of American Capital Asset Management, LLC, a wholly-owned portfolio company of American Capital, Ltd. For further information, please refer to www.ACSF.com.

ABOUT AMERICAN CAPITAL, LTD.

American Capital, Ltd. (NASDAQ: ACAS) is a publicly traded private equity firm and global asset manager. American Capital, both directly and through its asset management business, originates, underwrites and manages investments in middle market private equity, leveraged finance and structured products. American Capital manages $10 billion of assets, including assets on its balance sheet and fee earning assets under management by affiliated managers. Through a wholly-owned affiliate, American Capital manages publicly traded American Capital Senior Floating, Ltd. (NASDAQ: ACSF) with $132 million of total net book value. American Capital and its affiliates operate out of six offices in the U.S. and Europe. For further information, please refer to www.americancapital.com.

FORWARD-LOOKING STATEMENTS

This press release contains forward-looking information and statements. Forward-looking statements give the Company's current expectations and projections relating to its financial condition, results of operations, plans, objectives, future performance and business. You can identify forward-looking statements by the fact that they do not relate strictly to historical or current facts. These statements may include words such as 'anticipate,' 'estimate,' 'expect,' 'project,' 'plan,' 'intend,' 'believe,' 'confident,' 'may,' 'should,' 'can have,' 'likely,' 'future' and other words and terms of similar meaning in connection with any discussion of the timing or nature of future operating or financial performance or other events. Forward-looking statements are not guarantees of performance or results, and involve known and unknown risks, uncertainties (some of which are beyond the Company's control), assumptions and other factors that may cause actual results or events to differ materially from those anticipated in such forward-looking statements. Should one or more of these risks or uncertainties materialize, the Company's actual results may vary in material respects from those projected in any forward-looking statements. A detailed discussion of these and other factors that may affect future results is contained in our filings with the U.S. Securities and Exchange Commission. Any forward-looking statement made by the Company in this press release speaks only as of the date on which it is made. The Company undertakes no obligation to update any forward-looking statement, whether as a result of new information, future developments or otherwise, except as may be required by law.

CONTACT:
Investors - [phone]
Media - [phone]

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SOURCE American Capital Senior Floating, Ltd.